UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04984
AMERICAN BEACON FUNDS
(Exact name of registrant as specified in charter)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Address of principal executive offices)-(Zip code)
Gene L. Needles, Jr., PRESIDENT
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
Registrant's telephone number, including area code: (817) 967-3509
Date of fiscal year end: December 31, 2009
Date of reporting period: December 31, 2009
ITEM 1. REPORTS TO STOCKHOLDERS.
GUIDANCE | VISION | EXPERIENCE
(American Beacon Funds(SM) LOGO)
Annual Report
(GRAPHIC)
December 31, 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
President's Message.................................................................... 1
Performance Overviews.................................................................. 3
American Beacon Funds
Statements of Assets and Liabilities................................................ 12
Statements of Operations............................................................ 13
Statements of Changes in Net Assets................................................. 14
Notes to Financial Statements....................................................... 15
Financial Highlights................................................................ 22
State Street Equity 500 Index Portfolio
Portfolio of Investments............................................................ 31
Statement of Assets and Liabilities................................................. 37
Statement of Operations............................................................. 38
Statements of Changes in Net Assets................................................. 39
Financial Highlights................................................................ 40
Notes to Financial Statements....................................................... 41
Master Small Cap Index Series
Summary Schedule of Investments..................................................... 54
Statement of Assets and Liabilities................................................. 61
Statement of Operations............................................................. 62
Statements of Changes in Net Assets................................................. 63
Financial Highlights................................................................ 63
Notes to Financial Statements....................................................... 64
Master International Index Series
Summary Schedule of Investments..................................................... 72
Statement of Assets and Liabilities................................................. 77
Statement of Operations............................................................. 78
Statements of Changes in Net Assets................................................. 79
Financial Highlights................................................................ 79
Notes to Financial Statements....................................................... 80
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 December 31, 2009
FELLOW SHAREHOLDERS,
(PHOTO OF GENE L. NEEDLES, JR.)
As an introduction to the American Beacon S&P 500, Small Cap and
International Equity Index Funds Annual Report for the 12-month period ended
December 31, 2009, please let me take a moment to tell you how pleased I am to
have been serving as President and CEO of American Beacon Advisors since April
15, 2009. I consider it a privilege to hold this position, and I take its
responsibilities quite seriously.
I've enjoyed a long, successful career in the investment business, and I'm
no stranger to the ups and downs that markets can deliver. As a fellow investor
and shareholder, I experience these trends in much the same way you do. The
majority of 2008 was difficult in many ways. However, when I took the helm at
American Beacon, I already had many reasons to be optimistic about what might
develop in 2009. As of December 31, 2009, my optimism has been largely
confirmed.
The Institutional Class of the American Beacon S&P 500, Small Cap and
International Equity Index Funds reported returns of 26.70%, 27.21% and 28.72%,
respectively, for the 12-month period ending December 31, 2009. Of course, one
year of performance doesn't tell the whole story, especially when you're
investing for the long term. Please note that the recent growth rate in the
stock market has helped produce short-term returns that are not typical and may
not continue in the future.
Many of us have long-term goals, including retirement, driving our
investment decisions. While this 12-month period began amid a frightening
recessionary environment, we finished the year with increasing confidence that
markets have begun to stabilize, that liquidity has returned to the debt markets
and that equity markets have had a substantial recovery.
I know as well as you do that maintaining a long-term perspective,
employing a buy-and-hold philosophy (consistent with the Fund's objectives), and
doing the right thing according to your risk tolerance and time horizon is not
always easy. But the professionals at American Beacon are dedicated to working
hard to help investors succeed.
Just as you maintain a commitment to your goals--and to those who inspire
you to create your goals--we maintain a strong commitment to due diligence and
oversight. That commitment is one of the key reasons I am honored to serve as
President and CEO, and pleased to be able to share my enthusiasm about the path
ahead with you.
A financial advisor can be an important ally in creating investment
success, so--as you review the enclosed annual report--please feel free to
discuss your thoughts and concerns with a trusted advisor. And, as always, the
professionals associated with the American Beacon Funds are grateful for the
opportunity to serve you.
Best regards,
/s/ Gene L. Needles, Jr.
Gene L. Needles, Jr.
President
American Beacon Funds
Investing in the securities of small capitalization companies involves greater
risk and the possibility of greater price volatility than investing in larger
capitalization and more established companies.
Investing in foreign equities entails additional risk not associated with
domestic equities, such as currency fluctuations, economic and political
instability and differences in accounting standards
1
DOMESTIC EQUITY MARKET OVERVIEW
DECEMBER 31, 2009 (UNAUDITED)
Economic recovery from the most recent recession continued to gain momentum
throughout 2009. Most importantly, credit spreads tightened and liquidity
returned to the market. During the fourth quarter 2009, the pace of job losses
declined, home sales rose, and consumer spending increased. In addition,
financial market conditions continued to improve as equity prices rose and
credit spreads remained tight.
The U.S. stock market started 2009 much the same way it ended 2008--falling
steadily into early March. Poor growth prospects, falling corporate profits,
tight credit conditions and a weak job market all helped push U.S. equity
markets lower. In early March, domestic stocks reached a sudden turning point.
The S&P 500 Index, as a proxy for U.S. equity markets in general, rose nearly
20% in the last three weeks of March when some good news helped spark a measure
of optimism in the market. Despite this rally, the S&P 500 ended the first
quarter of 2009 with a loss of just over 11%.
The rally that started in March 2009 gained momentum over the following two
quarters. The S&P 500 gained more than 15% in each of the next two quarters
(second and third quarters of 2009), as aggressive monetary and fiscal stimulus
measures began to take hold. Improvements in credit spreads, business confidence
and other leading economic indicators helped improve sentiment throughout the
year, leading many to hope the worst had passed. The rally continued into the
fourth quarter of 2009 at a reduced, but still solid, pace. Reported earnings
were better than predicted, and earnings projections began being revised upward
toward the end of 2009.
The S&P 500 Index ended the one-year period as of Dec. 31, 2009, with gain
of 26.46%. The rally in the middle of the year was the strongest surge seen
since the middle of the 1970s, when the country was emerging from a deep
recession. While the recovery in the market has been strong, index levels are
still well below the highs set in 2007.
The Federal Reserve Board("Fed") left the target range of the federal funds
rate unchanged at 0.0-0.25% at the Federal Open Market Committee meeting on Dec.
16, 2009. That is where it has remained since Dec. 16, 2008. During the economic
crisis, the Fed employed quantitative easing tactics to flood the financial
markets with liquidity. In order to avoid stimulating inflation as the economic
recovery gains ground, the Fed will need to implement a careful exit strategy to
reduce liquidity. The Fed has numerous tools available to drain excess liquidity
from the system, but the timing of such efforts will be very important.
After six straight quarters of negative returns, the gains during the final
three quarters of 2009 gave investors some relief after a long, difficult
period. However, there are still many challenges facing U.S. equity markets and
the U.S. economy--including high unemployment, fears of inflation or a double
dip recession, and concerns over the exit strategies central banks will use to
reduce their stimulus programs. While it appears that the economic recovery
could be sustainable, many believe that economic growth will likely be gradual
at best in 2010..
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.
Russell 2000 Index is a registered trademark of Frank Russell Company.
2
PERFORMANCE OVERVIEW
AMERICAN BEACON S&P 500 INDEX FUND+
DECEMBER 31, 2009(UNAUDITED)
For the twelve months ended December 31, 2009, the total return of the
Institutional Class of the American Beacon S&P 500 Index Fund was 26.70%,
slightly better than the S&P 500 Index (the "Index") return of 26.46% and the
Lipper S&P 500 Objective Funds Index return of 26.31%.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 12/31/99 THROUGH 12/31/09
(LINE GRAPH)
ANNUALIZED TOTAL RETURNS VALUE OF
PERIODS ENDED 12/31/09 $10,000
--------------------------- 12/31/99-
1 YEAR 5 YEARS 10 YEARS 12/31/09
------ ------- -------- ---------
Institutional Class(1,4)........ 26.70% 0.36% -1.07% $8,975
Investor Class(1,2,4)........... 26.26% -0.08% -1.49% $8,603
Lipper S&P 500 Objective
Funds Index (3).............. 26.31% 0.23% -1.19% $8,873
S&P 500 Index (3)............... 26.46% 0.42% -0.95% $9,089
(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
Fund prospectus for the Institutional and Investor Class shares was 0.13%
and 0.57%, respectively. The expense ratios above may vary from the expense
ratios presented in other sections of this report that is based on expenses
incurred during the period covered by this report.
The market rally spread across all sectors during 2009. Nine out of ten
sectors in the Index posted double digit positive returns for the year.
Information Technology stocks led the rally gaining 61.6% and Consumer
Discretionary stocks rose 41.6%. It is reasonable to infer that these results
reflect changing views on the economy and improved sentiment on more aggressive
sectors such as Information Technology and Consumer Discretionary. The more
defensive sectors such as Telecommunication Services and Utilities, up 8.9% and
11.9% respectively, did not fully participate in the rally but still managed
solid gains.
Most of the 2009 rally was led by names that had been severely punished
during the market downdraft of 2007-2008. The top six individual stock returns,
XL Capital (up 419.8%), Tenet Healthcare (up 368.7%), Advanced Micro Devices (up
348.2%), Ford Motor (up 336.7%), Genworth Financial (up 301.1%), and Micron
Technology (up 300.0%), all began the year with stock prices below $5 and each
posted returns of 300% or more. While the vast majority of stocks in the Index
posted gains during the year, not every company participated in the rally. A
number of stocks including Motors Liquidation Co. (formerly General Motors
Corporation) (down 80.9%), CIT Group (down 83.4%) and FairPoint Communications
(down 96.7%) lost most of their value during the period.
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.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON S&P 500 INDEX FUND+
DECEMBER 31, 2009(UNAUDITED)
TOP TEN HOLDINGS
% OF
EQUITIES*
---------
Exxon Mobil Corp................................................ 3.3%
Microsoft Corp.................................................. 2.4%
Apple, Inc...................................................... 1.9%
Johnson & Johnson............................................... 1.8%
Procter & Gamble Co............................................. 1.8%
International Business Machines Corp............................ 1.7%
AT&T, Inc....................................................... 1.7%
JPMorgan Chase & Co............................................. 1.7%
General Electric Co............................................. 1.6%
Chevron Corp.................................................... 1.6%
* Percent of the equities of State Street Equity 500 Index Portfolio
EQUITY SECTOR ALLOCATION
% OF
EQUITIES*
---------
Information Technology.......................................... 19.8%
Financials...................................................... 14.4%
Health Care..................................................... 12.6%
Energy.......................................................... 11.5%
Consumer Staples................................................ 11.4%
Industrials..................................................... 10.2%
Consumer Discretionary.......................................... 9.6%
Utilities....................................................... 3.7%
Materials....................................................... 3.6%
Telecommunication Services...................................... 3.2%
* Percent of the equities of State Street Equity 500 Index Portfolio
+ 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.
4
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP INDEX FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
For the twelve months ended December 31, 2009, the total return of the
Institutional Class of the American Beacon Small Cap Index Fund was 27.21%. The
Fund's performance exceeded the Russell 2000(R) Index (the "Index") return of
27.16%, but underperformed the Lipper Small-Cap Core Funds Index return of
34.50%.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 7/31/00 THROUGH 12/31/09
(LINE GRAPH)
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 12/31/09
-----------------------------------------------------
SINCE INCEPTION VALUE OF $10,000
1 YEAR 5 YEARS (7/31/00) 7/31/00-12/31/09
------ ------- --------------- ----------------
Institutional Class(1,3) .. 27.21% 0.47% 3.67% $14,039
Lipper Small-Cap Core
Funds Index(2) ......... 34.50% 1.55% 5.00% $15,836
Russell 2000 Index(2) ..... 27.16% 0.51% 3.77% $14,165
(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 comprised of approximately 2,000
smaller-capitalization stocks from various industrial sectors. One cannot
invest directly in an index.
(3.) The total annual Fund operating expense ratio set forth in the most recent
prospectus for the Fund was 0.20%. The expense ratio above may vary from
the expense ratio presented in other sections of this report that is based
on expenses incurred during the period covered by this report.
Within the Index, nine of the ten sectors posted positive returns for the
period. Materials (up 61.3%), Consumer Discretionary (up 60.9%) and Information
Technology (up 59.8%) emerged as the best performers, while Financials (down 1.4
%) was the only sector to post a negative return.
The highest individual stock returns in the Index were generated by
Diedrich Coffee Inc. (up 9,581%), Dollar Thrifty Automotive Group Inc. (up
2,250%), Vanda Pharmaceuticals Inc. (up 2,150%), Avis Budget Group Inc. (up
1,774%), and Air Transport Services Group Inc. (up 1,367%). By contrast, there
were several stocks within the Index that lost a significant percentage of their
value during the period, including Pacific Capital Bancorp (down 94.2%),
Sterling Financial Corp. (Washington) (down 93.0%), and Repros Therapeutics
(down 92.4%).
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.
5
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP INDEX FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
TOP TEN HOLDINGS
% OF
EQUITIES*
---------
Human Genome Sciences, Inc. .. 0.6%
3Com Corp. ................... 0.3%
Tupperware Brands Corp. ...... 0.3%
E*Trade Financial Corp. ...... 0.3%
Assured Guaranty Ltd. ........ 0.3%
Solera Holdings, Inc. ........ 0.3%
Highwoods Properties, Inc. ... 0.3%
Skyworks Solutions, Inc. ..... 0.3%
Domtar Corp. ................. 0.3%
J. Crew Group, Inc. .......... 0.2%
EQUITY SECTOR ALLOCATION
% OF
EQUITIES*
---------
Financials .................. 20.2%
Information Technology ...... 18.4%
Industrials ................. 15.9%
Health Care ................. 14.3%
Consumer Discretionary ...... 13.7%
Energy ...................... 5.2%
Materials ................... 4.7%
Consumer Staples ............ 3.4%
Utilities ................... 3.2%
Telecommunication Services .. 1.0%
* Percent of equity portion of Master Small Cap Index Series
6
INTERNATIONAL MARKET OVERVIEW
DECEMBER 31, 2009 (UNAUDITED)
After the first quarter of 2009, equity markets rebounded and appreciated
sharply over the remainder of the year. From the mid-March 2009 lows, global
equities rebounded tremendously. We witnessed strong rotation into financials
and more cyclical sectors, as investors anticipated improvements in both the
credit markets and the global economy.
The MSCI EAFE Index, as a proxy for international stocks, returned 31.8%
for the one-year period ended December 31, 2009. In a strong reversal from 2008,
all 10 sectors and 21 countries represented in the MSCI EAFE Index recorded
positive returns for the 12-month period.
Following a very difficult 2008, which saw a global financial and economic
recession that was nearly unprecedented, U.S. stocks continued their sharp
declines in the first quarter of 2009. Fear dominated this period. Investors
were skeptical about the intentions of governments and global policymakers.
Those fears began dissipating, and stocks moved higher as investors witnessed
the effects of global monetary and fiscal stimuli.
International returns were amplified by the strength of foreign currencies
relative to the U.S. dollar. The U.S. dollar underperformed most major global
currencies during 2009, weakening versus the British pound and euro, but
strengthening versus the Japanese yen.
In all, 2009 produced negative real economic growth across the developed
world, as well as noticeable earnings declines. However, in another reversal of
2008's trends, international equity markets generally outperformed U.S. markets
for the 12-month period, with the MSCI EAFE Index gaining 31.8% versus the 26.5%
return of the S&P 500 Index. In 2009, emerging markets also experienced a
significant comeback from the prior year to end up with a return of 78.5% for
2009, as represented by the MSCI Emerging Markets Index.
7
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
For the twelve months ended December 31, 2009, the Institutional Class of
the American Beacon International Equity Index Fund posted a total return of
28.72%, underperforming the MSCI EAFE Index (the "Index") return of 31.78% and
the Lipper International Funds Index return of 35.30%. The investment manager's
application of its fair valuation policy during the period was the primary
driver of the Fund's underperformance.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 7/31/00 THROUGH 12/31/09
(LINE GRAPH)
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 12/31/09
-----------------------------------------------------
SINCE INCEPTION VALUE OF $10,000
1 YEAR 5 YEARS (7/31/00) 7/31/00-12/31/09
------ ------- --------------- ----------------
Institutional Class(1,3) .. 28.72% 3.55% 2.07% $12,125
Lipper International
Funds Index(2) ......... 35.30% 4.88% 2.89% $13,074
MSCI EAFE Index(2) ........ 31.78% 3.54% 2.18% $12,248
(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. Performance is that of the MSCI EAFE Index through 9/30/01, the
MSCI Provisional EAFE Index from 10/1/01 through 5/31/02, and the MSCI EAFE
Index thereafter. One cannot invest directly in an index.
(3.) The total annual Fund operating expense ratio in the most recent prospectus
for the Fund was 0.19%. The expense ratio above may vary from the expense
ratio presented in other sections of this report that is based on expenses
incurred during the period covered by this report.
In a strong reversal from 2008, all 10 sectors and 21 countries represented
in the MSCI EAFE Index recorded positive returns for the 12-month period. From a
sector perspective, gains were most prominent in the Materials, Financials and
Consumer Discretionary sectors, which returned 69.3%, 38.1% and 37.5%
respectively for the year. At the lower end of the positive return spectrum were
the Utilities and Telecommunication Services sectors, which posted significantly
smaller gains of 4.2% and 15.7%, respectively.
At the country level, Norway (up 87.1%), Australia (up 76.4%), Singapore
(up 74.0%), Sweden (up 64.2%), and Hong Kong (up 60.2%) were the top country
performers, while Japan (up 6.3%), Finland (up 11.1%), and Ireland (up 12.3%)
were the least positive countries over the period.
On an individual-stock basis, firms Immoeast AG (up 763.9%), Kazakhmys PLC
(up 545.7%), Vedanta Resources PLC (up 387.7%) and Infineon Technologies AG (up
367.9%) were the strongest performers. By contrast, Japan Airlines Corp. (down
69.2%), Volkswagen AG (down 68.0%), and Acom Co. Ltd. (down 63.1%) 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.
8
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
TOP TEN HOLDINGS
% OF
NET ASSETS*
-----------
HSBC Holdings plc. .... 1.9%
BP plc. ............... 1.8%
Nestle S.A. ........... 1.7%
Total S.A. ............ 1.3%
Banco Santander S.A. .. 1.3%
BHP Billiton Ltd. ..... 1.3%
Toyota Motor Corp. .... 1.2%
Vodafone Group plc. ... 1.2%
Roche Holding Ltd. .... 1.2%
Telefonica S.A. ....... 1.2%
EQUITY SECTOR ALLOCATION
% OF
EQUITIES*
---------
Financials .............. 25.5%
Industrials ............. 11.1%
Materials ............... 10.4%
Consumer Staples ........ 10.1%
Consumer Discretionary .. 9.7%
Health Care ............. 8.4%
Energy .................. 8.4%
Utilities ............... 5.9%
Telecommunications ...... 5.8%
Information Technology .. 4.7%
* Percent of equity portion of Master International Index Series
COUNTRY ALLOCATION
(PIE CHART)
COUNTRY ALLOCATION
% OF
EQUITIES* EAFE
--------- ----
United Kingdom .. 21.5% 21.6%
Japan ........... 20.7% 20.7%
France .......... 11.0% 11.1%
Australia ....... 8.5% 8.4%
Germany ......... 8.1% 8.1%
Switzerland ..... 7.8% 7.7%
Spain ........... 4.6% 4.6%
Italy ........... 3.5% 3.5%
Netherlands ..... 2.7% 2.7%
Sweden .......... 2.5% 2.5%
Hong Kong ....... 2.3% 2.3%
Singapore ....... 1.5% 1.5%
Finland ......... 1.1% 1.1%
Belgium ......... 1.0% 1.0%
Denmark ......... 0.9% 0.9%
Norway .......... 0.8% 0.8%
Greece .......... 0.5% 0.5%
Austria ......... 0.3% 0.3%
Portugal ........ 0.3% 0.3%
Ireland ......... 0.3% 0.3%
New Zealand ..... 0.1% 0.1%
* Percent of equity portion of Master International Index Series
9
FUND EXPENSES
DECEMBER 31, 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 July 1, 2009 through
December 31, 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 CAP INTERNATIONAL
INSTITUTIONAL CLASS INDEX INDEX EQUITY INDEX
- ------------------- --------- --------- -------------
Beginning Account Value 7/1/09 ................... $1,000.00 $1,000.00 $1,000.00
Ending Account Value 12/31/09 .................... $1,227.63 $1,239.57 $1,215.48
Expenses Paid During Period* 7/1/09 - 12/31/09 ... $ 0.90 $ 1.35 $ 1.34
Annualized Expense Ratio ......................... 0.16% 0.24% 0.24%
S&P 500
INVESTOR CLASS INDEX
- -------------- ---------
Beginning Account Value 7/1/09 ................... $1,000.00
Ending Account Value 12/31/09 .................... $1,226.54
Expenses Paid During Period* 7/1/09 - 12/31/09 ... $ 3.42
Annualized Expense Ratio ......................... 0.61%
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The following table provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
5% per year rate of return before expenses (not the Fund's actual return). You
may compare the ongoing costs of investing in a particular Fund with other funds
by contrasting this 5% hypothetical example and the 5% hypothetical examples
that appear in the shareholder reports of the other funds. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. Shareholders of the
Institutional and Investor Classes that invest in a Fund through an IRA may be
subject to a custodial IRA fee of $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 CAP INTERNATIONAL
INSTITUTIONAL CLASS INDEX INDEX EQUITY INDEX
- ------------------- --------- --------- -------------
Beginning Account Value 7/1/09 ................... $1,000.00 $1,000.00 $1,000.00
Ending Account Value 12/31/09 .................... $1,024.40 $1,024.00 $1,024.00
Expenses Paid During Period* 7/1/09 - 12/31/09 ... $ 0.82 $ 1.22 $ 1.32
Annualized Expense Ratio ......................... 0.16% 0.24% 0.24%
S&P 500
INVESTOR CLASS INDEX
- -------------- ---------
Beginning Account Value 7/1/09 ................... $1,000.00
Ending Account Value 12/31/09 .................... $1,022.13
Expenses Paid During Period* 7/1/09 - 12/31/09 ... $ 3.11
Annualized Expense Ratio ......................... 0.61%
- ----------
* Expenses are equal to each Fund's annualized expense ratio for the
six-month period multiplied by the average account value over the period,
multiplied by the number derived by dividing the number of days in the most
recent fiscal half-year (184) by days in the year (365) to reflect the
half-year period.
10
AMERICAN BEACON FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Trustees of
American Beacon Funds:
We have audited the accompanying statements of assets and liabilities of
American Beacon Funds (comprised of American Beacon S&P 500 Index Fund, American
Beacon Small Cap Index Fund, and American Beacon International Equity Index
Fund) (collectively, the "Funds") as of December 31, 2009, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Funds' internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of each Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2009, by correspondence with the Master
Portfolios. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
American Beacon Funds at December 31, 2009, the results of their operations for
the year then ended, the changes in their net assets for each of the two years
in the period then ended, and the financial highlights for each of the five
years in the period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/Ernst & Young LLP
Dallas, Texas
February 26, 2010
11
AMERICAN BEACON FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2009 (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
S&P 500 INDEX SMALL CAP INDEX EQUITY INDEX
FUND FUND FUND
------------- --------------- -------------
ASSETS:
Investment in Portfolio, at value ........................... $ 338,584 $ 39,822 $ 279,803
Receivable for fund shares sold ............................. 739 170 447
Prepaid expenses ............................................ 7 -- 1
----------- ---------- -----------
TOTAL ASSETS ............................................. 339,330 39,992 280,251
----------- ---------- -----------
LIABILITIES:
Payable for fund shares redeemed ............................ 17 -- 24
Administrative service and service fees payable (Note 2) .... 22 2 12
Printing fees payable ....................................... 24 9 27
Professional fees payable ................................... 17 19 19
Sub-administration fees payable ............................. -- 1 52
Transfer agent fees payable ................................. 5 -- 2
Trustee fees payable ........................................ 5 1 1
Other liabilities ........................................... 4 2 4
----------- ---------- -----------
TOTAL LIABILITIES ........................................ 94 34 141
----------- ---------- -----------
NET ASSETS .................................................. $ 339,236 $ 39,958 $ 280,110
=========== ========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital ............................................. 371,120 55,033 344,761
Undistributed net investment income (expense) ............... 888 -- (84)
Accumulated net realized gain (loss) ........................ (86,723) (11,067) (32,465)
Unrealized net appreciation (depreciation) of investments and
futures contracts ........................................ 53,951 (4,008) (32,102)
----------- ---------- -----------
NET ASSETS ..................................................... $ 339,236 $ 39,958 $ 280,110
=========== ========== ===========
Shares outstanding (no par value):
Institutional Class ......................................... 20,923,090 3,973,872 29,868,748
=========== ========== ===========
Investor Class .............................................. 1,484,099 -- --
=========== ========== ===========
Net asset value, offering and redemption price per share:
Institutional Class ......................................... $ 15.15 $ 10.06 $ 9.38
=========== ========== ===========
Investor Class .............................................. $ 15.00 $ -- $ --
=========== ========== ===========
See accompanying notes
See accompanying Financial Statements of the respective
Master Portfolios attached
12
AMERICAN BEACON FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 2009 (IN THOUSANDS)
INTERNATIONAL
S&P 500 INDEX SMALL CAP INDEX EQUITY INDEX
FUND FUND FUND
------------- --------------- -------------
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Dividend income ......................................... $ 6,314 $ 421 $ 6,689
Interest income ......................................... 16 6 7
Securities lending income ............................... -- 46 --
Portfolio expenses ...................................... (123) (25) (210)
Other income ............................................ 629 -- 9
-------- ------- -------
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO ....... 6,836 448 6,495
-------- ------- -------
FUND EXPENSES:
Administrative service fees (Note 2):
Institutional Class .................................. 127 17 116
Investor Class ....................................... 49 -- --
Sub-administrative service fees (Note 2):
Institutional Class .................................. -- 2 68
Transfer agent fees:
Institutional Class .................................. 24 1 20
Custody and accounting fees ............................. 9 7 11
Professional fees ....................................... 17 19 18
Registration fees ....................................... 29 -- 1
Service fees - Investor Class (Note 2) .................. 49 -- --
Printing ................................................ 25 -- 46
Trustee fees ............................................ 32 2 22
Insurance ............................................... 8 1 7
Other expenses .......................................... 17 3 15
-------- ------- -------
TOTAL FUND EXPENSES .................................. 386 52 324
-------- ------- -------
NET INVESTMENT INCOME ...................................... 6,450 396 6,171
-------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM MASTER
PORTFOLIO
Net realized gain (loss) from:
Investments .......................................... (16,373) (2,024) 5,063
Foreign currency transactions ........................ -- -- 701
Futures contracts .................................... 1,921 253 827
Change in net unrealized appreciation or depreciation of:
Investments .......................................... 78,920 10,109 48,492
Foreign currency transactions ........................ -- -- 859
Futures contracts .................................... (49) (370) (3,846)
-------- ------- -------
NET GAIN ON INVESTMENTS .............................. 64,419 7,968 52,096
-------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ 70,869 $ 8,364 $58,267
======== ======= =======
See accompanying notes
See accompanying Financial Statements of the respective
Master Portfolios attached
13
AMERICAN BEACON FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
INTERNATIONAL EQUITY
S&P 500 INDEX FUND SMALL CAP INDEX FUND INDEX FUND
Year Ended December 31, Year Ended December 31, Year Ended December 31,
----------------------- ----------------------- -----------------------
2009 2008 2009 2008 2009 2008
--------- --------- -------- -------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income .............. $ 6,450 $ 6,284 $ 396 $ 619 $ 6,171 $ 9,005
Net realized gain (loss) on
investments, foreign
currency, and futures
contracts ....................... (14,452) (3,348) (1,771) (2,963) 6,591 (14,050)
Change in net unrealized
appreciation or depreciation
of investments and futures
contracts ....................... 78,871 (127,828) 9,739 (14,190) 45,505 (125,746)
--------- --------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS .............. 70,869 (124,892) 8,364 (16,534) 58,267 (130,791)
--------- --------- -------- -------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class .......... (5,395) (5,882) (451) (601) (6,410) (7,110)
Investor Class ............... (325) (267) -- -- -- --
Net realized gain on
investments:
Institutional Class .......... -- -- -- (2,145) -- --
Investor Class ............... -- -- -- -- -- --
Tax return of capital:
Institutional Class .......... -- -- -- (456) -- --
--------- --------- -------- -------- --------- ---------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS .............. (5,720) (6,149) (451) (3,202) (6,410) (7,110)
--------- --------- -------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares ...... 71,955 104,131 10,774 11,693 180,859 227,499
Reinvestment of dividends and
distributions ................... 5,714 6,122 451 3,202 6,409 7,110
Cost of shares redeemed ............ (41,080) (31,890) (10,732) (15,932) (144,875) (178,141)
--------- --------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS ........ 36,589 78,363 493 (1,037) 42,393 56,468
--------- --------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS ............................. 101,738 (52,678) 8,406 (20,773) 94,250 (81,433)
--------- --------- -------- -------- --------- ---------
NET ASSETS:
Beginning of period ................ 237,498 290,176 31,552 52,325 185,860 267,293
--------- --------- -------- -------- --------- ---------
END OF PERIOD * .................... $ 339,236 $ 237,498 $ 39,958 $ 31,552 $ 280,110 $ 185,860
========= ========= ======== ======== ========= =========
* Includes undistributed net investment
income (loss) of ................... $ 888 $ 200 $ -- $ -- $ (84) $ 199
========= ========= ======== ======== ========= =========
See accompanying notes
See accompanying Financial Statements of the respective
Master Portfolios attached
14
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
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, as
amended, (the "Act") as a no load, diversified, open-end management investment
company. These financial statements and notes to the financial statements relate
to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index
Fund and the American Beacon International Equity Index Fund (each a "Fund" and
collectively, the "Funds"), each a series of the Trust.
American Beacon Advisors, Inc. (the "Manager") is a wholly-owned subsidiary
of Lighthouse Holdings, Inc. and was organized in 1986 to provide business
management, advisory, administrative and asset management consulting services to
the Trust and other investors.
Each Fund invests all of its investable assets in a corresponding
portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index
Series and the Master International Index Series (each a "Portfolio" and
collectively the "Portfolios") are open-ended management investment companies
registered under the Act. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding Portfolio.
% OF PORTFOLIO
HELD BY FUND AT
AMERICAN BEACON: PORTFOLIOS: DECEMBER 31, 2009
- ---------------- ----------- -----------------
S&P 500 Index Fund State Street Equity 500 Index Portfolio 17.9%
Small Cap Index Fund Master Small Cap Index Series 17.4%
International Equity Index Fund Master International Index Series 37.4%
The financial statements of the Portfolios are included elsewhere in this
report and should be read in conjunction with the Funds' financial statements.
The following is a summary of the significant accounting policies followed
by the Funds.
Class Disclosure
The S&P 500 Index Fund has two classes of shares designed to meet the needs
of different groups of investors. The following table sets forth the differences
amongst the classes:
CLASS: OFFERED TO:
- ------ -----------
INSTITUTIONAL CLASS Investors making an initial investment of $250,000
INVESTOR CLASS General public and investors investing through an intermediary
Administrative service fees and service fees vary amongst the classes as
described more fully in footnote 2.
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 and Valuation Inputs
Valuation of securities by each Portfolio as well as the inputs used to
value the Portfolios' net assets is discussed in the Portfolios' Notes to
Financial Statements, which are included elsewhere in this report.
15
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
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 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.
16
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the
Manager to oversee additional shareholder servicing of the Investor Class of S&P
500 Index Fund. As compensation for performing the duties required under the
Service Plan, the Manager receives up to 0.375% of the average daily net assets
of the Investor Class of the S&P 500 Index Fund.
Sub-administration Agreement
The Trust, the Manager and BlackRock Advisors, LLC ("BlackRock") entered
into a Sub-administration Agreement that obligates BlackRock to provide certain
other administrative services to the Small Cap Index Fund and the International
Equity Index Fund. As compensation for performing these services, BlackRock
receives an annualized fee of 0.08% of the average daily net assets of the Small
Cap Index Fund and 0.12% of the average daily net assets of the International
Equity Index Fund; however, the fee of each is reduced by the total expense
ratio of its corresponding Portfolio, net of any fee waivers.
3. FEDERAL INCOME AND EXCISE TAXES
It is the policy 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 do not have any unrecognized tax benefits in the accompanying
financial statements. Each of the tax years in the four year period ended
December 31, 2009 remains subject to examination by the Internal Revenue
Service. If applicable, the Funds recognize interest accrued related to
unrecognized tax benefits in interest expense and penalties in "Other expenses"
on the Statements of Operations.
Dividends are categorized in accordance with income tax regulations which
may treat certain transactions differently than U.S. 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 International Equity Index Fund may be subject to taxes imposed by
countries in which it invests. Such taxes are generally based on returns of
income earned or gains realized or repatriated. Taxes are accrued and applied to
net investment income, net realized capital gains and net unrealized
appreciation, as applicable, as the income is earned or capital gains are
recorded.
The tax character of distributions paid during the years ended December 31,
2009 and December 31, 2008 were as follows (in thousands):
S&P 500 INDEX SMALL CAP INDEX INTERNATIONAL EQUITY INDEX
--------------------------- ----------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER DECEMBER 31, DECEMBER 31,
2009 2008 2009 31, 2008 2009 2008
------------ ------------ ------------ -------- ------------ ------------
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME:*
Institutional Class ........ $5,395 $5,882 $397 $ 646 $6,410 $7,110
Investor Class ............. 325 267 -- -- -- --
LONG-TERM CAPITAL GAIN:
Institutional Class ........ -- -- -- 2,100 -- --
Investor Class ............. -- -- -- -- -- --
RETURN OF CAPITAL
Institutional Class ........ -- -- 54 456 -- --
------ ------ ---- ------ ------ ------
TOTAL TAXABLE DISTRIBUTIONS ... $5,720 $6,149 $451 $3,202 $6,410 $7,110
====== ====== ==== ====== ====== ======
* For tax purposes, short-term capital gains are considered ordinary income
distributions.
17
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
As of December 31, 2009, the components of distributable earnings on a tax
basis we as follows (in thousands):
S&P 500 SMALL CAP INT'L EQUITY
INDEX FUND INDEX FUND INDEX FUND
---------- ---------- ------------
Cost basis of investments for federal income tax purposes....... $315,021 $ 44,860 $ 318,721
Unrealized appreciation...................................... 68,349 2,636 115,686
Unrealized depreciation...................................... (44,786) (7,674) (154,604)
-------- -------- ---------
Net unrealized depreciation.................................. 23,563 (5,038) (38,918)
Undistributed ordinary income................................ 799 -- 59
Capital and other accumulated losses......................... (56,161) (10,010) (25,791)
Other temporary differences.................................. (85) (27) --
-------- -------- ---------
Distributable earnings.......................................... $(31,884) $(15,075) $ (64,651)
======== ======== =========
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 wash sales, the realization for tax purposes of
unrealized gains/ (losses) on certain derivative instruments, reclassifications
of income from real estate investment securities, and the realization for tax
purposes on unrealized gains/ (losses) on investments in passive foreign
investment companies.
Due to the inherent differences in the recognition of income, expenses and
realized gains/(losses) under the U.S. 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.
Accordingly, the following amounts represent current year permanent
differences derived from reclassifications of income from real estate investment
securities, futures, foreign currency, sales of investments in passive foreign
investment companies, dividend reclassifications and partnership transactions
that have been reclassified as of December 31, 2009 (in thousands):
S&P 500 SMALL CAP INT'L EQUITY
INDEX FUND INDEX FUND INDEX FUND
---------- ---------- ------------
Paid-in-capital................................................. $ 14,415 $ 7,236 $21,436
Undistributed net investment income............................. (42) 55 (44)
Accumulated net realized gain/(loss)............................ (14,373) (7,291) (21,391)
Unrealized appreciation (depreciation) of investments,
futures contracts, and foreign currency...................... -- -- (1)
At December 31, 2009 capital loss carry forward positions for federal
income tax purposes were as follows (in thousands):
FUND 2010 2011 2012 2013 2014 2015 2016 2017 TOTAL
- ---- ------ ---- ------ ------ ---- ---- ------- ------- -------
S&P 500 Index Fund ................. $7,852 $635 $1,060 $2,311 $286 $-- $11,180 $28,055 $51,379
Small Cap Index Fund ............... -- -- -- -- -- -- -- $ 9,383 $ 9,383
International Equity Index Fund .... -- -- -- -- -- -- $ 9,746 $13,890 $23,636
Net capital and foreign currency losses incurred after October 31, 2009 and
within the taxable year are deemed to arise on the first business day of the
Fund's next taxable year. For the period ended December 31, 2009 (in thousands),
the S&P 500 Index Fund deferred $4,782 of capital losses, the Small Cap Index
Fund deferred $627 of capital losses and the International Equity Index Fund
deferred $382 of foreign currency losses and $2,154 of capital losses to January
1, 2010.
18
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
4. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (shares and dollars in thousands):
Year ended December 31, 2009
INSTITUTIONAL
CLASS INVESTOR CLASS
----------------- -----------------
S&P 500 INDEX FUND SHARES AMOUNT SHARES AMOUNT
- ------------------ ------ -------- ------ --------
Shares sold ............................ 4,250 $ 54,132 1,580 $ 17,823
Reinvestment of dividends .............. 416 5,395 26 319
Shares redeemed ........................ (2,132) (26,685) (1,193) (14,395)
------ -------- ------ --------
Net increase in shares outstanding ..... 2,534 $ 32,842 413 $ 3,747
====== ======== ====== ========
INSTITUTIONAL
CLASS
-----------------
SMALL CAP INDEX FUND SHARES AMOUNT
- -------------------- ------ --------
Shares sold ............................ 1,305 $ 10,774
Reinvestment of dividends .............. 45 451
Shares redeemed ........................ (1,321) (10,732)
------ --------
Net increase in shares outstanding ..... 29 $ 493
====== ========
INSTITUTIONAL
CLASS
-------------------
INTERNATIONAL EQUITY INDEX FUND SHARES AMOUNT
- ------------------------------- ------- ---------
Shares sold ............................ 20,666 $ 180,859
Reinvestment of dividends .............. 691 6,409
Shares redeemed ........................ (16,414) (144,875)
------- ---------
Net increase in shares outstanding ..... 4,943 $ 42,393
======= =========
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
======= =========
19
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
5. SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in
the Funds' financial statements through February 26, 2010. Management has
determined that there are no material events that would require disclosure in
the Funds' financial statements through this date.
20
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
THIS PAGE INTENTIONALLY LEFT BLANK.
21
AMERICAN BEACON S&P 500 INDEX FUND(SM)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
Year Ended December 31,
---------------------------------------------------------
2009 2008 2007 2006 2005
-------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.21 $ 19.85 $ 19.19 $ 16.90 $ 16.43
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income:(A) 0.30 0.35 0.39 0 .34(B,E) 0.29
Net gain (loss) on investments, foreign
currency and futures transactions (both
realized and unrealized) 2.91 (7.64) 0.65 2.29(E) 0.47
-------- -------- -------- -------- --------
Total income (loss) from investment operations 3.21 (7.29) 1.04 2.63 0.76
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.27) (0.35) (0.38) (0.34) (0.29)
Tax return of capital -- -- -- -- 0.00(D)
-------- -------- -------- -------- --------
Total distributions (0.27) (0.35) (0.38) (0.34) (0.29)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 15.15 $ 12.21 $ 19.85 $ 19.19 $ 16.90
======== ======== ======== ======== ========
TOTAL RETURN 26.70% (37.08)% 5.39% 15.69% 4.74%
======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $316,975 $224,583 $271,746 $223,008 $225,857
Ratios to average net assets (annualized):(A)
Net investment income 2.39% 2.23% 1.89% 1.85% 1.75%
Expenses, including expenses allocated
from master portfolio 0.15% 0.13% 0.13% 0.14% 0.13%
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the State Street Equity 500 Index Portfolio.
(B) Based on average shares outstanding.
(C) For the years ended December 31, 2006 and 2007, the net investment income
and net gains on securities (both realized and unrealized) have been
restated from $0.27 and $2.23 and $0.28 and $0.65, respectively.
(D) The tax return of capital is calculated based upon outstanding shares at
the time of distribution. Amounts are less than $0.01 per share.
(E) For the year ended December 31, 2006, the net investment income and net
gains on securities (both realized and unrealized) have been restated from
$0.33 and $2.30, respectively.
22
AMERICAN BEACON S&P 500 INDEX FUND(SM)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Investor Class
Year Ended December 31,
- ------------------------------------------------------
2009 2008 2007 2006 2005
- ------- ------- ------- ------- -------
$ 12.06 $ 19.60 $ 18.97 $ 16.69 $ 16.23
- ------- ------- ------- ------- -------
0 .33 0 .33 0.31(C) 0.23(B,C) 0.21
2.80 (7.60) 0.62(C) 2.27(C) 0.48
- ------- ------- ------- ------- -------
3.13 (7.27) 0.93 2.50 0.69
- ------- ------- ------- ------- -------
(0.19) (0.27) (0.30) (0.22) (0.23)
-- -- -- -- 0.00(D)
- ------- ------- ------- ------- -------
(0.19) (0.27) (0.30) (0.22) (0.23)
- ------- ------- ------- ------- -------
$ 15.00 $ 12.06 $ 19.60 $ 18.97 $(16.69)
======= ======= ======= ======= =======
26.26% (37.35)% 4.88% 15.09% 4.32%
======= ======= ======= ======= =======
$22,261 $12,915 $18,430 $16,056 $48,985
2.01% 1.73% 1.38% 1.37% 1.28%
0.60% 0.62% 0.63% 0.61% 0.61%
23
AMERICAN BEACON SMALL CAP INDEX FUND(SM)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
Year Ended December 31,
------------------------------------------------------
2009 2008 2007 2006 2005
------- ------- ------- -------- -------
NET ASSET VALUE, BEGINNING OF PERIOD ............. $ 8.00 $ 13.51 $ 14.89 $ 12.78 $ 12.57
------- ------- ------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(A) ...................... 0.10 0.18 0.32 0.17 0.16
Net gain (loss) on investments, foreign
currency and futures transactions (both
realized and unrealized) ................... 2.08 (4.78) (0.53) 2.11 0.42
------- ------- ------- -------- -------
Total income (loss) from investment operations ... 2.18 (4.60) (0.21) 2.28 0.58
------- ------- ------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income .......... (0.11) (0.17) (0.31) (0.17) (0.17)
Distributions from net realized gains on
investments ................................ -- (0.61) (0.80) -- (0.15)
Tax return of capital ......................... (0.01)(B) (0.13)(B) (0.06)(B) -- (0.05)(B)
------- ------- ------- -------- -------
Total distributions .............................. (0.12) (0.91) (1.17) (0.17) (0.37)
------- ------- ------- -------- -------
NET ASSET VALUE, END OF PERIOD ................... $ 10.06 $ 8.00 $ 13.51 $ 14.89 $ 12.78
======= ======= ======= ======== =======
TOTAL RETURN ..................................... 27.21% (33.58)% (1.63%) 17.85% 4.51%
======= ======= ======= ======== =======
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ...... $39,958 $31,552 $52,325 $151,878 $46,113
Ratios to average net assets (annualized):(A)
Net investment income ...................... 1.18% 1.54% 1.49% 1.49% 1.12%
Expenses, including expenses allocated
from master portfolio ................... 0.23% 0.20% 0.20% 0.18% 0.18%
- ----------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the Master Small Cap Index Series.
(B) The tax return of capital is calculated based upon outstanding shares at
the time of distribution.
24
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND(SM)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
Year Ended December 31,
-----------------------------------------------------
2009 2008 2007 2006 2005
-------- -------- -------- -------- -------
NET ASSET VALUE, BEGINNING OF PERIOD .............. $ 7.46 $ 13.37 $ 12.76 $ 10.33 $ 9.39
-------- -------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(A) ....................... 0.21 0.39 0.51(C) 0.23 0.22(C)
Net gain (loss) on investments, foreign
currency and futures transactions (both
realized and unrealized) .................... 1.93 (6.00) 0.86(C) 2.50 1.05C
-------- -------- -------- -------- -------
Total income (loss) from investment operations .... 2.14 (5.61) 1.37 2.73 1.27
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ........... (0.22) (0.30) (0.53) (0.23) (0.24)
Distributions from net realized gains on
investments ................................. -- -- (0.22) (0.07) --
Tax return of capital .......................... -- -- (0.01)(B) -- (0.09)(B)
-------- -------- -------- -------- -------
Total distributions ............................... (0.22) (0.30) (0.76) (0.30) (0.33)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD .................... $ 9.38 $ 7.46 $ 13.37 $ 12.76 $ 10.33
======== ======== ======== ======== =======
TOTAL RETURN ...................................... 28.72% (41.85)% 10.68% 26.52% 13.58%
======== ======== ======== ======== =======
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ....... $280,110 $185,860 $267,293 $162,113 $90,200
Ratios to average net assets (annualized):(A)
Net investment income ....................... 2.66% 3.58% 2.96% 2.44% 2.49%
Expenses, including expenses allocated
from master portfolio .................... 0.23% 0.19% 0.19% 0.22% 0.23%
- ----------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the Master International Index Series.
(B) The tax return of capital is calculated based upon outstanding shares at
the time of distribution.
(C) For the year ended December 31, 2005 and 2007, the net investment income
and net gains on securities (both realized and unrealized) have been
restated from $0.21 and $1.06 and $0.52 and $0.85, respectively.
25
AMERICAN BEACON FUNDS
TAX INFORMATION
FOR THE TAX YEAR ENDED DECEMBER 31, 2009 (UNAUDITED)
We are providing this information as required by the Internal Revenue Code.
The amounts shown may differ from those in other areas of this report because of
differences between tax and financial reporting requirements.
For corporate shareholders in the Funds, the percentage of ordinary
dividend income distributed for the year ended December 31, 2009, which is
designated as qualifying for the dividends-received deduction, is as follows:
S&P 500 Index Fund 99.7%
Small Cap Index Fund 76.3%
International Equity Index Fund 0.0%
For shareholders in the Funds, the percentage of dividend income
distributed for the year ended December 31, 2009, which designated as qualified
dividend income under the Jobs and Growth Tax Relief Act of 2003, is as follows:
S&P 500 Index Fund 100.0%
Small Cap Index Fund 85.0%
International Equity Index Fund 100.0%
26
AMERICAN BEACON FUNDS
PRIVACY POLICY
(UNAUDITED)
PRIVACY POLICY
The American Beacon Funds recognizes and respects the privacy of our
shareholders. We are providing this notice to you so you will understand how
shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of
the following sources:
- information we receive from you on applications or other forms;
- information about your transactions with us or our service
providers; and
- information we receive from third parties.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those
employees or service providers who need to know that information to provide
products or services to you. To ensure the confidentiality of your nonpublic
personal information, we maintain safeguards that comply with federal standards.
27
TRUSTEES AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
The Trustees and officers of the American Beacon Funds (the "Trust") are
listed below, together with their principal occupations during the past five
years. Unless otherwise indicated, the address of each person listed below is
4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee
oversees nineteen funds in the fund complex that includes the Trust, the
American Beacon Master Trust, the American Beacon Mileage Funds, and the
American Beacon Select Funds. The Trust's Statement of Additional Information
contains additional information about the Trustees and is available without
charge by calling 1-800-658-5811.
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
- ------------------------- ----------------- ---------------------------------------------------------------------------
INTERESTED TRUSTEES
Term
Lifetime of Trust
until removal,
resignation or
retirement*
Alan D. Feld** (73) Trustee since 1996 Sole Shareholder of a professional corporation which is a Partner in the
law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present);
Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint
Properties (1994-2006); Member, Board of Trustees, Southern Methodist
University; Member, Board of Visitors, M.D. Anderson Hospital; Board of
Visitors, Zale/Lipshy Hospital; Trustee American Beacon Mileage Funds
(1996-Present); Trustee, American Beacon Select Funds (1999-Present)
NON-INTERESTED TRUSTEES Term
W. Humphrey Bogart (65) Trustee since 2004 Board Member, Baylor University Medical Center Foundation (1992-2004);
Consultant, New River Canada Ltd. (mutual fund servicing company)
(1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997);
President and CEO, Fidelity Investments Southwest Company (1983-1995);
Senior Vice President of Regional Centers, Fidelity Investments
(1988-1995); Trustee American Beacon Mileage Funds (2004-Present); Trustee,
American Beacon Select Funds (2004-Present)
Brenda A. Cline (49) Trustee since 2004 Executive Vice President, Chief Financial Officer, Treasurer and Secretary,
Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University
(1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children's
Health Foundation) (2001-2006); Director, Christian Church Foundation
(1999-2007); Trustee, American Beacon Mileage Fund (2004-Present); Trustee,
American Beacon Select Fund (2004-Present)
Eugene J. Duffy (55) Trustee since 2008 Principal and Executive Vice President, Paradigm Asset Management
(1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman,
Special Contributions Fund Board of Trustees, National Association for the
Advancement of Colored People (2007-Present); Trustee, National Association
for the Advancement of Colored People (2000-Present); Board of Visitors,
Emory University (2006-Present); Trustee, Atlanta Botanical Garden
(2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and
Public Service (2001-Present); Chair, National Association of Securities
Professionals (2000-2002); Deputy Chief Administrative Officer, City of
Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present);
Trustee, American Beacon Select Funds (2008-Present)
Thomas M. Dunning (67) Trustee since 2008 Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive
Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee
benefits); Director, Oncor Electric Delivery Company LLC (2007-Present);
Board Member, Baylor Health Care System Foundation (2007-Present); Vice
Chair, State Fair of Texas (1987-Present); Board Member, Southwestern
Medical Foundation (1994-Present); Board Member, John Tower Center for
Political Studies/SMU (2008-Present); Board Member, University of Texas
Development Board (2008-Present); Trustee, American Beacon Mileage Funds
(2008-Present); Trustee, American Beacon Select Funds (2008-Present)
28
TRUSTEES AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
- ------------------------- ----------------- ---------------------------------------------------------------------------
NON-INTERESTED
TRUSTEES (CONT.)
Richard A. Massman (66) Trustee since 2004 Consultant and General Counsel Emeritus (2009-Present) and Senior Vice
Chairman since President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding
2008 company engaged in oil and gas exploration and production, refining, real
estate, farming, ranching and venture capital activities); Chairman
(2007-Present) and Director (2005-Present), The Dallas Opera Foundation;
Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El
Foundation; Trustee, Presbyterian Healthcare Foundation (2006-Present);
Trustee, American Beacon Mileage Funds, (2004-Present); Trustee, American
Beacon Select Funds (2004-Present)
R. Gerald Turner (64) Trustee since 2001 President, Southern Methodist University (1995-Present); Director,
225 Perkins Admin. Bldg. ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present);
Southern Methodist Univ. Director, California Federal Preferred Capital Corp. (2001-2003); Director,
Dallas, Texas 75275 Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director,
First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation
Army of Dallas Board of Directors; Member, Methodist Hospital Advisory
Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee
American Beacon Mileage Funds (2001-Present); Trustee American Beacon
Select Funds (2001-Present)
Paul J. Zucconi,CPA (68) Trustee since 2008 Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard
automobile insurance) (2004-Present); Director, Titanium Metals Corporation
(producer of titanium melted and mill products and sponge) (2002- Present);
Director, Torchmark Corporation (life and health insurance products)
(2002-Present); Director, National Kidney Foundation serving North Texas
(2003-Present); Director, Dallas Chapter of National Association of
Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee,
American Beacon Mileage Funds (2008-Present); Trustee, American Beacon
Select Funds (2008-Present)
OFFICERS
Term
One Year
William F. Quinn (62) Executive Vice Executive Chairman (2009-Present), Chairman (2006-2009), CEO (2006-2007),
President from President (1986-2006) and Director (2003-Present), American Beacon
2007 to 2008 and Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989,
2009-Present 2003-Present), American Airlines Federal Credit Union; Director Hicks
President from Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities,
1987 to 2007 Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment
Trustee from advisor) (2001-2006); Director of Investment Committee, Southern Methodist
1987 to 2008 University Endowment Fund (1996-Present); Member, Southern Methodist
University Cox School of Business Advisory Board (1999-2002); Member, New
York Stock Exchange Pension Managers Advisory Committee (1997-1998,
2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman
(2007-Present), Committee for the Investment of Employee Benefits;
Director, United Way of Metropolitan Tarrant County (1988-2000,
2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-2009),
American Beacon Mileage Funds; Trustee (1999-2008) and President(1999-2007,
2008-2009), American Beacon Select Funds; Director, American Beacon Global
Funds SPC (2002-Present); Director, American Beacon Global Funds, plc
(2007-2009)
Gene L. Needles, Jr. (55) President since President, CEO and Director (2009-Present), American Beacon Advisors, Inc.;
2009 Executive President (2008-2009), Touchstone Investments; President (2003-2007), CEO
Vice President (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager
2009 (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors
Rosemary K. Behan (51) VP, Secretary and Vice President, Legal and Compliance, American Beacon Advisors, Inc.
Chief Legal (2006-Present); Assistant General Counsel, First Command Financial
Officer since 2006 Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and
Exchange Commission (1995-2004)
29
TRUSTEES AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
- ------------------------- ----------------- ---------------------------------------------------------------------------
Brian E. Brett (49) VP since 2004 Vice President, Director of Sales and Marketing, American Beacon Advisors,
Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC
(investment advisor) (1996-2004).
Wyatt L. Crumpler (43) VP since 2007 Vice President, Asset Management, American Beacon Advisors, Inc.
(2007-Present); Managing Director of Corporate Accounting (2004-2007),
Director of IT Strategy and Finance (2001-2004), American Airlines, Inc.
Michael W. Fields (56) VP since 1989 Vice President, Fixed Income Investments, American Beacon Advisors, Inc.
(1988-Present); Director, American Beacon Global Funds SPC (2002-Present);
Director, American Beacon Global Funds plc (2007-2009)
Melinda G. Heika (48) Treasurer since Vice President, Finance & Accounting (2010-Present); Controller
2010 (2005-2009); Assistant Controller (1998-2004), American Beacon Advisors,
Inc.
Terri L. McKinney (46) VP since 2010 Vice President, Enterprise Services (2009-Present), Managing Director
(2003-2009), Director of Marketing & Retail Sales (1996-2003), American
Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present),
Trustee (2006-2008) The Down Syndrome Guild of Dallas
Jeffrey K. Ringdahl (34) VP since 2010 Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present);
Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010);
Senior Director, Business Integration, Fidelity Investments (2005-2007)
Christina E. Sears (38) Chief Compliance Chief Compliance Officer, American Beacon Advisors, Inc. (2004-Present);
Officer since 2004 Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
and Asst.
Secretary since
1999
* The Board has adopted a retirement plan that requires Trustees to retire no
later than the last day of the calendar year in which they reach the age of
72, provided, however, that the Board may determine to grant one or more
annual exemptions to this requirement.
** Mr. Feld is deemed to be an "interested person" of the Trusts, as defined
by the 1940 Act. Mr. Feld's law firm of Akin, Gump, Strauss, Hauer & Feld
LLP has provided legal services within the past two fiscal years to the
Manager and one or more of the Trust's sub-advisors.
30
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2009
MARKET VALUE
SHARES (000)
------------- -------------
COMMON STOCKS - 97.5%
CONSUMER DISCRETIONARY - 9.7%
Abercrombie & Fitch Co. Class A 15,846 $ 552
Amazon.Com, Inc.(a) 62,292 8,380
Apollo Group, Inc. Class A(a) 23,129 1,401
AutoNation, Inc.(a) 16,963 325
AutoZone, Inc.(a) 5,464 864
Bed Bath & Beyond, Inc.(a) 49,145 1,898
Best Buy Co., Inc. 64,519 2,546
Big Lots, Inc.(a) 16,227 470
Black & Decker Corp. 11,937 774
Carnival Corp.(a) 82,750 2,622
CBS Corp. Class B 127,003 1,784
Coach, Inc. 59,828 2,186
Comcast Corp. Class A 530,448 8,943
D.R. Horton, Inc. 52,876 575
Darden Restaurants, Inc. 27,988 982
DeVry, Inc. 12,500 709
Direct TV. Class A(a) 176,977 5,902
Eastman Kodak Co.(a) 54,482 230
eBay, Inc.(a) 207,303 4,880
Expedia, Inc.(a) 38,815 998
Family Dollar Stores, Inc. 25,558 711
Ford Motor Co.(a) 612,398 6,124
Fortune Brands, Inc. 27,245 1,177
GameStop Corp. Class A(a) 32,400 711
Gannett Co., Inc. 42,074 625
Gap, Inc. 86,798 1,818
Genuine Parts Co. 29,509 1,120
Goodyear Tire & Rubber Co.(a) 42,357 597
H&R Block, Inc. 60,415 1,367
Harley-Davidson, Inc. 42,501 1,071
Harman International Industries, Inc. 12,621 445
Hasbro, Inc. 24,425 783
Home Depot, Inc. 314,712 9,105
Host Hotels & Resorts, Inc.(a) 112,521 1,313
International Game Technology 53,619 1,006
Interpublic Group of Cos., Inc.(a) 83,894 619
JC Penney Co., Inc. 44,010 1,171
Johnson Controls, Inc. 123,686 3,369
Kohl's Corp.(a) 57,833 3,119
Lennar Corp. Class A 25,931 331
Limited Brands 51,267 986
Lowe's Cos., Inc. 272,962 6,385
Macy's, Inc. 78,623 1,318
Marriot International, Inc. Class A 49,350 1,345
Mattel, Inc. 67,076 1,340
McDonald's Corp. 200,825 12,540
McGraw-Hill, Inc. 59,066 1,979
Meredith Corp. 7,889 243
New York Times Co. Class A(a) 22,922 283
Newell Rubbermaid, Inc. 50,693 761
News Corp. Class A 417,409 5,714
NIKE, Inc. Class B 71,752 4,741
Nordstrom, Inc. 29,533 1,110
O'Reilly Automotive, Inc.(a) 24,600 938
Office Depot, Inc.(a) 51,256 331
Omnicom Group, Inc. 58,541 2,292
Polo Ralph Lauren Corp. 10,615 860
Priceline.com, Inc.(a) 7,690 1,680
Pulte Homes, Inc.(a) 64,905 649
MARKET VALUE
SHARES (000)
------------- -------------
Radioshack Corp. 26,203 $ 511
Ross Stores, Inc. 22,300 952
Scripps Networks Interactive, Inc.
Class A 17,135 711
Sears Holdings Corp. (a) 9,374 782
Snap-On, Inc. 11,612 491
Stanley Works 14,483 746
Staples, Inc. 136,733 3,362
Starbucks Corp. (a) 139,361 3,214
Starwood Hotels & Resorts Worldwide, Inc. 34,647 1,267
Target Corp. 140,816 6,811
Tiffany & Co. 22,880 984
Time Warner Cable, Inc. 66,571 2,755
Time Warner, Inc. 216,491 6,309
TJX Cos., Inc. 76,806 2,807
V.F. Corp. 16,193 1,186
Viacom, Inc. Class B (a) 115,022 3,420
Walt Disney Co. 348,745 11,247
Washington Post Co. Class B 1,260 554
Whirlpool Corp. 13,661 1,102
Wyndham Worldwide Corp. 34,299 692
Wynn Resorts, Ltd. 12,300 716
Yum! Brands, Inc. 88,292 3,088
-------------
182,805
-------------
CONSUMER STAPLES - 11.0%
Altria Group, Inc. 387,999 7,616
Archer-Daniels-Midland Co. 118,024 3,695
Avon Products, Inc. 79,160 2,493
Brown-Forman Corp. Class B 20,855 1,117
Campbell Soup Co. 34,065 1,151
Clorox Co. 26,043 1,589
Coca-Cola Co. 432,011 24,625
Coca-Cola Enterprises, Inc. 62,501 1,325
Colgate-Palmolive Co. 91,901 7,550
ConAgra Foods, Inc. 82,975 1,913
Constellation Brands, Inc. Class A (a) 37,426 596
Costco Wholesale Corp. 80,289 4,751
CVS Caremark Corp. 262,032 8,440
Dean Foods Co. (a) 33,458 604
Dr Pepper Snapple Group, Inc. 46,200 1,307
Estee Lauder Cos., Inc. Class A 23,252 1,124
General Mills, Inc. 61,732 4,371
H.J. Heinz Co. 59,469 2,543
Hormel Foods Corp. 13,400 515
Kellogg Co. 47,535 2,529
Kimberly-Clark Corp. 76,500 4,874
Kraft Foods, Inc. Class A 276,309 7,510
Kroger Co. 123,176 2,529
Lorillard, Inc. 29,461 2,364
McCormick & Co., Inc. 23,953 865
Molson Coors Brewing Co., Class B 28,262 1,276
Pepsi Bottling Group, Inc. 26,753 1,003
PepsiCo, Inc. 290,656 17,672
Philip Morris International, Inc. 354,799 17,098
Procter & Gamble Co. 542,719 32,905
Reynolds American, Inc. 30,887 1,636
Safeway, Inc. 76,564 1,630
Sara Lee Corp. 127,334 1,551
SuperValu, Inc. 41,948 533
See Notes to Financial Statements.
31
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2009
MARKET VALUE
SHARES (000)
------------- -------------
COMMON STOCKS - (CONTINUED)
CONSUMER STAPLES - (CONTINUED)
Sysco Corp. 111,809 $ 3,124
The Hershey Company 30,782 1,102
The J.M. Smucker Co. 22,060 1,362
Tyson Foods, Inc., Class A 57,835 710
Wal-Mart Stores, Inc. 397,602 21,252
Walgreen Co. 182,618 6,706
Whole Foods Market, Inc.(a) 24,833 682
-------------
208,238
-------------
ENERGY - 11.3%
Anadarko Petroleum Corp. 91,026 5,682
Apache Corp. 62,325 6,430
Baker Hughes, Inc. 58,478 2,367
BJ Services Co. 54,048 1,005
Cabot Oil & Gas Corp. 20,300 885
Cameron International Corp.(a) 44,300 1,852
Chesapeake Energy Corp. 121,382 3,141
Chevron Corp.(b) 372,546 28,682
ConocoPhillips 275,030 14,046
Consol Energy, Inc. 33,073 1,647
Denbury Resources, Inc.(a) 47,800 707
Devon Energy Corp. 82,251 6,045
Diamond Offshore Drilling, Inc. 12,900 1,270
El Paso Corp. 130,692 1,285
EOG Resources, Inc. 46,517 4,526
EQT Corp. 23,600 1,036
ExxonMobil Corp.(b) 882,272 60,162
FMC Technologies, Inc.(a) 22,800 1,319
Halliburton Co. 166,934 5,023
Hess Corp. 55,101 3,334
Marathon Oil Corp. 130,177 4,064
Massey Energy Co. 15,800 664
Murphy Oil Corp. 35,941 1,948
Nabors Industries, Ltd.(a) 52,804 1,156
National Oilwell Varco, Inc. 79,257 3,494
Noble Energy, Inc. 32,710 2,330
Occidental Petroleum Corp. 150,444 12,239
Peabody Energy Corp. 50,424 2,280
Pioneer Natural Resources Co. 22,000 1,060
Questar Corp. 32,468 1,350
Range Resources Corp. 28,700 1,431
Rowan Cos., Inc.(a) 19,620 444
Schlumberger, Ltd. 222,575 14,487
Smith International, Inc. 44,334 1,204
Southwestern Energy Co.(a) 65,200 3,143
Spectra Energy Corp. 121,798 2,498
Sunoco, Inc. 20,384 532
Tesoro Corp. 26,365 357
Valero Energy Corp. 105,609 1,769
Williams Cos., Inc. 109,768 2,314
XTO Energy, Inc. 107,452 5,000
-------------
214,208
-------------
FINANCIALS - 14.8%
AFLAC, Inc. 85,990 3,977
Allstate Corp. 101,506 3,049
American Express Co. 220,064 8,917
American International Group, Inc.(a) 24,133 723
MARKET VALUE
SHARES (000)
------------- -------------
Ameriprise Financial, Inc. 46,207 $ 1,794
AON Corp. 50,647 1,942
Apartment Investment & Management Co. Class A 21,052 335
Assurant, Inc. 20,831 614
AvalonBay Communities, Inc. 14,398 1,182
Bank of America Corp. 1,852,771 27,903
Bank of New York Mellon Corp. 223,185 6,242
BB&T Corp. 129,070 3,274
Boston Properties, Inc. 25,967 1,742
Capital One Financial Corp. 82,863 3,177
CB Richard Ellis Group, Inc. Class A(a) 47,275 641
Charles Schwab Corp. 180,193 3,391
Chubb Corp. 62,875 3,092
Cincinnati Financial Corp. 31,214 819
Citigroup, Inc. 3,627,702 12,008
CME Group, Inc. 12,191 4,096
Comerica, Inc. 26,844 794
Developers Diversified Realty Corp. 1,532 14
Discover Financial Services 100,205 1,474
E*Trade Financial Corp. (a) 305,315 534
Equity Residential 51,257 1,731
Federated Investors, Inc. Class B 18,970 522
Fifth Third Bancorp 148,516 1,448
First Horizon National Corp. (a) 43,304 580
Franklin Resources, Inc. 28,380 2,990
Genworth Financial, Inc. Class A (a) 91,551 1,039
Goldman Sachs Group, Inc. 95,334 16,096
Hartford Financial Services Group, Inc 70,597 1,642
HCP, Inc. 54,900 1,677
Health Care REIT, Inc. 23,800 1,055
Hudson City Bancorp, Inc. 92,292 1,267
Huntington Bancshares, Inc. 118,556 433
IntercontinentalExchange, Inc. (a) 13,680 1,536
Invesco Ltd. 78,100 1,835
J.P. Morgan Chase & Co. 731,815 30,495
Janus Capital Group, Inc. 36,007 484
KeyCorp 174,875 971
Kimco Realty Corp. 71,369 966
Legg Mason, Inc. 31,242 942
Leucadia National Corp. (a) 35,436 843
Lincoln National Corp. 56,392 1,403
Loews Corp. 68,631 2,495
M & T Bank Corp. 15,937 1,066
Marsh & McLennan Cos., Inc. 98,753 2,180
Marshall & Ilsley Corp. 105,093 573
Mastercard, Inc. Class A 17,700 4,531
MetLife, Inc. 151,596 5,359
Moody's Corp. 38,966 1,044
Morgan Stanley 254,830 7,543
NASDAQ OMX Group, Inc. (a) 28,600 567
Northern Trust Corp. 45,506 2,384
NYSE Euronext 47,300 1,197
Paychex, Inc. 60,338 1,849
People's United Financial Inc. 68,100 1,137
PNC Financial Services Group, Inc. 85,317 4,504
Principal Financial Group, Inc. 58,391 1,404
Progressive Corp. (a) 125,201 2,252
See Notes to Financial Statements.
32
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2009
MARKET VALUE
SHARES (000)
------------- -------------
COMMON STOCKS - (CONTINUED)
FINANCIALS - (CONTINUED)
ProLogis 87,391 $ 1,196
Prudential Financial, Inc. 85,339 4,246
Public Storage, Inc. 24,987 2,035
Regions Financial Corp. 227,189 1,202
Simon Property Group, Inc. 52,415 4,183
SLM Corp.(a) 91,354 1,030
State Street Corp.(c) 90,925 3,959
SunTrust Banks, Inc. 93,818 1,904
T. Rowe Price Group, Inc. 48,275 2,571
Torchmark Corp. 15,021 660
Total System Services, Inc. 37,775 652
Travelers Cos., Inc. 101,104 5,041
U.S. Bancorp 358,452 8,069
Unum Group 60,129 1,174
Ventas, Inc. 29,100 1,273
Visa, Inc. 83,100 7,268
Vornado Realty Trust 29,014 2,029
Wells Fargo Co. 952,849 25,717
Western Union Co. 132,485 2,497
XL Capital, Ltd. Class A 66,368 1,217
Zions Bancorp 25,453 327
-------------
280,024
-------------
HEALTH CARE - 12.1%
Abbott Laboratories 288,006 15,549
Aetna, Inc. 82,350 2,611
Allergan, Inc. 58,292 3,673
AmerisourceBergen Corp. 54,186 1,413
Amgen, Inc.(a) 188,236 10,649
Baxter International, Inc. 111,761 6,558
Becton, Dickinson & Co. 43,497 3,430
Biogen Idec, Inc.(a) 54,531 2,917
Boston Scientific Corp.(a) 284,234 2,558
Bristol-Myers Squibb Co. 317,516 8,017
C.R. Bard, Inc. 17,797 1,386
Cardinal Health, Inc. 67,657 2,181
CareFusion Corp.(a) 31,178 780
Celgene Corp.(a) 84,618 4,712
Cephalon, Inc.(a) 13,300 830
CIGNA Corp. 50,996 1,799
Coventry Health Care, Inc.(a) 26,203 637
DaVita, Inc.(a) 18,200 1,069
Dentsply International Inc. 26,700 939
Eli Lilly & Co. 188,975 6,748
Express Scripts, Inc.(a) 50,599 4,374
Forest Laboratories, Inc.(a) 56,502 1,814
Genzyme Corp.(a) 48,392 2,372
Gilead Sciences, Inc.(a) 166,299 7,197
Hospira, Inc.(a) 29,203 1,489
Humana, Inc.(a) 31,607 1,387
Intuitive Surgical, Inc.(a) 7,100 2,154
Johnson & Johnson 512,449 33,007
King Pharmaceuticals, Inc.(a) 48,592 596
Laboratory Corp. of America Holdings(a) 20,222 1,513
Life Technologies Corp.(a) 32,987 1,723
McKesson Corp. 50,355 3,147
Mead Johnson Nutrition Co. 34,818 1,522
MARKET VALUE
SHARES (000)
------------- -------------
Medco Health Solutions, Inc. (a) 87,968 $ 5,622
Medtronic, Inc. 204,778 9,006
Merck & Co., Inc. 569,270 20,801
Millipore Corp. (a) 11,135 806
Mylan Inc.(a) 60,109 1,108
Patterson Cos., Inc. (a) 18,294 512
Pfizer, Inc. 1,504,611 27,369
Quest Diagnostics, Inc. 29,300 1,769
St. Jude Medical, Inc. (a) 61,226 2,252
Stryker Corp. 53,289 2,684
Tenet Healthcare Corp. (a) 73,370 396
UnitedHealth Group, Inc. 215,596 6,571
Varian Medical Systems, Inc. (a) 22,660 1,062
Watson Pharmaceuticals, Inc. (a) 20,646 818
Wellpoint, Inc. (a) 84,838 4,945
Zimmer Holdings, Inc. (a) 39,552 2,338
-------------
228,810
-------------
INDUSTRIALS - 10.2%
3M Co. 131,072 10,836
Amphenol Corp. Class A 31,200 1,441
Avery Dennison Corp. 21,588 788
Boeing Co. 135,988 7,361
Burlington Northern Santa Fe Corp. 48,482 4,781
Caterpillar, Inc. 116,279 6,627
CH Robinson Worldwide, Inc. 31,561 1,854
Cintas Corp. 25,088 654
CSX Corp. 74,338 3,605
Cummins, Inc. 37,058 1,699
Danaher Corp. 49,086 3,691
Deere & Co. 77,837 4,210
Dover Corp. 33,695 1,402
Eaton Corp. 31,195 1,985
Emerson Electric Co. 139,348 5,936
Equifax, Inc. 25,683 793
Expeditors International Washington, Inc. 38,620 1,341
Fastenal Co. 25,500 1,062
FedEx Corp. 57,800 4,823
First Solar, Inc. (a) 8,670 1,174
Flir Systems, Inc. (a) 28,900 946
Flowserve Corp. 10,400 983
Fluor Corp. 32,260 1,453
General Dynamics Corp. 71,061 4,844
General Electric Co. (b) 1,977,333 29,917
Goodrich Co. 22,445 1,442
Honeywell International, Inc. 143,081 5,609
Illinois Tool Works, Inc. 72,971 3,502
Iron Mountain, Inc. (a) 32,200 733
ITT Industries, Inc. 34,192 1,701
Jacobs Engineering Group, Inc. (a) 22,300 839
L-3 Communications Holdings, Inc. 21,803 1,896
Leggett & Platt, Inc. 27,098 553
Lockheed Martin Corp. 59,152 4,457
Masco Corp. 64,323 888
Monster Worldwide, Inc. (a) 22,609 393
Norfolk Southern Corp. 69,655 3,651
Northrop Grumman Corp. 57,811 3,229
PACCAR, Inc. 68,674 2,491
Pall Corp. 21,509 779
See Notes to Financial Statements.
33
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2009
MARKET VALUE
SHARES (000)
------------- -------------
COMMON STOCKS - (CONTINUED)
INDUSTRIALS - (CONTINUED)
Parker-Hannifin Corp. 29,403 $ 1,584
Pitney Bowes, Inc. 40,027 911
Precision Castparts Corp. 26,007 2,870
Quanta Services, Inc.(a) 39,800 829
R.R. Donnelley & Sons Co. 36,109 804
Raytheon Co. 70,682 3,642
Republic Services, Inc. 60,403 1,710
Robert Half International, Inc. 30,640 819
Rockwell Automation, Inc. 26,305 1,236
Rockwell Collins, Inc. 28,431 1,574
Roper Industries, Inc. 17,000 890
Ryder Systems, Inc. 11,321 466
Southwest Airlines Co. 134,786 1,541
Stericycle, Inc.(a) 14,800 816
Textron, Inc. 49,939 939
Thermo Fisher Scientific, Inc.(a) 77,324 3,688
Union Pacific Corp. 93,468 5,973
United Parcel Service, Inc. Class B 183,846 10,547
United Technologies Corp. 174,478 12,110
W.W. Grainger, Inc. 11,569 1,120
Waste Management, Inc. 89,739 3,034
-------------
193,472
-------------
INFORMATION TECHNOLOGY - 18.2%
Adobe Systems, Inc.(a) 96,157 3,537
Advanced Micro Devices, Inc.(a) 99,186 960
Affiliated Computer Services, Inc. Class A(a) 18,737 1,118
Agilent Technologies, Inc.(a) 64,768 2,012
Akamai Technologies, Inc.(a) 34,224 867
Altera Corp. 52,854 1,196
Analog Devices, Inc. 53,269 1,682
AOL, Inc.(a)(d) 1 --
Apple Inc.(a) 167,284 35,274
Applied Materials, Inc. 252,607 3,521
Autodesk, Inc.(a) 41,576 1,056
Automatic Data Processing, Inc. 95,317 4,081
BMC Software, Inc.(a) 34,221 1,372
Broadcom Corp. Class A(a) 81,359 2,559
CA, Inc. 72,499 1,628
Cisco Systems, Inc.(a) 1,072,419 25,674
Citrix Systems, Inc.(a) 33,367 1,388
Cognizant Technology Solutions Corp.
Class A(a) 55,284 2,504
Computer Sciences Corp.(a) 27,744 1,596
Compuware Corp.(a) 51,350 371
Corning, Inc. 288,176 5,565
Dell, Inc.(a) 317,050 4,553
Dun & Bradstreet Corp. 9,400 793
Electronic Arts, Inc.(a) 60,100 1,067
EMC Corp.(a) 377,584 6,596
Fidelity National Information Services, Inc. 58,077 1,361
Fiserv, Inc.(a) 28,852 1,399
Google, Inc. Class A(a) 44,790 27,769
Harris Corp. 23,700 1,127
Hewlett-Packard Co. 441,916 22,763
IMS Health, Inc. 34,832 734
MARKET VALUE
SHARES (000)
------------- -------------
Intel Corp. 1,028,956 $ 20,991
International Business Machines Corp. 243,942 31,932
Intuit, Inc.(a) 60,663 1,863
Jabil Circuit, Inc. 31,651 550
Juniper Networks, Inc. (a) 98,893 2,637
KLA-Tencor Corp. 30,605 1,107
Lexmark International Group, Inc.
Class A(a) 15,842 412
Linear Technology Corp. 43,763 1,337
LSI Corp.(a) 114,762 690
McAfee, Inc. (a) 28,200 1,144
MEMC Electronic Materials, Inc. (a) 45,478 619
Microchip Technology, Inc. 32,489 944
Micron Technology, Inc. (a) 153,662 1,623
Microsoft Corp. (b) 1,435,335 43,763
Molex, Inc. 23,305 502
Motorola, Inc. (a) 435,465 3,379
National Semiconductor Corp. 42,096 647
NetApp, Inc. (a) 61,857 2,127
Novell, Inc.(a) 68,720 285
Novellus Systems, Inc. (a) 20,030 468
NVIDIA Corp. (a) 99,756 1,863
Oracle Corp. 728,362 17,874
PerkinElmer, Inc. 21,118 435
QLogic Corp. (a) 24,322 459
QUALCOMM, Inc. 309,711 14,327
Red Hat, Inc.(a) 37,200 1,150
SAIC, Inc.(a) 54,800 1,038
Salesforce.com, Inc. (a) 21,200 1,564
SanDisk Corp. (a) 40,667 1,179
Sun Microsystems, Inc. (a) 139,841 1,310
Symantec Corp. (a) 153,863 2,753
Tellabs, Inc.(a) 73,830 419
Teradata Corp. (a) 33,520 1,054
Teradyne, Inc. (a) 28,149 302
Texas Instruments, Inc. 232,199 6,051
VeriSign, Inc.(a) 37,521 910
Waters Corp.(a) 17,265 1,070
Western Digital Corp. (a) 42,000 1,854
Xerox Corp. 161,834 1,369
Xilinx, Inc. 51,202 1,283
Yahoo!, Inc. (a) 218,719 3,670
-------------
345,077
-------------
MATERIALS - 3.6%
Air Products & Chemicals, Inc. 39,809 3,227
Airgas, Inc. 16,600 790
AK Steel Holding Corp. 20,000 427
Alcoa, Inc. 180,249 2,906
Allegheny Technologies, Inc. 17,228 771
Ball Corp. 17,262 892
Bemis Co., Inc. 21,162 627
CF Industries Holdings, Inc. 9,750 885
Cliffs Natural Resources, Inc. 23,400 1,078
Dow Chemical Co. 211,928 5,856
E.I. Du Pont de Nemours & Co. 167,412 5,637
Eastman Chemical Co. 14,204 856
Ecolab, Inc. 43,666 1,947
FMC Corp. 12,600 703
See Notes to Financial Statements.
34
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2009
MARKET VALUE
SHARES (000)
------------- -------------
COMMON STOCKS - (CONTINUED)
MATERIALS - (CONTINUED)
Freeport-McMoRan Copper & Gold,
Inc. Class B(a) 79,652 $ 6,395
International Flavors & Fragrances, Inc. 16,031 660
International Paper Co. 81,411 2,180
MeadWestvaco Corp. 30,320 868
Monsanto Co. 102,255 8,359
Newmont Mining Corp. 90,206 4,268
Nucor Corp. 59,354 2,769
Owens-Illinois, Inc.(a) 30,400 999
Pactiv Corp.(a) 22,615 546
Plum Creek Timber Co., Inc. 29,311 1,107
PPG Industries, Inc. 30,971 1,813
Praxair, Inc. 56,711 4,554
Sealed Air Corp. 29,692 649
Sherwin-Williams Co. 17,696 1,091
Sigma-Aldrich Corp. 23,634 1,194
Titanium Metals Corp.(a) 16,600 208
United States Steel Corp. 25,878 1,426
Vulcan Materials Co. 22,561 1,188
Weyerhaeuser Co. 39,537 1,706
-------------
68,582
-------------
TELECOMMUNICATION SERVICES - 3.1%
American Tower Corp. Class A(a) 74,600 3,223
AT&T, Inc. 1,095,950 30,720
CenturyTel, Inc. 55,873 2,023
Frontier Communications Corp. 60,384 472
JDS Uniphase Corp.(a) 42,723 352
MetroPCS Communications, Inc.(a) 51,700 395
Qwest Communications International, Inc. 273,890 1,153
Sprint Nextel Corp.(a) 527,165 1,929
Verizon Communications, Inc. 529,166 17,531
Windstream Corp. 77,313 850
-------------
58,648
-------------
UTILITIES - 3.5%
AES Corp.(a) 125,095 1,665
Allegheny Energy, Inc. 33,059 776
Ameren Corp. 44,660 1,248
American Electric Power Co., Inc. 90,152 3,136
CenterPoint Energy, Inc. 74,711 1,084
CMS Energy Corp. 45,756 717
Consolidated Edison, Inc. 51,752 2,351
Constellation Energy Group, Inc. 37,314 1,312
Dominion Resources, Inc. 109,862 4,276
DTE Energy Co. 29,884 1,303
Duke Energy Corp. 246,020 4,234
Edison International 61,319 2,133
Entergy Corp. 34,698 2,840
Exelon Corp. 122,221 5,973
FirstEnergy Corp. 57,507 2,671
FPL Group, Inc. 78,021 4,121
Integrys Energy Group, Inc. 14,716 618
Nicor, Inc. 9,400 396
NiSource, Inc. 48,582 747
Northeast Utilities 32,000 825
MARKET VALUE
SHARES (000)
------------- -------------
Pepco Holdings, Inc. 41,700 $ 703
PG&E Corp. 70,126 3,131
Pinnacle West Capital Corp. 20,160 737
PPL Corp. 70,875 2,290
Progress Energy, Inc. 52,481 2,152
Public Service Enterprise Group, Inc. 95,724 3,183
SCANA Corp. 21,300 803
Sempra Energy 46,286 2,591
Southern Co. 147,443 4,913
TECO Energy, Inc. 42,151 684
Wisconsin Energy Corp. 22,800 1,136
Xcel Energy, Inc. 85,351 1,811
-------------
66,560
-------------
TOTAL COMMON STOCKS (Cost $1,337,721,650) 1,846,424
-------------
PAR AMOUNT
(000)
-------------
U.S. GOVERNMENT SECURITIES - 0.3%
United States Treasury Bill (b)(e)(f)
0.02% due 03/11/10 $ 4,815 $ 4,815
-------------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $4,814,838) 4,815
-------------
SHARES
(000)
-------------
MONEY MARKET FUNDS - 1.6%
AIM Short Term Investment Prime Portfolio 29,939 29,939
Federated Money Market Obligations Trust 576 576
-------------
TOTAL MONEY MARKET FUNDS (Cost $30,514,519) 30,515
-------------
TOTAL INVESTMENTS (g)+ - 99.4%
(Identified Cost $1,373,051,007) 1,881,754
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% 11,632
-------------
NET ASSETS - 100.0% $ 1,893,386
=============
- ----------
(a) Non-income producing security.
(b) All or part of this security has been designated as collateral for futures
contracts.
(c) Affiliated issuer. See table that follows for more information.
(d) Amount is less than $1,000.
(e) Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
35
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2009
(f) Value determined based on Level 2 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
(g) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 1 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
NUMBER OF
CONTRACTS UNREALIZED
(000) APPRECIATION
--------- ------------
Schedule of Futures
Contracts S&P 500
Financial Futures
Contracts (long)
Expiration Date 03/2010 808 $547
----
Total unrealized
appreciation on open
futures contracts
purchased $547
====
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 December 31, 2009
is listed in the Portfolio of Investments.
INCOME EARNED
FOR THE 12 REALIZED
SHARES PURCHASED SHARES SOLD FOR VALUE AT MONTHS ENDED LOSS ON
SECURITY NUMBER OF SHARES FOR THE 12 MONTHS THE 12 MONTHS NUMBER OF SHARES 12/31/09 12/31/09 SHARES SOLD
DESCRIPTION HELD AT 12/31/08 ENDED 12/31/09 ENDED 12/31/09 HELD AT 12/31/09 (000) (000) (000)
- ------------ ---------------- ----------------- --------------- ---------------- -------- ------------- -----------
State Street
Corp. 81,725 24,400 15,200 90,925 $3,959 $4 $(410)
See Notes to Financial Statements.
36
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2009
(AMOUNTS IN THOUSANDS)
ASSETS
Investments in unaffiliated issuers at market value (identified cost $1,369,546) $1,877,795
Investments in non-controlled affiliates at market value (identified cost $3,505)
(Note 4) 3,959
----------
Total investments at market value (identified cost $1,373,051) 1,881,754
Investment securities sold 9,626
Dividends and interest 2,540
----------
Total assets 1,893,920
LIABILITIES
Daily variation margin on futures contracts 461
Management fees (Note 4) 73
----------
Total liabilities 534
----------
NET ASSETS $1,893,386
==========
See Notes to Financial Statements.
37
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2009
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest $ 102
Dividend income -- unaffiliated issuers (net of foreign taxes withheld of $2) 38,848
Dividend income -- non-controlled affiliated issuer 4
--------
Total investment income 38,954
--------
EXPENSES
Management fees (Note 4) 755
--------
Total expenses 755
--------
NET INVESTMENT INCOME $ 38,199
========
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments -- unaffiliated issuers $(99,438)
Investments -- non-controlled affiliated issuer (410)
Futures contracts 11,628
--------
(88,220)
Net change in net unrealized appreciation (depreciation) on:
Investments 473,799
Futures contracts (404)
--------
473,395
--------
Net realized and unrealized gain 385,175
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $423,374
========
See Notes to Financial Statements.
38
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, 2009 DECEMBER 31, 2008
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 38,199 $ 45,563
Net realized loss on investments and futures contracts (88,220) (19,853)
Net change in net unrealized appreciation (depreciation) on
investments and futures contracts 473,395 (897,802)
---------- -----------
Net increase (decrease) in net assets resulting from
operations 423,374 (872,092)
---------- -----------
CAPITAL TRANSACTIONS
Contributions 267,641 288,497
Withdrawals (319,837) (316,574)
---------- -----------
Net decrease in net assets from capital transactions (52,196) (28,077)
---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS 371,178 (900,169)
NET ASSETS
Beginning of year 1,522,208 2,422,377
---------- -----------
End of year $1,893,386 $ 1,522,208
========== ===========
See Notes to Financial Statements.
39
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/09 12/31/08 12/31/07 12/31/06 12/31/05
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND
RATIOS:
Net assets, end of year
(in thousands) $1,893,386 $1,522,208 $2,422,377 $2,766,696 $2,453,109
Ratios to average net
assets:
Operating expenses 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income 2.28% 2.30% 1.96% 1.94% 1.84%
Portfolio turnover rate* 19% 14% 12% 10% 8%
Total return(a) 26.50% (37.02)% 5.49% 15.75% 4.87%
- ----------
* The portfolio turnover rate excludes in-kind security transactions.
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
40
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
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
December 31, 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 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 provisions surrounding Fair Value Measurements and
Disclosures that defines fair value, establishes a framework for measuring fair
value in generally accepted accounting principles and expands disclosures about
fair value measurements. This applies to fair value measurements that are
already required or permitted by other accounting standards and is intended to
increase consistency of those measurements and applies broadly to securities and
other types of assets and liabilities. In accordance with these provisions, fair
value is defined as the price that the portfolio would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most
41
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009
advantageous market of the investment. Various inputs are used in determining
the value of the Portfolio's investments.
The three tier hierarchy of inputs is summarized below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Portfolio's
own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2009, in
valuing the Portfolio's assets carried at fair value:
QUOTED PRICES IN
ACTIVE MARKETS FOR SIGNIFICANT OTHER SIGNIFICANT
IDENTICAL ASSETS OBSERVABLE INPUTS UNOBSERVABLE INPUTS
DESCRIPTION (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL
- ----------- ------------------ ----------------- ------------------- ----------
INVESTMENTS:
Common Stocks $1,846,424 $ -- $-- $1,846,424
U.S. Government
Securities -- 4,815 -- 4,815
Money Market Funds 30,515 -- -- 30,515
OTHER ASSETS:
Futures contracts 547 -- -- 547
---------- ------ --- ----------
TOTAL ASSETS $1,877,486 $4,815 $-- $1,882,301
========== ====== === ==========
The type of inputs used to value each security under the provisions surrounding
Fair Value Measurement and Disclosures 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
42
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009
Portfolio's partners in proportion to their holdings in the Portfolio,
regardless of whether such items have been distributed by the Portfolio. Each
partner is responsible for tax liability based on its distributive share;
therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of and during the
year ended December 31, 2009, and determined it did not have a liability for any
unrecognized tax expenses. The Portfolio recognizes interest and penalties, if
any, related to tax liabilities as income tax expense in the Statement of
Operations. As of December 31, 2009, tax years 2006 through 2009 remain subject
to examination by the Portfolio's major tax jurisdictions, which include the
United States of America and the Commonwealth of Massachusetts.
At December 31, 2009, the book cost of investments was $1,373,051,007 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $643,620,459 and
$134,917,676, respectively, resulting in net appreciation of $508,702,783 for
all securities as computed on a federal income tax basis.
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the S&P 500 (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 provisions surrounding Derivatives and Hedging which
requires qualitative disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts of gains and
losses on derivative instruments, and disclosures about credit-risk-related
contingent features in derivative agreements. The following table, grouped into
appropriate risk categories, discloses the amounts related to the Portfolio's
use of derivative instruments and hedging activities at December 31, 2009:
ASSET DERIVATIVES (1) (AMOUNTS IN THOUSANDS)
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- -----
Futures Contracts $-- $-- $-- $547 $-- $-- $547
(1) Portfolio of Investments: Unrealized Appreciation of futures contracts.
43
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009
Transactions in derivative instruments for the year ended December 31, 2009,
were as follows:
REALIZED GAIN (LOSS)(1) (AMOUNTS IN THOUSANDS)
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- -------
Futures Contracts $-- $-- $-- $11,628 $-- $-- $11,628
CHANGE IN APPRECIATION (DEPRECIATION) (2) (AMOUNTS IN THOUSANDS)
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- -----
Futures Contracts $-- $-- $-- $(404) $-- $-- $(404)
--- --- --- ----- --- --- -----
(1) Statement of Operations location: Net realized gain (loss) on: Futures
contracts
(2) Statement of Operations location: Net change in unrealized appreciation
(depreciation) on: Futures contracts
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles, which require the
use of management estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2009, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and
contributions in-kind and fair value of withdrawals, aggregated to $319,306,818
and $310,310,639, respectively.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
Corporation and an affiliate of State Street Bank and Trust Company ("State
Street"), under which SSgA FM directs the investments of the Portfolio in
accordance with its investment objective, policies, and limitations. The Trust
has contracted with State Street to provide custody, administration and transfer
agent services to the Portfolio. In compensation for SSgA FM's services as
investment adviser and for State Street's services as administrator, custodian
and transfer agent (and for assuming ordinary operating expenses of the
Portfolio, including ordinary legal, audit and trustees expense), State Street
receives a unitary fee, calculated daily, at the annual rate of 0.045% of the
Portfolio's average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated
with State Street and SSgA FM. Investments in State Street Corporation, the
holding company of State Street, were made according to its representative
portion of the S&P 500(R) Index. The market value of this investment at December
31, 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. These fees are paid through a
unitary fee.
44
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009
6. INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements is
unknown as this could involve future claims against the Trust. Management does
not expect any significant claims.
7. SUBSEQUENT EVENTS
In accordance with provisions surrounding Subsequent Events adopted by the
Portfolio, management has evaluated the possibility of subsequent events
existing in the Portfolio's financial statements through February 23, 2010, the
date the financial statements were issued. Management has determined that there
are no material events that would require disclosure in the Portfolio's
financial statements through this date.
45
STATE STREET EQUITY 500 INDEX PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of State
Street Equity 500 Index Portfolio (the "Portfolio") (one of the portfolios
constituting State Street Master Funds), including the portfolio of investments,
as of December 31, 2009, and the related statement of operations for the year
then ended, the statement of changes in net assets for each of the two years in
the period then ended and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolio's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2009, by correspondence with the
custodian and brokers, or by other appropriate auditing procedures where replies
from brokers were not received. We believe that our audits provide a reasonable
basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of State
Street Equity 500 Index Portfolio of State Street Master Funds at December 31,
2009, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with U.S. generally accepted accounting principles.
/s/Ernst & Young LLP
Boston, Massachusetts
February 23, 2010
46
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION
DECEMBER 31, 2009 (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 calling (877)
521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on November 19, 2009 (the "Meeting") to
consider the renewal of the investment advisory agreement for the Portfolio (the
"Advisory Agreement"). In preparation for considering the Advisory Agreement,
the Trustees had reviewed the renewal materials provided by the investment
adviser, which they had requested through independent counsel. In deciding
whether to renew the Advisory Agreement, the Trustees considered various
factors, including (i) the nature, extent and quality of the services provided
by the SSgA Funds Management, Inc. (the "Adviser") under the Advisory Agreement,
(ii) the investment performance of the Portfolio, (iii) the costs to the Adviser
of its services and the profits realized by the Adviser and its affiliates from
their relationship with the Trust, (iv) the extent to which economies of scale
would be realized if and as the Trust grows and whether the fee levels in the
Advisory Agreement reflect these economies of scale, and (v) any additional
benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the
Adviser, the Trustees relied on their prior direct experience as Trustees of the
Trust as well as on the materials provided at the Meeting. The Board reviewed
the Adviser's responsibilities under the Advisory Agreement and noted the
experience and expertise that would be appropriate to expect of an adviser to
the Portfolio, which is an index fund. The Trustees reviewed the background and
experience of the Adviser's senior management, including those individuals
responsible for the investment and compliance operations relating to the
investments of the Portfolio, and the responsibilities of the latter with
respect to the Portfolio. They also considered the resources, operational
structures and practices of the Adviser in managing the Portfolio's investments,
in monitoring and securing the Portfolio's compliance with its investment
objective and policies with respect to its investments and with applicable laws
and regulations, and in seeking best execution of portfolio transactions. The
Trustees also considered information about the Adviser's overall investment
management business, noting that the Adviser manages assets for a variety of
institutional investors and that the Adviser and its affiliates had over $1.74
trillion in assets under management as of September 30, 2009, including over
$163 billion managed by the Adviser. They reviewed information regarding State
Street's business continuity and disaster recovery program. Drawing upon the
materials
47
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
provided and their general knowledge of the business of the Adviser, the
Trustees determined that the experience, resources and strength of the Adviser
in the management of index products are exceptional. As discussed more fully
below, they also determined that the advisory fee for the Portfolio was fair and
reasonable and that its performance and expense ratio were acceptable. On the
basis of this review, the Trustees determined that the nature and extent of the
services provided by the Adviser to the Portfolio was appropriate and had been
of good quality.
The Trustees noted that, in view of the investment objective of the Portfolio
and the available data, the investment performance was acceptable. The Trustees
noted that the performance of the Portfolio in absolute terms was not of the
importance that normally attaches to that of actively-managed funds. Of more
importance to the Trustees was the extent to which the Portfolio achieved its
objective of replicating, before expenses, the total return of the S&P 500
Index. Drawing upon information provided at the Meeting and upon reports
provided to the Trustees by the Adviser throughout the preceding year, they
determined that the Portfolio had in fact tracked the index within an acceptable
range of tracking error. They concluded that the performance the Portfolio was
satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships with the Trust. The Trustees had
been provided with data regarding the profitability to the Adviser and its
affiliated service provider with respect to the Portfolio individually, and on
an aggregate basis, for the year ended June 30, 2009, with additional data
relating to prior years. Having discussed with representatives of the Adviser
the methodologies used in computing the costs that formed the bases of the
profitability calculations, they concluded that these methodologies were
reasonable and turned to the data provided. After discussion and analysis they
concluded that, to the extent that the Adviser's and State Street's
relationships with the Trust had been profitable during the period for which
information had been provided, the profitability was in no case such as to
render the advisory fee excessive.
In order better to evaluate the Portfolio's advisory fee, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that the Portfolio's
advisory fee and total expense ratio were generally lower than the average for
its peer group; after discussion, they concluded that the data available
provided confirmation of the reasonableness of the Adviser's fee. The Board
determined that the Adviser's fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust's relationship with State Street as fund
administrator, custodian and transfer agent. They noted that the Adviser
utilizes no soft-dollar arrangements in connection with the Portfolio's
brokerage transactions to obtain third-party (non-proprietary research)
services. The Trustees concluded that, to the extent that the Adviser or its
affiliates derive other benefits from their relationships with the Trust, those
benefits are not so significant as to render the Adviser's fee excessive.
The Trustees also considered the extent to which economies of scale may be
realized by the Portfolio as assets grow and whether the Portfolio's fee levels
reflect such economies of scale, if any, for the benefit of investors. In
considering the matter, the Board determined that, to the extent economies of
scale were in fact realized, such economies of scale were shared with the
Portfolio by virtue of an advisory fee of a comparatively low level that
subsumed economies of scale in the fee itself. The Trustees also recognized,
48
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
however, that should sustained, substantial asset growth be realized in the
future, it might be necessary to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one
factor being dispositive, the Board decided to approve the continuance of the
Advisory Agreement.
49
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED)
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ---------------------- -------------------- --------------------- ------------------------ ------------- ---------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Chairman Term: Indefinite Chairman, Holland & 22 Trustee, State Street
Holland & Company, of the Board Elected: 7/99 Company L.L.C. Institutional
LLC (investment adviser) Investment Trust;
375 Park Avenue (1995 - present). Director, the Holland
New York, NY 10152 Series Fund, Inc.;
Director, The China
DOB: 1944 Fund, Inc.; Director,
The Taiwan Fund,
Inc.; and Director,
Reaves Utility Income
Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual 22 Trustee, State Street
State Street Master Elected: 7/99 South Africa Master Institutional
Funds Trust (investments) Investment Trust;
P.O. Box 5049 (1995 - present); Trustee, Old Mutual
Boston, MA 02206 Chairman emeritus, South Africa Master
Children's Hospital Trust; and Trustee,
DOB: 1937 (1984 - present); Children's Hospital,
Director, Boston Plan Boston, MA.
For Excellence (non-
profit) (1994 -
present); President and
Chief Operations
Officer, John Hancock
Mutual Life Insurance
Company (1959 - 1999).
Mr. Boyan retired in
1999.
Rina K. Spence Trustee Term: Indefinite President of SpenceCare 22 Trustee, State Street
State Street Master Elected: 7/99 International LLC (1998 Institutional
Funds - present); Member of Investment Trust;
P.O. Box 5049 the Advisory Board, Director, Berkshire
Boston, MA 02206 Ingenium Corp. Life Insurance
(technology company) Company of America
DOB: 1948 (2001 - present); Chief 1993-2009; Director,
Executive Officer, IEmily.com, Inc.
IEmily.com (internet 2000-present; and
company) (2000 - Trustee, National
2001); Chief Executive Osteoporosis
Officer of Consensus Foundation 2005-2008
Pharmaceutical, Inc.
(1998 - 1999); Founder,
President and Chief
Executive Officer of
Spence Center for
Women's Health (1994 -
1998); Trustee, Eastern
Enterprise (utilities)
(1988 - 2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice President 22 Trustee, State Street
State Street Master Elected: 7/99 of Chase Manhattan Institutional
Funds Bank (1987 - 1999). Investment Trust;
P.O. Box 5049 Mr. Williams retired in Treasurer, Nantucket
Boston, MA 02206 1999. Educational Trust,
2002-2007
DOB: 1940
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
50
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ---------------------- -------------------- --------------------- ------------------------ ------------- ---------------------
INTERESTED TRUSTEES(1)
James E. Ross Trustee President Term: Indefinite President and Chief 22 Trustee, State Street
SSgA Funds Elected Executive Officer from Institutional
Management, Inc. Trustee: 2/07 Elected January 2006 to Present; Investment Trust; and
State Street Financial President: 4/05 Principal Executive Trustee, Select
Center Officer since 2005; Sector SPDR(R) Trust
One Lincoln Street 2005 to Present,
Boston, MA 02111-2900 President (2001 to 2005,
Principal), SSgA Funds
DOB: 1965 Management, Inc.
(investment adviser);
March 2006 to Present,
Senior Managing
Director (2000 to 2006,
Principal), State Street
Global Advisors.
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President of -- --
State Street Bank and Elected: 5/05 State Street Bank and
Trust Company Trust Company (2002 -
2 Avenue de Lafayette present).
Boston, MA 02111
DOB: 1951
Ellen M. Needham Vice President Term: Indefinite Principal, SSgA Funds -- --
SSgA Funds Elected: 09/09 Management, Inc.
Management, Inc. (investment adviser);
State Street Financial July 2007 to Present,
Center Managing Director
One Lincoln Street (June 2006 to July 2007,
Boston, MA 02111-2900 Vice President; 2000 to
June 2006, Principal),
DOB: 1967 State Street Global
Advisors.
Laura F. Healy Assistant Treasurer Term: Indefinite Vice President of State -- --
State Street Bank and Elected: 11/08 Street Bank and Trust
Trust Company Company (prior to July
2 Avenue de Lafayette 2, 2008, Investors
Boston, MA 02111 Financial Corporation)
since 2002.
DOB: 1964
Brian D. O'Sullivan Assistant Treasurer Term: Indefinite Vice President of State -- --
State Street Bank and Elected: 11/08 Street Bank and Trust
Trust Company Company (2007-present)
801 Pennsylvania with which he has been
Avenue affiliated with since
Kansas City, MO 64105 1997.
DOB: 1975
Peter T. Sattelmair Assistant Treasurer Term: Indefinite Director of Fund
State Street Bank and Elected: 11/08 Administration of State
Trust Company Street Bank and Trust
801 Pennsylvania Company (2007 -
Avenue present) with which he
Kansas City, MO 64105 has been affiliated with
since 1999.
DOB: 1977
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
51
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ---------------------- -------------------- --------------------- ------------------------ ------------- ---------------------
OFFICERS: (CONTINUED)
Julie Piatelli Chief Compliance Term: Indefinite Principal and Senior -- --
SSgA Funds Officer Elected: 7/07 Compliance and Risk
Management, Inc. Management Officer,
State Street Financial SSgA Funds
Center Management, Inc.
One Lincoln Street (2004-present), Vice
Boston, MA 02111 President State Street
Global Advisors
DOB: 1967 (2004-present).
David James Secretary Term: Indefinite Vice President and -- --
State Street Bank and Elected: 11/09 Managing Counsel,
Trust Company State Street Bank and
4 Copley Place Trust Company, 2009 to
5th Floor present; Vice President
Boston, MA 02116 and Counsel, PNC
Global Investment
DOB: 1970 Servicing (US), Inc.
2006 to 2009; Assistant
Vice President and
Counsel, State Street
Bank and Trust
Company, October 2000
to December 2004 and
was retired in 2005.
Brian C. Poole Assistant Secretary Term: Indefinite Vice President and -- --
State Street Bank and Elected 9/08 Counsel (2008 -
Trust Company present) and Associate
4 Copley Place, Counsel (2004 - 2007),
5th Floor State Street Bank and
Boston, MA 02116 Trust Company
(formerly Investors
DOB: 1971 Bank and Trust
Company.
- ----------
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
52
This page intentionally left blank.
53
Summary Schedule of Investments MASTER SMALL CAP INDEX SERIES
December 31, 2009 (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
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" represents 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 $ 1,209,229 0.5%
AEROSPACE Other Securities 2,985,173 1.3
AGRICULTURE, FISHING & RANCHING Other Securities 923,904 0.4
AIR TRANSPORT UAL Corp.(a)(b) 39,900 515,109 0.2
Other Securities 2,109,678 0.9
------------ ----
2,624,787 1.1
ALTERNATIVE ENERGY Other Securities 543,253 0.2
ALUMINUM Other Securities 370,245 0.2
ASSET MANAGEMENT & CUSTODIAN Other Securities 2,272,509 1.0
AUTO PARTS Other Securities 1,532,701 0.7
AUTO SERVICES Other Securities 280,700 0.1
BANKS: DIVERSIFIED FirstMerit Corp. 19,529 393,314 0.2
Prosperity Bancshares, Inc. 11,400 461,358 0.2
SVB Financial Group (a) 9,600 400,224 0.2
Other Securities 11,957,987 5.2
------------ ----
13,212,883 5.8
BANKS: SAVINGS, THRIFT & Other Securities 2,354,824 1.0
MORTGAGE LENDING
BEVERAGE: BREWERS & DISTILLERS Other Securities 88,540 0.0
BEVERAGE: SOFT DRINKS Other Securities 326,398 0.1
BIOTECHNOLOGY Human Genome Sciences, Inc.(a) 43,600 1,334,160 0.6
Onyx Pharmaceuticals, Inc.(a) 14,820 434,819 0.2
Other Securities 7,183,001 3.1
------------ ----
8,951,980 3.9
BUILDING MATERIALS Other Securities 2,116,429 0.9
BUILDING: CLIMATE CONTROL Other Securities 312,468 0.1
BUILDING: ROOFING, WALLBOARD & PLUMBING Other Securities 162,400 0.1
CABLE TELEVISION SERVICES Other Securities 120,903 0.1
CASINOS & GAMBLING Bally Technologies, Inc.(a) 12,800 528,512 0.2
Other Securities 481,517 0.2
------------ ----
1,010,029 0.4
CEMENT Other Securities 7,644 0.0
CHEMICALS: DIVERSIFIED W.R.Grace & Co.(a) 17,300 438,555 0.2
Other Securities 2,517,683 1.1
------------ ----
2,956,238 1.3
CHEMICALS: SPECIALTY Other Securities 1,040,752 0.5
COAL Other Securities 588,134 0.3
COMMERCIAL FINANCE & Other Securities 232,499 0.1
MORTGAGE COMPANIES
COMMERCIAL SERVICES Watson Wyatt Worldwide, Inc.(a) 9,915 471,161 0.2
Other Securities 5,434,300 2.4
------------ ----
5,905,461 2.6
COMMERCIAL SERVICES: RENTAL & LEASING Other Securities 1,030,724 0.4
See Notes to Financial Statements.
54 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Summary Schedule of Investments (continued) MASTER SMALL CAP INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ----------------------------------- ------ ------------ -------
COMMERCIAL VEHICLES & PARTS Other Securities $ 391,538 0.2%
COMMUNICATIONS TECHNOLOGY 3Com Corp.(a) 93,000 697,500 0.3
Polycom,Inc.(a) 19,600 489,412 0.2
Other Securities 5,462,788 2.4
------------ ----
6,649,700 2.9
COMPUTER SERVICES SOFTWARE & SYSTEMS Concur Technologies, Inc.(a) 9,800 418,950 0.2
Informatica Corp.(a) 20,800 537,888 0.2
Parametric Technology Corp.(a) 28,160 460,134 0.2
Solera Holdings, Inc. 16,900 608,569 0.3
Other Securities 13,236,890 5.8
------------ ----
15,262,431 6.7
COMPUTER TECHNOLOGY Other Securities 1,972,245 0.9
CONSTRUCTION EMCOR Group,Inc.(a) 16,172 435,027 0.2
Other Securities 874,632 0.4
------------ ----
1,309,659 0.6
CONSUMER ELECTRONICS Other Securities 371,101 0.2
CONSUMER LENDING Other Securities 1,553,633 0.7
CONSUMER SERVICES: MISCELLANEOUS Other Securities 1,581,684 0.7
CONTAINERS & PACKAGING Rock-Tenn Co., Class A 9,180 462,764 0.2
Other Securities 607,852 0.3
------------ ----
1,070,616 0.5
COSMETICS Other Securities 409,526 0.2
DIVERSIFIED FINANCIAL SERVICES Stifel Financial Corp.(a) 7,149 423,507 0.2
Other Securities 635,907 0.3
------------ ----
1,059,414 0.5
DIVERSIFIED MANUFACTURING OPERATIONS Other Securities 540,315 0.2
DIVERSIFIED MATERIALS & PROCESSING Clarcor, Inc. 12,610 409,068 0.2
Other Securities 1,455,413 0.6
------------ ----
1,864,481 0.8
DIVERSIFIED MEDIA Other Securities 180,998 0.1
DIVERSIFIED RETAIL Other Securities 1,300,468 0.6
DRUG & GROCERY STORE CHAINS Other Securities 1,532,603 0.7
EDUCATION SERVICES Other Securities 1,394,633 0.6
ELECTRONIC COMPONENTS Other Securities 1,267,286 0.5
ELECTRONIC ENTERTAINMENT Other Securities 404,948 0.2
ELECTRONICS Other Securities 1,115,376 0.5
ENERGY EQUIPMENT Other Securities 391,344 0.2
ENGINEERING & CONTRACTING SERVICES Other Securities 1,048,636 0.5
ENTERTAINMENT Other Securities 636,831 0.3
FINANCIAL DATA & SYSTEMS Jack Henry & Associates, Inc. 20,100 464,712 0.2
Other Securities 1,992,463 0.9
------------ ----
2,457,175 1.1
FOODS Other Securities 2,646,795 1.2
FOREST PRODUCTS Other Securities 295,680 0.1
FORMS & BULK PRINTING SERVICES Other Securities 684,581 0.3
FUNERAL PARLORS & CEMETERIES Other Securities 366,924 0.2
GAS PIPELINE Other Securities 55,660 0.0
GLASS Other Securities 99,400 0.0
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 55
Summary Schedule of Investments (continued) MASTER SMALL CAP INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ----------------------------------- ------ ------------ -------
GOLD Other Securities $ 561,406 0.2%
HEALTH CARE FACILITIES Other Securities 1,326,509 0.6
HEALTH CARE MANAGEMENT SERVICES Other Securities 2,369,614 1.0
HEALTH CARE SERVICES HealthSouth Corp.(a) 22,000 412,940 0.2
Other Securities 4,237,718 1.8
------------ ----
4,650,658 2.0
HEALTH CARE: MISCELLANEOUS Other Securities 255,258 0.1
HOME BUILDING Other Securities 585,005 0.3
HOTEL/MOTEL Other Securities 482,322 0.2
HOUSEHOLD APPLIANCES Other Securities 114,692 0.0
HOUSEHOLD EQUIPMENT & PRODUCTS Tupperware Corp. 15,174 706,653 0.3
Other Securities 627,409 0.3
------------ ----
1,334,062 0.6
HOUSEHOLD FURNISHINGS Tempur-Pedic International, Inc.(a) 17,900 422,977 0.2
Other Securities 435,564 0.2
------------ ----
858,541 0.4
INSURANCE: LIFE Other Securities 978,894 0.4
INSURANCE: MULTI-LINE Assured Guaranty Ltd. 29,200 635,392 0.3
Platinum Underwriters Holdings Ltd. 11,900 455,651 0.2
Other Securities 967,655 0.4
------------ ----
2,058,698 0.9
INSURANCE: PROPERTY-CASUALTY ProAssurance Corp.(a) 8,023 430,915 0.2
Other Securities 3,906,752 1.7
------------ ----
4,337,667 1.9
LEISURE TIME Other Securities 1,406,368 0.6
LUXURY ITEMS Other Securities 476,641 0.2
MACHINERY: AGRICULTURAL Other Securities 225,750 0.1
MACHINERY: CONSTRUCTION & HANDLING Other Securities 190,761 0.1
MACHINERY: ENGINES Other Securities 279,205 0.1
MACHINERY: INDUSTRIAL Nordson Corp. 8,210 502,288 0.2
Other Securities 2,208,199 1.0
------------ ----
2,710,487 1.2
MACHINERY: SPECIALTY Other Securities 315,396 0.1
MANUFACTURED HOUSING Other Securities 88,770 0.0
MEDICAL & DENTAL Owens & Minor, Inc. 9,698 416,335 0.2
INSTRUMENTS & SUPPLIES Other Securities 5,839,090 2.5
------------ ----
6,255,425 2.7
MEDICAL EQUIPMENT Other Securities 3,879,084 1.7
MEDICAL SERVICES Other Securities 789,054 0.3
METAL FABRICATING Other Securities 1,623,438 0.7
METALS & MINERALS: DIVERSIFIED Other Securities 952,111 0.4
OFFICE SUPPLIES & EQUIPMENT Other Securities 1,420,954 0.6
OFFSHORE DRILLING & OTHER SERVICES Other Securities 148,551 0.1
OIL WELL EQUIPMENT & SERVICES Dril-Quip,Inc.(a) 7,076 399,652 0.2
Other Securities 2,912,232 1.2
------------ ----
3,311,884 1.4
See Notes to Financial Statements.
56 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Summary Schedule of Investments (continued) MASTER SMALL CAP INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ----------------------------------- ------- ------------ -------
OIL: CRUDE PRODUCERS Arena Resources, Inc.(a) 9,300 $ 401,016 0.2%
Atlas Energy, Inc. 16,087 485,345 0.2
Other Securities 4,362,795 1.9
------------ ----
5,249,156 2.3
OIL: INTEGRATED Other Securities 115,125 0.0
PAINTS & COATINGS Other Securities 469,513 0.2
PAPER Domtar Corp.(a) 10,100 559,641 0.3
Other Securities 950,550 0.4
------------ ----
1,510,191 0.7
PERSONAL CARE Chattem, Inc.(a) 4,600 429,180 0.2
Other Securities 240,111 0.1
------------ ----
669,291 0.3
PHARMACEUTICALS Other Securities 3,849,853 1.7
PHOTOGRAPHY Other Securities 293,256 0.1
PLASTICS Other Securities 78,530 0.0
POWER TRANSMISSION EQUIPMENT Regal-Beloit Corp. 8,551 444,139 0.2
Other Securities 329,228 0.1
------------ ----
773,367 0.3
PRECIOUS METALS & MINERALS Other Securities 222,907 0.1
PRINTING & COPYING SERVICES Other Securities 105,875 0.0
PRODUCER DURABLES: MISCELLANEOUS Other Securities 144,315 0.1
PRODUCTION TECHNOLOGY EQUIPMENT Other Securities 2,369,944 1.0
PUBLISHING Other Securities 368,511 0.2
RADIO & TV BROADCASTERS Other Securities 128,827 0.1
RAILROAD EQUIPMENT Other Securities 135,620 0.1
RAILROADS Other Securities 343,360 0.1
REAL ESTATE Other Securities 409,562 0.2
REAL ESTATE INVESTMENT TRUSTS (REITS) Highwoods Properties, Inc. 17,300 576,955 0.2
MFA Financial, Inc. 67,700 497,595 0.2
National Retail Properties, Inc. 19,675 417,504 0.2
Omega Healthcare Investors, Inc. 20,400 396,780 0.2
Washington REIT 14,365 395,756 0.2
Other Securities 11,846,327 5.2
------------ ----
14,130,917 6.2
RECREATIONAL VEHICLES & BOATS Other Securities 800,568 0.3
RENTAL & LEASING SERVICES: CONSUMER Other Securities 857,321 0.4
RESTAURANTS Other Securities 2,972,811 1.3
SCIENTIFIC INSTRUMENTS: CONTROL & FILTER Other Securities 1,816,142 0.8
SCIENTIFIC INSTRUMENTS: ELECTRICAL American Superconductor Corp.(a)(b) 10,200 417,180 0.2
GrafTech International Ltd.(a) 29,444 457,854 0.2
Other Securities 1,592,022 0.7
------------ ----
2,467,056 1.1
SCIENTIFIC INSTRUMENTS: GAUGES & METERS Other Securities 304,296 0.1
SCIENTIFIC INSTRUMENTS: POLLUTION CONTROL Other Securities 995,650 0.4
SECURITIES BROKERAGE & SERVICES E*Trade Financial Corp.(a) 372,500 651,875 0.3
Other Securities 1,436,560 0.6
------------ ----
2,088,435 0.9
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 57
Summary Schedule of Investments (continued) MASTER SMALL CAP INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ----------------------------------- ------- ------------ -------
SEMICONDUCTORS & COMPONENTS Atheros Communications, Inc.(a) 15,370 $ 526,269 0.2%
Skyworks Solutions, Inc.(a) 40,033 568,068 0.2
Other Securities 4,737,920 2.1
------------ ----
5,832,257 2.5
SHIPPING Other Securities 1,297,636 0.6
SPECIALTY RETAIL Tractor Supply Co.(a) 8,700 460,752 0.2
Other Securities 6,833,688 3.0
------------ ----
7,294,440 3.2
STEEL Other Securities 132,021 0.1
SUGAR Other Securities 43,600 0.0
SYNTHETIC FIBERS & CHEMICALS Other Securities 65,550 0.0
TECHNOLOGY: MISCELLANEOUS Other Securities 781,324 0.3
TELECOMMUNICATIONS EQUIPMENT Other Securities 1,017,303 0.4
TEXTILE PRODUCTS Other Securities 146,785 0.1
TEXTILES APPAREL & SHOES J.Crew Group, Inc.(a) 12,070 540,012 0.2
The Warnaco Group, Inc.(a) 10,700 451,433 0.2
Other Securities 3,725,932 1.6
------------ ----
4,717,377 2.0
TOBACCO Other Securities 510,131 0.2
TOYS Other Securities 175,888 0.1
TRANSPORTATION: MISCELLANEOUS Other Securities 396,281 0.2
TRUCKERS Other Securities 1,459,630 0.6
UTILITIES: ELECTRICAL Cleco Corp. 14,667 400,849 0.2
Other Securities 3,544,144 1.5
------------ ----
3,944,993 1.7
UTILITIES: GAS DISTRIBUTORS Nicor, Inc.(c) 10,600 446,260 0.2
Piedmont Natural Gas Co. 18,000 481,500 0.2
Other Securities 1,856,979 0.8
------------ ----
2,784,739 1.2
UTILITIES: TELECOMMUNICATIONS Other Securities 2,096,170 0.9
UTILITIES: WATER Other Securities 708,530 0.3
------------ ----
TOTAL COMMON STOCKS 224,138,747 97.6
============ ====
INVESTMENT COMPANIES
BlackRock Kelso Capital Corp.(d) 3,100 26,412 0.0
Other Securities 382,714 0.2
------------ ----
TOTAL INVESTMENT COMPANIES 409,126 0.2
============ ====
RIGHTS
BANKS: SAVINGS, THRIFT & Other Securities -- 0.0
MORTGAGE LENDING
BUILDING MATERIALS Other Securities 1,577 0.0
------------ ----
TOTAL RIGHTS 1,577 0.0
============ ====
See Notes to Financial Statements.
58 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Summary Schedule of Investments (continued) MASTER SMALL CAP INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY WARRANTS (e) SHARES VALUE PERCENT
- -------- ------------------------------------------------------------------- ---------- ------------ -------
ALTERNATIVE ENERGY GreenHunter Energy, Inc.(Expires 8/27/11) (b)(f) 180 -- 0.0%
COMMUNICATIONS TECHNOLOGY Other Securities -- 0.0
TOTAL WARRANTS -- 0.0
------------ -----
TOTAL LONG-TERM INVESTMENTS (COST -- $190,334,906) $224,549,450 97.8
============ =====
SHORT-TERM SECURITIES
BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.11% (d)(g) 9,452,117 9,452,117 4.1
BENEFICIAL
INTEREST
(000)
----------
BlackRock Liquidity Series, LLC
Money Market Series, 0.29% (d)(g)(h) $17,387 $ 17,386,620 7.6
------------ -----
TOTAL SHORT-TERM SEC URITIES (COST -- $26,83,737) 26,838,737 11.7
------------ -----
TOTAL INVESTMENTS (COST -- $217,173,643*) 251,388,187 109.5
LIABILITIES IN EXCESS OF OTHER ASSETS (21,751,491) (9.5)
------------ -----
NET ASSETS $229,636,696 100.0%
============ =====
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost .................................................. $229,753,769
------------
Gross unrealized appreciation ................................... $ 48,267,727
Gross unrealized depreciation ................................... (26,633,309)
------------
Net unrealized appreciation ..................................... $ 21,634,418
============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of security has been pledged as collateral in connection
with open financial futures contracts.
(d) Investments in 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. $ 16,102 $ 239,668 $(221,996) --
BlackRock Kelso Capital Corp. $ 11,712 $ 42,960 $ (13,276) $ 992
BlackRock Liquidity Funds, TempFund, Institutional Class $9,452,117(1) -- -- $ 26,184
BlackRock Liquidity Series, LLC, Cash Sweep Series -- $33,514,609(2) -- $ 37,173
BlackRock Liquidity Series, LLC, Money Market Series -- $ 7,257,582(2) -- $451,286
(1) Represents net purchase cost.
(2) 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 was as
follows:
ACQUISITION
ISSUE DATE COST VALUE
- ----- ----------- ---- -----
GreenHunter Energy,Inc. 6/27/08 $-- $--
(g) Represents the current yield as of report date.
(h) Security was purchased with the cash collateral from securities loans.
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 59
Summary Schedule of Investments (concluded) MASTER SMALL CAP INDEX SERIES
- - 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 December 31, 2009 were as
follows:
EXPIRATION NOTIONAL UNREALIZED
CONTRACTS ISSUE DATE VALUE APPRECIATION
- --------- ----------------- ---------- ---------- ------------
72 Russell 2000 MINI March 2010 $4,403,447 $88,573
- - 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
assets and liabilities
- 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 December 31, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
VALUATION INPUTS SECURITIES
- ---------------- ASSETS
--------------
Level 1
Long-Term Investments(1) ................................... $224,549,450
Short-Term Securities ...................................... 9,452,117
------------
Total Level 1 ................................................. 234,001,567
------------
Level 2 -- Short-Term Securities .............................. 17,386,620
Level 3 ....................................................... --
------------
TOTAL.......................................................... $251,388,187
============
(1) See above Schedule of Investments for values in each industry.
OTHER FINANCIAL
VALUATION INPUTS INSTRUMENTS(2)
- ---------------- ASSETS
---------------
Level 1 ....................................................... $88,573
Level 2 ....................................................... --
Level 3 ....................................................... --
-------
TOTAL ......................................................... $88,573
=======
(2) Other financial instruments are financial futures contracts which are shown
at the unrealized appreciation/depreciation on the instrument.
See Notes to Financial Statements.
60 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Statement of Assets and Liabilities MASTER SMALL CAP INDEX SERIES
DECEMBER 31, 2009
ASSETS
Investments at value -- unaffiliated (including securities loaned of $16,357,904) (cost -- $190,311,919) .... $224,523,038
Investments at value -- affiliated (cost -- $26,861,724) .................................................... 26,865,149
Cash on deposit for financial futures contracts ............................................................. 780,000
Dividends receivable ........................................................................................ 271,553
Securities lending income receivable -- affiliated .......................................................... 27,404
Investment advisor receivable ............................................................................... 15,720
Investments sold receivable ................................................................................. 12,300
Prepaid expenses ............................................................................................ 54,144
------------
Total assets ................................................................................................ 252,549,308
------------
LIABILITIES
Collateral on securities loaned, at value ................................................................... 17,386,620
Withdrawals payable to investors ............................................................................ 5,379,905
Margin variation payable .................................................................................... 130,554
Other affiliates payable .................................................................................... 1,270
Directors' fees payable ..................................................................................... 257
Other accrued expenses payable .............................................................................. 14,006
------------
Total liabilities ........................................................................................... 22,912,612
------------
NET ASSETS .................................................................................................. $229,636,696
============
NET ASSETS CONSIST OF
Investors' capital .......................................................................................... $195,333,579
Net unrealized appreciation/depreciation .................................................................... 34,303,117
------------
NET ASSETS .................................................................................................. $229,636,696
============
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 61
Statement of Operations MASTER SMALL CAP INDEX SERIES
YEAR ENDED DECEMBER 31, 2009
INVESTMENT INCOME
Dividends ....................................................... $ 3,969,783
Foreign taxes withheld .......................................... (449)
Income -- affiliated ............................................ 64,349
Securities lending -- affiliated ................................ 451,286
------------
Total income .................................................... 4,484,969
------------
EXPENSES
Professional .................................................... 83,163
Accounting services ............................................. 80,196
Custodian ....................................................... 71,403
Investment advisory ............................................. 33,405
Directors ....................................................... 20,977
Printing ........................................................ 1,416
Other ........................................................... 11,486
------------
Total expenses .................................................. 302,046
Less fees paid indirectly ....................................... (111)
Less fees waived by advisor ..................................... (60,386)
------------
Total expenses after fees waived and paid indirectly ............ 241,549
------------
Net investment income ........................................... 4,243,420
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments -- unaffiliated .................................. (66,098,465)
Investments -- affiliated .................................... (235,272)
In-kind redemption ........................................... 32,836,315
Financial futures contracts .................................. 2,630,142
------------
(30,867,280)
------------
Net change in unrealized appreciation/depreciation on:
Investments .................................................. 126,875,161
Financial futures contracts .................................. (2,286,369)
------------
124,588,792
------------
Total realized and unrealized gain .............................. 93,721,512
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............. $ 97,964,932
============
See Notes to Financial Statements.
62 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Statements of Changes in Net Assets MASTER SMALL CAP INDEX SERIES
YEAR ENDED
DECEMBER 31,
-----------------------------
INCREASE (DECREASE) IN NET ASSETS: 2009 2008
- ---------------------------------- ------------- -------------
OPERATIONS
Net investment income .......................................................... $ 4,243,420 $ 7,541,773
Net realized loss .............................................................. (30,867,280) (28,428,998)
Net change in unrealized appreciation/depreciation ............................. 124,588,792 (153,156,287)
------------- -------------
Net increase (decrease) in net assets resulting from operations ................ 97,964,932 (174,043,512)
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from contributions .................................................... 171,416,855 277,100,847
Fair value of withdrawals ...................................................... (384,465,211) (388,731,499)
------------- -------------
Net decrease in net assets derived from capital transactions ................... (213,048,356) (111,630,652)
------------- -------------
NET ASSETS
Total decrease in net assets ................................................... (115,083,424) (285,674,164)
Beginning of year .............................................................. 344,720,120 630,394,284
------------- -------------
End of year $ 229,636,696 $ 344,720,120
============= =============
Financial Highlights MASTER SMALL CAP INDEX SERIES
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
2009 2008 2007 2006 2005
-------- --------- -------- -------- --------
TOTAL INVESTMENT RETURN
Total investment return ................................ 27.37% (33.57)% (1.46)% 18.13% 4.63%
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS
Total expenses ......................................... 0.09% 0.08% 0.06% 0.07% 0.08%
Total expenses after fees waived and paid indirectly ... 0.07% 0.07% 0.06% 0.07% 0.07%
Net investment income .................................. 1.27% 1.60% 1.69% 1.55% 1.17%
SUPPLEMENTAL DATA
Net assets, end of year (000) .......................... $229,637 $344,720 $630,394 $561,373 $370,145
-------- -------- -------- -------- --------
Portfolio turnover ..................................... 43% 42% 26% 40% 37%
======== ======== ======== ======== ========
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 63
Notes to Financial Statements MASTER SMALL CAP INDEX SERIES
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Master Small Cap Index Series (the "Series"), a non-diversified, open-end
management investment company, is a series of Quantitative Master Series LLC
(the "Master LLC"). The Master LLC is registered as an investment company under
the Investment Company Act of 1940, as amended (the "1940 Act"), and is
organized as a Delaware limited liability company. The Master LLC's Limited
Liability Company Agreement permits the Board of Directors (the "Board") to
issue nontransferable interests, 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: The Series' policy is to value instruments at fair value. 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 Money Market
Series (the "Money Market Series") at fair value, which is ordinarily based upon
its pro rata ownership in the net assets of the underlying fund. The Money
Market Series seeks current income consistent with maintaining liquidity and
preserving capital. The Money Market Series' investments will follow the
parameters of investments by a money market fund that is subject to Rule 2a-7
promulgated by the Securities and Exchange Commission ("SEC") under the 1940
Act. The Series may withdraw up to 25% of its investment daily, although the
manager of the Money Market Series, in its sole discretion, may permit an
investor to withdraw more than 25% on any one day.
In the event that 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, or is not available, 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.
SEGREGATION AND COLLATERALIZATION: In cases in which the 1940 Act and the
interpretive positions of the SEC require that the Series either delivers
collateral or segregates assets in connection with certain investments (e.g.,
financial futures contracts), the Series will, consistent with SEC rules and/or
certain interpretive letters issued by the SEC, segregate collateral or
designate on its books and records cash or 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, each party has requirements to
deliver/deposit securities as collateral for certain investments.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME: For financial reporting purposes,
investment transactions are recorded on the dates the transactions are entered
into (the trade dates). Realized gains and losses on investment transactions are
determined on the identified cost basis. Dividend income is recorded on the
ex-dividend dates. 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.
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 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 or if the value of an investment purchased with cash collateral falls
below the original value of the cash collateral received.
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
64 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Notes to Financial Statements (continued) MASTER SMALL CAP INDEX SERIES
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 applicable foreign tax laws, a
withholding tax may be imposed on interest, dividends and capital gains at
various rates.
The Series files US federal and various state and local tax returns. No income
tax returns are currently under examination. The statute of limitations on the
Series' US federal tax returns remain open for each of the four years ended
December 31, 2009. The statute of limitations on the Series' state and local tax
returns may remain open for an additional year depending upon the jurisdiction.
RECENT ACCOUNTING STANDARDS: In June 2009, amended guidance was issued by the
Financial Accounting Standards Board ("FASB") for transfers of financial
assets. This guidance 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. The amended guidance is effective for financial statements for
fiscal years and interim periods beginning after November 15, 2009. Earlier
application is prohibited. The recognition and measurement provisions of this
guidance must be applied to transfers occurring on or after the effective date.
Additionally, the enhanced disclosure provisions of the amended guidance should
be applied to transfers that occurred both before and after the effective date
of this guidance. The impact of this guidance on the Series' financial
statements and disclosures, if any, is currently being assessed.
In January 2010, the FASB issued amended guidance for improving disclosure about
fair value measurements that adds new disclosure requirements about transfers
into and out of Levels 1 and 2 and separate disclosures about purchases, sales,
issuances and settlements in the reconciliation for fair value measurements
using significant unobservable inputs (Level 3). It also clarifies existing
disclosure requirements relating to the levels of disaggregation for fair value
measurement and inputs and valuation techniques used to measure fair value. The
amended guidance is effective for financial statements for fiscal years and
interim periods beginning after December 15, 2009 except for disclosures about
purchases, sales, issuances and settlements in the rollforward of activity in
Level 3 fair value measurements, which are effective for fiscal years beginning
after December 15, 2010 and for interim periods within those fiscal years. The
impact of this guidance on the Series' financial statements and 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.
2. DERIVATIVE FINANCIAL INSTRUMENTS:
The Series may engage in various portfolio investment strategies both to
increase the returns of the Series and to economically hedge, or protect, its
exposure to certain risks, such as equity risk. Losses may arise if the value of
the contract decreases due to an unfavorable change in the price of the
underlying instruments or if the counterparty does not perform under the
contract. To the extent amounts due to the Series from its counterparty are not
fully collateralized contractually or otherwise, the Series bears the risk of
loss from counterparty non-performance. See Note 1 "Segregation and
Collateralization" for information with respect to collateral practices.
Counterparty risk related to exchange-traded financial futures contracts and
options is minimal because of the protection against defaults provided by the
exchange on which they trade.
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 financial futures contracts,
interest rates and the underlying assets.
DERIVATIVE INSTRUMENTS CATEGORIZED BY RISK EXPOSURE:
VALUE OF DERIVATIVE INSTRUMENTS AS OF DECEMBER 31, 2009
ASSET DERIVATIVES
-----------------------------
STATEMENT OF
ASSETS AND
LIABILITIES LOCATION VALUE
-------------------- -------
Net unrealized
appreciation/
Equity contracts* ........................ depreciation $88,573
* 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 YEAR ENDED
DECEMBER 31, 2009
NET REALIZED GAIN (LOSS) FROM
FINANCIAL
FUTURES CONTRACTS
-----------------
Equity contracts ................... $2,630,142
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 65
Notes to Financial Statements (continued) MASTER SMALL CAP INDEX SERIES
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON
FINANCIAL
FUTURES CONTRACTS
-----------------
Equity contracts ................... $(2,286,369)
For the year ended December 31,2009,the average derivative activity was as
follows:
Futures:
Average number of contracts ..... 141
Average value ................... $206,787
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:
The PNC Financial Services Group, Inc. ("PNC"), Bank of America Corporation
("BAC") and Barclays Bank PLC ("Barclays") are the largest stockholders of
BlackRock, Inc. ("BlackRock"). Due to the ownership structure, PNC is an
affiliate for 1940 Act purposes, but BAC and Barclays are 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' portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operation 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
value of the Series' net assets.
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 year ended December 31, 2009, the
Manager waived $55,314, 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 year ended December 31, 2009, the Manager
waived advisory fees in the amount of $5,072, which is included in fees waived
by advisor in the Statement of Operations.
The Manager has entered into a separate sub-advisory agreement with BlackRock
Investment Management, LLC ("BIM"), an affiliate of the Manager, under which the
Manager pays the sub-advisor 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 year ended December 31, 2009, the Series reimbursed the Manager $6,369
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 a fee based on a share of the income derived from the securities
lending activities and has retained BIM as the securities lending agent. BIM
may, on behalf of the 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 year ended December 31, 2009, BIM received $110,435 in
securities lending agent fees.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.
4. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2009 were $133,781,657 and $313,588,744, respectively.
5. BORROWINGS:
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager and its affiliates, is a party to a $500 million credit agreement
with a group of lenders, which was renewed until November 2010. 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. Prior to its renewal, the credit agreement had the following
terms: 0.02% upfront fee on the aggregate commitment amount which was allocated
to the Series based on its net assets as of October 31, 2008; 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, and 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) on amounts borrowed. Effective November 2009, the credit agreement
was renewed with the following terms: 0.02% upfront fee on the aggregate
commitment amount which was allocated to the Series based on its net assets as
of October 31, 2009, a commitment fee of 0.10% per annum based on the Series'
pro
66 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Notes to Financial Statements (concluded) MASTER SMALL CAP INDEX SERIES
rata share of the unused portion of the credit agreement and interest at a rate
equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the
Fed Funds rate plus 1.25% per annum on amounts borrowed. The Series did not
borrow under the credit agreement during the year ended December 31, 2009.
6. CONCENTRATION, MARKET AND CREDIT RISK:
In the normal course of business, the Series invests in securities and enters
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (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 generally approximated by their value recorded in the
Series' Statement of Assets and Liabilities, less any collateral held by the
Series.
The Series invests a significant portion of its assets in the financial services
sector. 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 February 24, 2010, the date the financial statements were issued, and
has determined that there were no subsequent events requiring adjustment or
additional disclosure in the financial statements.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 67
Report of Independent Registered Public Accounting Firm
MASTER SMALL CAP INDEX SERIES
TO THE INVESTORS AND BOARD OF DIRECTORS OF
QUANTITATIVE MASTER SERIES LLC:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master Small Cap Index Series, one of
the portfolios constituting Quantitative Master Series LLC, (the "Master LLC")
as of December 31, 2009, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two years in
the period then ended, and the financial highlights for each of the five years
in the period then ended. These financial statements and financial highlights
are the responsibility of the Master LLC's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2009, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Small Cap Index Series of Quantitative Master Series LLC as of December 31,
2009, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 24, 2010
68 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Officers and Directors MASTER SMALL CAP INDEX SERIES
NUMBER OF BLACKROCK-
LENGTH ADVISED REGISTERED
OF TIME INVESTMENT COMPANIES
NAME, ADDRESS POSITION(S) SERVED ("RICS") CONSISTING OF
AND YEAR OF HELD WITH AS A PRINCIPAL OCCUPATION(S) DURING INVESTMENT PORTFOLIOS PUBLIC
BIRTH MASTER LLC DIRECTOR(2) PAST FIVE YEARS ("PORTFOLIOS") OVERSEEN DIRECTORSHIPS
- --------------------- ------------ ----------- ------------------------------------ ----------------------- ----------------
NON-INTERESTED DIRECTORS(1)
RONALD W. FORBES Co-Chair of Since Professor Emeritus of Finance, 36 RICs consisting of None
55 East 52nd Street the Board 2007 School of Business, State 106 Portfolios
New York, NY 10055 and Director University of New York at Albany
1940 since 2000.
RODNEY D. JOHNSON Co-Chair of Since President, Fairmount Capital 36 RICs consisting of None
55 East 52nd Street the Board 2007 Advisors, Inc. since 1987; 106 Portfolios
New York, NY 10055 and Director Director, Fox Chase Cancer Center
1941 since 2004; Member of the
Archdiocesan Investment Committee
of the Archdiocese of Philadelphia
since 2004; Director, The Committee
of Seventy (civic) since 2006.
DAVID O. BEIM Director Since Professor of Finance and Economics 36 RICs consisting of None
55 East 52nd Street 2007 at the Columbia University Graduate 106 Portfolios
New York, NY 10055 School of Business since 1991;
1940 Trustee, Phillips Exeter Academy
since 2002; Chairman, Wave Hill,
Inc. (public garden and cultural
center) from 1990 to 2006.
DR. MATINA HORNER Director Since Executive Vice President of 36 RICs consisting of NSTAR (electric
55 East 52nd Street 2007 Teachers Insurance and Annuity 106 Portfolios and gas utility)
New York, NY 10055 Association and College Retirement
1939 Equities Fund from 1989 to 2003.
HERBERT I. LONDON Director Since Professor Emeritus, New York 36 RICs consisting of AIMS Worldwide,
55 East 52nd Street and Member 2007 University since 2005; John M. Olin 106 Portfolios Inc. (marketing)
New York, NY 10055 of the Professor of Humanities, New York
1939 Audit University from 1993 to 2005 and
Committee Professor thereof from 1980 to
2005; President, Hudson Institute
(policy research organization)
since 1997 and Trustee thereof
since 1980; Chairman of the Board
of Trustees for Grantham University
since 2006; Director, InnoCentive,
Inc. (strategic solutions company)
since 2005; Director, Cerego, LLC
(software development and design)
since 2005.
CYNTHIA A. MONTGOMERY Director Since Professor, Harvard Business School 36 RICs consisting of Newell
55 East 52nd Street 2007 since 1989; Director, Harvard 106 Portfolios Rubbermaid,
New York, NY 10055 Business School Publishing since Inc.
1952 2005; Director, McLean Hospital (manufacturing)
since 2005.
JOSEPH P. PLATT, JR. Director Since Director, The West Penn Allegheny 36 RICs consisting of Greenlight
55 East 52nd Street 2007 Health System (a not-for-profit 106 Portfolios Capital Re,
New York, NY 10055 health system) since 2008; Ltd.
1947 Director, Jones and Brown (Canadian (reinsurance
insurance broker) since 1998; company)
General Partner, Thorn Partners, LP
(private investment) since 1998;
Partner, Amarna Corporation, LLC
(private investment company) from
2002 to 2008.
ROBERT C. ROBB, JR. Director Since Partner, Lewis, Eckert, Robb and 36 RICs consisting of None
55 East 52nd Street 2007 Company (management and financial 106 Portfolios
New York, NY 10055 consulting firm) since 1981.
1945
TOBY ROSENBLATT Director Since President, Founders Investments 36 RICs consisting of A.P. Pharma,
55 East 52nd Street 2007 Ltd. (private investments) since 106 Portfolios Inc. (specialty
New York, NY 10055 1999; Director, College Access pharmaceuticals)
1938 Foundation of California (philan-
thropic foundation) since 2009;
Director, Forward Management, LLC
since 2007; Director, The James
Irvine Foundation (philanthropic
foundation) from 1998 to 2008.
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 69
Officers and Directors (contined) MASTER SMALL CAP INDEX SERIES
NUMBER OF BLACKROCK-
LENGTH ADVISED REGISTERED
OF TIME INVESTMENT COMPANIES
NAME, ADDRESS POSITION(S) SERVED ("RICS") CONSISTING OF
AND YEAR OF HELD WITH AS A PRINCIPAL OCCUPATION(S) DURING INVESTMENT PORTFOLIOS PUBLIC
BIRTH MASTER LLC DIRECTOR(2) PAST FIVE YEARS ("PORTFOLIOS") OVERSEEN DIRECTORSHIPS
- --------------------- ------------ ----------- ------------------------------------ ----------------------- ----------------
NON-INTERESTED DIRECTORS(1) (CONCLUDED)
KENNETH L. URISH Chair of Since Managing Partner, Urish Popeck & 36 RICs consisting of None
55 East 52nd Street the Audit 2007 Co., LLC (certified public 106 Portfolios
New York, NY 10055 Committee accountants and consultants) since
1951 and Director 1976; Member of External Advisory
Board, The Pennsylvania State
University Accounting Department
since 2001; Trustee, The Holy
Family Foundation since 2001;
Committee Member, Professional
Ethics Committee of the
Pennsylvania Institute of Certified
Public Accountants from 2007 to
2010; President and Trustee,
Pittsburgh Catholic Publishing
Associates from 2003 to 2008;
Director, Inter-Tel from 2006 to
2007.
FREDERICK W. WINTER Director Since Professor and Dean Emeritus of the 36 RICs consisting of None
55 East 52nd Street and Member 2007 Joseph M. Katz School of Business, 106 Portfolios
New York, NY 10055 of the University of Pittsburgh since 2005
1945 Audit and Dean thereof from 1997 to 2005;
Committee Director, Alkon Corporation
(pneumatics) since 1992; Director,
Tippman Sports (recreation) since
2005; Director, Indotronix
International (IT services) from
2004 to 2008.
(1) Directors serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72. The Board has approved
one-year extensions in terms of Directors who turn 72 prior to December 31,
2013.
(2) Date shown is the earliest date a person has served as a director for the
Master LLC covered by this annual report. Following the combination of
Merrill Lynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc.
("BlackRock") in September 2006, the various legacy MLIM and legacy
BlackRock Fund boards were realigned and consolidated into three new Fund
boards in 2007. As a result, although the chart shows directors as joining
the Master LLC board in 2007, each director first became a member of the
board of other legacy MLIM or legacy BlackRock Funds as follows: David O.
Beim, 1998; Ronald W. Forbes, 1977; Matina Horner, 2004; Rodney D. Johnson,
1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P.
Platt, Jr., 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth
L. Urish, 1999 and Frederick W. Winter, 1999.
INTERESTED DIRECTORS(3)
RICHARD S. DAVIS Director Since Managing Director, BlackRock, Inc. 173 RICs consisting None
55 East 52nd Street 2007 since 2005; Chief Executive of 304 Portfolios
New York, NY 10055 Officer, State Street Research &
1945 Management Company from 2000 to
2005; Chairman of the Board of
Directors, State Street Research
Mutual Funds from 2000 to 2005;
Chairman, SSR Realty from 2000 to
2004.
HENRY GABBAY Director Since Consultant, BlackRock, Inc. from 173 RICs consisting None
55 East 52nd Street 2007 2007 to 2008; Managing Director, of 304 Portfolios
New York, NY 10055 BlackRock, Inc. from 1989 to 2007;
1947 Chief Administrative Officer,
BlackRock Advisors, LLC from 1998
to 2007; President of BlackRock
Funds and BlackRock Bond Allocation
Target Shares from 2005 to 2007 and
Treasurer of certain closed-end
funds in the BlackRock fund complex
from 1989 to 2006.
(3) Mr. Davis is an "interested person" as defined in the Investment Company
Act of 1940, of the Master LLC based on his position with BlackRock, Inc.
and its affiliates. Mr. Gabbay is an "interested person" of the Master LLC
based on his former positions with BlackRock, Inc. and its affiliates as
well as his ownership of BlackRock, Inc. and PNC securities. Directors
serve until their resignation, removal or death, or until December 31 of
the year in which they turn 72. The Board has approved one-year extensions
in terms of Directors who turn 72 prior to December 31, 2013.
70 MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009
Officers and Directors (concluded) MASTER SMALL CAP INDEX SERIES
POSITION(S) LENGTH
NAME, ADDRESS HELD WITH OF TIME
AND YEAR OF BIRTH MASTER LLC SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ------------------- ---------------- ---------- ----------------------------------------------------------------------
MASTER LLC OFFICERS(1)
ANNE F. ACKERLEY President and Since 2009 Managing Director of BlackRock, Inc. since 2000; Vice President of the
55 East 52nd Street Chief Executive BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of
New York, NY 10055 Officer BlackRock's Global Client Group (GCG) since 2009; Chief Operating
1962 Officer of BlackRock's U.S. Retail Group from 2006 to 2009; Head of
BlackRock's Mutual Fund Group from 2000 to 2006.
JEFFREY HOLLAND, Vice President Since 2009 Managing Director of BlackRock, Inc. since 2010; Director of
CFA BlackRock, Inc. from 2006 to 2009; Chief Operating Officer of
55 East 52nd Street BlackRock's U.S. Retail Group since 2009; Co-head of Product
New York, NY 10055 Development and Management for BlackRock's U.S. Retail Group from 2007
1971 to 2009; Product Manager of Raymond James & Associates from 2003 to
2006.
BRENDAN KYNE Vice President Since 2009 Managing Director of BlackRock, Inc. since 2010; Director of
55 East 52nd Street BlackRock, Inc. from 2008 to 2009; Head of Product Development and
New York, NY 10055 Management for BlackRock's U.S. Retail Group since 2009, Co-head
1977 thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005
to 2008.
BRIAN SCHMIDT Vice President Since 2009 Managing Director of BlackRock, Inc. since 2004; Various positions
55 East 52nd Street with U.S. Trust Company from 1991 to 2003 including Director from 2001
New York, NY 10055 to 2003 and Senior Vice President from 1998 to 2003; Vice President,
1958 Chief Financial Officer and Treasurer of Excelsior Funds, Inc.,
Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001
to 2003.
NEAL J. ANDREWS Chief Financial Since 2007 Managing Director of BlackRock, Inc. since 2006; Senior Vice President
55 East 52nd Street Officer and Line of Business Head of Fund Accounting and Administration at PNC
New York, NY 10055 Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
1966
JAY M. FIFE Treasurer Since 2007 Managing Director of BlackRock, Inc. since 2007 and Director in 2006;
55 East 52nd Street Assistant Treasurer of the Merrill Lynch Investment Managers, L.P.
New York, NY 10055 ("MLIM") and Fund Asset Management, L.P. advised funds from 2005 to
1970 2006; Director of MLIM Fund Services Group from 2001 to 2006.
BRIAN P. KINDELAN Chief Compliance Since 2007 Chief Compliance Officer of the BlackRock-advised funds since 2007;
55 East 52nd Street Officer Managing Director and Senior Counsel of BlackRock, Inc. since 2005.
New York, NY 10055
1959
HOWARD B. SURLOFF Secretary Since 2007 Managing Director and General Counsel of U.S. Funds at BlackRock, Inc.
55 East 52nd Street since 2006; General Counsel (U.S.) of Goldman Sachs Asset Management,
New York, NY 10055 L.P. from 1993 to 2006.
1965
(1) Officers of the Master LLC serve at the pleasure of the Board of Directors.
Further information about the Master LLC's Officers and Directors is available
in the Master LLC's Statement of Additional Information, which can be obtained
without charge by calling (800) 441-7762.
INVESTMENT ADVISOR
BlackRock Advisors, LLC
Wilmington, DE 19809
SUB-ADVISOR
BlackRock Investment
Management, LLC
Plainsboro, NJ 08536
CUSTODIAN
State Street Bank and Trust Company
North Quincy,
MA 02171
ACCOUNTING AGENT
State Street Bank and Trust Company
Princeton, NJ 08540
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
Princeton, NJ 08540
LEGAL COUNSEL
Sidley Austin LLP
New York, NY 10019
MASTER SMALL CAP INDEX SERIES DECEMBER 31, 2009 71
Summary Schedule of Investments MASTER INTERNATIONAL INDEX SERIES
December 31, 2009 (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
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" represents 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 Australia & New Zealand Banking Group Ltd. 175,062 $ 3,567,483 0.5%
BHP Billiton Ltd. 235,856 9,025,412 1.2
Commonwealth Bank of Australia Ltd. 108,214 5,283,200 0.7
National Australia Bank Ltd. 146,693 3,579,900 0.5
Westpac Banking Corp. 205,646 4,645,276 0.6
Other Securities 33,587,838 4.5
------------ ------
59,689,109 8.0
AUSTRIA Other Securities 2,469,114 0.3
BELGIUM Other Securities 7,170,804 1.0
BERMUDA Other Securities 695,365 0.1
CAYMAN ISLANDS Other Securities 352,666 0.1
DENMARK Other Securities 6,569,630 0.9
FINLAND Nokia Oyj 260,135 3,363,540 0.4
Other Securities 4,931,862 0.7
------------ ------
8,295,402 1.1
FRANCE BNP Paribas SA 66,723 5,292,332 0.7
France Telecom SA 127,575 3,187,876 0.4
GDF Suez 87,797 3,803,453 0.5
Sanofi-Aventis 73,274 5,762,470 0.8
Societe Generale SA 43,036 2,990,138 0.4
Total SA 148,344 9,528,118 1.3
Other Securities 45,852,337 6.1
------------ ------
76,416,724 10.2
GERMANY Allianz AG, Registered Shares 32,101 3,979,237 0.5
BASF SE 65,061 4,026,667 0.5
Bayer AG 57,376 4,591,427 0.6
DaimlerChrysler AG 62,353 3,321,145 0.5
E.ON AG 133,923 5,621,288 0.8
Siemens AG 57,947 5,317,843 0.7
Other Securities 29,842,346 4.0
------------ ------
56,699,953 7.6
GREECE Other Securities 3,857,171 0.5
HONG KONG Other Securities 16,607,378 2.2
IRELAND Other Securities 2,055,882 0.3
ITALY Eni SpA 182,935 4,658,582 0.6
UniCredit SpA 977,959 3,270,057 0.4
Other Securities 16,350,598 2.2
------------ ------
24,279,237 3.2
PORTFOLIO ABBREVIATIONS
To simplify the listings of portfolio holdings AUD Australian Dollar JPY Japanese Yen
in the Summary Schedule of Investments, EUR Euro SEK Swedish Krona
the names and descriptions of many of the GBP British Pound USD US Dollar
securities have been abbreviated according
to the following list:
See Notes to Financial Statements.
72 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Summary Schedule of Investments (continued) MASTER INTERNATIONAL INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE PERCENT
- ------- ------------------------------------------------- --------- ------------ -------
JAPAN Canon, Inc. 75,500 $ 3,211,655 0.4%
Honda Motor Co., Ltd. 116,800 3,962,872 0.5
Mitsubishi UFJ Financial Group, Inc. 891,774 4,392,688 0.6
Toyota Motor Corp. 207,800 8,761,048 1.2
Other Securities 127,639,885 17.1
------------ -----
147,968,148 19.8
KAZAKHSTAN Other Securities 257,020 0.0
LUXEMBOURG Other Securities 3,998,531 0.5
NETHERLANDS Unilever NV 115,438 3,757,134 0.5
Other Securities 15,736,687 2.1
------------ -----
19,493,821 2.6
NEW ZEALAND Other Securities 808,698 0.1
NORWAY Other Securities 5,390,433 0.7
PORTUGAL Other Securities 2,310,358 0.3
SINGAPORE Other Securities 11,172,972 1.5
SPAIN Banco Bilbao Vizcaya Argentaria SA 246,340 4,489,549 0.6
Banco Santander SA 573,683 9,479,911 1.3
Telefonica SA 295,654 8,275,065 1.1
Other Securities 10,904,494 1.4
------------ -----
33,149,019 4.4
SWEDEN Other Securities 17,420,607 2.3
SWITZERLAND ABB Ltd. 160,090 3,084,827 0.4
Credit Suisse Group AG 82,164 4,070,517 0.5
Nestle SA, Registered Shares 256,418 12,444,897 1.7
Novartis AG, Registered Shares 154,654 8,445,538 1.1
Roche Holding AG 52,024 8,896,774 1.2
UBS AG 264,485 4,118,620 0.6
Other Securities 16,784,756 2.2
------------ -----
57,845,929 7.7
UNITED KINGDOM Anglo American Plc (a) 92,120 3,989,485 0.5
AstraZeneca Plc 101,396 4,765,323 0.6
BG Group Plc 235,247 4,247,679 0.6
BHP Billiton Plc 154,491 4,925,163 0.7
BP Plc 1,311,741 12,666,379 1.7
Barclays Plc 798,732 3,519,574 0.5
British American Tobacco Plc 139,745 4,536,580 0.6
Diageo Plc 174,907 3,051,444 0.4
GlaxoSmithKline Plc 362,949 7,696,642 1.0
HSBC Holdings Plc 1,213,396 13,842,812 1.9
Rio Tinto Plc, Registered Shares 95,402 5,151,391 0.7
Royal Dutch Shell Plc 248,191 7,510,303 1.0
Royal Dutch Shell Plc, Class B 188,629 5,493,474 0.7
Standard Chartered Plc 140,697 3,552,016 0.5
Tesco Plc 555,601 3,832,965 0.5
Vodafone Group Plc 3,680,257 8,522,398 1.1
Other Securities 56,091,237 7.5
------------ -----
153,394,865 20.5
------------ -----
TOTAL COMMON STOCKS 718,368,836 95.9
------------ -----
PREFERRED SECURITIES
PREFERRED STOCKS
GERMANY Other Securities 1,729,654 0.2
------------ -----
TOTAL PREFERRED SECURITIES 1,729,654 0.2
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 73
Summary Schedule of Investments (continued) MASTER INTERNATIONAL INDEX SERIES
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY RIGHTS SHARES VALUE PERCENT
- ------- ------------------------------------------------- --------- ------------ -------
AUSTRALIA Other Securities $ 7,718 0.0%
BELGIUM Other Securities 3 0.0
JAPAN Other Securities -- 0.0
------------ -----
TOTAL RIGHTS 7,721 0.0
------------ -----
WARRANTS (b)
FRANCE Other Securities 1,617 0.0
ITALY Other Securities 3,743 0.0
TOTAL WARRANTS 5,360 0.0
------------ -----
TOTAL LONG-TERM SECURITIES (COST -- $716,040,453) 720,111,571 96.1
------------ -----
SHORT-TERM SECURITIES
BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.17% (c)(d) 6,620,218 6,620,218 0.9
TOTAL SHORT-TERM SECURITIES (COST -- $6,620,218) 6,620,218 0.9
TOTAL INVESTMENTS (COST -- $722,660,671*) 726,731,789 97.0
OTHER ASSETS LESS LIABILITIES 22,548,127 3.0
------------ -----
NET ASSETS $749,279,916 100.0%
============ =====
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost ................................................ $ 755,115,777
-------------
Gross unrealized appreciation ................................. $ 84,372,030
Gross unrealized depreciation ................................. (112,756,018)
-------------
Net unrealized depreciation ................................... $ (28,383,988)
=============
(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) 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:
NET
AFFILIATE ACTIVITY INCOME
- --------- ------------ -------
BlackRock Liquidity Funds, TempCash, Institutional Class $ 6,620,218 $18,139
BlackRock Liquidity Series, LLC Cash Sweep Series $(11,259,665) $ 3,568
(d) Represents the current yield as of report date.
See Notes to Financial Statements.
74 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Summary Schedule of Investments (continued) MASTER INTERNATIONAL INDEX SERIES
- - Financial futures contracts purchased as of December 31, 2009 were as
follows:
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
CONTRACTS ISSUE EXCHANGE DATE VALUE (DEPRECIATION)
- --------- ----------------------- --------- ------------ ---------- --------------
2 Hang Seng Index Futures Hong Kong January 2010 $ 277,554 $ 5,225
97 OMXS30 Index Futures Stockholm January 2010 $1,301,611 (10,248)
146 DJ Euro Stoxx 50 Eurex March 2010 $6,046,911 173,425
79 FTSE 100 Index Futures LIFFE March 2010 $6,742,774 98,525
25 SPI 200 Index Futures Sydney March 2010 $2,624,954 114,137
75 TOPIX Index Futures Tokyo March 2010 $7,158,072 125,710
--------
TOTAL $506,774
========
- - Foreign currency exchange contracts as of December 31, 2009 were as
follows:
UNREALIZED
CURRENCY CURRENCY SETTLEMENT APPRECIATION
PURCHASED SOLD COUNTERPARTY DATE (DEPRECIATION)
- --------------- --------------- ----------------------------- ---------- --------------
EUR 401,000 USD 574,112 UBS AG 1/04/10 $ 741
GBP 246,000 USD 397,612 UBS AG 1/04/10 (274)
JPY 40,968,000 USD 440,185 UBS AG 1/04/10 (308)
AUD 315,000 USD 287,457 Brown Brothers Harriman & Co. 1/15/10 (4,942)
EUR 8,980,000 USD 13,243,561 Goldman Sachs International 1/15/10 (370,429)
EUR 2,830,000 USD 4,238,803 UBS AG 1/15/10 (181,903)
GBP 5,700,000 USD 9,352,215 Goldman Sachs International 1/15/10 (146,362)
GBP 100,000 USD 162,387 UBS AG 1/15/10 (881)
JPY 513,770,000 USD 5,700,111 Goldman Sachs International 1/15/10 (183,271)
JPY 195,255,000 USD 2,168,918 UBS AG 1/15/10 (72,278)
SEK 6,150,000 USD 865,368 Brown Brothers Harriman & Co. 1/15/10 (5,709)
USD 276,649 AUD 315,000 UBS AG 1/15/10 (5,866)
USD 3,718,021 EUR 2,552,000 Goldman Sachs International 1/15/10 59,643
USD 10,939,441 EUR 7,340,000 UBS AG 1/15/10 417,304
USD 1,709,400 GBP 1,050,000 Goldman Sachs International 1/15/10 13,585
USD 3,689,929 GBP 2,265,000 UBS AG 1/15/10 31,814
USD 564,052 JPY 50,020,000 Goldman Sachs International 1/15/10 26,940
USD 4,725,345 JPY 414,175,000 UBS AG 1/15/10 277,952
USD 149,693 SEK 1,095,000 Brown Brothers Harriman & Co. 1/15/10 (3,369)
---------
TOTAL $(147,613)
=========
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 75
Summary Schedule of Investments (concluded) MASTER INTERNATIONAL INDEX SERIES
- - 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
assets and liabilities
- 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 December 31, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
VALUATION INPUTS SECURITIES
- ---------------- ASSETS
--------------
Level 1
Long-Term Investments:
Belgium .................................................. $ 175
Cayman Islands ........................................... 149,097
France ................................................... 1,617
Italy .................................................... 3,743
Japan .................................................... 90,791
Norway ................................................... 158,756
Singapore ................................................ 148,258
Spain .................................................... 4,771
Switzerland .............................................. 486,802
Short-Term Securities ....................................... 6,620,218
------------
Total Level 1 .................................................. 7,664,228
------------
Level 2
Long-Term Investments:
Australia ................................................ 59,696,816
Austria .................................................. 2,469,114
Belgium .................................................. 7,170,629
Bermuda .................................................. 695,365
Cayman Islands ........................................... 203,569
Denmark .................................................. 6,569,630
Finland .................................................. 8,295,402
France ................................................... 76,416,724
Germany .................................................. 58,429,607
Greece ................................................... 3,857,171
Hong Kong ................................................ 16,607,378
Ireland .................................................. 2,055,881
Italy .................................................... 24,279,237
Japan .................................................... 147,877,357
Kazakhstan ............................................... 257,020
Luxembourg ............................................... 3,998,531
Netherlands .............................................. 19,493,821
New Zealand .............................................. 808,698
INVESTMENTS IN
VALUATION INPUTS (CONCLUDED) SECURITIES
- ---------------------------- ASSETS
--------------
Norway ................................................... $ 5,231,677
Portugal ................................................. 2,310,358
Singapore ................................................ 11,024,714
Spain .................................................... 33,144,248
Sweden ................................................... 17,420,607
Switzerland .............................................. 57,359,127
United Kingdom ........................................... 153,394,865
------------
Total Level 2 .................................................. 719,067,546
------------
Level 3
Long-Term Investments:
Australia ................................................ 11
Belgium .................................................. 3
Ireland .................................................. 1
------------
Total Level 3 .................................................. 15
------------
TOTAL .......................................................... $726,731,789
============
VALUATION INPUTS OTHER FINANCIAL INSTRUMENTS (1)
- ---------------- -------------------------------
ASSETS LIABILITIES
---------- -----------
Level 1 ...................................... $ 517,022 $ (10,248)
Level 2 ...................................... 827,979 (975,592)
Level 3 ...................................... -- --
---------- ---------
TOTAL ........................................ $1,345,001 $(985,840)
========== =========
(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 Leve l 3 investments for which
significant unobservable inputs were used to determine fair value:
INVESTMENTS IN
SECURITIES
--------------
Balance, as of December 31, 2008 .............................. $ 26,500
Accrued discounts/premiums .................................... --
Realized gain (loss) .......................................... --
Change in unrealized appreciation/depreciation (2) ............ (1,493)
Net purchases (sales) ......................................... 12
Net transfers in/out of level 3 ............................... (25,004)
--------
BALANCE, AS OF DECEMBER 31, 2009 .............................. $ 15
========
(2) Included in the related net change in unrealized appreciation/depreciation
on the Statement of Operations. The change in unrealized
appreciation/depreciation on securities still held at December 31, 2009 was
$12.
See Notes to Financial Statements.
76 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Statement of Assets and Liabilities MASTER INTERNATIONAL INDEX SERIES
DECEMBER 31, 2009
ASSETS
Investments at value -- unaffiliated (cost -- $716,040,453) ........... $720,111,571
Investments at value -- affiliated (cost -- $6,620,218) ............... 6,620,218
Unrealized appreciation on foreign currency exchange contracts ........ 827,979
Cash .................................................................. 309,308
Foreign currency at value (cost -- $14,506,460) ....................... 14,449,072
Cash pledgedfor financial futures contracts ........................... 4,451,000
Dividends receivable .................................................. 3,614,124
Contributions receivable from investors ............................... 100,427
Investments sold receivable ........................................... 14,346
Prepaid expenses ...................................................... 62,805
------------
Total assets .......................................................... 750,560,850
------------
LIABILITIES
Unrealized depreciation on foreign currency exchange contracts ........ 975,592
Margin variation payable .............................................. 138,091
Investments purchased payable ......................................... 17,274
Investment advisory fees payable ...................................... 5,922
Other affiliates payable .............................................. 4,302
Directors' fees payable ............................................... 449
Other accrued expenses payable ........................................ 137,193
Other liabilities ..................................................... 2,111
------------
Total liabilities ..................................................... 1,280,934
------------
NET ASSETS ............................................................ $749,279,916
============
NET ASSETS CONSIST OF
Investors' capital .................................................... $744,745,518
Net unrealized appreciation/depreciation .............................. 4,534,398
------------
NET ASSETS ............................................................ $749,279,916
============
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 77
Statement of Operations MASTER INTERNATIONAL INDEX SERIES
YEAR ENDED DECEMBER 31, 2009
INVESTMENT INCOME
Dividends ........................................................... $ 25,323,037
Foreign taxes withheld .............................................. (2,351,811)
Income -- affiliated ................................................ 21,707
-------------
Total income ........................................................ 22,992,933
-------------
EXPENSES
Custodian ........................................................... 216,809
Accounting services ................................................. 159,506
Pricing ............................................................. 117,648
Professional ........................................................ 79,487
Investment advisory ................................................. 74,764
Directors ........................................................... 26,110
Printing ............................................................ 2,419
Miscellaneous ....................................................... 29,749
-------------
Total expenses ...................................................... 706,492
Less fees waived by advisor ......................................... (18,879)
-------------
Total expenses after fees waived .................................... 687,613
-------------
Net investment income ............................................... 22,305,320
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments ...................................................... (68,061,699)
In-kind redemptions .............................................. 63,030,935
Financial futures contracts ...................................... 3,356,669
Foreign currency transactions .................................... 2,194,635
-------------
520,540
-------------
Net change in unrealized appreciation/depreciation on:
Investments ...................................................... 184,556,567
Financial futures contracts ...................................... 102,377
Foreign currency transactions .................................... (530,150)
-------------
184,128,794
-------------
Total realized and unrealized gain .................................. 184,649,334
-------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................ $ 206,954,654
=============
See Notes to Financial Statements.
78 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Statements of Changes in Net Assets MASTER INTERNATIONAL INDEX SERIES
YEAR ENDED
DECEMBER 31,
------------------------------
INCREASE (DECREASE) IN NET ASSETS: 2009 2008
- ---------------------------------- ------------- --------------
OPERATIONS
Net investment income .......................................................... $ 22,305,320 $ 33,039,462
Net realized gain (loss) ....................................................... 520,540 (52,309,895)
Net change in unrealized appreciation/depreciation ............................. 184,128,794 (468,096,168)
------------- --------------
Net increase (decrease) in net assets resulting from operations ................ 206,954,654 (487,366,601)
------------- --------------
CAPITAL TRANSACTIONS
Proceeds from contributions .................................................... 359,210,927 589,551,495
Value of withdrawals ........................................................... (523,005,063) (539,237,057)
------------- --------------
Net increase (decrease) in net assets derived from capital transactions ........ (163,794,136) 50,314,438
------------- --------------
NET ASSETS
Total increase (decrease) in net assets ........................................ 43,160,518 (437,052,163)
Beginning of year .............................................................. 706,119,398 1,143,171,561
------------- --------------
End of year .................................................................... $ 749,279,916 $ 706,119,398
============= ==============
Financial Highlights MASTER INTERNATIONAL INDEX SERIES
YEAR ENDED DECEMBER 31,
-------------------------------------------------------
2009 2008 2007 2006 2005
-------- -------- ---------- -------- --------
TOTAL INVESTMENT RETURN
Total investment return ...................... 28.99% (41.94)% 10.80% 26.61% 13.64%
-------- -------- ---------- -------- --------
RATIOS TO AVERAGE NET ASSETS
Total expenses ............................... 0.09% 0.11% 0.10% 0.11% 0.10%
-------- -------- ---------- -------- --------
Total expenses after fees waived ............. 0.09% 0.10% 0.09% 0.10% 0.10%
-------- -------- ---------- -------- --------
Net investment income ........................ 2.98% 3.54% 2.86% 2.70% 2.53%
-------- -------- ---------- -------- --------
SUPPLEMENTAL DATA
Net assets, end of year (000) ................ $749,280 $706,119 $1,143,172 $829,986 $523,155
-------- -------- ---------- -------- --------
Portfolio turnover ........................... 30% 30% 30% 23% 11%
-------- -------- ---------- -------- --------
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 79
Notes to Financial Statements MASTER INTERNATIONAL INDEX SERIES
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Master International Index Series (the "Series"), a non-diversified open-end
management investment company, is a series of Quantitative Master Series LLC
(the "Master LLC"). The Master LLC is registered as an investment company under
the Investment Company Act of 1940, as amended (the "1940 Act"), and is
organized as a Delaware limited liability company. The Master LLC's Limited
Liability Company Agreement permits the Board of Directors (the "Board") to
issue non-transferable interests, 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: The Series' policy is to value instruments at fair value. 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.
Securities and other assets and liabilities denominated in foreign currencies
are translated into US dollars using exchange rates determined as of the close
of business on the New York Stock Exchange ("NYSE"). Foreign currency exchange
contracts are valued at the mid between the bid and ask prices and are
determined as of the close of business on the NYSE. Interpolated values are
derived when the settlement date of the contract is an interim date for which
quotations are not available.
In the event that application of these methods of valuation results in a price
for an investment which is deemed not to be representative of the market value
of such investment or is not available, 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.
Generally, trading in foreign instruments is substantially completed each day at
various times prior to the close of business on the NYSE. The values of such
instruments 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
instruments 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 instruments, those
instruments may be Fair Value Assets and 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 gain (loss) for financial reporting purposes, whereas such components
are treated as ordinary income for federal income tax purposes.
PREFERRED STOCK: 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 either deliver collateral or segregate assets in connection with
certain investments (e.g., foreign currency exchange contracts and financial
futures contracts) the Series will, consistent with SEC rules and/or certain
interpretive letters issued by the SEC, segregate collateral or designate on its
books and records cash or other liquid
80 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Notes to Financial Statements (continued) MASTER INTERNATIONAL INDEX SERIES
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, each party has requirements to deliver/deposit securities as
collateral for certain investments.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME: For financial reporting purposes,
investment transactions are recorded on the dates the transactions are entered
into (the trade dates). Realized gains and losses on 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 of 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 laws, 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.
The Series files US federal and various state and local tax returns. No income
tax returns are currently under examination. The statute of limitations on the
Series' US federal tax returns remain open for each of the four years ended
December 31, 2009. 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 STANDARDS: In June 2009, amended guidance was issued by the
Financial Accounting Standards Board ("FASB") for transfers of financial assets.
This guidance 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. The amended guidance is effective for financial statements for
fiscal years and interim periods beginning after November 15, 2009. Earlier
application is prohibited. The recognition and measurement provisions of this
guidance must be applied to transfers occurring on or after the effective date.
Additionally, the enhanced disclosure provisions of the amended guidance should
be applied to transfers that occurred both before and after the effective date
of this guidance. The impact of this guidance on the Series' financial
statements and disclosures, if any, is currently being assessed.
In January 2010, the FASB issued amended guidance for improving disclosure about
fair value measurements that adds new disclosure requirements about transfers
into and out of Levels 1 and 2 and separate disclosures about purchases, sales,
issuances and settlements in the reconciliation for fair value measurements
using significant unobservable inputs (Level 3). It also clarifies existing
disclosure requirements relating to the levels of disaggregation for fair value
measurement and inputs and valuation techniques used to measure fair value. The
amended guidance is effective for financial statements for fiscal years and
interim periods beginning after December 15, 2009 except for disclosures about
purchases, sales, issuances and settlements in the rollforward of activity in
Level 3 fair value measurements, which are effective for fiscal years beginning
after December 15, 2010 and for interim periods within those fiscal years. The
impact of this guidance on the Series' financial statements and 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.
2. DERIVATIVE FINANCIAL INSTRUMENTS
The Series may engage in various portfolio investment strategies both to
increase the returns of the Series and to economically hedge, or protect, its
exposure to certain risks such as equity and foreign currency exchange rate
risks. 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
counterparty risk through master netting agreements included within an
International Swaps and Derivatives Association, Inc. ("ISDA") Master Agreement
between the Series and its counterparties. The ISDA Master Agreement allows the
Series to offset with its counterparty certain derivative financial instrument's
payables and/or receivables with collateral held with each counterparty. The
amount of collateral moved to/from applicable counterparties is based upon
minimum transfer amounts of up to $500,000. To the extent amounts due to the
Series from its counterparties are not fully collateralized contractually or
otherwise, the Series bears the risk of loss from counterparty nonperformance.
See Note 1 "Segregation and Collateralization" for additional information with
respect to collateral practices.
The Series' maximum risk of loss from counterparty credit risk on
over-the-counter ("OTC") derivatives is generally the aggregate unrealized gain
in excess of any collateral pledged by the counterparty to the Series. Certain
ISDA Master Agreements allow counterparties to OTC derivatives to terminate
derivative contracts prior to maturity in the event the Series' net assets
decline by a stated percentage or the Series fails to meet the terms of its ISDA
Master Agreements, which would cause the Series to accelerate payment of any net
liability owed to the counterparty. Counterparty risk related to exchange-traded
financial futures contracts is minimal
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 81
Notes to Financial Statements (continued) MASTER INTERNATIONAL INDEX SERIES
because of the protection against defaults provided by the exchange on which
they trade.
FINANCIAL FUTURES CONTRACTS: The Series may purchase or sell financial futures
contracts to gain exposure to, or economically hedge against, changes in the
value of interest rates (interest rate 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 contracts involves the risk of
an imperfect correlation in the movements in the price of financial futures
contracts, interest rates and the underlying assets.
FOREIGN CURRENCY EXCHANGE CONTRACTS: The Series 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 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 or unfavorable movements in the value of a foreign currency
relative to the US dollar.
DERIVATIVE INSTRUMENTS CATEGORIZED BY RISK EXPOSURE:
VALUES OF DERIVATIVE INSTRUMENTS AS OF DECEMBER 31, 2009
ASSET DERIVATIVES LIABILITY DERIVATIVES
-------------------------- -------------------------
STATEMENT OF STATEMENT OF
ASSETS AND ASSETS AND
LIABILITIES LIABILITIES
LOCATION VALUE LOCATION VALUE
-------------- -------- ------------ --------
Foreign currency Unrealized Unrealized
exchange contracts ... appreciation depreciation
on foreign on foreign
currency currency
exchange exchange
contracts $827,979 contracts $975,592
Equity contracts* ....... Net unrealized Net unrealized
appreciation/ appreciation/
depreciation $517,022 depreciation $ 10,248
* Includes cumulative appreciation/depreciation of financial futures
contracts as reported in the Summary 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
YEAR ENDED DECEMBER 31,2009
NET REALIZED
GAIN (LOSS) FROM
-----------------------
FOREIGN
FINANCIAL CURRENCY
FUTURES EXCHANGE
CONTRACTS CONTRACTS
---------- ----------
Foreign currency transactions ... -- $3,045,619
Equity contracts ................ $3,356,669 --
NET CHANGE IN UNREALIZED
APPRECIATION/DEPRECIATION ON
----------------------------
FOREIGN
FINANCIAL CURRENCY
FUTURES EXCHANGE
CONTRACTS CONTRACTS
--------- ---------
Foreign currency transactions ... -- $(444,129)
Equity contracts ................ $102,377 --
For the year ended December 31,2009,the average derivative activity was as
follows:
Futures:
Average number of contracts ........ 537
Average value ...................... $ 447,752
Foreign currency exchange contracts:
Average number of contracts ........ 81
Average US dollar amount ........... $43,305,771
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:
The PNC Financial Services Group, Inc. ("PNC"), Bank of America Corporation
("BAC") and Barclays Bank PLC ("Barclays") are the largest stockholders of
BlackRock, Inc. ("BlackRock"). Due to the ownership structure, PNC is an
affiliate for 1940 Act purposes, but BAC and Barclays are not.
The Master LLC, on behalf of the Series, has entered into an Investment Advisory
Agreement with BlackRock Advisors, LLC (the "Manager"), the Master LLC's
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 value of the Series' 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 and/or reimburse its
fees and/or expenses so that the total annual operating expenses incurred by the
Series (excluding interest expense, acquired fund fees and certain other Series'
expenses) will not exceed 0.12% of the average daily value of the Series' net
assets. This arrangement has a one-year term and is renewable. For the year
ended December 31, 2009,
82 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Notes to Financial Statements (concluded) MASTER INTERNATIONAL INDEX SERIES
the Series waived $14,094, which is included in fees waived by advisor in the
Statement of Operations.
The Manager has voluntarily agreed to waive its advisory fee by the amount of
investment advisory fees the Series pays to the Manager indirectly through its
investment in affiliated money market funds. For the year ended December 31,
2009, the Series waived $4,785, 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, with respect to the Series
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 year ended December 31, 2009, the Series reimbursed the Manager $15,780
for certain accounting services, which is included in accounting services in the
Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.
4. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2009, were $210,297,699 and $355,604,095, respectively.
5. BORROWINGS:
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager and its affiliates, is a party to a $500 million credit agreement
with a group of lenders, which was renewed until November 2010. 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. Prior to its renewal, the credit agreement had the following
terms: 0.02% upfront fee on the aggregate commitment amount which was allocated
to the Series based on its net assets as of October 31, 2008; 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, and 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) on amounts borrowed. Effective November 2009, the credit agreement
was renewed with the following terms: 0.02% upfront fee on the aggregate
commitment amount which was allocated to the Series based on its net assets as
of October 31, 2009, a commitment fee of 0.10% per annum based on the Series'
pro rata share of the unused portion of the credit agreement and interest at a
rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b)
the Fed Funds rate plus 1.25% per annum on amounts borrowed. The Series did not
borrow under the credit agreement during the year ended December 31, 2009.
6. CONCENTRATION, MARKET AND CREDIT RISK:
In the normal course of business, the Series invests in securities and enters
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (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 generally approximated by their value recorded in the
Series' Summary Statement of Assets and Liabilities, less any collateral held by
the Series.
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 its investment performance.
As of December 31, 2009, the Series had the following industry classifications:
PERCENT OF
LONG-TERM
INDUSTRY INVESTMENTS
- -------- -----------
Commercial Banks ............. 14%
Oil, Gas & Consumable Fuels ... 8
Pharmaceuticals .............. 7
Metals & Mining .............. 6
Other* ....................... 65
* 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'
financial statements through February 24, 2010, the date the financial
statements were issued and has determined that there were no subsequent events
requiring adjustment or additional disclosure in the financial statements.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 83
MASTER INTERNATIONAL INDEX SERIES
Report of Independent Registered Public Accounting Firm
TO THE INVESTORS AND BOARD OF DIRECTORS OF
QUANTITATIVE MASTER SERIES LLC:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master International Index Series, one
of the portfolios constituting Quantitative Master Series LLC, (the "Master
LLC") as of December 31, 2009, and the related statement of operations for the
year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Master LLC's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2009, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
International Index Series of Quantitative Master Series LLC as of December 31,
2009, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 24, 2010
84 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Officers and Directors MASTER INTERNATIONAL INDEX SERIES
NUMBER OF
BLACKROCK-ADVISED
REGISTERED
INVESTMENT
COMPANIES
("RICS")
LENGTH CONSISTING OF
OF TIME INVESTMENT
POSITION(S) SERVED PORTFOLIOS
NAME, ADDRESS HELD WITH AS A PRINCIPAL OCCUPATION(S) ("PORTFOLIOS") PUBLIC
AND YEAR OF BIRTH MASTER LLC DIRECTOR(2) DURING PAST FIVE YEARS OVERSEEN DIRECTORSHIPS
- ------------------- ------------ ----------- ------------------------------------------ ------------------ --------------------
NON-INTERESTED DIRECTORS(1)
RONALD W.FORBES Co-Chair of Since Professor Emeritus of Finance, School of 36 RICs consisting None
55 East 52nd Street the Board 2007 Business, State University of New York at of 106 Portfolios
New York, NY 10055 and Director Albany since 2000.
1940
RODNEY D.JOHNSON Co-Chair of Since President, Fairmount Capital 36 RICs consisting None
55 East 52nd Street the Board 2007 Advisors, Inc.since 1987; Director, of 106 Portfolios
New York, NY 10055 and Director FoxChase Cancer Center since 2004; Member
1941 of the Archdiocesan Investment Committee
of the Archdiocese of Philadelphia since
2004; Director, The Committee of Seventy
(civic) since 2006.
DAVID O.BEIM Director Since Professor of Finance and Economics at the 36 RICs consisting None
55 East 52nd Street 2007 Columbia University Graduate School of of 106 Portfolios
New York, NY 10055 Business since 1991; Trustee, Phillips
1940 Exeter Academy since 2002; Chairman, Wave
Hill, Inc.(public garden andcultural
center) from 1990 to 2006.
DR.MATINA HORNER Director Since Executive Vice President of Teachers 36 RICs consisting NSTAR (electric
55 East 52nd Street 2007 Insurance and Annuity Association and of 106 Portfolios and gas utility)
New York, NY 10055 College Retirement Equities Fund from 1989
1939 to 2003.
HERBERT I.LONDON Director Since Professor Emeritus, New York University 36 RICs consisting AIMS Worldwide,
55 East 52nd Street and Member 2007 since 2005; John M.Olin Professor of of 106 Portfolios Inc. (marketing)
New York, NY 10055 of the Humanities, New York University from 1993
1939 Audit to 2005 and Professor thereof from 1980 to
Committee 2005; President, Hudson Institute (policy
research organization) since 1997 and
Trustee thereof since 1980; Chairman of
the Board of Trustees for Grantham
University since 2006;
Director, InnoCentive, Inc. (strategic
solutions company) since 2005;
Director, Cerego, LLC (software development
and design) since 2005.
CYNTHIA Director Since Professor, Harvard Business School since 36 RICs consisting Newell Rubbermaid,
A.MONTGOMERY 2007 1989; Director, Harvard Business School of 106 Portfolios Inc.
55 East 52nd Street Publishing since 2005; Director, McLean (manufacturing)
New York, NY 10055 Hospital since 2005.
1952
JOSEPH P.PLATT, JR. Director Since Director, The West Penn Allegheny Health 36 RICs consisting Greenlight Capital
55 East 52nd Street 2007 System (a not-for-profit health system) of 106 Portfolios Re, Ltd.
New York, NY 10055 since 2008; Director, Jones and Brown (reinsurance
1947 (Canadian insurance broker) since 1998; company)
General Partner, Thorn Partners, LP (private
investment) since 1998; Partner, Amarna
Corporation, LLC (private investment
company) from 2002 to 2008.
ROBERT C.ROBB, JR. Director Since Partner, Lewis, Eckert, Robb and Company 36 RICs consisting None
55 East 52nd Street 2007 (management and financial consulting firm) of 106 Portfolios
New York, NY 10055 since 1981.
1945
TOBY ROSENBLATT Director Since President, Founders Investments 36 RICs consisting A.P.Pharma, Inc.
55 East 52nd Street 2007 Ltd. (private investments) since 1999; of 106 Portfolios (specialty
New York, NY 10055 Director, College Access Foundation of pharmaceuticals)
1938 California (philan-thropic foundation)
since 2009; Director, Forward Management,
LLC since 2007; Director, The James Irvine
Foundation (philanthropic foundation) from
1998 to 2008.
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 85
Officers and Directors (continued) MASTER INTERNATIONAL INDEX SERIES
NUMBER OF
BLACKROCK-ADVISED
REGISTERED
INVESTMENT
COMPANIES
("RICS")
LENGTH CONSISTING OF
OF TIME INVESTMENT
POSITION(S) SERVED PORTFOLIOS
NAME, ADDRESS HELD WITH AS A PRINCIPAL OCCUPATION(S) ("PORTFOLIOS") PUBLIC
AND YEAR OF BIRTH MASTER LLC DIRECTOR(2) DURING PAST FIVE YEARS OVERSEEN DIRECTORSHIPS
- ------------------- ------------ ----------- ------------------------------------------ ------------------ --------------------
NON-INTERESTED DIRECTORS(1) (CONCLUDED)
KENNETH L. URISH Chair of Since Managing Partner, Urish Popeck & Co., LLC 36 RICs consisting None
55 East 52nd Street the Audit 2007 (certified public accountants and of 106 Portfolios
New York, NY 10055 Committee consultants) since 1976; Member of
1951 and Director External Advisory Board, The Pennsylvania
State University Accounting Department
since 2001; Trustee, The Holy Family
Foundation since 2001; Committee
Member, Professional Ethics Committee of
the Pennsylvania Institute of Certified
Public Accountantsfrom2007to 2010;
President and Trustee, Pittsburgh Catholic
Publishing Associates from 2003 to 2008;
Director, Inter-Tel from 2006 to 2007.
FREDERICK W. WINTER Director Since Professor and Dean Emeritus of the Joseph 36 RICs consisting None
55 East 52nd Street and Member 2007 M. Katz School of Business, University of of 106 Portfolios
New York, NY 10055 of the Pittsburgh since 2005 and Dean thereof
1945 Audit from 1997 to 2005; Director, Alkon
Committee Corporation (pneumatics) since 1992;
Director, Tippman Sports (recreation) since
2005; Director, Indotronix International
(IT services) from 2004 to 2008.
(1) Directors serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72. The Board has approved
one-year extensions in terms of Directors who turn 72 prior to December 31,
2013.
(2) Date shown is the earliest date a person has served as a director for the
Master LLC covered by this annual report. Following the combination of
MerrillLynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc.
("BlackRock") in September 2006, the various legacy MLIM and legacy
BlackRock fund boards were realigned and consolidated into three new Fund
boards in 2007. As a result, although the chart shows directors as joining
the Master LLC Board in 2007, each director first became a member of the
board of other legacy MLIM or legacy BlackRock Funds as follows: David O.
Beim, 1998; Ronald W. Forbes, 1977; Matina Horner, 2004; Rodney D. Johnson,
1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P.
Platt, Jr., 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005;
Kenneth L. Urish, 1999 and Frederick W. Winter, 1999.
INTERESTED DIRECTORS(3)
RICHARD S. DAVIS Director Since Managing Director, BlackRock, Inc. since 173RICs consisting None
55 East 52nd Street 2007 2005; Chief Executive Officer, State Street of 304 Portfolios
New York, NY 10055 Research & Management Company from 2000 to
1945 2005; Chairman of the Board of
Directors, State Street Research Mutual
Funds from 2000 to 2005; Chairman, SSR
Realty from 2000 to 2004.
HENRY GABBAY Director Since Consultant, BlackRock, Inc. from 2007 to 173RICs consisting None
55 East 52nd Street 2007 2008; Managing Director, BlackRock, Inc. from of 304 Portfolios
New York, NY 10055 1989 to 2007; Chief Administrative
1947 Officer, BlackRock Advisors, LLC from 1998
to 2007; President of BlackRock Funds and
BlackRock Bond Allocation Target Shares
from 2005 to 2007 and Treasurer of certain
closed-end funds in the BlackRock fund
complex from 1989 to 2006.
(3) Mr. Davis is an "interested person"as defined in the Investment Company Act
of 1940, of the Master LLC based on his position with BlackRock, Inc. and
its affiliates. Mr. Gabbay is an "interested person"of the Master LLC based
on his former positions with BlackRock, Inc. and its affiliates as well as
his ownership of BlackRock, Inc. and PNC securities. Directors serve until
their resignation, removal or death, or until December 31 of the year in
which they turn 72. The Board has approved one-year extensions in terms of
Directors who turn 72 prior to December 31, 2013.
86 MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009
Officers and Directors (concluded) MASTER INTERNATIONAL INDEX SERIES
POSITION(S) LENGTH
NAME, ADDRESS HELD WITH OF TIME
AND YEAR OF BIRTH MASTER LLC SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ------------------- --------------- ------- ------------------------------------------------------------------------------------
MASTER LLC OFFICERS(1)
ANNE F. ACKERLEY President and Since Managing Director of BlackRock, Inc. since 2000; Vice President of the
55 East 52nd Street Chief Executive 2009 BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock's
New York, NY 10055 Officer Global Client Group (GCG) since 2009; Chief Operating Officer of BlackRock's U.S.
1962 Retail Group from 2006 to 2009; Head of BlackRock's Mutual Fund Group from 2000 to
2006.
JEFFREY HOLLAND, CFA Vice President Since Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from
55 East 52nd Street 2009 2006 to 2009; Chief Operating Officer of BlackRock's U.S. Retail Group since 2009;
New York, NY 10055 Co-head of Product Development and Management for BlackRock's U.S. Retail Group from
1971 2007 to 2009; Product Manager of Raymond James & Associates from 2003 to 2006.
BRENDAN KYNE Vice President Since Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from
55 East 52nd Street 2009 2008 to 2009; Head of Product Development and Management for BlackRock's U.S. Retail
New York, NY 10055 Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock,
1977 Inc. from 2005 to 2008.
BRIAN SCHMIDT Vice President Since Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust
55 East 52nd Street 2009 Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice
New York, NY 10055 President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of
1958 Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust
from 2001 to 2003.
NEAL J. ANDREWS Chief Financial Since Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of
55 East 52nd Street Officer 2007 Business Head of Fund Accounting and Administration at PNC Global Investment
New York, NY 10055 Servicing (U.S.) Inc. from 1992 to 2006.
1966
JAY M. FIFE Treasurer Since Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant
55 East 52nd Street 2007 Treasurer of the Merrill Lynch Investment Managers, L.P.("MLIM") and Fund Asset
New York, NY 10055 Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services
1970 Group from 2001 to 2006.
BRIAN P. KINDELAN Chief Compliance Since Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing
55 East 52nd Street Officer 2007 Director and Senior Counsel of BlackRock, Inc. since 2005.
New York, NY 10055
1959
HOWARD B. SURLOFF Secretary Since Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006;
55 East 52nd Street 2007 General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006.
New York, NY 10055
1965
(1) Officers of the Master LLC serve at the pleasure of the Board of Directors.
Further information about the Master LLC's Officers and Directors is available
in the Master LLC's Statement of Additional Information, which canbe obtained
without charge by calling (800) 441-7762.
INVESTMENT ADVISOR
BlackRock Advisors, LLC
Wilmington, DE 19809
SUB-ADVISOR
BlackRock Investment
Management, LLC
Plainsboro, NJ 08536
CUSTODIAN
JPMorgan Chase Bank, N.A.
Brooklyn, NY 11245
ACCOUNTING AGENT
State Street Bank and
Trust Company
Princeton, NJ 08540
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
Princeton, NJ 08540
LEGAL COUNSEL
Sidley Austin LLP
New York, NY
10019
MASTER INTERNATIONAL INDEX SERIES DECEMBER 31, 2009 87
This page intentionally left blank.
88
This page intentionally left blank.
89
(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 and Investor Classes American Beacon Funds
Call (800) 658-5811 P.O. Box 219643
Kansas City, MO 64121
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 that
provided in each semi-annual and annual report, the Funds use to determine how to vote proxies
each Fund files a complete schedule of its relating to portfolio securities is available in
portfolio holdings with the Securities and each Fund's Statement of Additional Information,
Exchange Commission ("SEC") on Form N-Q as of the which may be obtained free of charge by calling
first and third fiscal quarters. The Fund's Forms 1-800-967-9009 or by accessing the SEC's website
N-Q are available on the SEC's website at at www.sec.gov. Each Fund's proxy voting record
www.sec.gov. The Forms N-Q may also be reviewed for the most recent year ended June 30 is filed
and copied at the SEC's Public Reference Room, 450 annually with the SEC on Form N-PX. The Fund's
Fifth Street, NW, Washington, DC 20549. Forms N-PX are available on the SEC's website at
Information regarding the operation of the SEC's www.sec.gov. The Fund's proxy voting record may
Public Reference Room may be obtained by calling also be obtained by calling 1-800-967-9009.
1-800-SEC-0330. A 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
STATE STREET BANK AND TRUST
Boston, Massachusetts
TRANSFER AGENT
BOSTON FINANCIAL DATA SERVICES
Kansas City, Missouri
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
ERNST & YOUNG LLP
Dallas, Texas
DISTRIBUTOR
FORESIDE FUND SERVICES, LLC
Portland, Maine
This report is prepared for shareholders of the American Beacon Funds and may
be distributed to others only if preceded or accompanied by a current
prospectus.
American Beacon Funds, American Beacon Small Cap Index Fund and American Beacon
International Equity Index Fund are service marks of American Beacon Advisors,
Inc.
AR 12/09
00072609
GUIDANCE | VISION | EXPERIENCE
(AMERICAN BEACON FUNDS(SM) LOGO)
Annual Report
(GRAPHIC)
December 31, 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
President's Message................................................ 1
Market and Performance Overview.................................... 2
Schedule of Investments............................................ 7
Financial Highlights............................................... 17
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 December 31, 2009
(PHOTO OF GENE L. NEEDLES)
FELLOW SHAREHOLDERS,
As an introduction to the American Beacon Treasury Inflation Protected
Securities Fund Annual Report for the 12-month period ended December 31, 2009,
please let me take a moment to tell you how pleased I am to have been serving as
President and CEO of American Beacon Advisors since April 15, 2009. I consider
it a privilege to hold this position, and I take its responsibilities quite
seriously.
I've enjoyed a long, successful career in the investment business, and I'm
no stranger to the ups and downs that markets can deliver. As a fellow investor
and shareholder, I experience these trends in much the same way you do. The
majority of 2008 was difficult in many ways. However, when I took the helm at
American Beacon, I already had many reasons to be optimistic about what might
develop in 2009. As of December 31, 2009, my optimism has been largely
confirmed.
For the one-year period (as of 12/31/09), American Beacon Treasury
Inflation Protected Securities Fund-Institutional Class returned 11.00%. Of
course, one year of performance doesn't tell the whole story, especially when
you're investing for the long term.
Many of us have long-term goals, including retirement, driving our
investment decisions. While this 12-month period began amid a frightening
recessionary environment, we finished the year with increasing confidence that
markets have begun to stabilize, that liquidity has returned to the debt markets
and that equity markets have had a substantial recovery.
I know as well as you do that maintaining a long-term perspective and doing
the right thing according to your risk tolerance and time horizon is not always
easy. But the professionals at American Beacon are dedicated to working hard to
help investors succeed.
Just as you maintain a commitment to your goals--and to those who inspire
you to create your goals--we maintain a strong commitment to due diligence and
oversight. That commitment is one of the key reasons I am honored to serve as
President and CEO, and pleased to be able to share my enthusiasm about the path
ahead with you.
A financial advisor can be an important ally in creating investment
success, so--as you review the enclosed annual report--please feel free to
discuss your thoughts and concerns with a trusted advisor. And, as always, the
professionals associated with the American Beacon Funds are grateful for the
opportunity to serve you.
Best Regards,
/s/ Gene L. Needles, Jr.
Gene L. Needles, Jr.
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
DECEMBER 31, 2009 (UNAUDITED)
The United States economy experienced an unusually volatile 2009. In the
first quarter, the economy contracted at a 6.4% annualized rate as measured by
Gross Domestic Product ("GDP"), the largest quarterly decline in economic output
since the second quarter of 1980. In contrast, in the fourth quarter, the
economy expanded at a positive 5.7%. Such a quarterly expansion is among the
strongest quarterly growth rates of the past ten years.
The well-documented economic and financial crises led to an early-year
contraction in growth. Many believe that massive monetary and fiscal stimuli are
the principal contributors to the fourth quarter's strong positive performance.
Treasury yields rose in 2009, and the yield curve steepened--as longer
maturity bond yields rose more than short maturity bond yields. In total, the
Treasury sector generated a -3.57% total return in 2009. In contrast to the poor
performance of Treasuries, corporate bonds did very well. The Barclays Capital
Credit Index generated a 16.04% return in calendar year 2009. Similarly, equity
markets performed well, as the S&P 500 Index rose nearly 26.5% in
2009--including a remarkable 67.8% increase from its low point in early March.
Also, energy prices reversed their 2008 decline, as crude oil futures prices
ended 2009 nearly 80% higher than their 2008 ending levels.
As crude oil, agricultural, and other commodities rallied in 2009,
inflation--as measured by the Consumer Price Index ("CPI")--had a stable
upswing, with notably higher results in the second half of the year. For
example, in December, the CPI increased at a 2.7% year-over-year pace (vs. -1.4%
in June), while the core CPI (CPI excluding food and energy) increased at a 1.8%
year-over-year pace (vs. 1.5% in June).
Decreasing real Treasury interest rates and increasing CPI readings
contributed to positive total returns for Treasury Inflation Protected
Securities ("TIPS"). The Barclays Capital U.S. TIPS Index returned 11.41% in
2009, while the Intermediate (1-10 year maturity) TIPS Index returned 12.02%.
Inflation expectations as evidenced by breakeven inflation rates (the
spread between similar maturity nominal and inflation-protected securities)
ranged approximately 245 basis points (2.45%) from high to low in 2009. In mid
December, breakevens peaked for the year at 2.45%, while in early January they
troughed at 0%. At year end, 10-year breakevens were approximately 2.37%. The
U.S. Treasury appears committed to the TIPS market, with $58 billion of new
supply auctioned in 2009. At year-end, the total outstanding market value of
TIPS was approximately $550 billion.
Now, the key question seems to be whether or not the U.S. economy can
sustain a reasonable growth rate absent further governmental intervention. Given
double-digit unemployment and significant amounts of excess capacity in the
economy at the end of 2009, the prospects for future growth remain unclear.
However, with the threat of inflation on the horizon, expectations are that the
TIPS market remains strong.
2
PERFORMANCE OVERVIEW
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
The Institutional Class of the Fund returned 11.00% for the period from
January 1, 2009 through December 31, 2009, trailing the Barclays Capital 1-10
Year U.S. TIPS Index (the "Index") return of 12.02% and the Lipper TIPS Index
return of 11.75%.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 6/30/04 THROUGH 12/31/09
(LINE GRAPH)
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 12/31/2009
---------------------------- VALUE OF
SINCE $10,000
INCEPTION 6/30/04-
1 YEAR 5 YEARS 6/30/04 12/31/09
------ ------- --------- --------
Institutional
Class(1, 4, 5) ........ 11.00% 4.47% 4.78% $12,932
Investor Class
(1, 2, 4, 5) .......... 10.64% 4.40% 4.72% $12,891
Barclays Capital
1-10 Yr. U.S. TIPS
Index(3) .............. 12.02% 4.74% 5.21% $13,229
Barclays Capital
U.S. TIPS Index(3) .... 11.41% 4.63% 5.39% $13,349
Lipper TIPS Funds
Index(3) .............. 11.75% 3.99% 4.88% $12,998
(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 Funds Index tracks the results of
the 30 largest mutual funds in the Lipper TIPS Fund category. Lipper is an
independent mutual fund research and ranking service. One cannot directly
invest in an index.
(4.) 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.
(5.) The total annual Fund operating expense ratios 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.
The Fund produced a strong absolute return for the twelve-month time period
amid rising commodity and energy prices. The Fund's underperformance relative to
the Index stemmed from significant relative underperformance in January, which
is attributable 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.
For the one-year period, the Fund maintained a duration neutral position
relative to the Index, and from a yield curve positioning standpoint, the Fund
was underweight the 2011-2012 and 2017 - 2019 maturities and overweight the 2013
- - 2016 and 2025 - 2026 maturities. As the real yield curve steepened during the
period, the Fund's concentration in shorter maturity TIPS benefited relative
performance.
The Fund remains focused on investing primarily in TIPS to provide
inflation protection and income to its shareholders.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND(SM)
DECEMBER 31, 2009 (UNAUDITED)
TOP TEN HOLDINGS
% OF
NET ASSETS
----------
U.S. Treasury Note, 2.000%, Due 1/15/2016... 9.1%
U.S. Treasury Note, 2.375%, Due 4/15/2011... 8.8%
U.S. Treasury Note, 2.000%, Due 1/15/2014... 8.8%
U.S. Treasury Note, 1.625%, Due 1/15/2015... 8.0%
U.S. Treasury Note, 1.875%, Due 7/15/2015... 7.5%
U.S. Treasury Note, 2.625%, Due 7/15/2017... 7.3%
U.S. Treasury Note, 2.000%, Due 7/15/2014... 5.8%
U.S. Treasury Note, 0.625%, Due 4/15/2013... 5.7%
U.S. Treasury Note, 2.500%, Due 7/15/2016... 5.2%
U.S. Treasury Note, 2.125%, Due 1/15/2019... 4.6%
PORTFOLIO DIVERSIFICATION
% OF
FIXED INCOME
------------
A........................................... 0.0%
AA.......................................... 0.0%
AAA......................................... 100.0%
(PERFORMANCE GRAPH)
U.S. Government Treasury Obligations 99.5%
Short-Term Investments 0.5%
4
FUND EXPENSES
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND(SM)
DECEMBER 31, 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 July 1, 2009 through December
31, 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. Shareholders of the
Institutional Class that invest in the 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.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The "Hypothetical" line of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund's actual
expense ratio and an assumed 5% per year rate of return before expenses (not the
Fund's actual return). You may compare the ongoing costs of investing in the
Fund with other funds by contrasting this 5% hypothetical example and the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
The hypothetical account values and expenses may not be used to estimate the
actual ending account balance or expenses you paid for the period. Shareholders
of the Institutional Class that invest in the 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 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
Account Account Expenses Paid
Value Value During Period*
7/1/09 12/31/09 7/1/09-12/31/09
--------- --------- ---------------
INSTITUTIONAL CLASS
Actual $1,000.00 $1,054.96 $1.50
Hypothetical $1,000.00 $1,023.74 $1.48
(5% return before expenses)
INVESTOR CLASS
Actual $1,000.00 $1,052.67 $3.36
Hypothetical $1,000.00 $1,021.93 $3.31
(5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the
six-month period of 0.29% and 0.65% 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 (184) by days in the year (365) to reflect the half year
period.
5
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of American Beacon Treasury Inflation Protected Securities
Fund and the Board of Trustees of American Beacon Funds:
We have audited the accompanying statement of assets and liabilities of American
Beacon Treasury Inflation Protected Securities Fund (a series of American Beacon
Funds) (the "Fund"), including the schedule of investments, as of December 31,
2009, and the related statement of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the periods indicated therein.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2009, by correspondence with the custodian
and brokers or by other appropriate auditing procedures where replies from
brokers were not received. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
American Beacon Treasury Inflation Protected Securities Fund at December 31,
2009, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein, in conformity with U.S.
generally accepted accounting principles.
/s/Ernst & Young LLP
Dallas, Texas
February 26, 2010
See accompanying notes
6
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
PAR AMOUNT VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 98.14%
3.50%, Due 1/15/2011 *......................... 3,794 3,936
2.375%, Due 4/15/2011 *........................ 13,842 14,250
3.375%, Due 1/15/2012 *........................ 2,374 2,539
2.00%, Due 4/15/2012 *......................... 6,690 6,991
3.00%, Due 7/15/2012 *......................... 6,745 7,252
0.625%, Due 4/15/2013 *........................ 9,138 9,292
1.875%, Due 7/15/2013 *........................ 5,314 5,597
2.00%, Due 1/15/2014 *......................... 13,387 14,157
1.25%, Due 4/15/2014 *......................... 1,302 1,346
2.00%, Due 7/15/2014 *......................... 8,896 9,424
1.625%, Due 1/15/2015 *........................ 12,391 12,887
1.875%, Due 7/15/2015 *........................ 11,503 12,120
2.00%, Due 1/15/2016 *......................... 13,930 14,709
2.50%, Due 7/15/2016 *......................... 7,777 8,469
2.375%, Due 1/15/2017 *........................ 4,674 5,048
2.625%, Due 7/15/2017 *........................ 10,733 11,803
1.625%, Due 1/15/2018 *........................ 2,616 2,678
1.375%, Due 7/15/2018 *........................ 4,501 4,510
2.125%, Due 1/15/2019 *........................ 7,068 7,495
1.875%, Due 7/15/2019 *........................ 2,121 2,202
2.375%, Due 1/15/2025 *........................ 298 315
2.00%, Due 1/15/2026 *......................... 517 520
3.625%, Due 4/15/2028 *........................ 468 578
2.50%, Due 1/15/2029 *......................... 539 578
--------
TOTAL U.S. TREASURY OBLIGATIONS.................... 158,696
--------
SHARES
---------
SHORT TERM INVESTMENTS - 0.46%
JP Morgan U.S. Government Money Market Fund ....... 736,787 737
--------
TOTAL INVESTMENTS - 98.60% (COST $157,347)............ 159,433
OTHER ASSETS, NET OF LIABILITIES - 1.40%.............. 2,268
--------
TOTAL NET ASSETS - 100.00%............................ $161,701
========
Percentages are stated as a percent of net assets.
* Inflation-Indexed Note.
See accompanying notes
7
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2009 (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments in securities, at value (A) ...................... $ 159,433
Dividends and interest receivable ............................ 1,305
Receivable for fund shares sold .............................. 1,045
Receivable from Manager for expense reimbursement (Note 2) ... 14
Prepaid expenses ............................................. 9
-----------
TOTAL ASSETS .............................................. 161,806
-----------
LIABILITIES:
Payable for fund shares redeemed ............................. 7
Management and investment advisory fees payable (Note 2) ..... 28
Administrative service and service fees payable .............. 21
Professional fees payable .................................... 31
Other liabilities ............................................ 18
-----------
TOTAL LIABILITIES ......................................... 105
-----------
NET ASSETS ...................................................... $ 161,701
===========
ANALYSIS OF NET ASSETS:
Paid-in-capital .............................................. 180,333
Undistributed net investment income .......................... 181
Accumulated net realized loss ................................ (20,899)
Unrealized appreciation of investments ....................... 2,086
-----------
NET ASSETS ...................................................... $ 161,701
===========
SHARES OUTSTANDING (NO PAR VALUE):
Institutional Class .......................................... 15,341,804
===========
Investor Class ............................................... 579,536
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class .......................................... $ 10 .16
===========
Investor Class ............................................... $ 10 .13
===========
(A) Cost of investments in securities ........................... $ 157,347
See accompanying notes
8
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2009 (IN THOUSANDS)
INVESTMENT INCOME:
Dividend income .............................................. $ 1
Interest income .............................................. 1,304
-------
TOTAL INVESTMENT INCOME ................................ 1,305
-------
EXPENSES:
Management and investment advisory fees (Note 2) ............. 146
Administrative service fees (Note 2):
Institutional Class ....................................... 191
Investor Class ............................................ 7
Transfer agent fees:
Institutional Class ....................................... 11
Investor Class ............................................ 1
Custody and fund accounting fees ............................. 28
Professional fees ............................................ 32
Registration fees and expenses ............................... 18
Service fees:
Investor Class (Note 2) ................................... 6
Prospectus and shareholder reports ........................... 14
Trustee fees ................................................. 13
Other expenses ............................................... 16
-------
TOTAL EXPENSES ......................................... 483
-------
Net fees waived and expenses reimbursed by Manager (Note 2) .. (131)
-------
NET EXPENSES ........................................... 352
-------
NET INVESTMENT INCOME ........................................... 953
-------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investments ............................................... 2,896
Change in net unrealized appreciation or depreciation of:
Investments ............................................... 9,275
-------
NET GAIN ON INVESTMENTS ................................ 12,171
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $13,124
=======
See accompanying notes
9
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
Year Ended Year Ended
December December
31, 2009 31, 2008
---------- ----------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ................................................... $ 953 $ 17,700
Net realized gain (loss) on investments ................................. 2,896 (22,281)
Change in net unrealized appreciation or (depreciation) of investments .. 9,275 (8,833)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ... 13,124 (13,414)
-------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class .................................................. (789) (17,654)
Investor Class ....................................................... (28) --
Net realized gain on investments:
-------- ---------
NET DISTRIBUTIONS TO SHAREHOLDERS ................................. (817) (17,654)
-------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares ........................................... 82,724 406,774
Reinvestment of dividends and distributions ............................. 615 17,654
Cost of shares redeemed ................................................. (74,134) (476,868)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE
TRANSACTIONS ................................................... 9,205 (52,440)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS ...................................... 21,512 (83,508)
-------- ---------
NET ASSETS:
Beginning of period ..................................................... 140,189 223,697
-------- ---------
END OF PERIOD * ......................................................... $161,701 $ 140,189
======== =========
* Includes undistributed net investment income of .......................... $ 181 $ 45
======== =========
See accompanying notes
10
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
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, as
amended, (the "Act") as a no load, 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 wholly-owned subsidiary
of Lighthouse Holdings, Inc., and was organized in 1986 to provide business
management, advisor, administration and asset management consulting services to
the Trust and other investors.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of
different groups of investors. The following table sets forth the differences
amongst the classes:
Class: Offered to:
- ------ -----------
Institutional Class Investors making an initial investment of $250,000
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").
Valuation Inputs
Various inputs may be used to determine the value of the Fund's
investments. These inputs are summarized in three broad levels for financial
statement purposes. The inputs or methodologies used to value securities are not
necessarily an indication of the risk associated with investing in those
securities.
Level 1 - Quoted prices in active markets for identical securities.
11
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
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.
The Fund's investments are summarized by level based on the inputs used to
determine their values. As of December 31, 2009, the Fund's investments were
classified as follows: (in thousands)
Level 1 Level 2 Level 3 Total
------- ------- ------- --------
U.S. Treasury Obligations ................. -- 158,696 -- $158,696
Short term investments .................... 737 -- -- 737
--- ------- --- --------
Total .................................. 737 158,696 -- $159,433
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 is recorded on the ex-dividend date. Interest income is
earned from settlement date, recorded on the accrual basis, and adjusted, if
necessary, for accretion of discounts and amortization of premiums. For
financial and tax reporting purposes, realized gains and losses are determined
on the basis of specific lot identification.
Inflation-indexed bonds are fixed-income securities whose principal value
is periodically adjusted to the rate of inflation. Interest is accrued based on
the principal value, which is adjusted for inflation. Any increase in the
principal amount of an inflation-indexed bond is recorded as interest income,
even though principal is not received until maturity.
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.
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.
12
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all investment
advisory and portfolio management services. Investment assets of the Fund may be
managed by multiple investment advisors which have entered into separate
investment advisory agreements with the Manager. As compensation for performing
the duties required under the Management Agreement, the Manager receives from
the Fund an annualized fee equal to 0.05% of the average daily net assets plus
amounts paid by the Manager to the investment advisors hired by the Manager to
direct investment activities of the Fund. Management fees paid during the year
ended December 31, 2009 were as follows:
AMOUNT PAID
TO NET AMOUNT
MANAGEMENT FEE MANAGEMENT INVESTMENT RETAINED BY
RATE FEE SUB-ADVISOR MANAGER
- -------------- ---------- ----------- -----------
0.15%-0.19% $145,994 $81,111 $64,883
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.
Service 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 up to 0.375% 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
of 0.09% of the Select Funds' average daily net assets. During the year ended
December 31, 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 year ended
December 31, 2009, the Fund did not utilize the credit facility.
13
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
Reimbursement of Expenses
The Manager voluntarily agreed to reimburse a portion of its Administrative
Service fee for the Institutional Class and other expenses of the Investor
Class. For the year ended December 31, 2009 the Manager reimbursed expenses of
$127,326 and $3,954 for the Institutional and Investor Classes, respectively.
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.
3. FEDERAL INCOME 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 does not have any unrecognized tax benefits in the accompanying
financial statements. Each of the tax years in the four year period indeed
December 31, 2009 remains subject to examination by the Internal Revenue
Service. If applicable, the Fund recognizes interest accrued related to
unrecognized tax benefits in interest expense and penalties in "Other expense"
on the Statement of Operations.
Dividends are categorized in accordance with income tax regulations which
may treat certain transactions differently than U.S. 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 fiscal years ended
December 31, 2009 and December 31, 2008 were as follows (in thousands):
INSTITUTIONAL INVESTOR
--------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2009 2008 2009 2008
------------ ------------ ------------ ------------
DISTRIBUTIONS PAID FROM:
Ordinary income* .......... $789 $17,654 $28 $--
Tax return of capital ..... -- -- -- --
---- ------- --- ---
TOTAL TAXABLE DISTRIBUTIONS .. $789 $17,654 $28 $--
==== ======= === ===
* For tax purposes, short-term capital gains distributions are considered
ordinary income distributions.
14
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
As of December 31, 2009, the components of distributable earnings on a tax
basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes ........ $157,638
Unrealized appreciation .......................................... 2,061
Unrealized depreciation .......................................... (266)
--------
Net unrealized appreciation/(depreciation) ....................... 1,795
Undistributed ordinary income .................................... 182
Undistributed long-term gain/(loss) .............................. (20,609)
--------
Distributable earnings ........................................... $(18,632)
========
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 sales.
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.
Accordingly, the following amounts represent current year permanent
differences derived from foreign currency transactions and return of capital
that have been reclassified as of December 31, 2009 (in thousands):
Paid-in-capital ...................................... $--
Undistributed net investment income .................. --
Accumulated net realized gain (loss) ................. --
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency ............ --
At December 31, 2009, the capital loss carry forward positions for federal
income tax purposes were (in thousands) $144, $974, $111, $14,012, and $5,367
expiring in 2013, 2014, 2015, 2016 and 2017 respectively.
4. INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of investments for
the year ended December 31, 2009, excluding short-term investments, were
$317,947,298 and $310,085,334, respectively. The Fund had purchases and sales of
U.S. Government securities of $317,947,298 and $310,085,334, respectively.
5. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares (dollars and
shares in thousands):
Year Ended December 31, 2009
INSTITUTIONAL CLASS INVESTOR CLASS
------------------- ----------------
SHARES AMOUNT SHARES AMOUNT
------- --------- ------ -------
Shares sold ............................ 7,637 $ 75,743 709 $ 6,981
Reinvestment of dividends .............. 58 587 3 28
Shares redeemed ........................ (7,594) (72,804) (132) (1,330)
------ -------- ---- -------
Net increase in shares outstanding ..... 101 $ 3,526 580 $ 5,679
====== ======== ==== =======
15
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009
Year Ended December 31, 2008
INSTITUTIONAL CLASS
-------------------
SHARES AMOUNT
------- ---------
Shares sold ............................ 38,729 $ 406,774
Reinvestment of dividends .............. 1,772 17,654
Shares redeemed ........................ (47,232) (476,868)
------ ---------
Net (decrease) in shares outstanding ... (6,731) $ (52,440)
====== =========
6. SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in
the Fund's financial statements through February 26, 2010. Management has
determined that there are no material events that would require disclosure in
the Fund's financial statements through this date.
16
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
Investor
Institutional Class Class
Year Ended December 31, March 2 to
------------------------------------------------------- December
2009(A) 2008 2007(B) 2006 2005 31, 2009(A)
-------- -------- -------- ------ ------- -----------
Net asset value, beginning of period .................... $ 9 .20 $ 10.18 $ 9 .53 $9 .75 $ 10.16 $ 9.25
-------- -------- -------- ------ ------- ------
Income from investment operations:
Net investment income ................................ 0.06 0.80 0.45 0.29 0.56(C) 0.14
Net gains (losses) on securities (both
realized and unrealized) .......................... 0.95 (0.98) 0.59 (0.19) (0.37) 0.79
-------- -------- -------- ------ ------- ------
Total income (loss) from investment operations .......... 1.01 (0.18) 1.04 0.10 0.19 0.93
-------- -------- -------- ------ ------- ------
Less distributions:
Dividends from net investment income ................. (0.05) (0.80) (0.39) (0.29) (0.55) (0.05)
Distributions from net realized gains on securities .. -- -- -- -- (0.05) --
Tax return of capital ................................ -- -- 0.00(D, E) (0.03)(D) -- --
-------- -------- -------- ------ ------- ------
Total distributions ..................................... (0.05) (0.80) (0.39) (0.32) (0.60) (0.05)
-------- -------- -------- ------ ------- ------
Net asset value, end of period .......................... $ 10.16 $ 9.20 $ 10.18 $ 9.53 $ 9.75 $10.13
======== ======== ======== ====== ======= ======
Total return ............................................ 11.00% (2.09)% 11.22% 1.05% 1.86% 10.05%(F)
======== ======== ======== ====== ======= ======
Ratios and supplemental data:
Net assets, end of period (in thousands) ............. $155,833 $140,189 $223,697 $33,792 $30,584 $5,868
Ratios to average net assets (annualized):
Expenses, after expense reimbursements
(recoupments) .................................. 0.26% 0.25% 0.43% 0.49% 0.44% 0.65%(G)
Expenses, before expense reimbursements
(recoupments) .................................. 0.36% 0.29% 0.43% 0.49% 0.39% 0.81%(G)
Net investment income, after expense
reimbursements (recoupements) .................. 0.69% 5.19% 4.74% 2.94% 5.45% 3.20%(G)
Net investment income, before expense
reimbursements (recoupments) ................... 0.59% 5.15% 4.74% 2.94% 5.50% 3.04%(G)
Portfolio turnover rate .............................. 180% 128% 139% 259% 355% 180%(H)
(A) Standish Mellon Asset Management Company, LLC was added as an investment
advisor on December 11, 2009.
(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) The tax return of capital is calculated based on outstanding shares at the
time of distribution.
(E) Amount represents less than $0.01 per share.
(F) Not annualized.
(G) Annualized.
(H) Portfolio turnover rate is for the period from January 1 through December
31, 2009.
17
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
PRIVACY POLICY & FEDERAL TAX INFORMATION
(UNAUDITED)
PRIVACY POLICY
The American Beacon Funds recognizes and respects the privacy of our
shareholders. We are providing this notice to you so you will understand how
shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of
the following sources:
- information we receive from you on applications or other forms;
- information about your transactions with us or our service
providers; and
- information we receive from third parties.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those
employees or service providers who need to know that information to provide
products or services to you. To ensure the confidentiality of your nonpublic
personal information, we maintain safeguards that comply with federal standards.
FEDERAL TAX INFORMATION
We are providing this information as required by the Internal Revenue Code.
The amounts shown may differ from those in other areas of this report because of
differences between tax and financial reporting requirements.
The Fund's distributions to shareholders did not include any short-term
capital gains.
Of the ordinary dividends paid to shareholders during the tax year ended
December 31, 2009, 100% were derived from U.S. Treasury Obligations.
18
TRUSTEES AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
The Trustees and officers of the American Beacon Funds (the "Trust") are
listed below, together with their principal occupations during the past five
years. Unless otherwise indicated, the address of each person listed below is
4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee
oversees nineteen funds in the fund complex that includes the Trust, the
American Beacon Master Trust, the American Beacon Mileage Funds, and the
American Beacon Select Funds. The Trust's Statement of Additional Information
contains additional information about the Trustees and is available without
charge by calling 1-800-658-5811.
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
--------------------- ---------------------- ---------------------------------------------------------
INTERESTED TRUSTEES Term
Lifetime of Trust
until removal,
resignation or
retirement*
Alan D. Feld** (73) Trustee since 1996 Sole Shareholder of a professional corporation which is a
Partner in the law firm of Akin, Gump, Strauss, Hauer &
Feld, LLP (1960-Present); Director, Clear Channel
Communications (1984-2008); Trustee, CenterPoint
Properties (1994-2006); Member, Board of Trustees,
Southern Methodist University ; Member, Board of
Visitors, M.D. Anderson Hospital; Board of Visitors,
Zale/Lipshy Hospital; Trustee, American Beacon Mileage
Funds (1996-Present); Trustee, American Beacon Select
Funds (1999-Present)
NON-INTERESTED TRUSTEES Term
W. Humphrey Bogart (65) Trustee since 2004 Board Member, Baylor University Medical Center Foundation
(1992-2004); Consultant, New River Canada Ltd. (mutual
fund servicing company) (1998-2003); President and CEO,
Allmerica Trust Company, NA (1996-1997); President and
CEO, Fidelity Investments Southwest Company (1983-1995);
Senior Vice President of Regional Centers, Fidelity
Investments (1988-1995); Trustee, American Beacon Mileage
Funds (2004-Present); Trustee, American Beacon Select
Funds (2004-Present)
Brenda A. Cline (49) Trustee since 2004 Executive Vice President, Chief Financial Officer,
Treasurer and Secretary, Kimbell Art Foundation
(1993-Present); Trustee, Texas Christian University
(1998-Present); Trustee, W.I. Cook Foundation, Inc.
(d/b/a Cook Children's Health Foundation) (2001-2006);
Director, Christian Church Foundation (1999-2007);
Trustee, American Beacon Mileage Funds (2004-Present);
Trustee, American Beacon Select Funds (2004-Present)
Eugene J. Duffy (55) Trustee since 2008 Principal and Executive Vice President, Paradigm Asset
Management (1994-Present); Director, Sunrise Bank of
Atlanta (2008-Present); Chairman, Special Contributions
Fund Board of Trustees, National Association for the
Advancement of Colored People (2007-Present); Trustee,
National Association for the Advancement of Colored
People (2000-Present); Board of Visitors, Emory
University (2006-Present); Trustee, Atlanta Botanical
Garden (2006-Present); Board Member, Willie L. Brown Jr.
Institute on Politics and Public Service (2001-Present);
Chair, National Association of Securities Professionals
(2000-2002); Deputy Chief Administrative Officer, City of
Atlanta (1985-1990); Trustee, American Beacon Mileage
Funds (2008-Present); Trustee, American Beacon Select
Funds (2008-Present)
19
TRUSTEE AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
--------------------- ---------------------- ---------------------------------------------------------
NON-INTERESTED
TRUSTEES (CONT.)
Thomas M. Dunning (67) Trustee since 2008 Consultant, (2008-Present); Chairman (1998-2008) and
Chief Executive Officer (1998-2007), Lockton Dunning
Benefits (consulting firm in employee benefits);
Director, Oncor Electric Delivery Company LLC
(2007-Present); Board Member, Baylor Health Care System
Foundation (2007-Present); Vice Chair, State Fair of
Texas (1987-Present); Board Member, Southwestern Medical
Foundation (1994- Present); Board Member, John Tower
Center for Political Studies/SMU (2008- Present); Board
Member, University of Texas Development Board
(2008-Present); Trustee, American Beacon Mileage Funds
(2008-Present); Trustee, American Beacon Select Funds
(2008-Present)
Richard A. Massman (66) Trustee since 2004 Consultant and General Counsel Emeritus (2009-Present),
Chairman since 2008 Senior Vice President and General Counsel (1994-2009),
Hunt Consolidated, Inc. (holding company engaged in oil
and gas exploration and production, refining, real
estate, farming, ranching and venture capital
activities); Chairman (2007-Present) and Director
(2005-Present), The Dallas Opera Foundation; Chairman
(2006-2009) and Director (2005-Present), Temple Emanu-El
Foundation; Trustee, Presbyterian Healthcare Foundation
(2006-Present); Trustee, American Beacon Mileage Funds
(2004- Present); Trustee, American Beacon Select Funds
(2004-Present)
R. Gerald Turner (64) Trustee since 2001 President, Southern Methodist University (1995-Present);
225 Perkins Admin. Bldg. Director, ChemFirst (1986-2002); Director, J.C. Penney
Southern Methodist Univ. Company, Inc. (1996-Present); Director, California
Dallas, Texas 75275 Federal Preferred Capital Corp. (2001-2003); Director,
Kronus Worldwide Inc. (chemical manufacturing)
(2003-Present); Director, First Broadcasting Investment
Partners, LLC (2003-2007); Member, Salvation Army of
Dallas Board of Directors; Member, Methodist Hospital
Advisory Board; Co-Chair, Knight Commission on
Intercollegiate Athletics; Trustee, American Beacon
Mileage Funds (2001-Present); Trustee, American Beacon
Select Funds (2001- Present)
Paul J. Zucconi,CPA (68) Trustee since 2008 Director, Affirmative Insurance Holdings, Inc. (producer
of nonstandard automobile insurance) (2004-present);
Director, Titanium Metals Corporation (producer of
titanium melted and mill products and sponge) (2002-
present); Director, Torchmark Corporation (life and
health insurance products) (2002- present); Director,
National Kidney Foundation serving North Texas (2003-
Present); Director, Dallas Chapter of National
Association of Corporate Directors (2004-Present);
Partner, KPMG (1976-2001); Trustee, American Beacon
Mileage Funds (2008-Present); Trustee, American Beacon
Select Funds (2008-Present)
OFFICERS Term
One Year
William F. Quinn (62) Executive Vice Executive Chairman (2009-Present), Chairman (2006-2009)
President from CEO (2006-2007), President (1986-2006) and Director
2007 to 2008 and (2003-Present), American Beacon Advisors, Inc.; Chairman
2009 to Present (1989-2003) and Director (1979-1989, 2003-Present),
President from American Airlines Federal Credit Union; Director Hicks
1987 to 2007 Acquisition I, Inc. (2007-2009); Director, Crescent Real
Trustee from Estate Equities, Inc.(1994-2007); Director, Pritchard,
1987 to 2008 Hubble & Herr, LLC (investment advisor) (2001-2006);
Director of Investment Committee, Southern Methodist
University Endowment Fund (1996-Present); Member,
Southern Methodist University Cox School of Business
Advisory Board (1999-2002); Member, New York Stock
Exchange Pension Manager Committee (1997-1998, 2000-2002,
2006-Present); Vice Chairman (2004-2007) and Chairman
(2007-Present), Committee for the Investment of Employee
Benefits; Director, United Way of Metropolitan Tarrant
County (1988-2000, 2004-Present); Trustee (1995-2008) and
President (1995-2007, 2008-Present), American Beacon
Mileage Funds; Trustee (1999-2008) and President
(1999-2007, 2008-Present) American Beacon Select Funds;
Director American Beacon Global Funds SPC (2002-Present);
Director, American Beacon Global Funds, plc (2007-2009)
20
TRUSTEE AND OFFICERS OF THE AMERICAN BEACON FUNDS
(UNAUDITED)
POSITION, TERM OF
OFFICE AND LENGTH
OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS
--------------------- ---------------------- ---------------------------------------------------------
Gene L. Needles, Jr. (55) President since 2009 President, CEO and Director (2009-Present), American
Executive Vice Beacon Advisors, Inc.; President (2008-2009), Touchstone
President 2009 Investments; President (2003-2007), CEO (2004-2007),
Managing Director of Sales (2002-2003), National Sales
Manager (1999-2002), and Regional Sales Manager
(1993-1999), AIM Distributors
Rosemary K. Behan (51) VP, Secretary and Vice President, Legal and Compliance, American Beacon
Chief Legal Advisors, Inc. (2006-Present); Assistant General
Officer since 2006 Counsel, First Command Financial Planning, Inc.
(2004-2006); Attorney, Enforcement Division, Securities
and Exchange Commission (1995-2004)
Brian E. Brett (49) VP since 2004 Vice President, Director of Sales and Marketing, American
Beacon Advisors, Inc. (2004-Present); Regional Vice
President, Neuberger Berman, LLC (investment advisor)
(1996-2004)
Wyatt L. Crumpler (43) VP since 2007 Vice President, Asset Management, American Beacon
Advisors, Inc. (2007- Present); Managing Director of
Corporate Accounting (2004-2007), Director of IT Strategy
and Finance (2001-2004), American Airlines, Inc.
Michael W. Fields (55) VP since 1989 Vice President, Fixed Income Investments, American Beacon
Advisors, Inc. (1988-Present); Director American Beacon
Global Funds SPC (2002-Present); Director, American
Beacon Global Funds plc (2007-2009)
Melinda G. Heika (48) Treasurer since Vice President, Finance & Accounting (2010-Present),
2010 Controller (2005-2009), Assistant Controller (1998-2004),
American Beacon Advisors, Inc.
Terri L. McKinney (46) VP since 2010 Vice President, Enterprise Services (2009-Present),
Managing Director (2003-2009), Director of Marketing &
Retail Sales (1996-2003), American Beacon Advisors, Inc.;
Vice President, Board of Trustees (2008-Present), Trustee
(2006-2008) Down Syndrome Guild of Dallas
Jeffrey K. Ringdahl (34) VP since 2010 Chief Operating Officer, American Beacon Advisors, Inc.
(2010-Present); Vice President, Product Management,
Touchstone Advisors, Inc. (2007-2010); Senior Director,
Business Integration, Fidelity Investments (2005-2007)
Christina E. Sears (38) Chief Compliance Chief Compliance Officer (2004-Present) and Senior
Officer since 2004 Compliance Analyst (1998-2004), American Beacon
and Asst. Advisors, Inc.
Secretary since
1999
* The Board has adopted a retirement plan that requires Trustees to retire no
later than the last day of the calendar year in which they reach the age of
72, provided, however, that the Board may determine to grant one or more
annual exemptions to this requirement.
** Mr. Feld is deemed to be an "interested person" of the Trust, as defined by
the 1940 Act. Mr. Feld's law firm of Akin, Gump, Strauss, Hauer & Feld LLP
has provided legal services within the past two fiscal years to the Manager
and one or more of the Trust's s sub-advisors.
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:
(E-MAIL GRAPHIC)
BY E-MAIL:
american_beacon.funds@ambeacon.com
(INTERNET GRAPHIC)
ON THE INTERNET:
Visit our website at www.americanbeaconfunds.com
(TELEPHONE GRAPHIC)
BY TELEPHONE:
Call (800) 658-5811
(MAIL GRAPHIC)
BY MAIL:
American Beacon Funds
P.O. Box 219643
Kansas City, MO 64121-9643
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
In addition to the Schedule of Investments provided in each semi-annual and
annual report, the Fund files a complete schedule of its portfolio holdings with
the Securities and Exchange Commission ("SEC") on Form N-Q as of the first and
third fiscal quarters. The Fund's Forms N-Q are available on the SEC's website
at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC's
Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information
regarding the operation of the SEC's Public Reference Room may be obtained by
calling 1-800-SEC-0330. A 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 month.
AVAILABILITY OF PROXY VOTING POLICY AND RECORDS
A description of the policies and procedures the Fund uses to determine how to
vote proxies relating to portfolio securities is available in the Fund's
Statement of Additional Information, is available free of charge on the Fund's
website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by
accessing the SEC's website at www.sec.gov. The Fund's proxy voting record for
the most recent year ended June 30 is filed annually with the SEC on Form N-PX.
The Fund's Forms N-PX are available on the SEC's website at www.sec.gov. The
Fund's proxy voting record may also be obtained by calling 1-800-967- 9009.
FUND SERVICE PROVIDERS:
CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR
STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FIRM FORESIDE FUND SERVICES,
TRUST SERVICES ERNST & YOUNG LLP LLC
Boston, Massachusetts Kansas City, Missouri Dallas, Texas Portland, Maine
This report is prepared for shareholders of the American Beacon Funds and may be
distributed to others only if preceded or accompanied by a current prospectus.
American Beacon Funds and the American Beacon Treasury Inflation Protected
Securities Fund are service marks of American Beacon Advisors, Inc.
AR 12/09
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.
The Trust's Board of Trustees has determined that Mr. Paul J. Zucconi, CPA, a
member of the Trust's Audit and Compliance Committee, is an "audit committee
financial expert" as defined in Form N-CSR. Mr. Paul J. Zucconi is
"independent" as defined in Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)
<Table>
<Caption>
Audit Fees Fiscal Year Ended
- ---------- -----------------
$294,836 10/31/2008
$88,878 12/31/2008
$298,018 10/31/2009
$72,414 12/31/2009
</Table>
(b)
<Table>
<Caption>
Audit-Related Fees Fiscal Year Ended
- ------------------ -----------------
$0 10/31/2008
$0 12/31/2008
$13,750* 10/31/2009
$0 12/31/2009
<FN>
* Review of N-1A filings
</Table>
(c)
<Table>
<Caption>
Tax Fees Fiscal Year Ended
- -------- -----------------
$12,698* 10/31/2008
$6,095 12/31/2008
$10,077 10/31/2009
$10,257 12/31/2009
<FN>
* For review of 2007 tax returns
</Table>
(d)
<Table>
<Caption>
All Other Fees Fiscal Year Ended
- -------------- -----------------
$0 10/31/2008
$0 12/31/2008
$0 10/31/2009
$0 12/31/2009
</Table>
(e)(1) Pursuant to its charter, the Trust's Audit and Compliance Committee
shall have the following duties and powers pertaining to pre-approval
of audit and non-audit services provided by the Trust's principal
accountant:
- to approve, prior to appointment, the engagement of auditors to
annually audit and provide their opinion on the Trusts' financial
statements, and, in connection therewith, reviewing and evaluating
matters potentially affecting the independence and capabilities of
the auditors;
- to approve, prior to appointment, the engagement of the auditors to
provide non-audit services to the Trusts, an investment adviser to
any series of the Trusts or any entity controlling, controlled by,
or under common control with an investment adviser ("adviser
affiliate") that provides ongoing services to the Trusts, if the
engagement relates directly to the operations and financial
reporting of the Trusts;
- to consider whether the non-audit services provided by a Trust's
auditor to an investment adviser or any adviser affiliate that
provides ongoing services to a series of the Trusts, which services
were not pre-approved by the Committee, are compatible with
maintaining the auditor's independence;
- to review the arrangements for and scope of the annual audit and any
special audits; and
- to review and approving the fees proposed to be charged to the
Trusts by the auditors for each audit and non-audit service.
The Audit and Compliance Committee may delegate any portion of its authority,
including the authority to grant pre-approvals of audit and permitted
non-audit services, to a subcommittee of one or more members. Any decisions
of the subcommittee to grant pre-approvals shall be presented to the full
audit committee at its next regularly scheduled meeting.
(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were
approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g)
<Table>
<Caption>
Aggregate Non-Audit Fees for Services Rendered to the:
- ------------------------------------------------------
Adviser's Affiliates Providing
Registrant Adviser Ongoing Services to Registrant Fiscal Year Ended
- ---------- ------- ------------------------------ -----------------
$12,698 $0 N/A 10/31/2008
$6,095 $0 N/A 12/31/2008
$23,827 $0 N/A 10/31/2009
$10,257 $0 N/A 12/31/2009
</Table>
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The schedules of investments for each series of the Trust are included in the
shareholder report presented in Item 1. 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 DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
ADVERTISING AGENCIES - AMREP Corp. (a) 300 $ 4,110
0.5% Arbitron, Inc. 5,858 137,194
Constant Contact, Inc. (a) 5,200 83,200
DG FastChannel, Inc. (a) 4,700 131,271
Harte-Hanks, Inc. 9,200 99,176
Marchex, Inc., Class B 5,000 25,400
National CineMedia, Inc. 10,570 175,145
Travelzoo, Inc. (a) 1,700 20,893
Valassis Communications, Inc. (a) 11,900 217,294
ValueClick, Inc. (a) 20,580 208,270
Viad Corp. 5,200 107,276
--------------
1,209,229
--------------
AEROSPACE - 1.3% AAR Corp. (a) 8,868 203,787
AeroVironment, Inc. (a) 3,200 93,056
Argon ST, Inc. (a) 3,300 71,676
Astronics Corp. (a) 2,100 17,955
Ceradyne, Inc. (a) 6,350 121,984
Cubic Corp. 3,852 143,680
Curtiss-Wright Corp. 11,268 352,914
Ducommun, Inc. 2,600 48,646
Esterline Technologies Corp. (a) 6,941 282,985
GenCorp, Inc. (a) 12,371 86,597
Global Defense Technology & Systems, Inc. (a) 500 8,230
Heico Corp. 5,226 231,669
Herley Industries, Inc. (a) 3,300 45,837
Kaman Corp., Class A 6,394 147,637
LMI Aerospace, Inc. (a) 2,100 27,930
Ladish Co., Inc. (a) 4,000 60,320
Moog, Inc., Class A (a) 10,813 316,064
Orbital Sciences Corp. (a) 12,735 194,336
Teledyne Technologies, Inc. (a) 8,934 342,708
Triumph Group, Inc. 3,879 187,162
--------------
2,985,173
--------------
AGRICULTURE, FISHING & AgFeed Industries, Inc. (a)(b) 7,400 37,000
RANCHING - 0.4% Alico, Inc. 900 25,614
The Andersons, Inc. 4,300 111,026
Cadiz, Inc. (a) 2,800 33,516
Cal-Maine Foods, Inc. 3,100 105,648
Calavo Growers, Inc. 2,600 44,200
China Green Agriculture, Inc. (a) 1,800 26,460
Fresh Del Monte Produce, Inc. (a) 10,100 223,210
HQ Sustainable Maritime Industries, Inc. (a) 2,100 14,784
Sanderson Farms, Inc. 4,550 191,828
Seaboard Corp. 82 110,618
--------------
923,904
--------------
AIR TRANSPORT - 1.1% Air Transport Services Group, Inc. (a) 13,000 34,320
AirTran Holdings, Inc. (a) 31,220 162,968
Alaska Air Group, Inc. (a) 8,498 293,691
Allegiant Travel Co. (a) 3,400 160,378
Atlas Air Worldwide Holdings, Inc. (a) 4,800 178,800
1
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Bristow Group, Inc. (a) 8,285 $ 318,558
Hawaiian Holdings, Inc. (a) 12,900 90,300
JetBlue Airways Corp. (a) 60,200 328,090
PHI, Inc. (a) 3,300 68,310
Republic Airways Holdings, Inc. (a) 7,300 53,947
SkyWest, Inc. 14,000 236,880
UAL Corp. (a)(b) 39,900 515,109
US Airways Group, Inc. (a) 37,900 183,436
--------------
2,624,787
--------------
ALTERNATIVE ENERGY - 0.2% Clean Energy Fuels Corp. (a) 8,200 126,362
Comverge, Inc. (a)(b) 4,500 50,580
EnerNOC, Inc. (a)(b) 3,100 94,209
Evergreen Energy, Inc. (a)(b) 30,600 10,496
Green Plains Renewable Energy (a) 2,800 41,636
Rex Stores Corp. (a) 1,800 25,308
Syntroleum Corp. (a) 17,200 45,752
TGC Industries Inc. (a) 3,800 14,858
US Geothermal, Inc. (a) 15,500 23,715
USEC, Inc. (a) 28,659 110,337
--------------
543,253
--------------
ALUMINUM - 0.2% Century Aluminum Co. (a) 13,100 212,089
Kaiser Aluminum Corp. 3,800 158,156
--------------
370,245
--------------
ASSET MANAGEMENT & Allied Capital Corp. 44,300 159,923
CUSTODIAN - 1.0% American Capital Ltd. (a)(b) 69,600 169,824
Ampal-American Israel Corp., Class A (a) 4,401 11,883
Apollo Investment Corp. (b) 38,846 370,202
Ares Capital Corp. 25,372 315,881
Artio Global Investors, Inc. (a) 6,200 158,038
Calamos Asset Management, Inc., Class A 5,100 58,803
Capital Southwest Corp. 700 55,160
Cohen & Steers, Inc. (b) 4,300 98,212
Cowen Group, Inc., Class A (a) 4,000 23,680
Diamond Hill Investments Group 600 38,538
Epoch Holding Corp. 2,500 26,125
Fifth Street Finance Corp. 7,100 76,254
GAMCO Investors, Inc., Class A 1,896 91,558
Harris & Harris Group, Inc. (a) 6,400 29,248
JMP Group, Inc. 4,100 39,852
Kohlberg Capital Corp. 4,300 19,608
MCG Capital Corp. (a) 17,400 75,168
MVC Capital, Inc. 5,500 64,900
NGP Capital Resources Co. 5,423 44,089
National Financial Partners Corp. (a) 9,900 80,091
Oppenheimer Holdings, Inc. 2,500 83,050
Pzena Investment Management, Inc., Class A (a) 1,900 15,466
Resource America, Inc., Class A 2,549 10,298
TICC Capital Corp. 7,400 44,770
Teton Advisors, Inc. 53 847
U.S. Global Investors, Inc. 3,200 39,392
2
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Virtus Investment Partners, Inc. (a) 1,535 $ 24,407
Westwood Holdings Group, Inc. 1,300 47,242
--------------
2,272,509
--------------
AUTO PARTS - 0.7% ATC Technology Corp. (a) 5,143 122,661
American Axle & Manufacturing Holdings, Inc. (b) 9,600 76,992
Amerigon, Inc. (a) 5,300 42,082
ArvinMeritor, Inc. (a) 18,400 205,712
China Automotive Systems. Inc. (a) 1,600 29,936
Dana Holding Corp. (a) 32,800 355,552
Dorman Products, Inc. (a) 2,600 40,716
Exide Technologies (a) 11,700 83,187
Fuel Systems Solutions, Inc. (a) 3,200 131,968
Standard Motor Products, Inc. 4,300 36,636
Stoneridge, Inc. (a) 3,800 34,238
Superior Industries International, Inc. 4,899 74,955
Tenneco, Inc. (a) 13,800 244,674
U.S. Auto Parts Network, Inc. (a) 1,900 9,880
Wonder Auto Technology, Inc. (a) 3,700 43,512
--------------
1,532,701
--------------
AUTO SERVICES - 0.1% Cooper Tire & Rubber Co. 14,000 280,700
--------------
BANKS: DIVERSIFIED - 5.8% 1st Source Corp. 3,684 59,276
Alliance Financial Corp. 1,200 32,580
American National Bankshares, Inc. 1,400 30,660
Ameris Bancorp 3,461 24,784
Ames National Corp. 1,600 33,776
Arrow Financial Corp. 2,290 57,250
Auburn National Bancorporation 500 9,845
BancFirst Corp. 1,590 58,894
Banco Latinoamericana de Comercio Exterior SA 6,800 94,520
Bancorp Rhode Island, Inc. 900 23,112
The Bancorp, Inc. (a) 3,800 26,068
Bank of Kentucky Financial Corp. 700 13,146
Bank of Marin Bancorp 1,500 48,840
Bank of the Ozarks, Inc. (b) 3,100 90,737
Banner Corp. 3,913 10,487
Bar Harbor Bankshares 900 24,705
Boston Private Financial Holdings, Inc. 17,533 101,165
Bridge Bancorp, Inc. 1,700 40,868
Bryn Mawr Bank Corp. 1,600 24,144
CNB Financial Corporation 2,100 33,579
CVB Financial Corp. (b) 20,065 173,362
California First National Bancorp 300 3,918
Camden National Corp. 1,900 62,130
Cape Bancorp, Inc. (a) 2,700 18,144
Capital City Bank Group, Inc. (b) 2,921 40,427
Cardinal Financial Corp. 7,000 61,180
Cathay General Bancorp 13,844 104,522
Center Bancorp, Inc. 2,945 26,269
Centerstate Banks, Inc. 3,600 36,324
Central Pacific Financial Corp. (b) 7,048 9,233
3
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Century Bancorp, Inc., Class A 1,100 $ 24,233
Chemical Financial Corp. 5,048 119,032
Chicopee Bancorp, Inc. (a) 1,500 18,720
Citizens & Northern Corp. 2,200 20,988
Citizens Banking Corp. (a) 29,487 20,346
Citizens Holding Co. 1,100 24,629
City Holding Co. 3,993 129,094
CoBiz Financial, Inc. 5,826 27,673
Columbia Banking System, Inc. 6,441 104,215
Community Bank System, Inc. 8,200 158,342
Community Trust Bancorp, Inc. 3,823 93,472
Danvers Bancorp, Inc. 4,500 58,455
Eagle Bancorp, Inc. (a) 2,900 30,363
East-West Bancorp, Inc. 22,400 353,920
Enterprise Bancorp, Inc. 1,600 17,520
Enterprise Financial Services Corp. 2,700 20,817
F.N.B. Corp. 27,297 185,347
Farmers Capital Bank Corp. 1,600 16,352
Financial Institutions, Inc. 2,700 31,806
First Bancorp, Inc. 2,100 32,382
First Bancorp, North Carolina 3,536 49,398
First BanCorp, Puerto Rico (b) 20,700 47,610
First Busey Corp. (b) 9,314 36,231
First Commonwealth Financial Corp. 21,040 97,836
First Community Bancshares, Inc. 2,994 36,078
First Financial Bancorp 11,887 173,075
First Financial Bankshares, Inc. 5,253 284,870
First Financial Corp. (b) 3,044 92,903
First Merchants Corp. 5,246 31,161
First Midwest Bancorp, Inc. 12,500 136,125
The First of Long Island Corp. 1,600 40,400
First South Bancorp, Inc. 2,100 21,630
FirstMerit Corp. 19,529 393,314
German American Bancorp, Inc. (b) 3,100 50,375
Glacier Bancorp, Inc. 15,464 212,166
Guaranty Bancorp (a) 13,200 17,424
Hampton Roads Bankshares, Inc. (b) 4,400 7,612
Hancock Holding Co. 6,554 287,000
Harleysville National Corp. 10,736 69,140
Heartland Financial USA, Inc. (b) 3,200 45,920
Home Bancshares, Inc. 3,760 90,503
IBERIABANK Corp. 4,950 266,359
Independent Bank Corp./MA 5,045 105,390
International Bancshares Corp. (b) 13,210 250,065
Investors Bancorp, Inc. (a) 11,200 122,528
Lakeland Bancorp, Inc. 5,005 31,982
Lakeland Financial Corp. 3,100 53,475
MB Financial, Inc. 11,783 232,361
MainSource Financial Group, Inc. 5,019 23,991
Merchants Bancshares, Inc. 1,400 31,696
4
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Meridian Interstate Bancorp, Inc. (a) 2,200 $ 19,118
Metro Bancorp, Inc. (a) 1,700 21,369
Midsouth Bancorp, Inc. 1,400 19,460
NASB Financial, Inc. 900 20,961
NBT Bancorp, Inc. 8,513 173,410
Nara Bancorp, Inc. 7,200 81,648
National Bankshares, Inc. 1,900 53,751
National Penn Bancshares, Inc. 29,365 170,023
Northeast Community Bancorp 1,300 8,541
Northrim Bancorp Inc. 1,800 30,384
Norwood Financial Corp. 400 11,436
Ohio Valley Banc Corp. 1,000 22,030
Old National Bancorp 20,295 252,267
Old Point Financial Corp. 400 6,220
Old Second Bancorp, Inc. (b) 3,422 23,578
Oriental Financial Group 6,118 66,074
Orrstown Financial Service, Inc. (b) 1,400 48,832
Pacific Capital Bancorp (b) 8,862 8,508
Pacific Continental Corp. 3,500 40,040
PacWest Bancorp 6,011 121,122
Park National Corp. (b) 2,715 159,859
Peapack-Gladstone Financial Corp. 2,120 26,882
Penns Woods Bancorp, Inc. 900 29,196
Peoples Bancorp, Inc. 2,610 25,265
Peoples Financial Corp. 1,300 26,416
Pinnacle Financial Partners, Inc. (a) 7,800 110,916
Porter Bancorp, Inc. 1,050 15,792
PremierWest Bancorp 5,065 7,192
PrivateBancorp, Inc. 11,896 106,707
Prosperity Bancshares, Inc. 11,400 461,358
Provident Financial Services, Inc. 14,958 159,303
Renasant Corp. 5,298 72,053
Republic Bancorp, Inc., Class A 2,254 46,432
Republic First Bancorp, Inc. (a) 2,200 9,394
Rockville Financial, Inc. 2,100 22,050
Roma Financial Corp. 2,000 24,720
S&T Bancorp, Inc. (b) 5,863 99,730
SCBT Financial Corp. 2,863 79,276
SVB Financial Group (a) 9,600 400,224
SY Bancorp, Inc. 2,730 58,286
Sandy Spring Bancorp, Inc. 4,114 36,573
Santander BanCorp (a) 903 11,089
Shore Bancshares, Inc. 2,100 30,366
Sierra Bancorp 1,800 13,734
Signature Bank (a) 9,600 306,240
Simmons First National Corp., Class A 3,500 97,300
Smithtown Bancorp, Inc. 3,500 20,825
The South Financial Group, Inc. 38,100 24,563
Southside Bancshares, Inc. 3,066 60,155
Southwest Bancorp, Inc. 3,600 24,984
5
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
State Bancorp, Inc. 3,600 $ 25,596
StellarOne Corp. 5,700 56,772
Sterling Bancorp 4,516 32,244
Sterling Bancshares, Inc. 17,914 91,899
Sterling Financial Corp. (a)(b) 13,143 8,149
Suffolk Bancorp 2,400 71,280
Sun Bancorp, Inc. (a) 3,414 12,803
Susquehanna Bancshares, Inc. 21,556 126,965
Texas Capital Bancshares, Inc. (a) 9,161 127,888
Tompkins Trustco, Inc. 2,140 86,670
Tower Bancorp, Inc. 800 18,280
Towne Bank (b) 5,300 61,904
Trico Bancshares 3,378 56,244
TrustCo Bank Corp. NY 19,161 120,714
Trustmark Corp. (b) 14,727 331,947
UMB Financial Corp. 8,052 316,846
Umpqua Holdings Corp. 20,380 273,296
Union Bankshares Corp. 3,750 46,463
United Bankshares, Inc. (b) 9,800 195,706
United Community Banks, Inc. (a)(b) 21,678 73,488
United Security Bancshares (b) 1,700 29,138
Univest Corp. of Pennsylvania 3,550 62,232
Washington Banking Co. 2,800 33,432
Washington Trust Bancorp, Inc. 3,500 54,530
Webster Financial Corp. 16,300 193,481
WesBanco, Inc. 5,563 68,647
West Bancorp, Inc. 4,100 20,213
Westamerica Bancorp (b) 6,783 375,575
Western Alliance Bancorp (a) 11,900 44,982
Wilber Corp. 1,300 9,360
Wilshire Bancorp, Inc. 4,800 39,312
Wintrust Financial Corp. 5,400 166,266
Yardkin Valley Financial Corp. 4,000 14,640
--------------
13,212,883
--------------
BANKS: SAVINGS, THRIFT & Abington Bancorp, Inc. 5,480 37,757
MORTGAGE LENDING - 1.0% Astoria Financial Corp. 21,500 267,245
Bank Mutual Corp. 11,838 81,919
BankFinancial Corp. 5,000 49,500
Beneficial Mutual Bancorp, Inc. (a) 8,100 79,704
Berkshire Hills Bancorp, Inc. 3,300 68,244
Brookline Bancorp, Inc. 15,287 151,494
Brooklyn Federal Bancorp, Inc. 1,100 11,044
Clifton Savings Bancorp, Inc. 2,100 19,677
Dime Community Bancshares, Inc. 6,949 81,442
Doral Financial Corp. (a) 1,400 5,082
ESB Financial Corp. 2,100 27,762
ESSA Bancorp, Inc. 3,800 44,460
First Defiance Financial Corp. 2,300 25,967
First Financial Holdings, Inc. 3,326 43,205
First Financial Northwest, Inc. 5,000 32,750
6
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
First Financial Service Corp. 1,300 $ 11,778
Flagstar Bancorp, Inc. (a) 16,750 10,050
Flushing Financial Corp. 6,475 72,908
Fox Chase Bancorp, Inc. (a) 1,400 13,328
Great Southern Bancorp, Inc. 2,400 51,264
Heritage Financial Corp. 1,700 23,426
Heritage Financial Group 1,000 7,250
Home Bancorp, Inc. (a) 2,100 25,599
Home Federal Bancorp, Inc. 4,000 53,240
K Fed Bancorp 800 7,032
Kearny Financial Corp. 4,100 41,328
Kentucky First Federal Banco 1,200 13,200
Legacy Bancorp, Inc./MA 1,700 16,762
NewAlliance Bancshares, Inc. 25,000 300,250
Northfield Bancorp, Inc. 4,500 60,840
Northwest Bancshares, Inc. 9,375 106,125
OceanFirst Financial Corp. 2,300 25,990
Ocwen Financial Corp. (a) 13,265 126,946
Oritani Financial Corp. 2,100 28,833
Provident New York Bancorp 8,089 68,271
Prudential Bancorp, Inc. of Pennsylvania 1,400 13,328
Territorial BanCorp, Inc. (a) 2,800 50,540
United Financial Bancorp, Inc. 4,300 56,373
ViewPoint Financial Group 2,416 34,815
WSFS Financial Corp. 1,591 40,777
Waterstone Financial, Inc. (a) 1,400 2,870
Westfield Financial, Inc. 7,812 64,449
--------------
2,354,824
--------------
BEVERAGE: BREWERS & Boston Beer Co., Inc., Class A (a) 1,900 88,540
DISTILLERS - 0.0%
--------------
BEVERAGE: SOFT DRINKS - Coca-Cola Bottling Co. Consolidated 1,087 58,720
0.1% Diedrich Coffee, Inc. (a) 700 24,395
Farmer Bros. Co. 1,520 30,005
Heckmann Corp. (a) 20,800 103,792
National Beverage Corp. 2,128 29,494
Peet's Coffee & Tea, Inc. (a) 2,400 79,992
--------------
326,398
--------------
BIOTECHNOLOGY - 3.9% AMAG Pharmaceuticals, Inc. (a) 3,960 150,599
ARYx Therapeutics, Inc. (a) 4,800 15,408
AVI BioPharma, Inc. (a)(b) 21,200 30,952
Accelrys, Inc. (a) 6,700 38,391
Acorda Therapeutics, Inc. (a) 9,400 237,068
Affymax, Inc. (a) 3,800 94,012
Albany Molecular Research, Inc. (a) 5,787 52,546
Allos Therapeutics, Inc. (a) 16,200 106,434
Alnylam Pharmaceuticals, Inc. (a)(b) 9,000 158,580
Amicus Therapeutics, Inc. (a) 4,100 16,277
Arena Pharmaceuticals, Inc. (a)(b) 21,000 74,550
Ariad Pharmaceuticals, Inc. (a) 23,719 54,079
Arqule, Inc. (a) 10,100 37,269
Array Biopharma, Inc. (a) 11,800 33,158
7
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
BioDelivery Sciences International, Inc. (a) 2,800 $ 11,004
BioMimetic Therapeutics, Inc. (a) 3,022 36,052
Biodel, Inc. (a) 4,000 17,360
Cardium Therapeutics, Inc. (a) 9,500 6,460
Celera Corp. (a) 20,200 139,582
Cell Therapeutics, Inc. (a)(b) 130,900 149,226
Celldex Therapeutics, Inc. (a) 5,900 27,612
Cepheid, Inc. (a) 14,500 180,960
Chelsea Therapeutics International, Inc. (a) 6,500 17,550
Clinical Data, Inc. (a) 2,798 51,091
Cornerstone Therapeutics, Inc. (a) 1,500 9,150
Cubist Pharmaceuticals, Inc. (a) 13,967 264,954
Curis, Inc. (a) 14,500 47,125
Cypress Bioscience, Inc. (a) 9,500 54,720
Cytokinetics, Inc. (a) 9,400 27,354
Cytori Therapeutics, Inc. (a)(b) 6,700 40,870
Discovery Laboratories, Inc. (a)(b) 22,800 14,330
Dyax Corp. (a) 15,500 52,545
Emergent Biosolutions, Inc. (a) 4,300 58,437
Enzo Biochem, Inc. (a) 7,895 42,475
Enzon Pharmaceuticals, Inc. (a)(b) 11,100 116,883
Exelixis, Inc. (a) 26,618 196,175
Facet Biotech Corp. (a) 5,780 101,612
GTx, Inc. (a)(b) 4,600 19,320
Genomic Health, Inc. (a) 3,400 66,504
Geron Corp. (a)(b) 22,329 123,926
Halozyme Therapeutics, Inc. (a) 16,000 93,920
Harvard Bioscience, Inc. (a) 7,000 24,990
Hemispherx Biopharma, Inc. (a)(b) 28,900 16,184
Human Genome Sciences, Inc. (a) 43,600 1,334,160
Idenix Pharmaceuticals, Inc. (a) 6,200 13,330
Idera Pharmaceuticals, Inc. (a) 5,400 27,918
ImmunoGen, Inc. (a) 13,100 102,966
Immunomedics, Inc. (a) 15,000 48,150
Incyte Corp. (a) 20,124 183,330
Insmed, Inc. (a) 30,600 23,562
InterMune, Inc. (a) 9,414 122,759
Kensey Nash Corp. (a) 2,000 51,000
Lexicon Genetics, Inc. (a) 21,200 36,040
Ligand Pharmaceuticals, Inc., Class B (a) 29,400 63,798
MannKind Corp. (a)(b) 13,450 117,822
Martek Biosciences Corp. (a) 7,400 140,156
Maxygen, Inc. (a) 6,201 37,764
Medivation, Inc. (a) 6,600 248,490
Metabolix, Inc. (a) 4,700 52,029
Micromet, Inc. (a)(b) 13,200 87,912
Molecular Insight Pharmaceuticals, Inc. (a) 4,300 9,675
Momenta Pharmaceuticals, Inc. (a) 9,100 114,751
Myriad Pharmaceuticals, Inc. (a) 4,675 23,515
NPS Pharmaceuticals, Inc. (a) 11,900 40,460
8
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Nabi Biopharmaceuticals (a) 12,854 $ 62,985
Nanosphere, Inc. (a) 2,600 16,744
Nektar Therapeutics (a) 23,100 215,292
Neurocrine Biosciences, Inc. (a) 9,800 26,656
Neurogesx, Inc. (a) 3,000 23,130
Novavax, Inc. (a)(b) 14,700 39,102
Omeros Corp. (a) 700 4,914
OncoGenex Pharmaceutical, Inc. (a) 1,000 22,280
Onyx Pharmaceuticals, Inc. (a) 14,820 434,819
Opko Health, Inc. (a) 10,700 19,581
Orexigen Therapeutics, Inc. (a) 5,800 43,152
Osiris Therapeutics, Inc. (a) 4,100 29,274
OxiGene, Inc. (a)(b) 8,200 9,348
PDL BioPharma, Inc. 27,200 186,592
Pharmasset, Inc. (a) 5,000 103,500
Poniard Pharmaceuticals, Inc. (a)(b) 6,400 11,712
Progenics Pharmaceuticals, Inc. (a) 6,700 29,748
Protalix BioTherapeutics, Inc. (a)(b) 9,260 61,301
RTI Biologics, Inc. (a) 13,200 50,688
Regeneron Pharmaceuticals, Inc. (a) 15,519 375,249
Repligen Corp. (a) 7,700 31,647
Repros Therapeutics, Inc. (a) 2,100 1,673
Rigel Pharmaceuticals, Inc. (a) 12,170 115,737
Sangamo Biosciences, Inc. (a) 10,300 60,976
Savient Pharmaceuticals, Inc. (a) 15,328 208,614
Seattle Genetics, Inc. (a) 19,800 201,168
Sequenom, Inc. (a)(b) 12,800 52,992
StemCells, Inc. (a)(b) 21,700 27,342
Sucampo Pharmaceuticals, Inc., Class A (a) 2,300 9,292
Synta Pharmaceuticals Corp. (a) 4,100 20,746
Theravance, Inc. (a) 13,300 173,831
Vanda Pharmaceuticals, Inc. (a) 6,500 73,060
ViroPharma, Inc. (a) 19,400 162,766
ZymoGenetics, Inc. (a) 9,200 58,788
--------------
8,951,980
--------------
BUILDING MATERIALS - 0.9% Acuity Brands, Inc. 9,960 354,974
Ameron International Corp. 2,100 133,266
BlueLinx Holdings, Inc. (a) 2,600 7,202
Builders FirstSource, Inc. (a)(b) 4,000 15,400
Gibraltar Industries, Inc. 6,734 105,926
Griffon Corp. (a) 10,455 127,760
Headwaters, Inc. (a) 13,146 85,712
LSI Industries, Inc. 4,712 37,131
Louisiana-Pacific Corp. (a) 29,400 205,212
NCI Building Systems, Inc. (a) 18,568 33,608
Orion Energy Systems, Inc. (a) 4,100 17,999
Quanex Building Products Corp. 9,410 159,688
Simpson Manufacturing Co., Inc. (b) 9,532 256,315
Texas Industries, Inc. 5,705 199,618
Trex Co., Inc. (a) 3,809 74,656
9
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Watsco, Inc. 6,165 $ 301,962
--------------
2,116,429
--------------
BUILDING: CLIMATE CONTROL Aaon, Inc. 2,650 51,649
- - 0.1% Comfort Systems USA, Inc. 9,800 120,932
Interline Brands, Inc. (a) 8,100 139,887
--------------
312,468
--------------
BUILDING: ROOFING, Beacon Roofing Supply, Inc. (a) 10,150 162,400
WALLBOARD & PLUMBING -
0.1%
--------------
CABLE TELEVISION SERVICES Knology, Inc. (a) 7,000 76,650
- - 0.1% Mediacom Communications Corp., Class A (a) 9,900 44,253
--------------
120,903
--------------
CASINOS & GAMBLING - 0.4% Ameristar Casinos, Inc. 6,400 97,472
Bally Technologies, Inc. (a) 12,800 528,512
Dover Downs Gaming & Entertainment, Inc. 3,605 13,627
Isle of Capri Casinos, Inc. (a) 3,975 29,733
Lakes Entertainment, Inc. (a) 5,300 13,303
Monarch Casino & Resort, Inc. (a) 2,200 17,820
Multimedia Games, Inc. (a) 7,300 43,873
Pinnacle Entertainment, Inc. (a) 14,994 134,646
Shuffle Master, Inc. (a) 13,500 111,240
Youbet.com, Inc. (a) 6,900 19,803
--------------
1,010,029
--------------
CEMENT - 0.0% U.S. Concrete, Inc. (a) 8,400 7,644
--------------
CHEMICALS: DIVERSIFIED - Aceto Corp. 6,200 31,930
1.2% American Vanguard Corp. 4,733 39,284
Arch Chemicals, Inc. 6,356 196,273
Hawkins, Inc. 1,700 37,111
Innophos Holdings, Inc. 4,290 98,627
LSB Industries, Inc. (a) 4,300 60,630
Landec Corp. (a) 7,000 43,680
OM Group, Inc. (a) 7,200 226,008
Olin Corp. 18,514 324,365
Omnova Solutions, Inc. (a) 9,800 60,074
PolyOne Corp. (a) 23,167 173,057
Rockwood Holdings, Inc. (a) 12,200 287,432
Schulman A, Inc. 5,106 103,039
Sensient Technologies Corp. 11,857 311,839
ShengdaTech, Inc. (a) 7,000 42,910
Solutia, Inc. (a) 28,485 361,760
W.R. Grace & Co. (a) 17,300 438,555
Westlake Chemical Corp. 4,800 119,664
--------------
2,956,238
--------------
CHEMICALS: SPECIALTY - Balchem Corp. 4,600 154,146
0.5% Calgon Carbon Corp. (a) 12,601 175,154
ICO, Inc. 5,600 40,936
Innospec, Inc. 5,900 59,531
NewMarket Corp. 2,300 263,971
Polypore International, Inc. (a) 6,000 71,400
Quaker Chemical Corp. 2,700 55,728
Stepan Co. 1,955 126,704
10
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Zep, Inc. 5,380 $ 93,182
--------------
1,040,752
--------------
COAL - 0.3% Cloud Peak Energy, Inc. (a) 6,700 97,552
International Coal Group, Inc. (a) 21,700 83,762
James River Coal Co. (a) 6,200 114,886
Patriot Coal Corp. (a) 17,500 270,550
Westmoreland Coal Co. (a) 2,400 21,384
--------------
588,134
--------------
COMMERCIAL FINANCE & Financial Federal Corp. 6,500 178,750
MORTGAGE COMPANIES - 0.1% Medallion Financial Corp. 3,700 30,229
NewStar Financial, Inc. (a) 6,000 23,520
--------------
232,499
--------------
COMMERCIAL SERVICES - ABM Industries, Inc. 11,370 234,904
2.6% APAC Customer Services, Inc. (a) 6,900 41,124
Administaff, Inc. 5,061 119,389
The Advisory Board Co. (a) 3,900 119,574
Barrett Business Services, Inc. 1,800 22,122
CBIZ, Inc. (a) 10,953 84,338
CDI Corp. 3,101 40,158
CRA International, Inc. (a) 2,400 63,960
CoStar Group, Inc. (a) 4,450 185,876
Compass Diversified Holdings 5,800 74,008
Cornell Cos., Inc. (a) 2,500 56,750
Corporate Executive Board Co. 8,100 184,842
Diamond Management & Technology
Consultants, Inc. 5,500 40,535
Dice Holdings, Inc. (a) 3,600 23,580
DynCorp. International, Inc. (a) 6,100 87,535
ExlService Holdings, Inc. (a) 3,800 69,008
Forrester Research, Inc. (a) 3,281 85,142
G&K Services, Inc., Class A 4,677 117,533
GP Strategies Corp. (a) 3,600 27,108
The Geo Group, Inc. (a) 12,100 264,748
Global Sources Ltd. (a) 3,997 24,981
The Hackett Group, Inc. (a) 9,600 26,688
Healthcare Services Group, Inc. 10,537 226,124
Heidrick & Struggles International, Inc. 3,758 117,400
Huron Consulting Group, Inc. (a) 5,000 115,200
ICF International, Inc. (a) 1,700 45,560
ICT Group, Inc. (a) 2,100 34,293
Innodata Corp. (a) 4,300 23,822
Kelly Services, Inc., Class A 6,468 77,163
Kforce, Inc. (a) 7,400 92,500
Korn/Ferry International (a) 10,168 167,772
Liquidity Services, Inc. (a) 3,600 36,252
LoopNet, Inc. (a) 4,700 46,718
MAXIMUS, Inc. 4,004 200,200
MPS Group, Inc. (a) 22,805 313,341
Mac-Gray Corp. (a) 3,100 31,930
Navigant Consulting, Inc. (a) 12,323 183,120
11
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
On Assignment, Inc. (a) 8,900 $ 63,635
Resources Connection, Inc. (a) 11,232 238,343
Rollins, Inc. 10,953 211,174
SYKES Enterprises, Inc. (a) 8,161 207,861
Spherion Corp. (a) 12,929 72,661
Standard Parking Corp. (a) 1,600 25,408
Startek, Inc. (a) 3,300 24,684
TeleTech Holdings, Inc. (a) 7,789 156,014
TrueBlue, Inc. (a) 10,922 161,755
Unifirst Corp. 3,500 168,385
Volt Information Sciences, Inc. (a) 2,938 29,380
Watson Wyatt Worldwide, Inc. (a) 9,915 471,161
World Fuel Services Corp. 13,800 369,702
--------------
5,905,461
--------------
COMMERCIAL SERVICES: Aircastle Ltd. 11,800 116,230
RENTAL & LEASING - 0.4% CAI International, Inc. (a) 2,200 19,866
Electro Rent Corp. 4,453 51,388
H&E Equipment Services, Inc. (a) 6,600 69,234
McGrath RentCorp 6,010 134,384
Mobile Mini, Inc. (a) 9,142 128,811
PHH Corp. (a)(b) 13,064 210,461
RSC Holdings, Inc. (a) 11,800 83,072
TAL International Group, Inc. 3,600 47,628
United Rentals, Inc. (a) 15,000 147,150
Willis Lease Finance Corp. (a) 1,500 22,500
--------------
1,030,724
--------------
COMMERCIAL VEHICLES & Force Protection, Inc. (a) 17,500 91,175
PARTS - 0.2% Miller Industries, Inc. (a) 2,700 30,645
Modine Manufacturing Co. 10,694 126,617
Rush Enterprises, Inc., Class A (a) 8,200 97,498
Spartan Motors, Inc. 8,100 45,603
--------------
391,538
--------------
COMMUNICATIONS TECHNOLOGY 3Com Corp. (a) 93,000 697,500
- - 2.9% AboveNet, Inc. (a) 3,000 195,120
Acme Packet, Inc. (a) 10,100 111,100
Adtran, Inc. 12,700 286,385
Airvana, Inc. (a) 5,300 40,280
Anaren, Inc. (a) 3,022 45,481
Anixter International, Inc. (a) 6,872 323,671
Aruba Networks, Inc. (a) 14,900 158,834
Bel Fuse, Inc. 2,559 54,993
BigBand Networks, Inc. (a) 8,200 28,208
Black Box Corp. 4,088 115,854
Comtech Telecommunications Corp. (a) 6,425 225,196
Digi International, Inc. (a) 6,200 56,544
DigitalGlobe, Inc. (a) 3,800 91,960
EMS Technologies, Inc. (a) 3,800 55,100
Echelon Corp. (a)(b) 8,413 97,254
Emulex Corp. (a) 19,000 207,100
Extreme Networks, Inc. (a) 22,300 64,001
12
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
GSI Technology, Inc. (a) 4,100 $ 18,368
GeoEye, Inc. (a) 4,100 114,308
Globecomm Systems, Inc. (a) 5,200 40,664
Harmonic, Inc. (a) 23,996 151,895
Harris Stratex Networks, Inc., Class A (a) 13,450 92,939
Hughes Communications, Inc. (a) 2,100 54,663
Infinera Corp. (a) 20,600 182,722
InterDigital, Inc. (a)(b) 10,200 270,708
Ixia (a) 7,229 53,784
KVH Industries, Inc. (a) 2,700 39,825
Loral Space & Communications Ltd. (a) 2,700 85,347
NETGEAR, Inc. (a) 8,100 175,689
Network Equipment Technologies, Inc. (a) 8,100 32,805
Novatel Wireless, Inc. (a) 6,300 50,211
Oplink Communications, Inc. (a) 4,402 72,149
PC-Tel, Inc. (a) 4,800 28,416
Plantronics, Inc. 12,099 314,332
Polycom, Inc. (a) 19,600 489,412
Power-One, Inc. (a) 19,200 83,520
Riverbed Technology, Inc. (a) 13,000 298,610
SeaChange International, Inc. (a) 7,500 49,275
Shoretel, Inc. (a) 10,309 59,586
Sonus Networks, Inc. (a) 51,600 108,876
Switch and Data Facilities Co., Inc. (a) 5,000 101,050
Sycamore Networks, Inc. 4,940 103,295
Syniverse Holdings, Inc. (a) 16,600 290,168
Tekelec (a) 15,200 232,256
Viasat, Inc. (a) 6,301 200,246
--------------
6,649,700
--------------
COMPUTER SERVICES 3PAR, Inc. (a) 6,700 79,395
SOFTWARE & SYSTEMS - 6.7% ACI Worldwide, Inc. (a)(c) 8,685 148,948
AMICAS, Inc. (a) 8,100 44,064
ActivIdentity Corp. (a) 12,900 30,315
Actuate Corp. (a) 11,200 47,936
Acxiom Corp. (a) 16,900 226,798
American Reprographics Co. (a) 9,100 63,791
American Software, Class A 5,700 34,200
ArcSight, Inc. (a) 4,100 104,878
Ariba, Inc. (a) 21,480 268,930
Art Technology Group, Inc. (a) 31,700 142,967
AsiaInfo Holdings, Inc. (a) 7,200 219,384
Avid Technology, Inc. (a) 7,400 94,424
Blackbaud, Inc. 10,926 258,181
Blackboard, Inc. (a) 7,800 354,042
Blue Coat Systems, Inc. (a) 9,600 273,984
Bottomline Technologies, Inc. (a) 6,500 114,205
CACI International, Inc., Class A (a) 6,900 337,065
COMSYS IT Partners, Inc. (a) 3,600 32,004
CSG Systems International, Inc. (a) 8,500 162,265
Callidus Software, Inc. (a) 7,300 22,046
13
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
China Information Security Technology, Inc. (a) 6,700 $ 41,272
China Transinfo Technology (a) 2,100 17,157
Chordiant Software, Inc. (a) 7,540 20,735
Ciber, Inc. (a) 18,202 62,797
ComScore, Inc. (a) 5,600 98,280
CommVault Systems, Inc. (a) 10,100 239,269
Compellent Technologies, Inc. (a) 4,100 92,988
Computer Task Group, Inc. (a) 4,300 34,443
Concur Technologies, Inc. (a) 9,800 418,950
DealerTrack Holdings, Inc. (a) 9,600 180,384
Delrek, Inc. (a) 3,529 27,456
DemandTec, Inc. (a) 5,000 43,850
Digital River, Inc. (a) 8,800 237,512
DivX, Inc. (a) 8,700 49,068
Double-Take Software, Inc. (a) 4,300 42,957
EarthLink, Inc. 23,900 198,609
Ebix, Inc. (a) 1,600 78,128
eLoyalty Corp. (a) 2,100 14,427
Epicor Software Corp. (a) 11,200 85,344
EPIQ Systems, Inc. (a) 7,817 109,360
ePlus, Inc. (a) 800 13,208
FalconStor Software, Inc. (a) 8,909 36,171
Fortinet, Inc. (a) 2,400 42,168
GSE Systems, Inc. (a) 4,300 23,564
Gartner, Inc., Class A (a) 14,879 268,417
i2 Technologies, Inc. (a) 3,800 72,656
iGate Corp. 5,500 55,000
Imergent, Inc. 1,600 9,712
infoGROUP, Inc. 8,061 64,649
Informatica Corp. (a) 20,800 537,888
Infospace, Inc. (a) 8,700 74,559
Integral Systems, Inc. (a) 3,182 27,556
Interactive Intelligence, Inc. (a) 3,100 57,164
Internap Network Services Corp. (a) 12,690 59,643
Internet Brands, Inc., Class A (a) 7,300 57,159
Internet Capital Group, Inc. (a) 9,200 61,180
JDA Software Group, Inc. (a) 6,608 168,306
Kenexa Corp. (a) 5,600 73,080
Keynote Systems, Inc. 3,100 33,821
Lawson Software, Inc. (a) 34,000 226,100
Limelight Networks, Inc. (a) 7,100 27,903
Lionbridge Technologies, Inc. (a) 16,100 37,030
LivePerson, Inc. (a) 9,800 68,306
LogMeIn, Inc. (a) 1,700 33,915
Manhattan Associates, Inc. (a) 5,639 135,505
Mantech International Corp., Class A (a) 5,100 246,228
Mentor Graphics Corp. (a) 23,600 208,388
Mercury Computer Systems, Inc. (a) 5,756 63,374
MicroStrategy, Inc., Class A (a) 2,000 188,040
Moduslink Global Solutions, Inc. (a) 11,480 108,027
14
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Monotype Imaging Holdings, Inc. (a) 5,900 $ 53,277
NCI, Inc., Class A (a) 1,200 33,180
NIC, Inc. 13,100 119,734
Ness Technologies, Inc. (a) 9,700 47,530
NetScout Systems, Inc. (a) 5,800 84,912
NetSuite, Inc. (a) 4,000 63,920
OpenTable, Inc. (a) 700 17,822
Openwave Systems, Inc. (a) 22,100 50,388
Opnet Technologies, Inc. 3,022 36,838
PAR Technology Corp. (a) 2,000 11,560
PROS Holdings, Inc. (a) 4,500 46,575
Parametric Technology Corp. (a) 28,160 460,134
Pegasystems, Inc. 3,400 115,600
Perficient, Inc. (a) 7,200 60,696
Pervasive Software Inc. (a) 3,500 16,870
Phoenix Technologies Ltd. (a) 7,300 20,075
Progress Software Corp. (a) 10,008 292,334
QAD, Inc. 2,900 17,719
Quest Software, Inc. (a) 14,300 263,120
Rackspace Hosting, Inc. (a) 16,200 337,770
Radiant Systems, Inc. (a) 6,900 71,760
RealNetworks, Inc. (a) 21,100 78,281
RightNow Technologies, Inc. (a) 5,200 90,324
SAVVIS, Inc. (a) 9,180 128,979
SRA International, Inc., Class A (a) 10,400 198,640
SYNNEX Corp. (a) 4,200 128,772
Saba Software, Inc. (a) 5,600 23,184
Sapient Corp. (a) 21,492 177,739
Smith Micro Software, Inc. (a) 6,700 61,238
SolarWinds, Inc. (a) 2,900 66,729
Solera Holdings, Inc. 16,900 608,569
SonicWALL, Inc. (a) 13,441 102,286
Sourcefire, Inc. (a) 5,585 149,399
Stanley, Inc. (a) 3,000 82,230
SuccessFactors, Inc. (a) 10,700 177,406
Support.com, Inc. (a) 11,600 30,624
Synchronoss Technologies, Inc. (a) 5,000 79,050
Syntel, Inc. 3,183 121,049
TIBCO Software, Inc. (a) 40,700 391,941
TNS, Inc. (a) 6,100 156,709
Taleo Corp., Class A (a) 9,000 211,680
TechTarget, Inc. (a) 2,900 16,327
TeleCommunication Systems, Inc., Class A (a) 9,400 90,992
Terremark Worldwide, Inc. (a) 13,460 92,066
Tier Technologies, Inc., Class B (a) 4,100 32,800
Tyler Technologies, Inc. (a) 7,500 149,325
Ultimate Software Group, Inc. (a) 6,100 179,157
Unica Corp. (a) 3,100 24,025
Unisys Corp. (a) 10,010 385,986
United Online, Inc. 20,628 148,315
15
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
VASCO Data Security International, Inc. (a) 6,700 $ 42,009
VeriFone Holdings, Inc. (a) 17,800 291,564
Virtusa Corp. (a) 3,000 27,180
Web.Com Group, Inc. (a) 7,000 45,710
Websense, Inc. (a) 11,102 193,841
Zix Corp. (a) 14,600 24,966
--------------
15,262,431
--------------
COMPUTER TECHNOLOGY - % Adaptec, Inc. (a) 26,000 87,100
0.9 Cray, Inc. (a) 8,300 53,286
Dynamics Research Corp. (a) 2,000 21,220
Imation Corp. 6,100 53,192
Immersion Corp. (a) 7,000 31,990
Insight Enterprises, Inc. (a) 11,598 132,449
Intermec, Inc. (a) 15,509 199,446
Isilon Systems, Inc. (a) 6,100 41,846
Netezza Corp. (a) 12,100 117,370
PC Connection, Inc. (a) 2,100 14,175
PC Mall, Inc. (a) 2,800 14,616
Palm, Inc. (a)(b) 38,988 391,440
Quantum Corp. (a) 48,600 142,398
Radisys Corp. (a) 5,842 55,791
Rimage Corp. (a) 2,300 39,882
STEC, Inc. (a)(b) 5,400 88,236
Safeguard Scientifics, Inc. (a) 4,533 46,735
Silicon Graphics International Corp. (a) 7,400 51,874
Stratasys, Inc. (a) 5,100 88,128
Super Micro Computer, Inc. (a) 5,300 58,936
Synaptics, Inc. (a)(b) 7,900 242,135
--------------
1,972,245
--------------
CONSTRUCTION - 0.6% EMCOR Group, Inc. (a) 16,172 435,027
Granite Construction, Inc. 7,837 263,793
Great Lakes Dredge & Dock Corp. 9,200 59,616
Insituform Technologies, Inc., Class A (a) 9,738 221,247
Orion Marine Group, Inc. (a) 6,300 132,678
Primoris Services Corp. 1,800 14,346
Sterling Construction Co., Inc. (a) 3,600 69,048
Tutor Perini Corp. (a) 6,300 113,904
--------------
1,309,659
--------------
CONSUMER ELECTRONICS - Audiovox Corp., Class A (a) 4,285 30,381
0.2% Ipass, Inc. 11,400 11,856
TiVo, Inc. (a) 25,494 259,529
Universal Electronics, Inc. (a) 2,986 69,335
--------------
371,101
--------------
CONSUMER LENDING - 0.7% Advance America, Cash Advance Centers, Inc. 10,600 58,936
Asset Acceptance Capital Corp. (a) 3,700 25,086
Cash America International, Inc. 6,919 241,888
Credit Acceptance Corp. (a)(b) 1,562 65,760
Dollar Financial Corp. (a) 6,000 141,960
Encore Capital Group, Inc. (a) 3,300 57,420
Ezcorp, Inc. (a) 11,000 189,310
16
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
First Cash Financial Services, Inc. (a) 5,000 $ 110,950
The First Marblehead Corp. (a) 15,500 33,015
MGIC Investment Corp. (a)(b) 28,600 165,308
MoneyGram International, Inc. (a) 19,400 55,872
Nelnet, Inc., Class A 4,700 80,981
Portfolio Recovery Associates, Inc. (a)(b) 3,900 175,032
QC Holdings, Inc. 1,400 6,734
Tree.com, Inc. (a) 1,400 12,810
World Acceptance Corp. (a)(b) 3,700 132,571
--------------
1,553,633
--------------
CONSUMER SERVICES: Ancestry.com, Inc. (a) 1,200 16,812
MISCELLANEOUS - 0.7% Coinstar, Inc. (a) 6,892 191,460
Core-Mark Holdings Co., Inc. (a) 2,300 75,808
Jackson Hewitt Tax Service, Inc. 5,500 24,200
The Knot, Inc. (a) 7,400 74,518
Mercadolibre, Inc. (a) 6,300 326,781
Move, Inc. (a) 40,000 66,400
Nutrisystem, Inc. (b) 7,100 221,307
Pre-Paid Legal Services, Inc. (a) 1,760 72,301
Sotheby's Holdings, Inc., Class A (b) 16,236 364,985
Steiner Leisure Ltd. (a) 3,700 147,112
--------------
1,581,684
--------------
CONTAINERS & PACKAGING - AEP Industries, Inc. (a) 1,300 49,764
0.5% Bway Holding Co. (a) 1,900 36,518
Graphic Packaging Holding Co. (a) 26,300 91,261
Myers Industries, Inc. 7,852 71,453
Rock-Tenn Co., Class A 9,180 462,764
Silgan Holdings, Inc. 6,200 358,856
--------------
1,070,616
--------------
COSMETICS - 0.2% Bare Escentuals, Inc. (a) 16,500 201,795
Elizabeth Arden, Inc. (a) 6,093 87,983
Inter Parfums, Inc. 3,550 43,203
Revlon, Inc., Class A (a) 4,500 76,545
--------------
409,526
--------------
DIVERSIFIED FINANCIAL American Physicians Service Group, Inc. 1,500 34,605
SERVICES - 0.5% Broadpoint Gleacher Securities, Inc. (a) 11,800 52,628
Cheviot Financial Corp. 500 3,695
Duff & Phelps Corp. 4,200 76,692
Evercore Partners, Inc., Class A 3,200 97,280
FBR Capital Markets Corp. (a) 3,600 22,248
First California Financial Group (a) 1,100 3,014
Main Street Capital Corp. 1,600 25,792
Piper Jaffray Cos. (a) 4,500 227,745
Rewards Network, Inc. 1,833 23,169
Sanders Morris Harris Group, Inc. 4,500 24,750
Stifel Financial Corp. (a) 7,149 423,507
Thomas Weisel Partners Group, Inc. (a) 5,000 18,900
Triangle Capital Corp. 2,100 25,389
--------------
1,059,414
--------------
17
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
DIVERSIFIED MANUFACTURING A.M. Castle & Co. 4,100 $ 56,129
OPERATIONS - 0.2% Barnes Group, Inc. 11,714 197,967
Federal Signal Corp. 12,159 73,197
Raven Industries, Inc. 4,000 127,080
Standex International Corp. 3,031 60,893
Trimas Corp. (a) 3,700 25,049
--------------
540,315
--------------
DIVERSIFIED MATERIALS & Belden, Inc. 11,561 253,417
PROCESSING - 0.8% Cabot Microelectronics Corp. (a) 5,800 191,168
Clarcor, Inc. 12,610 409,068
Encore Wire Corp. (b) 4,450 93,761
Fushi Copperweld, Inc. (a) 3,800 38,456
Harbinger Group, Inc. (a) 2,100 14,742
Hexcel Corp. (a) 23,962 311,027
Insteel Industries, Inc. 4,400 57,200
Koppers Holdings, Inc. 5,000 152,200
NL Industries, Inc. 1,734 12,034
Rogers Corp. (a) 4,055 122,907
Symyx Technologies, Inc. (a) 8,479 46,635
Tredegar Corp. 7,245 114,616
Uranium Energy Corp. (a) 12,500 47,250
--------------
1,864,481
--------------
DIVERSIFIED MEDIA - 0.1% Belo Corp., Class A 22,100 120,224
EW Scripps Co. (a) 6,200 43,152
Playboy Enterprises, Inc., Class B (a) 5,507 17,622
--------------
180,998
--------------
DIVERSIFIED RETAIL - 0.6% 99 Cents Only Stores (a) 11,500 150,305
Dillard's, Inc., Class A 11,800 217,710
Fred's, Inc. 8,535 87,057
GSI Commerce, Inc. (a) 6,900 175,191
Gaiam, Inc. (a) 4,467 34,351
HSN, Inc. (a) 9,800 197,862
Lumber Liquidators, Inc. (a) 3,200 85,760
Overstock.com, Inc. (a) 3,900 52,884
PriceSmart, Inc. 4,200 85,848
Saks, Inc. (a)(b) 29,600 194,176
Tuesday Morning Corp. (a) 7,490 19,324
--------------
1,300,468
--------------
DRUG & GROCERY STORE Arden Group, Inc., Class A 232 22,184
CHAINS - 0.7% Casey's General Stores, Inc. 12,107 386,455
drugstore.com, Inc. (a) 21,500 66,435
The Great Atlantic & Pacific Tea Co., Inc. (a) 8,427 99,354
Ingles Markets, Inc., Class A 3,164 47,871
Nash Finch Co. 3,277 121,544
The Pantry, Inc. (a) 4,600 62,514
PetMed Express, Inc. (b) 5,500 96,965
Ruddick Corp. 9,869 253,929
Spartan Stores, Inc. 5,500 78,595
Susser Holdings Corp. (a) 1,900 16,321
Village Super Market, Inc., Class A 1,600 43,712
18
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Weis Markets, Inc. 2,700 $ 98,172
Winn-Dixie Stores, Inc. (a) 13,800 138,552
--------------
1,532,603
--------------
EDUCATION SERVICES - 0.6% Ambassadors Group, Inc. 4,700 62,463
American Public Education, Inc. (a) 4,000 137,440
Archipelago Learning, Inc. (a) 1,300 26,910
Bridgepoint Education, Inc. (a) 3,600 54,072
Capella Education Co. (a) 3,300 248,490
Chinacast Education Corp. (a) 7,800 58,968
Corinthian Colleges, Inc. (a)(b) 18,400 253,368
Franklin Covey Co. (a) 3,700 23,310
Grand Canyon Education, Inc. (a) 3,800 72,238
K12, Inc. (a) 5,300 107,431
Learning Tree International, Inc. (a) 2,100 25,074
Lincoln Educational Services Corp. (a) 1,800 39,006
Nobel Learning Communities, Inc. (a) 1,400 10,626
The Princeton Review, Inc. (a) 3,600 14,616
Renaissance Learning, Inc. 1,249 14,189
Rosetta Stone, Inc. (a) 1,700 30,515
School Specialty, Inc. (a) 4,654 108,857
Universal Technical Institute, Inc. (a) 5,300 107,060
--------------
1,394,633
--------------
ELECTRONIC COMPONENTS - 3D Systems Corp. (a) 4,400 49,720
0.5% Acacia Research - Acacia Technologies (a) 7,700 70,147
Checkpoint Systems, Inc. (a) 9,823 149,801
Cogent, Inc. (a) 9,000 93,510
DDi Corp. (a) 4,300 21,027
Methode Electronics, Inc. 9,480 82,286
Microvision, Inc. (a)(b) 18,900 59,913
Multi-Fineline Electronix, Inc. (a) 2,400 68,088
NVE Corp. (a) 1,000 41,310
Park Electrochemical Corp. 5,149 142,318
ScanSource, Inc. (a) 6,500 173,550
Smart Modular Technologies WWH, Inc. (a) 9,200 57,868
TTM Technologies, Inc. (a) 10,800 124,524
Technitrol, Inc. 10,361 45,381
Universal Display Corp. (a)(b) 7,107 87,843
--------------
1,267,286
--------------
ELECTRONIC ENTERTAINMENT DTS, Inc. (a) 3,800 129,998
- - 0.2% Memsic, Inc. (a) 4,800 15,744
THQ, Inc. (a)(b) 15,537 78,306
Take-Two Interactive Software, Inc. (a)(b) 18,000 180,900
--------------
404,948
--------------
ELECTRONICS - 0.5% Agilysys, Inc. 3,163 28,783
American Science & Engineering, Inc. 2,000 151,680
CPI International, Inc. (a) 1,800 23,832
Coherent, Inc. (a) 5,300 157,569
Daktronics, Inc. (b) 8,398 77,346
II-VI, Inc. (a) 6,220 197,796
IPG Photonics Corp. (a) 5,600 93,744
19
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
iRobot Corp. (a) 4,700 $ 82,720
Newport Corp. (a) 9,035 83,032
Rofin-Sinar Technologies, Inc. (a) 7,300 172,353
SRS Labs Inc. (a) 2,600 19,058
Spectrum Control, Inc. (a) 2,900 27,463
--------------
1,115,376
--------------
ENERGY EQUIPMENT - 0.2% Ascent Solar Technologies, Inc. (a) 3,600 19,080
Energy Conversion Devices, Inc. (a)(b) 10,564 111,661
Evergreen Solar, Inc. (a)(b) 48,300 72,933
FuelCell Energy, Inc. (a) 16,926 63,642
GT Solar International, Inc. (a)(b) 7,400 41,144
PowerSecure International, Inc. (a) 4,300 31,003
Raser Technologies, Inc. (a)(b) 12,700 15,748
STR Holdings, Inc. (a) 2,300 36,133
--------------
391,344
--------------
ENGINEERING & CONTRACTING Argan, Inc. (a) 2,100 30,219
SERVICES - 0.5% Dycom Industries, Inc. (a) 9,902 79,513
ENGlobal Corp. (a) 4,100 12,833
Exponent, Inc. (a) 3,404 94,767
Furmamite Corp. (a) 9,000 34,290
Hill International, Inc. (a) 6,200 38,688
Integrated Electrical Services, Inc. (a) 1,800 10,530
Layne Christensen Co. (a) 4,900 140,679
MYR Group, Inc. (a) 3,700 66,896
Michael Baker Corp. (a) 1,900 78,660
Mistras Group, Inc. (a) 1,800 27,108
Tetra Tech, Inc. (a) 14,331 389,373
VSE Corp. 1,000 45,080
--------------
1,048,636
--------------
ENTERTAINMENT - 0.3% Ascent Media Corp., Class A (a) 3,500 89,355
CKX, Inc. (a) 14,900 78,523
Carmike Cinemas, Inc. (a) 2,500 18,900
Cinemark Holdings, Inc. 8,400 120,708
Live Nation, Inc. (a) 20,600 175,306
LodgeNet Interactive Corp. (a) 4,700 25,991
Reading International, Inc., Class A (a) 5,000 20,250
Rentrak Corp. (a) 2,200 38,874
World Wrestling Entertainment, Inc. 4,496 68,924
--------------
636,831
--------------
FINANCIAL DATA & SYSTEMS Advent Software, Inc. (a) 4,000 162,920
- - 1.1% Cardtronics, Inc. (a) 3,200 35,424
Cass Information Systems, Inc. 2,115 64,296
CompuCredit Holdings Corp. (b) 4,089 13,616
CyberSource Corp. (a) 16,764 337,124
Euronet Worldwide, Inc. (a)(b) 12,050 264,497
Fair Isaac Corp. 11,200 238,672
Global Cash Access, Inc. (a) 9,900 74,151
Heartland Payment Systems, Inc. 9,700 127,361
Information Services Group, Inc. (a) 5,500 17,435
Jack Henry & Associates, Inc. 20,100 464,712
20
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Net 1 UEPS Technologies, Inc. (a) 7,600 $ 147,592
Online Resources Corp. (a) 6,400 33,664
RiskMetrics Group, Inc. (a) 5,300 84,323
S1 Corp. (a) 13,222 86,207
Value Line, Inc. 100 2,511
Wright Express Corp. (a) 9,500 302,670
--------------
2,457,175
--------------
FOODS - 1.2% American Dairy, Inc. (a)(b) 2,100 45,528
American Italian Pasta Co., Class A (a) 4,700 163,513
B&G Foods, Inc., Class A 6,100 55,998
China Biotics, Inc. (a) 1,800 27,846
Chiquita Brands International, Inc. (a) 11,100 200,244
Diamond Foods, Inc. 4,000 142,160
Dole Food Co., Inc. (a) 7,600 94,316
Hain Celestial Group, Inc. (a) 9,057 154,060
J&J Snack Foods Corp. 3,500 139,860
Lancaster Colony Corp. 4,499 223,600
Lance, Inc. 7,100 186,730
Lifeway Foods, Inc. (a) 1,000 11,880
Medifast, Inc. (a) 2,900 88,682
Nutraceutical International Corp. (a) 2,500 30,925
Omega Protein Corp. (a) 4,700 20,492
Overhill Farms, Inc. (a) 4,500 21,870
Schiff Nutrition International, Inc. 1,500 11,730
Seneca Foods Corp. (a) 2,000 47,740
Smart Balance, Inc. (a) 15,700 94,200
Synutra International, Inc. (a)(b) 4,800 64,848
Tootsie Roll Industries, Inc. (b) 6,157 168,579
TreeHouse Foods, Inc. (a) 7,300 283,678
United Natural Foods, Inc. (a) 10,680 285,583
Zhongpin, Inc. (a) 5,300 82,733
--------------
2,646,795
--------------
FOREST PRODUCTS - 0.1% Deltic Timber Corp. 2,709 125,102
Universal Forest Products, Inc. 4,634 170,578
--------------
295,680
--------------
FORMS & BULK PRINTING Bowne & Co., Inc. 8,503 56,800
SERVICES - 0.3% Consolidated Graphics, Inc. (a) 2,400 84,048
Deluxe Corp. 12,800 189,312
Ennis, Inc. 6,400 107,456
Innerworkings, Inc. (a) 5,700 33,630
M&F Worldwide Corp. (a) 2,800 110,600
Multi-Color Corp. 2,450 29,915
Schawk, Inc. 3,800 51,680
The Standard Register Co. 4,145 21,140
--------------
684,581
--------------
FUNERAL PARLORS & Matthews International Corp., Class A 7,373 261,225
CEMETERIES - 0.2% Stewart Enterprises, Inc., Class A 20,524 105,699
--------------
366,924
--------------
GAS PIPELINE - 0.0% Crosstex Energy, Inc. 9,200 55,660
GLASS - 0.0% Apogee Enterprises, Inc. (b) 7,100 99,400
21
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
GOLD - 0.2% Allied Nevada Gold Corp. (a)(b) 12,700 $ 191,516
Coeur d'Alene Mines Corp. (a) 17,570 317,314
US Gold Corp. (a) 21,200 52,576
--------------
561,406
--------------
HEALTH CARE FACILITIES - Amsurg Corp. (a) 7,700 169,554
0.6% Assisted Living Concepts, Inc. (a) 2,440 64,343
Capital Senior Living Corp. (a) 5,300 26,606
Emeritus Corp. (a) 5,000 93,750
The Ensign Group, Inc. 2,531 38,901
Hanger Orthopedic Group, Inc. (a) 6,100 84,363
Kindred Healthcare, Inc. (a) 8,790 162,263
LCA-Vision, Inc. (a) 4,900 25,088
MedCath Corp. (a) 3,700 29,267
National Healthcare Corp. 1,900 68,609
Psychiatric Solutions, Inc. (a) 13,000 274,820
Select Medical Holdings Corp. (a) 7,100 75,402
Skilled Healthcare Group, Inc., Class A (a) 3,600 26,820
Sun Healthcare Group, Inc. (a) 10,900 99,953
Sunrise Senior Living, Inc. (a) 11,174 35,980
US Physical Therapy, Inc. (a) 3,000 50,790
--------------
1,326,509
--------------
HEALTH CARE MANAGEMENT AMERIGROUP Corp. (a) 12,200 328,912
SERVICES - 1.0% American Caresource Holdings, Inc. (a) 2,500 6,000
American Dental Partners, Inc. (a) 3,200 41,280
Bioscript, Inc. (a) 10,200 85,272
Catalyst Health Solutions, Inc. (a) 8,900 324,583
Centene Corp. (a) 9,800 207,466
Computer Programs & Systems, Inc. 2,100 96,705
Contiucare Corp. (a) 6,500 28,405
HealthSpring, Inc. (a) 12,200 214,842
Magellan Health Services, Inc. (a) 8,400 342,132
MedQuist Inc. 1,900 12,711
Metropolitan Health Networks, Inc. (a) 11,600 23,084
Molina Healthcare, Inc. (a) 3,200 73,184
National Research Corp. 300 6,210
Transcend Services, Inc. (a) 1,500 32,040
Triple-S Management Corp. (a) 5,300 93,280
Universal American Financial Corp. (a) 6,400 74,880
WellCare Health Plans, Inc. (a) 10,300 378,628
--------------
2,369,614
--------------
HEALTH CARE SERVICES - AMN Healthcare Services, Inc. (a) 8,405 76,149
2.0% Air Methods Corp. (a) 2,400 80,688
Alliance Healthcare Services, Inc. (a) 5,800 33,118
Allied Healthcare International, Inc. (a) 12,700 36,957
Almost Family, Inc. (a) 1,700 67,201
Amedisys, Inc. (a)(b) 6,366 309,133
athenahealth, Inc. (a) 8,200 370,968
CardioNet, Inc. (a) 4,500 26,730
Chemed Corp. 5,472 262,492
Chindex International, Inc. (a) 3,300 46,629
22
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Corvel Corp. (a) 1,885 $ 63,223
Cross Country Healthcare, Inc. (a) 7,700 76,307
Eclipsys Corp. (a) 14,031 259,854
Emergency Medical Services Corp. (a) 6,700 362,805
Gentiva Health Services, Inc. (a) 6,912 186,693
HMS Holdings Corp. (a) 5,900 287,271
Health Grades, Inc. (a) 5,500 23,595
HealthSouth Corp. (a) 22,000 412,940
Healthways, Inc. (a) 8,600 157,724
IPC The Hospitalist Co., Inc. (a) 4,000 133,000
LHC Group, Inc. (a) 3,400 114,274
MWI Veterinary Supply, Inc. (a) 2,800 105,560
Medidata Solutions, Inc. (a) 1,600 24,960
NovaMed Eyecare, Inc. (a)(b) 4,400 17,072
Odyssey HealthCare, Inc. (a) 8,200 127,756
Omnicell, Inc. (a) 7,900 92,351
PharMerica Corp. (a) 7,569 120,196
Phase Forward, Inc. (a) 10,900 167,315
Quality Systems, Inc. 5,500 345,345
RehabCare Group, Inc. (a) 5,595 170,256
Res-Care, Inc. (a) 6,400 71,680
Virtual Radiologic Corp. (a) 1,600 20,416
--------------
4,650,658
--------------
HEALTH CARE: MedAssets, Inc. (a) 9,800 207,858
MISCELLANEOUS - 0.1% The Providence Service Corp. (a) 3,000 47,400
--------------
255,258
--------------
HOME BUILDING - 0.3% Beazer Homes USA, Inc. (a)(b) 8,300 40,172
Brookfield Homes Corp. (a)(b) 2,451 19,608
Hovnanian Enterprises, Inc., Class A (a)(b) 11,600 44,544
M/I Homes, Inc. (a) 4,100 42,599
Meritage Homes Corp. (a) 7,800 150,774
Ryland Group, Inc. 9,800 193,060
Standard-Pacific Corp. (a) 25,200 94,248
--------------
585,005
--------------
HOTEL/MOTEL - 0.2% Gaylord Entertainment Co. (a)(b) 9,155 180,811
Marcus Corp. 4,979 63,831
Morgans Hotel Group Co. (a) 5,800 26,274
Orient Express Hotels Ltd., Class A (b) 18,900 191,646
Red Lion Hotels Corp. (a) 4,000 19,760
--------------
482,322
--------------
HOUSEHOLD APPLIANCES - National Presto Industries, Inc. 1,050 114,692
0.0%
--------------
HOUSEHOLD EQUIPMENT & American Greetings Corp., Class A 9,300 202,647
PRODUCTS - 0.6% Blyth, Inc. 1,525 51,423
CSS Industries, Inc. 1,891 36,761
Central Garden & Pet Co., Class A (a) 15,534 154,408
Helen of Troy Ltd. (a) 7,300 178,558
Nivs Intellimedia Technology (a) 1,400 3,612
Tupperware Corp. 15,174 706,653
--------------
1,334,062
--------------
HOUSEHOLD FURNISHINGS - American Woodmark Corp. 2,600 51,168
0.4%
23
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Ethan Allen Interiors, Inc. (b) 5,200 $ 69,784
Furniture Brands International, Inc. (a) 10,400 56,784
Hooker Furniture Corp. 2,500 30,925
Kirkland's, Inc. (a) 2,600 45,162
La-Z-Boy, Inc. (b) 12,900 122,937
Sealy Corp. (a)(b) 10,900 34,444
Stanley Furniture Co., Inc. 2,400 24,360
Tempur-Pedic International, Inc. (a) 17,900 422,977
--------------
858,541
--------------
INSURANCE: LIFE - 0.4% American Equity Investment Life Holding Co. 13,500 100,440
Citizens, Inc. (a) 7,800 50,934
Conseco, Inc. (a) 46,900 234,500
Delphi Financial Group, Inc., Class A 10,905 243,945
FBL Financial Group, Inc., Class A 3,225 59,727
Independence Holding Co. 740 4,292
Kansas City Life Insurance Co. 1,042 30,999
Life Partners Holdings, Inc. (b) 1,400 29,666
National Western Life Insurance Co., Class A 556 96,533
The Phoenix Cos., Inc. (a) 28,900 80,342
Presidential Life Corp. 5,193 47,516
--------------
978,894
--------------
INSURANCE: MULTI-LINE - AMBAC Financial Group, Inc. (a)(b) 66,900 55,527
0.9% Assured Guaranty Ltd. 29,200 635,392
Crawford & Co., Class B (a) 5,909 23,281
Eastern Insurance Holdings, Inc. 2,200 18,964
eHealth, Inc. (a) 6,200 101,866
Flagstone Reinsurance Holdings Ltd. 10,300 112,682
Horace Mann Educators Corp. 9,968 124,600
Maiden Holdings Ltd. 12,200 89,304
Max Capital Group Ltd. 11,200 249,760
Pico Holdings, Inc. (a) 5,297 173,371
Platinum Underwriters Holdings Ltd. 11,900 455,651
Primus Guaranty Ltd. (a) 6,000 18,300
--------------
2,058,698
--------------
INSURANCE: American Physicians Capital, Inc. 1,674 50,756
PROPERTY-CASUALTY - 1.9% American Safety Insurance Holdings Ltd. (a) 2,100 30,345
Amerisafe, Inc. (a) 4,300 77,271
AmTrust Financial Services, Inc. 5,500 65,010
Argo Group International Holdings Ltd. (a) 7,479 217,938
Baldwin & Lyons, Inc., Class B 2,032 50,008
CNA Surety Corp. (a) 4,086 60,841
Donegal Group, Inc., Class A 2,744 42,642
EMC Insurance Group, Inc. 1,300 27,963
Employers Holdings, Inc. 11,380 174,569
Enstar Group Ltd. (a) 1,600 116,832
FPIC Insurance Group, Inc. (a) 1,400 54,068
First Acceptance Corp. (a) 3,877 7,560
First Mercury Financial Corp. 3,600 49,356
Greenlight Capital Re Ltd. (a) 7,000 164,990
Hallmark Financial Services, Inc. (a) 2,100 16,716
24
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Harleysville Group, Inc. 3,462 $ 110,057
Hilltop Holdings, Inc. (a) 9,572 111,418
Infinity Property & Casualty Corp. 3,400 138,176
Meadowbrook Insurance Group, Inc. 14,952 110,645
Mercer Insurance Group, Inc. 1,300 23,621
Montpelier Re Holdings Ltd. 21,000 363,720
NYMAGIC, Inc. 1,100 18,249
National Interstate Corp. 1,600 27,136
Navigators Group, Inc. (a) 3,100 146,041
PMA Capital Corp., Class A (a) 7,806 49,178
The PMI Group, Inc. 15,600 39,312
ProAssurance Corp. (a) 8,023 430,915
RLI Corp. 4,564 243,033
Radian Group, Inc. 18,500 135,235
Safety Insurance Group, Inc. 2,900 105,067
SeaBright Insurance Holdings, Inc. (a) 4,200 48,258
Selective Insurance Group, Inc. 13,208 217,272
State Auto Financial Corp. 3,512 64,972
Stewart Information Services Corp. 4,022 45,368
Tower Group, Inc. 10,786 252,500
United America Indemnity, Ltd. (a) 8,741 69,229
United Fire & Casualty Co. 5,500 100,265
Universal Insurance Holdings, Inc. 3,000 17,610
Zenith National Insurance Corp. 8,855 263,525
--------------
4,337,667
--------------
LEISURE TIME - 0.6% Bluegreen Corp. (a) 3,500 8,470
Callaway Golf Co. 14,100 106,314
Churchill Downs, Inc. 2,332 87,100
Great Wolf Resorts, Inc. (a) 6,700 15,879
Interval Leisure Group, Inc. (a) 9,700 120,959
Life Time Fitness, Inc. (a)(b) 10,000 249,300
Orbitz Worldwide, Inc. (a) 8,400 61,656
Pool Corp. (b) 11,600 221,328
Smith & Wesson Holding Corp. (a) 12,300 50,307
Speedway Motorsports, Inc. 3,255 57,353
Sport Supply Group, Inc. 2,100 26,439
Steinway Musical Instruments, Inc. (a) 1,700 27,047
Sturm Ruger & Co., Inc. (b) 3,600 34,920
Town Sports International Holdings, Inc. (a) 4,900 11,417
Universal Travel Group (a) 2,400 24,336
Vail Resorts, Inc. (a)(b) 7,156 270,497
West Marine, Inc. (a) 4,100 33,046
--------------
1,406,368
--------------
LUXURY ITEMS - 0.2% Fossil, Inc. (a) 11,600 389,296
Fuqi International, Inc. (a)(b) 2,700 48,465
Movado Group, Inc. 4,000 38,880
--------------
476,641
--------------
MACHINERY: AGRICULTURAL - Alamo Group, Inc. 1,600 27,440
0.1% Lindsay Manufacturing Co. (b) 2,713 108,113
Titan International, Inc. (b) 7,849 63,655
25
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Titan Machinery, Inc. (a) 2,300 $ 26,542
--------------
225,750
--------------
MACHINERY: CONSTRUCTION & Astec Industries, Inc. (a) 4,517 121,688
HANDLING - 0.1% NACCO Industries, Inc., Class A 1,387 69,073
--------------
190,761
--------------
MACHINERY: ENGINES - 0.1% Briggs & Stratton Corp. (b) 11,300 211,423
Harbin Electric, Inc. (a) 3,300 67,782
--------------
279,205
--------------
MACHINERY: INDUSTRIAL - Actuant Corp., Class A 16,300 302,039
1.2% Altra Holdings, Inc. (a) 6,700 82,745
Applied Industrial Technologies, Inc. 10,690 235,928
Chart Industries, Inc. (a) 6,700 110,885
Colfax Corp. (a) 6,000 72,240
Columbus McKinnon Corp. (a) 4,736 64,694
DXP Enterprises, Inc. (a) 1,900 24,833
EnPro Industries, Inc. (a) 5,000 132,050
Flow International Corp. (a) 9,400 28,952
Graham Corp. 2,400 49,680
John Bean Technologies Corp. 7,100 120,771
Kadant, Inc. (a) 3,170 50,593
MTS Systems Corp. 4,300 123,582
Middleby Corp. (a) 4,017 196,913
Nordson Corp. 8,210 502,288
Sauer-Danfoss, Inc. 2,773 33,304
Tecumseh Products Co., Class A (a) 4,428 51,763
Tennant Co. 4,674 122,412
Twin Disc, Inc. 2,100 21,924
Woodward Governor Co. 14,858 382,891
--------------
2,710,487
--------------
MACHINERY: SPECIALTY - Albany International Corp., Class A 6,874 154,390
0.1% Cascade Corp. 2,300 63,227
Duoyuan Printing, Inc. (a) 1,100 8,855
Hurco Companies, Inc. (a) 1,600 23,680
K-Tron International, Inc. (a) 600 65,244
--------------
315,396
--------------
MANUFACTURED HOUSING - Cavco Industries, Inc. (a) 1,600 57,472
0.0% Skyline Corp. 1,701 31,298
--------------
88,770
--------------
MEDICAL & DENTAL AGA Medical Holdings, Inc. (a) 2,700 39,879
INSTRUMENTS & SUPPLIES - ATS Medical, Inc. (a) 12,900 41,667
2.7% Abiomed, Inc. (a) 7,700 67,298
Align Technology, Inc. (a) 14,500 258,390
Alphatec Holdings, Inc. (a) 6,700 35,778
American Medical Systems Holdings, Inc. (a) 18,300 353,007
AngioDynamics, Inc. (a) 6,100 98,088
Atrion Corp. 300 46,716
Bovie Medical Corp. (a) 4,700 36,707
CONMED Corp. (a) 7,228 164,798
Cantel Medical Corp. 2,500 50,450
Cardiovascular Systems, Inc. (a) 2,700 12,393
26
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Conceptus, Inc. (a) 7,600 $ 142,576
CryoLife, Inc. (a) 6,100 39,162
Cutera, Inc. (a) 3,100 26,381
Delcath Systems, Inc. (a) 6,400 32,896
Endologix, Inc. (a) 12,000 63,360
ev3, Inc. (a) 17,732 236,545
Exactech, Inc. (a) 1,900 32,889
Hansen Medical, Inc. (a) 5,500 16,665
Heartware International, Inc. (a) 1,200 42,564
Home Diagnostics, Inc. (a) 2,600 15,860
ICU Medical, Inc. (a) 2,750 100,210
Immucor, Inc. (a) 17,143 346,974
Insulet Corp. (a) 7,900 112,812
Integra LifeSciences Holdings Corp. (a) 4,600 169,188
Invacare Corp. 6,922 172,635
Landauer, Inc. 2,278 139,869
MAKO Surgical Corp. (a) 3,600 39,960
Matrixx Initiatives, Inc. (a) 600 2,532
Medical Action Industries, Inc. (a) 3,550 57,013
Meridian Bioscience, Inc. 10,200 219,810
Merit Medical Systems, Inc. (a) 6,810 131,365
Micrus Endovascular Corp. (a) 3,900 58,539
Neogen Corp. (a) 5,150 121,592
NuVasive, Inc. (a) 8,400 268,632
OraSure Technologies, Inc. (a) 11,559 58,720
Orthofix International NV (a) 4,300 133,171
Orthovita, Inc. (a) 15,800 55,458
Owens & Minor, Inc. 9,698 416,335
PSS World Medical, Inc. (a) 13,673 308,600
Quidel Corp. (a) 6,300 86,814
Rochester Medical Corp. (a) 2,300 25,599
Rockwell Medical Technologies, Inc. (a) 3,300 25,377
Steris Corp. 13,600 380,392
SurModics, Inc. (a)(b) 3,783 85,723
Symmetry Medical, Inc. (a) 9,000 72,540
Synovis Life Technologies, Inc. (a) 2,200 28,402
Trans1, Inc. (a) 3,100 12,245
Utah Medical Products, Inc. 700 20,524
Vascular Solutions, Inc. (a) 4,300 36,077
Volcano Corp. (a) 12,000 208,560
West Pharmaceutical Services, Inc. 7,776 304,819
Wright Medical Group, Inc. (a) 8,900 168,655
Young Innovations, Inc. 1,300 32,214
--------------
6,255,425
--------------
MEDICAL EQUIPMENT - 1.7% Abaxis, Inc. (a) 5,100 130,305
Accuray, Inc. (a)(b) 10,400 58,344
Affymetrix, Inc. (a) 17,700 103,368
Analogic Corp. 3,272 126,005
Bruker BioSciences Corp. (a) 12,387 149,387
Cardiac Science Corp. (a) 4,800 10,704
27
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Cyberonics, Inc. (a) 6,769 $ 138,358
Cynosure, Inc., Class A (a) 2,400 27,576
DexCom, Inc. (a) 12,000 96,960
Dionex Corp. (a) 4,431 327,318
Electro-Optical Sciences, Inc. (a)(b) 4,800 49,728
Enteromedics, Inc. (a)(b) 4,700 2,632
Greatbatch, Inc. (a) 5,800 111,534
Haemonetics Corp. (a) 5,972 329,356
IRIS International, Inc. (a) 4,500 55,620
Luminex Corp. (a) 10,651 159,019
Masimo Corp. (a) 12,600 383,292
Merge Healthcare, Inc. (a) 6,100 20,496
Natus Medical, Inc. (a) 6,800 100,572
NxStage Medical, Inc. (a) 5,700 47,595
OSI Systems, Inc. (a) 3,800 103,664
Palomar Medical Technologies, Inc. (a) 4,500 45,360
Sirona Dental Systems, Inc. (a) 4,300 136,482
Somanetics Corp. (a) 2,400 42,120
SonoSite, Inc. (a) 4,315 101,963
Spectranetic Corp. (a) 8,100 56,376
Stereotaxis, Inc. (a) 6,500 25,545
Thoratec Corp. (a) 13,147 353,917
Tomotherapy, Inc. (a) 10,300 40,170
Varian, Inc. (a) 6,935 357,430
Vital Images, Inc. (a) 3,600 45,684
Zoll Medical Corp. (a) 5,322 142,204
--------------
3,879,084
--------------
MEDICAL SERVICES - 0.3% America Service Group, Inc. 2,200 34,914
Bio-Reference Labs, Inc. (a) 2,600 101,894
Clarient, Inc. (a) 8,300 21,995
eResearch Technology, Inc. (a) 10,650 64,007
Genoptix, Inc. (a) 3,800 135,014
inVentiv Health, Inc. (a) 8,400 135,828
Kendle International, Inc. (a) 3,200 58,592
Nighthawk Radiology Holdings, Inc. (a) 5,300 24,009
Parexel International Corp. (a) 14,094 198,725
RadNet, Inc. (a) 6,900 14,076
--------------
789,054
--------------
METAL FABRICATING - 0.7% Ampco-Pittsburgh Corp. 2,100 66,213
Dynamic Materials Corp. 3,200 64,160
The Eastern Co. 1,700 22,831
Hawk Corp., Class A (a) 1,300 22,893
Haynes International, Inc. 3,000 98,910
Kaydon Corp. 7,626 272,706
L.B. Foster Co., Class A (a) 2,500 74,525
Lawson Products, Inc. 988 17,438
Mueller Industries, Inc. 9,382 233,049
Mueller Water Products, Inc., Series A 36,260 188,552
Northwest Pipe Co. (a) 2,000 53,720
Omega Flex, Inc. 600 8,400
28
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
RBC Bearings, Inc. (a) 5,500 $ 133,815
RTI International Metals, Inc. (a) 6,813 171,483
Worthington Industries, Inc. 14,900 194,743
--------------
1,623,438
--------------
METALS & MINERALS: AMCOL International Corp. 5,773 164,069
DIVERSIFIED - 0.4% Brush Engineered Materials, Inc. (a) 5,011 92,904
General Moly, Inc. (a) 15,600 32,448
Hecla Mining Co. (a)(b) 55,800 344,844
Minerals Technologies, Inc. 4,653 253,449
Oil-Dri Corp. of America 800 12,400
Paramount Gold and Silver Corp. (a) 14,500 21,025
United States Lime & Minerals, Inc. (a) 400 13,812
Uranerz Energy Corp. (a) 13,200 17,160
--------------
952,111
--------------
OFFICE SUPPLIES & ACCO Brands Corp. (a) 13,500 98,280
EQUIPMENT - 0.6% Electronics for Imaging, Inc. (a) 12,639 164,433
HNI Corp. 11,100 306,693
Herman Miller, Inc. 13,500 215,730
Kimball International, Inc., Class B 7,974 67,938
Knoll, Inc. 11,900 122,927
Steelcase, Inc., Class A 17,500 111,300
United Stationers, Inc. (a) 5,869 333,653
--------------
1,420,954
--------------
OFFSHORE DRILLING & OTHER Hercules Offshore, Inc. (a) 26,800 128,104
SERVICES - 0.1% Vantage Drilling Co. (a) 12,700 20,447
--------------
148,551
--------------
OIL WELL EQUIPMENT & Allis-Chalmers Energy, Inc. (a)(b) 12,700 47,879
SERVICES - 1.4% Basic Energy Services, Inc. (a) 5,300 47,170
Bolt Technology Corp. (a) 2,100 23,142
Boots & Coots, Inc. (a) 21,700 35,805
Bronco Drilling Co., Inc. (a) 4,700 23,829
CARBO Ceramics, Inc. (b) 4,402 300,084
Cal Dive International, Inc. (a) 10,974 82,963
Complete Production Services, Inc. (a) 14,600 189,800
Dawson Geophysical Co. (a) 1,500 34,665
Dril-Quip, Inc. (a) 7,076 399,652
Geokinetics, Inc. (a) 1,300 12,506
Global Industries Ltd. (a) 25,000 178,250
Gulf Island Fabrication, Inc. 3,017 63,448
Hornbeck Offshore Services, Inc. (a) 5,040 117,331
ION Geophysical Corp. (a) 24,246 143,536
Key Energy Services, Inc. (a) 30,600 268,974
Lufkin Industries, Inc. 3,400 248,880
Matrix Service Co. (a) 6,500 69,225
Natural Gas Services Group (a) 3,000 56,550
Newpark Resources, Inc. (a) 22,220 93,991
OYO Geospace Corp. (a) 1,000 42,890
Parker Drilling Co. (a) 29,681 146,921
Pioneer Drilling Co. (a) 10,100 79,790
RPC, Inc. 7,100 73,840
29
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Sulphco, Inc. (a)(b) 12,200 $ 8,174
Superior Well Services, Inc. (a) 3,800 54,188
T-3 Energy Services, Inc. (a) 3,100 79,050
Tetra Technologies, Inc. (a) 18,600 206,088
Union Drilling, Inc. (a) 2,600 16,250
Willbros Group, Inc. (a) 9,900 167,013
--------------
3,311,884
--------------
OIL: CRUDE PRODUCERS - ATP Oil & Gas Corp. (a)(b) 9,300 170,004
2.3% Apco Oil and Gas International, Inc. 2,100 46,410
Approach Resources, Inc. (a) 3,500 27,020
Arena Resources, Inc. (a) 9,300 401,016
Atlas Energy, Inc. 16,087 485,345
BPZ Resources, Inc. (a)(b) 22,200 210,900
Berry Petroleum Co., Class A 10,602 309,048
Bill Barrett Corp. (a) 9,600 298,656
Brigham Exploration Co. (a) 23,200 314,360
CREDO Petroleum Corp. (a) 1,600 14,880
Carrizo Oil & Gas, Inc. (a) 6,900 182,781
Cheniere Energy, Inc. (a) 13,100 31,702
Clayton Williams Energy, Inc. (a) 1,500 52,560
Contango Oil & Gas Co. (a) 3,000 141,030
Cubic Energy, Inc. (a) 5,300 7,897
Delta Petroleum Corp. (a)(b) 45,900 47,736
Endeavour International Corp. (a) 28,500 30,780
FX Energy, Inc. (a)(b) 10,500 29,925
GMX Resources, Inc. (a) 7,100 97,554
GeoResources, Inc. (a) 1,800 24,588
Goodrich Petroleum Corp. (a) 5,500 133,925
Gran Tierra Energy, Inc. (a) 50,100 287,073
Gulfport Energy Corp. (a) 6,500 74,425
Harvest Natural Resources, Inc. (a) 8,200 43,378
Isramco, Inc. (a) 200 14,300
McMoRan Exploration Co. (a)(b) 17,900 143,558
Northern Oil And Gas, Inc. (a) 7,800 92,352
Oilsands Quest, Inc. (a) 48,600 55,890
Panhandle Oil & Gas, Inc. 1,800 46,620
Penn Virginia Corp. 10,616 226,015
Petroleum Development Corp. (a) 4,300 78,303
Petroquest Energy, Inc. (a)(b) 11,400 69,882
PrimeEnergy Corp. (a) 100 3,639
Rex Energy Corp. (a) 6,700 80,400
Rosetta Resources, Inc. (a) 12,800 255,104
Stone Energy Corp. (a) 9,798 176,854
Swift Energy Co. (a) 8,917 213,651
Toreador Resources Corp. (b) 5,500 54,450
Vaalco Energy, Inc. 14,600 66,430
Venoco, Inc. (a) 4,500 58,680
W&T Offshore, Inc. 8,300 97,110
Warren Resources, Inc. (a) 15,100 36,995
30
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Zion Oil & Gas, Inc. (a) 2,228 $ 15,930
--------------
5,249,156
--------------
OIL: INTEGRATED - 0.0% Alon USA Energy, Inc. 1,800 12,312
CVR Energy, Inc. (a) 5,700 39,102
Delek US Holdings, Inc. 3,200 21,792
Western Refining, Inc. (a)(b) 8,900 41,919
--------------
115,125
--------------
PAINTS & COATINGS - 0.2% Chase Corp. 1,800 21,258
Ferro Corp. 19,676 162,130
H.B. Fuller Co. 11,980 272,545
North American Galvanizing & Coatings (a) 2,800 13,580
--------------
469,513
--------------
PAPER - 0.7% Boise, Inc. (a) 7,000 37,170
Buckeye Technologies, Inc. (a) 9,698 94,652
Clearwater Paper Corp. (a) 2,599 142,867
Domtar Corp. (a) 10,100 559,641
Kapstone Paper and Packaging Corp. (a) 7,100 69,935
Neenah Paper, Inc. 3,800 53,010
P.H. Glatfelter Co. 11,301 137,307
Schweitzer-Mauduit International, Inc. 4,120 289,842
Wausau Paper Corp. 10,842 125,767
--------------
1,510,191
--------------
PERSONAL CARE - 0.3% Chattem, Inc. (a) 4,600 429,180
Female Health Co. (a) 3,500 16,555
Mannatech, Inc. 3,900 12,168
Orchids Paper Products Co. (a) 1,400 28,028
USANA Health Sciences, Inc. (a) 1,600 51,040
WD-40 Co. 4,089 132,320
--------------
669,291
--------------
PHARMACEUTICALS - 1.7% Acura Pharmaceuticals, Inc. (a) 2,100 11,193
Adolor Corp. (a) 11,600 16,936
Akorn, Inc. (a) 13,100 23,449
Alkermes, Inc. (a) 23,600 222,076
Allion Healthcare, Inc. (a) 4,700 30,832
American Oriental Bioengineering, Inc. (a) 15,500 72,075
Ardea Biosciences, Inc. (a) 3,300 46,200
Auxilium Pharmaceuticals, Inc. (a) 11,000 329,780
Avanir Pharmaceuticals, Inc. (a)(b) 16,700 31,730
BMP Sunstone Corp. (a) 8,800 50,072
BioCryst Pharmaceuticals, Inc. (a)(b) 5,800 37,468
Biospecifics Technologies (a) 800 23,480
Cadence Pharmaceuticals, Inc. (a)(b) 6,000 58,020
Cambrex Corp. (a) 7,285 40,650
Caraco Pharmaceutical Laboratories Ltd. (a) 2,600 15,704
China Sky One Medical, Inc. (a)(b) 2,800 63,700
Cumberland Pharmaceuticals, Inc. (a) 1,800 24,462
Depomed, Inc. (a) 12,800 42,880
Durect Corp. (a) 20,100 49,647
Hi-Tech Pharmacal Co., Inc. (a) 1,800 50,490
Impax Laboratories, Inc. (a) 15,200 206,720
31
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Infinity Pharmaceuticals, Inc. (a) 5,000 $ 30,900
Inspire Pharmaceuticals, Inc. (a) 14,100 77,832
Isis Pharmaceuticals, Inc. (a) 23,089 256,288
Ista Pharmaceuticals, Inc. (a) 9,100 41,496
Javelin Pharmaceuticals, Inc. (a) 12,600 16,380
K-V Pharmaceutical Co., Class A (a) 8,700 31,929
Lannett Co., Inc. (a) 2,100 12,411
MAP Pharmaceuticals, Inc. (a) 1,800 17,154
Medicines Co. (a) 13,227 110,313
Medicis Pharmaceutical Corp., Class A 13,700 370,585
MiddleBrook Pharmaceuticals, Inc. (a) 9,100 4,641
Obagi Medical Products, Inc. (a) 4,300 51,600
Optimer Pharmaceuticals, Inc. (a)(b) 7,200 81,216
Pain Therapeutics, Inc. (a) 8,700 46,632
Par Pharmaceutical Cos., Inc. (a) 8,000 216,480
Pozen, Inc. (a) 6,400 38,336
Prestige Brands Holdings, Inc. (a) 8,300 65,238
Questcor Pharmaceuticals, Inc. (a) 14,400 68,400
SIGA Technologies, Inc. (a) 6,900 40,020
Salix Pharmaceuticals Ltd. (a) 13,000 330,200
Santarus, Inc. (a) 12,300 56,826
Sciclone Pharmaceuticals, Inc. (a) 10,300 23,999
Spectrum Pharmaceuticals, Inc. (a) 9,500 42,180
SuperGen, Inc. (a) 13,800 36,156
Vical, Inc. (a) 9,000 29,610
Vivus, Inc. (a)(b) 18,900 173,691
Xenoport, Inc. (a) 7,100 131,776
--------------
3,849,853
--------------
PHOTOGRAPHY - 0.1% CPI Corp. 1,200 14,736
Eastman Kodak Co. (b) 66,000 278,520
--------------
293,256
--------------
PLASTICS - 0.0% Spartech Corp. 7,654 78,530
--------------
POWER TRANSMISSION Advanced Energy Industries, Inc. (a) 8,212 123,837
EQUIPMENT - 0.3% Maxwell Technologies, Inc. (a) 5,600 99,904
Powell Industries, Inc. (a) 1,931 60,884
Regal-Beloit Corp. 8,551 444,139
Vicor Corp. (a) 4,796 44,603
--------------
773,367
--------------
PRECIOUS METALS & Horsehead Holding Corp. (a) 10,000 127,500
MINERALS - 0.1% Stillwater Mining Co. (a) 10,064 95,407
--------------
222,907
--------------
PRINTING & COPYING Cenveo, Inc. (a) 12,100 105,875
SERVICES - 0.0%
PRODUCER DURABLES: Blount International, Inc. (a) 9,600 96,960
MISCELLANEOUS - 0.1% China Fire & Security Group, Inc. (a)(b) 3,500 47,355
--------------
144,315
--------------
PRODUCTION TECHNOLOGY ATMI, Inc. (a)(c) 7,857 146,297
EQUIPMENT - 1.0% Brooks Automation, Inc. (a) 16,078 137,949
Cognex Corp. 9,956 176,420
Cohu, Inc. 5,818 81,161
Cymer, Inc. (a) 7,000 268,660
32
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Electro Scientific Industries, Inc. (a) 6,761 $ 73,154
Entegris, Inc. (a) 30,292 159,942
FEI Co. (a) 9,455 220,869
Intevac, Inc. (a) 5,500 63,085
Kulicke & Soffa Industries, Inc. (a) 15,656 84,386
MKS Instruments, Inc. (a) 12,300 214,143
Photronics, Inc. (a) 11,079 49,302
Rudolph Technologies, Inc. (a) 7,573 50,891
Tessera Technologies, Inc. (a) 11,800 274,586
Ultratech, Inc. (a) 4,990 74,151
Veeco Instruments, Inc. (a) 8,927 294,948
--------------
2,369,944
--------------
PUBLISHING - 0.2% Courier Corp. 2,450 34,912
Dolan Media Co. (a) 6,500 66,365
Journal Communications, Inc., Class A 9,800 38,122
Martha Stewart Living Omnimedia, Inc., 6,682 33,009
Class A (a)(b)
Primedia, Inc. 5,900 21,299
Scholastic Corp. 5,860 174,804
--------------
368,511
--------------
RADIO & TV BROADCASTERS - Crown Media Holdings, Inc., Class A (a) 2,698 3,912
0.1% Fisher Communications, Inc. (a) 1,500 24,375
Lin TV Corp., Class A (a) 6,700 29,882
Outdoor Channel Holdings, Inc. (a) 3,800 22,040
Sinclair Broadcast Group, Inc., Class A 12,064 48,618
--------------
128,827
--------------
RAILROAD EQUIPMENT - 0.1% American Railcar Industries, Inc. 2,300 25,346
Freightcar America, Inc. 2,500 49,575
Greenbrier Cos., Inc. 4,300 44,634
Portec Rail Products, Inc. 1,500 16,065
--------------
135,620
--------------
RAILROADS - 0.1% Genesee & Wyoming, Inc., Class A (a) 8,875 289,680
RailAmerica, Inc. (a) 4,400 53,680
--------------
343,360
--------------
REAL ESTATE - 0.2% American Realty Investors, Inc. (a) 400 4,900
Avatar Holdings, Inc. (a) 1,500 25,515
China Housing & Land Development (a)(b) 7,100 29,323
Consolidated-Tomoka Land Co. 1,400 48,916
Forestar Group, Inc. (a)(b) 8,828 194,039
Griffin Land & Nurseries, Inc. 700 20,391
Tejon Ranch Co. (a) 2,715 79,332
United Capital Corp. (a) 300 7,146
--------------
409,562
--------------
REAL ESTATE INVESTMENT Acadia Realty Trust 9,913 167,232
TRUSTS (REITS) - 6.2% Agree Realty Corp. 1,900 44,251
Alexander's, Inc. (a) 467 142,164
American Campus Communities, Inc. 12,903 362,574
American Capital Agency Corp. 3,500 92,890
Anworth Mortgage Asset Corp. 25,500 178,500
Apollo Commercial Real Estate Finance, Inc. (a) 1,800 32,382
33
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Ashford Hospitality Trust, Inc. (a) 14,080 $ 65,331
Associated Estates Realty Corp. 3,600 40,572
BioMed Realty Trust, Inc. 24,220 382,192
CBL & Associates Properties, Inc. 33,800 326,846
CapLease, Inc. 11,100 48,618
Capstead Mortgage Corp. 15,800 215,670
Care Investment Trust, Inc. 2,900 22,562
Cedar Shopping Centers, Inc. 9,800 66,640
Cogdell Spencer, Inc. 6,900 39,054
Colonial Properties Trust 15,300 179,469
Colony Financial, Inc. 2,900 59,073
Cousins Properties, Inc. 16,809 128,253
CreXus Investment Corp. (a) 2,500 34,900
Cypress Sharpridge Investments, Inc. 3,800 51,338
DCT Industrial Trust, Inc. 48,310 242,516
Developers Diversified Realty Corp. 37,700 349,102
DiamondRock Hospitality Co. 27,380 231,909
DuPont Fabros Technology, Inc. 6,900 124,131
Dynex Capital Corp. 2,600 22,698
EastGroup Properties, Inc. 6,227 238,370
Education Realty Trust, Inc. 12,400 60,016
Entertainment Properties Trust 9,680 341,414
Equity Lifestyle Properties, Inc. 6,094 307,564
Equity One, Inc. (b) 7,800 126,126
Extra Space Storage, Inc. 21,550 248,903
FelCor Lodging Trust, Inc. (a) 16,170 58,212
First Industrial Realty Trust, Inc. 11,400 59,622
First Potomac Realty Trust 6,900 86,733
Franklin Street Properties Corp. 15,500 226,455
Getty Realty Corp. 4,300 101,179
Gladstone Commercial Corp. 2,400 32,184
Glimcher Realty Trust 12,556 33,901
Government Properties Income Trust 2,700 62,046
Gramercy Capital Corp. (a) 10,702 27,718
Hatteras Financial Corp. 8,300 232,068
Healthcare Realty Trust, Inc. 14,100 302,586
Hersha Hospitality Trust 10,700 33,598
Highwoods Properties, Inc. 17,300 576,955
Home Properties, Inc. 8,120 387,405
Inland Real Estate Corp. 16,900 137,735
Invesco Mortgage Capital, Inc. 2,100 47,796
Investors Real Estate Trust 16,400 147,600
iStar Financial, Inc. (a)(b) 26,000 66,560
Kilroy Realty Corp. (b) 10,200 312,834
Kite Realty Group Trust 9,740 39,642
LTC Properties, Inc. 5,800 155,150
LaSalle Hotel Properties 15,420 327,367
Lexington Corporate Properties Trust 22,643 137,669
MFA Financial, Inc. 67,700 497,595
Medical Properties Trust, Inc. 20,100 201,000
34
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Mid-America Apartment Communities, Inc. 6,529 $ 315,220
Mission West Properties, Inc. 3,800 27,322
Monmouth Real Estate Investment Corp., Class A 4,900 36,456
National Health Investors, Inc. 6,429 237,809
National Retail Properties, Inc. 19,675 417,504
NorthStar Realty Finance Corp. (b) 14,963 51,323
Omega Healthcare Investors, Inc. 20,400 396,780
PS Business Parks, Inc. 4,208 210,610
Parkway Properties, Inc. 5,504 114,593
Pennsylvania Real Estate Investment Trust (b) 8,932 75,565
PennyMac Mortgage Investment Trust (a) 3,500 60,130
Post Properties, Inc. 11,086 217,286
Potlatch Corp. 9,947 317,110
RAIT Investment Trust (b) 16,210 21,235
Ramco-Gershenson Properties Trust 5,400 51,516
Redwood Trust, Inc. 19,195 277,560
Resource Capital Corp. 5,200 25,584
Saul Centers, Inc. 1,522 49,861
Sovran Self Storage, Inc. 6,280 224,384
Starwood Property Trust, Inc. 10,500 198,345
Strategic Hotel Capital, Inc. (a)(b) 19,850 36,921
Sun Communities, Inc. 4,143 81,824
Sunstone Hotel Investors, Inc. 24,521 217,746
Tanger Factory Outlet Centers, Inc. 9,622 375,162
Transcontinental Realty Investors, Inc. (a) 700 8,337
U-Store-It Trust 18,670 136,664
UMH Properties, Inc. 2,000 16,960
Universal Health Realty Income Trust 2,927 93,752
Urstadt Biddle Properties, Inc., Class A 5,100 77,877
Walter Investment Management Corp. 4,900 70,217
Washington REIT 14,365 395,756
Winthrop Realty Trust 2,637 28,638
--------------
14,130,917
--------------
RECREATIONAL VEHICLES & % Brunswick Corp. 21,800 277,078
BOATS - 0.3 Drew Industries, Inc. (a) 4,700 97,055
Marine Products Corp. 2,331 11,492
Polaris Industries, Inc. (b) 7,500 327,225
Winnebago Industries, Inc. (a) 7,190 87,718
--------------
800,568
--------------
RENTAL & LEASING Amerco, Inc. (a) 2,200 109,384
SERVICES: CONSUMER - 0.4% Avis Budget Group, Inc. (a) 23,800 312,256
Dollar Thrifty Automotive Group, Inc. (a) 6,495 166,337
Rent-A-Center, Inc. (a) 15,200 269,344
--------------
857,321
--------------
RESTAURANTS - 1.3% AFC Enterprises, Inc. (a) 6,200 50,592
BJ's Restaurants, Inc. (a) 4,800 90,336
Benihana, Inc., Class A (a) 3,700 14,023
Bob Evans Farms, Inc. 7,680 222,336
Buffalo Wild Wings, Inc. (a)(b) 4,050 163,093
CEC Entertainment, Inc. (a) 5,550 177,156
35
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
CKE Restaurants, Inc. 12,800 $ 108,288
California Pizza Kitchen, Inc. (a) 5,150 69,267
Caribou Coffee Co., Inc. (a) 1,400 10,808
Carrols Restaurant Group, Inc. (a) 2,500 17,675
The Cheesecake Factory, Inc. (a) 13,800 297,942
Cracker Barrel Old Country Store, Inc. 5,100 193,749
Denny's Corp. (a)(b) 24,000 52,560
DineEquity, Inc. (a)(b) 4,448 108,042
Domino's Pizza, Inc. (a) 9,650 80,867
Einstein Noah Restaurant Group, Inc. (a) 1,000 9,830
Frisch's Restaurants, Inc. 600 14,310
Jack in the Box, Inc. (a) 13,536 266,253
Krispy Kreme Doughnuts, Inc. (a) 14,600 43,070
Landry's Restaurants, Inc. (a) 1,596 33,979
Luby's, Inc. (a) 4,800 17,664
McCormick & Schmick's Seafood Restaurants, 3,400 23,664
Inc. (a)
O'Charleys, Inc. (a) 4,684 30,680
P.F. Chang's China Bistro, Inc. (a) 5,408 205,017
Papa John's International, Inc. (a) 4,796 112,035
Red Robin Gourmet Burgers, Inc. (a) 3,200 57,280
Ruby Tuesday, Inc. (a) 15,300 110,160
Ruth's Hospitality Group, Inc. (a) 5,000 10,450
Sonic Corp. (a) 14,820 149,237
The Steak N Shake Co. (a) 291 94,319
Texas Roadhouse, Inc., Class A (a) 12,300 138,129
--------------
2,972,811
--------------
SCIENTIFIC INSTRUMENTS: Brady Corp. 11,694 350,937
CONTROL & FILTER - 0.8% CIRCOR International, Inc. 4,300 108,274
China Security & Surveillance Technology, Inc. (a) 9,500 72,580
ESCO Technologies, Inc. 6,532 234,172
Energy Recovery, Inc. (a)(b) 8,900 61,232
Flanders Corp. (a) 3,800 16,948
The Gorman-Rupp Co. 3,597 99,421
ICx Technologies, Inc. (a) 2,800 26,656
L-1 Identity Solutions, Inc. (a) 18,428 138,026
Mine Safety Appliances Co. 6,526 173,135
PMFG, Inc. (a) 3,300 53,493
RAE Systems, Inc. (a) 12,500 13,750
Robbins & Myers, Inc. 6,424 151,092
Sun Hydraulics, Inc. 2,850 74,813
Watts Water Technologies, Inc., Class A 7,236 223,737
X-Rite, Inc. (a) 8,200 17,876
--------------
1,816,142
--------------
SCIENTIFIC INSTRUMENTS: A.O. Smith Corp. 5,081 220,465
ELECTRICAL - 1.1% AZZ, Inc. (a) 2,600 85,020
Advanced Battery Technologies, Inc. (a)(b) 11,700 46,800
American Superconductor Corp. (a)(b) 10,200 417,180
Baldor Electric Co. 11,501 323,063
Broadwind Energy, Inc. (a)(b) 7,600 61,484
36
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
China BAK Battery, Inc. (a) 9,400 $ 26,132
Ener1, Inc. (a)(b) 11,600 73,544
EnerSys (a) 9,200 201,204
Franklin Electric Co., Inc. 5,860 170,409
GrafTech International Ltd. (a) 29,444 457,854
Houston Wire & Cable Co. 4,400 52,360
Littelfuse, Inc. (a) 5,460 175,539
Preformed Line Products Co. 500 21,900
SatCon Technology Corp. (a) 14,600 41,172
Taser International, Inc. (a) 15,500 67,890
Ultralife Batteries, Inc. (a) 3,100 13,392
Valence Technology, Inc. (a) 12,800 11,648
--------------
2,467,056
--------------
SCIENTIFIC INSTRUMENTS: Badger Meter, Inc. 3,300 131,406
GAUGES & METERS - 0.1% Faro Technologies, Inc. (a) 4,100 87,904
Measurement Specialties, Inc. (a) 3,600 36,180
Smartheat, Inc. (a) 1,600 23,232
Zygo Corp. (a) 3,800 25,574
--------------
304,296
--------------
SCIENTIFIC INSTRUMENTS: American Ecology Corp. 4,700 80,088
POLLUTION CONTROL - 0.4% Clean Harbors, Inc. (a) 5,100 304,011
Darling International, Inc. (a) 20,900 175,142
EnergySolutions, Inc. 19,100 162,159
Fuel Tech, Inc. (a) 4,700 38,399
Heritage Crystal Clean, Inc. (a) 1,000 10,460
Met-Pro Corp. 3,600 38,232
Metalico, Inc. (a) 6,700 32,964
Perma-Fix Environmental Services (a) 14,000 31,780
Team, Inc. (a) 4,700 88,407
Waste Services, Inc. (a) 3,733 34,008
--------------
995,650
--------------
SECURITIES BROKERAGE & BGC Partners, Inc. 12,323 56,932
SERVICES - 0.9% E*Trade Financial Corp. (a) 372,500 651,875
GFI Group, Inc. 16,200 74,034
Gladstone Investment Corp. 5,500 25,080
International Assets Holding Corp., Inc. (a) 3,155 45,874
KBW, Inc. (a) 8,700 238,032
Knight Capital Group, Inc., Class A (a) 21,600 332,640
LaBranche & Co., Inc. (a) 14,600 41,464
MF Global Ltd. (a) 23,600 164,020
MarketAxess Holdings, Inc. 7,900 109,810
optionsXpress Holdings, Inc. 10,600 163,770
Penson Worldwide, Inc. (a)(b) 5,200 47,112
SWS Group, Inc. 6,106 73,883
TradeStation Group, Inc. (a) 8,100 63,909
--------------
2,088,435
--------------
SEMICONDUCTORS & Actel Corp. (a) 6,516 77,410
COMPONENTS - 2.5% Advanced Analogic Technologies, Inc. (a) 10,700 42,158
Amkor Technology, Inc. (a) 27,400 196,184
Anadigics, Inc. (a) 15,800 66,676
37
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Applied Micro Circuits Corp. (a) 16,400 $ 122,508
Atheros Communications, Inc. (a) 15,370 526,269
Cavium Networks, Inc. (a) 8,800 209,704
Ceva, Inc. (a) 5,000 64,300
Cirrus Logic, Inc. (a) 14,300 97,526
DSP Group, Inc. (a) 5,783 32,558
Diodes, Inc. (a) 7,812 159,755
Emcore Corp. (a) 18,900 20,223
Entropic Communications, Inc. (a) 14,500 44,515
Exar Corp. (a) 9,227 65,604
FormFactor, Inc. (a) 11,300 245,888
Hittite Microwave Corp. (a) 5,200 211,900
IXYS Corp. (a) 5,737 42,569
Kopin Corp. (a) 16,900 70,642
Lattice Semiconductor Corp. (a) 23,700 63,990
MIPS Technologies, Inc. (a) 11,000 48,070
Micrel, Inc. 11,300 92,660
Microsemi Corp. (a) 19,290 342,397
Microtune, Inc. (a) 12,500 28,250
Monolithic Power Systems, Inc. (a) 8,200 196,554
NetLogic Microsystems, Inc. (a) 4,100 189,666
Omnivision Technologies, Inc. (a) 11,200 162,736
PLX Technology, Inc. (a) 8,400 27,132
ParkerVision, Inc. (a)(b) 7,300 13,359
Pericom Semiconductor Corp. (a) 6,693 77,170
Power Integrations, Inc. 5,400 196,344
RF Micro Devices, Inc. (a) 65,284 311,405
Rubicon Technology, Inc. (a)(b) 3,100 62,961
Semtech Corp. (a) 14,800 251,748
Sigma Designs, Inc. (a) 6,500 69,550
Silicon Image, Inc. (a) 18,676 48,184
Silicon Storage Technology, Inc. (a) 19,858 50,836
Skyworks Solutions, Inc. (a) 40,033 568,068
Standard Microsystems Corp. (a) 5,510 114,498
Supertex, Inc. (a) 2,267 67,557
Techwell, Inc. (a) 3,600 47,520
Trident Microsystems, Inc. (a) 15,800 29,388
TriQuint Semiconductor, Inc. (a) 33,836 203,016
Virage Logic Corp. (a) 4,800 26,400
Volterra Semiconductor Corp. (a) 5,000 95,600
White Electronic Designs Corp. (a) 5,300 24,751
Zoran Corp. (a) 11,408 126,058
--------------
5,832,257
--------------
SHIPPING - 0.6% American Commercial Lines, Inc. (a) 2,250 41,242
DHT Maritime, Inc. 10,100 37,168
Eagle Bulk Shipping, Inc. (a)(b) 13,700 67,815
Genco Shipping & Trading Ltd. (b) 5,900 132,042
General Maritime Corp. 12,140 84,859
Golar LNG Ltd. 8,600 110,252
Gulfmark Offshore, Inc. (a) 5,500 155,705
38
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Horizon Lines, Inc., Class A 7,500 $ 41,775
International Shipholding Corp. 1,400 43,498
Knightsbridge Tankers Ltd. 4,200 55,692
Nordic American Tanker Shipping Ltd. (b) 10,500 315,000
Ship Finance International Ltd. 11,200 152,656
TBS International Ltd. (a) 2,800 20,580
Teekay Tankers Ltd., Class A 1,600 13,648
Ultrapetrol Bahamas Ltd. (a) 5,400 25,704
--------------
1,297,636
--------------
SPECIALTY RETAIL - 3.2% 1-800-FLOWERS.COM, Inc., Class A (a) 6,524 17,289
America's Car Mart, Inc. (a) 2,300 60,559
AnnTaylor Stores Corp. (a) 13,500 184,140
Asbury Automotive Group, Inc. (a) 7,900 91,087
bebe Stores, Inc. 5,500 34,485
Big 5 Sporting Goods Corp. 5,500 94,490
Blue Nile, Inc. (a) 3,200 202,656
Books-A-Million, Inc. 1,500 10,080
Borders Group, Inc. (a) 11,200 13,216
Brown Shoe Co., Inc. 10,527 103,901
The Buckle, Inc. (b) 6,009 175,944
Build-A-Bear Workshop, Inc. (a) 4,100 20,049
Cabela's, Inc., Class A (a)(b) 8,900 126,914
The Cato Corp., Class A 6,295 126,278
Charming Shoppes, Inc. (a) 28,840 186,595
The Children's Place Retail Stores, Inc. (a) 4,985 164,555
Christopher & Banks Corp. 8,928 68,031
Citi Trends, Inc. (a) 3,700 102,194
Coldwater Creek, Inc. (a) 14,300 63,778
Collective Brands, Inc. (a) 14,900 339,273
Conn's, Inc. (a)(b) 2,400 14,016
DSW, Inc., Class A (a) 2,600 67,288
Destination Maternity Corp. (a) 1,400 26,600
Dress Barn, Inc. (a) 13,982 322,984
The Finish Line, Inc., Class A 10,580 132,779
Gander Mountain Co. (a) 1,000 5,100
Genesco, Inc. (a) 5,238 143,835
Group 1 Automotive, Inc. 5,432 153,997
Gymboree Corp. (a) 6,758 293,905
Haverty Furniture Cos., Inc. 4,436 60,906
hhgregg, Inc. (a) 2,800 61,684
Hibbett Sports, Inc. (a) 6,275 137,987
Hot Topic, Inc. (a) 9,181 58,391
Jo-Ann Stores, Inc. (a) 6,105 221,245
Jos. A. Bank Clothiers, Inc. (a) 4,133 174,371
Lithia Motors, Inc., Class A (b) 4,500 36,990
Men's Wearhouse, Inc. 12,900 271,674
Midas, Inc. (a) 3,542 29,930
Monro Muffler, Inc. 3,650 122,056
New York & Co. (a) 5,800 24,882
Nu Skin Enterprises, Inc., Class A 11,426 307,017
39
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
OfficeMax, Inc. (a) 18,800 $ 238,572
Pacific Sunwear of California, Inc. (a) 16,600 66,068
The Pep Boys - Manny, Moe & Jack 11,966 101,232
Pier 1 Imports, Inc. (a) 26,299 133,862
Regis Corp. 13,100 203,967
Retail Ventures, Inc. (a) 6,200 55,118
Rue21, Inc. (a) 1,300 36,517
Sally Beauty Co., Inc. (a) 23,500 179,775
Shoe Carnival, Inc. (a) 2,100 42,987
Shutterfly, Inc. (a) 4,400 78,364
Sonic Automotive, Inc. 6,900 71,691
Stage Stores, Inc. 9,550 118,038
Stamps.com, Inc. (a) 3,403 30,627
Stein Mart, Inc. (a) 6,324 67,414
Syms Corp. (a) 1,600 11,568
Systemax, Inc. 2,400 37,704
The Talbots, Inc. (b) 6,100 54,351
Ticketmaster Entertainment (a) 9,200 112,424
Tractor Supply Co. (a) 8,700 460,752
Ulta Salon Cosmetics & Fragrance, Inc. (a) 6,900 125,304
Vitacost.com, Inc. (a) 1,900 19,798
Vitamin Shoppe, Inc. (a) 1,700 37,808
The Wet Seal, Inc., Class A (a) 23,600 81,420
Zale Corp. (a)(b) 5,000 13,600
Zumiez, Inc. (a) 4,900 62,328
--------------
7,294,440
--------------
STEEL - 0.1% China Precision Steel, Inc. (a)(b) 9,000 18,450
General Steel Holdings, Inc. (a) 3,300 14,553
Olympic Steel, Inc. 1,900 61,902
Sutor Technology Group Ltd. (a) 1,900 5,054
Universal Stainless & Alloy Products, Inc. (a) 1,700 32,062
--------------
132,021
--------------
SUGAR - 0.0% Imperial Sugar Co., New Shares 2,500 43,600
--------------
SYNTHETIC FIBERS & Zoltek Cos., Inc. (a)(b) 6,900 65,550
CHEMICALS - 0.0%
--------------
TECHNOLOGY: MISCELLANEOUS Benchmark Electronics, Inc. (a) 16,329 308,781
- 0.3% CTS Corp. 8,368 80,500
LaBarge, Inc. (a) 3,000 36,150
Plexus Corp. (a) 9,898 282,093
Vocus, Inc. (a) 4,100 73,800
--------------
781,324
--------------
TELECOMMUNICATIONS ADC Telecommunications, Inc. (a) 22,000 136,620
EQUIPMENT - 0.4% Applied Signal Technology, Inc. 2,600 50,154
Arris Group, Inc. (a) 30,500 348,615
Brightpoint, Inc. (a) 12,530 92,095
Cogo Group, Inc. (a) 5,800 42,746
Communications System, Inc. 1,300 16,172
Mastec, Inc. (a) 12,900 161,250
OpNext, Inc. (a) 6,700 12,730
Powerwave Technologies, Inc. (a) 30,977 39,031
Symmetricom, Inc. (a) 11,300 58,760
40
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
UTStarcom, Inc. (a)(b) 27,000 $ 59,130
--------------
1,017,303
--------------
TEXTILE PRODUCTS - 0.1% Interface, Inc., Class A 12,621 104,881
Unifi, Inc. (a) 10,800 41,904
--------------
146,785
--------------
TEXTILES APPAREL & SHOES American Apparel, Inc. (a) 8,500 26,350
- - 2.1% Carter's, Inc. (a) 13,200 346,500
Cherokee, Inc. 1,900 33,858
Columbia Sportswear Co. (b) 2,800 109,312
Crocs, Inc. (a) 20,900 120,175
Deckers Outdoor Corp. (a) 3,000 305,160
FGX International Holdings Ltd. (a) 3,400 66,606
G-III Apparel Group, Ltd. (a) 3,300 71,511
Iconix Brand Group, Inc. (a) 17,300 218,845
J. Crew Group, Inc. (a) 12,070 540,012
Jones Apparel Group, Inc. 20,900 335,654
K-Swiss, Inc., Class A 6,496 64,570
Kenneth Cole Productions, Inc., Class A 1,092 10,538
Liz Claiborne, Inc. (a)(b) 24,100 135,683
lululemon athletica, Inc. (a) 10,000 301,000
Maidenform Brands, Inc. (a) 4,400 73,436
Oxford Industries, Inc. 3,342 69,113
Perry Ellis International, Inc. (a) 1,850 27,861
Quiksilver, Inc. (a) 32,000 64,640
Skechers U.S.A., Inc., Class A (a) 7,655 225,134
Steven Madden Ltd. (a) 3,568 147,144
Timberland Co., Class A (a) 10,700 191,851
True Religion Apparel, Inc. (a) 6,200 114,638
Under Armour, Inc., Class A (a) 8,300 226,341
Volcom, Inc. (a) 4,500 75,330
The Warnaco Group, Inc. (a) 10,700 451,433
Weyco Group, Inc. 1,600 37,824
Wolverine World Wide, Inc. 12,008 326,858
--------------
4,717,377
--------------
TOBACCO - 0.2% Alliance One International, Inc. (a) 19,955 97,380
Star Scientific, Inc. (a) 18,100 12,670
Universal Corp. 5,756 262,531
Vector Group Ltd. 9,825 137,550
--------------
510,131
--------------
TOYS - 0.1% Jakks Pacific, Inc. (a) 5,930 71,872
Leapfrog Enterprises, Inc. (a) 8,446 33,024
RC2 Corp. (a) 4,813 70,992
--------------
175,888
--------------
TRANSPORTATION Dynamex, Inc. (a) 2,100 38,010
MISCELLANEOUS - 0.2% Echo Global Logistics, Inc. (a) 500 6,345
HUB Group, Inc., Class A (a) 9,200 246,836
Odyssey Marine Exploration, Inc. (a) 12,900 18,189
Pacer International, Inc. 6,900 21,804
Textainer Group Holdings Ltd. 2,166 36,605
41
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Todd Shipyards Corp. 1,700 $ 28,492
--------------
396,281
--------------
TRUCKERS - 0.6% Arkansas Best Corp. 5,741 168,958
Celadon Group, Inc. (a) 5,500 59,675
Forward Air Corp. 7,232 181,162
Heartland Express, Inc. 12,273 187,409
Knight Transportation, Inc. 14,262 275,114
Marten Transport Ltd. (a) 3,850 69,107
Old Dominion Freight Line, Inc. (a) 6,325 194,178
Patriot Transportation Holding, Inc. (a) 300 28,338
Saia, Inc. (a) 3,281 48,624
USA Truck, Inc. (a) 2,200 27,544
Universal Truckload Services, Inc. 1,321 23,910
Werner Enterprises, Inc. 9,600 189,984
YRC Worldwide, Inc. (a)(b) 6,700 5,627
--------------
1,459,630
--------------
UTILITIES: ELECTRICAL - % Allete, Inc. 6,966 227,649
1.7 Avista Corp. 13,275 286,607
Black Hills Corp. 9,300 247,659
CH Energy Group, Inc. 3,989 169,612
Central Vermont Public Service Corp. 2,800 58,240
Cleco Corp. 14,667 400,849
El Paso Electric Co. (a) 10,908 221,214
The Empire District Electric Co. 7,968 149,241
IDACORP, Inc. 11,500 367,425
MGE Energy, Inc. 5,745 205,326
NorthWestern Corp. 8,200 213,364
Otter Tail Corp. 8,986 222,853
PNM Resources, Inc. 19,800 250,470
Pike Electric Corp. (a) 4,100 38,048
Portland General Electric Co. 17,400 355,134
UIL Holdings Corp. 7,167 201,249
Unisource Energy Corp. 8,183 263,411
Unitil Corp. 2,900 66,642
--------------
3,944,993
--------------
UTILITIES: GAS Chesapeake Utilities Corp. 2,267 72,657
DISTRIBUTORS - 1.2% The Laclede Group, Inc. 4,948 167,094
New Jersey Resources Corp. 9,761 365,061
Nicor, Inc. (c) 10,600 446,260
Northwest Natural Gas Co. 6,399 288,211
Piedmont Natural Gas Co. 18,000 481,500
South Jersey Industries, Inc. 6,832 260,846
Southwest Gas Corp. 10,890 310,692
WGL Holdings, Inc. 11,700 392,418
--------------
2,784,739
--------------
UTILITIES: Alaska Communications Systems Group, Inc. 11,000 87,780
TELECOMMUNICATIONS - 0.9% Atlantic Tele-Network, Inc. 2,200 121,022
Cbeyond Communications, Inc. (a) 5,700 89,775
Cincinnati Bell, Inc. (a) 51,600 178,020
Cogent Communications Group, Inc. (a) 11,100 109,446
42
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ---------------------------------------------------- -------------- --------------
Consolidated Communications Holdings, Inc. 5,835 $ 102,112
General Communication, Inc., Class A (a) 11,139 71,067
Global Crossing Ltd. (a) 7,300 104,025
HickoryTech Corp. 3,000 26,490
Incontact, Inc. (a) 6,100 17,873
Iowa Telecommunications Services, Inc. 7,100 118,996
j2 Global Communications, Inc. (a) 10,500 213,675
NTELOS Holdings Corp. 7,500 133,650
Neutral Tandem, Inc. (a) 7,300 166,075
PAETEC Holding Corp. (a) 30,520 126,658
Premiere Global Services, Inc. (a) 15,200 125,400
RCN Corp. (a) 9,100 98,735
Shenandoah Telecom Co. 5,900 120,065
SureWest Communications (a) 3,900 38,844
USA Mobility, Inc. 4,220 46,462
--------------
2,096,170
--------------
UTILITIES: WATER - 0.3% American States Water Co. 4,485 158,814
Artesian Resources Corp., Class A 1,900 34,789
California Water Service Group 4,796 176,589
Connecticut Water Service, Inc. 2,100 52,017
Consolidated Water Co., Inc. 3,600 51,444
Middlesex Water Co. 3,300 58,179
Pennichuck Corp. 1,000 21,130
SJW Corp. 3,248 73,307
Southwest Water Co. 6,083 35,829
York Water Co. 3,200 46,432
708,530
--------------
TOTAL COMMON STOCKS - 97.6% 224,138,747
--------------
INVESTMENT COMPANIES
BlackRock Kelso Capital Corp. (d) 3,100 26,412
Gladstone Capital Corp. 5,200 40,040
Hercules Technology Growth Capital, Inc. 8,562 88,959
Kayne Anderson Energy Development Co. 2,500 36,375
Pennantpark Investment Corp. 5,300 47,276
Prospect Capital Corp. (b) 14,400 170,064
--------------
TOTAL INVESTMENT COMPANIES - 0.2% 409,126
--------------
RIGHTS
BANKS: SAVINGS, THRIFT & Flagstar Bancorp, Inc. (Expires 1/25/10) 25,125 --
MORTGAGE LENDING - 0.0%
BUILDING MATERIALS - 0.0% Builders FirstSource, Inc. (Expires 1/14/10) 6,444 1,577
TOTAL RIGHTS - 0.0% 1,577
WARRANTS (E)
ALTERNATIVE ENERGY - 0.0% GreenHunter Energy, Inc. (Expires
8/27/11) (b)(f)
180 --
COMMUNICATIONS TECHNOLOGY Lantronix, Inc. (Expires 2/09/11) (a)(f) 138 --
- - 0.0% TOTAL WARRANTS - 0.0% --
--------------
TOTAL LONG-TERM INVESTMENTS
(COST - $190,334,906) - 97.8% 224,549,450
--------------
43
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
SHORT-TERM SECURITIES SHARES VALUE
---------------------------------------------------- -------------- --------------
BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (d)(g) 9,452,117 $ 9,452,117
--------------
BENEFICIAL
INTEREST
(000)
--------------
BlackRock Liquidity Series, LLC Money
Market Series, 0.29% (d)(g)(h)
$ 17,387 $ 17,386,620
--------------
TOTAL SHORT-TERM SECURITIES
(COST - $26,838,737) - 11.7% 26,838,737
--------------
TOTAL INVESTMENTS
(COST - $217,173,643*) - 109.5% 251,388,187
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.5)% (21,751,491)
--------------
NET ASSETS - 100.0% $ 229,636,696
==============
* The cost and unrealized appreciation (depreciation) of investments as
December 31, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost $229,753,769
============
Gross unrealized appreciation $ 48,267,727
Gross unrealized depreciation (26,633,309)
------------
Net unrealized appreciation $ 21,634,418
============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of security has been pledged as collateral in connection
with open financial futures contracts.
(d) Investments in 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 REALIZED
AFFILIATE COST SALE COST LOSS INCOME
- --------- ---------- ----------- --------- --------
Anthracite Capital, Inc. $ 16,102 $ 239,668 $(221,996) --
BlackRock Kelso Capital Corp. $ 11,712 $ 42,960 $ (13,276) $ 992
BlackRock Liquidity Funds, TempFund, $9,452,117(1) -- -- $ 26,184
Institutional Class
BlackRock Liquidity Series, LLC Cash
Sweep Series
-- $33,514,609(2) -- $ 37,173
BlackRock Liquidity Series, LLC Money
Market Series
-- $ 7,257,582(2) -- $451,286
(1) Represents net purchase cost.
(2) 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 was as
follows:
ACQUISITION
ISSUE DATE COST VALUE
- ----- ----------- ---- -----
GreenHunter Energy, Inc. 6/27/08 $-- $--
(g) Represents the current yield as of report date.
(h) Security was purchased with the cash collateral from securities loans.
- - 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.
44
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
- Financial futures contracts purchased as of December 31, 2009
were as follows:
UNREALIZED
CONTRACTS ISSUE EXPIRATION DATE NOTIONAL VALUE APPRECIATION
- --------- ----------------- --------------- -------------- ------------
72 Russell 2000 MINI March 2010 $4,403,447 $88,573
- 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 asset and liabilities
- 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 December 31, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS
IN
SECURITIES
VALUATION INPUTS ASSETS
- ---------------- ------------
Level 1 - Long-Term Investments(1) $224,549,450
Short-Term Securities 9,452,117
------------
Total Level 1 234,001,567
------------
Level 2 - Short-Term Securities 17,386,620
Level 3 --
------------
TOTAL $251,388,187
============
(1) See above Schedule of Investments for values in each industry.
OTHER FINANCIAL
INSTRUMENTS(2)
VALUATION INPUTS ASSETS
- ---------------- ---------------
Level 1 $88,573
Level 2 --
Level 3 --
-------
TOTAL $88,573
=======
(2) Other financial instruments are financial futures contracts which are shown
at the unrealized appreciation/depreciation on the instrument.
45
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Directors of
Quantitative Master Series LLC:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
Small Cap Index Series, one of the portfolios constituting Quantitative Master
Series LLC, (the "Master LLC") as of December 31, 2009, and for the year then
ended and have issued our report thereon dated February 24, 2010 which report
and financial statements are included in Item 1 of this Certified Shareholder
Report on Form N-CSR. Our audit also included the Master LLC's Schedule of
Investments (the "Schedule") as of December 31, 2009 appearing in Item 6 of this
Form N-CSR. This Schedule is the responsibility of the Master LLC's management.
Our responsibility is to express an opinion based on our audit. In our opinion,
the Schedule referred to above, when considered in relation to the basic
financial statements taken as a whole of the Master LLC referred to above,
presents fairly, in all material respects, the information set forth therein.
DELOITTE & TOUCHE LLP
February 24, 2010
Princeton, New Jersey
46
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
AUSTRALIA - 8.0% AGL Energy Ltd. 32,318 $ 406,212
AMP Ltd. 134,396 811,796
AXA Asia Pacific Holdings Ltd. 63,768 372,847
Alumina Ltd. 176,221 288,088
Amcor Ltd. 85,527 476,158
Aristocrat Leisure Ltd. 23,258 83,319
Arrow Energy Ltd. (a) 43,525 161,871
Asciano Group 177,084 286,684
Australia & New Zealand Banking Group Ltd. 175,062 3,567,483
Australian Stock Exchange Ltd. 12,589 392,483
BGP Holdings Plc (a) 783,183 11
BHP Billiton Ltd. 235,856 9,025,412
Bendigo and Adelaide Bank Ltd. 23,903 209,819
Billabong International Ltd. 14,236 139,288
BlueScope Steel Ltd. 116,707 321,571
Boral Ltd. 47,833 253,889
Brambles Ltd. 93,900 569,494
CFS Retail Property Trust 120,545 205,259
CSL Ltd. 40,498 1,177,658
CSR Ltd. 95,827 154,301
Caltex Australia Ltd. 5,477 45,560
Coca-Cola Amatil Ltd. 39,909 411,482
Cochlear Ltd. 3,996 246,768
Commonwealth Bank of Australia Ltd. 108,214 5,283,200
Computershare Ltd. 31,128 318,487
Crown Ltd. 32,826 234,880
DB RREEF Trust 326,593 247,777
Energy Resources of Australia Ltd. 5,323 113,596
Fairfax Media Ltd. 157,547 244,876
Fortescue Metals Group Ltd. (a) 90,869 359,429
Foster's Group Ltd. 132,582 652,198
General Property Trust 635,242 341,354
Goodman Fielder Ltd. 76,606 111,554
Goodman Group 480,536 271,860
Harvey Norman Holdings Ltd. 47,593 179,423
Incitec Pivot Ltd. 103,113 326,158
Insurance Australia Group Ltd. 153,545 551,484
James Hardie Industries NV (a) 26,387 200,707
Leighton Holdings Ltd. 11,460 388,474
PORTFOLIO ABBREVIATIONS
To simplify the listings of portfolio holdings in the Schedules of Investments,
the names and descriptions of many of securities have been abbreviated according
to the following list:
ADR American Depository Receipt
AUD Australian Dollar
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
USD US Dollar
1
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Lend Lease Group 36,073 $ 332,987
Macquarie Group Ltd. 22,862 979,548
Macquarie Infrastructure Group (a) 168,493 200,681
Map Group 48,201 130,463
Metcash Ltd. 53,350 213,920
Mirvac Group 179,774 250,829
National Australia Bank Ltd. 146,693 3,579,900
Newcrest Mining Ltd. 34,140 1,081,373
Nufarm Ltd. 12,318 119,571
OZ Mineral Ltd. 222,416 237,068
OneSteel Ltd. 99,214 297,996
Orica Ltd. 25,432 591,292
Origin Energy Ltd. 63,616 957,118
Paladin Resources Ltd. (a) 42,215 157,584
QBE Insurance Group Ltd. 69,424 1,584,275
Qantas Airways Ltd. 59,212 157,983
Rio Tinto Ltd. 30,300 2,022,666
SP AusNet 73,836 60,594
Santos Ltd. 61,585 775,636
Sims Metal Management Ltd. 10,713 209,905
Sonic Healthcare Ltd. 25,851 356,033
Stockland 156,090 549,937
Suncorp-Metway Ltd. 101,353 784,667
Tabcorp Holdings Ltd. 49,709 308,411
Tatts Group Ltd. 85,322 186,136
Telstra Corp. Ltd. 274,890 845,114
Toll Holdings Ltd. 50,305 392,830
Transurban Group 89,765 444,253
Wesfarmers Ltd. Ordinary Shares 68,858 1,924,912
Wesfarmers Ltd. Partially Protected Shares 11,123 310,577
Westfield Group 142,576 1,595,692
Westpac Banking Corp. 205,646 4,645,276
Woodside Petroleum Ltd. 35,566 1,499,891
Woolworths Ltd. 86,641 2,173,023
WorleyParsons Ltd. 11,479 298,058
--------------
59,689,109
--------------
AUSTRIA - 0.3% Erste Bank der Oesterreichischen Sparkassen AG 14,801 549,989
Immoeast Immobilien Anlagen AG (a) 30,711 168,610
OMV AG 11,416 500,890
Raiffeisen International Bank Holding AG 3,837 214,358
Telekom Austria AG 25,749 367,559
Verbund - Oesterreichische Elektrizitaetswirtschafts
AG 5,338 226,342
Vienna Insurance Group 2,435 124,986
Voestalpine AG 8,660 316,380
--------------
2,469,114
--------------
2
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
BELGIUM - 1.0% Anheuser-Busch InBev NV 51,402 $ 2,660,933
Anheuser-Busch InBev NV VVPR Strip (a) 24,368 175
Belgacom SA 11,277 409,389
Colruyt SA 1,193 287,815
Delhaize Group 6,859 524,708
Dexia NV 39,474 248,479
Fortis 164,508 608,952
Groupe Bruxelles Lambert SA 6,169 582,511
KBC Bancassurance Holding 12,538 538,697
Mobistar SA 1,543 105,781
Nationale A Portefeuille 3,141 167,141
Solvay SA 4,453 479,567
UCB SA 7,495 312,838
Umicore SA 7,309 243,818
--------------
7,170,804
--------------
BERMUDA - 0.1% Mongolia Energy Co., Ltd. (a) 187,757 95,536
SeaDrill Ltd. 19,162 487,537
Yue Yuen Industrial Holdings Ltd. 38,785 112,292
--------------
695,365
--------------
CAYMAN ISLANDS - 0.1% Foxconn International Holdings Ltd. (a) 134,900 155,298
Lifestyle International Holdings Ltd. 25,966 48,271
Sands China Ltd. (a) 122,200 149,097
--------------
352,666
--------------
DENMARK - 0.9% A P Moller - Maersk A/S, Class A 41 276,953
A P Moller - Maersk A/S, Class B 103 723,667
Carlsberg A/S 7,349 540,994
Coloplast A/S, Class B 1,414 127,871
Danske Bank A/S 35,051 786,874
Dsv A/S 15,864 287,501
H Lundbeck A/S 5,000 90,336
Novo-Nordisk A/S, Class B 32,752 2,090,944
Novozymes A/S, Class B 3,292 342,492
Topdanmark A/S (a) 1,251 168,477
TrygVesta A/S 1,800 118,322
Vestas Wind Systems A/S (a) 14,971 911,476
William Demant Holding (a) 1,380 103,723
--------------
6,569,630
--------------
FINLAND - 1.1% Elisa Corp. 10,641 242,874
Fortum Oyj 34,445 934,474
Kesko Oyj, Class B 5,035 166,269
Kone Oyj, Class B 11,564 495,563
Metso Oyj 8,556 300,960
Neste Oil Oyj 9,709 172,529
Nokia Oyj 260,135 3,363,540
Nokian Renkaat Oyj 7,815 189,506
OKO Bank 9,023 97,315
3
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Orion Oyj 4,981 $ 107,422
Outokumpu Oyj 10,168 192,482
Rautaruukki Oyj 5,746 132,914
Sampo Oyj 32,840 799,981
Sanoma Oyj 4,340 97,917
Stora Enso Oyj, Class R 47,345 332,069
UPM-Kymmene Oyj 35,654 423,883
Wartsila Oyj 6,130 245,704
--------------
8,295,402
--------------
FRANCE - 10.2% AXA SA 118,646 2,785,685
Accor SA 9,993 546,837
Aeroports de Paris 1,945 156,335
Air France-KLM 9,956 156,242
Air Liquide 17,514 2,082,901
Alcatel SA 160,264 539,644
Alstom 13,602 951,267
Atos Origin SA 3,828 175,374
BNP Paribas SA 66,723 5,292,332
BioMerieux 968 113,099
Bouygues 17,021 881,657
Bureau Veritas SA 3,272 170,562
CNP Assurances 2,634 255,064
Cap Gemini SA 9,826 448,263
Carrefour SA 43,624 2,092,501
Casino Guichard Perrachon SA 3,996 356,024
Christian Dior SA 4,796 491,493
Cie de Saint-Gobain SA 26,026 1,411,813
Cie Generale d'Optique Essilor International SA 15,575 931,564
Compagnie Generale de Geophysique SA (a) 10,011 212,800
Compagnie Generale des Etablissements Michelin 10,861 831,831
Credit Agricole SA 66,650 1,169,697
Dassault Systemes SA 4,640 264,224
EDP Renovaveis SA (a) 14,456 137,064
Eiffage 2,707 152,574
Electricite de France SA 18,214 1,082,518
Eramet 374 117,126
Eurazeo 2,034 141,087
European Aeronautic Defense and Space Co. 31,850 640,221
Eutelsat Communications 7,237 232,192
Fonciere Des Regions 1,915 195,815
France Telecom SA 127,575 3,187,876
GDF Suez 87,797 3,803,453
Gecina SA 1,263 137,332
Groupe Danone 38,312 2,348,594
Hermes International 4,098 545,536
4
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
ICADE 1,246 $ 119,295
Iliad SA 1,024 122,372
Imerys SA 2,046 122,485
Ipsen 1,770 98,145
JC Decaux SA 4,548 110,393
Klepierre 6,678 270,561
L'Oreal SA 17,178 1,918,537
LVMH Moet Hennessy Louis Vuitton SA 17,330 1,943,172
Lafarge SA 15,271 1,257,629
Lagardere S.C.A. 9,747 394,612
Legrand Promesses 7,653 212,995
M6-Metropole Television SA 4,449 113,869
Natixis 70,340 351,232
Neopost SA 2,223 183,476
PagesJaunes Groupe SA 9,088 101,298
Pernod-Ricard SA 14,580 1,246,730
Peugeot SA 10,153 341,318
Pinault-Printemps-Redoute 5,920 710,607
Publicis Groupe 9,773 397,371
Renault SA 12,929 663,255
STMicroelectronics NV 55,598 513,738
Safran SA 13,442 262,647
Sanofi-Aventis 73,274 5,762,470
Schneider Electric SA 16,032 1,864,081
Scor SE 12,536 314,930
Societe BIC SA 1,501 103,697
Societe Des Autoroutes Paris-Rhin-Rhone 1,166 89,774
Societe Generale SA 43,036 2,990,138
Societe Television Francaise 1 8,432 154,857
Sodexho Alliance SA 6,923 393,918
Suez Environnement SA 20,117 463,880
Technip SA 7,614 535,695
Thales SA 7,489 384,899
Total SA 148,344 9,528,118
Unibail - Rodamco 6,571 1,443,516
Vallourec SA 3,982 720,417
Veolia Environnement SA 30,342 1,000,166
Vinci SA 29,687 1,670,518
Vivendi SA 84,277 2,501,316
--------------
76,416,724
--------------
GERMANY - 7.6% Adidas-Salomon AG 13,451 728,579
Allianz AG, Registered Shares 32,101 3,979,237
BASF SE 65,061 4,026,667
Bayer AG 57,376 4,591,427
Bayerische Motoren Werke AG 23,433 1,066,723
Bayerische Motoren Werke AG (Preference Shares) 4,306 142,528
5
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Beiersdorf AG 6,565 $ 432,695
Celesio AG 6,095 154,328
Commerzbank AG 52,877 443,786
DaimlerChrysler AG 62,353 3,321,145
Deutsche Bank AG, Registered Shares 40,836 2,887,512
Deutsche Boerse AG 14,154 1,172,086
Deutsche Lufthansa AG 14,269 240,942
Deutsche Post AG 64,142 1,239,659
Deutsche Postbank AG 6,288 205,419
Deutsche Telekom AG 198,099 2,906,073
E.ON AG 133,923 5,621,288
Fraport AG 2,369 122,309
Fresenius AG 2,242 139,858
Fresenius AG (Preference Shares) 6,590 473,069
Fresenius Medical Care AG 14,944 792,733
GEA Group AG 10,961 244,167
Hannover Rueckversicherung AG, Registered Shares 4,328 202,206
HeidelbergCement AG 10,390 718,799
Henkel KGaA 9,649 432,286
Hochtief AG 3,185 242,910
Infineon Technologies AG (a) 73,728 410,177
K+S AG 12,192 695,350
Linde AG 11,102 1,337,593
MAN SE 7,221 560,293
Merck KGaA 4,278 401,138
Metro AG 8,625 526,752
Muenchener Rueckversicherungs AG, Registered Shares 13,539 2,108,829
Porsche Automobil Holding SE (Preference Shares) 6,736 421,230
Puma AG Rudolf Dassler Sport 465 154,794
Qiagen NV (a) 16,748 377,173
RWE AG 29,091 2,823,057
SAP AG 60,153 2,867,680
Salzgitter AG 2,546 249,479
Siemens AG 57,947 5,317,843
Solarworld AG 6,166 135,697
Suedzucker AG 4,456 92,843
TUI AG 14,453 120,835
ThyssenKrupp AG 23,610 887,553
United Internet AG 9,255 121,963
Volkswagen AG 3,304 366,076
Wacker Chemie AG 1,122 195,167
--------------
56,699,953
--------------
GREECE - 0.5% Alpha Bank AE 30,397 354,709
Bank of Cyprus Public Co., Ltd. 38,379 268,714
Coca-Cola Hellenic Bottling Co. SA 15,028 342,088
EFG Eurobank Ergasias SA (a) 27,772 310,373
Hellenic Petroleum SA 7,916 88,626
6
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Hellenic Telecommunications Organization SA 21,199 $ 311,147
Marfin Investment Group SA 53,258 150,969
National Bank of Greece SA 44,706 1,148,580
OPAP SA 16,937 372,110
Piraeus Bank SA (a) 21,954 251,930
Public Power Corp. 8,529 158,179
Titan Cement Co. SA 3,439 99,746
--------------
3,857,171
--------------
HONG KONG - 2.2% ASM Pacific Technology Ltd. 12,004 113,494
BOC Hong Kong Holdings Ltd. 282,400 634,460
Bank of East Asia Ltd. 96,532 379,232
CLP Holdings Ltd. 155,687 1,053,622
Cathay Pacific Airways Ltd. 86,263 160,198
Cheung Kong Holdings Ltd. 97,835 1,257,197
Cheung Kong Infrastructure Holdings Ltd. 25,500 96,969
Chinese Estates Holdings Ltd. 64,000 109,046
Esprit Holdings Ltd. 77,888 516,758
Hang Lung Group Ltd. 63,000 311,568
Hang Lung Properties Ltd. 158,000 619,415
Hang Seng Bank Ltd. 58,753 864,373
Henderson Land Development Co., Ltd. 81,491 608,960
The Hong Kong & China Gas Ltd. 306,290 768,222
Hong Kong Aircraft Engineering Company Ltd. 2,400 31,048
Hong Kong Exchanges and Clearing Ltd. 72,927 1,297,546
HongKong Electric Holdings Ltd. 109,000 593,753
Hopewell Holdings Ltd. 45,349 146,215
Hutchison Whampoa Ltd. 154,176 1,054,851
Hysan Development Co., Ltd. 45,791 129,592
Kerry Properties Ltd. 52,000 263,017
Li & Fung Ltd. 173,990 719,351
The Link REIT 141,914 362,125
MTR Corp. 104,000 358,286
NWS Holdings Ltd. 64,000 117,464
New World Development Ltd. 172,484 351,419
Orient Overseas International Ltd. 16,057 74,460
PCCW Ltd. 333,000 80,206
Shangri-La Asia Ltd. 86,990 162,983
Sino Land Co. 104,421 201,033
Sun Hung Kai Properties Ltd. 100,324 1,491,729
Swire Pacific Ltd., Class A 54,077 653,973
Television Broadcasts Ltd. 14,000 67,262
Wharf Holdings Ltd. 108,870 624,806
Wheelock and Co., Ltd. 74,000 225,721
Wing Hang Bank Ltd. 11,500 107,024
--------------
16,607,378
--------------
7
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
IRELAND - 0.3% Anglo Irish Bank Corp. Plc (a) 62,641 $ 1
CRH Plc 50,149 1,363,521
Elan Corp. Plc (a) 35,769 225,738
Kerry Group Plc 10,099 297,001
Ryanair Holdings Plc (a) 35,968 169,621
--------------
2,055,882
--------------
ITALY - 3.2% A2A SpA 75,591 158,590
Assicurazioni Generali SpA 79,436 2,140,030
Autogrill SpA 11,318 142,660
Autostrade SpA 17,781 465,011
Banca Carige SpA 50,030 133,550
Banca Monte dei Paschi di Siena SpA 157,305 274,995
Banca Popolare di Milano Scrl 35,046 248,993
Banco Popolare SpA 43,205 323,656
Enel SpA 454,261 2,629,891
Eni SpA 182,935 4,658,582
Exor SpA 6,689 130,284
Fiat SpA 54,154 792,487
Finmeccanica SpA 32,731 524,051
Fondiaria-Sai SpA 6,981 110,980
Intesa Sanpaolo SpA 523,040 2,353,690
Intesa Sanpaolo SpA (Non-Convertible Savings Shares) 62,426 209,160
Italcementi SpA 5,021 68,680
Luxottica Group SpA 9,899 255,946
Mediaset SpA 46,410 381,580
Mediobanca SpA (a) 35,249 418,746
Mediolanum SpA 22,232 138,877
Parmalat SpA 141,422 395,375
Pirelli & C. SpA 171,223 102,541
Prysmian SpA 5,678 99,111
Saipem SpA 18,261 630,194
Snam Rete Gas SpA 108,602 539,336
Telecom Italia SpA 712,453 1,111,388
Telecom Italia SpA (Non-Convertible Savings Shares) 456,819 507,383
Terna SpA 85,253 366,636
Unicredit SpA 977,959 3,270,057
Unione Di Banche Italiane ScpA 44,370 635,996
Unipol SpA 44,435 60,781
--------------
24,279,237
--------------
JAPAN - 19.8% The 77 Bank Ltd. 18,000 95,769
Abc-Mart Inc. 1,800 49,933
Acom Co., Ltd. 3,370 51,307
Advantest Corp. 10,000 260,510
Aeon Co., Ltd. 44,400 360,378
Aeon Credit Service Co., Ltd. 7,200 69,509
Aeon Mall Co., Ltd. 4,600 89,119
8
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Aioi Insurance Co., Ltd. 36,000 $ 172,564
Air Water Inc. 6,000 70,674
Aisin Seiki Co., Ltd. 13,400 387,140
Ajinomoto Co., Inc. 52,000 489,422
Alfresa Holdings Corp. 1,900 75,543
All Nippon Airways Co., Ltd. 69,000 187,287
Amada Co., Ltd. 25,000 156,590
Aozora Bank Ltd. 57,000 60,586
Asahi Breweries Ltd. 24,700 454,908
Asahi Glass Co., Ltd. 66,100 628,748
Asahi Kasei Corp. 91,000 455,955
Asics Corp. 11,000 98,724
Astellas Pharma, Inc. 30,600 1,141,651
The Bank of Kyoto Ltd. 21,000 169,736
The Bank of Yokohama Ltd. 80,000 364,757
Benesse Holdings, Inc. 6,300 263,409
Bridgestone Corp. 40,200 709,120
Brother Industries Ltd. 18,700 215,061
Canon Marketing Japan Inc. 3,800 55,997
Canon, Inc. 75,500 3,211,655
Casio Computer Co., Ltd. 20,700 165,712
Central Japan Railway Co. 110 736,262
The Chiba Bank Ltd. 61,000 364,851
Chiyoda Corp. 7,000 54,063
Chubu Electric Power Co., Inc. 44,700 1,066,344
Chugai Pharmaceutical Co., Ltd. 17,700 330,841
The Chugoku Bank Ltd. 13,000 161,222
Chugoku Electric Power Co. 19,700 376,233
Chuo Mitsui Trust Holdings, Inc. 77,000 259,386
Citizens Holding Co., Ltd. 26,300 151,983
Coca-Cola West Holdings Co., Ltd. 2,700 47,637
Cosmo Oil Co., Ltd. 34,000 71,442
Credit Saison Co., Ltd. 13,900 155,671
Dai Nippon Printing Co., Ltd. 41,000 522,756
Daicel Chemical Industries Ltd. 20,000 117,479
Daido Steel Co., Ltd. 19,000 70,535
Daihatsu Motor Co., Ltd. 16,000 159,935
Daiichi Sankyo Co., Ltd. 49,600 1,040,186
Daikin Industries Ltd. 16,400 647,755
Dainippon Pharma Co., Ltd. 14,000 146,938
Daito Trust Construction Co., Ltd. 6,300 298,295
Daiwa House Industry Co., Ltd. 39,000 419,356
Daiwa Securities Group, Inc. 108,000 543,525
Dena Co., Ltd. 14 82,934
Denki Kagaku Kogyo Kabushiki Kaisha 25,000 111,762
Denso Corp. 35,700 1,078,749
9
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Dentsu, Inc. 13,313 $ 306,507
Diamond Lease Co., Ltd. 3,300 99,416
Dowa Mining Co., Ltd. 14,000 77,463
East Japan Railway Co. 23,149 1,464,886
Eisai Co., Ltd. 18,800 691,205
Electric Power Development Co. 9,400 267,269
Elpida Memory, Inc. (a) 10,600 172,759
FamilyMart Co., Ltd. 2,600 76,756
Fanuc Ltd. 13,500 1,258,227
Fast Retailing Co., Ltd. 3,200 601,406
Fuji Electric Holdings Co., Ltd. 25,800 44,619
Fuji Heavy Industries Ltd. 32,000 156,362
Fuji Media Holdings, Inc. 44 60,966
Fuji Photo Film Co., Ltd. 33,400 1,008,702
Fujitsu Ltd. 123,000 798,075
Fukuoka Financial Group, Inc. 54,000 188,190
Furukawa Electric Co., Ltd. 45,000 187,934
GS Yuasa Corp. 23,000 170,033
The Gunma Bank Ltd. 22,000 112,517
The Hachijuni Bank Ltd. 26,000 151,728
Hakuhodo DY Holdings, Inc. 920 44,814
Hankyu Hanshin Holdings, Inc. 81,000 361,266
Hino Motors Ltd. 18,000 62,277
Hirose Electric Co., Ltd. 2,300 241,155
The Hiroshima Bank Ltd. 28,000 107,889
Hisamitsu Pharmaceutical Co., Ltd. 5,100 164,706
Hitachi Chemical Co., Ltd. 7,100 144,702
Hitachi Construction Machinery Co., Ltd. 6,700 175,626
Hitachi High-Technologies Corp. 3,500 69,441
Hitachi Ltd. 303,000 931,460
Hitachi Metals Ltd. 11,000 105,830
Hokkaido Electric Power Co., Inc. 12,900 234,017
Hokuhoku Financial Group, Inc. 77,100 157,641
Hokuriku Electric Power 13,000 283,843
Honda Motor Co., Ltd. 116,800 3,962,872
Hoya Corp. 27,300 728,433
IHI Corp. 79,000 125,986
Ibiden Co., Ltd. 9,500 340,712
Idemitsu Kosan Co., Ltd. 1,600 93,407
Inpex Corp. 61 461,228
Isetan Mitsukoshi Holdings Ltd. 24,405 220,360
Isuzu Motors Ltd. 83,000 155,911
Ito En, Ltd. 4,700 70,774
Itochu Corp. 100,000 738,677
Itochu Techno-Science Corp. 1,100 29,539
The Iyo Bank Ltd. 19,000 154,573
10
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
J Front Retailing Co., Ltd. 29,600 $ 130,722
JFE Holdings, Inc. 33,500 1,324,216
JGC Corp. 16,000 294,843
JS Group Corp. 18,900 325,360
JSR Corp. 12,900 262,538
JTEKT Corp. 12,700 163,344
Jafco Co., Ltd. 1,500 36,302
Japan Airlines Corp. (a) 17,000 12,220
Japan Petroleum Explora 2,400 105,823
Japan Prime Realty Investment Corp. 50 103,894
Japan Real Estate Investment Corp. 30 221,154
Japan Retail Fund Investment Corp. 30 134,917
The Japan Steel Works, Ltd. 21,000 267,773
Japan Tobacco, Inc. 326 1,100,737
The Joyo Bank Ltd. 42,000 168,776
Jupiter Telecommunications Co., Ltd. 145 143,481
KDDI Corp. 196 1,038,156
Kajima Corp. 54,800 110,879
Kamigumi Co., Ltd. 19,000 138,639
Kaneka Corp. 21,000 133,799
The Kansai Electric Power Co., Inc. 52,500 1,184,744
Kansai Paint Co., Ltd. 11,000 92,185
Kao Corp. 36,000 843,722
Kawasaki Heavy Industries Ltd. 84,000 213,209
Kawasaki Kisen Kaisha Ltd. 30,000 85,719
Keihin Electric Express Railway Co., Ltd. 28,000 206,123
Keio Electric Railway Co., Ltd. 38,000 229,310
Keisei Electric Railway Co., Ltd. 25,000 136,763
Keyence Corp. 3,120 647,536
Kikkoman Corp. 13,000 159,290
Kinden Corp. 6,000 50,842
Kintetsu Corp. 126,000 417,638
Kirin Holdings Co., Ltd. 59,000 946,183
Kobe Steel Ltd. 169,000 306,262
Koito Manufacturing Co., Ltd. 5,000 80,251
Komatsu Ltd. 64,700 1,354,441
Konami Corp. 8,600 153,548
Konica Minolta Holdings, Inc. 33,500 345,225
Kubota Corp. 73,000 669,836
Kuraray Co., Ltd. 20,500 241,280
Kurita Water Industries Ltd. 8,600 270,191
Kyocera Corp. 10,900 959,968
Kyowa Hakko Kirin Co., Ltd. 18,000 190,347
Kyushu Electric Power Co., Inc. 28,500 587,012
Lawson, Inc. 3,500 154,578
Mabuchi Motor Co., Ltd. 1,600 79,297
11
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Makita Corp. 6,900 $ 237,002
Marubeni Corp. 108,000 596,590
Marui Group Co., Ltd. 20,400 125,610
Maruichi Steel Tube Ltd. 3,600 71,878
Matsui Securities Co., Ltd. 6,400 44,590
Mazda Motor Corp. 89,400 205,569
McDonald's Holdings Co. Japan Ltd. 5,700 109,020
Medipal Holdings Corp. 8,100 100,397
Meiji Holdings Co., Ltd. 4,293 162,231
Minebea Co., Ltd. 19,000 103,103
Mitsubishi Chemical Holdings Corp. 83,500 355,571
Mitsubishi Corp. 90,200 2,246,755
Mitsubishi Electric Corp. 142,000 1,054,869
Mitsubishi Estate Co., Ltd. 85,000 1,357,099
Mitsubishi Gas Chemical Co., Inc. 25,000 125,980
Mitsubishi Heavy Industries Ltd. 223,200 787,219
Mitsubishi Logistics Corp. 7,000 82,582
Mitsubishi Materials Corp. 95,000 232,350
Mitsubishi Motors Corp. (a) 251,000 348,877
Mitsubishi Rayon Co., Ltd. 27,000 108,604
Mitsubishi Tanabe Pharma Corp. 16,000 199,646
Mitsubishi UFJ Financial Group, Inc. 891,774 4,392,688
Mitsui & Co., Ltd. 119,000 1,688,148
Mitsui Chemicals, Inc. 45,000 116,518
Mitsui Engineering & Shipbuilding Co., Ltd. 47,000 113,197
Mitsui Fudosan Co., Ltd. 56,000 946,861
Mitsui Mining & Smelting Co., Ltd. 58,000 150,745
Mitsui OSK Lines Ltd. 74,000 390,918
Mitsui Sumitomo Insurance Group Holdings, Inc. 28,457 726,826
Mitsumi Electric Co., Ltd. 5,500 97,145
Mizuho Financial Group, Inc. 942,240 1,694,432
Murata Manufacturing Co., Ltd. 16,000 798,515
NEC Corp. 165,000 426,512
NGK Insulators Ltd. 19,000 415,519
NGK Spark Plug Co., Ltd. 12,000 136,133
NHK Spring Co., Ltd. 8,000 74,487
NOK Corp. 8,600 118,618
NSK Ltd. 27,000 198,126
NTN Corp. 43,000 194,283
NTT Data Corp. 92 285,280
NTT DoCoMo, Inc. 1,105 1,542,015
NTT Urban Development Co. 57 38,050
Namco Bandai Holdings, Inc. 13,500 128,965
Nidec Corp. 8,100 748,626
Nikon Corp. 20,000 394,929
Nintendo Co., Ltd. 6,800 1,624,092
12
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Nippon Building Fund, Inc. 36 $ 273,605
Nippon Electric Glass Co. 21,500 295,923
Nippon Express Co., Ltd. 69,000 284,953
Nippon Meat Packers, Inc. 10,000 115,773
Nippon Mining Holdings, Inc. 61,500 263,946
Nippon Oil Corp. 77,000 356,980
Nippon Paper Group, Inc. 6,894 175,938
Nippon Sanso Corp. 20,000 212,853
Nippon Sheet Glass Co., Ltd. 33,000 94,571
Nippon Steel Corp. 367,000 1,487,080
Nippon Telegraph & Telephone Corp. 36,660 1,448,183
Nippon Yusen Kabushiki Kaisha 90,000 277,186
Nipponkoa Insurance Co., Ltd. 43,000 244,822
The Nishi-Nippon City Bank Ltd. 39,000 95,498
Nissan Chemical Industries Ltd. 13,000 185,305
Nissan Motor Co., Ltd. 179,600 1,578,310
Nissay Dowa General Insurance Co., Ltd. 6,000 28,790
Nissha Printing Co., Ltd. 1,300 64,043
Nisshin Seifun Group, Inc. 11,000 148,654
Nisshin Steel Co., Ltd. 49,000 86,628
Nisshinbo Industries, Inc. 11,000 101,920
Nissin Foods Holdings Co., Ltd. 6,100 199,255
Nitori Co., Ltd. 2,600 193,524
Nitto Denko Corp. 10,610 381,152
Nomura Holdings, Inc. 249,100 1,852,476
Nomura Real Estate Holdings, Inc. 6,500 96,424
Nomura Real Estate Office Fund, Inc. 16 87,018
Nomura Research Institute Ltd. 7,100 139,629
OJI Paper Co., Ltd. 59,000 247,201
ORIX Corp. 6,940 472,505
Obayashi Corp. 40,000 136,154
Obic Co., Ltd. 350 57,144
Odakyu Electric Railway Co., Ltd. 43,000 329,995
Olympus Corp. 16,000 515,856
Omron Corp. 13,000 233,802
Ono Pharmaceutical Co., Ltd. 6,200 268,162
Oracle Corp. Japan 1,900 79,164
Oriental Land Co., Ltd. 3,300 217,138
Osaka Gas Co., Ltd. 130,000 438,137
Otsuka Shokai Co., Ltd. 600 29,927
Panasonic Corp. 141,000 2,029,893
Panasonic Electric Works Ltd. 29,873 361,940
Rakuten, Inc. 510 388,278
Resona Holdings, Inc. 36,256 368,352
Ricoh Co., Ltd. 51,000 730,767
Rinnai Corp. 3,100 149,807
13
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Rohm Co., Ltd. 7,500 $ 489,472
SBI Holdings, Inc. 1,385 247,962
SMC Corp. 4,000 456,728
Sankyo Co., Ltd. (Gunma) 4,500 225,330
Santen Pharmaceutical Co., Ltd. 3,900 123,807
Sanyo Electric Co., Ltd. (a) 104,000 192,101
Sapporo Hokuyo Holdings, Inc. 13,789 50,049
Sapporo Holdings Ltd. 19,000 104,695
Secom Co., Ltd. 13,800 655,467
Sega Sammy Holdings, Inc. 14,332 171,507
Seiko Epson Corp. 8,400 135,747
Sekisui Chemical Co., Ltd. 32,000 199,069
Sekisui House Ltd. 32,000 290,506
Senshu Ikeda Holdings, Inc. 24,870 90,791
Seven & I Holdings Co., Ltd. 56,000 1,143,433
Seven Bank Ltd. 18 35,934
Sharp Corp. 67,000 846,096
Shikoku Electric Power Co., Inc. 13,100 338,475
Shimadzu Corp. 21,000 139,873
Shimamura Co., Ltd. 1,500 143,322
Shimano, Inc. 4,500 181,674
Shimizu Corp. 43,000 154,448
Shin-Etsu Chemical Co., Ltd. 29,700 1,676,813
Shinko Electric Industries 7,100 103,352
Shinko Securities Co., Ltd. 32,300 97,738
Shinsei Bank Ltd. 81,000 88,243
Shionogi & Co., Ltd. 23,000 498,671
Shiseido Co., Ltd. 22,000 422,818
The Shizuoka Bank Ltd. 43,000 374,298
Showa Denko KK 82,000 163,305
Showa Shell Sekiyu KK 18,700 152,412
Softbank Corp. 52,500 1,230,744
Sojitz Corp. 86,500 163,666
Sompo Japan Insurance, Inc. 69,800 450,033
Sony Corp. 70,100 2,037,931
Sony Financial Holdings, Inc. 62 161,351
Square Enix Holdings Co., Ltd. 5,400 113,922
Stanley Electric Co., Ltd. 11,600 235,287
Sumco Corp. 9,200 162,568
Sumitomo Chemical Co., Ltd. 114,000 500,171
Sumitomo Corp. 74,800 761,669
Sumitomo Electric Industries Ltd. 49,500 616,566
Sumitomo Heavy Industries Ltd. 48,000 243,007
Sumitomo Metal Industries Ltd. 248,000 666,634
Sumitomo Metal Mining Co., Ltd. 35,000 516,514
Sumitomo Mitsui Financial Group, Inc. 62,450 1,792,026
14
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Sumitomo Realty & Development Co., Ltd. 25,000 $ 471,937
Sumitomo Rubber Industries, Ltd. 16,100 139,964
The Sumitomo Trust & Banking Co., Ltd. 106,000 520,464
Suruga Bank Ltd. 15,000 130,715
Suzuken Co., Ltd. 4,400 144,706
Suzuki Motor Corp. 22,900 563,959
Sysmex Corp. 1,800 94,117
T&D Holdings, Inc. 21,900 450,381
TDK Corp. 7,700 470,566
THK Co., Ltd. 7,500 133,372
Taiheiyo Cement Corp. 92,000 104,950
Taisei Corp. 75,000 128,685
Taisho Pharmaceutical Co., Ltd. 9,000 154,850
Takashimaya Co., Ltd. 19,000 121,063
Takeda Pharmaceutical Co., Ltd. 51,500 2,121,865
Teijin Ltd. 66,000 213,238
Terumo Corp. 11,800 711,185
Tobu Railway Co., Ltd. 56,000 292,336
Toho Co., Ltd. 6,000 97,461
Toho Gas Co., Ltd. 36,000 191,283
Tohoku Electric Power Co., Inc. 31,600 626,231
Tokio Marine Holdings, Inc. 50,000 1,364,460
Tokuyama Corp. 23,000 128,605
The Tokyo Electric Power Co., Inc. 85,300 2,140,897
Tokyo Electron Ltd. 11,500 738,163
Tokyo Gas Co., Ltd. 151,000 602,736
Tokyo Steel Manufacturing Co., Ltd. 9,900 111,451
Tokyo Tatemono Co., Ltd. 18,000 69,241
Tokyu Corp. 79,000 314,590
Tokyu Land Corp. 23,000 85,437
TonenGeneral Sekiyu KK 20,000 167,110
Toppan Printing Co., Ltd. 40,000 325,687
Toray Industries, Inc. 101,700 553,312
Toshiba Corp. 274,000 1,520,399
Tosoh Corp. 40,000 110,469
Toto Ltd. 18,000 114,455
Toyo Seikan Kaisha Ltd. 11,200 170,622
Toyo Suisan Kaisha, Ltd. 8,000 184,485
Toyoda Gosei Co., Ltd. 5,900 178,735
Toyota Boshoku Corp. 3,600 80,379
Toyota Industries Corp. 12,500 373,327
Toyota Motor Corp. 207,800 8,761,048
Toyota Tsusho Corp. 13,500 199,767
Trend Micro, Inc. 8,500 322,866
Tsumura & Co. 3,000 96,986
UNY Co., Ltd. 13,000 91,676
15
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
USS Co., Ltd. 1,170 $ 71,424
Ube Industries Ltd. 86,000 235,297
Uni-Charm Corp. 2,400 224,991
Ushio, Inc. 6,300 105,060
West Japan Railway Co. 108 362,086
Yahoo! Japan Corp. 1,035 311,192
Yakult Honsha Co., Ltd. 6,400 193,757
Yamada Denki Co., Ltd. 6,600 445,247
Yamaguchi Financial Group, Inc. 17,000 157,805
Yamaha Corp. 9,700 116,870
Yamaha Motor Co., Ltd. 18,500 233,972
Yamato Kogyo Co., Ltd. 2,800 91,547
Yamato Transport Co., Ltd. 24,000 334,081
Yamazaki Baking Co., Ltd. 6,000 71,365
Yaskawa Electric Corp. 13,000 108,298
The Yasuda Trust & Banking Co., Ltd. 118,000 110,091
Yokogawa Electric Corp. 14,000 123,642
--------------
147,968,148
--------------
KAZAKHSTAN - 0.0% Eurasian Natural Resources Corp. 17,547 257,020
LUXEMBOURG - 0.5% ArcelorMittal 59,927 2,739,037
SES Global 21,161 476,700
Tenaris SA 36,323 782,794
--------------
3,998,531
--------------
NETHERLANDS - 2.6% ASML Holding NV 31,787 1,085,265
Aegon NV 104,935 671,962
Akzo Nobel NV 17,764 1,178,017
Corio NV 3,739 254,737
Fugro NV 5,693 327,001
Heineken Holding NV 8,300 347,132
Heineken NV 18,968 900,477
ING Groep NV CVA 250,557 2,412,959
Koninklijke Ahold NV 87,842 1,163,790
Koninklijke Boskalis Westminster NV 4,224 162,612
Koninklijke DSM NV 10,467 514,280
Koninklijke KPN NV 123,146 2,093,169
Koninklijke Philips Electronics NV 66,644 1,969,950
Koninklijke Vopak NV (a) 1,953 154,784
Randstad Holdings NV 8,053 400,696
Reed Elsevier NV 49,608 608,657
SBM Offshore NV 10,381 203,676
TNT NV 25,883 795,215
Unilever NV 115,438 3,757,134
Wolters Kluwer NV 22,511 492,308
--------------
19,493,821
--------------
NEW ZEALAND - 0.1% Auckland International Airport Ltd. 44,629 65,248
Contact Energy Ltd. (a) 17,272 76,892
16
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Fletcher Building Ltd. 53,169 $ 306,765
Sky City Ltd. 28,496 68,058
Telecom Corp. of New Zealand Ltd. 162,398 291,735
--------------
808,698
--------------
NORWAY - 0.7% DnB NOR ASA 63,032 680,476
Norsk Hydro ASA 44,429 373,222
Orkla ASA 58,937 578,221
Renewable Energy Corp. ASA (a) 20,857 161,006
Statoil ASA 84,582 2,109,443
Telenor ASA 52,195 729,148
Telenor ASA (a) - ADR 3,798 158,756
Yara International ASA 13,250 600,161
--------------
5,390,433
--------------
PORTUGAL - 0.3% Banco Comercial Portugues SA, Registered Shares 174,287 210,043
Banco Espirito Santo SA, Registered Shares 37,186 242,192
Brisa-Auto Estradas de Portugal SA, Private Shares 16,547 170,028
Cimpor Cimentos de Portugal SA 21,742 199,843
Energias de Portugal SA 134,285 597,846
Galp Energia SGPS SA 10,491 181,208
Jeronimo Martins SGPS SA 18,526 185,277
Portugal Telecom SGPS SA, Registered Shares 42,937 523,921
--------------
2,310,358
--------------
SINGAPORE - 1.5% Ascendas Real Estate Investment Trust 136,962 215,002
CapitaLand Ltd. 184,749 548,069
CapitaMall Trust 202,700 258,721
CapitaMalls Asia Ltd. (a) 82,000 148,258
City Developments Ltd. 37,535 306,906
ComfortDelgro Corp. Ltd. 110,816 128,900
Cosco Corp. (Singapore) Ltd. 79,002 66,243
DBS Group Holdings Ltd. 130,407 1,417,652
Fraser and Neave Ltd. 63,096 187,556
Genting Singapore Plc (a) 349,563 322,025
Golden Agri-Resources Ltd. 402,562 145,068
Jardine Cycle & Carriage Ltd. 8,721 166,509
Keppel Corp. Ltd. 93,616 545,326
Neptune Orient Lines Ltd. 101,350 118,290
Noble Group Ltd. 99,720 228,733
Olam International Ltd. 99,900 187,698
Oversea-Chinese Banking Corp. 194,914 1,255,079
SembCorp Industries Ltd. 81,590 213,197
Sembcorp Marine Ltd. 71,197 185,765
Singapore Airlines Ltd. 39,009 413,143
Singapore Exchange Ltd. 70,000 412,172
Singapore Press Holdings Ltd. 105,316 274,162
Singapore Technologies Engineering Ltd. 92,213 212,235
Singapore Telecommunications Ltd. 608,132 1,339,481
17
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
StarHub Ltd. 54,157 $ 82,712
UOL Group Ltd. 23,457 67,599
United Overseas Bank Ltd. 86,572 1,205,061
Wilmar International Ltd. 98,670 448,653
Yangzijiang Shipbuilding Holdings Ltd. 85,183 72,757
--------------
11,172,972
--------------
SPAIN - 4.4% ACS Actividades de Construccion y Servicios, SA 11,364 568,060
Abertis Infraestructuras SA 21,211 479,563
Acciona SA 1,758 229,785
Acerinox SA 11,621 242,695
Banco Bilbao Vizcaya Argentaria SA 246,340 4,489,549
Banco Popular Espanol SA 58,737 431,448
Banco Santander SA 573,683 9,479,911
Banco de Sabadell SA 67,059 372,491
Banco de Valencia SA 11,587 88,082
Bankinter SA 21,946 226,099
Corp. Mapfre SA 51,177 214,919
Criteria Caixacorp SA 59,893 283,684
Enagas 14,796 328,002
Ferrovial SA 35,676 421,345
Fomento de Construcciones y Contratas SA 3,049 129,285
Gamesa Corp. Tecnologica SA 11,623 195,816
Gas Natural SDG SA 15,958 343,980
Gestevision Telecinco SA 8,666 126,048
Grifols SA 10,806 189,745
Iberdrola Renovables 60,286 287,081
Iberdrola SA 252,045 2,415,285
Iberia Lineas Aereas de Espana 36,747 99,679
Inditex SA 16,079 1,004,173
Indra Sistemas SA 7,258 171,797
Mapfre Sa Eur (a) 1,137 4,771
Red Electrica de Espana 8,800 491,060
Repsol YPF SA 49,467 1,327,426
Sacyr Vallehermoso SA 5,142 59,014
Telefonica SA 295,654 8,275,065
Zardoya Otis SA 8,897 173,161
--------------
33,149,019
--------------
SWEDEN - 2.3% Alfa Laval AB 19,718 272,674
Assa Abloy AB, Series B 19,177 369,445
Atlas Copco AB, Class A 45,887 674,533
Atlas Copco AB, Class B 27,049 352,694
Electrolux AB 14,469 340,009
Getinge AB, Class B 13,341 254,973
Hennes & Mauritz AB, B Shares 35,240 1,953,591
Holmen AB, Class B 2,545 64,839
Husqvarna AB 27,933 204,925
18
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Investor AB 34,000 $ 629,758
Lundin Petroleum AB (a) 14,102 111,259
Millicom International Cellular SA - ADR 5,814 431,465
Nordea Bank AB 224,634 2,275,994
SKB AB 24,225 417,727
SSAB AB 15,106 248,954
Sandvik AB 67,813 816,599
Scania AB 21,585 278,754
Securitas AB 17,048 166,963
Skandinaviska Enskilda Banken AB, Class A 96,949 599,327
Skanska AB, Class B 25,005 424,286
Svenska Cellulosa AB 41,311 550,788
Svenska Handelsbanken, Class A 34,112 971,844
Swedbank AB-A Shares 38,450 378,559
Swedish Match AB 17,350 379,328
Tele2 AB 22,966 352,787
Telefonaktiebolaget LM Ericsson 202,889 1,867,807
TeliaSonera AB 150,701 1,089,207
Volvo AB, A Shares 31,401 267,655
Volvo AB, B Shares 78,566 673,863
--------------
17,420,607
--------------
SWITZERLAND - 7.7% ABB Ltd. 160,090 3,084,827
Actelion Ltd. (a) 7,930 423,544
Adecco SA, Registered Shares 8,252 455,221
Aryzta AG 5,840 217,504
BKW FMB Energie AG 807 62,894
Baloise Holding AG 3,902 323,973
Compagnie Financiere Richemont SA 37,060 1,246,212
Credit Suisse Group AG 82,164 4,070,517
GAM Holdings Ltd. 18,341 222,092
Geberit AG 2,933 519,959
Givaudan SA 572 457,695
Holcim Ltd. (a) 17,483 1,358,734
Julius Baer Group Ltd. 13,842 486,802
Kuehne & Nagel International AG 3,968 385,806
Lindt & Spruengli AG 61 130,966
Lindt & Spruengli AG 'R' 7 171,906
Logitech International SA (a) 15,111 262,098
Lonza Group AG, Registered Shares 2,911 205,106
Nestle SA, Registered Shares 256,418 12,444,897
Nobel Biocare Holding AG 10,399 348,524
Novartis AG, Registered Shares 154,654 8,445,538
Pargesa Holding SA 2,165 188,370
Roche Holding AG 52,024 8,896,774
SGS SA 430 561,357
19
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Schindler Holding AG 5,210 $ 396,813
Sonova Holding AG 3,530 427,660
Straumann Holding AG, Registered Shares 654 183,686
The Swatch Group Ltd. Bearer Shares 2,162 547,246
The Swatch Group Ltd., Registered Shares 3,776 179,737
Swiss Life Holding 2,407 306,258
Swiss Reinsurance Co., Registered Shares 24,845 1,190,191
Swisscom AG 1,717 655,744
Syngenta AG 6,812 1,923,763
Synthes, Inc. 4,715 618,083
UBS AG 264,485 4,118,620
Zurich Financial Services AG 10,643 2,326,812
--------------
57,845,929
--------------
UNITED KINGDOM - 20.5% 3i Group Plc 67,937 307,596
Admiral Group Plc 11,889 227,326
Amec Plc 23,434 298,560
Anglo American Plc (a) 92,120 3,989,485
Antofagasta Plc 27,604 439,112
Associated British Foods Plc 24,559 325,586
AstraZeneca Plc 101,396 4,765,323
Autonomy Corp. Plc (a) 15,017 364,678
Aviva Plc 191,729 1,219,614
BAE Systems Plc 247,781 1,434,075
BG Group Plc 235,247 4,247,679
BHP Billiton Plc 154,491 4,925,163
BP Plc 1,311,741 12,666,379
BT Group Plc 542,601 1,181,691
Balfour Beatty Plc 50,454 209,956
Barclays Plc 798,732 3,519,574
British Airways Plc (a) 39,996 120,293
British American Tobacco Plc 139,745 4,536,580
British Land Co. Plc 60,133 463,046
British Sky Broadcasting Plc 79,107 714,557
Bunzl Plc 24,344 264,627
Burberry Group Plc 31,090 298,607
Cable & Wireless Plc 179,589 408,553
Cadbury Plc 99,248 1,276,089
Cairn Energy Plc (a) 96,380 515,949
Capita Group Plc 43,577 526,910
Carnival Plc (a) 11,216 382,108
The Carphone Warehouse Plc 26,664 80,382
Centrica Plc 358,767 1,625,049
Cobham Plc 80,535 325,305
Compass Group Plc 129,497 926,744
Diageo Plc 174,907 3,051,444
20
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Drax Group Plc 23,972 $ 159,817
Experian Group Ltd. 71,841 709,623
Firstgroup Plc 34,889 238,663
Fresnillo Plc 13,316 169,139
GlaxoSmithKline Plc 362,949 7,696,642
Group 4 Securicor Plc 88,209 369,734
HSBC Holdings Plc 1,213,396 13,842,812
Hammerson Plc 48,068 327,171
Home Retail Group 61,428 278,604
ICAP Plc 36,053 248,659
Imperial Tobacco Group Plc 71,152 2,244,653
Inmarsat Plc 30,487 339,722
Intercontinental Hotels Group Plc 17,940 257,762
International Power Plc 106,548 530,917
Invensys Plc 56,527 271,941
Investec Plc 28,233 192,907
J Sainsbury Plc 81,616 425,560
Johnson Matthey Plc 15,284 377,031
Kazakhmys Plc 14,981 317,200
Kingfisher Plc 165,329 608,610
Land Securities Group Plc 52,921 582,478
Legal & General Group Plc 410,318 527,862
Liberty International Plc 33,369 275,876
Lloyds TSB Group Plc 2,676,495 2,153,449
London Stock Exchange Group Plc 9,771 112,840
Lonmin Plc (a) 10,670 335,331
Man Group Plc 119,795 591,229
Marks & Spencer Group Plc 110,508 713,986
National Grid Plc 172,232 1,879,894
Next Plc 13,795 461,250
Old Mutual Plc 369,215 646,567
Pearson Plc 56,741 813,549
Petrofac Ltd. 14,306 239,481
Prudential Plc 176,684 1,808,580
Rangold Resources Ltd. 6,294 501,196
Reckitt Benckiser Plc 42,121 2,280,010
Reed Elsevier Plc 84,850 696,579
Resolution Ltd. (a) 167,965 242,649
Rexam Plc 61,337 286,743
Rio Tinto Plc, Registered Shares 95,402 5,151,391
Rolls-Royce Group Plc 129,743 1,010,362
Royal & Sun Alliance Insurance Group 235,791 458,089
Royal Bank of Scotland Group Plc 1,183,159 549,233
Royal Dutch Shell Plc 248,191 7,510,303
Royal Dutch Shell Plc, Class B 188,629 5,493,474
SABMiller Plc 65,155 1,915,168
21
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
Sage Group Plc 91,802 $ 325,094
Schroders Plc 8,942 191,104
Scottish & Southern Energy Plc 64,431 1,206,001
Sego Plc 52,680 292,204
Serco Group Plc 39,498 336,851
Severn Trent Plc 16,561 289,370
Shire Ltd. 39,224 766,432
Smith & Nephew Plc 61,878 636,500
Smiths Group Plc 27,238 444,031
Standard Chartered Plc 140,697 3,552,016
Standard Life Plc 162,910 565,845
TUI Travel Plc 39,643 162,470
Tesco Plc 555,601 3,832,965
Thomas Cook Group Plc 53,878 199,035
Tomkins Plc 63,755 198,120
Tullow Oil Plc 56,187 1,178,825
Unilever Plc 89,838 2,879,784
United Utilities Group Plc 47,732 381,531
Vedanta Resources Plc 9,549 399,394
Vodafone Group Plc 3,680,257 8,522,398
WPP Plc 87,706 857,789
Whitbread Plc 12,394 281,240
William Morrison Supermarkets Plc 146,459 653,445
Wolseley Plc (a) 19,874 397,814
Xstrata Plc 132,419 2,361,831
--------------
153,394,865
--------------
TOTAL COMMON STOCKS - 95.9% 718,368,836
--------------
PREFERRED SECURITIES
PREFERRED STOCKS
GERMANY - 0.2% Henkel KGaA, 1.75% 13,965 733,345
RWE AG, 3.50% 2,641 235,090
Volkswagen AG, 4.35% 8,070 761,219
--------------
TOTAL PREFERRED SECURITIES - 0.2% 1,729,654
--------------
RIGHTS
AUSTRALIA - 0.0% Woodside Petroleum Ltd. (Expires 1/29/10) 2,963 7,718
BELGIUM - 0.0% Fortis (Expires 7/01/14) 184,182 3
JAPAN - 0.0% Dowa Mining Co., Ltd. (Expires 1/29/10) 7,000 --
--------------
TOTAL RIGHTS - 0.0% 7,721
--------------
22
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY WARRANTS (b) SHARES VALUE
- ------- ---------------------------------------------------- -------------- --------------
FRANCE - 0.0% Fonciere Des Regions (Expires 12/31/10) 1,915 $ 1,617
ITALY - 0.0% Mediobanca SpA (Expires 3/18/11) 38,564 1
Unione Di Banche Italiane ScpA (Expires 6/30/11) 53,164 3,742
--------------
3,743
--------------
TOTAL WARRANTS - 0.0% 5,360
--------------
TOTAL LONG-TERM SECURITIES
(COST - $716,040,453) - 96.1% 720,111,571
--------------
SHORT-TERM SECURITIES
BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.17% (c)(d) 6,620,218 6,620,218
TOTAL SHORT-TERM SECURITIES
(COST - $6,620,218) - 0.9% 6,620,218
--------------
TOTAL INVESTMENTS
(COST - $722,660,671*) - 97.0% 726,731,789
OTHER ASSETS LESS LIABILITIES - 3.0% 22,548,127
--------------
NET ASSETS - 100.0% $ 749,279,916
==============
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 755,115,777
=============
Gross unrealized appreciation $ 84,372,030
Gross unrealized depreciation (112,756,018)
-------------
Net unrealized depreciation $ (28,383,988)
=============
(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) 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:
NET
AFFILIATE ACTIVITY INCOME
- --------- ------------ -------
BlackRock Liquidity Funds, TempCash, Institutional Class $ 6,620,218 $18,139
BlackRock Liquidity Series, LLC Cash Sweep Series $(11,259,665) $ 3,568
(d) Represents the current yield as of report date.
23
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
- Financial futures contracts purchased as of December 31, 2009 were as
follows:
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
CONTRACTS ISSUE EXCHANGE DATE VALUE (DEPRECIATION)
- --------- ----------------------- --------- ------------ ---------- --------------
2 Hang Seng Index Futures Hong Kong January 2010 $ 277,554 $ 5,225
97 OMXS30 Index Futures Stockholm January 2010 $1,301,611 (10,248)
146 DJ Euro Stoxx 50 Eurex March 2010 $6,046,911 173,425
79 FTSE 100 Index Futures LIFFE March 2010 $6,742,774 98,525
25 SPI 200 Index Futures Sydney March 2010 $2,624,954 114,137
75 TOPIX Index Futures Tokyo March 2010 $7,158,072 125,710
--------
TOTAL $506,774
========
- Foreign currency exchange contracts as of December 31, 2009 were as
follows:
UNREALIZED
CURRENCY CURRENCY SETTLEMENT APPRECIATION
PURCHASED SOLD COUNTERPARTY DATE (DEPRECIATION)
- ------------------- ----------------- -------------- ---------- --------------
EUR 401,000 USD 574,112 UBS AG 1/04/10 $ 741
GBP 246,000 USD 397,612 UBS AG 1/04/10 (274)
JPY 40,968,000 USD 440,185 UBS AG 1/04/10 (308)
AUD 315,000 USD 287,457 Brown Brothers 1/15/10 (4,942)
Harriman & Co.
EUR 8,980,000 USD 13,243,561 Goldman Sachs 1/15/10 (370,429)
International
EUR 2,830,000 USD 4,238,803 UBS AG 1/15/10 (181,903)
GBP 5,700,000 USD 9,352,215 Goldman Sachs 1/15/10 (146,362)
International
GBP 100,000 USD 162,387 UBS AG 1/15/10 (881)
JPY 513,770,000 USD 5,700,111 Goldman Sachs 1/15/10 (183,271)
International
JPY 195,255,000 USD 2,168,918 UBS AG 1/15/10 (72,278)
SEK 6,150,000 USD 865,368 Brown Brothers 1/15/10 (5,709)
Harriman & Co.
USD 276,649 AUD 315,000 UBS AG 1/15/10 (5,866)
USD 3,718,021 EUR 2,552,000 Goldman Sachs 1/15/10 59,643
International
USD 10,939,441 EUR 7,340,000 UBS AG 1/15/10 417,304
USD 1,709,400 GBP 1,050,000 Goldman Sachs 1/15/10 13,585
International
USD 3,689,929 GBP 2,265,000 UBS AG 1/15/10 31,814
USD 564,052 JPY 50,020,000 Goldman Sachs 1/15/10 26,940
International
USD 4,725,345 JPY 414,175,000 UBS AG 1/15/10 277,952
USD 149,693 SEK 1,095,000 Brown Brothers 1/15/10 (3,369)
Harriman & Co.
---------
TOTAL $(147,613)
=========
24
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
- - 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 assets and liabilities
- 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 December 31, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
SECURITIES
VALUATION INPUTS ASSETS
- ---------------- --------------
Level 1
Long-Term Investments:
Belgium $ 175
Cayman Islands 149,097
France 1,617
Italy 3,743
Japan 90,791
Norway 158,756
Singapore 148,258
Spain 4,771
Switzerland 486,802
Short-Term Securities 6,620,218
-----------
Total Level 1 7,664,228
-----------
Level 2
Long-Term Investments:
Australia 59,696,816
Austria 2,469,114
Belgium 7,170,629
Bermuda 695,365
Cayman Islands 203,569
Denmark 6,569,630
Finland 8,295,402
France 76,416,724
Germany 58,429,607
Greece 3,857,171
Hong Kong 16,607,378
25
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
INVESTMENTS IN
SECURITIES
VALUATION INPUTS ASSETS
- ---------------- --------------
Ireland $ 2,055,881
Italy 24,279,237
Japan 147,877,357
Kazakhstan 257,020
Luxembourg 3,998,531
Netherlands 19,493,821
New Zealand 808,698
Norway 5,231,677
Portugal 2,310,358
Singapore 11,024,714
Spain 33,144,248
Sweden 17,420,607
Switzerland 57,359,127
United Kingdom 153,394,865
--------------
Total Level 2 719,067,546
--------------
Level 3
Long-Term Investments:
Australia 11
Belgium 3
Ireland 1
--------------
Total Level 3 15
--------------
TOTAL $ 726,731,789
==============
OTHER FINANCIAL
INSTRUMENTS(1)
-----------------------------
VALUATION INPUTS ASSETS LIABILITIES
- ---------------- --------------- -----------
Level 1 $ 517,022 $ (10,248)
Level 2 827,979 (975,592)
Level 3 -- --
---------- ---------
TOTAL $1,345,001 $(985,840)
========== =========
(1) Other financial instruments are financial futures contracts and foreign
currency exchange contracts, which are shown at the unrealized
appreciation/depreciation on the instrument.
26
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS DECEMBER 31, 2009
The following is a reconciliation of Level 3 investments for which significant
unobservable inputs were used to determine fair value:
INVESTMENTS
VALUATION INPUTS IN SECURITIES
- ---------------- -------------
Balance, as of December 31, 2008 $ 26,500
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation/
depreciation(2) (1,493)
Net purchases (sales) 12
Net transfers in/out of level 3 (25,004)
--------
BALANCE, AS OF DECEMBER 31, 2009 $ 15
========
(2) Included in the related net change in unrealized appreciation/depreciation
on the Statement of Operations. The change in unrealized
appreciation/depreciation on securities still held at December 31, 2009 was
$12.
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Directors of
Quantitative Master Series LLC:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
International Index Series, one of the portfolios constituting Quantitative
Master Series LLC, (the "Master LLC") as of December 31, 2009, and for the year
then ended and have issued our report thereon dated February 24, 2010 which
report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR. Our audit also included the Master LLC's
Schedule of Investments (the "Schedule") as of December 31, 2009 appearing in
Item 6 of this Form N-CSR. This Schedule is the responsibility of the Master
LLC's management. Our responsibility is to express an opinion based on our
audit. In our opinion, the Schedule referred to above, when considered in
relation to the basic financial statements taken as a whole of the Master LLC
referred to above, presents fairly, in all material respects, the information
set forth therein.
DELOITTE & TOUCHE LLP
February 24, 2010
Princeton, New Jersey
28
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has made no material changes to the procedures by which shareholders
may recommend nominees to the Trust's Board of Trustees since the Trust last
disclosed such procedures in Schedule 14A.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this
report, the principal executive and financial officers concluded that
the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trust's internal control over financial
reporting during the second fiscal quarter of the period covered by
this report that has materially affected, or is reasonably likely to
materially affect, the Trust's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) Filed herewith as EX-99.CODE ETH.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the Trust as required by Rule
30a-2(a) under the Investment Company Act of 1940 is attached
hereto as EX-99.CERT.
(a)(3) Not Applicable.
(b) The certifications required by Rule 30a-2(b) under the Investment
Company Act of 1940 are attached hereto as EX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): American Beacon Funds
By /s/ Gene L. Needles, Jr.
--------------------
Gene L. Needles, Jr.
President
Date: March 8, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By /s/ Gene L. Needles, Jr.
--------------------
Gene L. Needles, Jr.
President
Date: March 8, 2010
By /s/ Melinda G. Heika
---------------------
Melinda G. Heika
Treasurer
Date: March 8, 2010