UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/S
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-7852
Exact name of registrant as specified in charter: USAA MUTUAL FUNDS TRUST
Address of principal executive offices and zip code: 9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Name and address of agent for service: JAMES G. WHETZEL
USAA MUTUAL FUNDS TRUST
9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Registrant's telephone number, including area code: (210) 498-0226
Date of fiscal year end: DECEMBER 31
Date of reporting period: JUNE 30, 2013
ITEM 1. SEMIANNUAL REPORT TO STOCKHOLDERS.
USAA MUTUAL FUNDS TRUST - SEMIANNUAL REPORT FOR PERIOD ENDED JUNE 30, 2013
[LOGO OF USAA]
USAA(R)
[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]
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SEMIANNUAL REPORT
USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2013
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PRESIDENT'S MESSAGE
"...[W]E BELIEVE THE MARKETS WILL FIND
A WAY TO MANAGE WITHOUT THE FED'S [PHOTO OF DANIEL S. McNAMARA]
QUANTITATIVE EASING PROGRAMS, AS THEY
HAVE FOR MOST OF THE LAST 100 YEARS."
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JULY 2013
The power of market psychology was on display during the reporting period as
investors interpreted and then reinterpreted previously misinterpreted comments
by Federal Reserve (the Fed) Chairman Ben Bernanke. At first, stocks and bonds
sold off on the realization that the Fed had an optimistic view of future U.S.
economic growth and expected it to accelerate during the second half of 2013. In
other words, good news was bad news. Meanwhile, inflation pressures, which are
very modest at the time of this writing, were expected to increase, setting the
stage for the Fed to reduce -- or "taper" -- its quantitative easing measures.
From this point of view, higher inflation, usually bad news for central bankers,
was considered good news. (The term "quantitative easing" is generally used to
reference programs in which the Fed uses newly created money to purchase
financial assets.)
The markets generally reacted as though tapering was imminent. Bond yields rose
(and prices, which move in the opposite direction, dropped) in anticipation of
reduced Fed buying. The increase in yields sparked a sell-off across the global
financial markets, including stocks, corporate bonds, emerging markets assets
and precious metals. With more sellers than buyers, liquidity grew tight and
smaller markets, such as emerging markets equities and emerging markets debt,
suffered steeper declines than larger markets, such as U.S. equities.
The sell-off was remarkable because the Fed has always said it would not start
unwinding its stimulus programs until it became clear that economic growth was
self-sustaining. In addition, Bernanke said that the Fed could increase
quantitative easing if the economy stalled or grew more slowly. Indeed,
first-quarter gross domestic product growth was revised downward during the last
week of the reporting period from 2.4% to 1.8%, suggesting that the Fed might
not be tapering any time soon.
Although interest rates did increase during the reporting period, they remain
exceptionally low by historical measures. In the years since the
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financial crisis, the 10-year U.S. Treasury yield has been near 2.5% more than
once. At those times, if I recall, many observers considered that a low yield.
When it reached the same level on June 21, 2013, it was perceived as high. In my
opinion, investors have less to fear from rising interest rates than they do
from an extended period of low rates, which some believe could result in a
Japan-like deflationary economy. That said, higher interest rates do mean that
bond investors are likely to see a decrease in their principal value, but they
will also -- for the first time in a long time -- see an increase in the income
they receive from their fixed-income investments.
Meanwhile, the June sell-off should serve as a reminder about the importance of
an investment plan and the need to keep emotion out of the investment process.
At USAA Asset Management Company, we believe every investor should hold a
diversified portfolio that is directly tied to their goals, risk tolerance and
time horizon. Diversification is important because different asset classes, such
as stocks and bonds, move up and down at different rates and often at different
times. If you think you may be over-allocated to fixed-income securities or
equities, you may want to reassess your investment risk and rebalance your
portfolio. Regular rebalancing can potentially help you protect your gains and
prepare for what happens next. I encourage you to contact a USAA advisor with
any questions or for assistance in updating your investment plan.
Whatever happens in the months ahead, you can be assured that our portfolio
management team will continue working on your behalf. "Taper talk" is
distracting and market reaction can be extreme but at USAA Asset Management
Company, we recognize that the Fed's extraordinary monetary stimulus cannot go
on forever. Also, we believe the markets will find a way to manage without the
Fed's quantitative easing programs, as they have for most of the last 100 years.
From all of us here, thank you for your investment.
Sincerely,
/S/ DANIEL S. MCNAMARA
Daniel S. McNamara
President
USAA Investment Management Company
Past performance is no guarantee of future results. o Diversification is a
technique to help reduce risk and does not guarantee a profit or prevent a loss.
o Financial Planning Services Insurance Agency, Inc. (known as USAA Financial
Insurance Agency in California, License # 0E36312), and USAA Financial Advisors,
Inc., a registered broker dealer.
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TABLE OF CONTENTS
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FUND OBJECTIVE 1
MANAGER'S COMMENTARY 2
INVESTMENT OVERVIEW 4
FINANCIAL INFORMATION
USAA EXTENDED MARKET INDEX FUND:
Financial Statements 8
Financial Highlights 11
Notes to Financial Statements 12
EXPENSE EXAMPLE 17
ADVISORY AGREEMENT(S) 19
MASTER EXTENDED MARKET INDEX SERIES:
Schedule of Investments 26
Financial Statements 73
Financial Highlights 76
Notes to Financial Statements 77
ADVISORY AGREEMENTS 89
THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS AND OTHERS WHO HAVE
RECEIVED A COPY OF THE CURRENTLY EFFECTIVE PROSPECTUS OF THE FUND, MANAGED BY
USAA ASSET MANAGEMENT COMPANY. IT MAY BE USED AS SALES LITERATURE ONLY WHEN
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS, WHICH PROVIDES FURTHER DETAILS
ABOUT THE FUND.
(C)2013, USAA. All rights reserved.
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FUND OBJECTIVE
THE USAA EXTENDED MARKET INDEX FUND (THE FUND) SEEKS TO MATCH, BEFORE FEES AND
EXPENSES, THE PERFORMANCE OF THE U.S. STOCKS NOT INCLUDED IN THE S&P 500 INDEX
AS REPRESENTED BY THE DOW JONES U.S. COMPLETION TOTAL STOCK MARKET INDEX(SM).
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TYPES OF INVESTMENTS
The Fund's principal investment strategy is to invest all of the Fund's
investable assets in the Master Extended Market Index Series of the Quantitative
Master Series LLC (Extended Market Portfolio), which is a separate fund advised
by BlackRock Advisors, LLC and subadvised by BlackRock Investment Management,
LLC (BlackRock Advisors, LLC and BlackRock Investment Management, LLC are
collectively referred to herein as BlackRock), with a substantially similar
investment objective as the Fund. Therefore, your interest in the Extended
Market Portfolio's securities is indirect, and the investment characteristics of
the Fund will correspond directly to those of the Extended Market Portfolio.
This type of arrangement is commonly referred to as a master-feeder structure.
The Extended Market Portfolio seeks to track the Dow Jones U.S. Completion
Total Stock Market Index as closely as possible, and normally, at least 80% of
its assets will be invested in securities or other financial instruments of
companies that are components of or have economic characteristics similar to the
securities included in the index.
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable
portion of your distribution and, if you live in a state that requires state
income tax withholding, at your state's set rate. However, you may elect not to
have withholding apply or to have income tax withheld at a higher rate. If you
wish to make such an election, please call USAA Asset Management Company at
(800) 531-USAA (8722).
If you must pay estimated taxes, you may be subject to estimated tax penalties
if your estimated tax payments are not sufficient and sufficient tax is not
withheld from your distribution.
For more specific information, please consult your tax adviser.
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FUND OBJECTIVE | 1
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MANAGER'S COMMENTARY ON THE FUND
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As of the end of the reporting period, the USAA Extended Market Index Fund had a
total return of 15.30%. U.S. equities, as represented by the Dow Jones U.S.
Completion Total Stock Market Index, advanced 15.68% for the six-month period
ended June 30, 2013.
Risk markets globally began 2013 with a powerful relief rally after the United
States averted the worst of its fiscal cliff situation with a last minute tax
deal struck on New Year's Day. The rally stalled in February, however, as
economic momentum slowed and investors weighed the global impact of the
inevitable U.S. government spending cuts. Later in the first quarter, financial
markets were rattled by a stalemate presidential election in Italy and a severe
banking crisis in Cyprus, reminding investors that Europe was still quite
vulnerable to political instability and its debt and banking problems were far
from resolved.
U.S. stocks persevered through these flare-ups in the eurozone as investors'
risk appetite was largely supported by the continuation of accommodative
monetary policy from the U.S. Federal Reserve (the Fed). Equities broadly
advanced as increased global liquidity kept interest rates low and investors
turned to riskier asset classes in search of yield. As the year progressed, the
markets became increasingly dominated by speculation around the future direction
of monetary policy. Sluggish global growth, ironically, was conducive to
positive equity market performance. Although disappointing economic reports
caused financial market volatility to rise, the weak data also afforded
investors some comfort that the central bank would continue to maintain their
accommodative stance.
However, after peaking in late May, U.S. stock markets recoiled in response to
comments from the Fed, hinting that a change in its policy stance was on the
horizon. Volatility picked up considerably and equities broadly
Refer to page 5 for benchmark definitions.
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2 | USAA EXTENDED MARKET INDEX FUND
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declined through the remainder of the period due to concerns about the potential
impact tighter monetary policy would have on financial markets and economic
growth.
While rhetoric from the Fed about tapering its bond-buying stimulus program was
the catalyst for the sell-off in equity markets, indicators that global growth
was continuing to slow (with the exception of Japan) was another source of
investor anxiety. The recovery in the United States showed signs of weakening
and European countries already mired in recession saw economic conditions
worsen. Slowing growth in emerging markets, particularly China and Brazil,
dimmed the outlook for the entire global economy.
THIS MATERIAL IS NOT INTENDED TO BE RELIED UPON AS A FORECAST, RESEARCH OR
INVESTMENT ADVICE, AND IS NOT A RECOMMENDATION, OFFER OR SOLICITATION TO BUY OR
SELL ANY SECURITIES OR TO ADOPT ANY INVESTMENT STRATEGY. THE OPINIONS EXPRESSED
ARE AS OF JUNE 30, 2013, AND MAY CHANGE AS SUBSEQUENT CONDITIONS VARY. THE
INFORMATION AND OPINIONS CONTAINED IN THIS MATERIAL ARE DERIVED FROM PROPRIETARY
AND NON-PROPRIETARY SOURCES DEEMED BY BLACKROCK TO BE RELIABLE, ARE NOT
NECESSARILY ALL-INCLUSIVE AND ARE NOT GUARANTEED AS TO ACCURACY. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THERE IS NO GUARANTEE THAT ANY
FORECASTS MADE WILL COME TO PASS. ANY INVESTMENTS NAMED WITHIN THIS MATERIAL MAY
NOT NECESSARILY BE HELD IN ANY ACCOUNTS MANAGED BY BLACKROCK. RELIANCE UPON
INFORMATION IN THIS MATERIAL IS AT THE SOLE DISCRETION OF THE READER. INDEX
PERFORMANCE IS SHOWN FOR ILLUSTRATIVE PURPOSES ONLY. IT IS NOT POSSIBLE TO
INVEST DIRECTLY IN AN INDEX.
PREPARED BY BLACKROCK INVESTMENTS, LLC, MEMBER FINRA.
(C)2013 BLACKROCK, INC. ALL RIGHTS RESERVED.
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MANAGER'S COMMENTARY ON THE FUND | 3
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INVESTMENT OVERVIEW
USAA EXTENDED MARKET INDEX FUND (THE FUND) (Ticker Symbol: USMIX)
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6/30/13 12/31/12
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Net Assets $487.1 Million $398.4 Million
Net Asset Value Per Share $15.37 $13.33
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AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/13
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12/31/2012-6/30/2013* 1 Year 5 Years 10 Years
15.30% 24.59% 8.53% 10.16%
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EXPENSE RATIOS AS OF 12/31/12**
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Before Reimbursement 0.65% After Reimbursement 0.50%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA QUOTED. THE RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, VISIT
USAA.COM.
* Total returns for periods of less than one year are not annualized. This
six-month return is cumulative.
**The expense ratios represent the total annual operating expenses, before
reductions of any expenses paid indirectly and including any acquired fund fees
and expenses, as reported in the Fund's prospectus dated May 1, 2013, and are
calculated as a percentage of average net assets. USAA Asset Management Company
(the Manager) has agreed, through May 1, 2014, to make payments or waive
management, administration, and other fees so that the total expenses of the
Fund (exclusive of commission recapture, expense offset arrangements, acquired
fund fees and expenses, and extraordinary expenses) do not exceed an annual rate
of 0.50% of the Fund's average net assets. This reimbursement arrangement may
not be changed or terminated during this time period without approval of the
Fund's Board of Trustees and may be changed or terminated by the Manager at any
time after May 1, 2014. These expense ratios may differ from the expense ratios
disclosed in the Financial Highlights, which excludes acquired fund fees and
expenses.
Total return measures the price change in a share assuming the reinvestment of
all net investment income and realized capital gain distributions. The total
returns quoted do not reflect adjustments made to the enclosed financial
statements in accordance with U.S. generally accepted accounting principles or
the deduction of taxes that a shareholder would pay on distributions or the
redemption of shares.
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4 | USAA EXTENDED MARKET INDEX FUND
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o CUMULATIVE PERFORMANCE COMPARISON o
[CHART OF CUMULATIVE PERFORMANCE COMPARISON]
DOW JONES U.S. COMPLETION USAA EXTENDED
TOTAL STOCK MARKET INDEX
MARKET INDEX* FUND
6/30/2003 $10,000.00 $10,000.00
7/31/2003 10,467.13 10,450.00
8/31/2003 10,905.82 10,887.50
9/30/2003 10,770.40 10,737.50
10/31/2003 11,590.71 11,562.50
11/30/2003 11,990.56 11,950.00
12/31/2003 12,240.02 12,192.62
1/31/2004 12,678.61 12,606.99
2/29/2004 12,900.52 12,833.01
3/31/2004 12,955.16 12,895.79
4/30/2004 12,434.53 12,355.85
5/31/2004 12,622.10 12,544.21
6/30/2004 12,969.53 12,883.24
7/31/2004 12,250.57 12,167.50
8/31/2004 12,251.80 12,167.50
9/30/2004 12,722.84 12,644.66
10/31/2004 12,957.93 12,908.35
11/30/2004 13,862.49 13,787.33
12/31/2004 14,454.88 14,377.52
1/31/2005 13,965.29 13,891.88
2/28/2005 14,235.52 14,147.48
3/31/2005 13,962.62 13,917.44
4/30/2005 13,452.39 13,444.58
5/31/2005 14,254.09 14,236.94
6/30/2005 14,719.12 14,684.24
7/31/2005 15,547.73 15,476.60
8/31/2005 15,369.48 15,297.68
9/30/2005 15,485.99 15,387.14
10/31/2005 15,122.40 15,054.86
11/30/2005 15,827.87 15,783.32
12/31/2005 15,904.52 15,831.70
1/31/2006 16,949.02 16,826.08
2/28/2006 16,781.00 16,682.16
3/31/2006 17,420.18 17,310.19
4/30/2006 17,491.87 17,375.61
5/31/2006 16,736.78 16,642.91
6/30/2006 16,784.76 16,669.08
7/31/2006 16,310.80 16,198.05
8/31/2006 16,660.81 16,538.23
9/30/2006 16,813.20 16,721.41
10/31/2006 17,649.70 17,545.71
11/30/2006 18,288.68 18,186.82
12/31/2006 18,335.18 18,255.81
1/31/2007 18,926.56 18,859.30
2/28/2007 18,879.84 18,749.58
3/31/2007 19,084.56 18,941.60
4/30/2007 19,557.47 19,366.79
5/31/2007 20,399.18 20,176.03
6/30/2007 20,099.58 19,915.43
7/31/2007 19,198.11 19,051.33
8/31/2007 19,391.48 19,229.63
9/30/2007 19,979.46 19,833.13
10/31/2007 20,570.29 20,464.06
11/30/2007 19,416.44 19,270.78
12/31/2007 19,324.12 19,115.83
1/31/2008 18,131.14 17,866.62
2/29/2008 17,739.65 17,503.48
3/31/2008 17,425.26 17,154.86
4/30/2008 18,375.51 18,099.03
5/31/2008 19,250.75 18,912.47
6/30/2008 17,807.24 17,488.95
7/31/2008 17,639.47 17,314.64
8/31/2008 17,982.68 17,663.26
9/30/2008 16,028.62 15,760.39
10/31/2008 12,721.20 12,506.63
11/30/2008 11,271.79 11,083.11
12/31/2008 11,781.92 11,594.45
1/31/2009 10,901.70 10,701.38
2/28/2009 9,835.61 9,654.34
3/31/2009 10,683.67 10,485.81
4/30/2009 12,284.99 12,056.38
5/31/2009 12,795.02 12,549.10
6/30/2009 12,902.29 12,641.49
7/31/2009 14,064.20 13,780.92
8/31/2009 14,589.58 14,304.44
9/30/2009 15,436.84 15,120.51
10/31/2009 14,601.43 14,273.64
11/30/2009 15,182.11 14,843.35
12/31/2009 16,191.99 15,811.01
1/31/2010 15,804.24 15,423.87
2/28/2010 16,567.04 16,167.18
3/31/2010 17,781.22 17,344.11
4/30/2010 18,627.72 18,164.85
5/31/2010 17,227.84 16,802.10
6/30/2010 16,034.27 15,640.67
7/31/2010 17,144.13 16,709.19
8/31/2010 16,190.46 15,764.55
9/30/2010 18,032.35 17,560.91
10/31/2010 18,839.45 18,335.20
11/30/2010 19,401.19 18,861.71
12/31/2010 20,825.79 20,255.31
1/31/2011 21,092.16 20,495.87
2/28/2011 22,028.96 21,410.00
3/31/2011 22,473.26 21,843.02
4/30/2011 23,144.10 22,468.48
5/31/2011 22,850.91 22,179.80
6/30/2011 22,317.76 21,650.57
7/31/2011 21,596.11 20,960.96
8/31/2011 19,831.33 19,244.95
9/30/2011 17,692.05 17,176.12
10/31/2011 20,169.07 19,581.73
11/30/2011 20,053.56 19,453.43
12/31/2011 20,043.75 19,438.80
1/31/2012 21,558.83 20,897.97
2/29/2012 22,425.85 21,719.80
3/31/2012 22,938.46 22,206.19
4/30/2012 22,770.04 22,038.47
5/31/2012 21,177.82 20,495.44
6/30/2012 21,846.78 21,132.78
7/31/2012 21,696.98 20,981.83
8/31/2012 22,445.81 21,703.03
9/30/2012 22,995.47 22,222.96
10/31/2012 22,692.01 21,921.07
11/30/2012 23,026.30 22,256.51
12/31/2012 23,629.17 22,834.00
1/31/2013 25,275.42 24,409.94
2/28/2013 25,520.75 24,632.62
3/31/2013 26,716.76 25,780.32
4/30/2013 26,887.62 25,934.49
5/31/2013 27,604.42 26,602.55
6/30/2013 27,333.06 26,328.48
[END CHART]
Data from 6/30/03 to 6/30/13.
The graph illustrates how a $10,000 hypothetical investment in the USAA Extended
Market Index Fund closely tracks the Dow Jones U.S. Completion Total Stock
Market Index, which is a market-capitalization-weighted index of approximately
3,500 U.S. equity securities. It includes all the stocks in the Dow Jones U.S.
Total Stock Market Index except for stocks included in the S&P 500 Index.
Past performance is no guarantee of future results, and the cumulative
performance quoted does not reflect the deduction of taxes that a shareholder
would pay on distributions or the redemption of shares. Indexes are unmanaged
and you cannot invest directly in an index.
*The Dow Jones U.S. Completion Total Stock Market Index is a subset of the Dow
Jones U.S. Total Stock Market Index that excludes components of the S&P 500
Index. The Dow Jones U.S. Total Stock Market Index is an all-inclusive measure
composed of all U.S. equity securities with readily available prices. This
broad index is divided according to stock-size segment, style, and sector to
create distinct sub-indexes that track every major segment of the market.
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INVESTMENT OVERVIEW | 5
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Dow Jones U.S. Completion Total Stock Market Index is a service mark of Dow
Jones & Company, Inc. Dow Jones does not have any relationship to the Fund
other than the licensing and sublicensing of the Dow Jones U.S. Completion Total
Stock Market Index and its service marks for use in connection with the Fund. o
Dow Jones does not sponsor, endorse, sell, or promote the Fund; recommend that
any person invest in the Fund or any other securities; have any responsibility
or liability for or make any decisions about the timing, amount, or pricing of
the Fund; have any responsibility or liability for the administration,
management, or marketing of the Fund; consider the needs of the Fund or the
owners of the Fund in determining, composing, or calculating the Dow Jones U.S.
Completion Total Stock Market Index, or have any obligation to do so.
Dow Jones will have no liability in connection with the Fund. Specifically, Dow
Jones makes no warranty, express or implied, and Dow Jones disclaims any
warranty about: the results to be obtained by the Fund, the owner of the Fund,
or any other person in connection with the use of the Dow Jones U.S. Completion
Total Stock Market Index and the data included in the Dow Jones U.S. Completion
Total Stock Market Index; the accuracy or completeness of the Dow Jones U.S.
Completion Total Stock Market Index and any related data; the merchantability
and the fitness for a particular purpose or use of the Dow Jones U.S. Completion
Total Stock Market Index and/or its related data; Dow Jones will have no
liability for any errors, omissions, or interruptions in the Dow Jones U.S.
Completion Total Stock Market Index or related data; under no circumstances will
Dow Jones be liable for any lost profits or indirect, punitive, special, or
consequential damages or losses, even if Dow Jones knows that they might occur.
o The licensing agreement between BlackRock Advisors, LLC (or its predecessor),
and Dow Jones, and the sublicensing agreeement between the Fund and BlackRock
Advisors, LLC (or its predecessor), are solely for the benefit of the parties to
these agreements and not for the benefit of the owners of the USAA Extended
Market Index Fund or any other third parties.
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6 | USAA EXTENDED MARKET INDEX FUND
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o TOP 10 HOLDINGS o
AS OF 6/30/13
(% of Net Assets)*
Liberty Global PLC A ..................................................... 0.7%
Las Vegas Sands Corp. .................................................... 0.5%
Vertex Pharmaceuticals Inc. .............................................. 0.5%
Transocean Ltd. .......................................................... 0.5%
Delta Air Lines Inc. ..................................................... 0.4%
Liberty Media Corp. A .................................................... 0.4%
Facebook Inc. A .......................................................... 0.4%
Linkedin Corp. A ......................................................... 0.4%
Annaly Capital Management ............................................... 0.3%
Liberty Interactive Corp. A .............................................. 0.3%
o TOP 10 INDUSTRY SECTORS o
AS OF 6/30/13
(% of Net Assets)*
Real Estate Investment Trusts (REIT) ..................................... 9.6%
Banks .................................................................... 4.9%
Insurance ................................................................ 4.5%
Machinery ................................................................ 3.6%
Specialty Retail ......................................................... 3.6%
Software ................................................................. 3.5%
Diversified Financials ................................................... 3.4%
Commercial Services & Supplies ........................................... 3.4%
Biotechnology ............................................................ 3.1%
Health Care Provider & Services .......................................... 3.0%
*Percentages are of the net assets of the Master Extended Market Index Series
(the Series), not the net assets of the Fund.
You will find a complete list of securities that the Series owns on pages 26-72.
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INVESTMENT OVERVIEW | 7
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STATEMENT OF ASSETS AND LIABILITIES
June 30, 2013 (unaudited)
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ASSETS
Investment in Master Extended Market Index Series, at fair value $486,828,702
Receivable for capital shares sold 493,860
------------
Total assets 487,322,562
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LIABILITIES
Payable for capital shares redeemed 162,080
Accrued transfer agency fees 17,106
Other accrued expenses and payables 55,812
------------
Total liabilities 234,998
------------
Net assets applicable to capital shares outstanding $487,087,564
============
NET ASSETS CONSIST OF:
Paid-in capital $362,730,855
Accumulated undistributed net investment income 2,424,489
Accumulated net realized loss from investments and
futures transactions 6,284,846
Net unrealized appreciation on investments and futures contracts 115,647,374
------------
Net assets applicable to capital shares outstanding $487,087,564
============
Capital shares outstanding 31,700,466
============
Net asset value, redemption price, and offering price per share $ 15.37
============
See accompanying notes to financial statements and accompanying financial
statements of the Master Extended Market Index Series (the Series) attached.
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8 | USAA EXTENDED MARKET INDEX FUND
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STATEMENT OF OPERATIONS
Six-month period ended June 30, 2012 (unaudited)
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INVESTMENT INCOME
Allocated from Master Extended Market Index Series:
Dividends -- unaffiliated $ 2,740,114
Foreign taxes withheld (3,967)
Securities lending -- affiliated 175,828
Dividends -- affiliated 9,737
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Total income 2,921,712
Expenses (Note 4B) (154,462)
-----------
Net allocated investment income 2,767,250
-----------
FUND EXPENSES
Administration and servicing fees 567,018
Transfer agent's fees 370,687
Custody and accounting fees 3,439
Shareholder reporting fees 19,340
Postage 12,397
Trustees' fees 5,455
Registration fees 19,835
Professional fees 49,490
Other 5,951
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Total Fund expenses before reimbursement 1,053,612
Expenses reimbursed (81,610)
-----------
Total Fund expenses after reimbursement 972,002
-----------
NET INVESTMENT INCOME 1,795,248
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FUTURES CONTRACTS ALLOCATED FROM MASTER
EXTENDED MARKET INDEX SERIES
Net realized gain from investment transactions 6,820,495
Net realized gain from futures transactions 2,164,654
Net change in unrealized appreciation/depreciation on investments
and futures contracts 51,150,582
-----------
Net allocated realized and unrealized gain on investments
and futures contracts 60,135,731
-----------
Increase in net assets from operations $61,930,979
===========
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
================================================================================
FINANCIAL STATEMENTS | 9
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
Six-month period ended June 30, 2013 (unaudited), and year ended
December 31, 2012
---------------------------------------------------------------------------------------
6/30/2013 12/31/2012
---------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income $ 1,795,248 $ 5,544,333
Net realized gain from investment transactions 6,820,495 123,756
Net realized gain from futures transactions 2,164,654 742,492
Net change in unrealized appreciation/depreciation
on investments and futures contracts 51,150,582 54,176,593
-----------------------------
Net increase (decrease) in net assets
from operations 61,930,979 60,587,174
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income - (5,499,738)
Net realized gains - (2,744,950)
-----------------------------
Distributions to shareholders - (8,244,688)
-----------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold 66,387,987 54,873,628
Reinvested dividends (2,299) 8,059,603
Cost of shares redeemed (39,623,858) (70,541,299)
-----------------------------
Net increase (decrease) in net assets from
capital share transactions 26,761,830 (7,608,068)
-----------------------------
Capital contribution from USAA Transfer Agency
Company - -
-----------------------------
Net increase (decrease) in net assets 88,692,809 44,734,418
NET ASSETS
Beginning of period 398,394,755 353,660,337
-----------------------------
End of period $487,087,564 $398,394,755
=============================
Accumulated undistributed net investment income
End of period $ 2,424,489 $ 629,241
=============================
CHANGE IN SHARES OUTSTANDING
Shares sold 4,482,630 4,260,185
Shares issued for reinvested dividends (159) 611,503
Shares redeemed (2,675,946) (5,488,819)
-----------------------------
Increase (decrease) in shares outstanding 1,806,525 (617,131)
=============================
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
================================================================================
10 | USAA EXTENDED MARKET INDEX FUND
================================================================================
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for the periods
indicated for the USAA Extended Market Index Fund.
SIX-MONTH
PERIOD ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
------------------------------------------------------------
2013 2012 2011 2010 2009
------------------------------------------------------------
Net asset value at
beginning of period $ 13.33 $ 11.59 $ 12.63 $ 10.21 $ 7.53
-----------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .06 .19 .11 .09 .07
Net realized and unrealized
gain (loss) on investments
and futures transactions 1.98 1.83 (.63)(b) 2.78 2.67
-----------------------------------------------------------
Total from investment operations 2.04 2.02 (.52) 2.87 2.74
-----------------------------------------------------------
Less distributions:
From net investment income - (.19) (.09) (.11) (.06)
From realized capital gains - (.09) (.43) (.34) -
-----------------------------------------------------------
Total distributions - (.28) (.52) (.45) (.06)
-----------------------------------------------------------
Net asset value at end of period $ 15.37 $ 13.33 $ 11.59 $ 12.63 $ 10.21
===========================================================
Total return (%)* 15.30 17.47 (4.03) 28.11 36.37
Net assets at end of period (000) $487,088 $398,395 $353,660 $362,835 $276,245
Ratios to average net assets: **
Expenses, including expenses
of the Master Extended
Market Index Series (%)(a) .50(c) .50 .50 .50 .50
Expenses before reimbursements,
including expenses of the Master
Extended Market Index Series (%)(a) .53(c) .65 .75 .81 .96
Net investment income (%) .79(c) 1.45 .87 .86 .86
Portfolio turnover (%)*** 6 12 12 15 20
* Assumes reinvestment of all net investment income and realized capital gain
distributions, if any, during the period. Includes adjustments in accordance
with U.S. generally accepted accounting principles and could differ from the
Lipper reported return.
** For the six-month period ended June 30, 2013, average net assets were
$457,370,100.
*** Represents the portfolio turnover of the Master Extended Market Index
Series.
(a) Reflects total operating expenses of the Fund before reductions of any
expenses paid indirectly. The Fund's expenses paid indirectly decreased the
expense ratios by less than 0.01%.
(b) Reflected a net realized and unrealized loss per share, whereas the
statement of operations reflected a net realized and unrealized gain for the
period. The difference in realized and unrealized gains and losses was due
to the timing of sales and repurchases of shares in relation to fluctuating
market values for the portfolio.
(c) Annualized. The ratio is not necessarily indicative of 12 months of
operations.
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
================================================================================
FINANCIAL HIGHLIGHTS | 11
================================================================================
NOTES TO FINANCIAL STATEMENTS
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
USAA MUTUAL FUNDS TRUST (the Trust), registered under the Investment Company Act
of 1940 (the 1940 Act), as amended, is an open-end management investment company
organized as a Delaware statutory trust consisting of 50 separate funds. The
information presented in this semiannual report pertains only to the USAA
Extended Market Index Fund (the Fund), which is classified as diversified under
the 1940 Act. The Fund's primary investment objective is to seek to match,
before fees and expenses, the performance of the U.S. stocks not included in the
S&P 500 Index as represented by the Dow Jones U.S. Completion Total Stock Market
Index.
USAA Asset Management Company (the Manager), an affiliate of the Fund, attempts
to achieve this objective by investing all of the Fund's investable assets in
the Master Extended Market Index Series of the Quantitative Master Series LLC
(the Series), which is a separate open-end investment management company advised
by BlackRock Advisors, LLC (BlackRock), with a substantially similar investment
objective. At June 30, 2013, the Fund's investment was 100.00% of the Series.
The financial statements of the Series, including the Schedule of Investments,
are contained elsewhere in this report and should be read in conjunction with
the Fund's financial statements.
A. VALUATION OF INVESTMENTS -- The Fund records its investment in the Series at
fair value, which reflects its proportionate interest in the net assets of
the Series. Valuation of the securities held by the Series is discussed in
Note 1 of the Series' financial statements included elsewhere in this
report.
B. FAIR VALUE MEASUREMENTS -- Refer to the Schedule of Investments of the
Series for a discussion of fair value measurements and a summary of the
inputs used to value the Series' assets.
================================================================================
12 | USAA EXTENDED MARKET INDEX FUND
================================================================================
C. DERIVATIVE FINANCIAL INSTRUMENTS -- Refer to note 2 in the Series' Notes to
Financial Statements for a discussion of derivative financial instruments
and how they are accounted for in the Series' financial statements.
D. INVESTMENT INCOME AND EXPENSES -- The Fund records daily its pro rata share
of the Series' income, expenses, and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
E. FEDERAL TAXES -- The Fund's policy is to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its income to its shareholders. Therefore,
no federal income tax provision is required.
F. EXPENSES PAID INDIRECTLY -- Through arrangements with banks utilized
by the Fund for cash management purposes, realized credits, if any,
generated from cash balances in the Fund's bank accounts are used
to reduce the Fund's expenses. For the six-month period ended
June 30, 2013, the fund did not incur any expenses paid indirectly.
G. INDEMNIFICATIONS -- Under the Trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Trust. In addition, in the normal course
of business, the Trust enters into contracts that contain a variety of
representations and warranties that provide general indemnifications. The
Trust's maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Trust that have not yet
occurred. However, the Trust expects the risk of loss to be remote.
H. 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 may affect the reported amounts in the
financial statements.
(2) LINE OF CREDIT
The Fund participates in a joint, short-term, revolving, committed loan
agreement of $500 million with USAA Capital Corporation (CAPCO), an affiliate of
the Manager. The purpose of the agreement is to meet temporary or emergency cash
needs, including redemption requests
================================================================================
NOTES TO FINANCIAL STATEMENTS | 13
================================================================================
that might otherwise require the untimely disposition of securities. Subject to
availability, the Fund may borrow from CAPCO an amount up to 5% of the Fund's
total assets at a rate per annum equal to the rate at which CAPCO obtains
funding in the capital markets, with no markup.
The USAA Funds that are party to the loan agreement are assessed facility fees
by CAPCO in the amount of 7.0 basis points of the amount of the committed loan
agreement. Prior to September 30, 2012, the Funds were assessed facility fees by
CAPCO in the amount of 7.5 basis points of the amount of the committed loan
agreement. The facility fees are allocated among the Funds based on their
respective average net assets for the period.
For the six-month period ended June 30, 2013, the Fund paid CAPCO facility fees
of $1,354, which represents 0.8% of the total fees paid to CAPCO by the USAA
Funds. The Fund had no borrowings under this agreement during the six-month
period ended June 30, 2013.
(3) DISTRIBUTIONS
The tax basis of distributions and accumulated undistributed net investment
income will be determined based upon the Fund's tax year-end of December 31,
2013, in accordance with applicable tax law.
Distributions of net investment income and the Fund's pro rata share of the
Series' realized gains from security transactions not offset by capital losses
are made annually in the succeeding fiscal year or as otherwise required to
avoid the payment of federal taxes.
Under the Regulated Investment Company Modernization Act of 2010 (the Act) a
fund is permitted to carry forward net capital losses indefinitely.
Additionally, such capital losses that are carried forward will retain their
character as short-term and or long-term capital losses. Post-enactment capital
loss carryforwards must be used before pre-enactment capital loss carryforwards.
As a result, pre-enactment capital loss carryforwards may be more likely to
expire unused.
At December 31, 2012, the Fund had no pre-enactment capital loss carryforwards
and post-enactment capital loss carryforwards of $612,396, for federal income
tax purposes. It is unlikely that the Trust's Board of Trustees (the Board) will
authorize a distribution of capital
================================================================================
14 | USAA EXTENDED MARKET INDEX FUND
================================================================================
gains realized in the future until the capital loss carryforwards have been used
or expire.
For the six-month period ended June 30, 2013, the Fund did not incur any income
tax, interest, or penalties, and has recorded no liability for net unrecognized
tax benefits relating to uncertain income tax positions. On an ongoing basis the
Manager will monitor its tax positions to determine if adustments to this
conclusion are necessary. The statute of limitations on the Fund's tax return
filings generally remain open for the three preceeding fiscal reporting year
ends and remain subject to examination by the Internal Revenue Service and state
taxing authorities.
(4) TRANSACTIONS WITH MANAGER
A. ADMINISTRATION AND SERVICING FEES -- The Manager provides administration and
shareholder servicing functions for the Fund. For such services, the Manager
receives a fee accrued daily and paid monthly at an annualized rate of 0.25%
of the Fund's average net assets for the fiscal year. For the six-month
period ended June 30, 2013, the Fund incurred administration and servicing
fees, paid or payable to the Manager, of $567,018.
In addition to the services provided under its Administration and Servicing
Agreement with the Fund, the Manager also provides certain compliance and
legal services for the benefit of the Fund. The Board has approved the
reimbursement of a portion of these expenses incurred by the Manager. For
the six-month period ended June 30, 2013, the Fund reimbursed the Manager
$6,569 for these compliance and legal services. These expenses are included
in the professional fees on the Fund's statement of operations.
Out of the administration and servicing fees received from the Fund, the
Manager pays BlackRock up to 0.10% for subadministration services provided
on the Manager's behalf. For the six-month period ended June 30, 2013, the
Manager incurred subadministration fees, paid or payable to BlackRock, of
$9,623.
B. EXPENSE LIMITATION -- The Manager has agreed, through May 1, 2013, to limit
the total annual operating expenses of the Fund to 0.50% of the Fund's
average net assets, excluding extraordinary expenses and
================================================================================
NOTES TO FINANCIAL STATEMENTS | 15
================================================================================
before reductions of any expenses paid indirectly, and will reimburse the
Fund for all expenses in excess of that amount. This expense limitation
arrangement may not be changed or terminated through May 1, 2013, without
approval of the Board, and may be changed or terminated by the Manager at
any time after that date. For the six-month period ended June 30, 2013, the
Fund incurred reimbursable expenses of $81,610. Additionally, the expenses
allocated to the Fund from the Series included fees waived by BlackRock
Advisors, LLC of $7,057 (See Master Feeder Notes to Financials). Refer to
Note 5 in the Series' Notes to Financial Statements.
C. TRANSFER AGENT'S FEES -- USAA Transfer Agency Company, d/b/a USAA
Shareholder Account Services (SAS), an affiliate of the Manager, provides
transfer agency services to the Fund based on an annual charge of $23 per
shareholder account, plus out-of-pocket expenses. The Fund also pays SAS
fees that are related to the administration and servicing of accounts that
are traded on an omnibus basis. For the six-month period ended June 30,
2013, the Fund incurred transfer agent's fees paid or payable to SAS, of
$370,687.
D. UNDERWRITING AGREEMENT -- The Manager provides exclusive underwriting and
distribution of the Fund's shares on a continuing best-efforts basis. The
Manager receives no commissions or fees for this service.
E. MANAGEMENT AGREEMENT -- The Manager serves as investment adviser to the Fund
pursuant to a Management Agreement and is responsible for monitoring the
services provided to the Series by BlackRock. While the Fund maintains its
investment in the Series, the Manager receives no fee from the Fund for the
monitoring service performed on its behalf.
(5) TRANSACTIONS WITH AFFILIATES
Certain trustees and officers of the Fund are also directors, officers, and/or
employees of the Manager. None of the affiliated trustees or Fund officers
received any compensation from the Fund.
================================================================================
16 | USAA EXTENDED MARKET INDEX FUND
================================================================================
EXPENSE EXAMPLE
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
EXAMPLE
As a shareholder of the Fund, you incur two types of costs: direct costs, such
as wire fees, redemption fees, and low balance fees; and indirect costs,
including administration fees, transfer agency fees, expenses allocated to the
Fund by the Master Extended Market Index Series, and other Fund operating
expenses. This example is intended to help you understand your indirect costs,
also referred to as "ongoing costs" (in dollars), of investing in the Fund and
to compare these costs with the ongoing costs of investing in other mutual
funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire six-month period of January 1, 2013, through June
30, 2013.
ACTUAL EXPENSES
The first line of the table on the next page provides information about actual
account values and actual expenses. You may use the information in this line,
together with the amount you invested at the beginning of the period, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund's
actual return. The hypothetical account values and expenses may not be used to
estimate the actual ending
================================================================================
EXPENSE EXAMPLE | 17
================================================================================
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any direct costs, such as wire fees,
redemption fees, or low balance fees. Therefore, the second 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. In addition, if these direct
costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD*
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2013 -
JANUARY 1, 2013 JUNE 30, 2013 JUNE 30, 2013
------------------------------------------------------
Actual $1,000.00 $1,153.00 $2.67
Hypothetical
(5% return before expenses) 1,000.00 1,022.32 2.51
* Expenses are equal to the Fund's annualized expense ratio of 0.50%, which
includes expenses of the Master Extended Market Index Series, and is net of
any reimbursements and expenses paid indirectly, multiplied by the average
account value over the period, multiplied by 181 days/365 days (to reflect the
one-half-year period). The Fund's ending account value on the first line in
the table is based on its actual total return of 15.30% for the six-month
period of January 1, 2013, through June 30, 2013.
================================================================================
18 | USAA EXTENDED MARKET INDEX FUND
================================================================================
ADVISORY AGREEMENT(S)
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
At a meeting of the Board of Trustees (the Board) held on April 30, 2013, the
Board, including the Trustees who are not "interested persons" of the Trust (the
Independent Trustees), approved for an annual period the continuance of the
Management Agreement between the Trust and the Manager with respect to the Fund.
In advance of the meeting, the Trustees received and considered a variety of
information relating to the Management Agreement and the Manager and were given
the opportunity to ask questions and request additional information from
management. The information provided to the Board included, among other things:
(i) a separate report prepared by an independent third party, which provided a
statistical analysis comparing the Fund's investment performance, expenses, and
fees to comparable investment companies; (ii) information concerning the
services rendered to the Fund, as well as information regarding the Manager's
revenues and costs of providing services to the Fund and compensation paid to
affiliates of the Manager; and (iii) information about the Manager's operations
and personnel.
Prior to voting, the Independent Trustees reviewed the proposed continuance of
the Management Agreement with management and with experienced independent
counsel and received materials from such counsel discussing the legal standards
for their consideration of the proposed continuation of the Management Agreement
with respect to the Fund. The Independent Trustees also reviewed the proposed
continuation of the Management Agreement with respect to the Fund in private
sessions with their counsel at which no representatives of management were
present. At each regularly scheduled meeting of the Board and its committees,
the Board receives and reviews, among other things, information concerning the
Fund's performance and services provided by the Manager. At the meeting at which
renewal of the Management Agreement is considered, particular focus is given to
================================================================================
ADVISORY AGREEMENT(S) | 19
================================================================================
information concerning Fund performance, comparability of fees and total
expenses, and profitability. However, the Board noted that the evaluation
process with respect to the Manager is an ongoing one. In this regard, the
Board's and its committees' consideration of the Management Agreement included
certain information previously received at such meetings.
MANAGEMENT AGREEMENT
After full consideration of a variety of factors, the Board, including the
Independent Trustees, voted to approve the Management Agreement. In approving
the Management Agreement, the Trustees did not identify any single factor as
controlling, and each Trustee may have attributed different weights to various
factors. Throughout their deliberations, the Independent Trustees were
represented and assisted by independent counsel.
The Trustees took into account the fact that the Fund operates in a
master-feeder structure through which the Fund invests all of its investable
assets in the Extended Market Index Series (the Master Fund), a separate
registered investment company advised by BlackRock Advisors, LLC (the Adviser).
NATURE, EXTENT AND QUALITY OF THE SERVICES -- In considering the nature, extent,
and quality of the services provided by the Manager under the Management
Agreement, the Board reviewed information provided by the Manager relating to
its operations and personnel. The Board also took into account its knowledge of
the Manager's management and the quality of the performance of the Manager's
duties through Board meetings, discussions, and reports during the preceding
year. The Board considered the services provided to the Fund by the Manager
under the Management Agreement, as well as other services provided by the
Manager and its affiliates under other agreements, and the personnel who provide
these services. The Board noted that the Manager receives no investment advisory
fee for serving as the investment adviser to the Fund so long as the Fund
operates in a master-feeder structure. In addition to the investment advisory
services provided to the Fund, the Manager and its
================================================================================
20 | USAA EXTENDED MARKET INDEX FUND
================================================================================
affiliates provide administrative services, stockholder services, oversight of
fund accounting, marketing services, assistance in meeting legal and regulatory
requirements, and other services necessary for the operation of the Fund and the
Trust. The Board considered the level and depth of knowledge of the Manager,
including the professional experience and qualifications of senior personnel, as
well as current staffing levels. The Board discussed the Manager's effectiveness
in monitoring the performance of the Adviser to the Master Fund. The Manager's
role in coordinating the activities of the Fund's other service providers was
also considered. The Board also considered the Manager's risk management
processes. The Board considered the Manager's financial condition and that it
had the financial wherewithal to continue to provide the same scope and high
quality of services under the Management Agreement. In reviewing the Management
Agreement, the Board focused on the experience, resources, and strengths of the
Manager and its affiliates in managing the Fund, as well as the other funds in
the Trust.
The Board also reviewed the compliance and administrative services provided to
the Fund by the Manager, including oversight of the Master Fund's operations and
of the Fund's day-to-day operations and oversight of Fund accounting. The
Trustees, guided also by information obtained from their experiences as trustees
of the Trust, also focused on the quality of the Manager's compliance and
administrative staff.
EXPENSES AND PERFORMANCE -- In connection with its consideration of the
Management Agreement, the Board evaluated the Fund's advisory fees and total
expense ratio as compared to other open-end investment companies deemed to be
comparable to the Fund as determined by the independent third party in its
report. The Fund's expenses were compared to a group of investment companies
chosen by the independent third party to be comparable to the Fund based upon
certain factors, including fund type, comparability of investment objective and
classification, sales load type (in this case, pure-index retail investment
companies with frontend loads and no sales loads), asset size, and expense
components (the "expense group") and (ii) a larger group of investment companies
that includes all front-end load and no-load retail open-end investment
================================================================================
ADVISORY AGREEMENT(S) | 21
================================================================================
companies in the same investment classification/objective as the Fund regardless
of asset size, excluding outliers (the "expense universe"). Among other data,
the Board noted that the Fund's management fee rate -- which reflects the
advisory fee paid by the Master Fund to the Adviser as well as administrative
services provided to the Fund by the Manager and its affiliates and the effects
of any reimbursements -- was below the median of its expense group and its
expense universe. The data indicated that the Fund's total expenses, after
reimbursements, were below the median of its expense group and above the median
of its expense universe. The Board noted that the Manager does not currently
receive an advisory fee from the Fund for the services that it provides under
the Management Agreement. The Trustees took into account that the management fee
and total expenses reflected both the expenses of the Fund as well as those of
the Master Fund. The Trustees also took into account the Manager's current
undertakings to maintain expense limitations for the Fund. The Board also took
into account the various services provided to the Fund by the Manager and its
affiliates. The Trustees also noted the high level of correlation between the
Fund and its corresponding index and the relatively low tracking error between
the two, and noted that it reviews such information on a quarterly basis.
In considering the Fund's performance, the Board noted that it reviews at its
regularly scheduled meetings detailed information about the Fund's and the
Master Fund's performance results. The Trustees also reviewed various
comparative data provided to them in connection with their consideration of the
renewal of the Management Agreement, including, among other information, a
comparison of the Fund's average annual total return with its Lipper index and
with that of other mutual funds deemed to be in its peer group by the
independent third party in its report (the "performance universe"). The Fund's
performance universe consisted of the Fund and all retail and institutional
open-end investment companies with the same classification/objective as the Fund
regardless of asset size or primary channel of distribution. This comparison
indicated that, among other data, the Fund's performance was above the average
of its performance universe and its Lipper Index for the one-, three-, and
five-year periods ended December 31, 2012. The Board also noted that
================================================================================
22 | USAA EXTENDED MARKET INDEX FUND
================================================================================
the Fund's percentile performance ranking was in the top 35% of its performance
universe for the one- and five-year periods ended December 31, 2012 and was in
the top 20% of its performance universe for the three-year period ended December
31, 2012. The Board took into account management's discussion of the Fund's
performance, including the Fund's high level of correlation between the Fund's
performance and its corresponding index. The Trustees also noted management's
discussion of the Fund's peer group.
COMPENSATION AND PROFITABILITY -- The Board noted that the Manager does not
currently receive an advisory fee from the Fund under the Management Agreement.
The information considered by the Board included operating profit margin
information for the Manager's business as a whole. The Board also received and
considered profitability information related to the revenues from the Fund. This
information included a review of the methodology used in the allocation of
certain costs to the Fund. The Trustees reviewed the profitability of the
Manager's relationship with the Fund before tax expenses. In considering the
profitability data with respect to the Fund, the Trustees noted that the Manager
had agreed to maintain expense limitations for the Fund and had reimbursed the
Fund for expenses. In reviewing the overall profitability of the Fund to the
Manager, the Board also considered the fact that affiliates provide shareholder
servicing and administrative services to the Fund for which they receive
compensation. The Board also considered the possible direct and indirect
benefits to the Manager from its relationship with the Trust, including that the
Manager may derive reputational and other benefits from its association with the
Fund. The Trustees recognized that the Manager should be able to earn a
reasonable level of profits in exchange for the level of services it provides to
the Fund and the entrepreneurial risk that it assumes as Manager.
ECONOMIES OF SCALE -- With respect to the consideration of any economies of
scale to be realized by the Fund, the Board took into account that the Manager
does not receive any advisory fees under the Management Agreement and that the
management fee reflects the advisory fee paid at the Master Fund level to the
Master Fund's Adviser. The Board took into account Management's discussion of
the Fund's current advisory fee
================================================================================
ADVISORY AGREEMENT | 23
================================================================================
structure. The Board also considered the effects of the Fund's growth and size
on the Fund's performance and fees, noting that if the Fund's assets increase
over time, the Fund may realize other economies of scale if assets increase
proportionally more than some expenses. The Board determined that the current
fee structure was reasonable.
CONCLUSIONS -- The Board reached the following conclusions regarding the Fund's
Management Agreement with the Manager, among others: (i) the Manager has
demonstrated that it possesses the capability and resources to perform the
duties required of it under the Management Agreement; (ii) the Manager maintains
an appropriate compliance program; (iii) the performance of the Fund is
reasonable in relation to the performance of funds with similar investment
objectives and to relevant indices; (iv) the Fund's advisory expenses are
reasonable in relation to those of similar funds and to the services to be
provided by the Manager; and (v) the Manager and its affiliates' level of
profitability, if any, from their relationship with the Fund is reasonable.
Based on its conclusions, the Board determined that continuation of the
Management Agreement would be in the best interests of the Fund and its
shareholders.
================================================================================
24 | USAA EXTENDED MARKET INDEX FUND
================================================================================
Semiannual report of the
MASTER EXTENDED MARKET INDEX SERIES
in which the USAA EXTENDED MARKET INDEX FUND
invests
================================================================================
SCHEDULE OF INVESTMENTS
June 30, 2013 (unaudited)
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE& DEFENSE - 1.5%
5,457 AAR Corp. $ 119,945
2,943 AeroVironment, Inc.(a) 59,390
4,347 Alliant Techsystems, Inc. 357,889
2,867 Arotech Corp.(a) 4,301
1,694 Astronics Corp.(a) 69,234
3,505 Astrotech Corp.(a) 2,454
14,467 BE Aerospace, Inc.(a) 912,578
1,655 CPI Aerostructures, Inc.(a) 17,957
2,754 Cubic Corp. 132,468
6,323 Curtiss-Wright Corp. 234,330
1,595 Ducommun, Inc.(a) 33,910
4,304 Esterline Technologies Corp.(a) 311,136
25,599 Exelis, Inc. 353,010
8,839 GenCorp, Inc.(a) 143,722
129 Heico Corp. 6,498
6,141 Heico Corp., Class A 226,664
13,864 Hexcel Corp.(a) 472,069
6,911 Huntington Ingalls Industries, Inc. 390,333
2,908 Innovative Solutions & Support, Inc. 18,611
7,919 Kratos Defense & Security Solutions, Inc.(a) 51,315
1,760 LMI Aerospace, Inc.(a) 32,982
2,953 Mantech International Corp., Class A 77,132
6,236 Moog, Inc., Class A(a) 321,341
8,424 Orbital Sciences Corp.(a) 146,325
3,242 RBC Bearings, Inc.(a) 168,422
9,625 Smith & Wesson Holding Corp.(a) 96,058
15,146 Spirit AeroSystems Holdings, Inc., Class A(a) 325,336
2,796 Sturm Ruger & Co., Inc. 134,320
7,804 Taser International, Inc.(a) 66,490
5,157 Teledyne Technologies, Inc.(a) 398,894
6,340 TransDigm Group, Inc. 993,922
7,188 Triumph Group, Inc. 568,930
644 VSE Corp. 26,449
------------
7,274,415
------------
ALTERNATIVE ENERGY - 0.1%
8,257 Amyris, Inc.(a) 23,863
4,569 Ascent Solar Technologies, Inc.(a),(b) 3,564
568 BioFuel Energy Corp.(a),(b) 1,897
23,883 FuelCell Energy, Inc.(a) 30,331
16,845 GT Advanced Technologies, Inc.(a) 69,907
3,197 Green Plains Renewable Energy, Inc.(a) 42,584
4,878 GreenHunter Energy, Inc.(a),(b) 3,902
2,543 KiOR, Inc., Class A(a) 14,521
1,816 Ocean Power Technologies, Inc.(a) 2,942
2,106 Pacific Ethanol, Inc.(a),(b) 8,382
5,885 Plug Power, Inc.(a),(b) 2,236
820 Rex American Resources Corp.(a) 23,591
6,861 STR Holdings, Inc.(a) 15,574
6,046 Solazyme, Inc.(a),(b) 70,859
4,501 SunPower Corp.(a) 93,171
4,249 Verenium Corp.(a) 9,518
------------
416,842
------------
AUTOMOBILES & PARTS - 1.8%
4,401 Allison Transmission Holdings, Inc. 101,575
9,525 American Axle & Manufacturing Holdings, Inc.(a) 177,451
13,062 Autoliv, Inc. 1,010,868
================================================================================
26 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
8,670 Cooper Tire & Rubber Co. $ 287,584
20,092 Dana Holding Corp. 386,972
3,786 Dorman Products, Inc. 172,755
2,419 Federal-Mogul Corp., Class A(a) 24,698
2,169 Fuel Systems Solutions, Inc.(a) 38,803
19,685 Gentex Corp. 453,739
4,901 Gentherm, Inc.(a) 91,012
41,097 LKQ Corp.(a) 1,058,248
12,620 Lear Corp. 763,005
3,917 LoJack Corp.(a) 12,338
6,486 Modine Manufacturing Co.(a) 70,568
2,822 Motorcar Parts of America, Inc.(a) 25,878
2,934 Quantum Fuel Systems Technologies Worldwide, Inc.(a) 1,614
848 Shiloh Industries, Inc. 8,853
2,753 Standard Motor Products, Inc. 94,538
3,773 Stoneridge, Inc.(a) 43,918
500 Strattec Security Corp. 18,680
3,069 Superior Industries International, Inc. 52,817
14,855 TRW Automotive Holdings Corp.(a) 986,966
8,425 Tenneco, Inc.(a) 381,484
10,054 Tesla Motors, Inc.(a),(b) 1,080,101
7,502 Titan International, Inc. 126,559
7,139 U.S.Auto Parts Network, Inc.(a) 8,210
6,898 Visteon Corp.(a) 435,402
8,622 WABCO Holdings, Inc.(a) 643,977
------------
8,558,613
------------
BANKS - 5.0%
774 1st Source Corp. 18,390
5,499 1st United Bancorp, Inc. 36,953
864 Ameriana Bancorp 8,666
1,414 American National Bank Shares, Inc. 32,861
3,662 Ameris Bancorp(a) 61,705
1,492 Ames National Corp. 33,958
2,008 Arrow Financial Corp. 49,698
22,297 Associated Banc-Corp. 346,718
11,110 Astoria Financial Corp. 119,766
2,435 BCB Bancorp, Inc. 25,933
3,409 BOK Financial Corp. 218,346
770 Bancfirst Corp. 35,843
1,300 Bancorp of New Jersey, Inc. 18,824
5,262 The Bancorp, Inc.(a) 78,877
11,532 BancorpSouth, Inc. 204,116
6,240 Bank Mutual Corp. 35,194
6,025 Bank of Hawaii Corp. 303,178
1,025 Bank of Kentucky Financial Corp. 29,151
894 Bank of Marin Bancorp 35,760
4,166 Bank of the Ozarks, Inc. 180,513
3,481 BankFinancial Corp. 29,588
6,896 BankUnited, Inc. 179,365
2,488 Banner Corp. 84,070
965 Bar Harbor Bankshares 35,271
4,923 Beneficial Mutual Bancorp, Inc.(a) 41,353
1,442 Berkshire Bancorp, Inc. 11,464
3,574 Berkshire Hills Bancorp, Inc. 99,214
1,829 BofI Holding, Inc.(a) 83,805
11,287 Boston Private Financial Holdings, Inc. 120,094
1,651 Bridge Bancorp, Inc. 37,147
1,807 Bridge Capital Holdings(a) 28,659
10,126 Brookline Bancorp, Inc. 87,894
1,850 Bryn Mawr Bank Corp. 44,270
1,832 CFS Bancorp, Inc. 19,639
2,254 CNB Financial Corp. 38,183
11,902 CVB Financial Corp. 139,968
611 California First National Bancorp 10,082
2,821 Camco Financial Corp.(a) 9,253
1,176 Camden National Corp. 41,713
3,166 Cape Bancorp, Inc. 30,077
1,923 Capital City Bank Group, Inc.(a) 22,172
26,774 CapitalSource, Inc. 251,140
================================================================================
SCHEDULE OF INVESTMENTS | 27
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
18,512 Capitol Federal Financial, Inc. $ 224,736
4,490 Cardinal Financial Corp. 65,734
1,327 Cascade Bancorp(a) 8,241
10,115 Cathay General Bancorp 205,840
2,591 Center Bancorp, Inc. 32,880
4,441 Centerstate Banks, Inc. 38,548
4,174 Central Pacific Financial Corp.(a) 75,132
731 Century Bancorp, Inc., Class A 25,585
3,807 Chemical Financial Corp. 98,944
1,566 Chicopee Bancorp, Inc. 26,465
1,985 Citizens & Northern Corp. 38,350
2,249 City Holding Co. 87,599
6,510 City National Corp. 412,539
1,775 Clifton Savings Bancorp, Inc. 21,034
5,027 CoBiz Financial, Inc. 41,724
750 Colony Bankcorp, Inc.(a) 5,160
7,050 Columbia Banking System, Inc. 167,860
10,470 Commerce Bancshares, Inc. 456,073
5,483 Community Bank System, Inc. 169,151
2,061 Community Trust Bancorp, Inc. 73,413
1,696 CommunityOne Bancorp(a) 13,755
8,194 Cullen/Frost Bankers, Inc. 547,113
4,444 Dime Community Bancshares, Inc. 68,082
20,342 Doral Financial Corp.(a) 16,884
2,374 ESB Financial Corp. 28,797
2,145 ESSA Bancorp, Inc. 23,509
3,247 Eagle Bancorp, Inc.(a) 72,672
18,655 East-West Bancorp, Inc. 513,012
2,546 Eastern Virginia Bankshares, Inc.(a) 12,730
1,140 Enterprise Bancorp, Inc. 21,079
2,647 Enterprise Financial Services Corp. 42,246
19,655 FNB Corp. 237,432
1,302 Farmers Capital Bank Corp.(a) 28,240
1,875 Fidelity Southern Corp.(a) 23,194
1,950 Financial Institutions, Inc. 35,899
1,663 First Bancorp, Inc. 29,069
2,188 First Bancorp, North Carolina 30,851
9,648 First Bancorp, Puerto Rico(a) 68,308
10,122 First Busey Corp. 45,549
1,258 First Citizens Banc Corp. 8,881
667 First Citizens BancShares, Inc., Class A 128,097
13,545 First Commonwealth Financial Corp. 99,827
2,285 First Community Bancshares, Inc. 35,829
3,270 First Connecticut Bancorp, Inc. 45,518
1,426 First Defiance Financial Corp. 32,156
1,590 First Federal Bancshares of Arkansas, Inc.(a) 12,561
8,056 First Financial Bancorp 120,034
4,126 First Financial Bankshares, Inc. 229,653
1,608 First Financial Corp. 49,832
2,423 First Financial Holdings, Inc. 51,392
2,613 First Financial Northwest, Inc. 26,940
358 First Financial Service Corp.(a) 1,264
33,591 First Horizon National Corp. 376,219
2,703 First Interstate Bancsystem, Inc. 56,033
================================================================================
28 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,514 First M&F Corp. $ 23,936
4,045 First Merchants Corp. 69,372
10,479 First Midwest Bancorp, Inc. 143,772
48,624 First Niagara Financial Group, Inc. 489,644
1,390 The First of Long Island Corp. 46,134
2,030 First Pactrust Bancorp, Inc. 27,567
9,545 First Republic Bank 367,292
108 First Security Entitlement 145
2,291 First Security Group, Inc.(a),(b) 4,971
1,978 First South Bancorp, Inc.(a) 12,560
1,435 First United Corp.(a) 10,705
22,508 FirstMerit Corp. 450,835
2,769 Flagstar Bancorp, Inc.(a) 38,655
4,169 Flushing Financial Corp. 68,580
2,078 Fox Chase Bancorp, Inc. 35,326
2,505 Franklin Financial Corp. 45,115
25,997 Fulton Financial Corp. 298,446
1,987 German American Bancorp, Inc. 44,747
9,913 Glacier Bancorp, Inc. 219,969
1,408 Great Southern Bancorp, Inc. 37,960
3,393 Guaranty Bancorp 38,511
1,094 HMN Financial, Inc.(a) 7,778
6,003 Hampton Roads Bankshares, Inc.(a) 7,744
11,382 Hancock Holding Co. 342,257
4,695 Hanmi Financial Corp.(a) 82,961
1,195 Hawthorn Bancshares, Inc. 14,220
2,155 Heartland Financial USA, Inc. 59,241
3,604 Heritage Commerce Corp.(a) 25,228
2,255 Heritage Financial Corp. 33,036
1,539 Home Bancorp, Inc.(a) 28,471
6,446 Home Bancshares, Inc. 167,403
2,462 Home Federal Bancorp, Inc. 31,366
3,179 HomeTrust Bancshares, Inc.(a) 53,916
1,182 Horizon Bancorp 24,125
2,243 Hudson Valley Holding Corp. 38,086
3,981 IBERIABANK Corp. 213,421
3,109 Independent Bank Corp. 107,260
1,901 Independent Bank Corp./MI(a) 11,957
7,211 International Bancshares Corp. 162,824
2,799 Intervest Bancshares Corp.(a) 18,697
6,844 Investors Bancorp, Inc. 144,272
2,925 Kearny Financial Corp.(a) 30,683
4,827 Lakeland Bancorp, Inc. 50,346
2,321 Lakeland Financial Corp. 64,408
7,326 MB Financial, Inc. 196,337
4,034 Macatawa Bank Corp.(a) 20,331
2,922 MainSource Financial Group, Inc. 39,242
1,247 Mercantile Bank Corp. 22,409
955 Merchants Bancshares, Inc. 28,239
2,069 Metro Bancorp, Inc.(a) 41,442
1,426 Midsouth Bancorp, Inc. 22,146
1,321 MidwestOne Financial Group, Inc. 31,783
1,313 MutualFirst Financial, Inc. 18,513
717 NASB Financial, Inc.(a) 18,764
5,949 NBT Bancorp, Inc. 125,940
1,269 National Bankshares, Inc. 45,088
16,038 National Penn Bancshares, Inc. 162,946
60,329 New York Community Bancorp, Inc. 844,606
4,068 Newbridge Bancorp(a) 24,367
1,321 North Valley Bancorp(a) 21,863
3,265 Northfield Bancorp, Inc. 38,266
1,133 Northrim BanCorp, Inc. 27,407
12,760 Northwest Bancshares, Inc. 172,388
================================================================================
SCHEDULE OF INVESTMENTS | 29
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
859 Norwood Financial Corp. $ 24,911
6,419 OFG Bancorp 116,248
2,845 OceanFirst Financial Corp. 44,240
934 Ohio Valley Banc Corp. 20,156
13,732 Old National Bancorp 189,914
2,542 Old Second Bancorp, Inc.(a) 14,032
2,074 OmniAmerican Bancorp, Inc.(a) 45,690
5,892 Oritani Financial Corp. 92,387
1,792 Orrstown Financial Service, Inc.(a) 22,723
4,727 PVF Capital Corp.(a) 18,908
2,847 Pacific Continental Corp. 33,595
5,451 PacWest Bancorp 167,073
1,722 Park National Corp. 118,456
8,006 Park Sterling Corp.(a) 47,315
1,408 Peapack-Gladstone Financial Corp. 24,640
966 Penns Woods Bancorp, Inc. 40,437
1,155 Peoples Bancorp of North Carolina, Inc. 14,472
1,544 Peoples Bancorp, Inc. 32,548
1,245 Peoples Financial Corp. 16,098
4,638 Pinnacle Financial Partners, Inc.(a) 119,243
14,001 Popular, Inc.(a) 424,650
1,044 Porter Bancorp, Inc.(a) 887
2,017 Preferred Bank(a) 33,240
8,797 PrivateBancorp, Inc. 186,584
6,275 Prosperity Bancshares, Inc. 324,982
1,564 Provident Financial Holdings, Inc. 24,836
7,278 Provident Financial Services, Inc. 114,847
5,827 Provident New York Bancorp 54,424
2,347 Pulaski Financial Corp. 22,414
3,535 Renasant Corp. 86,042
1,556 Republic Bancorp, Inc., Class A 34,108
4,534 Republic First Bancorp, Inc.(a) 12,922
5,241 Riverview Bancorp, Inc.(a) 13,155
4,307 Rockville Financial, Inc. 56,336
1,676 Roma Financial Corp. 30,436
1,265 Royal Bancshares of Pennsylvania, Class A(a) 1,796
3,973 S&T Bancorp, Inc. 77,871
2,359 SCBT Financial Corp. 118,870
6,234 SVB Financial Group(a) 519,417
2,038 SY Bancorp, Inc. 49,992
3,692 Sandy Spring Bancorp, Inc. 79,821
13,010 Seacoast Banking Corp.of Florida(a) 28,622
1,363 Shore Bancshares, Inc.(a) 10,032
1,748 Sierra Bancorp 25,870
6,633 Signature Bank(a),(b) 550,672
2,274 Simmons First National Corp., Class A 59,329
2,491 Southside Bancshares, Inc. 59,485
2,919 Southwest Bancorp, Inc.(a) 38,531
5,211 State Bank Financial Corp. 78,321
3,117 StellarOne Corp. 61,249
4,510 Sterling Bancorp 52,406
3,863 Sterling Financial Corp. 91,862
1,913 Suffolk Bancorp(a) 31,258
785 Summit Financial Group, Inc.(a) 6,311
7,290 Sun Bancorp, Inc.(a) 24,713
24,908 Susquehanna Bancshares, Inc. 320,068
107,161 Synovus Financial Corp. 312,910
22,400 TCF Financial Corp. 317,632
11,430 TFS Financial Corp.(a) 128,016
2,289 Taylor Capital Group, Inc.(a) 38,661
2,324 Territorial Bancorp, Inc. 52,546
5,729 Texas Capital Bancshares, Inc.(a) 254,138
================================================================================
30 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,650 Tompkins Trustco, Inc. $ 74,563
4,373 Towne Bank 64,371
1,982 Trico Bancshares 42,276
12,856 TrustCo Bank Corp.NY 69,937
8,834 Trustmark Corp. 217,140
4,249 UMB Financial Corp. 236,542
15,067 Umpqua Holdings Corp. 226,156
2,830 Union First Market Bankshares Corp. 58,270
1,857 United Bancorp, Inc. 13,185
5,963 United Bankshares, Inc. 157,721
6,607 United Community Banks, Inc.(a) 82,059
5,534 United Community Financial Corp.(a) 25,733
2,897 United Financial Bancorp, Inc. 43,890
3,600 United Security Bancshares(a) 15,264
2,482 Univest Corp.of Pennsylvania 47,332
26,753 Valley National Bancorp 253,351
5,555 ViewPoint Financial Group, Inc. 115,600
4,176 Virginia Commerce Bancorp, Inc.(a) 58,297
1,149 WSFS Financial Corp. 60,196
2,825 Washington Banking Co. 40,115
13,728 Washington Federal, Inc. 259,185
2,042 Washington Trust Bancorp, Inc. 58,238
1,813 Waterstone Financial, Inc.(a) 18,420
12,344 Webster Financial Corp. 316,994
3,742 WesBanco, Inc. 98,901
2,837 West Bancorp., Inc. 33,335
3,644 Westamerica Bancorp 166,494
10,473 Western Alliance Bancorp(a) 165,788
4,229 Westfield Financial, Inc. 29,603
9,383 Wilshire Bancorp, Inc. 62,115
5,035 Wintrust Financial Corp. 192,740
2,300 Yadkin Financial Corp.(a) 32,292
------------
24,172,006
------------
BEVERAGES - 0.1%
1,146 The Boston Beer Co., Inc., Class A(a) 195,553
705 Coca-Cola Bottling Co. Consolidated 43,111
1,511 Craft Brew Alliance, Inc.(a) 12,451
2,541 Jamba, Inc.(a) 37,937
1,965 National Beverage Corp. 34,329
5,693 Primo Water Corp.(a) 10,361
971 Willamette Valley Vineyards, Inc.(a) 4,340
------------
338,082
------------
CHEMICALS - 2.4%
3,979 A.Schulman, Inc. 106,717
3,697 Aceto Corp. 51,499
11,999 Albemarle Corp. 747,418
3,434 American Vanguard Corp. 80,459
10,081 Ashland, Inc. 841,763
9,657 Axiall Corp. 411,195
4,238 Balchem Corp. 189,650
8,045 Cabot Corp. 301,044
7,694 Calgon Carbon Corp.(a) 128,336
4,691 Cambrex Corp.(a) 65,533
21,841 Celanese Corp., Series A 978,477
1,295 Chase Corp. 28,956
13,452 Chemtura Corp.(a) 273,076
4,978 Codexis, Inc.(a) 11,001
5,750 Cytec Industries, Inc. 421,187
12,030 Ferro Corp.(a) 83,609
2,495 FutureFuel Corp. 35,354
6,784 H.B.Fuller Co. 256,503
1,371 Hawkins, Inc. 54,004
26,395 Huntsman Corp. 437,101
2,976 Innophos Holdings, Inc. 140,378
7,289 Intrepid Potash, Inc. 138,855
1,340 KMG Chemicals, Inc. 28,274
2,838 Koppers Holdings, Inc. 108,355
4,660 Kraton Performance Polymers, Inc.(a) 98,792
2,763 Kronos Worldwide, Inc. 44,871
================================================================================
SCHEDULE OF INVESTMENTS | 31
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
2,711 LSB Industries, Inc.(a) $ 82,442
4,583 Metabolix, Inc.(a) 6,508
4,784 Minerals Technologies, Inc. 197,771
962 NL Industries, Inc. 10,871
1,468 NewMarket Corp. 385,438
4,425 OM Group, Inc.(a) 136,821
6,833 Omnova Solutions, Inc.(a) 54,732
10,945 Olin Corp. 261,804
2,070 Penford Corp.(a) 27,717
13,631 PolyOne Corp. 337,776
6,511 Polypore International, Inc.(a) 262,393
1,833 Quaker Chemical Corp. 113,664
18,084 RPM International, Inc. 577,603
30,656 Rentech, Inc. 64,378
10,713 Rockwood Holdings, Inc. 685,953
7,787 Senomyx, Inc.(a) 16,976
6,869 Sensient Technologies Corp. 277,988
2,393 Stepan Co. 133,075
651 TOR Minerals International, Inc.(a) 7,168
3,356 Tredegar Corp. 86,249
2,912 Tronox Ltd., Class A 58,677
2,609 Valhi, Inc. 35,848
11,182 The Valspar Corp. 723,140
9,830 W.R.Grace & Co.(a) 826,113
2,765 Westlake Chemical Corp. 266,574
3,931 Zagg, Inc.(a) 21,031
3,240 Zep, Inc. 51,289
4,026 Zoltek Cos., Inc.(a) 51,976
------------
11,824,382
------------
CONSTRUCTION & MATERIALS - 2.5%
10,599 A.O.Smith Corp. 384,532
2,619 Aaon, Inc. 86,636
14,135 AECOM Technology Corp.(a) 449,352
5,858 Acuity Brands, Inc. 442,396
5,508 Aegion Corp.(a) 123,985
2,678 Ameresco, Inc., Class A(a) 24,129
7,238 American DG Energy, Inc.(a) 9,482
1,517 American Woodmark Corp.(a) 52,640
3,942 Apogee Enterprises, Inc. 94,608
1,576 Argan, Inc. 24,586
2,857 Armstrong World Industries, Inc.(a) 136,536
102 Baran Group Ltd.(a) 408
6,331 BlueLinx Holdings, Inc.(a) 13,612
8,159 Builders FirstSource, Inc.(a) 48,791
14,724 Chicago Bridge & Iron Co.NV 878,434
9,063 EMCOR Group, Inc. 368,411
6,533 Eagle Materials, Inc. 432,942
22,877 Fortune Brands Home & Security, Inc. 886,255
13,696 Foster Wheeler AG(a) 297,340
7,242 Generac Holdings, Inc. 268,026
4,188 Gibraltar Industries, Inc.(a) 60,977
4,840 Granite Construction, Inc. 144,038
7,794 Great Lakes Dredge & Dock Corp. 60,949
6,030 Griffon Corp. 67,837
10,938 Headwaters, Inc.(a) 96,692
3,739 Hill International, Inc.(a) 10,245
2,430 Insteel Industries, Inc. 42,574
2,175 Integrated Electrical Services, Inc.(a) 9,679
20,208 KBR, Inc. 656,760
1,447 L.B.Foster Co., Class A 62,467
2,780 Layne Christensen Co.(a) 54,238
6,241 Lennox International, Inc. 402,794
19,354 Louisiana-Pacific Corp.(a) 286,246
25,727 MDU Resources Group, Inc. 666,587
2,944 MYR Group, Inc.(a) 57,261
6,317 Martin Marietta Materials, Inc. 621,719
8,026 Mastec, Inc.(a),(b) 264,055
21,903 Mueller Water Products, Inc., Series A 151,350
================================================================================
32 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
3,145 NCI Building Systems, Inc.(a) $ 48,087
2,331 Nortek, Inc.(a) 150,186
1,512 Northwest Pipe Co.(a) 42,185
642 Omega Flex, Inc. 9,546
4,065 Orion Marine Group, Inc.(a) 49,146
16,343 Owens Corning, Inc.(a) 638,684
4,952 PGT, Inc.(a) 42,934
4,270 Pike Electric Corp. 52,521
4,266 Primoris Services Corp. 84,125
5,035 Quanex Building Products Corp. 84,789
5,491 Simpson Manufacturing Co., Inc. 161,545
2,322 Sterling Construction Co., Inc.(a) 21,037
2,546 TRC Cos., Inc.(a) 17,822
2,962 Texas Industries, Inc.(a) 192,945
2,677 Thermon Group Holdings, Inc.(a) 54,611
2,178 Trex Co., Inc.(a) 103,433
4,955 Tutor Perini Corp.(a) 89,636
12,215 USG Corp.(a) 281,556
2,703 Universal Forest Products, Inc. 107,904
3,243 Valmont Industries, Inc. 464,041
4,066 Watsco, Inc. 341,381
3,790 Watts Water Technologies, Inc., Class A 171,839
------------
11,949,522
------------
ELECTRICITY - 1.7%
4,870 Allete, Inc. 242,769
15,118 Alliant Energy Corp. 762,250
6,145 Black Hills Corp. 299,569
52,699 Calpine Corp.(a) 1,118,800
8,193 Cleco Corp. 380,401
17,895 Covanta Holding Corp. 358,258
13,662 Dynegy, Inc.(a) 308,078
5,609 El Paso Electric Co. 198,054
5,991 The Empire District Electric Co. 133,659
21,034 Great Plains Energy, Inc. 474,106
13,334 Hawaiian Electric Industries, Inc. 337,484
6,741 IDACORP, Inc. 321,950
7,277 ITC Holdings Corp. 664,390
3,179 MGE Energy, Inc. 174,082
32,493 NV Energy, Inc. 762,286
5,203 NorthWestern Corp. 207,600
2,618 Ormat Technologies, Inc. 61,575
10,229 Portland General Electric Co. 312,905
23,727 U.S.Geothermal, Inc.(a) 8,304
7,063 UIL Holdings Corp. 270,160
5,726 UNS Energy Corp. 256,124
2,404 Unitil Corp. 69,427
17,382 Westar Energy, Inc. 555,529
------------
8,277,760
------------
ELECTRONIC & ELECTRICAL EQUIPMENT - 3.0%
33,393 AMETEK, Inc. 1,412,524
6,910 API Technologies Corp.(a) 19,348
6,028 AVX Corp. 70,829
3,560 AZZ, Inc. 137,274
3,371 Active Power, Inc.(a) 14,091
2,758 Adept Technology, Inc.(a) 10,729
3,277 Aeroflex Holding Corp.(a) 25,856
1,204 Allied Motion Technologies, Inc. 8,127
2,353 Altair Nanotechnologies, Inc.(a) 5,224
1,163 American Science & Engineering, Inc. 65,128
7,093 American Superconductor Corp.(a) 18,726
1,930 Anaren, Inc.(a) 44,274
3,685 Anixter International, Inc.(a) 279,360
14,246 Arrow Electronics, Inc.(a),(b) 567,703
18,633 Avnet, Inc.(a) 626,069
2,072 Badger Meter, Inc. 92,308
2,537 Ballantyne Strong, Inc.(a) 10,706
1,916 Bel Fuse, Inc. 25,770
6,128 Belden, Inc. 305,971
================================================================================
SCHEDULE OF INVESTMENTS | 33
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
7,550 Benchmark Electronics, Inc.(a) $ 151,755
6,198 Brady Corp. 190,465
4,722 CTS Corp. 64,408
46,415 Capstone Turbine Corp.(a) 54,306
5,924 Checkpoint Systems, Inc.(a) 84,062
5,572 Cognex Corp. 251,966
3,415 Coherent, Inc. 188,064
1,384 Coleman Cable, Inc. 24,995
1,821 Cyberoptics Corp.(a) 10,580
5,380 Daktronics, Inc. 55,199
3,667 ESCO Technologies, Inc. 118,737
6,355 Echelon Corp.(a) 13,409
2,868 Electro Rent Corp. 48,154
4,035 Electro Scientific Industries, Inc. 43,417
2,613 Encore Wire Corp. 89,103
3,773 eMagin Corp. 13,432
3,738 EnerNOC, Inc.(a) 49,566
6,610 EnerSys 324,154
2,448 Faro Technologies, Inc.(a) 82,791
5,376 FEI Co. 392,394
4,090 Fabrinet(a) 57,260
6,757 General Cable Corp. 207,778
17,195 GrafTech International Ltd.(a) 125,180
3,390 Greatbatch, Inc.(a),(b) 111,158
2,488 Houston Wire & Cable Co. 34,434
7,264 Hubbell, Inc., Class B 719,136
7,544 II-VI, Inc.(a) 122,665
4,052 IPG Photonics Corp. 246,078
4,370 Intevac, Inc.(a) 24,734
1,324 IntriCon Corp.(a) 4,647
5,466 Itron, Inc.(a),(b) 231,922
6,464 Kemet Corp.(a) 26,567
3,032 LSI Industries, Inc. 24,529
1,485 Landauer, Inc. 71,740
3,924 Lightpath Technologies, Inc., Class A(a) 4,866
3,916 Lime Energy Co.(a) 2,585
3,064 Littelfuse, Inc. 228,605
2,263 MTS Systems Corp. 128,086
661 Magnetek, Inc.(a) 11,918
4,773 Maxwell Technologies, Inc.(a) 34,127
2,224 Measurement Specialties, Inc.(a) 103,483
5,028 Methode Electronics, Inc. 85,526
4,185 Mettler-Toledo International, Inc.(a) 842,022
4,267 Microvision, Inc.(a) 10,753
1,332 Multi-Fineline Electronix, Inc.(a) 19,727
3,170 Napco Security Technologies, Inc.(a) 15,153
900 NVE Corp.(a) 42,138
13,095 National Instruments Corp. 365,874
5,780 Newport Corp.(a) 80,515
2,640 OSI Systems, Inc.(a) 170,069
2,807 Orion Energy Systems, Inc.(a) 6,961
1,036 Parametric Sound Corp.(a) 16,835
2,847 Park Electrochemical Corp. 68,356
5,103 Planar Systems, Inc.(a) 8,318
4,768 Plexus Corp.(a) 142,516
1,300 Powell Industries, Inc.(a) 67,145
17,303 Power-One, Inc.(a) 109,355
1,702 Pulse Electronics Corp.(a) 4,459
6,153 Regal-Beloit Corp. 398,960
4,006 Research Frontiers, Inc.(a) 15,944
1,792 Richardson Electronics Ltd. 21,038
4,010 Rofin-Sinar Technologies, Inc.(a) 100,009
2,417 Rogers Corp.(a),(b) 114,372
2,823 Rubicon Technology, Inc.(a),(b) 22,612
750 SL Industries, Inc. 18,810
11,440 Sanmina Corp.(a) 164,164
17,666 Sensata Technologies Holding NV(a) 616,543
================================================================================
34 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
400 Servotronics, Inc. $ 3,120
1,200 Sigmatron International, Inc.(a) 5,088
1,261 Superconductor Technologies, Inc.(a),(b) 3,972
7,050 Synthesis Energy Systems, Inc.(a) 5,478
7,681 TTM Technologies, Inc.(a) 64,520
35,322 Trimble Navigation Ltd.(a) 918,725
8,673 UQM Technologies, Inc.(a) 10,408
2,116 Ultralife Batteries, Inc.(a) 7,533
5,774 Universal Display Corp.(a) 162,307
5,451 Veeco Instruments, Inc.(a) 193,074
729 Viasystems Group, Inc.(a) 8,405
3,482 Vicor Corp.(a) 23,852
18,252 Vishay Intertechnology, Inc.(a) 253,520
2,195 Vishay Precision Group, Inc.(a) 33,232
6,099 WESCO International, Inc.(a) 414,488
7,066 Zebra Technologies Corp., Class A(a) 306,947
2,895 Zygo Corp.(a) 45,770
------------
14,501,085
------------
FINANCIAL SERVICES - 3.0%
7,286 Affiliated Managers Group, Inc.(a) 1,194,467
2,025 Altisource Portfolio Solutions SA(a) 190,512
1,806 Asta Funding, Inc. 15,622
1,465 Atlanticus Holdings Corp.(a) 5,245
11,221 BBCN Bancorp, Inc. 159,563
15,699 BGC Partners, Inc. 92,467
12,150 CBOE Holdings, Inc. 566,676
949 CIFC Corp.(a) 7,165
27,641 CIT Group, Inc.(a) 1,288,900
2,844 Calamos Asset Management, Inc., Class A 29,862
3,956 Cash America International, Inc. 179,840
2,560 Cohen & Steers, Inc. 86,989
12,323 Cowen Group, Inc., Class A(a) 35,737
1,586 Credit Acceptance Corp.(a) 166,609
6,027 DFC Global Corp.(a) 83,233
461 Diamond Hill Investments Group, Inc. 39,208
16,817 Eaton Vance Corp. 632,151
3,295 Encore Capital Group, Inc.(a) 109,097
4,130 Evercore Partners, Inc., Class A 162,226
6,622 Ezcorp, Inc.(a) 111,779
1,539 FBR & Co.(a) 38,875
4,289 FXCM, Inc. 70,382
1,639 Federal Agricultural Mortgage Corp., Class B 47,334
13,134 Federated Investors, Inc., Class B 360,003
29,500 Fidelity National Financial, Inc., Class A 702,395
6,021 Financial Engines, Inc. 274,497
3,808 First Cash Financial Services, Inc.(a) 187,392
12,084 The First Marblehead Corp.(a) 14,259
597 GAMCO Investors, Inc., Class A 33,080
9,674 GFI Group, Inc. 37,825
832 Gleacher & Co., Inc.(a) 11,548
3,156 Green Dot Corp., Class A(a) 62,962
3,730 Greenhill & Co., Inc. 170,610
8,838 ING US, Inc.(a) 239,156
2,189 International FCStone, Inc.(a),(b) 38,198
3,012 Imperial Holdings, Inc.(a) 20,632
1,108 Institutional Financial Market, Inc. 2,836
5,243 Interactive Brokers Group, Inc., Class A 83,731
1,474 Intersections, Inc. 12,927
================================================================================
SCHEDULE OF INVESTMENTS | 35
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
5,421 Investment Technology Group, Inc.(a) $ 75,786
3,059 JMP Group, Inc. 20,312
26,252 Janus Capital Group, Inc. 223,405
40,948 Knight Capital Group, Inc., Class A(a) 147,003
5,012 LPL Financial Holdings Inc. 189,253
17,312 Ladenburg Thalmann Financial Services, Inc.(a) 28,565
47,396 MGIC Investment Corp.(a),(b) 287,694
16,695 MSCI, Inc.(a) 555,443
5,259 MarketAxess Holdings, Inc. 245,858
1,403 Marlin Business Services, Inc. 31,960
3,050 Medallion Financial Corp. 42,426
1,948 MicroFinancial, Inc. 15,292
3,239 MoneyGram International, Inc.(a) 73,363
5,649 National Financial Partners Corp.(a) 142,976
3,485 Nelnet, Inc., Class A 125,774
4,713 Netspend Holdings, Inc.(a) 75,267
2,808 NewStar Financial, Inc.(a) 37,403
16,204 Ocwen Financial Corp.(a) 667,929
1,335 Oppenheimer Holdings, Inc. 25,418
3,596 Pico Holdings, Inc.(a) 75,372
2,363 Piper Jaffray Cos.(a) 74,694
2,357 Portfolio Recovery Associates, Inc.(a) 362,106
3,410 Pzena Investment Management, Inc., Class A 22,233
24,218 Radian Group, Inc. 281,413
15,457 Raymond James Financial, Inc. 664,342
2,541 Resource America, Inc., Class A 21,599
18,467 SEI Investments Co. 525,017
4,290 SWS Group, Inc.(a) 23,381
3,377 Safeguard Scientifics, Inc.(a) 54,201
2,984 Stewart Information Services Corp. 78,151
8,175 Stifel Financial Corp.(a) 291,602
31,531 TD Ameritrade Holding Corp. 765,888
1,018 Tree.com, Inc. 17,449
3,252 U.S.Global Investors, Inc. 6,862
832 Virtus Investment Partners, Inc.(a) 146,657
11,899 Waddell & Reed Financial, Inc., Class A 517,606
2,828 Walker & Dunlop, Inc.(a) 49,490
1,172 Westwood Holdings Group, Inc. 50,302
8,986 WisdomTree Investments, Inc.(a) 103,968
1,761 World Acceptance Corp.(a) 153,101
------------
14,862,551
------------
FIXED LINE TELECOMMUNICATIONS - 0.4%
10,044 8x8, Inc.(a) 82,763
7,188 Alaska Communications Systems Group, Inc. 12,076
1,672 Alteva 16,519
4,242 Cbeyond, Inc.(a) 33,257
30,310 Cincinnati Bell, Inc.(a) 92,749
5,116 Consolidated Communications Holdings, Inc. 89,070
3,983 Fairpoint Communications, Inc.(a) 33,258
4,596 General Communication, Inc., Class A(a) 35,987
971 Hawaiian Telcom HoldCo, Inc.(a) 24,430
1,959 HickoryTech Corp. 20,824
2,232 IDT Corp., Class B 41,716
7,427 inContact, Inc.(a) 61,050
22,607 Level 3 Communications, Inc.(a) 476,555
================================================================================
36 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
2,429 Lumos Networks Corp. $ 41,536
2,076 Primus Telecommunications Group, Inc.(a) 24,787
20,677 TW Telecom, Inc.(a) 581,851
19,630 Vonage Holdings Corp.(a) 55,553
------------
1,723,981
------------
FOOD & DRUG RETAILERS - 0.7%
261 Arden Group, Inc., Class A 28,812
5,289 Casey's General Stores, Inc. 318,186
2,062 The Chefs'Warehouse, Inc.(a) 35,466
1,563 Core-Mark Holdings Co., Inc. 99,251
5,830 The Fresh Market, Inc.(a) 289,868
10,089 GNC Holdings, Inc., Class A 446,035
6,799 Harris Teeter Supermarkets 318,601
1,922 Ingles Markets, Inc., Class A 48,531
1,895 Nash Finch Co. 41,709
14,262 Omnicare, Inc. 680,440
3,370 The Pantry, Inc.(a) 41,047
3,197 PetMed Express, Inc. 40,282
99,529 Rite Aid Corp.(a) 284,653
28,165 SUPERVALU, Inc. 175,186
2,921 Spartan Stores, Inc. 53,863
6,859 United Natural Foods, Inc.(a) 370,317
938 Village Super Market, Inc., Class A 31,038
4,238 Vitamin Shoppe, Inc.(a),(b) 190,032
1,453 Weis Markets, Inc. 65,487
------------
3,558,804
------------
FOOD PRODUCERS - 1.4%
20,357 Dean Foods Co.(a) 203,977
4,100 HQ Sustainable Maritime Industries, Inc.(a),(b) -
567 Alico, Inc. 22,742
2,352 The Andersons, Inc. 125,103
7,455 B&G Foods, Inc., Class A 253,843
8,862 Boulder Brands, Inc.(a) 106,787
19,939 Bunge Ltd. 1,411,083
1,965 Cal-Maine Foods, Inc. 91,392
1,988 Calavo Growers, Inc. 54,054
6,819 Chiquita Brands International, Inc.(a) 74,464
1,919 Coffee Holding Co., Inc.(b) 11,533
16,561 Darling International, Inc.(a) 309,028
5,759 Dean Foods Co.(a) 57,705
3,242 Diamond Foods, Inc.(a),(b) 67,272
5,182 Dole Food Co., Inc.(a) 66,071
1,455 Farmer Bros.Co.(a) 20,457
23,897 Flowers Foods, Inc. 526,918
4,938 Fresh Del Monte Produce, Inc. 137,671
941 Golden Enterprises, Inc. 3,294
685 Griffin Land & Nurseries, Inc. 19,536
1,316 Harbinger Group, Inc.(a) 9,923
14,213 Herbalife Ltd.(b) 641,575
16,982 Hillshire Brands Co. 561,765
2,103 J&J Snack Foods Corp. 163,613
1,452 John B.Sanfilippo & Son, Inc. 29,272
2,660 Lancaster Colony Corp. 207,453
1,580 Lifeway Foods, Inc. 27,429
1,842 Limoneira Co. 38,185
1,343 MGP Ingredients, Inc. 8,004
675 Mannatech, Inc.(a) 7,418
2,006 Medifast, Inc.(a) 51,675
1,344 Natures Sunshine Products, Inc. 21,974
1,621 Nutraceutical International Corp. 33,133
4,283 NutriSystem, Inc. 50,454
3,272 Omega Protein Corp.(a) 29,383
3,077 Overhill Farms, Inc.(a) 15,231
8,213 Pilgrims Pride Corp.(a) 122,702
1,819 Reliv International, Inc. 2,328
1,746 Rocky Mountain Chocolate Factory, Inc. 21,109
================================================================================
SCHEDULE OF INVESTMENTS | 37
================================================================================
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SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
40 Seaboard Corp. $ 108,320
1,208 Seneca Foods Corp.(a) 37,061
17,269 Smithfield Foods, Inc.(a) 565,560
6,766 Snyders-Lance, Inc. 192,222
2,931 Tootsie Roll Industries, Inc. 93,147
5,081 TreeHouse Foods, Inc.(a) 333,009
955 USANA Health Sciences, Inc.(a) 69,123
------------
7,003,998
------------
FOOD PRODUCTS - 0.7%
17,105 Green Mountain Coffee Roasters, Inc.(a) 1,283,901
6,569 The Hain Celestial Group, Inc.(a) 426,788
10,659 Ingredion, Inc. 699,444
4,622 Pinnacle Foods, Inc. 111,621
4,693 Post Holdings, Inc.(a) 204,896
2,835 Sanderson Farms, Inc. 188,301
19,576 WhiteWave Foods Co.(a) 318,110
------------
3,233,061
------------
FORESTRY & PAPER - 0.3%
12,631 Boise, Inc. 107,869
5,397 Buckeye Technologies, Inc. 199,905
3,178 Clearwater Paper Corp.(a) 149,557
1,630 Deltic Timber Corp. 94,247
4,598 Domtar Corp. 305,767
5,513 Kapstone Paper and Packaging Corp. 221,512
2,269 Neenah Paper, Inc. 72,086
5,923 P.H.Glatfelter Co. 148,667
12,754 Resolute Forest Products(a) 167,970
3,704 Verso Paper Corp.(a) 4,260
6,786 Wausau Paper Corp. 77,360
------------
1,549,200
------------
GAS, WATER & MULTI-UTILITIES - 1.5%
2,791 American States Water Co. 149,793
24,137 American Water Works Co., Inc. 995,169
19,411 Aqua America, Inc. 607,370
1,718 Artesian Resources Corp., Class A 38,277
12,271 Atmos Energy Corp. 503,847
8,115 Avista Corp. 219,267
3,265 Cadiz, Inc.(a) 15,019
6,793 California Water Service Group 132,531
1,478 Chesapeake Utilities Corp. 76,102
1,876 Connecticut Water Service, Inc. 53,841
1,407 Delta Natural Gas Co., Inc. 29,899
3,190 Gas Natural, Inc. 32,857
2,609 Genie Energy Ltd. 23,872
4,306 The Laclede Group, Inc. 196,612
2,648 Middlesex Water Co. 52,748
11,470 National Fuel Gas Co. 664,687
5,556 New Jersey Resources Corp. 230,741
3,615 Northwest Natural Gas Co. 153,565
10,683 PNM Resources, Inc. 237,056
10,108 Piedmont Natural Gas Co. 341,044
24,047 Questar Corp. 573,521
1,691 RGC Resources, Inc. 34,260
2,035 SJW Corp. 53,317
4,412 South Jersey Industries, Inc. 253,293
6,136 Southwest Gas Corp. 287,104
15,584 UGI Corp. 609,490
11,283 Vectren Corp. 381,704
6,828 WGL Holdings, Inc. 295,106
------------
7,242,092
------------
GENERAL INDUSTRIALS - 1.3%
653 AEP Industries, Inc.(a) 48,577
10,098 Actuant Corp., Class A 332,931
9,018 AptarGroup, Inc. 497,884
8,078 Berry Plastics Group, Inc.(a) 178,282
8,677 Carlisle Cos., Inc. 540,664
19,902 Crown Holdings, Inc.(a) 818,569
================================================================================
38 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
26,053 Graphic Packaging Holding Co.(a) $ 201,650
4,118 Greif, Inc. 216,895
11,012 Harsco Corp. 255,368
3,788 Landec Corp.(a) 50,040
1,894 Multi-Color Corp. 57,464
4,177 Myers Industries, Inc. 62,697
4,933 Otter Tail Corp. 140,097
13,568 Packaging Corp.of America 664,289
5,087 Raven Industries, Inc. 152,508
3,697 Rexnord Corp.(a) 62,294
9,913 Rock-Tenn Co., Class A 990,110
6,216 Silgan Holdings, Inc. 291,903
13,815 Sonoco Products Co. 477,585
4,599 Trimas Corp.(a) 171,451
1,156 UFP Technologies, Inc.(a) 22,635
------------
6,233,893
------------
GENERAL RETAILERS - 4.8%
4,231 1-800-FLOWERS.COM, Inc., Class A(a) 26,190
974 Amerco, Inc. 157,691
6,623 ANN, Inc.(a) 219,884
9,646 Aaron's, Inc. 270,184
10,095 Advance Auto Parts, Inc.(c) 819,411
1,187 America's Car-Mart, Inc.(a) 51,326
24,255 American Eagle Outfitters, Inc. 442,896
2,678 American Public Education, Inc.(a) 99,514
13,752 Apollo Group, Inc., Class A (a) 243,685
4,324 Asbury Automotive Group, Inc.(a) 173,392
17,476 Ascena Retail Group, Inc.(a) 304,956
2,429 Autobytel, Inc.(a) 11,586
11,021 Aeropostale, Inc.(a) 152,090
5,274 Barnes & Noble, Inc.(a) 84,173
6,797 Beacon Roofing Supply, Inc.(a),(b) 257,470
4,568 bebe Stores, Inc. 25,626
2,515 Big 5 Sporting Goods Corp. 55,204
8,061 Big Lots, Inc.(a),(c) 254,163
1,835 Blue Nile, Inc.(a) 69,326
2,281 Body Central Corp.(a) 30,383
1,646 The Bon-Ton Stores, Inc. 29,710
1,081 Books-A-Million, Inc.(a) 2,832
2,682 Bridgepoint Education, Inc.(a) 32,667
2,664 Bright Horizons Family Solutions, Inc.(a) 92,467
5,601 Brown Shoe Co., Inc. 120,590
3,732 The Buckle, Inc. 194,139
2,088 Build-A-Bear Workshop, Inc.(a) 12,674
8,296 CST Brands, Inc.(a) 255,600
6,399 Cabela's, Inc., Class A(a) 414,399
2,506 Cache, Inc.(a) 11,152
2,677 Cambium Learning Group, Inc.(a) 3,319
1,617 Capella Education Co.(a) 67,348
6,705 Career Education Corp.(a) 19,444
2,363 Carriage Services, Inc. 40,053
3,747 The Cato Corp., Class A 93,525
2,612 Chemed Corp. 189,187
22,231 Chico's FAS, Inc. 379,261
3,109 The Children's Place Retail Stores, Inc.(a) 170,373
5,655 Christopher & Banks Corp.(a) 38,115
2,119 Citi Trends, Inc.(a) 30,789
10,199 Clean Energy Fuels Corp.(a),(b) 134,627
3,383 Coldwater Creek, Inc.(a) 8,457
1,348 Collectors Universe, Inc. 17,861
3,228 Conn's, Inc.(a) 167,081
14,844 Copart, Inc.(a) 457,195
10,420 Corinthian Colleges, Inc.(a) 23,341
4,455 DSW, Inc., Class A 327,309
5,289 dELiA*s, Inc.(a) 5,236
1,709 Destination Maternity Corp. 42,041
================================================================================
SCHEDULE OF INVESTMENTS | 39
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
6,123 Destination XL Group, Inc.(a) $ 38,820
13,778 Dick's Sporting Goods, Inc. 689,727
4,280 Dillard's, Inc., Class A 350,832
2,632 Education Management Corp.(a) 14,792
11,870 Express, Inc.(a) 248,914
6,737 The Finish Line, Inc., Class A 147,271
20,602 Foot Locker, Inc. 723,748
6,242 Francesca's Holdings Corp.(a) 173,465
4,500 Fred's, Inc., Class A 69,705
2,206 Gaiam, Inc.(a) 9,839
1,139 Geeknet, Inc.(a) 15,787
3,315 Genesco, Inc.(a) 222,072
6,073 Grand Canyon Education, Inc.(a) 195,733
2,990 Group 1 Automotive, Inc. 192,347
8,306 Guess?, Inc. 257,735
4,872 HSN, Inc. 261,724
2,852 Haverty Furniture Cos., Inc. 65,625
2,116 hhgregg, Inc.(a) 33,793
3,663 Hibbett Sports, Inc.(a) 203,296
8,609 Hillenbrand, Inc. 204,119
12,102 ITT Corp. 355,920
2,289 ITT Educational Services, Inc.(a) 55,852
3,909 Jos.A.Bank Clothiers, Inc.(a) 161,520
10,354 KAR Auction Services, Inc. 236,796
5,274 K12, Inc.(a) 138,548
2,288 Kirkland's, Inc.(a) 39,468
1,011 Learning Tree International, Inc.(a) 3,084
3,521 Liquidity Services, Inc.(a),(b) 122,073
2,929 Lithia Motors, Inc., Class A 156,145
3,867 Lumber Liquidators Holdings, Inc.(a) 301,123
1,649 Mac-Gray Corp. 23,416
3,501 MarineMax, Inc.(a) 39,666
3,837 Matthews International Corp., Class A 144,655
6,438 The Men's Wearhouse, Inc. 243,678
4,104 Monro Muffler Brake, Inc. 197,197
5,821 Navarre Corp.(a) 16,066
4,425 New York & Co.(a) 28,099
39,733 Office Depot, Inc.(a),(b) 153,767
11,905 OfficeMax, Inc. 121,788
3,370 OpenTable, Inc.(a) 215,511
2,157 Overstock.com, Inc.(a) 60,827
1,212 PC Mall, Inc.(a) 11,635
7,031 Pacific Sunwear of California, Inc.(a) 25,663
5,685 Penske Automotive Group, Inc. 173,620
7,518 The Pep Boys - Manny, Moe & Jack(a) 87,058
978 Perfumania Holdings, Inc.(a) 5,086
14,391 Pier 1 Imports, Inc. 338,045
2,564 PriceSmart, Inc. 224,683
1,862 The Providence Service Corp.(a) 54,166
14,242 RadioShack Corp. 45,005
5,272 RealNetworks, Inc.(a) 39,856
7,707 Regis Corp. 126,549
7,730 Rent-A-Center, Inc. 290,261
2,035 Restoration Hardware Holdings, Inc.(a) 152,625
9,140 Rollins, Inc. 236,726
2,218 Rue21, Inc.(a) 92,291
4,796 Rush Enterprises, Inc., Class A(a) 118,701
14,214 Saks, Inc.(a) 193,879
21,223 Sally Beauty Holdings, Inc.(a) 660,035
5,009 Sears Holdings Corp.(a),(b) 210,779
28,711 Service Corp. International 517,659
1,951 Shoe Carnival, Inc. 46,844
4,725 Shutterfly, Inc.(a) 263,608
10,989 Signet Jewelers Ltd. 740,988
================================================================================
40 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,764 Sonic Automotive, Inc. $ 100,711
9,455 Sotheby's 358,439
4,499 Stage Stores, Inc. 105,726
2,297 Stamps.com, Inc.(a) 90,479
2,556 Standard Parking Corp.(a) 54,852
3,792 Stein Mart, Inc. 51,761
10,107 Stewart Enterprises, Inc., Class A 132,301
1,574 Strayer Education, Inc. 76,858
2,626 Susser Holdings Corp.(a),(b) 125,733
2,436 Titan Machinery, Inc.(a) 47,819
9,580 Tractor Supply Co. 1,126,704
1,782 Trans World Entertainment Corp. 8,661
6,273 Tuesday Morning Corp.(a) 65,051
8,160 Ulta Salon Cosmetics & Fragrance, Inc.(a) 817,306
12,091 VCA Antech, Inc.(a) 315,454
5,788 ValueVision Media, Inc., Class A(a) 29,577
3,793 Weight Watchers International, Inc. 174,478
2,389 West Marine, Inc.(a) 26,279
12,939 The Wet Seal, Inc., Class A(a) 60,943
11,838 Williams-Sonoma, Inc. 661,626
462 Winmark Corp. 29,970
4,077 Zale Corp.(a) 37,101
3,016 Zumiez, Inc.(a) 86,710
------------
23,304,786
------------
HEALTH CARE EQUIPMENT & SERVICES - 4.9%
5,121 Abiomed, Inc.(a) 110,409
3,020 Abaxis, Inc. 143,480
5,039 Acadia Healthcare Co., Inc.(a) 166,640
7,882 Accretive Health, Inc.(a) 85,204
9,352 Accuray, Inc.(a) 53,680
1,036 Addus HomeCare Corp.(a) 20,451
4,895 Air Methods Corp. 165,843
10,750 Alere, Inc.(a) 263,375
9,958 Align Technology, Inc.(a),(b) 368,844
1,936 Alliance HealthCare Services, Inc.(a) 30,279
1,318 Almost Family, Inc. 25,042
11,402 Alphatec Holdings, Inc.(a) 23,374
4,487 Amedisys, Inc.(a) 52,139
2,753 American Caresource Holdings, Inc.(a) 4,900
4,434 Amsurg Corp.(a) 155,633
1,635 Analogic Corp. 119,077
4,830 AngioDynamics, Inc.(a) 54,482
2,052 Anika Therapeutics, Inc.(a) 34,884
18,027 Antares Pharma, Inc.(a) 74,992
3,979 ArthroCare Corp.(a) 137,395
2,779 Assisted Living Concepts, Inc.Class A(a) 33,237
2,717 AtriCure, Inc.(a) 25,812
236 Atrion Corp. 51,616
6,219 BSD Medical Corp.(a) 8,209
4,594 Baxano Surgical, Inc.(a) 11,026
2,780 Bio-Rad Laboratories, Inc., Class A(a) 311,916
3,472 Bio-Reference Labs, Inc.(a),(b) 99,820
4,700 Biolase Inc.(a) 16,827
7,778 Bioscript, Inc.(a) 128,337
3,326 Bovie Medical Corp.(a) 9,812
13,577 Brookdale Senior Living, Inc.(a) 358,976
12,866 Bruker BioSciences Corp.(a) 207,786
3,863 CONMED Corp. 120,680
3,124 Cantel Medical Corp. 105,810
3,996 Capital Senior Living Corp.(a) 95,504
8,577 Cardica, Inc.(a) 9,520
4,383 CardioNet, Inc.(a) 25,860
3,321 Cardiovascular Systems, Inc.(a) 70,405
10,595 Celsion Corp.(a),(b) 10,807
7,510 Centene Corp.(a),(b) 393,975
9,367 Cepheid, Inc.(a),(b) 322,412
1,763 Chindex International, Inc.(a) 28,596
================================================================================
SCHEDULE OF INVESTMENTS | 41
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,314 CollabRx, Inc.(a) $ 4,481
12,973 Community Health Systems, Inc. 608,174
6,691 The Cooper Cos., Inc. 796,564
1,946 Corvel Corp.(a) 56,959
7,711 Covance, Inc.(a),(b) 587,116
4,128 CryoLife, Inc. 25,841
2,304 Cutera, Inc.(a) 20,275
3,374 Cyberonics, Inc.(a) 175,313
2,956 Cynosure, Inc., Class A(a) 76,806
12,121 Delcath Systems, Inc.(a) 4,485
10,059 DexCom, Inc.(a),(b) 225,825
2,662 Echo Therapeutics, Inc.(a) 6,628
5,635 Emeritus Corp.(a) 130,619
8,354 Endologix, Inc.(a),(b) 110,941
2,525 The Ensign Group, Inc. 88,931
1,399 Escalon Medical Corp.(a) 1,693
1,507 Exactech, Inc.(a) 29,763
6,433 Five Star Quality Care, Inc.(a) 36,089
3,517 Fluidigm Corp.(a) 61,407
1,545 Fonar Corp.(a) 10,135
4,683 GenMark Diagnostics, Inc.(a) 48,422
4,383 Gentiva Health Services, Inc.(a) 43,655
33,631 HCA Holdings, Inc. 1,212,734
12,290 HMS Holdings Corp.(a),(b) 286,357
7,110 Haemonetics Corp.(a) 293,999
4,846 Hanger, Inc.(a) 153,279
9,386 Hansen Medical, Inc.(a) 13,516
35,799 Health Management Associates, Inc., Class A(a) 562,760
10,693 Health Net, Inc.(a) 340,251
9,758 Healthcare Services Group, Inc. 239,266
12,178 HealthSouth Corp.(a) 350,726
3,013 HealthStream, Inc.(a) 76,289
4,781 Healthways, Inc.(a) 83,094
1,961 Heartware International, Inc.(a) 186,511
11,917 Henry Schein, Inc.(a),(b) 1,141,053
8,082 Hill-Rom Holdings, Inc. 272,202
37,217 Hologic, Inc.(a) 718,288
9,589 Hooper Holmes, Inc.(a) 3,452
1,822 ICU Medical, Inc.(a),(b) 131,293
7,468 Idexx Laboratories, Inc.(a),(b) 670,477
2,413 IPC The Hospitalist Co., Inc.(a),(b) 123,932
7,596 Insulet Corp.(a) 238,590
2,791 Integra LifeSciences Holdings Corp.(a) 102,234
4,029 Invacare Corp. 57,856
7,217 Kindred Healthcare, Inc.(a) 94,759
3,380 LCA-Vision, Inc.(a) 10,208
2,223 LHC Group, Inc.(a) 43,526
6,353 LifePoint Hospitals, Inc.(a) 310,281
6,212 MAKO Surgical Corp.(a) 74,855
6,893 MEDNAX, Inc.(a) 631,261
7,818 MELA Sciences, Inc.(a) 7,271
3,639 Magellan Health Services, Inc.(a) 204,075
7,150 Masimo Corp. 151,580
2,313 Medical Action Industries, Inc.(a) 17,810
5,976 Meridian Bioscience, Inc. 128,484
5,748 Merit Medical Systems, Inc.(a) 64,090
4,044 Molina Healthcare, Inc.(a) 150,356
6,499 Nanosphere, Inc.(a) 19,952
1,049 National Healthcare Corp. 50,142
4,492 Natus Medical, Inc.(a) 61,316
19,869 Navidea Biopharmaceuticals, Inc.(a),(b) 53,050
3,340 Neogen Corp.(a) 185,570
109 NeuroMetrix, Inc.(a) 218
6,270 NuVasive, Inc.(a) 155,433
7,744 NxStage Medical, Inc.(a) 110,584
5,063 Omnicell, Inc.(a) 104,045
9,173 OraSure Technologies, Inc.(a) 35,591
2,685 Orthofix International NV(a) 72,227
8,318 Owens & Minor, Inc. 281,398
7,871 Parexel International Corp.(a) 361,594
4,070 PharMerica Corp.(a) 56,410
================================================================================
42 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,584 Psychemedics Corp. $ 17,012
4,179 Quidel Corp.(a) 106,690
7,930 RTI Surgical, Inc.(a) 29,817
4,638 RadNet, Inc.(a) 12,291
19,646 ResMed, Inc. 886,624
1,898 Retractable Technologies, Inc.(a) 2,714
1,820 Rochester Medical Corp.(a) 26,809
5,959 Rockwell Medical, Inc.(a) 21,512
7,959 Steris Corp. 341,282
4,887 Select Medical Holdings Corp. 40,073
7,584 Sirona Dental Systems, Inc.(a) 499,634
3,199 Skilled Healthcare Group, Inc., Class A(a) 21,369
9,582 Solta Medical, Inc.(a) 21,847
5,964 Spectranetic Corp.(a) 111,408
3,976 Staar Surgical Co.(a) 40,356
2,320 Stereotaxis, Inc.(a) 3,619
1,915 SurModics, Inc.(a) 38,319
5,245 Symmetry Medical, Inc.(a) 44,163
3,470 Synergetics USA, Inc.(a) 13,672
9,618 Team Health Holdings, Inc.(a) 395,011
5,584 Teleflex, Inc. 432,704
5,558 Theragenics Corp.(a) 11,505
5,823 ThermoGenesis Corp.(a) 7,686
7,880 Thoratec Corp.(a) 246,723
2,941 Triple-S Management Corp.(a) 63,143
1,742 US Physical Therapy, Inc. 48,149
12,363 Unilife Corp.(a) 39,191
3,768 Universal American Corp. 33,498
12,213 Universal Health Services, Inc., Class B 817,783
4,824 Uroplasty, Inc.(a) 9,986
671 Utah Medical Products, Inc. 36,435
4,548 Vanguard Health Systems, Inc.(a) 94,326
2,626 Vascular Solutions, Inc.(a) 38,628
7,929 Vision-Sciences, Inc.(a) 8,088
7,831 Volcano Corp.(a),(b) 141,976
5,933 WellCare Health Plans, Inc.(a) 329,578
4,651 West Pharmaceutical Services, Inc. 326,779
6,451 Wright Medical Group, Inc.(a) 169,081
------------
23,910,914
------------
HOUSEHOLD GOODS & HOME CONSTRUCTION - 2.2%
15,731 ACCO Brands Corp.(a) 100,049
1,676 AT Cross Co., Class A(a) 28,408
4,439 American Greetings Corp., Class A 80,879
1,804 Bassett Furniture Industries, Inc. 28,016
3,640 Beazer Homes USA, Inc.(a) 63,773
7,224 Blount International, Inc.(a) 85,388
1,482 Blyth, Inc. 20,689
6,588 Briggs & Stratton Corp. 130,442
1,043 Cavco Industries, Inc.(a) 52,619
6,069 Central Garden & Pet Co., Class A(a) 41,876
18,857 Church & Dwight Co., Inc. 1,163,666
1,337 Compx International, Inc. 18,665
3,135 Comstock Homebuilding Cos., Inc., Class A(a) 8,684
2,113 Dixie Group, Inc.(a) 17,538
8,566 Energizer Holdings, Inc. 860,969
3,724 Ethan Allen Interiors, Inc. 107,251
965 Flexsteel Industries, Inc. 23,527
2,823 Forward Industries, Inc.(a) 5,223
1,363 Furniture Brands International, Inc.(a) 5,452
6,259 HNI Corp. 225,762
8,203 Herman Miller, Inc. 222,055
1,876 Hooker Furniture Corp. 30,504
13,795 Hovnanian Enterprises, Inc., Class A(a) 77,390
8,187 Interface, Inc. 138,933
3,829 iRobot Corp.(a),(b) 152,279
13,975 Jarden Corp.(a) 611,406
11,464 KB Home 225,038
================================================================================
SCHEDULE OF INVESTMENTS | 43
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
2,042 Kid Brands, Inc.(a) $ 3,145
6,686 Knoll, Inc. 95,008
939 L.S. Starrett Co., Class A 9,597
7,409 La-Z-Boy, Inc. 150,180
3,113 Libbey, Inc.(a) 74,619
1,440 Lifetime Brands, Inc. 19,555
3,557 M/I Homes, Inc.(a) 81,669
5,400 MDC Holdings, Inc. 175,554
4,439 Meritage Homes Corp.(a) 192,475
2,601 Middleby Corp.(a) 442,404
8,411 Mohawk Industries, Inc.(a) 946,153
649 NVR, Inc.(a) 598,378
708 National Presto Industries, Inc. 50,997
858 Oil-Dri Corp.of America 23,569
6,503 Ryland Group, Inc. 260,770
5,310 The Scotts Miracle-Gro Co. 256,526
7,771 Select Comfort Corp.(a) 194,741
880 Skyline Corp.(a) 3,458
3,072 Spectrum Brands Holdings, Inc. 174,705
20,349 Standard-Pacific Corp.(a) 169,507
3,010 Stanley Furniture Co., Inc.(a) 12,040
10,838 Steelcase, Inc., Class A 158,018
2,685 Summer Infant, Inc.(a) 8,216
3,946 Taylor Morrison Home Corp.(a) 96,204
8,434 Tempur-Pedic International, Inc.(a) 370,253
20,878 Toll Brothers, Inc.(a) 681,249
6,570 Tumi Holdings, Inc.(a) 157,680
7,283 Tupperware Corp. 565,816
2,505 Virco Manufacturing Corp.(a) 5,862
2,017 WD-40 Co. 109,886
------------
10,614,715
------------
INDUSTRIAL ENGINEERING - 3.0%
13,322 AGCO Corp. 668,631
7,096 Accuride Corp.(a) 35,906
1,236 Alamo Group, Inc. 50,454
3,972 Albany International Corp., Class A 130,997
3,766 Altra Holdings, Inc. 103,113
1,329 American Railcar Industries, Inc. 44,535
2,786 Astec Industries, Inc. 95,532
15,526 The Babcock & Wilcox Co. 466,246
2,362 Broadwind Energy, Inc.(a) 11,290
2,498 CIRCOR International, Inc. 127,048
6,672 Clarcor, Inc. 348,345
1,735 Ceco Environmental Corp. 21,340
494 Chicago Rivet & Machine Co. 13,333
11,678 Colfax Corp.(a) 608,541
2,917 Columbus McKinnon Corp.(a) 62,190
3,771 Commercial Vehicle Group, Inc.(a) 28,132
6,664 Crane Co. 399,307
18,478 Donaldson Co., Inc. 658,925
3,444 Douglas Dynamics, Inc. 44,703
2,036 Dynamic Materials Corp. 33,614
1,114 The Eastern Co. 17,824
6,949 Energy Recovery, Inc.(a) 28,699
2,971 EnPro Industries, Inc.(a) 150,808
8,916 Federal Signal Corp.(a) 78,015
7,491 Flow International Corp.(a) 27,642
5,221 Franklin Electric Co., Inc. 175,687
1,593 Freightcar America, Inc. 27,065
6,256 GATX Corp. 296,722
6,857 Gardner Denver, Inc. 515,509
2,066 The Gorman-Rupp Co. 65,781
8,475 Graco, Inc. 535,705
1,690 Graham Corp. 50,751
3,496 Greenbrier Cos., Inc.(a) 85,197
4,266 H&E Equipment Services, Inc. 89,885
1,772 Hardinge, Inc. 26,190
1,036 Hurco Cos., Inc. 29,806
844 Hyster-Yale Materials Handling, Inc. 52,995
11,254 IDEX Corp. 605,578
================================================================================
44 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,040 John Bean Technologies Corp. $ 84,880
1,632 Kadant, Inc. 49,237
4,722 Kaydon Corp. 130,091
10,779 Kennametal, Inc. 418,549
998 Key Technology, Inc.(a) 14,301
4,154 Kimball International, Inc., Class B 40,335
11,310 Lincoln Electric Holdings, Inc. 647,724
1,881 Lindsay Corp. 141,037
2,657 Lydall, Inc.(a) 38,792
1,929 Manitex International, Inc.(a) 21,123
18,626 Manitowoc Co. 333,592
2,916 Materion Corp. 78,994
13,772 Meritor, Inc.(a) 97,093
2,279 Met-Pro Corp. 30,630
1,090 MFRI, Inc.(a) 12,393
1,717 Miller Industries, Inc. 26,407
4,209 Mine Safety Appliances Co. 195,929
3,884 Mueller Industries, Inc. 195,870
900 NACCO Industries, Inc., Class A 51,552
2,599 NN, Inc. 29,655
11,143 Navistar International Corp.(a) 309,330
7,760 Nordson Corp. 537,846
12,141 Oshkosh Corp.(a) 460,994
2,383 PMFG, Inc.(a) 16,490
6,418 SPX Corp. 461,968
4,359 Spartan Motors, Inc. 26,677
1,782 Standex International Corp. 94,000
3,688 Sun Hydraulics, Inc. 115,361
2,319 Sypris Solutions, Inc. 7,444
2,544 Tecumseh Products Co., Class A(a) 27,806
2,518 Tennant Co. 121,544
15,442 Terex Corp.(a) 406,125
10,905 Timken Co. 613,733
7,973 Toro Co. 362,054
10,870 Trinity Industries, Inc. 417,843
1,243 Twin Disc, Inc. 29,459
9,772 Wabash National Corp.(a) 99,479
13,264 Westinghouse Air Brake Technologies Corp. 708,695
8,140 Woodward, Inc. 325,600
------------
14,592,673
------------
INDUSTRIAL METALS & MINING - 0.6%
20,187 AK Steel Holding Corp.(b) 61,368
1,402 Ampco-Pittsburgh Corp. 26,316
6,184 Carpenter Technology Corp. 278,713
7,401 Century Aluminum Co.(a) 68,681
15,878 Commercial Metals Co. 234,518
1,844 Friedman Industries, Inc. 18,163
9,185 Globe Specialty Metals, Inc. 99,841
989 Handy & Harman Ltd.(a) 17,683
1,762 Haynes International, Inc. 84,347
6,625 Horsehead Holding Corp.(a) 84,866
2,253 Kaiser Aluminum Corp. 139,551
40,374 McEwen Mining, Inc.(a) 67,828
9,320 Noranda Aluminum Holding Corp. 30,104
1,366 Olympic Steel, Inc. 33,467
4,445 RTI International Metals, Inc.(a) 123,171
10,505 Reliance Steel & Aluminum Co. 688,708
30,261 Steel Dynamics, Inc. 451,191
1,242 Synalloy Corp. 19,288
2,071 TMS International Corp., Class A 30,713
16,407 USEC, Inc.(a) 4,811
1,208 Universal Stainless & Alloy Products, Inc.(a) 35,612
13,847 Uranium Energy Corp.(a) 24,786
7,377 Worthington Industries, Inc. 233,925
------------
2,857,651
------------
INDUSTRIAL TRANSPORTATION - 1.4%
10,457 Air Lease Corp 288,509
7,359 Air Transport Services Group, Inc.(a) 48,643
================================================================================
SCHEDULE OF INVESTMENTS | 45
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
7,657 Aircastle Ltd. $ 122,435
3,168 Arkansas Best Corp. 72,706
3,521 Atlas Air Worldwide Holdings, Inc.(a) 154,079
3,881 Baltic Trading Ltd. 14,398
2,143 CAI International, Inc.(a) 50,510
3,250 Celadon Group, Inc. 59,312
7,619 Con-way, Inc. 296,836
1,373 Covenant Transport Group, Inc., Class A(a) 8,568
2,951 Eagle Bulk Shipping, Inc.(a) 10,771
2,294 Echo Global Logistics, Inc.(a) 44,710
4,021 Forward Air Corp. 153,924
2,545 Frozen Food Express Industries, Inc.(a) 4,097
5,201 Genco Shipping & Trading Ltd.(a),(b) 8,478
6,826 Genesee & Wyoming, Inc., Class A(a),(b) 579,118
6,117 Heartland Express, Inc. 84,843
4,803 HUB Group, Inc., Class A(a),(b) 174,925
723 International Shipholding Corp. 16,868
12,342 J.B.Hunt Transport Services, Inc. 891,586
7,841 Kirby Corp.(a) 623,673
7,842 Knight Transportation, Inc. 131,902
6,391 Landstar System, Inc. 329,136
3,054 Marten Transport Ltd. 47,856
5,647 Matson, Inc. 141,175
9,675 Old Dominion Freight Line, Inc.(a) 402,673
568 P.A.M.Transportation Services, Inc. 5,777
8,021 PHH Corp.(a) 163,468
4,839 Pacer International, Inc.(a) 30,534
914 Patriot Transportation Holding, Inc.(a) 27,457
3,529 Quality Distribution, Inc.(a) 31,196
3,143 Rand Logistics, Inc.(a) 16,124
2,284 Roadrunner Transportation Systems, Inc.(a) 63,587
3,364 Saia, Inc.(a) 100,804
11,789 Swift Transportation Co.(a) 194,990
4,753 TAL International Group, Inc. 207,088
5,217 Teekay Corp. 211,967
2,350 Textainer Group Holdings Ltd. 90,334
1,407 USA Truck, Inc.(a) 9,061
14,176 UTI Worldwide, Inc. 233,479
800 Universal Truckload Services, Inc.(a) 19,288
5,682 Werner Enterprises, Inc. 137,334
5,750 Wesco Aircraft Holdings, Inc.(a) 106,777
1,115 Willis Lease Finance Corp.(a) 15,064
10,205 World Fuel Services Corp. 407,996
2,953 XPO Logistics, Inc.(a),(b) 53,420
1,401 YRC Worldwide, Inc.(a) 40,279
------------
6,927,755
------------
LEISURE GOODS - 0.8%
58,192 Activision Blizzard, Inc. 829,818
1,884 Arctic Cat, Inc. 84,742
3,283 Black Diamond, Inc.(a) 30,860
12,480 Brunswick Corp. 398,736
9,783 Callaway Golf Co. 64,372
2,742 DTS, Inc.(a) 56,430
2,640 Drew Industries, Inc. 103,805
3,000 Emerson Radio Corp.(a) 4,950
1,740 Escalade, Inc. 10,771
8,589 Glu Mobile, Inc.(a),(b) 18,896
2,692 Jakks Pacific, Inc. 30,285
1,133 Koss Corp. 5,495
7,039 Leapfrog Enterprises, Inc.(a) 69,264
6,877 Majesco Entertainment Co.(a) 3,920
1,997 Marine Products Corp. 16,016
433 Meade Instruments Corp.(a) 1,611
4,085 Nautilus, Inc.(a) 35,499
8,781 Polaris Industries, Inc. 834,195
================================================================================
46 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
6,293 Pool Corp. $ 329,816
6,336 RealD, Inc.(a) 88,070
2,357 Skullcandy, Inc.(a) 12,869
966 Steinway Musical Instruments, Inc.(a) 29,395
13,021 Take-Two Interactive Software, Inc.(a) 194,924
6,030 Thor Industries, Inc. 296,556
17,917 TiVo, Inc.(a) 197,983
2,265 Universal Electronics, Inc.(a) 63,715
4,067 Winnebago Industries, Inc.(a) 85,366
------------
3,898,359
------------
LIFE INSURANCE - 0.4%
2,824 Amerisafe, Inc. 91,469
8,633 American Equity Investment Life Holding Co. 135,538
2,385 Atlantic American Corp. 9,087
30,140 CNO Financial Group, Inc. 390,614
7,030 Citizens, Inc.(a) 42,039
2,846 eHealth, Inc.(a) 64,661
4,300 Employers Holdings, Inc. 105,135
1,496 FBL Financial Group, Inc., Class A 65,091
1,624 Independence Holding Co. 19,196
413 Kansas City Life Insurance Co. 15,806
301 National Western Life Insurance Co., Class A 57,145
801 The Phoenix Cos., Inc.(a) 34,443
6,370 Primerica, Inc. 238,493
10,592 Protective Life Corp. 406,839
5,888 Stancorp Financial Group, Inc. 290,926
9,760 Symetra Financial Corp. 156,062
------------
2,122,544
------------
MEDIA - 4.2%
3,195 AH Belo Corp. 21,918
8,090 AMC Networks, Inc., Class A(a) 529,167
10,241 Acxiom Corp.(a) 232,266
5,099 Angie's List, Inc.(a) 135,378
3,743 Arbitron, Inc. 173,862
1,803 Ascent Capital Group, Inc., Class A(a) 140,760
4,258 Avid Technology, Inc.(a) 25,037
6,104 Bankrate, Inc.(a) 87,653
771 Beasley Broadcasting Group, Inc., Class A 6,461
13,102 Belo Corp., Class A 182,773
1,288 CSS Industries, Inc. 32,110
50 CTN Media Group, Inc.(a) -
9,031 Charter Communications, Inc., Class A(a) 1,118,489
5,342 Clear Channel Outdoor Holdings, Inc., Class A(a) 39,851
5,064 ComScore, Inc.(a) 123,511
4,444 Constant Contact, Inc.(a) 71,415
1,599 Courier Corp. 22,834
7,078 Crown Media Holdings, Inc., Class A(a) 17,483
10,654 Cumulus Media, Inc., Class A(a) 36,117
28,077 DISH Network Corp., Class A 1,193,834
6,769 Demand Media, Inc.(a) 40,614
4,169 Digital Generation, Inc.(a) 30,726
6,680 Dolby Laboratories, Inc., Class A 223,446
9,748 DreamWorks Animation SKG, Inc.(a) 250,134
4,195 EW Scripps Co.(a) 65,358
6,140 Emmis Communications Corp., Class A(a) 13,140
2,909 Entercom Communications Corp.(a) 27,461
9,776 Entravision Communications Corp., Class A 60,122
5,573 FactSet Research Systems, Inc. 568,112
1,099 Fisher Communications, Inc. 45,147
7,124 Gray Television, Inc.(a) 51,293
================================================================================
SCHEDULE OF INVESTMENTS | 47
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
38,243 Groupon, Inc.(a) $ 325,066
6,049 Harte-Hanks, Inc. 52,021
10,217 Hollywood Media Corp.(a) 13,691
6,901 IHS, Inc., Class A(a) 720,326
6,248 John Wiley & Sons, Inc., Class A 250,482
5,439 Journal Communications, Inc., Class A(a) 40,738
4,536 Lin TV Corp., Class A(a) 69,401
7,684 Lamar Advertising Co., Class A(a) 333,486
49,031 Liberty Global Plc A(a) 3,632,216
69,420 Liberty Interactive Corp., Class A(a) 1,597,354
15,340 Liberty Media Corp.(a) 1,944,498
5,249 Liberty Ventures(a) 446,217
19,889 Live Nation Entertainment, Inc.(a) 308,280
6,769 Local Corp.(a) 11,372
3,405 Marchex, Inc., Class B 20,498
5,097 Martha Stewart Living Omnimedia, Inc., Class A(a) 12,284
10,065 McClatchy Co., Class A(a) 22,948
3,204 Media General, Inc., Class A(a) 35,340
1,442 Mediabistro, Inc.(a) 2,264
4,957 Meredith Corp. 236,449
3,124 Morningstar, Inc. 242,360
8,250 National CineMedia, Inc. 139,343
17,417 The New York Times Co., Class A(a) 192,632
4,289 Nexstar Broadcasting Group, Inc., Class A 152,088
28,553 Nielsen Holdings NV 959,095
1,936 PDI, Inc.(a) 9,099
14,112 Pandora Media, Inc.(a) 259,661
4,978 QuinStreet, Inc.(a) 42,960
4,466 Radio One, Inc., Class D(a) 10,361
3,165 SPAR Group, Inc.(a) 8,672
800 Saga Communications, Inc. 36,728
1,460 Salem Communications Corp., Class A 10,935
1,909 Schawk, Inc. 25,065
3,534 Scholastic Corp. 103,511
9,773 Sinclair Broadcast Group, Inc., Class A 287,131
429,495 Sirius XM Radio, Inc. 1,438,808
1,491 Spanish Broadcasting System, Inc.(a) 5,054
15,478 Starz Liberty Capital(a) 342,064
3,625 TechTarget, Inc.(a) 16,204
9,587 TheStreet.com, Inc. 17,832
5,495 Valassis Communications, Inc. 135,122
1,380 Value Line, Inc. 11,730
10,323 ValueClick, Inc.(a) 254,772
7,116 WebMD Health Corp.(a) 208,997
4,595 XO Group, Inc.(a) 51,464
------------
20,603,091
------------
MINING - 0.5%
3,537 AMCOL International Corp. 112,087
14,396 Allied Nevada Gold Corp.(a) 93,286
30,925 Alpha Natural Resources, Inc.(a)(c) 162,047
29,912 Arch Coal, Inc. 113,067
8,698 Cloud Peak Energy, Inc.(a),(b) 143,343
14,789 Coeur Mining, Inc.(a) 196,694
4,654 Compass Minerals International, Inc. 393,403
10,440 General Moly, Inc.(a) 19,523
9,302 Golden Minerals Co.(a),(b) 12,651
50,098 Hecla Mining Co. 149,292
5,927 James River Coal Co.(a) 10,787
19,167 Molycorp, Inc.(a),(b) 118,835
9,312 Royal Gold Inc. 391,849
10,459 Solitario Exploration & Royalty Corp.(a) 9,413
16,751 Stillwater Mining Co.(a) 179,906
10,146 SunCoke Energy, Inc.(a) 142,247
15,011 Timberline Resources Corp.(a),(b) 2,552
8,846 Walter Energy, Inc. 91,998
2,916 Westmoreland Coal Co.(a) 32,747
------------
2,375,727
------------
================================================================================
48 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
MOBILE TELECOMMUNICATIONS - 0.6%
1,327 Atlantic Tele-Network, Inc. $ 65,899
8,865 Iridium Communications, Inc.(a) 68,792
7,910 Leap Wireless International, Inc.(a) 53,234
23,820 NII Holdings, Inc.(a),(b) 158,880
2,325 NTELOS Holdings Corp. 38,270
6,188 ORBCOMM, Inc.(a) 27,784
17,726 SBA Communications Corp., Class A(a),(b) 1,313,851
3,273 Shenandoah Telecom Co. 54,594
22,951 T-Mobile US, Inc. 569,414
13,263 Telephone & Data Systems, Inc. 326,933
3,353 USA Mobility, Inc. 45,500
1,391 U.S.Cellular Corp. 51,036
------------
2,774,187
------------
NONLIFE INSURANCE - 3.7%
2,335 Alleghany Corp.(a) 895,029
4,663 Allied World Assurance Co.Holdings AG 426,711
6,499 Ambac Financial Group, Inc.(a) 154,871
10,209 American Financial Group, Inc. 499,322
848 American National Insurance Co. 84,351
1,491 American Safety Insurance Holdings Ltd.(a) 43,164
3,745 AmTrust Financial Services, Inc. 133,697
18,194 Arch Capital Group Ltd.(a) 935,354
3,724 Argo Group International Holdings Ltd.(b) 157,860
17,361 Arthur J Gallagher & Co. 758,502
9,254 Aspen Insurance Holdings Ltd. 343,231
26,658 Assured Guaranty Ltd. 588,075
15,059 Axis Capital Holdings Ltd. 689,401
1,436 Baldwin & Lyons, Inc., Class B 34,866
16,191 Brown & Brown, Inc. 521,998
3,210 CNA Financial Corp. 104,710
1,498 Donegal Group, Inc., Class A 20,927
901 EMC Insurance Group, Inc. 23,660
1,572 Eastern Insurance Holdings, Inc. 29,475
5,872 Endurance Specialty Holdings Ltd.(b) 302,114
1,154 Enstar Group Ltd.(a) 153,459
3,487 Erie Indemnity Co., Class A 277,879
6,750 Everest Re Group Ltd. 865,755
1,617 Federated National Holding Co. 15,766
1,327 First Acceptance Corp.(a) 2,176
14,863 First American Financial Corp. 327,581
1,654 Global Indemnity Plc(a) 38,952
4,332 Greenlight Capital Re Ltd.(a) 106,264
13,815 HCC Insurance Holdings, Inc. 595,565
5,981 The Hanover Insurance Group, Inc. 292,650
6,206 Hilltop Holdings, Inc.(a) 101,778
5,415 Horace Mann Educators Corp. 132,018
1,661 Infinity Property & Casualty Corp. 99,261
7,262 Kemper Corp. 248,724
2,288 Life Partners Holdings, Inc. 7,024
19,618 MBIA, Inc.(a) 261,116
7,487 Maiden Holdings Ltd. 84,004
1,796 Markel Corp.(a),(b) 946,402
6,607 Meadowbrook Insurance Group, Inc. 53,054
3,553 Mercury General Corp. 156,190
7,436 Montpelier Re Holdings Ltd. 185,974
================================================================================
SCHEDULE OF INVESTMENTS | 49
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
2,572 National Interstate Corp. $ 75,231
1,553 Navigators Group, Inc.(a) 88,583
33,469 Old Republic International Corp. 430,746
2,936 OneBeacon Insurance Group Ltd. 42,513
7,935 PartnerRe Ltd. 718,594
4,365 Platinum Underwriters Holdings Ltd. 249,765
8,440 ProAssurance Corp. 440,230
2,426 RLI Corp. 185,371
9,789 Reinsurance Group of America, Inc. 676,518
6,069 RenaissanceRe Holdings Ltd. 526,729
1,921 Safety Insurance Group, Inc. 93,188
7,645 Selective Insurance Group, Inc. 175,988
2,216 State Auto Financial Corp. 40,265
5,546 Tower Group International Ltd. 113,748
3,110 United Fire Group, Inc. 77,221
4,795 Universal Insurance Holdings, Inc. 33,949
13,487 Validus Holdings Ltd. 487,150
15,095 W.R.Berkley Corp. 616,782
705 White Mountains Insurance Group, Inc. 405,333
23,631 Willis Group Holdings Plc 963,672
------------
18,140,486
------------
OIL & GAS PRODUCERS - 2.9%
15,266 Abraxas Petroleum Corp.(a) 32,059
399 Adams Resources & Energy, Inc. 27,487
2,116 Alon USA Energy, Inc. 30,597
2,407 Apco Oil and Gas International, Inc.(a) 27,753
4,861 Approach Resources, Inc.(a) 119,435
15,164 BPZ Resources, Inc.(a) 27,144
1,930 Barnwell Industries, Inc.(a) 6,080
6,456 Berry Petroleum Co., Class A 273,218
6,866 Bill Barrett Corp.(a) 138,831
3,397 Bonanza Creek Energy, Inc.(a) 120,458
5,673 Brenham Oil+Gas Corp.(a) 238
2,141 CVR Energy, Inc. 101,483
7,061 Callon Petroleum Co.(a) 23,796
5,323 Carrizo Oil & Gas, Inc.(a) 150,801
33,499 Cheniere Energy, Inc.(a) 929,932
11,884 Cimarex Energy Co. 772,341
921 Clayton Williams Energy, Inc.(a) 40,064
38,226 Cobalt International Energy, Inc.(a) 1,015,665
6,615 Comstock Resources, Inc. 104,054
14,325 Concho Resources, Inc.(a) 1,199,289
1,782 Contango Oil & Gas Co. 60,142
7,874 Continental Resources, Inc.(a) 677,636
5,049 Delek US Holdings, Inc. 145,310
4,788 Diamondback Energy, Inc.(a) 159,536
2,652 Double Eagle Pete & Mining Co.(a) 10,396
4,973 EPL Oil & Gas, Inc.(a) 146,007
20,555 EXCO Resources, Inc. 157,040
6,155 Emerald Oil, Inc.(a) 42,223
7,465 Endeavour International Corp.(a),(b) 28,666
9,877 Energen Corp. 516,172
10,919 Energy XXI Bermuda Ltd. 242,183
3,828 Evolution Petroleum Corp.(a) 41,763
8,102 FX Energy, Inc.(a) 26,007
17,520 Forest Oil Corp.(a),(b) 71,657
9,280 Gastar Exploration Ltd.(a) 24,778
9,626 GeoPetro Resources Co.(a) 674
================================================================================
50 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,141 Goodrich Petroleum Corp.(a) $ 53,005
9,551 Gulfport Energy Corp.(a) 449,566
15,324 Halcon Resources Corp.(a),(b) 86,887
6,009 Harvest Natural Resources, Inc.(a) 18,628
28,214 HollyFrontier Corp. 1,206,995
5,104 Houston American Energy Corp.(a) 1,378
19,302 Hyperdynamics Corp.(a) 9,168
255 Isramco, Inc.(a) 23,761
37,208 Kodiak Oil & Gas Corp.(a) 330,779
3,538 Laredo Petroleum Holdings, Inc.(a) 72,741
8,484 Magellan Petroleum Corp.(a) 8,739
23,760 Magnum Hunter Resources Corp.(a) 86,724
5,310 Miller Energy Resources, Inc.(a) 21,240
8,607 Northern Oil and Gas,Inc.(a) 114,817
10,013 Oasis Petroleum, Inc.(a) 389,205
5,429 PBF Energy, Inc. 140,611
4,268 PDC Energy, Inc.(a) 219,717
1,368 Panhandle Oil & Gas, Inc. 38,988
7,967 Penn Virginia Corp. 37,445
8,775 Petroquest Energy, Inc.(a) 34,749
8,817 Pioneer Energy Services Corp.(a) 58,369
4,012 PostRock Energy Corp.(a) 6,138
19,715 Quicksilver Resources, Inc.(a),(b) 33,121
9,159 Resolute Energy Corp.(a) 73,089
6,077 Rex Energy Corp.(a) 106,834
8,509 Rosetta Resources, Inc.(a) 361,803
9,232 SM Energy Co. 553,735
48,966 SandRidge Energy, Inc.(a) 233,078
7,084 Stone Energy Corp.(a) 156,061
6,273 Swift Energy Co.(a) 75,213
1,697 Syntroleum Corp.(a) 11,709
4,055 Targa Resources, Inc. 260,858
4,911 US Energy Corp.-Wyoming(a) 10,166
21,440 Ultra Petroleum Corp.(a) 424,941
2,756 Uranium Resources, Inc.(a) 7,248
8,520 Vaalco Energy, Inc.(a) 48,734
4,881 W&T Offshore, Inc. 69,749
11,196 Warren Resources, Inc.(a) 28,550
8,075 Western Refining, Inc. 226,665
16,496 Whiting Petroleum Corp.(a) 760,301
7,132 ZaZa Energy Corp.(a) 8,558
7,265 Zion Oil & Gas, Inc.(a),(b) 16,274
------------
14,367,252
------------
OIL EQUIPMENT, SERVICES & DISTRIBUTION - 3.3%
7,963 Atwood Oceanics, Inc.(a),(b) 414,474
4,124 Basic Energy Services, Inc.(a) 49,859
1,869 Bolt Technology Corp. 31,923
4,889 Bristow Group, Inc. 319,349
6,542 C&J Energy Services, Inc.(a) 126,719
2,738 CARBO Ceramics, Inc. 184,623
14,342 Cal Dive International, Inc.(a) 26,963
4,189 Chart Industries, Inc.(a) 394,143
6,315 Core Laboratories N.V. 957,733
6,152 Crosstex Energy, Inc. 121,564
1,787 DHT Holdings, Inc. 8,006
1,228 Dawson Geophysical Co.(a) 45,264
10,552 Dresser-Rand Group, Inc.(a) 632,909
5,069 Dril-Quip, Inc.(a) 457,680
2,769 Era Group, Inc.(a) 72,409
9,196 Exterran Holdings, Inc.(a) 258,592
6,449 Flotek Industries, Inc.(a) 115,695
2,153 Forbes Energy Services Ltd.(a) 8,655
1,866 Geospace Technologies Corp.(a),(b) 128,903
3,728 Global Geophysical Services, Inc.(a) 17,596
1,954 Gulf Island Fabrication, Inc. 37,419
================================================================================
SCHEDULE OF INVESTMENTS | 51
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
3,373 Gulfmark Offshore, Inc., Class A $ 152,089
13,663 Helix Energy Solutions Group, Inc.(a) 314,795
22,598 Hercules Offshore, Inc.(a) 159,090
4,537 Hornbeck Offshore Services, Inc.(a) 242,729
17,365 ION Geophysical Corp.(a) 104,537
21,212 Key Energy Services, Inc.(a) 126,211
4,694 Lufkin Industries, Inc. 415,278
14,173 MRC Global, Inc.(a) 391,458
3,702 Matrix Service Co.(a) 57,677
32,340 McDermott International, Inc.(a) 264,541
1,937 Mitcham Industries, Inc.(a) 32,503
1,996 Natural Gas Services Group, Inc.(a) 46,886
12,244 Newpark Resources, Inc.(a) 134,562
13,639 OGE Energy Corp. 930,180
14,883 Oceaneering International, Inc. 1,074,553
7,630 Oil States International, Inc.(a) 706,843
1,880 PHI, Inc.(a) 64,484
16,854 Parker Drilling Co.(a) 83,933
20,055 Patterson-UTI Energy, Inc. 388,165
9,269 RPC, Inc. 128,005
2,624 SEACOR Holdings, Inc. 217,923
6,120 SemGroup Corp., Class A 329,623
22,071 Superior Energy Services, Inc.(a) 572,522
11,088 Tetra Technologies, Inc.(a) 113,763
2,623 TGC Industries, Inc. 21,561
4,610 Tesco Corp.(a) 61,082
6,849 Tidewater, Inc. 390,188
49,399 Transocean Ltd. 2,368,682
5,970 Unit Corp.(a) 254,203
105,124 Weatherford International Ltd.(a),(b) 1,440,199
6,936 Willbros Group, Inc.(a) 42,587
------------
16,041,330
------------
PERSONAL GOODS - 1.5%
8,268 American Apparel, Inc.(a) 15,874
7,061 Carter's, Inc. 523,008
3,457 Charles & Colvard Ltd.(a) 14,105
1,737 Cherokee, Inc. 22,199
1,524 Columbia Sportswear Co. 95,479
7,890 Coty, Inc.Class A(a) 135,550
12,218 Crocs, Inc.(a) 201,597
1,368 Culp, Inc. 23,789
4,791 Deckers Outdoor Corp.(a) 241,993
1,207 Delta Apparel, Inc.(a) 17,019
3,510 Elizabeth Arden, Inc.(a) 158,196
3,770 Female Health Co. 37,172
16,682 Fifth & Pacific Cos., Inc.(a),(b) 372,676
2,358 G-III Apparel Group Ltd.(a) 113,467
13,579 Hanesbrands, Inc. 698,232
4,353 Helen of Troy Ltd.(a) 167,025
7,865 Iconix Brand Group, Inc.(a) 231,310
2,179 Inter Parfums, Inc. 62,145
9,399 Joe's Jeans, Inc.(a) 15,414
10,460 The Jones Group, Inc. 143,825
913 Lakeland Industries, Inc.(a) 4,309
3,390 Maidenform Brands, Inc.(a) 58,749
24,308 Michael Kors Holdings Ltd.(a) 1,507,582
2,424 Movado Group, Inc. 82,004
7,278 Nu Skin Enterprises, Inc., Class A 444,831
1,288 Orchids Paper Products Co. 33,810
1,972 Oxford Industries, Inc. 123,053
1,655 Perry Ellis International, Inc. 33,613
17,784 Quiksilver, Inc.(a),(b) 114,529
1,650 R.G.Barry Corp. 26,796
1,680 Revlon, Inc., Class A(a) 37,061
1,306 Rocky Brands, Inc. 19,747
5,376 Skechers U.S.A., Inc., Class A(a) 129,078
5,691 Steven Madden Ltd.(a) 275,331
1,296 Superior Uniform Group, Inc. 13,984
================================================================================
52 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,401 Tandy Brands Accessories, Inc.(a) $ 866
3,384 True Religion Apparel, Inc. 107,137
10,780 Under Armour, Inc., Class A(a) 643,674
2,185 Unifi, Inc.(a) 45,164
3,222 Vera Bradley, Inc.(a),(b) 69,788
1,049 Weyco Group, Inc. 26,435
6,891 Wolverine World Wide, Inc. 376,317
------------
7,463,933
------------
PHARMACEUTICALS & BIOTECHNOLOGY - 4.8%
10,308 Acadia Pharmaceuticals, Inc.(a) 187,090
3,154 AMAG Pharmaceuticals, Inc.(a) 70,176
2,942 ARCA Biopharma, Inc.(a) 3,795
22,238 Avanir Pharmaceuticals, Inc.(a) 102,295
8,202 AVEO Pharmaceuticals, Inc.(a) 20,505
10,040 Aastrom Biosciences, Inc.(a) 4,028
11,235 Achillion Pharmaceuticals, Inc.(a) 91,902
5,935 Acorda Therapeutics, Inc.(a) 195,796
3,065 Acura Pharmaceuticals, Inc.(a) 5,762
2,273 Aegerion Pharmaceuticals, Inc.(a) 143,972
11,538 Affymetrix, Inc.(a) 51,229
5,451 Agenus, Inc.(a) 20,659
10,095 Akorn, Inc.(a) 136,484
3,909 Albany Molecular Research, Inc.(a) 46,400
3,779 Alexza Pharmaceuticals, Inc.(a) 16,401
18,571 Alkermes Plc(a) 532,616
7,090 Alnylam Pharmaceuticals, Inc.(a) 219,861
7,044 Amicus Therapeutics, Inc.(a) 16,413
4,379 Ampio Pharmaceuticals, Inc.(a),(b) 25,267
5,321 Anacor Pharmaceuticals, Inc.(a) 29,744
9,930 Anthera Pharmaceuticals, Inc.(a) 4,599
7,309 Apricus Biosciences, Inc.(a),(b) 17,176
31,395 Arena Pharmaceuticals, Inc.(a),(b) 241,741
26,062 ARIAD Pharmaceuticals, Inc.(a),(b) 455,824
10,724 ArQule, Inc.(a) 24,880
17,941 Array Biopharma, Inc.(a) 81,452
13,557 Astex Pharmaceuticals(a) 55,719
7,135 Auxilium Pharmaceuticals, Inc.(a) 118,655
8,239 BioCryst Pharmaceuticals, Inc.(a),(b) 12,770
2,370 Biodel, Inc.(a) 9,907
5,856 BioDelivery Sciences International, Inc.(a) 23,775
19,306 BioMarin Pharmaceutical, Inc.(a) 1,077,082
8,984 Biosante Pharmaceuticals, Inc.(a),(b) 8,984
5,533 Biota Pharmaceuticals, Inc. 19,089
6,420 BioTime, Inc.(a) 25,423
8,871 Cadence Pharmaceuticals, Inc.(a) 60,500
23,000 CEL-SCI Corp.(a) 4,901
13,729 Cell Therapeutics, Inc.(a) 14,415
11,639 Celldex Therapeutics, Inc.(a),(b) 181,685
10,782 Cerus Corp.(a) 47,656
7,013 Charles River Laboratories International, Inc.(a) 287,743
9,668 Chelsea Therapeutics International, Inc.(a) 22,236
================================================================================
SCHEDULE OF INVESTMENTS | 53
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
11,110 Cleveland BioLabs, Inc.(a) $ 17,554
2,272 Clovis Oncology, Inc.(a) 152,179
12,022 Columbia Laboratories, Inc.(a) 7,770
12,935 Corcept Therapeutics, Inc.(a) 22,378
3,724 Coronado Biosciences, Inc.(a) 32,026
9,144 Cubist Pharmaceuticals, Inc.(a) 441,655
2,790 Cumberland Pharmaceuticals, Inc.(a) 14,257
13,420 Curis, Inc.(a) 42,810
3,817 Cytokinetics, Inc.(a) 44,163
11,609 Cytori Therapeutics, Inc.(a) 26,701
5,159 CytRx Corp.(a) 10,318
23,295 Dendreon Corp.(a),(b) 95,975
8,854 Depomed, Inc.(a) 49,671
11,814 Discovery Laboratories, Inc.(a),(b) 17,957
15,409 Durect Corp.(a) 16,179
16,749 Dyax Corp.(a) 57,952
30,799 Dynavax Technologies Corp.(a) 33,879
4,209 Emergent Biosolutions, Inc.(a) 60,694
15,629 Endo Health Solutions, Inc.(a) 574,991
4,717 Endocyte, Inc.(a) 61,934
5,780 Entremed, Inc.(a) 11,676
8,028 Enzo Biochem, Inc.(a) 16,698
10,923 Enzon Pharmaceuticals, Inc. 21,846
9,521 Exact Sciences Corp.(a),(b) 132,437
26,738 Exelixis, Inc.(a) 121,391
1,224 Furiex Pharmaceuticals, Inc.(a) 41,702
4,451 GTx, Inc.(a) 29,377
15,693 Galena Biopharma, Inc.(a),(b) 34,838
2,916 Genomic Health, Inc.(a) 92,466
3,691 GenVec, Inc.(a) 1,366
22,762 Geron Corp.(a) 34,143
13,153 Halozyme Therapeutics, Inc.(a) 104,435
4,947 Harvard Bioscience,Inc.(a) 23,399
9,683 Hemispherx Biopharma, Inc.(a) 2,155
1,806 Hi-Tech Pharmacal Co., Inc. 59,959
14,423 Idenix Pharmaceuticals, Inc.(a) 52,067
6,210 Idera Pharmaceuticals,Inc.(a) 4,068
17,153 Illumina, Inc.(a) 1,283,731
12,509 ImmunoGen, Inc.(a) 207,524
12,026 Immunomedics, Inc.(a) 65,421
9,177 Impax Laboratories, Inc.(a) 183,081
19,037 Incyte Corp.(a) 418,814
6,392 Infinity Pharmaceuticals, Inc.(a) 103,870
16,169 Inovio Pharmaceuticals,Inc.(a) 12,872
4,928 Insmed, Inc.(a) 58,939
11,871 InterMune, Inc.(a) 114,199
13,390 Ironwood Pharmaceuticals, Inc.(a) 133,230
15,718 Isis Pharmaceuticals, Inc.(a) 422,343
7,073 Jazz Pharmaceuticals Plc(a) 486,127
12,202 Keryx Biopharmaceuticals, Inc.(a) 91,149
73,027 Lexicon Pharmaceuticals, Inc.(a) 158,469
3,101 Ligand Pharmaceuticals, Inc.(a) 116,039
5,683 Luminex Corp.(a) 117,127
8,070 Mallinckrodt Plc(a) 366,620
22,769 MannKind Corp.(a) 147,998
8,041 Maxygen, Inc. 19,942
7,933 The Medicines Co.(a) 244,019
10,533 Medivation, Inc.(a),(b) 518,224
6,981 Momenta Pharmaceuticals, Inc.(a) 105,134
11,246 Myriad Genetics, Inc.(a) 302,180
================================================================================
54 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
13,393 NPS Pharmaceuticals, Inc.(a) $ 202,234
16,720 Nektar Therapeutics(a) 193,116
14,538 Neuralstem, Inc.(a),(b) 21,662
9,163 Neurocrine Biosciences, Inc.(a) 122,601
22,933 Novavax, Inc.(a) 47,013
932 OXiGENE, Inc.(a) 2,554
2,824 OncoGenex Pharmaceutical, Inc.(a) 27,675
10,788 Oncothyreon, Inc.(a) 16,829
10,170 Onyx Pharmaceuticals, Inc.(a) 1,224,050
22,838 Opko Health, Inc.(a),(b) 162,150
7,213 Optimer Pharmaceuticals, Inc.(a) 104,372
12,774 Orexigen Therapeutics, Inc.(a) 74,728
2,774 Osiris Therapeutics, Inc.(a) 27,934
20,740 PDL BioPharma, Inc. 160,113
6,221 Pacific Biosciences of California, Inc.(a) 15,677
6,775 Pain Therapeutics, Inc.(a) 14,973
9,887 Palatin Technologies, Inc.(a) 5,932
23,198 Peregrine Pharmaceuticals, Inc.(a),(b) 29,925
2,820 Pernix Therapeutics Holdings, Inc.(a) 10,180
7,320 Pharmacyclics, Inc.(a) 581,720
5,365 Pozen, Inc.(a) 26,879
7,384 Prestige Brands Holdings, Inc.(a) 215,170
7,562 Progenics Pharmaceuticals, Inc.(a) 33,727
8,150 Questcor Pharmaceuticals, Inc. 370,499
3,331 Quintiles Transnational Holdings, Inc.(a) 141,767
8,793 Raptor Pharmaceutical Corp.(a) 82,215
5,174 Repligen Corp.(a) 42,634
2,855 Repros Therapeutics, Inc.(a) 52,675
17,083 Rexahn Pharmaceuticals, Inc.(a),(b) 7,585
12,898 Rigel Pharmaceuticals, Inc.(a) 43,079
7,535 SIGA Technologies, Inc.(a) 21,399
2,057 Sagent Pharmaceuticals, Inc.(a) 43,156
7,312 Salix Pharmaceuticals Ltd.(a) 483,689
8,148 Sangamo Biosciences, Inc.(a) 63,636
8,681 Santarus, Inc.(a) 182,735
4,398 Sarepta Therapeutics, Inc.(a) 167,344
12,887 Savient Pharmaceuticals, Inc.(a),(b) 7,217
8,453 Sciclone Pharmaceuticals, Inc.(a) 41,927
14,781 Seattle Genetics, Inc.(a) 465,010
17,251 Sequenom, Inc.(a),(b) 72,627
8,012 Spectrum Pharmaceuticals, Inc. 59,770
10,321 StemCells, Inc.(a) 17,030
4,728 Strategic Diagnostics,Inc.(a) 4,259
6,342 Sucampo Pharmaceuticals, Inc., Class A(a) 41,730
1,605 Synageva BioPharma Corp.(a) 67,410
7,276 Synta Pharmaceuticals Corp.(a) 36,307
4,538 Targacept, Inc.(a) 19,377
4,949 Techne Corp. 341,877
3,273 Telik, Inc.(a) 4,419
9,747 Theravance, Inc.(a) 375,552
6,916 Threshold Pharmaceuticals, Inc.(a) 36,378
3,283 Transcept Pharmaceuticals, Inc.(a) 9,915
3,113 Trubion Pharmaceuticals, Inc. -
6,543 United Therapeutics Corp.(a) 430,660
================================================================================
SCHEDULE OF INVESTMENTS | 55
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,525 Vanda Pharmaceuticals, Inc.(a) $ 36,562
6,479 Venaxis, Inc.(a) 7,775
6,225 Ventrus Biosciences, Inc.(a) 14,940
30,539 Vertex Pharmaceuticals, Inc.(a) 2,439,150
11,769 Vical, Inc.(a) 36,837
9,260 ViroPharma, Inc.(a),(b) 265,299
14,209 Vivus, Inc.(a) 178,749
24,226 Warner Chilcott Plc, Class A 481,613
13,411 XOMA Corp.(a) 48,682
7,420 Xenoport, Inc.(a) 36,729
14,510 ZIOPHARM Oncology, Inc.(a),(b) 30,471
11,758 Zalicus, Inc.(a),(b) 6,633
------------
23,597,257
------------
REAL ESTATE INVESTMENT & SERVICES - 0.8%
1,823 AV Homes, Inc.(a) 32,322
6,214 Alexander & Baldwin, Inc.(a) 247,006
900 American Realty Investors, Inc.(a) 4,482
1,241 BBX Capital Corp.(a) 16,021
927 Consolidated-Tomoka Land Co. 35,374
20,516 Forest City Enterprises, Inc., Class A(a) 367,442
4,954 Forestar Group, Inc.(a) 99,377
4,735 HFF, Inc., Class A 84,141
7,787 Home Loan Servicing Solutions Ltd. 186,654
4,056 The Howard Hughes Corp.(a) 454,637
6,148 Jones Lang LaSalle, Inc. 560,329
6,998 Kennedy-Wilson Holdings, Inc. 116,447
4,115 Market Leader, Inc.(a) 44,031
3,389 Maui Land & Pineapple Co., Inc.(a) 13,759
6,508 Move, Inc.(a) 83,433
2,611 Nationstar Mortgage Holdings, Inc.(a) 97,756
16,464 Realogy Holdings Corp.(a) 790,931
1,655 Reis, Inc.(a) 30,601
12,521 The St.Joe Co.(a) 263,567
2,270 Tejon Ranch Co.(a) 64,672
4,684 Thomas Properties Group, Inc. 24,825
393 Transcontinental Realty Investors, Inc.(a) 3,458
2,183 Zillow, Inc.(a) 122,903
3,206 ZipRealty, Inc.(a) 10,035
------------
3,754,203
------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 8.9%
53,415 ARMOUR Residential REIT, Inc. 251,585
7,777 Acadia Realty Trust(b) 192,014
2,204 Agree Realty Corp. 65,062
306 Alexander's, Inc. 89,875
9,667 Alexandria Real Estate Equities, Inc. 635,315
5,090 American Assets Trust, Inc. 157,077
14,506 American Campus Communities, Inc. 589,814
54,348 American Capital Agency Corp. 1,249,461
8,388 American Capital Mortgage Investment Corp. 150,732
23,079 American Realty Capital Properties, Inc. 352,186
128,541 Annaly Capital Management, Inc. 1,615,760
19,755 Anworth Mortgage Asset Corp. 110,628
6,184 Apollo Commercial Real Estate Finance, Inc. 98,202
4,553 Apollo Residential Mortgage, Inc. 75,033
5,043 Arbor Realty Trust, Inc. 31,670
1,883 Arlington Asset Investment Corp. 50,351
================================================================================
56 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
8,928 Ashford Hospitality Trust, Inc. $ 102,226
7,540 Associated Estates Realty Corp. 121,243
2,321 Aviv REIT, Inc. 58,698
10,672 BRE Properties 533,813
2,288 BRT Realty Trust(a) 16,016
25,712 BioMed Realty Trust, Inc. 520,154
3,675 Blackstone Mortgage Trust, Inc. Class A 90,772
21,467 Brandywine Realty Trust(b) 290,234
22,503 CBL & Associates Properties, Inc.(b) 482,014
24,856 CYS Investments, Inc. 228,924
11,568 Camden Property Trust(b) 799,812
9,354 Campus Crest Communities, Inc. 107,945
13,106 CapLease, Inc. 110,615
13,114 Capstead Mortgage Corp. 158,679
8,184 Cedar Realty Trust, Inc. 42,393
3,721 Chatham Lodging Trust 63,927
7,423 Chesapeake Lodging Trust 154,324
143,894 Chimera Investment Corp. 431,682
11,328 Colonial Properties Trust 273,231
9,988 Colony Financial, Inc. 198,661
16,507 CommonWealth REIT 381,642
3,139 Coresite Realty Corp. 99,852
11,862 Corporate Office Properties Trust 302,481
14,770 Cousins Properties, Inc. 149,177
17,013 CubeSmart 271,868
2,762 CyrusOne, Inc. 57,284
40,467 DCT Industrial Trust, Inc. 289,339
34,117 DDR Corp. 568,048
26,374 DiamondRock Hospitality Co.(b) 245,806
17,703 Digital Realty Trust, Inc. 1,079,883
18,359 Douglas Emmett, Inc.(b) 458,057
44,361 Duke Realty Corp.(b) 691,588
9,148 DuPont Fabros Technology, Inc. 220,924
6,591 EPR Properties(b) 331,330
4,283 Eastgroup Properties, Inc. 241,004
16,049 Education Realty Trust, Inc. 164,181
5,416 Equity Lifestyle Properties, Inc. 425,643
8,259 Equity One, Inc.(b) 186,901
5,236 Essex Property Trust, Inc.(b) 832,105
7,675 Excel Trust, Inc. 98,317
14,385 Extra Space Storage, Inc. 603,163
8,972 Federal Realty Investment Trust 930,217
16,736 FelCor Lodging Trust, Inc.(a) 98,910
13,876 First Industrial Realty Trust, Inc. 210,499
8,664 First Potomac Realty Trust 113,152
12,131 Franklin Street Properties Corp. 160,129
61,788 General Growth Properties, Inc. 1,227,728
4,166 Getty Realty Corp. 86,028
2,892 Gladstone Commercial Corp. 53,907
20,177 Glimcher Realty Trust 220,333
8,160 Government Properties Income Trust(b) 205,795
7,168 Gramercy Property Trust, Inc.(a) 32,256
13,403 Hatteras Financial Corp. 330,250
12,400 Healthcare Realty Trust, Inc. 316,200
7,578 Healthcare Trust of America, Inc. 85,101
24,760 Hersha Hospitality Trust 139,646
11,308 Highwoods Properties, Inc.(b) 402,678
7,146 Home Properties, Inc.(b) 467,134
19,222 Hospitality Properties Trust 505,154
================================================================================
SCHEDULE OF INVESTMENTS | 57
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
6,696 Hudson Pacific Properties, Inc. $ 142,491
12,531 Inland Real Estate Corp. 128,067
18,894 InvesCo. Mortgage Capital, Inc. 312,885
14,691 Investors Real Estate Trust 126,343
10,788 iStar Financial, Inc.(a) 121,797
10,488 Kilroy Realty Corp. 555,969
12,503 Kite Realty Group Trust 75,393
4,945 LTC Properties, Inc. 193,102
13,054 LaSalle Hotel Properties 322,434
25,384 Lexington Realty Trust(b) 296,485
16,526 Liberty Property Trust(b) 610,801
48,548 MFA Financial, Inc. 410,231
10,275 MPG Office Trust, Inc.(a) 32,264
11,274 Mack-Cali Realty Corp.(b) 276,100
20,917 Medical Properties Trust, Inc. 299,531
5,900 Mid-America Apartment Communities, Inc.(b) 399,843
456 Mission West Properties, Inc. -
7,237 Monmouth Real Estate Investment Corp., Class A 71,429
3,452 National Health Investors, Inc.(b) 206,637
16,437 National Retail Properties, Inc. 565,433
11,088 New York Mortgage Trust, Inc.(b) 75,066
28,460 NorthStar Realty Finance Corp. 258,986
16,143 Omega Healthcare Investors, Inc. 500,756
1,966 One Liberty Properties, Inc. 43,173
2,432 PMC Commercial Trust 19,991
2,512 PS Business Parks, Inc. 181,291
6,144 Parkway Properties, Inc. 102,973
8,823 Pebblebrook Hotel Trust 228,075
8,996 Pennsylvania Real Estate Investment Trust 169,844
5,478 PennyMac Mortgage Investment Trust(d) 115,312
23,141 Piedmont Office Realty Trust, Inc. 413,761
7,503 Post Properties, Inc.(b) 371,323
5,699 Potlatch Corp. 230,468
9,338 RAIT Financial Trust 70,222
16,877 RLJ Lodging Trust 379,564
8,422 Ramco-Gershenson Properties Trust 130,794
17,326 Rayonier, Inc.(b) 959,687
26,755 Realty Income Corp. 1,121,570
11,558 Redwood Trust, Inc. 196,486
12,604 Regency Centers Corp.(b) 640,409
18,779 Resource Capital Corp.(b) 115,491
8,411 Retail Opportunity Investments Corp. 116,913
3,548 Rouse Properties, Inc. 69,612
12,554 SL Green Realty Corp.(b) 1,107,137
6,621 STAG Industrial, Inc. 132,089
5,520 Sabra Healthcare REIT,Inc. 144,127
2,110 Saul Centers, Inc. 93,811
26,058 Senior Housing Properties Trust 675,684
4,967 Silver Bay Realty Trust Corp. 82,254
4,351 Sovran Self Storage, Inc. 281,901
22,608 Starwood Property Trust, Inc. 559,548
25,179 Strategic Hotel Capital, Inc.(a) 223,086
4,792 Sun Communities, Inc. 238,450
22,904 Sunstone Hotel Investors, Inc.(a) 276,680
7,885 Supertel Hospitality, Inc.(a) 7,083
13,160 Tanger Factory Outlet Centers, Inc. 440,334
8,368 Taubman Centers, Inc. 628,855
3,739 Terreno Realty Corp. 69,284
51,210 Two Harbors Investment Corp. 524,902
34,428 UDR, Inc.(b) 877,570
4,403 UMH Properties, Inc. 45,219
1,725 Universal Health Realty Income Trust 74,399
================================================================================
58 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
3,383 Urstadt Biddle Properties, Inc., Class A $ 68,235
7,902 WP Carey, Inc. 522,875
4,961 Walter Investment Management Corp.(a) 167,731
9,108 Washington Real Estate Investment Trust 245,096
15,433 Weingarten Realty Investors 474,873
5,028 Winthrop Realty Trust 60,487
------------
43,464,550
------------
SOFTWARE & COMPUTER SERVICES - 6.0%
5,613 ACI Worldwide, Inc.(a),(b) 260,892
12,854 Ansys, Inc.(a) 939,627
11,019 AOL, Inc.(a) 401,973
8,591 Accelrys, Inc.(a) 72,164
3,089 Acorn Energy, Inc.(b) 26,071
5,680 The Active Network, Inc.(a) 42,998
7,378 Actuate Corp.(a) 48,990
4,549 Advent Software, Inc.(a) 159,488
6,801 Alliance Data Systems Corp.(a) 1,231,185
24,687 Allscripts Healthcare Solutions, Inc.(a) 319,450
22,117 Amdocs Ltd. 820,320
3,879 American Software, Inc., Class A 33,708
952 Analysts International Corp.(a) 3,637
13,130 Aspen Technology, Inc.(a) 378,013
5,093 athenahealth, Inc.(a) 431,479
6,322 Authentidate Holding Corp.(a) 5,500
6,364 Blackbaud, Inc. 207,275
6,376 Blucora, Inc.(a) 118,211
5,251 Bottomline Technologies, Inc.(a) 132,798
3,996 BroadSoft, Inc.(a) 110,290
3,375 BSQUARE Corp.(a) 9,281
3,187 CACI International, Inc., Class A(a) 202,343
9,585 Ciber, Inc.(a) 32,014
4,787 CSG Systems International, Inc.(b) 103,878
39,335 Cadence Design Systems, Inc.(a),(b) 569,571
4,955 Calix, Inc.(a) 50,045
6,124 Callidus Software, Inc.(a) 40,357
61,961 Clearwire Corp., Class A(a) 308,566
6,572 Cogent Communications Group, Inc. 185,002
6,024 CommVault Systems, Inc.(a) 457,161
1,608 Computer Programs & Systems, Inc. 79,017
2,265 Computer Task Group, Inc. 52,027
29,289 Compuware Corp.(c) 303,141
3,243 Comverse, Inc.(a) 96,512
6,405 Concur Technologies, Inc.(a) 521,239
4,883 Cornerstone OnDemand, Inc.(a),(b) 211,385
2,713 Crexendo, Inc. 7,325
4,070 DST Systems, Inc. 265,893
2,530 Datalink Corp.(a) 26,919
6,143 DealerTrack Technologies, Inc.(a),(b) 217,646
7,736 DeVry, Inc. 239,971
1,309 Digimarc Corp. 27,188
5,623 Digital River, Inc.(a) 105,544
2,140 Dynamics Research Corp.(a) 11,920
4,650 EPIQ Systems, Inc. 62,635
15,841 EarthLink, Inc. 98,373
4,598 Ebix, Inc. 42,577
3,681 Envestnet, Inc.(a) 90,553
6,803 Equinix, Inc.(a),(b) 1,256,650
1,901 Evolving Systems, Inc. 12,604
3,833 ExactTarget, Inc.(a) 129,249
76,737 Facebook, Inc.(a) 1,907,682
5,000 Fair Isaac Corp. 229,150
6,457 FalconStor Software, Inc.(a) 8,846
1,873 Forrester Research, Inc. 68,720
18,938 Fortinet, Inc.(a) 331,415
4,471 GSE Systems, Inc.(a) 6,751
================================================================================
SCHEDULE OF INVESTMENTS | 59
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
12,956 Gartner, Inc.(a) $ 738,362
2,702 Guidance Software, Inc.(a) 23,615
4,230 Guidewire Software, Inc.(a) 177,871
4,068 The Hackett Group, Inc. 21,113
10,874 IAC/InterActiveCorp. 517,167
5,977 ICG Group, Inc.(a) 68,138
4,441 iGate Corp.(a) 72,921
4,213 Immersion Corp.(a) 55,822
5,693 Infoblox, Inc.(a) 166,577
14,963 Informatica Corp.(a) 523,406
3,774 Innodata Corp.(a) 12,077
2,239 Interactive Intelligence Group, Inc.(a) 115,532
7,670 Internap Network Services Corp.(a) 63,431
1,714 Internet Patents Corp.(a) 6,050
6,452 IntraLinks Holdings, Inc.(a) 46,842
9,522 Inuvo, Inc.(a) 7,618
10,039 Ipass, Inc.(a) 18,974
6,383 j2 Global, Inc. 271,341
4,371 The KEYW Holding Corp.(a) 57,916
2,408 Keynote Systems, Inc. 47,582
11,095 Limelight Networks, Inc.(a) 24,964
7,668 LivePerson, Inc.(a) 68,667
3,298 LogMeIn, Inc.(a) 80,669
9,057 LookSmart Ltd.(a) 6,340
2,778 Manhattan Associates, Inc.(a) 214,350
688 Mastech Holdings, Inc. 5,263
7,596 MedAssets, Inc.(a) 134,753
3,269 Medidata Solutions, Inc.(a),(b) 253,184
13,100 Mentor Graphics Corp. 256,105
10,446 Merge Healthcare, Inc.(a) 37,606
3,244 Meru Networks, Inc.(a) 13,073
1,309 MicroStrategy, Inc., Class A(a) 113,831
3,977 Mitek Systems, Inc.(a) 22,987
5,459 Monotype Imaging Holdings, Inc. 138,713
3,161 Multiband Corp.(a) 10,020
2,004 NCI, Inc., Class A(a) 8,297
9,052 NIC, Inc. 149,630
5,026 NetScout Systems, Inc.(a) 117,307
4,047 NetSuite, Inc.(a),(b) 371,272
35,054 Nuance Communications, Inc.(a) 644,292
3,124 PC-Tel, Inc. 26,492
3,817 PDF Solutions, Inc.(a) 70,347
2,938 PROS Holdings, Inc.(a) 87,993
16,535 PTC, Inc.(a) 405,604
4,823 Palo Alto Networks, Inc.(a) 203,338
2,534 Pegasystems, Inc. 83,926
5,628 Perficient, Inc.(a) 75,077
6,468 Premiere Global Services, Inc.(a) 78,069
7,765 Progress Software Corp.(a) 178,673
671 QAD, Inc., Class A 7,703
1,021 QAD, Inc., Class B 10,639
10,488 QLIK Technologies, Inc.(a) 296,496
5,658 Quality Systems, Inc. 105,861
15,420 Rackspace Hosting, Inc.(a) 584,264
5,505 RealPage, Inc.(a) 100,962
1,771 RigNet, Inc.(a) 45,125
2,013 Rosetta Stone, Inc.(a) 29,672
14,299 Rovi Corp.(a) 326,589
8,017 SS&C Technologies Holdings, Inc.(a) 263,759
15,629 Sapient Corp.(a) 204,115
2,655 SciQuest, Inc.(a) 66,508
1,394 Selectica, Inc.(a) 12,421
2,057 ServiceNow, Inc.(a) 83,082
7,292 Smith Micro Software, Inc.(a) 7,730
114 SoftBrands, Inc.(a) -
8,616 SolarWinds, Inc.(a) 334,387
9,539 Solera Holdings, Inc. 530,845
4,420 Sourcefire, Inc.(a),(b) 245,531
4,036 Splunk, Inc.(a) 187,109
8,513 Support.com, Inc.(a) 38,904
3,937 Synchronoss Technologies, Inc.(a) 121,535
21,196 Synopsys, Inc.(a) 757,757
2,238 Syntel, Inc. 140,703
21,614 TIBCO Software, Inc.(a) 462,540
================================================================================
60 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,749 Tangoe, Inc.(a) $ 73,277
7,111 TeleCommunication Systems, Inc., Class A(a) 16,569
3,039 TeleNav, Inc.(a) 15,894
3,866 Tyler Technologies, Inc.(a) 265,014
3,994 Ultimate Software Group, Inc.(a),(b) 468,456
6,285 Unisys Corp.(a) 138,710
14,269 United Online, Inc. 108,159
10,970 Unwired Planet, Inc.(a) 21,391
4,809 VASCO Data Security International, Inc.(a) 39,963
11,807 VMware, Inc., Class A(a) 790,951
12,557 Vantiv, Inc.Class A(a) 346,573
7,402 Verint Systems, Inc.(a) 262,549
5,989 VirnetX Holding Corp.(a),(b) 119,720
2,960 Virtusa Corp.(a) 65,594
3,191 Vocus, Inc.(a) 33,569
600 Voltari Corp.(a) 2,142
15,303 Wave Systems Corp., Class A(a) 4,591
4,705 Web.com Group, Inc.(a) 120,448
3,534 Workday, Inc., Class A(a) 226,494
9,594 Zix Corp.(a) 40,583
69,187 Zynga, Inc.Class A(a),(b) 192,340
------------
29,323,640
------------
SUPPORT SERVICES - 4.5%
2,658 A.M.Castle & Co.(a) 41,890
6,822 ABM Industries, Inc. 167,207
1,470 ADA-ES, Inc.(a) 61,916
6,605 AMN Healthcare Services, Inc.(a) 94,584
600 AMREP Corp.(a) 5,550
6,202 ARC Document Solutions, Inc.(a) 24,808
6,989 Acacia Research Corp. 156,204
4,935 The Advisory Board Co.(a),(b) 269,698
5,717 Applied Industrial Technologies, Inc. 276,303
6,363 Barnes Group, Inc. 190,826
1,011 Barrett Business Services, Inc. 52,784
2,301 Black Box Corp. 58,261
5,067 Booz Allen Hamilton Holding Corp. 88,065
6,523 The Brink's Co. 166,402
16,618 Broadridge Financial Solutions LLC 441,706
7,327 CBIZ, Inc.(a) 49,164
2,126 CDI Corp. 30,104
1,531 CRA International, Inc.(a) 28,278
6,332 Cardtronics, Inc.(a) 174,763
6,367 Casella Waste Systems, Inc.(a) 27,442
1,332 Cass Information Systems, Inc. 61,405
11,249 Cenveo, Inc.(a) 23,960
7,485 Clean Harbors, Inc.(a) 378,217
5,075 Comfort Systems USA, Inc. 75,719
1,238 Consolidated Graphics,Inc.(a) 58,198
14,068 Convergys Corp. 245,205
13,098 CoreLogic, Inc.(a) 303,481
4,690 The Corporate Executive Board Co. 296,502
15,913 Corrections Corp.of America 538,973
3,775 CoStar Group, Inc.(a) 487,239
3,730 Crawford & Co., Class B 20,963
4,872 Cross Country Healthcare, Inc.(a) 25,140
1,402 DXP Enterprises, Inc.(a) 93,373
7,053 Deluxe Corp. 244,387
7,329 Dice Holdings, Inc.(a) 67,500
10,513 DigitalGlobe, Inc.(a) 326,008
4,370 Document Security Systems, Inc.(a),(b) 10,051
5,424 The Dolan Co.(a) 8,841
3,131 ENGlobal Corp.(a) 2,974
3,913 EVERTEC, Inc.(a) 85,969
3,676 Ennis, Inc. 63,558
6,543 Euronet Worldwide, Inc.(a) 208,460
3,877 ExamWorks Group, Inc.(a) 82,309
3,734 ExlService Holdings, Inc.(a) 110,377
1,920 Exponent, Inc. 113,491
5,569 FTI Consulting, Inc.(a) 183,164
================================================================================
SCHEDULE OF INVESTMENTS | 61
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
9,173 FleetCor Technologies, Inc.(a) $ 745,765
2,789 Franklin Covey Co.(a) 37,540
300 Frontline Capital Group -
2,618 Fuel Tech, Inc.(a) 10,027
5,698 Furmanite Corp.(a) 38,120
2,761 G&K Services, Inc., Class A 131,424
2,943 GP Strategies Corp.(a) 70,102
18,523 Genpact Ltd. 356,383
9,900 The Geo Group, Inc. 336,105
9,555 Global Cash Access, Inc.(a) 59,814
10,816 Global Payments, Inc. 500,997
2,352 Global Power Equipment Group, Inc. 37,914
7,323 Harris Interactive, Inc.(a) 13,255
5,076 Heartland Payment Systems, Inc. 189,081
2,399 Heidrick & Struggles International, Inc. 40,111
1,384 Heritage-Crystal Clean, Inc.(a) 20,220
4,996 Higher One Holdings, Inc.(a) 58,153
4,534 Hudson Global, Inc.(a) 11,244
3,276 Huron Consulting Group, Inc.(a) 151,482
2,842 ICF International, Inc.(a) 89,551
4,517 Innerworkings, Inc.(a) 49,010
3,058 Insperity, Inc. 92,657
11,818 Jack Henry & Associates, Inc. 556,982
3,701 Kaman Corp., Class A 127,907
3,691 Kelly Services, Inc., Class A 64,482
4,137 Kforce, Inc. 60,400
6,869 Korn/Ferry International(a) 128,725
634 Lawson Products, Inc. 8,141
11,714 Lender Processing Services, Inc. 378,948
3,155 Lincoln Educational Services Corp. 16,627
9,644 LinkedIn Corp.(a) 1,719,525
9,164 Lionbridge Technologies, Inc.(a) 26,576
4,748 MAXIMUS, Inc. 353,631
6,435 MSC Industrial Direct Co., Class A 498,455
1,735 MWI Veterinary Supply, Inc.(a) 213,821
2,116 Management Network Group, Inc.(a) 6,433
10,543 Manpower, Inc. 577,756
3,220 McGrath RentCorp 109,995
7,655 Metalico, Inc.(a) 9,186
1,284 Michael Baker Corp. 34,809
2,355 Mistras Group, Inc.(a) 41,401
5,345 Mobile Mini, Inc.(a) 177,187
6,550 Moduslink Global Solutions, Inc.(a) 20,829
16,353 Monster Worldwide, Inc.(a) 80,293
7,098 Navigant Consulting, Inc.(a) 85,176
9,025 NeuStar, Inc., Class A(a) 439,337
12,531 Odyssey Marine Exploration, Inc.(a) 37,092
3,057 Official Payments Holdings, Inc.(a) 20,940
6,288 On Assignment, Inc.(a) 168,015
3,944 Outerwall, Inc.(a) 231,395
3,750 PRGX Global, Inc.(a) 20,588
1,366 Park-Ohio Holdings Corp.(a) 45,051
8,189 Perma-Fix Environmental Services, Inc.(a) 2,948
2,629 PowerSecure International, Inc.(a) 39,514
3,498 Quad/Graphics, Inc. 84,302
25,030 R.R.Donnelley & Sons Co. 350,670
3,484 RPX Corp.(a) 58,531
2,007 Rentrak Corp.(a) 40,281
5,593 Resources Connection, Inc. 64,879
3,079 Schnitzer Steel Industries, Inc., Class A 71,987
================================================================================
62 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
7,443 ServiceSource International, Inc.(a) $ 69,369
3,560 Sharps Compliance Corp.(a) 9,327
1,933 Startek, Inc.(a) 9,143
16,316 Swisher Hygiene, Inc.(a) 14,030
5,423 SYKES Enterprises, Inc.(a) 85,467
910 The The Standard Register Co.(a) 2,621
2,779 Team, Inc.(a) 105,185
3,076 TeleTech Holdings, Inc.(a) 72,071
8,863 Tetra Tech, Inc.(a),(b) 208,369
7,781 Towers Watson & Co., Class A 637,575
5,783 TrueBlue, Inc.(a) 121,732
10,306 URS Corp. 486,649
2,489 US Ecology, Inc. 68,298
2,103 Unifirst Corp. 191,899
13,103 United Rentals, Inc.(a) 653,971
5,474 United Stationers, Inc. 183,653
3,265 Universal Technical Institute, Inc. 33,727
20,283 Verisk Analytics, Inc.(a) 1,210,895
2,777 Viad Corp. 68,092
5,354 WEX, Inc.(a) 410,652
16,879 Waste Connections, Inc. 694,402
------------
21,870,316
------------
TECHNOLOGY HARDWARE & EQUIPMENT - 4.6%
12,876 3D Systems Corp.(a),(b) 565,256
8,230 Adtran, Inc. 202,540
12,187 Anadigics, Inc.(a) 26,811
15,962 ARRIS Group, Inc.(a) 229,055
4,491 ATMI, Inc.(a) 106,212
5,453 AXT, Inc.(a) 14,723
5,195 Advanced Energy Industries, Inc.(a) 90,445
2,279 Agilysys, Inc.(a) 25,730
1,164 Alliance Fiber Optic Products, Inc. 23,292
9,534 Amkor Technology, Inc.(a) 40,138
2,148 Amtech Systems, Inc.(a) 13,661
9,668 Applied Micro Circuits Corp.(a) 85,078
15,255 Aruba Networks, Inc.(a) 234,317
59,145 Atmel Corp.(a) 434,716
29,628 Avago Technologies Ltd. 1,107,495
9,111 Aviat Networks, Inc.(a) 23,871
2,015 Aware, Inc. 10,478
16,588 Axcelis Technologies, Inc.(a) 30,190
62,618 Brocade Communications Systems, Inc.(a) 360,680
8,894 Brooks Automation, Inc. 86,539
1,397 CVD Equipment Corp.(a),(b) 11,637
3,193 Cabot Microelectronics Corp.(a) 105,401
5,028 CalAmp Corp.(a) 73,409
7,236 Cavium, Inc.(a),(b) 255,937
3,559 Ceva, Inc.(a) 68,902
14,377 Ciena Corp.(a),(b) 279,201
8,862 Cirrus Logic, Inc.(a) 153,844
2,144 Clearfield, Inc.(a) 20,196
3,077 Cohu, Inc. 38,462
2,357 Comtech Telecommunications Corp. 63,380
1,957 Concurrent Computer Corp. 14,971
5,314 Cray, Inc.(a),(b) 104,367
16,249 Cree, Inc.(a),(b) 1,037,661
18,773 Cypress Semiconductor Corp. 201,434
3,429 DSP Group, Inc.(a) 28,495
368 Dataram Corp.(a) 1,373
8,741 Diebold, Inc. 294,484
3,951 Digi International, Inc.(a) 37,021
4,959 Diodes, Inc.(a) 128,785
9,114 Dot Hill Systems Corp.(a) 19,960
4,659 Dycom Industries, Inc.(a) 107,809
5,443 EchoStar Corp.Class A(a) 212,876
6,580 Electronics for Imaging, Inc.(a) 186,148
3,572 Emcore Corp.(a) 12,859
13,108 Emulex Corp.(a) 85,464
19,448 Entegris, Inc.(a) 182,617
13,357 Entropic Communications, Inc.(a) 57,034
================================================================================
SCHEDULE OF INVESTMENTS | 63
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
6,920 Exar Corp.(a) $ 74,528
14,326 Extreme Networks, Inc.(a) 49,425
17,522 Fairchild Semiconductor International, Inc.(a) 241,804
13,082 Finisar Corp.(a) 221,740
7,444 Formfactor, Inc.(a) 50,247
10,122 Fusion-io, Inc.(a) 144,137
3,827 GSI Technology, Inc.(a) 24,187
3,694 Globecomm Systems, Inc.(a) 46,692
16,504 Harmonic, Inc.(a) 104,800
3,796 Hittite Microwave Corp.(a) 220,168
4,488 Hutchinson Technology, Inc.(a) 21,228
2,125 ID Systems, Inc.(a) 10,689
3,474 IXYS Corp. 38,422
7,272 Identive Group, Inc.(a) 5,258
682 iGO, Inc.(a) 1,589
11,101 Ikanos Communications, Inc.(a) 16,540
4,885 Imation Corp.(a) 20,664
16,318 Infinera Corp.(a) 174,113
3,600 Infosonics Corp.(a) 1,620
20,738 Ingram Micro, Inc., Class A(a) 393,815
2,958 Inphi Corp.(a) 32,538
5,871 Insight Enterprises, Inc.(a) 104,152
20,554 Integrated Device Technology, Inc.(a) 163,199
4,066 Integrated Silicon Solutions, Inc.(a) 44,563
4,710 Inteliquent, Inc. 27,083
5,852 InterDigital, Inc. 261,292
8,474 Intermec, Inc.(a) 83,299
9,675 International Rectifier Corp.(a) 202,594
17,151 Intersil Corp., Class A 134,121
7,818 Ixia(a) 143,851
2,575 KVH Industries, Inc.(a) 34,273
10,311 Kopin Corp.(a) 38,254
10,550 Kulicke & Soffa Industries, Inc.(a) 116,683
8,678 LRAD Corp.(a) 9,806
7,225 LTX-Credence Corp.(a) 43,278
3,162 Lantronix, Inc.(a) 4,996
16,665 Lattice Semiconductor Corp.(a) 84,492
8,746 Lexmark International, Inc., Class A 267,365
1,796 Loral Space & Communications Ltd. 107,724
10,922 Micros Systems, Inc.(a) 471,284
7,265 MKS Instruments, Inc. 192,813
58,998 Marvell Technology Group Ltd. 690,867
9,962 Mattson Technology, Inc.(a) 21,717
39,746 Maxim Integrated Products, Inc. 1,104,144
4,409 MaxLinear, Inc., Class A(a) 30,863
4,615 Mercury Systems, Inc.(a) 42,550
6,410 Micrel, Inc. 63,331
12,826 Microsemi Corp.(a) 291,791
6,749 Mindspeed Technologies, Inc.(a) 21,867
4,630 Monolithic Power Systems, Inc. 111,629
7,187 MoSys, Inc.(a) 28,892
22,754 NCR Corp.(a) 750,654
5,386 NETGEAR, Inc.(a) 164,488
3,310 Nanometrics, Inc.(a) 48,558
3,604 NeoPhotonics Corp.(a) 31,319
4,429 NetList, Inc.(a) 3,898
5,803 Novatel Wireless, Inc.(a) 22,922
12,046 OCZ Technology Group, Inc.(a),(b) 17,467
62,321 ON Semiconductor Corp.(a) 503,554
14,879 Oclaro, Inc.(a),(b) 17,557
7,549 Omnivision Technologies, Inc.(a) 140,789
3,034 Oplink Communications, Inc.(a) 52,701
1,750 Optical Cable Corp. 7,753
7,736 Overland Storage, Inc.(a) 8,819
================================================================================
64 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
1,934 PAR Technology Corp.(a) $ 7,794
2,231 PC Connection, Inc. 34,469
6,522 PLX Technology, Inc.(a) 31,045
28,533 PMC-Sierra, Inc.(a) 181,185
13,688 ParkerVision, Inc.(a) 62,280
25,345 Pendrell Corp.(a) 66,404
1,109 Performance Technologies, Inc.(a) 1,309
3,101 Pericom Semiconductor Corp.(a) 22,079
8,475 Photronics, Inc.(a) 68,308
3,290 Pixelworks, Inc.(a) 11,252
5,972 Plantronics, Inc. 262,290
23,951 Polycom, Inc.(a) 252,444
4,085 Power Integrations, Inc. 165,688
358 Preformed Line Products Co. 23,739
3,127 Procera Networks, Inc.(a) 42,934
12,436 QLogic Corp.(a) 118,888
35,782 Quantum Corp.(a) 49,021
9,239 QuickLogic Corp.(a) 20,418
39,280 RF Micro Devices, Inc.(a) 210,148
3,847 Radisys Corp.(a) 18,504
15,720 Rambus, Inc.(a) 135,035
2,148 Rimage Corp. 18,022
22,945 Riverbed Technology, Inc.(a) 357,024
5,008 Rudolph Technologies, Inc.(a) 56,090
5,841 STEC, Inc.(a) 39,252
3,544 SYNNEX Corp.(a),(b) 149,840
3,883 ScanSource, Inc.(a) 124,256
3,948 SeaChange International, Inc.(a) 46,231
9,354 Semtech Corp.(a) 327,671
9,231 Shoretel, Inc.(a) 37,201
5,242 Sigma Designs, Inc.(a) 26,472
5,106 Silicon Graphics International Corp.(a) 68,318
11,660 Silicon Image, Inc.(a) 68,211
5,383 Silicon Laboratories, Inc.(a) 222,910
26,344 Skyworks Solutions, Inc.(a) 576,670
1,158 Sonic Foundry, Inc.(a) 12,275
40,110 Sonus Networks, Inc.(a) 120,731
6,542 Spansion, Inc., Class A(a) 81,906
32,404 SunEdison, Inc.(a),(b) 264,741
3,733 Super Micro Computer, Inc.(a) 39,719
1,639 Supertex, Inc. 39,188
6,740 Symmetricom, Inc.(a) 30,263
4,656 Synaptics, Inc.(a) 179,535
905 Systemax, Inc. 8,516
5,046 Tech Data Corp.(a) 237,616
44,910 Tellabs, Inc. 88,922
7,247 Tessera Technologies, Inc. 150,738
1,900 Transact Technologies, Inc. 15,523
5,338 Transwitch Corp.(a) 1,922
22,844 TriQuint Semiconductor, Inc.(a) 158,309
6,360 USA Technologies, Inc.(a) 11,066
4,606 Ultra Clean Holdings, Inc.(a) 27,866
3,994 Ultratech, Inc.(a),(b) 146,660
2,922 VOXX International Corp.(a) 35,853
15,196 VeriFone Systems, Inc.(a),(b) 255,445
5,675 Viasat, Inc.(a) 405,535
7,535 Vitesse Semiconductor Corp.(a) 19,817
3,634 Volterra Semiconductor Corp.(a) 51,312
3,339 West Corp. 73,925
9,091 Westell Technologies, Inc., Class A(a) 21,727
5,499 Zhone Technologies, Inc.(a) 4,399
------------
22,489,321
------------
TOBACCO - 0.1%
11,097 Alliance One International, Inc.(a) 42,169
4,365 Schweitzer-Mauduit International, Inc. 217,726
================================================================================
SCHEDULE OF INVESTMENTS | 65
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
22,783 Star Scientific, Inc.(a),(b) $ 31,668
3,084 Universal Corp. 178,409
8,426 Vector Group Ltd. 136,670
------------
606,642
------------
TRAVEL & LEISURE - 4.7%
3,511 AFC Enterprises, Inc.(a) 126,185
9,619 Alaska Air Group, Inc.(a) 500,188
2,048 Allegiant Travel Co. 217,067
3,946 Ambassadors Group, Inc. 14,008
4,978 Ameristar Casinos, Inc. 130,872
14,900 Avis Budget Group, Inc.(a) 428,375
3,557 BJ's Restaurants, Inc.(a) 131,965
5,398 Bally Technologies, Inc.(a) 304,555
189 Biglari Holdings, Inc.(a) 77,566
6,212 Bloomin'Brands, Inc.(a) 154,555
3,769 Bob Evans Farms, Inc. 177,068
8,230 Boyd Gaming Corp.(a) 92,999
2,896 Bravo Brio Restaurant Group, Inc.(a) 51,607
9,831 Brinker International, Inc. 387,636
2,679 Buffalo Wild Wings, Inc.(a) 262,971
8,926 Burger King Worldwide, Inc. 174,146
2,384 CEC Entertainment, Inc. 97,839
2,607 Carmike Cinemas, Inc.(a) 50,471
3,017 Carrols Restaurant Group, Inc.(a) 19,490
4,783 Century Casinos, Inc.(a) 16,549
6,775 The Cheesecake Factory, Inc. 283,805
4,072 Choice Hotels International, Inc. 161,618
1,739 Churchill Downs, Inc. 137,120
13,752 Cinemark Holdings, Inc. 383,956
3,314 Cosi, Inc.(a) 7,291
3,261 Cracker Barrel Old Country Store, Inc. 308,686
116,394 Delta Air Lines, Inc.(a) 2,177,732
14,117 Denny's Corp.(a) 79,338
2,308 DineEquity, Inc. 158,952
7,863 Domino's Pizza, Inc. 457,233
3,295 Dover Downs Gaming & Entertainment, Inc. 5,107
4,712 Dover Motorsports, Inc. 10,178
10,378 Dunkin'Brands Group, Inc. 444,386
1,490 Einstein Noah Restaurant Group, Inc. 21,158
3,211 Empire Resorts, Inc.(a) 9,376
3,165 Entertainment Gaming Asia, Inc.(a) 5,824
1,603 Famous Dave's of America, Inc.(a) 24,991
2,879 Fiesta Restaurant Group, Inc.(a) 99,009
3,528 Full House Resorts, Inc.(a) 9,526
1,026 Gaming Partners International Corp. 8,105
7,344 Hawaiian Holdings, Inc.(a) 44,872
55,234 Hertz Global Holdings, Inc.(a),(b) 1,369,803
5,022 HomeAway, Inc.(a) 162,411
7,615 Hyatt Hotels Corp.(a) 307,341
3,105 International Speedway Corp., Class A 97,714
5,356 Interval Leisure Group, Inc. 106,691
3,562 Isle of Capri Casinos, Inc.(a) 26,715
6,213 Jack in the Box, Inc.(a) 244,109
30,570 JetBlue Airways Corp.(a) 192,591
9,422 Krispy Kreme Doughnuts, Inc.(a) 164,414
48,792 Las Vegas Sands Corp. 2,582,561
5,424 Life Time Fitness, Inc.(a) 271,797
3,348 Luby's, Inc.(a) 28,291
51,576 MGM Resorts International(a) 762,293
3,170 MTR Gaming Group, Inc.(a) 10,619
8,548 Madison Square Garden, Inc.(a) 506,469
2,990 Marcus Corp. 38,033
================================================================================
66 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
4,340 Marriott Vacations Worldwide Corp.(a) $ 187,662
1,701 Monarch Casino & Resort, Inc.(a) 28,679
5,742 Morgans Hotel Group Co.(a) 46,281
4,132 Multimedia Games Holding Co., Inc.(a) 107,721
3,361 Norwegian Cruise Line Holdings, Ltd.(a) 101,872
3,851 Orbitz Worldwide, Inc.(a) 30,924
12,672 Orient Express Hotels Ltd., Class A(a) 154,091
3,900 Panera Bread Co., Class A(a),(b) 725,166
2,345 Papa John's International, Inc.(a) 153,293
9,426 Penn National Gaming, Inc.(a) 498,258
8,495 Pinnacle Entertainment, Inc.(a) 167,097
8,491 Premier Exhibitions, Inc.(a) 14,774
3,535 Reading International, Inc., Class A(a) 22,483
3,935 Red Lion Hotels Corp.(a) 24,043
1,878 Red Robin Gourmet Burgers, Inc.(a) 103,628
11,088 Regal Entertainment Group, Series A 198,475
5,460 Republic Airways Holdings, Inc.(a) 61,862
1,858 Rick's Cabaret International, Inc.(a) 16,035
19,652 Royal Caribbean Cruises Ltd. 655,198
8,054 Ruby Tuesday, Inc.(a) 74,338
5,434 Ruth's Hospitality Group, Inc. 65,588
7,218 Ryman Hospitality Properties 281,574
7,864 SHFL Entertainment, Inc.(a) 139,271
7,400 Scientific Games Corp., Class A(a) 83,250
3,718 SeaWorld Entertainment, Inc. 130,502
13,132 Six Flags Entertainment Corp. 461,721
6,485 SkyWest, Inc. 87,807
7,843 Sonic Corp.(a) 114,194
1,229 Speedway Motorsports, Inc. 21,385
6,494 Spirit Airlines, Inc.(a) 206,314
1,878 Steiner Leisure Ltd.(a) 99,271
8,009 Texas Roadhouse, Inc., Class A 200,385
3,399 Town Sports International Holdings, Inc. 36,607
1,453 Travelzoo, Inc.(a),(b) 39,609
22,740 US Airways Group, Inc.(a) 373,391
45,974 United Continental Holdings, Inc.(a) 1,438,526
4,918 Vail Resorts, Inc. 302,555
7,610 WMS Industries, Inc.(a) 194,131
38,661 The Wendy's Co. 225,394
4,291 World Wrestling Entertainment, Inc. 44,240
------------
23,043,822
------------
Total Common Stocks - 96.6% 470,865,441
------------
---------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
---------------------------------------------------------------------------------------------------
OTHER INTERESTS(e)
FIXED LINE TELECOMMUNICATIONS - 0.0%
$ 29 Primus Telecommunications Group, Inc. 1
------------
PHARMACEUTICALS & BIOTECHNOLOGY - 0.0%
3 Merck Contingent Value -
------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 0.0%
4 AmeriVest Properties, Inc.(a) -
------------
================================================================================
SCHEDULE OF INVESTMENTS | 67
================================================================================
---------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000) INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------
TECHNOLOGY HARDWARE & EQUIPMENT - 0.0%
$ 4 Gerber Scientific, Inc. -
------------
TRAVEL & LEISURE - 0.0%
13 FRD Acquisition Co. -
------------
Total Other Interests - 0.0% 1
------------
---------------------------------------------------------------------------------------------------
PAR
(000)
---------------------------------------------------------------------------------------------------
RIGHTS
AUTOMOBILES & PARTS - 0.0%
2,419 Federal-Mogul Corp. (Expires 12/27/14)(a) 411
------------
Total Rights - 0.0% 411
------------
---------------------------------------------------------------------------------------------------
SHARES
---------------------------------------------------------------------------------------------------
WARRANTS(f)
AUTOMOBILES & PARTS - 0.0%
249 Federal-Mogul Corp., Class A (Issued 12/27/07, 1 Share for 1 Warrant,
Expires 12/27/14, Strike Price $45.82) (Expires 12/27/14)(a) 2
------------
OIL & GAS PRODUCERS - 0.0%
1,481 Magnum Hunter Resources Corp. (Issued 8/31/12, 1 Share for 1 Warrant,
Expires 10/14/13, Strike Price $10.50) (Expires 10/14/13)(a) -
------------
Total Warrants - 0.0% 2
------------
Total Long-Term Investments (cost:$309,010,940) - 96.6% 470,865,855
------------
---------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
---------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
$32,268 BlackRock Liquidity Series LLC, Money Market Series, 0.21%(d),(g),(h) $ 32,267,758
------------
---------------------------------------------------------------------------------------------------
SHARES
---------------------------------------------------------------------------------------------------
16,487,365 BlackRock Liquidity Funds, TempCash, Institutional Class, 0.06%(d),(g) 16,487,365
------------
Total Short-Term Securities (cost: $48,755,123) - 10.0% 48,755,123
------------
TOTAL INVESTMENTS (cost: $357,766,063*) - 106.6% 519,620,978
------------
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.6)% (32,116,529)
------------
NET ASSETS - 100.0% $487,504,449
============
================================================================================
68 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
* As of June 30, 2013, gross unrealized appreciation and gross unrealized
depreciation based on cost for federal income tax purposes were as follows:
Tax cost $360,836,100
============
Gross unrealized appreciation $181,873,981
Gross unrealized depreciation (23,089,103)
------------
Net unrealized appreciation $158,784,878
============
(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 in connection with open
financial futures contracts.
(d) Investments in issuers considered to be an affiliate of the Series during
the six months ended June 30, 2013, for purposes of Section 2(a)(3) of the
Investment Company Act of 1940, as amended, were as follows:
SHARES/ SHARES/
BENEFICIAL SHARES/ BENEFICIAL
INTEREST HELD AT BENEFICIAL SHARES/ INTEREST HELD AT VALUE AT
DECEMBER 31, INTEREST BENEFICIAL JUNE 30, JUNE 30,
AFFILIATE 2012 PURCHASED INTEREST SOLD 2013 2013 INCOME
------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity
Funds, TempCash,
Institutional Class 11,170,008 5,317,357(1) - 16,487,365 $16,487,365 $ 8,646
BlackRock Liquidity Series
LLC, Money Market
Series $14,273,670 $17,994,088(1) - $32,267,758 $32,267,758 $175,830
PennyMac Mortgage
Investment Trust 5,478 - - 5,478 $ 115,312 $ 6,245
(1) Represents net shares/beneficial interest purchased.
(e) Other interests represent beneficial interests in liquidation trusts and
other reorganization or private entities.
(f) Warrants entitle the Series to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the
expiration date of the warrants, if any.
(g) Represents the current yield as of report date.
(h) Security was purchased with the cash collateral from loaned securities. The
Series may withdraw up to 25% of its investment daily, although the manager
of the BlackRock Liquidity Series LLC, Money Market Series, in its sole
discretion, may permit an investor to withdraw more than 25% on any one day.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined
by Series' management. These definitions may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting
ease.
o Financial futures contracts as of June 30, 2013 were as follows:
UNREALIZED
CONTRACTS NOTIONAL APPRECIATION
PURCHASED ISSUE EXCHANGE EXPIRATION VALUE (DEPRECIATION)
-------------------------------------------------------------------------------
79 Russell ICE
2000 Futures
Mini US September
Index Indices 2013 $7,700,130 $ 52,637
76 MidCap
400 Chicago September
E-Mini Mercantile 2013 $8,800,040 (36,912)
--------
TOTAL $ 15,725
========
================================================================================
SCHEDULE OF INVESTMENTS | 69
================================================================================
o Fair Value Measurements - Various inputs are used in determining the fair
value of investments and derivative financial instruments. These inputs to
valuation techniques are categorized into a disclosure hierarchy consisting
of three broad levels for financial statement purposes as follows:
o Level 1 -- unadjusted price quotations in active markets/exchanges for
identical assets or liabilities that the Series has the ability to
access
o 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)
o Level 3 -- unobservable inputs based on the best information available
in the circumstances, to the extent observable inputs are not available
(including the Series' own assumptions used in determining the fair
value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the
degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may
fall into different levels of the fair value hierarchy. In such cases, for
disclosure purposes, the fair value hierarchy classification is determined based
on the lowest level input that is significant to the fair value measurement in
its entirety.
Changes in valuation techniques may result in transfers into or out of an
assigned level within the disclosure hierarchy. In accordance with the Series'
policy, transfers between different levels of the fair value disclosure
hierarchy are deemed to have occurred as of the beginning of the reporting
period. The categorization of a value determined for investments and derivative
financial instruments is based on the pricing transparency of the investment and
derivative financial instrument and is not necessarily an indication of the
risks associated with investing in those securities. For information about the
Series' policy regarding valuation of investments and derivative financial
instruments, please refer to Note 2 of the Notes to Financial Statements.
================================================================================
70 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
The following tables summarize the Series' investments and derivative financial
instruments categorized in the disclosure hierarchy as of June 30, 2013:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------------------------------------------------------------------------------------------------
ASSETS:
Investments:
Common Stocks:
Aerospace & Defense $ 7,274,415 $ - $ - $ 7,274,415
Alternative Energy 416,842 - - 416,842
Automobiles & Parts 8,558,613 - - 8,558,613
Banks 24,172,006 - - 24,172,006
Beverages 338,082 - - 338,082
Chemicals 11,824,382 - - 11,824,382
Construction & Materials 11,949,522 - - 11,949,522
Electricity 8,277,760 - - 8,277,760
Electronic & Electrical Equipment 14,501,085 - - 14,501,085
Financial Services 14,862,551 - - 14,862,551
Fixed Line Telecommunications 1,723,981 - - 1,723,981
Food & Drug Retailers 3,558,804 - - 3,558,804
Food Producers 7,003,998 - - 7,003,998
Food Products 3,233,061 - - 3,233,061
Forestry & Paper 1,549,200 - - 1,549,200
Gas, Water & Multi-Utilities 7,242,092 - - 7,242,092
General Industrials 6,233,893 - - 6,233,893
General Retailers 23,304,786 - - 23,304,786
Health Care Equipment & Services 23,910,914 - - 23,910,914
Household Goods & Home Construction 10,614,715 - - 10,614,715
Industrial Engineering 14,592,673 - - 14,592,673
Industrial Metals & Mining 2,857,651 - - 2,857,651
Industrial Transportation 6,927,755 - - 6,927,755
Leisure Goods 3,898,359 - - 3,898,359
Life Insurance 2,122,544 - - 2,122,544
Media 20,603,091 - - 20,603,091
Mining 2,375,727 - - 2,375,727
Mobile Telecommunications 2,774,187 - - 2,774,187
Nonlife Insurance 18,140,486 - - 18,140,486
Oil & Gas Producers 14,367,252 - - 14,367,252
Oil Equipment, Services & Distribution 16,041,330 - - 16,041,330
Personal Goods 7,463,933 - - 7,463,933
Pharmaceuticals & Biotechnology 22,373,207 1,224,050 - 23,597,257
Real Estate Investment & Services 3,754,203 - - 3,754,203
Real Estate Investment Trusts (REITs) 43,464,550 - - 43,464,550
Software & Computer Services 29,323,640 - - 29,323,640
Support Services 21,870,316 - - 21,870,316
Technology Hardware & Equipment 22,489,321 - - 22,489,321
Tobacco 606,642 - - 606,642
Travel & Leisure 23,043,822 - - 23,043,822
Other Interests:
Fixed Line Telecommunications 1 - - 1
Rights:
Automobiles & Parts 411 - - 411
Warrants:
Automobiles & Parts 2 - - 2
Short-Term Securities 16,487,365 32,267,758 - 48,755,123
-------------------------------------------------------------------------------------------------------
Total $486,129,170 $33,491,808 $ - $519,620,978
=======================================================================================================
================================================================================
SCHEDULE OF INVESTMENTS | 71
================================================================================
DERIVATIVE FINANCIAL INSTRUMENTS(1)
--------------------------------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------------------------------------------------------------------------
ASSETS:
Equity contracts $ 52,637 - - $ 52,637
LIABILITIES:
Equity contracts (36,912) - - (36,912)
--------------------------------------------------------------------------------
TOTAL $ 15,725 - - $ 15,725
--------------------------------------------------------------------------------
(1) Derivative financial instruments are financial futures contracts, which are
valued at the unrealized appreciation/depreciation on the instrument.
Certain of the Series' assets and liabilities are held at carrying amount, which
approximates fair value for financial statement purposes. As of June 30, 2013,
such assets and liabilities are categorized within the disclosure hierarchy as
follows:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------------------------------------------------------------------------
ASSETS:
Cash $27,818 - - $ 27,818
LIABILITIES:
Collateral on securities
loaned at value - $(32,267,758) - $(32,267,758)
--------------------------------------------------------------------------------
TOTAL $27,818 $(32,267,758) - $(32,239,940)
--------------------------------------------------------------------------------
There were no transfers between levels during the six months ended June 30,
2013.
================================================================================
72 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
ASSETS
Investments at value -- unaffiliated (including securities
loaned at value of $31,141,579) (cost -- $308,902,848) $470,750,543
Investments at value - affiliated (cost -- $48,863,215) 48,870,435
Cash 27,818
Dividends receivable 570,876
Contributions receivable from investors 336,389
Investments sold receivable 200,340
Securities lending income receivable -- affiliated 20,695
Prepaid expenses 1,493
------------
Total assets 520,778,589
------------
LIABILITIES
Collateral on securities loaned at value 32,267,758
Investments purchased payable 847,417
Variation margin payable 36,626
Other affiliates payable 3,536
Investment advisory fees payable 2,642
Directors' fees payable 2,243
Other accrued expenses payable 113,918
------------
Total liabilities 33,274,140
------------
NET ASSETS $487,504,449
============
NET ASSETS CONSIST OF:
Investors' capital $325,633,808
Net unrealized appreciation/depreciation 161,870,641
------------
Net assets $487,504,449
============
See notes to financial statements.
================================================================================
FINANCIAL STATEMENTS | 73
================================================================================
STATEMENT OF OPERATIONS
Six-month period ended June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends -- unaffiliated $ 2,734,976
Foreign taxes withheld (3,967)
Securities lending -- affiliated - net 175,830
Dividends -- affiliated 14,891
-----------
Total income 2,921,730
-----------
EXPENSES
Investment advisory 22,667
Accounting services 62,684
Professional 31,494
Custodian 18,319
Printing 13,512
Directors 9,551
Miscellaneous 3,292
-----------
Total expenses 161,519
Less fees waived and/or reimbursed by Manager (7,057)
-----------
Total expenses after fees waived and/or reimbursed 154,462
-----------
NET INVESTMENT INCOME 2,767,268
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain from:
Investments 6,623,863
Financial futures contracts 2,161,337
-----------
8,785,200
-----------
Net change in unrealized appreciation/depreciation on:
Investments 51,840,179
Financial futures contracts (149,102)
-----------
51,691,077
-----------
Total realized and unrealized gain 60,476,277
-----------
Net increase in net assets resulting from operations $63,243,545
===========
See notes to financial statements.
================================================================================
74 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
Six-month period ended June 30, 2013 (unaudited), and year ended
December 31, 2012
--------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS: 6/30/2013 12/31/2012
----------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,767,268 $ 7,371,799
Net realized gain 8,785,200 271,624
Net change in unrealized appreciation/depreciation 51,691,077 66,917,117
------------------------------
Net increase in net assets resulting
from operations 63,243,545 74,560,540
------------------------------
CAPITAL TRANSACTIONS
Proceeds from contributions 66,762,923 68,284,242
Value of withdrawals (40,806,576) (184,292,124)
------------------------------
Net increase (decrease) in net assets
derived from capital transactions 25,956,347 (116,007,882)
------------------------------
NET ASSETS
Total increase (decrease) in net assets 89,199,892 (41,447,342)
Beginning of period 398,304,557 439,751,899
------------------------------
End of period $ 487,504,449 $ 398,304,557
==============================
See notes to financial statements.
================================================================================
FINANCIAL STATEMENTS | 75
================================================================================
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
Per share operating performance for a share outstanding throughout each period
is as follows:
SIX MONTHS
ENDED
JUNE 30,
(UNAUDITED) YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------
2013 2012 2011 2010 2009 2008
----------------------------------------------------------------------
TOTAL INVESTMENT RETURN:
Total investment return 15.58%(1) 18.04% (3.55)% 28.65% 37.08% (39.13)%
----------------------------------------------------------------------
RATIOS TO AVERAGE:
NET ASSETS
Total expenses 0.07%(2) 0.10% 0.08% 0.08% 0.11% 0.11%
----------------------------------------------------------------------
Total expenses after fees waived
and/or reimbursed 0.07%(2) 0.09% 0.08% 0.08% 0.10% 0.11%
----------------------------------------------------------------------
Net investment income 1.22%(2) 1.83% 1.29% 1.30% 1.26% 1.47%
----------------------------------------------------------------------
SUPPLEMENTAL DATA:
Net assets, end of period (000) 487,504 $398,305 $439,752 $437,426 $286,216 $199,403
======================================================================
Portfolio turnover 6% 12% 12% 15% 20% 33%
----------------------------------------------------------------------
(1) Aggregate total investment return.
(2) Annualized.
See notes to financial statements.
================================================================================
76 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
NOTES TO FINANCIAL STATEMENTS
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
(1) ORGANIZATION
Master Extended Market Index Series (the "Series"), a 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 of the Master LLC
(the "Board") to issue non-transferable interests in the Master LLC, subject to
certain limitations.
(2) SIGNIFICANT ACCOUNTING POLICIES
The Series' financial statements are prepared in conformity with accounting
principles generally accepted in the United States of America ("US GAAP"), which
may require management to make estimates and assumptions that affect the
reported amounts of assets and liabilities in the financial statements and the
reported amounts of increases and decreases in net assets from operations during
the reporting period. Actual results could differ from those estimates. The
following is a summary of the significant accounting policies followed by the
Series:
VALUATION -- US GAAP defines fair value as the price the Series would receive to
sell an asset or pay to transfer a liability in an orderly transaction between
market participants at the measurement date. The Series determines the fair
value of its financial instruments at market value using independent dealers or
pricing services under policies approved by the Board. The BlackRock Global
Valuation Methodologies Committee (the "Global Valuation Committee") is the
committee formed by management to develop global pricing policies and procedures
and to provide oversight of the pricing function for the Series for all
financial instruments.
================================================================================
NOTES TO FINANCIAL STATEMENTS | 77
================================================================================
Equity investments traded on a recognized securities exchange or the NASDAQ
Global Market System ("NASDAQ") are valued at the last reported sale price that
day or the NASDAQ official closing price, if applicable. For equity investments
traded on more than one exchange, the last reported sale price on the exchange
where the stock is primarily traded is used. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the
last available bid (long positions) or ask (short positions) price. If no bid or
ask price is available, the prior day's price will be used, unless it is
determined that such prior day's price no longer reflects the fair value of the
security. Financial futures contracts traded on exchanges are valued at their
last sale price. Short-term securities with remaining maturities of 60 days or
less may be valued at amortized cost, which approximates fair value.
The Series value its investments in BlackRock Liquidity Series, LLC Money Market
Series (the "Money Market Series") at fair value, which is ordinarily based upon
its pro rata ownership in the underlying fund's net assets. The Money Market
Series seeks current income consistent with maintaining liquidity and preserving
capital. Although the Money Market Series is not registered under the 1940 Act,
its investments will follow the parameters of investments by a money market fund
that is subject to Rule 2a-7 under the 1940 Act. The Series may withdraw up to
25% of its investment daily, although the manager of the Money Market Series, in
its sole discretion, may permit an investor to withdraw more than 25% on any one
day.
In the event that application of these methods of valuation results in a price
for an investment that is deemed not to be representative of the market value of
such investment, or if a price is not available, the investment will be valued
by the Global Valuation Committee or its delegate, in accordance with a policy
approved by the Board as reflecting fair value ("Fair Value Assets"). When
determining the price for Fair Value Assets, the Global Valuation Committee, or
its delegate, seeks to determine the price that the Series might reasonably
expect to receive from the current sale of that asset in an arm's-length
transaction. Fair value determinations shall be based upon all available factors
that the Global Valuation Committee or its delegate, deem relevant consistent
with the principals of fair value measurement which include the market approach,
income approach and/or
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78 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
in the case of recent investments, the cost approach, as appropriate. The market
approach generally consists of using comparable market transactions. The income
approach generally is used to discount future cash flows to present value and
adjusted for liquidity as appropriate. These factors include but are not limited
to: (i) attributes specific to the investment or asset; (ii) the principal
market for the investment or asset; (iii) the customary participants in the
principal market for the investment or asset; (iv) data assumptions by market
participants for the investment or asset, if reasonably available; (v) quoted
prices for similar investments or assets in active markets; and (vi) other
factors, such as future cash flows, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks, recovery rates, liquidation
amounts and/or default rates. Due to the inherent uncertainty of valuations of
such investments, the fair values may differ from the values that would have
been used had an active market existed. The Global Valuation Committee, or its
delegate, employs various methods for calibrating valuation approaches for
investments where an active market does not exist, including regular due
diligence of the Series' pricing vendors, a regular review of key inputs and
assumptions, transactional back-testing or disposition analysis to compare
unrealized gains and losses to realized gains and losses, reviews of missing or
stale prices and large movements in market values and reviews of any market
related activity. The pricing of all Fair Value Assets is subsequently reported
to the Board or a committee thereof on a quarterly basis.
SEGREGATION AND COLLATERALIZATION -- In cases in which the 1940 Act and the
interpretive positions of the Securities and Exchange Commission ("SEC") require
that the Series either deliver collateral or segregate assets in connection with
certain investments (e.g., financial futures contracts), the Series will,
consistent with SEC rules and/or certain interpretive letters issued by the SEC,
segregate collateral or designate on their books and records cash or liquid
securities having a market value at least equal to the amount that would
otherwise be required to be physically segregated. Furthermore, based on
requirements and agreements with certain exchanges and third party
broker-dealers, the Series engaging in such transactions may have requirements
to deliver/deposit securities to/with an exchange or broker-dealer as collateral
for certain investments.
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NOTES TO FINANCIAL STATEMENTS | 79
================================================================================
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.
INCOME TAXES -- The Series is classified as a partnership for federal income tax
purposes. As such, each investor in the Series is treated as the owner of its
proportionate share of net assets, income, expenses and realized and unrealized
gains and losses of the Series. Therefore, no federal income tax provision is
required. It is intended that the Series' assets will be managed so an investor
in the Series can satisfy the requirements of Subchapter M of the Internal
Revenue Code of 1986, as amended.
The Series 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 remains open for each of the four years ended
December 31, 2012. The statutes of limitations on the Series' state and local
tax returns may remain open for an additional year depending upon the
jurisdiction. Management does not believe there are any uncertain tax positions
that require recognition of a tax liability.
OTHER -- Expenses directly related to the Series are charged to the Series.
Other operating expenses shared by several funds are pro rated among those funds
on the basis of relative net assets or other appropriate methods.
The Series has an arrangement with the custodian whereby fees may be reduced by
credits earned on uninvested cash balances, which, if applicable, are shown as
fees paid indirectly in the Statement of Operations. The custodian imposes fees
on overdrawn cash balances, which can be offset by accumulated credits earned or
may result in additional custody charges.
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80 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
(3) SECURITIES AND OTHER INVESTMENTS
SECURITIES LENDING -- The Series may lend securities to approved borrowers, such
as banks, brokers and other financial institutions. The borrower pledges cash,
securities issued or guaranteed by the US government or irrevocable letters of
credit issued by a bank as collateral. The initial collateral received by the
Series should have a value of at least 102% of the current value of the loaned
securities for securities traded on US exchanges and a value of at least 105%
for all other securities. The collateral is maintained thereafter in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Securities lending income, as disclosed in the Statement
of Operations, represents the income earned from the investment of the cash
collateral, net of rebates paid to, or fees paid by, borrowers and less the fees
paid to the securities lending agent. During the term of the loan, the Series
earns dividend or interest income on the securities loaned but does not receive
interest income on the securities received as collateral. Loans of securities
are terminable at any time and the borrower, after notice, is required to return
borrowed securities within the standard time period for settlement of securities
transactions.
The market value of securities on loan and the value of the related collateral
are shown separately in the Statement of Assets and Liabilities as a component
of investments at value, and collateral on securities loaned at value,
respectively. The cash collateral invested by the securities lending agent,
BlackRock Investment Management, LLC ("BIM"), if any, is disclosed in the
Schedule of Investments.
Securities lending transactions are entered into by the Series under Master
Securities Lending Agreements ("MSLA") which provide the right, in the event of
default (including bankruptcy or insolvency) for the non-defaulting party to
liquidate the collateral and calculate a net exposure to the defaulting party or
request additional collateral. In the event that a borrower defaults, the
Series, as lender, would offset the market value of the collateral received
against the market value of the securities loaned. The value of the collateral
================================================================================
NOTES TO FINANCIAL STATEMENTS | 81
================================================================================
is typically greater than that of the market value of the securities loaned,
leaving the lender with a net amount payable to the defaulting party. However,
bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of a
MSLA counterparty's bankruptcy or insolvency. Under the MSLA, the Series can
reinvest cash collateral, or, upon an event of default, resell or repledge the
collateral, and the borrower can resell or repledge the loaned securities.
The following table is a summary of the Series' open securities lending
agreements by counterparty which are subject to offset under a MSLA as of June
30, 2013:
SECURITIES
LOANED AT CASH COLLATERAL NET
COUNTERPARTY VALUE RECEIVED(1) AMOUNT(2)
------------------------------------------------------------------------------------------
Barclays Capital, Inc. $ 242,705 $ (242,705) --
BNP Paribas S.A. 22,788 (22,788) --
Citigroup Global Markets, Inc. 370,244 (369,755) $489
Credit Suisse Securities (USA) LLC 10,397,961 (10,397,961) --
Deutsche Bank Securities, Inc. 738,950 (738,950) --
Goldman Sachs & Co 1,719,245 (1,719,245) --
JPMorgan Securitas LLC 408,541 (408,541) --
Merrill Lynch, Pierce,
Fenner & Smith, Inc. 87,208 (87,208) --
Morgan Stanley 16,483,082 (16,483,082) --
SG Americas Securities LLC 4,774 (4,774) --
UBS Securities LLC 666,081 (666,081) --
------------------------------------------------
TOTAL $31,141,579 $(31,141,090) $489
================================================
(1) Excess of collateral received from the individual counterparty is not shown
for financial reporting purposes. Collateral with a value of $32,267,758 has
been received in connection with securities lending transactions.
(2) The market value of the loaned securities is determined as of June 30, 2013.
Additional collateral is delivered to the Series on the next business day in
accordance with the MSLA. The net amount would be subject to the borrower
default indemnity in the event of default by the counterparty.
The risks of securities lending also include the risk that the borrower may not
provide additional collateral when required or may not return the securities
when due. To mitigate this risk, the Series benefits from a
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82 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
borrower default indemnity provided by BlackRock, Inc. ("BlackRock").
BlackRock's indemnity allows for full replacement of securities lent. The Series
also could suffer a loss if the value of an investment purchased with cash
collateral falls below the market value of loaned securities or if the value of
an investment purchased with cash collateral falls below the value of the
original cash collateral received. During the six months ended June 30, 2013,
any securities on loan were collateralized by cash.
(4) DERIVATIVE FINANCIAL INSTRUMENTS
The Series engages in various portfolio investment strategies using derivative
contracts both to increase the returns of the Series and/or to economically
hedge, or protect, its exposure to certain risks such as equity risk. These
contracts may be transacted on an exchange.
FINANCIAL FUTURES CONTRACTS -- The Series purchases and/or sells 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 agreements between the Series and
a counterparty to buy or sell a specific quantity of an underlying instrument at
a specified price and at a specified date. Depending on the terms of the
particular contract, financial futures contracts are settled either through
physical delivery of the underlying instrument on the settlement date or by
payment of a cash settlement amount on the settlement date. Upon entering into a
financial futures contract, the Series is required to deposit initial margin
with the broker in the form of cash or securities in an amount that varies
depending on a contract's size and risk profile. The initial margin deposit must
then be maintained at an established level over the life of the contract.
Securities deposited as initial margin are designated on the Schedule of
Investments and cash deposited is recorded on the Statement of Assets and
Liabilities as cash pledged for financial futures contracts. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Series as
unrealized appreciation or depreciation. When the contract is closed, the Series
records a realized gain or loss equal to the difference between the value of the
================================================================================
NOTES TO FINANCIAL STATEMENTS | 83
================================================================================
contract at the time it was opened and the value at the time it was closed. The
use of financial futures contracts involves the risk of an imperfect correlation
in the movements in the price of financial futures contracts, interest or
foreign currency exchange rates and the underlying assets.
The following is a summary of the Series' derivative financial instruments
categorized by risk exposure:
FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AS OF JUNE 30, 2013
DERIVATIVE ASSETS
-----------------------------------------------
STATEMENT OF ASSETS
AND LIABILITIES LOCATION VALUE
-----------------------------------------------
Equity contracts Net unrealized appreciation(1) $15,725
--------------------------------------------------------------------------------
(1) Includes cumulative appreciation/depreciation on financial futures contracts
as reported in the Schedule of Investments. Only current day's variation
margin is reported within the Statement of Assets and Liabilities.
THE EFFECT OF DERIVATIVE FINANCIAL INSTRUMENTS IN THE STATEMENT OF
OPERATIONS SIX MONTHS ENDED JUNE 30, 2013
Net Realized Gain From
Equity contracts Financial futures contracts $2,161,337
--------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/Depreciation on
Equity contracts Financial futures contracts $ (149,102)
--------------------------------------------------------------------------------
For the six months ended June 30, 2013, the average quarterly balances of
outstanding derivative financial instruments were as follows:
FINANCIAL FUTURES CONTRACTS:
Average number of contracts purchased 166
--------------------------------------------------------------------------------
Average number of contracts sold 1
--------------------------------------------------------------------------------
Average notional value of contracts purchased $17,449,225
--------------------------------------------------------------------------------
Average notional value of contracts sold $ 115,100
--------------------------------------------------------------------------------
COUNTERPARTY CREDIT RISK -- A derivative contract may suffer a mark to market
loss if the value of the contract decreases due to an unfavorable change in the
market rates or values of the underlying instrument. Losses can also occur if
the counterparty does not perform under the contract.
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84 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
With exchange traded futures there is less counterparty credit risk to the
Series since the exchange or clearinghouse, as counterparty to such instruments,
guarantees against a possible default. The clearinghouse stands between the
buyer and the seller of the contract; therefore, the credit risk is limited to
failure of the clearinghouse. While offset rights may exist under applicable
law, the Series does not have a contractual right to offset against a clearing
broker or clearinghouse in the event of a default (including the bankruptcy or
insolvency) of the clearing broker or clearing house. Additionally, credit risk
exists in exchange traded futures with respect to initial and variation margin
that is held in a clearing broker's customer accounts. While clearing brokers
are required to segregate customer margin from their own assets, in the event
that a clearing broker becomes insolvent or goes into bankruptcy and at that
time there is a shortfall in the aggregate amount of margin held by the clearing
broker for all its clients, typically the shortfall would be allocated on a pro
rata basis across all the clearing broker's customers, potentially resulting in
losses to the Series.
(5) INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
The PNC Financial Services Group, Inc. is the largest stockholder and an
affiliate, for 1940 Act purposes, of BlackRock.
The Master LLC, on behalf of the Series, entered into an Investment Advisory
Agreement with BlackRock Advisors, LLC (the "Manager"), the Series' investment
advisor, an indirect, wholly owned subsidiary of 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 operations of
the Series. For such services, the Series pays the Manager a monthly fee at an
annual rate of 0.01% of the Series' average daily net assets.
The Manager voluntarily agreed to waive its investment advisory fees by the
amount of investment advisory fees the Series pays to the Manager indirectly
through its investment in affiliated money market funds. However, the Manager
does not waive its investment advisory fees by the amount of investment advisory
fees paid in connection with the Series' investment
================================================================================
NOTES TO FINANCIAL STATEMENTS | 85
================================================================================
in other affiliated investment companies, if any. This amount is included in
fees waived and/or reimbursed by Manager in the Statement of Operations. For the
six months ended June 30, 2013, the amount waived was $7,057.
The Manager entered into a sub-advisory agreement with BIM, an affiliate of the
Manager. The Manager pays BIM, for services it provides, a monthly fee that is a
percentage of the investment advisory fees paid by the Series to the Manager.
For the six months ended June 30, 2013, the Series reimbursed the Manager $1,829
for certain accounting services, which is included in accounting services in the
Statement of Operations.
The Manager contractually agreed to waive and/or reimburse fees or expenses,
excluding interest expense, dividend expense, acquired fund fees and expenses
and certain other fund expenses, which constitute extraordinary expenses not
incurred in the ordinary course of the Series' business, in order to limit
expenses to 0.12% of the Series' average daily net assets. The Manager has
agreed not to reduce or discontinue this contractual waiver or reimbursement
prior to May 1, 2014 unless approved by the Board, including a majority of the
Independent Trustees.
There were no fees waived and/or reimbursed by Manager for the six months ended
June 30, 2013.
The Master LLC, on behalf of the Series, received an exemptive order from the
SEC permitting it, among other things, to pay an affiliated securities lending
agent a fee based on a share of the income derived from the securities lending
activities and has retained BIM as the securities lending agent. BIM may, on
behalf of the Series, invest cash collateral received by the Series for such
loans, in a private investment company managed by the Manager or in registered
money market funds advised by the Manager or its affiliates. The market value of
securities on loan and the value of the related collateral, if applicable, is
shown in the Statement of Assets and Liabilities as securities loaned at value
and collateral on securities loaned at value, respectively. The cash collateral
invested by BIM, if any, is disclosed in the Schedule of Investments. Securities
lending income is
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86 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
equal to the total of income earned from the reinvestment of cash collateral,
net of rebates paid to, or fees paid by, borrowers of securities. The Series
retains 65% of securities lending income and pays a fee to BIM equal to 35% of
such income. The Series benefits from a borrower default indemnity provided by
BlackRock. As securities lending agent, BIM bears all operational costs directly
related to securities lending as well as the cost of borrower default
indemnification. BIM does not receive any fees for managing the cash collateral.
The share of income earned by the Series is shown as securities lending --
affiliated -- net in the Statement of Operations. For the six months ended June
30, 2013, BIM received $188,984 in securities lending agent fees related to
securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.
(6) PURCHASES AND SALES
Purchases and sales of investments, excluding short-term securities for the six
months ended June 30, 2013, were $51,970,895 and $25,349,342, respectively.
(7) BANK BORROWINGS
The Series, along with certain other funds managed by the Manager and its
affiliates ("Participating Funds"), is a party to a 364-day, $800 million credit
agreement with a group of lenders, under which the Series may borrow to fund
shareholder redemptions. The agreement expires in April 2014. Excluding
commitments designated for a certain individual fund, other Participating Funds,
including the Series, can borrow up to an aggregate commitment amount of $500
million, subject to asset coverage and other limitations as specified in the
agreement. The credit agreement has the following terms: a fee of 0.065% per
annum on unused commitment amounts and interest at a rate equal to the higher
of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus
0.80% per annum on amounts borrowed. Participating Funds paid administration
and arrangement fees, which, along with commitment fees, were allocated among
such funds based upon portions of the aggregate commitment available to them
and relative net assets of Participating Funds. The Series
================================================================================
NOTES TO FINANCIAL STATEMENTS | 87
================================================================================
did not borrow under the credit agreement during the six months ended June 30,
2013.
(8) CONCENTRATION, MARKET AND CREDIT RISK
In the normal course of business, the Series 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 (issuer
credit risk). The value of securities held by the Series may decline in response
to certain events, including those directly involving the issuers whose
securities are owned by the Series; conditions affecting the general economy;
overall market changes; local, regional or global political, social or economic
instability; and currency and interest rate and price fluctuations. Similar to
issuer credit risk, the Series may be exposed to counterparty credit risk, or
the risk that an entity with which the Series has unsettled or open transactions
may fail to or be unable to perform on its commitments. The Series manages
counterparty credit risk by entering into transactions only with counterparties
that it believes have the financial resources to honor their obligations and by
monitoring the financial stability of those counterparties. Financial assets,
which potentially expose the Series to market, issuer and counterparty credit
risks, consist principally of financial instruments and receivables due from
counterparties. The extent of the Series' exposure to market, issuer and
counterparty credit risks with respect to these financial assets is generally
approximated by their value recorded in the Statement of Assets and Liabilities,
less any collateral held by the Series.
As of June 30, 2013, the Series invested a significant portion of its assets in
securities in the financials sector. Changes in economic conditions affecting
the financials sector would have a greater impact on the Series and could affect
the value, income and/or liquidity of positions in such securities.
(9) SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Series
through the date the financial statements were issued and has determined that
there were no subsequent events requiring adjustment or additional disclosure in
the financial statements.
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88 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
ADVISORY AGREEMENTS
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
The Board of Directors (the "Board," and the members of which are referred to as
"Board Members") of Quantitative Master Series LLC (the "Master LLC") met in
person on April 11, 2013 (the "April Meeting") and May 21-22, 2013 (the "May
Meeting") to consider the approval of the Master LLC's investment advisory
agreement (the "Advisory Agreement") with BlackRock Advisors, LLC (the
"Manager"), the Master LLC's investment advisor, on behalf of Master Extended
Market Index Series (the "Portfolio"), a series of the Master LLC. The Board
also considered the approval of the sub-advisory agreement (the "Sub-Advisory
Agreement") between the Manager and BlackRock Investment Management, LLC (the
"Sub-Advisor") with respect to the Portfolio. The Manager and the Sub-Advisor
are referred to herein as "BlackRock." The Advisory Agreement and the
Sub-Advisory Agreement are referred to herein as the "Agreements."
ACTIVITIES AND COMPOSITION OF THE BOARD
The Board consists of fourteen individuals, twelve of whom are not "interested
persons" of the Master LLC as defined in the Investment Company Act of 1940, as
amended (the "1940 Act") (the "Independent Board Members"). The Board Members
are responsible for the oversight of the operations of the Portfolio and perform
the various duties imposed on the directors of investment companies by the 1940
Act. The Independent Board Members have retained independent legal counsel to
assist them in connection with their duties. The Co-Chairs of the Board are each
Independent Board Members. The Board has established five standing committees:
an Audit Committee, a Governance and Nominating Committee, a Compliance
Committee, a Performance Oversight and Contract Committee and an Executive
Committee, each of which is chaired by an Independent
================================================================================
ADVISORY AGREEMENTS | 89
================================================================================
Board Member and composed of Independent Board Members (except for the Executive
Committee, which also has one interested Board Member).
THE AGREEMENTS
Pursuant to the 1940 Act, the Board is required to consider the continuation of
the Agreements on an annual basis. The Board has four quarterly meetings per
year, each extending over two days, and a fifth one-day meeting to consider
specific information surrounding the consideration of renewing the Agreements.
In connection with this process, the Board assessed, among other things, the
nature, scope and quality of the services provided to the Portfolio by
BlackRock, its personnel and its affiliates, including investment management,
administrative and shareholder services, oversight of fund accounting and
custody, marketing services, risk oversight, compliance and assistance in
meeting applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its
meetings, and from time to time as appropriate, factors that are relevant to its
annual consideration of the renewal of the Agreements, including the services
and support provided by BlackRock to the Portfolio and its interest holders.
Among the matters the Board considered were: (a) investment performance for
one-year, three-year, five-year and/or since inception periods, as applicable,
against peer funds, and applicable benchmarks, if any, as well as senior
management's and portfolio managers' analysis of the reasons for any over
performance or underperformance against its peers and/or benchmark, as
applicable; (b) fees, including advisory, administration, if applicable, and
other amounts paid to BlackRock and its affiliates by the Portfolio for
services, such as marketing and distribution, call center and fund accounting;
(c) Portfolio operating expenses and how BlackRock allocates expenses to the
Portfolio; (d) the resources devoted to, risk oversight of, and compliance
reports relating to, implementation of the Portfolio's investment objective,
policies and restrictions; (e) the Master LLC's compliance with its Code of
Ethics and other compliance policies and procedures; (f) the nature, cost and
character of non-investment management services provided by BlackRock and its
affiliates; (g) BlackRock's and other service providers' internal controls and
================================================================================
90 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
risk and compliance oversight mechanisms; (h) BlackRock's implementation of the
proxy voting policies approved by the Board; (i) the use of brokerage
commissions and execution quality of portfolio transactions; (j) BlackRock's
implementation of the Portfolio's valuation and liquidity procedures; (k) an
analysis of management fees for products with similar investment objectives
across the open-end fund, exchange-traded fund ("ETF"), closed-end fund and
institutional account product channels, as applicable; (l) BlackRock's
compensation methodology for its investment professionals and the incentives it
creates; and (m) periodic updates on BlackRock's business.
The Board has engaged in an ongoing strategic review with BlackRock of
opportunities to consolidate funds and of BlackRock's commitment to investment
performance. In addition, the Board requested and BlackRock provided an analysis
of fair valuation and stale pricing policies. BlackRock also furnished
information to the Board in response to specific questions. These questions
covered issues such as BlackRock's profitability, investment performance and
management fee levels. The Board further considered the importance of: (i)
organizational and structural variables to investment performance; (ii) rates of
portfolio turnover; (iii) BlackRock's performance accountability for portfolio
managers; (iv) marketing support for the funds; (v) services provided to the
Portfolio by BlackRock affiliates; and (vi) BlackRock's oversight of
relationships with third party service providers.
BOARD CONSIDERATIONS IN APPROVING THE AGREEMENTS
THE APPROVAL PROCESS -- Prior to the April Meeting, the Board requested and
received materials specifically relating to the Agreements. The Board is engaged
in a process with its independent legal counsel and BlackRock to review the
nature and scope of the information provided to better assist its deliberations.
The materials provided in connection with the April Meeting included (a)
information independently compiled and prepared by Lipper, Inc. ("Lipper") on
Portfolio fees and expenses as compared with a peer group of funds as determined
by Lipper ("Expense Peers") and the investment performance of the Portfolio as
compared with a peer group of funds as determined by Lipper(1), as well as the
gross investment
(1) Lipper ranks funds in quartiles, ranging from first to fourth, where first
is the most desirable quartile position and fourth is the least desirable.
================================================================================
ADVISORY AGREEMENTS | 91
================================================================================
performance of the Portfolio as compared with its benchmark; (b) information on
the profits realized by BlackRock and its affiliates pursuant to the Agreements
and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a
general analysis provided by BlackRock concerning investment management fees
charged to other clients, such as institutional clients, ETFs and closed-end
funds, under similar investment mandates, as well as the performance of such
other clients, as applicable; (d) review of non-management fees; (e) the
existence, impact and sharing of potential economies of scale; (f) a summary of
aggregate amounts paid by the Portfolio to BlackRock; (g) sales and redemption
data regarding the Portfolio's shares; and (h) if applicable, a comparison of
management fees to similar BlackRock open-end funds, as classified by Lipper.
At the April Meeting, the Board reviewed materials relating to its consideration
of the Agreements. As a result of the discussions that occurred during the April
Meeting, and as a culmination of the Board's year-long deliberative process, the
Board presented BlackRock with questions and requests for additional
information. BlackRock responded to these requests with additional written
information in advance of the May Meeting.
At the May Meeting, the Board, including the Independent Board Members,
unanimously approved the continuation of the Advisory Agreement between the
Manager and the Master LLC with respect to the Portfolio and the Sub-Advisory
Agreement between the Manager and the Sub-Advisor with respect to the Portfolio,
each for a one-year term ending June 30, 2014. In approving the continuation of
the Agreements, the Board considered: (a) the nature, extent and quality of the
services provided by BlackRock; (b) the investment performance of the Portfolio
and BlackRock; (c) the advisory fee and the cost of the services and profits to
be realized by BlackRock and its affiliates from their relationship with the
Portfolio; (d) the Fund's costs to investors compared to the costs of Expense
Peers and performance compared to the relevant performance comparison as
previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock
as a result of its relationship with the Portfolio; and (g) other factors deemed
relevant by the Board Members.
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92 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
The Board also considered other matters it deemed important to the approval
process, such as payments made to BlackRock or its affiliates relating to
securities lending, services related to the valuation and pricing of portfolio
holdings of the Portfolio, direct and indirect benefits to BlackRock and its
affiliates from their relationship with the Portfolio and advice from
independent legal counsel with respect to the review process and materials
submitted for the Board's review. The Board noted the willingness of BlackRock
personnel to engage in open, candid discussions with the Board. The Board did
not identify any particular information as determinative, and each Board Member
may have attributed different weights to the various items considered.
NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED BY BLACKROCK -- The Board,
including the Independent Board Members, reviewed the nature, extent and quality
of services provided by BlackRock, including the investment advisory services
and the resulting performance of the Portfolio. Throughout the year, the Board
compared Portfolio performance to the performance of a comparable group of
mutual funds and/or the performance of a relevant benchmark, if any. The Board
met with BlackRock's senior management personnel responsible for investment
operations, including the senior investment officers. The Board also reviewed
the materials provided by the Portfolio's portfolio management team discussing
Portfolio performance and the Portfolio's investment objective, strategies and
outlook.
The Board considered, among other factors, with respect to BlackRock: the
number, education and experience of investment personnel generally and the
Portfolio's portfolio management team; investments by portfolio managers in the
funds they manage; portfolio trading capabilities; use of technology; commitment
to compliance; credit analysis capabilities; risk analysis and oversight
capabilities; and the approach to training and retaining portfolio managers and
other research, advisory and management personnel. The Board engaged in a review
of BlackRock's compensation structure with respect to the Portfolio's portfolio
management team and BlackRock's ability to attract and retain high-quality
talent and create performance incentives.
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ADVISORY AGREEMENTS | 93
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In addition to advisory services, the Board considered the quality of the
administrative and other non-investment advisory services provided to the
Portfolio. BlackRock and its affiliates provide the Portfolio with certain
administrative, shareholder and other services (in addition to any such services
provided to the Portfolio by third parties) and officers and other personnel as
are necessary for the operations of the Portfolio. In particular, BlackRock and
its affiliates provide the Portfolio with the following administrative services,
including, among others: (i) preparing disclosure documents, such as the
prospectus, the summary prospectus (as applicable), the statement of additional
information and periodic shareholder reports; (ii) assisting with daily
accounting and pricing; (iii) overseeing and coordinating the activities of
other service providers; (iv) organizing Board meetings and preparing the
materials for such Board meetings; (v) providing legal and compliance support;
(vi) furnishing analytical and other support to assist the Board in its
consideration of strategic issues such as the merger or consolidation of certain
open-end funds; and (vii) performing other administrative functions necessary
for the operation of the Portfolio, such as tax reporting, fulfilling regulatory
filing requirements and call center services. The Board reviewed the structure
and duties of BlackRock's fund administration, shareholder services, legal and
compliance departments and considered BlackRock's policies and procedures for
assuring compliance with applicable laws and regulations.
THE INVESTMENT PERFORMANCE OF THE PORTFOLIO AND BLACKROCK -- The Board,
including the Independent Board Members, also reviewed and considered the
performance history of the Portfolio. In preparation for the April Meeting, the
Board worked with its independent legal counsel, BlackRock and Lipper to develop
a template for, and was provided with, reports independently prepared by Lipper,
which included a comprehensive analysis of the Portfolio's performance. The
Board also reviewed a narrative and statistical analysis of the Lipper data that
was prepared by BlackRock, which analyzed various factors that affect Lipper's
rankings. In connection with its review, the Board received and reviewed
information regarding the investment performance of the Portfolio as compared to
other funds in its applicable Lipper category and the gross investment
performance of the Portfolio as compared with its benchmark. The Board was
provided
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94 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
with a description of the methodology used by Lipper to select peer funds and
periodically meets with Lipper representatives to review its methodology. The
Board and its Performance Oversight and Contract Committee regularly review, and
meet with Portfolio management to discuss, the performance of the Portfolio
throughout the year.
The Board noted that the Portfolio's gross performance (before fees and
expenses), as agreed upon by the Board, was within tolerance of its benchmark
during each of the one-, three- and five-year periods reported. BlackRock
believes that gross performance relative to the benchmark is an appropriate
performance metric for the Portfolio.
The Board noted that BlackRock has recently made, and continues to make, changes
to the organization of BlackRock's overall portfolio management structure
designed to result in strengthened leadership teams.
CONSIDERATION OF THE ADVISORY/MANAGEMENT FEES AND THE COST OF THE SERVICES AND
PROFITS TO BE REALIZED BY BLACKROCK AND ITS AFFILIATES FROM THEIR RELATIONSHIP
WITH THE PORTFOLIO -- The Board, including the Independent Board Members,
reviewed the Portfolio's contractual management fee rate compared with the other
funds in its Lipper category. The contractual management fee rate represents a
combination of the advisory fee and any administrative fees, before taking into
account any reimbursements or fee waivers. The Board also compared the
Portfolio's total net operating expense ratio, as well as actual management fee
rate, to those of other funds in its Lipper category. The total net operating
expense ratio and actual management fee rate both give effect to any expense
reimbursements or fee waivers that benefit the funds. The Board considered the
services provided and the fees charged by BlackRock to other types of clients
with similar investment mandates, including institutional accounts.
The Board received and reviewed statements relating to BlackRock's financial
condition. The Board was also provided with a profitability analysis that
detailed the revenues earned and the expenses incurred by BlackRock for services
provided to the Portfolio. The Board reviewed BlackRock's profitability with
respect to the Portfolio and other funds the Board currently oversees for the
year ended December 31, 2012 compared to
================================================================================
ADVISORY AGREEMENTS | 95
================================================================================
available aggregate profitability data provided for the two prior years. The
Board reviewed BlackRock's profitability with respect to certain other fund
complexes managed by the Manager and/or its affiliates. The Board reviewed
BlackRock's assumptions and methodology of allocating expenses in the
profitability analysis, noting the inherent limitations in allocating costs
among various advisory products. The Board recognized that profitability may be
affected by numerous factors including, among other things, fee waivers and
expense reimbursements by the Manager, the types of funds managed, precision of
expense allocations and business mix. As a result, comparing profitability is
difficult.
The Board noted that, in general, individual fund or product line profitability
of other advisors is not publicly available. The Board reviewed BlackRock's
overall operating margin, in general, compared to that of certain other
publicly-traded asset management firms. The Board considered the differences
between BlackRock and these other firms, including the contribution of
technology at BlackRock, BlackRock's expense management, and the relative
product mix.
In addition, the Board considered the cost of the services provided to the
Portfolio by BlackRock, and BlackRock's and its affiliates' profits relating to
the management and distribution of the Portfolio and the other funds advised by
BlackRock and its affiliates. As part of its analysis, the Board reviewed
BlackRock's methodology in allocating its costs to the management of the
Portfolio. The Board also considered whether BlackRock has the financial
resources necessary to attract and retain high quality investment management
personnel to perform its obligations under the Agreements and to continue to
provide the high quality of services that is expected by the Board.
The Board noted that the Portfolio's contractual management fee rate ranked in
the first quartile relative to the Portfolio's Expense Peers. The Board also
noted that BlackRock has contractually agreed to a cap on the Portfolio's total
net operating expenses as a percentage of the Portfolio's average daily net
assets.
ECONOMIES OF SCALE -- The Board, including the Independent Board Members,
considered the extent to which economies of scale might be
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96 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
realized as the assets of the Portfolio increase, as well as the existence of
expense caps, as applicable. The Board also considered the extent to which the
Portfolio benefits from such economies and whether there should be changes in
the advisory fee rate or breakpoint structure in order to enable the Portfolio
to participate in these economies of scale, for example through the use of
breakpoints in the advisory fee based upon the asset level of the Portfolio. In
its consideration, the Board took into account the existence of any expense caps
and further considered the continuation and/or implementation, as applicable, of
such caps.
OTHER FACTORS DEEMED RELEVANT BY THE BOARD MEMBERS -- The Board, including the
Independent Board Members, also took into account other ancillary or "fall-out"
benefits that BlackRock or its affiliates may derive from their respective
relationships with the Portfolio, both tangible and intangible, such as
BlackRock's ability to leverage its investment professionals who manage other
portfolios and risk management personnel, an increase in BlackRock's profile in
the investment advisory community, and the engagement of BlackRock's affiliates
as service providers to the Portfolio, including for administrative,
distribution, securities lending and cash management services. The Board also
considered BlackRock's overall operations and its efforts to expand the scale
of, and improve the quality of, its operations. The Board also noted that
BlackRock may use and benefit from third party research obtained by soft dollars
generated by certain registered fund transactions to assist in managing all or a
number of its other client accounts. The Board further noted that it had
considered the investment by BlackRock's funds in ETFs without any offset
against the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreements, the Board also received
information regarding BlackRock's brokerage and soft dollar practices. The Board
received reports from BlackRock which included information on brokerage
commissions and trade execution practices throughout the year.
CONCLUSION -- The Board, including the Independent Board Members, unanimously
approved the continuation of the Advisory Agreement
================================================================================
ADVISORY AGREEMENTS | 97
================================================================================
between the Manager and the Master LLC with respect to the Portfolio for a
one-year term ending June 30, 2014, and the Sub-Advisory Agreement between the
Manager and the Sub-Advisor with respect to the Portfolio for a one-year term
ending June 30, 2014. Based upon its evaluation of all of the aforementioned
factors in their totality, the Board, including the Independent Board Members,
was satisfied that the terms of the Agreements were fair and reasonable and in
the best interest of the Portfolio and its interest holders. In arriving at its
decision to approve the Agreements, the Board did not identify any single factor
or group of factors as all-important or controlling, but considered all factors
together, and different Board Members may have attributed different weights to
the various factors considered. The Independent Board Members were also assisted
by the advice of independent legal counsel in making this determination. The
contractual fee arrangements for the Portfolio reflect the results of several
years of review by the Board Members and predecessor Board Members, and
discussions between such Board Members (and predecessor Board Members) and
BlackRock. As a result, the Board Members' conclusions may be based in part on
their consideration of these arrangements in prior years.
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98 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
TRUSTEES Daniel S. McNamara
Robert L. Mason, Ph.D.
Barbara B. Ostdiek, Ph.D.
Michael F. Reimherr
Paul L. McNamara
--------------------------------------------------------------------------------
ADMINISTRATOR AND USAA Asset Management Company
INVESTMENT ADVISER P.O. Box 659453
San Antonio, Texas 78265-9825
--------------------------------------------------------------------------------
UNDERWRITER AND USAA Investment Management Company
DISTRIBUTOR P.O. Box 659453
San Antonio, Texas 78265-9825
--------------------------------------------------------------------------------
TRANSFER AGENT USAA Shareholder Account Services
9800 Fredericksburg Road
San Antonio, Texas 78288
--------------------------------------------------------------------------------
CUSTODIAN JP Morgan Chase Bank
4 Chase Metrotech Center
Brooklyn, New York 11245
--------------------------------------------------------------------------------
ACCOUNTING AGENT State Street Bank and Trust Company
100 Summer Street
Boston, Massachusetts 02110
--------------------------------------------------------------------------------
INDEPENDENT Ernst & Young LLP
REGISTERED PUBLIC 100 West Houston St., Suite 1800
ACCOUNTING FIRM San Antonio, Texas 78205
--------------------------------------------------------------------------------
MUTUAL FUND Under "My Accounts" on
SELF-SERVICE 24/7 usaa.com select "Investments,"
AT USAA.COM then "Mutual Funds"
OR CALL Under "Investments" view
(800) 531-USAA account balances, or click
(8722) "I want to...," and select
the desired action.
--------------------------------------------------------------------------------
Copies of the Manager's proxy voting policies and procedures, approved by the
Trust's Board of Trustees for use in voting proxies on behalf of the Fund, are
available without charge (i) by calling (800) 531-USAA (8722); (ii) at USAA.COM;
and (iii) in summary within the Statement of Additional Information on the SEC's
website at HTTP://WWW.SEC.GOV. Information regarding how the Fund voted proxies
relating to portfolio securities during the most recent 12-month period ended
June 30 is available without charge (i) at USAA.COM; and (ii) on the SEC's
website at HTTP://WWW.SEC.GOV.
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. These Forms N-Q are
available at no charge (i) by calling (800) 531-USAA (8722); (ii) at USAA.COM;
and (iii) on the SEC's website at HTTP://WWW.SEC.GOV. These Forms N-Q also may
be reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
Information on the operation of the Public Reference Room may be obtained by
calling (800) 732-0330.
================================================================================
USAA
9800 Fredericksburg Road --------------
San Antonio, TX 78288 PRSRT STD
U.S. Postage
PAID
USAA
--------------
>> SAVE PAPER AND FUND COSTS
Under MY PROFILE on USAA.COM select MANAGE PREFERENCES
Set your DOCUMENT PREFERENCES to USAA DOCUMENTS ONLINE.
[LOGO OF USAA]
USAA WE KNOW WHAT IT MEANS TO SERVE.(R)
=============================================================================
37757-0813 (C)2013, USAA. All rights reserved.
ITEM 2. CODE OF ETHICS.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Filed as part of the report to shareholders.
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 Corporate Governance Committee selects and nominates candidates for
membership on the Board as independent directors. Currently, there is no
procedure for shareholders to recommend candidates to serve on the Board.
ITEM 11. CONTROLS AND PROCEDURES
The principal executive officer and principal financial officer of USAA Mutual
Funds Trust (Trust) have concluded that the Trust's disclosure controls and
procedures are sufficient to ensure that information required to be disclosed by
the Trust in this Form N-CSR/S was recorded, processed, summarized and reported
within the time periods specified in the Securities and Exchange Commission's
rules and forms, based upon such officers' evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the Trust's internal controls
or in other factors that could significantly affect the Trust's internal
controls subsequent to the date of their evaluation. The only change to the
procedures was to document the annual disclosure controls and procedures
established for the new section of the shareholder reports detailing the factors
considered by the Funds' Board in approving the Funds' advisory agreements.
ITEM 12. EXHIBITS.
(a)(1). NOT APPLICABLE. This item must be disclosed only in annual reports.
(a)(2). Certification pursuant to Rule 30a-2(a) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit
99.CERT.
(a)(3). Not Applicable.
(b). Certification pursuant to Rule 30a-2(b) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(b))is filed and attached hereto as Exhibit
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: USAA MUTUAL FUNDS TRUST, Period Ended June 30, 2013
By:* /S/ JAMES G. WHETZEL
-----------------------------------------------------------
Signature and Title: JAMES G. WHETZEL, Secretary
Date: 08/22/2013
------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By:* /S/ DANIEL S. MCNAMARA
-----------------------------------------------------
Signature and Title: Daniel S. McNamara, President
Date: 08/26/2013
------------------------------
By:* /S/ ROBERTO GALINDO, JR.
-----------------------------------------------------
Signature and Title: Roberto Galindo, Jr., Treasurer
Date: 08/23/2013
------------------------------
*Print the name and title of each signing officer under his or her signature.