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: DANIEL J. MAVICO
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, 2014
ITEM 1. SEMIANNUAL REPORT TO STOCKHOLDERS.
USAA MUTUAL FUNDS TRUST - SEMIANNUAL REPORT FOR PERIOD ENDED JUNE 30, 2014
[LOGO OF USAA]
USAA(R)
[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]
===============================================
SEMIANNUAL REPORT
USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2014
===============================================
================================================================================
================================================================================
PRESIDENT'S MESSAGE
"...[W]E HAVE BELIEVED FOR SOME TIME THE
ECONOMIC RECOVERY WILL BE MORE GRADUAL [PHOTO OF BROOKS ENGLEHARDT]
THAN THE MARKET'S INITIAL EXPECTATIONS."
--------------------------------------------------------------------------------
AUGUST 2014
The six-month reporting period was a reminder that nothing should be taken for
granted, especially when it comes to the economy and financial markets. In
January 2014, when the six-month period began, many observers anticipated U.S.
economic growth of more than 3% in 2014. Interest rates were expected to rise
once the U.S. Federal Reserve (the Fed) began tapering (or reducing) its
quantitative easing (QE) asset purchases. The equity market was expected to
become more volatile, as Fed tapering continued. Instead, stock market
volatility remained low, interest rates fell, and U.S. economic growth slowed.
At USAA Asset Management Company, we have believed for some time the economic
recovery will be more gradual than the market's initial expectations. Indeed,
economic growth disappointed many during the reporting period, contracting by
2.9% in the first quarter of 2014. Some attributed the deceleration to the
extreme winter weather, but we are not entirely convinced. For example, in
Canada, where the winter weather was equally harsh, economic growth remained
positive. In the second quarter, economic growth appeared to pick up -
manufacturing data and construction spending improved, for example - suggesting
the economy was getting healthier. Nevertheless, we believe that gross domestic
product growth for 2014 is likely to fall short of the market's expectations at
the beginning of the year.
At the same time, inflationary pressures are increasing. The Fed has a
long-stated inflation target of 2%. By many measures, inflation is at or near
that range. If inflation continues to rise, the Fed may taper its QE asset
purchases more aggressively.
Meanwhile, the U.S. stock market generated positive returns during the reporting
period, with little to no increase in market volatility. International stocks
also generated positive returns. We remain concerned, and are also
================================================================================
================================================================================
uncertain, if the improving economy can generate the revenue and earnings growth
needed to justify current valuations and serve as a foundation for future price
gains. Valuations will continue to rise, in our opinion, if economic growth
accelerates and profit margins can maintain their current levels. If growth
stalls and profit margins decrease, earnings may disappoint and stocks may trim
their gains. Based on fundamental valuation at the time of this writing, we are
more optimistic about the near-term prospects for international stocks than for
U.S. stocks.
As for interest rates, they declined after the Fed started tapering its QE asset
purchases. By the end of the reporting period, the Fed - which had bought $85
billion of U.S. Treasury securities and mortgage-backed securities every month
during 2013 - had cut its asset purchases by more than half, with $35 billion
slated for purchase in July 2014. Longer-term interest rates, which had been
expected to increase, dropped and bond prices (which tend to move inversely with
rates) increased. We have long believed that, while interest rates would rise
over the longer term, it would be at a much more gradual pace than the market
was expecting.
In the months ahead, we will continue to monitor the direction of interest rates
and central bank policy, as well as the financial markets, corporate earnings,
economic trends, and other factors that could potentially affect your
investments. Assuming the U.S. economy regains its footing and continues to
strengthen, we expect the Fed to end its QE asset purchases by the end of 2014.
We believe that other global central banks are likely to maintain their easy
monetary policies, using rate cuts and/or asset purchases, to boost economic
growth in their countries and to support their financial markets.
On behalf of everyone at USAA Asset Management Company, thank you for allowing
us to help you manage your investments. We appreciate your continued investment
in our family of mutual funds.
Sincerely,
/S/ BROOKS ENGLEHARDT
Brooks Englehardt
President
USAA Asset Management Company
Past performance is no guarantee of future results. o As interest rates rise,
bond prices generally fall; given the historically low interest rate
environment, risks associated with rising interest rates may be heightened.
================================================================================
================================================================================
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FUND OBJECTIVE 1
MANAGER COMMENTARY 2
INVESTMENT OVERVIEW 5
FINANCIAL INFORMATION
USAA EXTENDED MARKET INDEX FUND:
Financial Statements 9
Financial Highlights 12
Notes to Financial Statements 14
EXPENSE EXAMPLE 19
ADVISORY AGREEMENT 21
MASTER EXTENDED MARKET INDEX SERIES:
Schedule of Investments 28
Financial Statements 73
Financial Highlights 76
Notes to Financial Statements 77
ADVISORY AGREEMENTS 90
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)2014, USAA. All rights reserved.
================================================================================
================================================================================
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. THE
DOW JONES U.S. COMPLETION TOTAL STOCK MARKET INDEX MEASURES THE PERFORMANCE OF
ALL SMALL- AND MID-CAP STOCKS AS MEASURED BY THE DOW JONES U.S. TOTAL STOCK
MARKET INDEX(SM) LESS THE STOCKS IN THE S&P 500 INDEX.
--------------------------------------------------------------------------------
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 (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, before fees and expenses, the
performance of 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 Dow
Jones U.S. Completion Total Stock Market 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.
================================================================================
FUND OBJECTIVE | 1
================================================================================
MANAGER COMMENTARY ON THE FUND
--------------------------------------------------------------------------------
As of the end of the reporting period, the USAA Extended Market Index Fund (the
Fund) had a total return of 5.96%. U.S. stocks, as represented by the Fund's
benchmark, the Dow Jones U.S. Completion Total Stock Market Index, had a total
return of 6.20% for the six-month period ended June 30, 2014.
Despite high valuations resulting from last year's strong rally, investors
continued to favor stocks in the first half 2014, pushing major indices to
record highs during the period. However, not all segments of the market advanced
as many of last year's winners struggled, including many biotechnology and
internet-related companies as well as retailers. Broadly speaking, the year 2014
brought a swift reversal away from the prevailing momentum stocks of 2013 and a
rotation from growth to value stocks. Additionally, market volatility remained
well below historical norms, a trend that has continued for several quarters,
suggesting, in our opinion, that investors have become complacent in an
environment where easy monetary conditions and low default rates have served to
counteract growing geopolitical risk.
The year got off to a rocky start, however, as heightened risks in emerging
markets compelled investors to pull back from risk assets generally. A number of
emerging economies struggled with currency weakness, debt problems and uneven
growth rates while facing the broader headwind of diminishing global liquidity
as the U.S. Federal Reserve (the Fed) began tapering (or reducing) its stimulus
program. Signs of further deceleration of economic growth in China were
particularly worrisome. Meanwhile, disappointing corporate earnings
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Refer to page 6 for benchmark definition.
================================================================================
2 | USAA EXTENDED MARKET INDEX FUND
================================================================================
reports and softer economic data in the United States also contributed to the
sell-off in stocks.
U.S. stocks were back on the rise in February due in part to positive
developments in Washington, D.C. Fiscal uncertainty abated with the extension of
the U.S. debt ceiling. Additionally, investors were encouraged by
market-friendly comments from the new Fed Chairwoman, Janet Yellen. Although
U.S. economic data had weakened, most investors viewed this recent trend as
temporary and continued to take on U.S. stock risk given expectations that
growth would pick up later in the year.
Market volatility increased in March due to rising tensions between Russia and
Ukraine over the disputed region of Crimea. Investors feared the impact of
potential international sanctions and the threat of rising oil prices. More
evidence of decelerating growth in China added to the air of uncertainty.
However, markets were resilient as investors turned their focus to improving
U.S. economic data, positive corporate earnings surprises and increased merger
and acquisition activity. Comments from the Fed also helped push U.S. stocks
higher.
Escalating violence in Iraq pushed oil prices sharply higher in June, causing
stock prices to fall as investors were reminded of the broader risk that
instability in the Middle East and Africa poses to global oil production.
However, a steady stream of mergers and acquisitions again took center stage
and, against the backdrop of ongoing Fed stimulus, U.S. stocks quickly resumed
their upward course.
As the global economy continued its slow recovery, improving U.S. data garnered
a good deal of investors' attention during the period. Following a first quarter
of disappointing economic reports, better data in the second quarter ultimately
confirmed that the recent weakness had been temporary and largely weather-
related. In June, revised gross domestic product numbers revealed that the U.S.
economy had contracted much more than expected in the first quarter. While this
news came as a surprise, it was no longer important as compared to more recent
data showing improvements in the labor market and manufacturing. Nonetheless, a
low labor participation rate, anemic wage growth, and lackluster consumption
continued to weigh on U.S.
================================================================================
MANAGER COMMENTARY ON THE FUND | 3
================================================================================
growth. While the global recovery has remained generally on track, mixed
economic reports in the first half of the year resulted in the World Bank
lowering its 2014 global growth forecast to 2.8% in June from its January
forecast of 3.2%.
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, 2014, 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)2014 BLACKROCK, INC. ALL RIGHTS RESERVED.
================================================================================
4 | USAA EXTENDED MARKET INDEX FUND
================================================================================
INVESTMENT OVERVIEW
USAA EXTENDED MARKET INDEX FUND (THE FUND) (Ticker Symbol: USMIX)
--------------------------------------------------------------------------------
6/30/14 12/31/13
--------------------------------------------------------------------------------
Net Assets $668.1 Million $615.7 Million
Net Asset Value Per Share $18.68 $17.63
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/14
--------------------------------------------------------------------------------
12/31/2013 - 6/30/2014* 1 YEAR 5 YEARS 10 YEARS
5.96% 26.13% 21.31% 9.93%
--------------------------------------------------------------------------------
EXPENSE RATIO AS OF 12/31/13**
--------------------------------------------------------------------------------
BEFORE REIMBURSEMENT 0.51% 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, 2014, and are
calculated as a percentage of average net assets. USAA Asset Management Company
(the Manager) has agreed, through May 1, 2015, to make payments or waive
management, administration, and other fees so that the total annual operating
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, 2015. 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, if any. 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 (including
capital gains distributions), redemption of shares, or reinvested net investment
income.
================================================================================
INVESTMENT OVERVIEW | 5
================================================================================
o CUMULATIVE PERFORMANCE COMPARISON o
[CHART OF CUMULATIVE PERFORMANCE COMPARISON]
DOW JONES U.S.
COMPLETION TOTAL STOCK USAA EXTENDED MARKET
MARKET INDEX* INDEX FUND
6/30/2004 $10,000.00 $10,000.00
7/31/2004 9,445.65 9,444.44
8/31/2004 9,446.61 9,444.44
9/30/2004 9,809.80 9,814.81
10/31/2004 9,991.06 10,019.49
11/30/2004 10,688.51 10,701.75
12/31/2004 11,145.26 11,159.87
1/31/2005 10,767.77 10,782.91
2/28/2005 10,976.13 10,981.31
3/31/2005 10,765.72 10,802.75
4/30/2005 10,372.31 10,435.72
5/31/2005 10,990.45 11,050.75
6/30/2005 11,349.00 11,397.94
7/31/2005 11,987.89 12,012.98
8/31/2005 11,850.46 11,874.10
9/30/2005 11,940.29 11,943.54
10/31/2005 11,659.95 11,685.62
11/30/2005 12,203.89 12,251.05
12/31/2005 12,262.99 12,288.60
1/31/2006 13,068.34 13,060.45
2/28/2006 12,938.79 12,948.73
3/31/2006 13,431.63 13,436.21
4/30/2006 13,486.90 13,486.99
5/31/2006 12,904.70 12,918.26
6/30/2006 12,941.69 12,938.58
7/31/2006 12,576.25 12,572.96
8/31/2006 12,846.12 12,837.02
9/30/2006 12,963.62 12,979.20
10/31/2006 13,608.60 13,619.02
11/30/2006 14,101.27 14,116.66
12/31/2006 14,137.13 14,170.20
1/31/2007 14,593.10 14,638.64
2/28/2007 14,557.08 14,553.47
3/31/2007 14,714.92 14,702.51
4/30/2007 15,079.55 15,032.55
5/31/2007 15,728.55 15,660.68
6/30/2007 15,497.55 15,458.40
7/31/2007 14,802.48 14,787.68
8/31/2007 14,951.57 14,926.09
9/30/2007 15,404.92 15,394.52
10/31/2007 15,860.48 15,884.25
11/30/2007 14,970.82 14,958.03
12/31/2007 14,899.64 14,837.75
1/31/2008 13,979.80 13,868.11
2/29/2008 13,677.95 13,586.24
3/31/2008 13,435.54 13,315.64
4/30/2008 14,168.22 14,048.51
5/31/2008 14,843.06 14,679.90
6/30/2008 13,730.06 13,574.96
7/31/2008 13,600.71 13,439.67
8/31/2008 13,865.33 13,710.26
9/30/2008 12,358.68 12,233.25
10/31/2008 9,808.53 9,707.68
11/30/2008 8,690.98 8,602.74
12/31/2008 9,084.31 8,999.64
1/31/2009 8,405.63 8,306.44
2/28/2009 7,583.63 7,493.72
3/31/2009 8,237.52 8,139.11
4/30/2009 9,472.20 9,358.19
5/31/2009 9,865.45 9,740.64
6/30/2009 9,948.16 9,812.35
7/31/2009 10,844.04 10,696.78
8/31/2009 11,249.13 11,103.14
9/30/2009 11,902.40 11,736.58
10/31/2009 11,258.26 11,079.23
11/30/2009 11,705.99 11,521.45
12/31/2009 12,484.65 12,272.54
1/31/2010 12,185.67 11,972.04
2/28/2010 12,773.82 12,549.01
3/31/2010 13,710.00 13,462.54
4/30/2010 14,362.68 14,099.60
5/31/2010 13,283.32 13,041.83
6/30/2010 12,363.03 12,140.32
7/31/2010 13,218.78 12,969.71
8/31/2010 12,483.46 12,236.48
9/30/2010 13,903.63 13,630.82
10/31/2010 14,525.94 14,231.82
11/30/2010 14,959.06 14,640.51
12/31/2010 16,057.48 15,722.22
1/31/2011 16,262.86 15,908.94
2/28/2011 16,985.17 16,618.50
3/31/2011 17,327.74 16,954.60
4/30/2011 17,844.98 17,440.08
5/31/2011 17,618.92 17,216.02
6/30/2011 17,207.85 16,805.22
7/31/2011 16,651.43 16,269.94
8/31/2011 15,290.71 14,937.97
9/30/2011 13,641.25 13,332.14
10/31/2011 15,551.12 15,199.39
11/30/2011 15,462.06 15,099.80
12/31/2011 15,454.50 15,088.45
1/31/2012 16,622.68 16,221.06
2/29/2012 17,291.19 16,858.96
3/31/2012 17,686.43 17,236.50
4/30/2012 17,556.57 17,106.31
5/31/2012 16,328.91 15,908.61
6/30/2012 16,844.71 16,403.31
7/31/2012 16,729.20 16,286.15
8/31/2012 17,306.57 16,845.94
9/30/2012 17,730.38 17,249.52
10/31/2012 17,496.40 17,015.18
11/30/2012 17,754.16 17,275.55
12/31/2012 18,218.99 17,723.81
1/31/2013 19,488.31 18,947.06
2/28/2013 19,677.47 19,119.91
3/31/2013 20,599.64 20,010.75
4/30/2013 20,731.38 20,130.42
5/31/2013 21,284.06 20,648.97
6/30/2013 21,074.83 20,436.23
7/31/2013 22,505.68 21,805.73
8/31/2013 21,887.58 21,194.11
9/30/2013 23,172.77 22,430.65
10/31/2013 23,844.53 23,082.17
11/30/2013 24,416.08 23,640.61
12/31/2013 25,151.46 24,327.55
1/31/2014 24,697.14 23,844.59
2/28/2014 26,049.09 25,141.69
3/31/2014 25,860.91 24,962.30
4/30/2014 25,195.51 24,341.35
5/31/2014 25,575.30 24,700.12
6/30/2014 26,711.77 25,776.43
[END CHART]
Data from 6/30/04 to 6/30/14.
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 return information for the
indexes does not reflect the deduction of any fees or expenses.
*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.
================================================================================
6 | USAA EXTENDED MARKET INDEX FUND
================================================================================
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.
================================================================================
INVESTMENT OVERVIEW | 7
================================================================================
o TOP 10 HOLDINGS o
AS OF 6/30/14
(% of Net Assets)*
American Airlines Group, Inc. ..............................................0.7%
Las Vegas Sands Corp. ......................................................0.7%
Illumina, Inc. .............................................................0.5%
Liberty Global plc Series C ................................................0.5%
Tesla Motors, Inc. .........................................................0.4%
HCA Holdings, Inc. .........................................................0.4%
Weatherford International Pl ...............................................0.4%
Linkedin Corp. A ...........................................................0.4%
Cheniere Energy, Inc. ......................................................0.4%
Concho Resources, Inc. .....................................................0.4%
o TOP 10 INDUSTRY SECTORS o
AS OF 6/30/14
(% of Net Assets)*
Real Estate Investment Trusts (REITS) ......................................9.5%
Software & Computer Services ...............................................5.6%
Pharmaceuticals & Biotechnology ............................................5.5%
Travel & Leisure ...........................................................5.4%
Banks ......................................................................5.0%
Health Care Equipment & Services ...........................................5.0%
Technology Hardware & Equipment ............................................4.8%
Support Services ...........................................................4.6%
General Retailers ..........................................................4.5%
Media ......................................................................4.1%
*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 28-72.
================================================================================
8 | USAA EXTENDED MARKET INDEX FUND
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2014 (unaudited)
--------------------------------------------------------------------------------
ASSETS
Investment in Master Extended Market Index Series, at fair value $667,889,048
Receivable for capital shares sold 775,945
------------
Total assets 668,664,993
------------
LIABILITIES
Payable for capital shares redeemed 513,137
Accrued transfer agency fees 21,620
Other accrued expenses and payables 63,887
------------
Total liabilities 598,644
------------
Net assets applicable to capital shares outstanding $668,066,349
============
NET ASSETS CONSIST OF:
Paid-in capital $432,789,667
Accumulated undistributed net investment income 3,467,627
Accumulated net realized gain from investments and
futures transactions 19,017,700
Net unrealized appreciation on investments and futures contracts 212,791,355
------------
Net assets applicable to capital shares outstanding $668,066,349
============
Capital shares outstanding 35,767,129
============
Net asset value, redemption price, and offering price per share $ 18.68
============
See accompanying notes to financial statements and accompanying financial
statements of the Master Extended Market Index Series (the Series) attached.
================================================================================
FINANCIAL STATEMENTS | 9
================================================================================
STATEMENT OF OPERATIONS
Six-month period ended June 30, 2014 (unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Allocated from Master Extended Market Index Series:
Dividends - unaffiliated $ 3,935,242
Foreign taxes withheld (4,452)
Securities lending - affiliated 267,634
Dividends - affiliated 4,577
------------
Total income 4,203,001
Expenses (Note 4B) (221,371)
------------
Net allocated investment income 3,981,630
------------
FUND EXPENSES
Administration and servicing fees 788,188
Transfer agent's fees 398,665
Custody and accounting fees 3,259
Shareholder reporting fees 22,336
Postage 17,377
Trustees' fees 10,910
Registration fees 14,877
Professional fees 39,845
Other 8,390
------------
Total Fund expenses 1,303,847
------------
NET INVESTMENT INCOME 2,677,783
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FUTURES CONTRACTS ALLOCATED FROM MASTER
EXTENDED MARKET INDEX SERIES
Net realized gain from investment transactions 11,199,457
Net realized gain from futures transactions 1,884,616
Net change in unrealized appreciation/depreciation on investments
and futures contracts 21,445,427
------------
Net allocated realized and unrealized gain on investments
and futures contracts 34,529,500
------------
Increase in net assets from operations $ 37,207,283
============
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
================================================================================
10 | USAA EXTENDED MARKET INDEX FUND
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
Six-month period ended June 30, 2014 (unaudited), and year ended
December 31, 2013
--------------------------------------------------------------------------------
6/30/2014 12/31/2013
--------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income $ 2,677,783 $ 4,492,759
Net realized gain from investment transactions 11,199,457 20,801,938
Net realized gain from futures transactions 1,884,616 5,159,908
Net change in unrealized appreciation/depreciation
on investments and futures contracts 21,445,427 126,849,136
----------------------------
Net increase in net assets from operations 37,207,283 157,303,741
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (48) (4,327,638)
Net realized gains - (17,524,518)
----------------------------
Distributions to shareholders (48) (21,852,156)
----------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold 70,147,132 142,920,022
Reinvested dividends 26 21,398,615
Cost of shares redeemed (55,027,177) (82,425,844)
----------------------------
Net increase in net assets from
capital share transactions 15,119,981 81,892,793
----------------------------
Net increase in net assets 52,327,216 217,344,378
NET ASSETS
Beginning of period 615,739,133 398,394,755
----------------------------
End of period $668,066,349 $615,739,133
============================
Accumulated undistributed net investment income
End of period $ 3,467,627 $ 789,892
============================
CHANGE IN SHARES OUTSTANDING
Shares sold 3,937,680 9,010,642
Shares issued for reinvested dividends 1 1,239,182
Shares redeemed (3,095,705) (5,218,612)
----------------------------
Increase in shares outstanding 841,976 5,031,212
============================
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
================================================================================
FINANCIAL STATEMENTS | 11
================================================================================
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,
---------------------------------------------------------------------------------------
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------
Net asset value at
beginning of period $ 17.63 $ 13.33 $ 11.59 $ 12.63 $ 10.21 $ 7.53
--------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .07 .13 .19 .11 .09 .07
Net realized and unrealized
gain (loss) on investments
and futures transactions .98 4.82 1.83 (.63)(b) 2.78 2.67
--------------------------------------------------------------------------------------
Total from investment
operations 1.05 4.95 2.02 (.52) 2.87 2.74
--------------------------------------------------------------------------------------
Less distributions from:
Net investment income - (.13) (.19) (.09) (.11) (.06)
Realized capital gains - (.52) (.09) (.43) (.34) -
--------------------------------------------------------------------------------------
Total distributions - (.65) (.28) (.52) (.45) (.06)
--------------------------------------------------------------------------------------
Net asset value at
end of period $ 18.68 $ 17.63 $ 13.33 $ 11.59 $ 12.63 $ 10.21
======================================================================================
Total return (%)* 5.96 37.26 17.47 (4.03) 28.11 36.37
Net assets at
end of period (000) $668,066 $615,739 $398,395 $353,660 $362,835 $276,245
Ratios to average
net assets:**
Expenses, including
expenses of the Master
Extended Market Index
Series (%) .48(c) .50(a) .50(a) .50(a) .50(a) .50(a)
Expenses before
reimbursements, including
expenses of the Master
Extended Market Index
Series (%) .48(c) .51(a) .65(a) .75(a) .81(a) .96(a)
Net investment income (%) .85(c) .89 1.45 .87 .86 .86
Portfolio turnover (%)*** 3 18 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. Total returns for periods of less than one year are
not annualized.
================================================================================
12 | USAA EXTENDED MARKET INDEX FUND
================================================================================
** For the six-month period ended June 30, 2014, average net assets were
$635,792,121.
*** Represents the portfolio turnover of the Master Extended Market Index
Series.
(a) Reflects total annual 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 | 13
================================================================================
NOTES TO FINANCIAL STATEMENTS
June 30, 2014 (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 52 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, 2014, the Fund's investment was 100% 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 2 of the Series' Notes to 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.
================================================================================
14 | USAA EXTENDED MARKET INDEX FUND
================================================================================
C. DERIVATIVE FINANCIAL INSTRUMENTS - Refer to Note 4 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 of 1986, as amended, 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 the Fund's custodian
and other banks utilized by the Fund for cash management purposes, realized
credits, if any, generated from cash balances in the Fund's bank accounts
may be used to directly reduce the Fund's expenses. For the six-month period
ended June 30, 2014, 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
================================================================================
NOTES TO FINANCIAL STATEMENTS | 15
================================================================================
or emergency cash needs, including redemption requests 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 an
interest rate based on the London Interbank Offered Rate (LIBOR).
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. 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, 2014, the Fund paid CAPCO facility fees
of $1,666, which represents 1.0% 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, 2014.
(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,
2014, 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.
The 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, 2013, the Fund had no pre-enactment or post-enactment capital
loss carryforwards, for federal income tax purposes.
For the six-month period ended June 30, 2014, 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
================================================================================
16 | USAA EXTENDED MARKET INDEX FUND
================================================================================
adjustments to this conclusion are necessary. The statute of limitations on the
Fund's tax return filings generally remains open for the three preceding 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, 2014, the Fund incurred administration and
servicing fees, paid or payable to the Manager, of $788,188.
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 Trust's Board of Trustees
(the Board) has approved the reimbursement of a portion of these expenses
incurred by the Manager. For the six-month period ended June 30, 2014, the
Fund reimbursed the Manager $8,246 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, 2014, the
Manager incurred subadministration fees, paid or payable to BlackRock, of
$117,219.
B. EXPENSE LIMITATION - The Manager agreed, through May 1, 2015, to limit the
total annual operating expenses of the Fund to 0.50% of the Fund's average
net assets, excluding extraordinary expenses and 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, 2015, 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, 2014, the Fund did not incur
reimbursable expenses. Additionally, the expenses allocated to the Fund
from the Series included fees waived by BlackRock
================================================================================
NOTES TO FINANCIAL STATEMENTS | 17
================================================================================
Advisors, LLC of $9,871 (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,
2014, the Fund incurred transfer agent's fees paid or payable to SAS, of
$398,665.
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.
================================================================================
18 | USAA EXTENDED MARKET INDEX FUND
================================================================================
EXPENSE EXAMPLE
June 30, 2014 (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, 2014, through June
30, 2014.
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 account balance or expenses you paid for the period.
You may use this information to compare the ongoing
================================================================================
EXPENSE EXAMPLE | 19
================================================================================
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, 2014 -
JANUARY 1, 2014 JUNE 30, 2014 JUNE 30, 2014
-----------------------------------------------------------------
Actual $1,000.00 $1,059.60 $2.45
Hypothetical
(5% return before expenses) 1,000.00 1,022.41 2.41
* Expenses are equal to the Fund's annualized expense ratio of 0.48%, 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 5.96% for the six-month
period of January 1, 2014, through June 30, 2014.
================================================================================
20 | USAA EXTENDED MARKET INDEX FUND
================================================================================
ADVISORY AGREEMENT
June 30, 2014 (unaudited)
--------------------------------------------------------------------------------
At an in-person meeting of the Board of Trustees (the Board) held on April 30,
2014, 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
information concerning Fund performance, comparability of fees
================================================================================
ADVISORY AGREEMENT | 21
================================================================================
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 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
================================================================================
22 | USAA EXTENDED MARKET INDEX FUND
================================================================================
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
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
================================================================================
ADVISORY AGREEMENT | 23
================================================================================
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, including the high quality of services
received by the Fund from the Manager. 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, 2013. The Board also noted that the Fund's
percentile performance ranking was in the top 30% of its performance universe
for the one- and three-year periods ended December 31, 2013, and was in the top
25% of its performance universe for the five-year period ended December 31,
2013. 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.
COMPENSATION AND PROFITABILITY - The Board noted that the Manager does not
currently receive an advisory fee from the Fund under the Management
================================================================================
24 | USAA EXTENDED MARKET INDEX FUND
================================================================================
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 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
================================================================================
ADVISORY AGREEMENT | 25
================================================================================
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.
================================================================================
26 | 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, 2014 (unaudited)
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE & DEFENSE - 1.6%
5,805 AAR Corp. $ 159,986
3,079 Aerovironment, Inc.(a) 97,912
4,758 Alliant Techsystems, Inc. 637,191
4,334 Arotech Corp.(a) 19,330
2,570 Astronics Corp.(a) 145,076
5,505 Astrotech Corp.(a),(b) 17,506
14,914 BE Aerospace, Inc.(a) 1,379,396
2,530 CPI Aerostructures, Inc.(a) 32,055
3,267 Cubic Corp. 145,414
7,230 Curtiss-Wright Corp. 473,999
1,874 Ducommun, Inc.(a) 48,968
4,736 Esterline Technologies Corp.(a) 545,208
27,713 Exelis, Inc. 470,567
10,203 GenCorp, Inc.(a) 194,877
950 HEICO Corp. 49,343
7,676 HEICO Corp., Class A 311,646
15,177 Hexcel Corp.(a) 620,739
7,486 Huntington Ingalls Industries, Inc. 708,101
4,600 Innovative Solutions & Support, Inc.(a) 34,224
9,451 Kratos Defense & Security Solutions, Inc.(a) 73,718
2,720 LMI Aerospace, Inc.(a) 35,578
2,988 Mantech International Corp., Class A 88,206
6,702 Moog, Inc., Class A(a) 488,509
9,185 Orbital Sciences Corp.(a) 271,417
3,523 RBC Bearings, Inc. 225,648
10,248 Smith& Wesson Holding Corp.(a),(b) 149,006
16,468 Spirit Aerosystems Holdings, Inc., Class A(a) 554,972
3,052 Sturm Ruger& Co., Inc. 180,098
8,573 Taser International, Inc.(a) 114,021
5,614 Teledyne Technologies, Inc.(a) 545,512
7,629 TransDigm Group, Inc. 1,276,026
7,929 Triumph Group, Inc. 553,603
644 VSE Corp. 45,286
------------
10,693,138
------------
ALTERNATIVE ENERGY - 0.2%
8,820 Amyris, Inc.(a),(b) 32,899
7,427 Ascent Solar Technologies, Inc.(a) 3,119
1,380 BioFuel Energy Corp.(a) 9,481
35,334 FuelCell Energy, Inc.(a),(b) 84,802
4,822 Green Plains Renewable Energy, Inc. 158,499
13,315 GreenHunter Energy, Inc.(a),(b) 26,364
20,722 GT Advanced Technologies, Inc.(a) 385,429
7,210 KiOR, Inc., Class A(a),(b) 2,596
3,549 Ocean Power Technologies, Inc.(a) 5,820
24,367 Plug Power, Inc.(a),(b) 114,038
904 REX American Resources Corp.(a) 66,272
9,331 Solazyme, Inc.(a) 109,919
5,106 STR Holdings, Inc.(a) 6,893
6,353 SunPower Corp.(a) 260,346
------------
1,266,477
------------
AUTOMOBILES & PARTS - 2.2%
24,733 Allison Transmission Holdings, Inc. 769,196
10,606 American Axle & Manufacturing Holdings, Inc.(a) 200,347
14,109 Autoliv, Inc. 1,503,737
8,969 Cooper Tire & Rubber Co. 269,070
23,275 Dana Holding Corp. 568,375
================================================================================
28 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
4,690 Dorman Products, Inc.(a) $ 231,311
5,025 Federal-Mogul Corp.(a) 101,656
2,169 Fuel Systems Solutions, Inc.(a) 24,163
21,640 Gentex Corp. 629,508
5,624 Gentherm, Inc.(a) 249,987
12,455 Lear Corp. 1,112,481
45,263 LKQ Corp.(a) 1,208,069
3,917 LoJack Corp.(a) 21,269
7,575 Modine Manufacturing Co.(a) 119,231
3,112 Motorcar Parts of America, Inc.(a) 75,777
4,195 Quantum Fuel Systems Technologies
Worldwide, Inc.(a),(b) 24,247
1,088 Shiloh Industries, Inc.(a) 20,084
3,134 Standard Motor Products, Inc. 139,996
4,259 Stoneridge, Inc.(a) 45,656
573 Strattec Security Corp. 36,953
3,069 Superior Industries International, Inc. 63,283
9,140 Tenneco, Inc.(a) 600,498
12,502 Tesla Motors, Inc.(a) 3,001,230
8,211 Titan International, Inc. 138,109
17,156 TRW Automotive Holdings Corp.(a) 1,535,805
7,139 U.S. Auto Parts Network, Inc.(a) 25,772
7,470 Visteon Corp.(a) 724,665
9,266 WABCO Holdings, Inc.(a) 989,794
------------
14,430,269
------------
BANKS - 5.0%
1,862 1st Source Corp. 57,014
6,012 1st United Bancorp, Inc. 51,823
1,956 Ameriana Bancorp 28,851
1,548 American National Bankshares, Inc. 33,638
4,563 Ameris Bancorp(a) 98,378
1,856 Ames National Corp. 42,948
2,181 Arrow Financial Corp. 56,575
23,117 Associated Banc-Corp 417,955
12,497 Astoria Financial Corp. 168,085
4,690 Banc of California, Inc. 51,121
770 Bancfirst Corp. 47,663
2,128 Bancorp of New Jersey, Inc. 27,238
6,671 The Bancorp, Inc.(a) 79,452
12,576 BancorpSouth, Inc. 308,992
7,238 Bank Mutual Corp. 41,980
6,398 Bank of Hawaii Corp. 375,499
1,025 The Bank of Kentucky Financial Corp. 35,660
972 Bank of Marin Bancorp 44,313
9,642 Bank of the Ozarks, Inc. 322,525
4,459 Bank Financial Corp. 49,762
15,096 Bank United, Inc. 505,414
3,084 Banner Corp. 122,219
1,972 Bar Harbor Bankshares 54,979
2,823 BCB Bancorp, Inc. 38,167
2,336 Bear State Financial, Inc.(a) 20,744
5,424 Beneficial Mutual Bancorp, Inc.(a) 73,549
3,819 Berkshire Hills Bancorp, Inc. 88,677
2,046 BofI Holding, Inc.(a) 150,320
2,663 BOK Financial Corp. 177,356
12,591 Boston Private Financial Holdings, Inc. 169,223
2,106 Bridge Bancorp, Inc. 50,523
2,653 Bridge Capital Holdings(a) 64,229
10,701 Brookline Bancorp, Inc. 100,268
2,814 Bryn Mawr Bank Corp. 81,944
882 California First National Bancorp 12,948
1,176 Camden National Corp. 45,582
3,648 Cape Bancorp, Inc. 39,143
7,396 Capital Bank Financial Corp., Class A(a) 174,620
1,923 Capital City Bank Group, Inc. 27,941
18,962 Capitol Federal Financial, Inc. 230,578
4,985 Cardinal Financial Corp. 92,023
================================================================================
SCHEDULE OF INVESTMENTS | 29
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
6,367 Cascade Bancorp(a) $ 33,172
11,164 Cathay General Bancorp 285,352
6,618 Centerstate Banks, Inc. 74,122
5,017 Central Pacific Financial Corp. 99,587
627 Century Bancorp, Inc., Class A 22,158
4,344 Chemical Financial Corp. 121,980
2,061 Chicopee Bancorp, Inc. 34,810
2,446 Citizens & Northern Corp. 47,673
2,320 City Holding Co. 104,678
6,997 City National Corp. 530,093
1,974 Clifton Bancorp, Inc. 25,011
2,402 CNB Financial Corp. 40,354
5,743 CoBiz Financial, Inc. 61,852
750 Colony Bankcorp, Inc.(a) 4,733
7,682 Columbia Banking System, Inc. 202,113
11,867 Commerce Bancshares, Inc. 551,815
6,000 Community Bank System, Inc. 217,200
2,381 Community Trust Bancorp, Inc. 81,478
2,905 CommunityOne Bancorp(a) 28,179
2,856 ConnectOne Bancorp, Inc. 54,921
7,719 Cullen/Frost Bankers, Inc. 613,043
13,798 CVB Financial Corp. 221,182
4,654 Dime Community Bancshares, Inc. 73,487
2,686 Doral Financial Corp.(a) 11,604
3,931 Eagle Bancorp, Inc.(a) 132,671
21,180 East West Bancorp, Inc. 741,088
2,546 Eastern Virginia Bankshares, Inc.(a) 16,294
1,296 Enterprise Bancorp, Inc. 26,736
3,330 Enterprise Financial Services Corp. 60,140
2,374 ESB Financial Corp. 30,720
1,863 ESSA Bancorp, Inc. 20,735
1,489 Farmers Capital Bank Corp.(a) 33,637
3,412 Fidelity Southern Corp. 44,322
2,187 Financial Institutions, Inc. 51,220
2,216 First Bancorp, Inc. 38,691
3,105 First Bancorp, North Carolina 56,977
15,663 First Bancorp, Puerto Rico(a) 85,207
11,407 First Busey Corp. 66,275
1,968 First Citizens Banc Corp. 17,732
891 First Citizens BancShares, Inc., Class A 218,295
13,854 First Commonwealth Financial Corp. 127,734
2,730 First Community Bancshares, Inc. 39,121
3,213 First Connecticut Bancorp, Inc. 51,569
1,535 First Defiance Financial Corp. 44,055
8,783 First Financial Bancorp 151,155
8,954 First Financial Bankshares, Inc. 280,887
1,437 First Financial Corp. 46,257
2,894 First Financial Northwest, Inc. 31,458
968 First Financial Service Corp.(a) 3,543
35,219 First Horizon National Corp. 417,697
3,171 First Interstate Bancsystem, Inc. 86,188
5,697 First Merchants Corp. 120,435
11,345 First Midwest Bancorp, Inc. 193,205
52,329 First Niagara Financial Group, Inc. 457,355
1,491 The First of Long Island Corp. 58,268
18,658 First Republic Bank 1,026,003
12,751 First Security Group, Inc.(a) 27,670
3,052 First South Bancorp, Inc. 24,385
1,784 First United Corp.(a) 15,646
24,109 FirstMerit Corp. 476,153
3,391 Flagstar Bancorp, Inc.(a) 61,377
4,602 Flushing Financial Corp. 94,571
23,424 FNB Corp. 300,296
================================================================================
30 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
2,566 Fox Chase Bancorp, Inc. $ 43,263
2,485 Franklin Financial Corp.(a) 53,924
27,244 Fulton Financial Corp. 337,553
2,176 German American Bancorp, Inc. 58,926
11,127 Glacier Bancorp, Inc. 315,784
1,408 Great Southern Bancorp, Inc. 45,126
3,814 Guaranty Bancorp 53,015
17,624 Hampton Roads Bankshares, Inc.(a) 30,490
11,857 Hancock Holding Co. 418,789
5,135 Hanmi Financial Corp. 108,246
1,242 Hawthorn Bancshares, Inc. 15,547
2,048 Heartland Financial USA, Inc. 50,647
4,396 Heritage Commerce Corp. 35,915
5,226 Heritage Financial Corp. 84,086
1,907 HMN Financial, Inc.(a) 20,977
1,779 Home Bancorp, Inc.(a) 39,174
7,170 Home BancShares, Inc. 235,319
11,237 Home Loan Servicing Solutions Ltd. 255,417
3,179 HomeTrust Bancshares, Inc.(a) 50,133
1,338 Horizon Bancorp 29,222
2,386 Hudson Valley Holding Corp. 43,067
7 Huntington Bancshares, Inc. 67
4,573 Iberiabank Corp. 316,406
3,467 Independent Bank Corp./MA 133,063
4,633 Independent Bank Corp./MI 59,627
8,295 International Bancshares Corp. 223,965
4,029 Intervest Bancshares Corp. 31,184
50,255 Investors Bancorp, Inc. 555,318
3,257 Kearny Financial Corp.(a) 49,311
5,519 Lakeland Bancorp, Inc. 59,605
2,532 Lakeland Financial Corp. 96,621
6,531 Macatawa Bank Corp. 33,112
3,542 MainSource Financial Group, Inc. 61,099
8,276 MB Financial, Inc. 223,866
2,713 Mercantile Bank Corp. 62,073
1,163 Merchants Bancshares, Inc. 37,193
2,347 Metro Bancorp, Inc.(a) 54,263
1,608 MidSouth Bancorp, Inc. 31,983
1,520 MidWestOne Financial Group, Inc. 36,465
1,697 MutualFirst Financial, Inc. 32,379
821 NASB Financial, Inc. 19,417
1,269 National Bankshares, Inc. 39,199
16,473 National Penn Bancshares, Inc. 174,284
6,330 NBT Bancorp, Inc. 152,047
65,278 New York Community Bancorp, Inc. 1,043,142
5,756 NewBridge Bancorp(a) 46,393
1,795 North Valley Bancorp(a) 39,113
10,182 Northfield Bancorp, Inc. 133,486
1,270 Northrim BanCorp, Inc. 32,474
13,479 Northwest Bancshares, Inc. 182,910
859 Norwood Financial Corp. 24,482
2,337 OceanFirst Financial Corp. 38,701
7,031 OFG Bancorp 129,441
934 Ohio Valley Banc Corp. 21,370
14,444 Old National Bancorp 206,260
3,649 Old Second Bancorp, Inc.(a) 18,136
2,365 OmniAmerican Bancorp, Inc. 59,125
6,327 Oritani Financial Corp. 97,373
2,093 Orrstown Financial Services, Inc.(a) 34,618
3,334 Pacific Continental Corp. 45,776
14,236 PacWest Bancorp 614,568
2,070 Park National Corp. 159,804
9,934 Park Sterling Corp. 65,465
2,063 Peapack Gladstone Financial Corp. 43,756
================================================================================
SCHEDULE OF INVESTMENTS | 31
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
1,050 Penns Woods Bancorp, Inc. $ 49,455
1,497 Peoples Bancorp of North Carolina, Inc. 24,281
1,815 Peoples Bancorp, Inc. 48,007
1,245 Peoples Financial Corp. 16,969
5,231 Pinnacle Financial Partners, Inc. 206,520
15,045 Popular, Inc.(a) 514,238
1,044 Porter Bancorp, Inc.(a) 1,096
2,659 Preferred Bank(a) 62,859
10,307 PrivateBancorp, Inc. 299,521
8,397 Prosperity Bancshares, Inc. 525,652
1,737 Provident Financial Holdings, Inc. 25,256
7,911 Provident Financial Services, Inc. 137,019
2,837 Pulaski Financial Corp. 32,342
4,800 Renasant Corp. 139,536
1,667 Republic Bancorp, Inc., Class A 39,541
6,390 Republic First Bancorp, Inc.(a) 32,206
4,146 Riverview Bancorp, Inc.(a) 16,086
3,261 Royal Bancshares of Pennsylvania, Inc., Class A(a) 5,707
4,337 S&T Bancorp, Inc. 107,774
3,931 Sandy Spring Bancorp, Inc. 97,921
4,359 Seacoast Banking Corp. of Florida(a) 47,382
3,680 Shore Bancshares, Inc.(a) 33,157
1,921 Sierra Bancorp 30,352
7,570 Signature Bank(a) 955,183
2,584 Simmons First National Corp., Class A 101,784
3,642 South State Corp. 222,162
2,898 Southside Bancshares, Inc. 83,926
3,310 Southwest Bancorp, Inc. 56,469
5,576 State Bank Financial Corp. 94,290
12,155 Sterling Bancorp 145,860
2,255 Stock Yards Bancorp, Inc. 67,424
2,452 Suffolk Bancorp(a) 54,704
1,593 Summit Financial Group, Inc.(a) 16,950
11,461 Sun Bancorp, Inc.(a) 45,959
26,929 Susquehanna Bancshares, Inc. 284,370
7,508 SVB Financial Group(a) 875,583
20,664 Synovus Financial Corp. 503,788
3,018 Taylor Capital Group, Inc.(a) 64,525
24,331 TCF Financial Corp. 398,298
1,901 Territorial Bancorp, Inc. 39,693
6,543 Texas Capital Bancshares, Inc.(a) 352,995
12,496 TFS Financial Corp.(a) 178,193
1,745 Tompkins Financial Corp. 84,074
5,248 TowneBank 82,446
2,123 Trico Bancshares 49,126
15,282 TrustCo Bank Corp. NY 102,084
9,562 Trustmark Corp. 236,086
5,344 UMB Financial Corp. 338,756
25,096 Umpqua Holdings Corp. 449,720
7,174 Union Bankshares Corp. 184,013
3,115 United Bancorp, Inc. 25,356
9,006 United Bankshares, Inc. 291,164
6,361 United Community Banks, Inc. 104,130
11,244 United Community Financial Corp.(a) 46,438
7,872 United Financial Bancorp, Inc. 106,666
3,745 United Security Bancshares(a) 20,822
2,482 Univest Corp. of Pennsylvania 51,377
29,356 Valley National Bancorp 290,918
5,686 ViewPoint Financial Group, Inc. 153,010
14,524 Washington Federal, Inc. 325,773
2,302 Washington Trust Bancorp, Inc. 84,645
3,280 Waterstone Financial, Inc. 37,425
================================================================================
32 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
13,469 Webster Financial Corp. $ 424,812
4,185 WesBanco, Inc. 129,902
3,190 West BanCorp., Inc. 48,584
3,883 Westamerica BanCorp 203,003
12,099 Western Alliance Bancorp(a) 287,956
3,799 Westfield Financial, Inc. 28,341
11,170 Wilshire Bancorp, Inc. 114,716
6,915 Wintrust Financial Corp. 318,090
1,272 WSFS Financial Corp. 93,708
2,663 Yadkin Financial Corp.(a) 50,171
------------
33,618,189
------------
BEVERAGES - 0.1%
1,307 The Boston Beer Co., Inc., Class A(a) 292,141
775 Coca-Cola Bottling Co. Consolidated 57,094
2,600 Craft Brew Alliance, Inc.(a) 28,756
2,243 National Beverage Corp.(a) 42,437
5,635 Primo Water Corp.(a) 26,879
2,312 Willamette Valley Vineyards, Inc.(a) 13,479
------------
460,786
------------
CHEMICALS - 2.6%
4,114 A. Schulman, Inc. 159,212
4,209 Aceto Corp. 76,351
11,973 Albemarle Corp. 856,069
3,882 American Vanguard Corp. 51,320
10,680 Ashland, Inc. 1,161,343
10,570 Axiall Corp. 499,644
4,756 Balchem Corp. 254,731
8,564 Cabot Corp. 496,626
8,315 Calgon Carbon Corp.(a) 185,674
5,504 Cambrex Corp.(a) 113,933
23,424 Celanese Corp., Series A 1,505,695
1,295 Chase Corp. 44,211
14,338 Chemtura Corp.(a) 374,652
4,978 Codexis, Inc.(a) 7,268
5,327 Cytec Industries, Inc. 561,572
13,356 Ferro Corp.(a) 167,751
3,639 FutureFuel Corp. 60,371
1,451 Hawkins, Inc. 53,890
7,355 HB Fuller Co. 353,775
29,011 Huntsman Corp. 815,209
3,222 Innophos Holdings, Inc. 185,491
3,555 Innospec, Inc. 153,469
8,200 Intrepid Potash, Inc.(a) 137,432
1,469 KMG Chemicals, Inc. 26,413
3,035 Koppers Holdings, Inc. 116,089
5,043 Kraton Performance Polymers, Inc.(a) 112,913
2,763 Kronos Worldwide, Inc. 43,296
2,939 LSB Industries, Inc.(a) 122,468
4,583 Metabolix, Inc.(a) 3,987
5,134 Minerals Technologies, Inc. 336,688
1,690 NewMarket Corp. 662,666
1,227 NL Industries, Inc. 11,399
11,770 Olin Corp. 316,848
4,674 OM Group, Inc. 151,578
8,090 OMNOVA Solutions, Inc.(a) 73,538
2,295 Penford Corp.(a) 29,445
13,235 Platform Specialty Products Corp.(a) 370,977
14,307 PolyOne Corp. 602,897
7,172 Polypore International, Inc.(a) 342,320
1,917 Quaker Chemical Corp. 147,206
6,271 Rayonier Advanced Materials, Inc.(a) 243,001
30,656 Rentech, Inc.(a) 79,399
11,231 Rockwood Holdings, Inc. 853,444
19,759 RPM International, Inc. 912,471
8,959 Senomyx, Inc.(a) 77,495
7,362 Sensient Technologies Corp. 410,211
2,813 Stepan Co. 148,695
1,000 TOR Minerals International, Inc.(a) 9,990
3,711 Tredegar Corp. 86,875
9,444 Tronox Ltd., Class A 254,044
3,291 Valhi, Inc. 21,128
11,861 The Valspar Corp. 903,690
5,836 Westlake Chemical Corp. 488,823
11,611 WR Grace & Co.(a) 1,097,588
================================================================================
SCHEDULE OF INVESTMENTS | 33
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
5,548 Zagg, Inc.(a) $ 30,126
3,420 Zep, Inc. 60,397
------------
17,423,794
------------
CONSTRUCTION & MATERIALS - 2.5%
4,282 AAON, Inc. 143,533
6,487 Acuity Brands, Inc. 896,828
14,823 AECOM Technology Corp.(a) 477,301
5,959 Aegion Corp.(a) 138,666
4,419 Ameresco, Inc., Class A(a) 31,066
7,238 American DG Energy, Inc.(a) 13,028
2,023 American Woodmark Corp.(a) 64,473
11,341 AO Smith Corp. 562,287
4,359 Apogee Enterprises, Inc. 151,955
1,758 Argan, Inc. 65,556
6,693 Armstrong World Industries, Inc.(a) 384,379
17,834 BlueLinx Holdings, Inc.(a) 24,968
9,072 Builders FirstSource, Inc.(a) 67,859
16,172 Chicago Bridge & Iron Co. NV 1,102,930
7,657 Eagle Materials, Inc. 721,902
9,909 EMCOR Group, Inc. 441,248
25,114 Fortune Brands Home & Security, Inc. 1,002,802
14,634 Foster Wheeler AG 498,580
10,329 Generac Holdings, Inc.(a) 503,435
4,428 Gibraltar Industries, Inc.(a) 68,678
5,285 Granite Construction, Inc. 190,154
9,666 Great Lakes Dredge & Dock Corp.(a) 77,231
6,030 Griffon Corp. 74,772
12,367 Headwaters, Inc.(a) 171,778
5,539 Hill International, Inc.(a) 34,508
2,430 Insteel Industries, Inc. 47,749
2,175 Integrated Electrical Services, Inc.(a) 14,225
5,525 Inteliquent, Inc. 76,632
21,841 KBR, Inc. 520,908
3,913 Layne Christensen Co.(a) 52,043
1,479 LB Foster Co., Class A 80,043
6,741 Lennox International, Inc. 603,791
21,467 Louisiana-Pacific Corp.(a) 322,434
6,845 Martin Marietta Materials, Inc. 903,882
9,152 MasTec, Inc.(a) 282,065
28,179 MDU Resources Group, Inc. 989,083
23,943 Mueller Water Products, Inc., Series A 206,868
3,640 MYR Group, Inc.(a) 92,201
5,071 NCI Building Systems, Inc.(a) 98,530
2,608 Nortek, Inc.(a) 234,094
1,680 Northwest Pipe Co.(a) 67,754
1,009 Omega Flex, Inc. 19,797
5,034 Orion Marine Group, Inc.(a) 54,518
16,373 Owens Corning 633,308
6,280 PGT, Inc.(a) 53,192
4,565 Pike Corp.(a) 40,902
5,751 Primoris Services Corp. 165,859
5,802 Quanex Building Products Corp. 103,682
5,710 Simpson Manufacturing Co., Inc. 207,616
4,288 Sterling Construction Co., Inc.(a) 40,221
3,313 Texas Industries, Inc.(a) 305,989
5,070 Thermon Group Holdings, Inc.(a) 133,442
3,961 TRC Cos., Inc.(a) 24,637
4,838 Trex Co., Inc.(a) 139,431
5,832 Tutor Perini Corp.(a) 185,108
2,945 Universal Forest Products, Inc. 142,155
14,134 USG Corp.(a) 425,857
3,941 Valmont Industries, Inc. 598,835
3,907 Watsco, Inc. 401,483
3,991 Watts Water Technologies, Inc., Class A 246,364
------------
16,424,615
------------
ELECTRICITY - 1.5%
5,910 ALLETE, Inc. 303,478
16,588 Alliant Energy Corp. 1,009,546
================================================================================
34 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
2,831 Alteva $ 19,534
6,821 Black Hills Corp. 418,741
53,183 Calpine Corp.(a) 1,266,287
8,932 Cleco Corp. 526,541
19,269 Covanta Holding Corp. 397,134
15,203 Dynegy, Inc.(a) 529,064
6,267 El Paso Electric Co. 251,996
7,217 The Empire District Electric Co. 185,332
23,312 Great Plains Energy, Inc. 626,393
14,355 Hawaiian Electric Industries, Inc.(b) 363,469
7,426 IDACORP, Inc. 429,446
24,446 ITC Holdings Corp. 891,790
5,145 MGE Energy, Inc. 203,279
5,838 NorthWestern Corp. 304,685
3,208 Ormat Technologies, Inc. 92,487
11,667 Portland General Electric Co. 404,495
9,098 UIL Holdings Corp. 352,184
3,102 Unitil Corp. 104,941
6,385 UNS Energy Corp. 385,718
23,727 US Geothermal, Inc.(a) 14,236
19,630 Westar Energy, Inc. 749,670
------------
9,830,446
------------
ELECTRONIC & ELECTRICAL EQUIPMENT - 2.8%
4,854 The Active Power, Inc.(a) 13,397
3,068 Adept Technology, Inc.(a) 32,183
3,277 Aeroflex Holding Corp.(a) 34,408
1,620 Allied Motion Technologies, Inc. 23,458
3,315 Altair Nanotechnologies, Inc.(a) 11,370
1,261 American Science & Engineering, Inc. 87,753
12,785 American Superconductor Corp.(a) 20,840
3,908 Anixter International, Inc. 391,074
9,858 API Technologies Corp.(a),(b) 27,011
14,790 Arrow Electronics, Inc.(a) 893,464
20,214 Avnet, Inc. 895,682
6,474 AVX Corp. 85,975
3,732 AZZ, Inc. 171,971
2,135 Badger Meter, Inc. 112,408
3,001 Ballantyne Strong, Inc.(a) 12,544
2,157 Bel Fuse, Inc., Class B 55,370
6,512 Belden, Inc. 508,978
8,089 Benchmark Electronics, Inc.(a) 206,108
6,689 Brady Corp., Class A 199,800
55,452 Capstone Turbine Corp.(a),(b) 83,733
6,943 Checkpoint Systems, Inc.(a) 97,133
12,565 Cognex Corp.(a) 482,496
3,792 Coherent, Inc.(a) 250,917
5,283 CTS Corp. 98,792
3,269 CyberOptics Corp.(a) 26,119
6,043 Daktronics, Inc. 72,033
8,684 Echelon Corp.(a) 21,102
3,274 Electro Rent Corp. 54,774
4,035 Electro Scientific Industries, Inc. 27,478
6,450 eMagin Corp.(a) 14,383
2,783 Encore Wire Corp. 136,478
4,406 EnerNOC, Inc.(a) 83,494
7,005 EnerSys, Inc. 481,874
3,900 ESCO Technologies, Inc. 135,096
4,476 Fabrinet(a) 92,206
2,690 FARO Technologies, Inc.(a) 132,133
6,387 FEI Co. 579,492
7,113 General Cable Corp. 182,520
17,533 GrafTech International Ltd.(a) 183,395
3,828 Greatbatch, Inc.(a) 187,802
3,110 Houston Wire & Cable Co. 38,595
7,866 Hubbell, Inc., Class B 968,698
8,445 II-VI, Inc.(a) 122,115
5,485 Intevac, Inc.(a) 43,935
2,740 IntriCon Corp.(a) 23,482
5,300 IPG Photonics Corp.(a) 364,640
5,925 Itron, Inc.(a) 240,259
8,847 Kemet Corp.(a) 50,870
12,921 Knowles Corp.(a) 397,192
1,837 Landauer, Inc. 77,154
6,052 Lightpath Technologies, Inc., Class A(a) 8,231
559 Lime Energy Co.(a) 1,437
================================================================================
SCHEDULE OF INVESTMENTS | 35
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
3,360 Littelfuse, Inc. $ 312,312
3,465 LSI Industries, Inc. 27,651
992 Magnetek, Inc.(a) 23,659
6,063 Maxwell Technologies, Inc.(a) 91,733
2,456 Measurement Specialties, Inc.(a) 211,388
5,454 Methode Electronics, Inc. 208,397
4,453 Mettler-Toledo International, Inc.(a) 1,127,411
6,506 Microvision, Inc.(a) 13,077
2,372 MTS Systems Corp. 160,727
1,537 Multi-Fineline Electronix, Inc.(a) 16,968
4,500 NAPCO Security Technologies, Inc.(a) 24,435
14,741 National Instruments Corp. 477,461
6,575 Newport Corp.(a) 121,637
1,048 NVE Corp.(a) 58,258
3,967 Orion Energy Systems, Inc.(a) 16,146
2,898 OSI Systems, Inc.(a) 193,441
3,206 Park Electrochemical Corp. 90,441
5,103 Planar Systems, Inc.(a) 12,502
5,139 Plexus Corp.(a) 222,467
1,398 Powell Industries, Inc. 91,401
6,524 Regal-Beloit Corp. 512,525
5,552 Research Frontiers, Inc.(a) 33,645
1,792 Richardson Electronics Ltd. 18,762
4,390 Rofin-Sinar Technologies, Inc.(a) 105,536
2,784 Rogers Corp.(a) 184,718
4,201 Rubicon Technology, Inc.(a) 36,759
12,679 Sanmina Corp.(a) 288,828
23,164 Sensata Technologies Holding NV(a) 1,083,612
743 Servotronics, Inc. 5,127
1,793 Sigmatron International, Inc.(a) 21,624
750 SL Industries, Inc.(a) 22,125
15,521 Synthesis Energy Systems, Inc.(a) 29,179
39,035 Trimble Navigation Ltd.(a) 1,442,343
8,600 TTM Technologies, Inc.(a) 70,520
2,949 Turtle Beach Corp.(a) 27,249
2,116 Ultralife Corp.(a) 8,125
6,645 Universal Display Corp.(a) 213,304
6,928 UQMTechnologies,Inc.(a) 15,727
5,928 Veeco Instruments, Inc.(a) 220,877
1,392 Viasystems Group, Inc.(a) 15,159
3,482 Vicor Corp.(a) 29,179
20,353 Vishay Intertechnology, Inc. 315,268
2,569 Vishay Precision Group, Inc.(a) 42,286
6,589 WESCO International, Inc.(a) 569,158
7,616 Zebra Technologies Corp., Class A(a) 626,949
------------
18,983,948
------------
FINANCIAL SERVICES - 3.0%
14,581 Ally Financial, Inc.(a) 348,632
5,369 Artisan Partners Asset Management, Inc. 304,315
2,169 Asta Funding, Inc.(a) 17,894
1,465 Atlanticus Holdings Corp.(a) 4,102
12,322 BBCN Bancorp, Inc. 196,536
26,284 BGC Partners, Inc., Class A 195,553
6,216 Blackhawk Network Holdings, Inc.(a) 166,900
3,145 Calamos Asset Management, Inc., Class A 42,112
4,166 Cash America International, Inc. 185,095
12,992 CBOE Holdings, Inc. 639,336
2,496 CIFC Corp. 22,489
29,839 CIT Group, Inc. 1,365,433
2,805 Cohen & Steers, Inc. 121,681
18,550 Cowen Group, Inc., Class A(a) 78,281
1,578 Credit Acceptance Corp.(a) 194,252
489 Diamond Hill Investment Group, Inc. 62,455
================================================================================
36 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
18,548 Eaton Vance Corp. $ 700,929
3,846 Encore Capital Group, Inc.(a) 174,685
13,176 EverBank Financial Corp. 265,628
5,234 Evercore Partners, Inc., Class A 301,688
8,763 Ezcorp, Inc., Class A(a) 101,213
1,765 FBR & Co.(a) 47,884
1,972 Federal Agricultural Mortgage Corp., Class C 61,290
14,493 Federated Investors, Inc., Class B(c) 448,124
41,184 Fidelity National Financial, Inc., Class A 1,349,188
7,990 Financial Engines, Inc. 361,787
4,540 First Cash Financial Services, Inc.(a) 261,459
3,671 The First Marblehead Corp.(a) 19,273
6,290 FXCM, Inc. 94,098
650 GAMCO Investors, Inc., Class A 53,982
10,994 GFI Group, Inc. 36,500
1,673 Gleacher & Co., Inc.(a) 17,583
5,171 Green Dot Corp., Class A(a) 98,146
3,945 Greenhill & Co., Inc. 194,291
4,686 Imperial Holdings, Inc.(a) 31,958
1,108 Institutional Financial Markets, Inc. 2,227
7,197 Interactive Brokers Group, Inc., Class A 167,618
3,143 Intersections, Inc. 15,464
1,975 INTL. FCStone, Inc.(a) 39,342
5,930 Investment Technology Group, Inc.(a) 100,098
22,142 Janus Capital Group, Inc. 276,332
3,528 JMP Group, Inc. 26,707
15,031 KCG Holdings, Inc., Class A(a) 178,568
24,411 Ladenburg Thalmann Financial Services, Inc.(a) 76,895
12,150 LPL Financial Holdings, Inc. 604,341
5,764 MarketAxess Holdings, Inc. 311,602
1,640 Marlin Business Services Corp. 29,832
52,364 MGIC Investment Corp.(a) 483,843
3,823 MicroFinancial, Inc. 29,552
5,436 MoneyGram International, Inc.(a) 80,072
17,743 MSCI, Inc.(a) 813,516
2,846 Nelnet, Inc., Class A 117,910
4,431 NewStar Financial, Inc.(a) 62,300
17,689 Ocwen Financial Corp.(a) 656,262
1,362 Oppenheimer Holdings, Inc., Class A 32,674
4,035 PICO Holdings, Inc.(a) 95,872
2,533 Piper Jaffray Cos.(a) 131,133
7,652 Portfolio Recovery Associates, Inc.(a) 455,524
3,173 Pzena Investment Management, Inc., Class A 35,411
27,973 Radian Group, Inc. 414,280
17,974 Raymond James Financial, Inc. 911,821
4,370 Resource America, Inc., Class A 40,859
4,085 Safeguard Scientifics, Inc.(a) 84,927
12,093 Santander Consumer USA Holdings, Inc. 235,088
21,016 SEI Investments Co. 688,694
63,982 SLM Corp. 531,690
3,359 Stewart Information Services Corp. 104,163
8,982 Stifel Financial Corp.(a) 425,298
4,978 SWS Group, Inc.(a) 36,240
34,736 TD Ameritrade Holding Corp. 1,088,974
1,444 Tree.com, Inc.(a) 42,078
2,241 US Global Investors, Inc. 7,888
1,152 Virtus Investment Partners, Inc.(a) 243,936
================================================================================
SCHEDULE OF INVESTMENTS | 37
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
20,671 Voya Financial, Inc. $ 751,184
12,762 Waddell & Reed Financial, Inc., Class A 798,774
3,729 Walker & Dunlop, Inc.(a) 52,616
1,350 Westwood Holdings Group, Inc. 81,054
16,789 WisdomTree Investments, Inc.(a) 207,512
1,741 World Acceptance Corp.(a),(b) 132,246
------------
20,267,189
------------
FIXED LINE TELECOMMUNICATIONS - 0.4%
14,330 8x8, Inc.(a) 115,786
7,188 Alaska Communications Systems Group, Inc.(a) 12,938
4,409 Cbeyond, Inc.(a) 43,870
34,307 Cincinnati Bell, Inc.(a) 134,827
5,989 Consolidated Communications Holdings, Inc. 133,195
22,213 EarthLink Holdings Corp. 82,632
2,224 Enventis Corp. 35,228
4,215 Fairpoint Communications, Inc.(a) 58,884
4,596 General Communication, Inc., Class A(a) 50,924
1,381 Hawaiian Telcom Holdco, Inc.(a) 39,511
2,546 IDT Corp., Class B 44,351
8,833 inContact, Inc.(a) 81,175
25,530 Level 3 Communications, Inc.(a) 1,121,022
3,575 Lumos Networks Corp. 51,730
3,418 Straight Path Communications, Inc., Class B(a) 34,864
21,377 tw telecom, Inc.(a) 861,707
27,561 Vonage Holdings Corp.(a) 103,354
------------
3,005,998
------------
FOOD & DRUG RETAILERS - 0.8%
5,657 Casey's General Stores, Inc. 397,631
3,603 The Chefs'Warehouse, Inc.(a) 71,231
3,184 Core-Mark Holding Co., Inc. 145,286
6,338 The Fresh Market, Inc.(a) 212,133
14,394 GNC Holdings, Inc., Class A 490,835
1,683 Ingles Markets, Inc., Class A 44,347
15,119 Omnicare, Inc. 1,006,472
3,921 The Pantry, Inc.(a) 63,520
3,455 PetMed Express, Inc. 46,573
134,909 Rite Aid Corp.(a) 967,298
5,307 SpartanNash Co. 111,500
14,275 Sprouts Farmers Market, Inc.(a) 467,078
30,827 Supervalu, Inc.(a) 253,398
7,456 United Natural Foods, Inc.(a) 485,386
719 Village Super Market, Inc., Class A 16,990
4,670 Vitamin Shoppe, Inc.(a) 200,903
1,485 Weis Markets, Inc. 67,909
------------
5,048,490
------------
FOOD PRODUCERS - 1.8%
610 Alico, Inc. 22,869
3,862 The Andersons, Inc. 199,202
8,323 B&G Foods, Inc. 272,079
9,566 Boulder Brands, Inc.(a) 135,646
21,286 Bunge Ltd. 1,610,073
2,207 Cal-Maine Foods, Inc. 164,024
2,295 Calavo Growers, Inc. 77,640
7,588 Chiquita Brands International, Inc.(a) 82,330
1,919 Coffee Holding Co., Inc.(a) 13,548
24,744 Darling International, Inc.(a) 517,150
14,492 Dean Foods Co. 254,914
4,042 Diamond Foods, Inc.(a) 113,984
892 Farmer Bros Co.(a) 19,276
26,331 Flowers Foods, Inc. 555,057
4,740 Fresh Del Monte Produce, Inc. 145,281
941 Golden Enterprises, Inc. 4,046
1,073 Griffin Land & Nurseries, Inc. 31,653
================================================================================
38 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
7,536 The Hain Celestial Group, Inc.(a) $ 668,745
5,649 Harbinger Group, Inc.(a) 71,742
12,720 Herbalife Ltd.(b) 820,949
18,575 The Hillshire Brands Co. 1,157,222
4,100 HQ Sustainable Maritime Industries, Inc.(a),(b) -
11,375 Ingredion, Inc. 853,580
2,141 J&J Snack Foods Corp. 201,511
1,174 John B Sanfilippo & Son, Inc. 31,076
2,760 Lancaster Colony Corp. 262,642
2,119 Lifeway Foods, Inc.(a) 29,624
2,459 Limoneira Co. 54,024
934 Mannatech, Inc.(a) 11,311
2,383 Medifast, Inc.(a) 72,467
2,244 MGP Ingredients, Inc. 17,862
1,344 Nature's Sunshine Products, Inc. 22,808
2,417 Nutraceutical International Corp.(a) 57,670
4,769 Nutrisystem, Inc. 81,598
3,642 Omega Protein Corp.(a) 49,822
9,076 Pilgrim's Pride Corp.(a) 248,319
8,994 Pinnacle Foods, Inc. 295,903
6,559 Post Holdings, Inc.(a) 333,919
1,819 Reliv International, Inc. 2,910
2,724 Rocky Mountain Chocolate Factory, Inc. 35,930
3,037 Sanderson Farms, Inc. 295,196
38 Seaboard Corp.(a) 114,770
1,057 Seneca Foods Corp., Class A(a) 32,344
7,426 Snyders-Lance, Inc. 196,492
2,997 Tootsie Roll Industries, Inc. 88,232
5,511 TreeHouse Foods, Inc.(a) 441,266
1,235 USANA Health Sciences, Inc.(a) 96,503
26,439 WhiteWave Foods Co., Class A(a) 855,830
------------
11,721,039
------------
FORESTRY & PAPER - 0.3%
3,372 Clearwater Paper Corp.(a) 208,120
1,826 Deltic Timber Corp. 110,327
9,620 Domtar Corp. 412,217
12,554 KapStone Paper and Packaging Corp.(a) 415,914
2,655 Neenah Paper, Inc. 141,113
6,528 PH Glatfelter Co. 173,188
14,681 Resolute Forest Products(a) 246,347
5,754 Verso Paper Corp.(a),(b) 12,083
8,251 Wausau Paper Corp. 89,276
------------
1,808,585
------------
GAS, WATER & MULTI-UTILITIES - 1.5%
5,798 American States Water Co. 192,668
25,870 American Water Works Co., Inc. 1,279,271
26,073 Aqua America, Inc. 683,634
2,012 Artesian Resources Corp., Class A 45,230
14,528 Atmos Energy Corp. 775,795
9,235 Avista Corp. 309,557
5,229 Cadiz, Inc.(a) 43,558
7,839 California Water Service Group 189,704
1,623 Chesapeake Utilities Corp. 115,769
1,969 Connecticut Water Service, Inc. 66,690
2,312 Delta Natural Gas Co., Inc. 50,772
723 EuroSite Power, Inc.(a) 448
4,599 Gas Natural, Inc. 48,473
4,711 Genie Energy Ltd.(a) 37,076
5,237 The Laclede Group, Inc. 254,256
2,966 Middlesex Water Co. 62,820
12,404 National Fuel Gas Co. 971,233
5,833 New Jersey Resources Corp. 333,414
3,833 Northwest Natural Gas Co. 180,726
7,857 ONE Gas, Inc. 296,602
10,706 Piedmont Natural Gas Co., Inc. 400,511
11,804 PNM Resources, Inc. 346,211
25,817 Questar Corp. 640,262
2,449 RGC Resources, Inc. 47,266
2,006 SJW Corp. 54,563
4,709 South Jersey Industries, Inc. 284,471
================================================================================
SCHEDULE OF INVESTMENTS | 39
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
6,951 Southwest Gas Corp. $ 366,943
16,975 UGI Corp. 857,237
12,556 Vectren Corp. 533,630
7,571 WGL Holdings, Inc. 326,310
------------
9,795,100
------------
GENERAL INDUSTRIALS - 1.3%
10,804 Actuant Corp., Class A 373,494
774 AEP Industries, Inc.(a) 26,989
9,614 Aptargroup, Inc. 644,234
14,796 Berry Plastics Group, Inc.(a) 381,737
9,346 Carlisle Cos., Inc. 809,551
20,907 Crown Holdings, Inc.(a) 1,040,332
48,719 Graphic Packaging Holding Co.(a) 570,012
4,302 Greif, Inc., Class A 234,717
11,862 Harsco Corp. 315,885
4,398 Landec Corp.(a) 54,931
2,383 Multi-Color Corp. 95,344
4,025 Myers Industries, Inc. 80,862
5,434 Otter Tail Corp. 164,596
14,782 Packaging Corp. of America 1,056,765
5,522 Raven Industries, Inc. 182,999
10,692 Rexnord Corp.(a) 300,980
10,725 Rock-Tenn Co., Class A 1,132,453
6,377 Silgan Holdings, Inc. 324,079
15,164 Sonoco Products Co. 666,155
6,652 Trimas Corp.(a) 253,641
1,471 UFP Technologies, Inc.(a) 35,437
------------
8,745,193
------------
GENERAL RETAILERS - 4.5%
3,545 1-800-Flowers.com, Inc., Class A(a) 20,561
11,181 Aaron's, Inc. 398,491
11,279 Abercrombie & Fitch Co., Class A 487,817
10,927 Advance Auto Parts, Inc. 1,474,271
13,619 Aeropostale, Inc.(a) 47,530
860 Amerco, Inc. 250,054
1,386 America's Car-Mart, Inc.(a) 54,816
25,308 American Eagle Outfitters, Inc. 283,956
2,859 American Public Education, Inc.(a) 98,292
7,034 ANN, Inc.(a) 289,379
5,781 Antero Resources Corp.(a) 379,407
14,756 Apollo Education Group, Inc., Class A (a) 461,125
4,651 Asbury Automotive Group, Inc.(a) 319,710
19,006 Ascena Retail Group, Inc.(a) 325,003
2,429 Autobytel, Inc.(a) 31,844
5,772 Barnes & Noble, Inc.(a) 131,544
7,528 Beacon Roofing Supply, Inc.(a) 249,327
5,819 bebe Stores, Inc. 17,748
2,684 Big 5 Sporting Goods Corp. 32,933
8,688 Big Lots, Inc.(a) 397,042
2,186 Blue Nile, Inc.(a) 61,208
2,692 Body Central Corp.(a),(b) 2,386
2,228 The Bon-Ton Stores, Inc. 22,971
1,081 Books-A-Million, Inc.(a) 2,357
2,864 Bridgepoint Education, Inc.(a) 38,034
4,287 Bright Horizons Family Solutions, Inc.(a) 184,084
6,155 Brown Shoe Co., Inc. 176,095
4,083 The Buckle, Inc.(b) 181,122
2,503 Build-A-Bear Workshop, Inc.(a) 33,440
7,068 Cabela's, Inc.(a) 441,043
4,067 Cache, Inc.(a) 6,548
10,557 Cambium Learning Group, Inc.(a) 23,014
1,731 Capella Education Co. 94,149
10,687 Career Education Corp.(a) 50,015
3,000 Carriage Services, Inc. 51,390
3,894 The Cato Corp., Class A 120,325
2,657 Chemed Corp. 249,014
23,777 Chico's FAS, Inc. 403,258
3,319 The Children's Place Retail Stores, Inc. 164,722
================================================================================
40 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
6,159 Christopher & Banks Corp.(a) $ 53,953
2,851 Citi Trends, Inc.(a) 61,182
11,329 Clean Energy Fuels Corp.(a) 132,776
1,741 Collectors Universe 34,106
3,781 Conn's, Inc.(a) 186,744
16,699 Copart, Inc.(a) 600,496
10,420 Corinthian Colleges, Inc.(a) 3,082
11,102 CST Brands, Inc. 383,019
11,134 dELiA*s, Inc.(a) 8,575
2,029 Destination Maternity Corp. 46,200
9,670 Destination XL Group, Inc.(a) 53,282
15,114 Dick's Sporting Goods, Inc. 703,708
3,564 Dillard's, Inc., Class A 415,598
10,892 DSW, Inc., Class A 304,322
6,585 Education Management Corp.(a),(b) 11,129
13,006 Express, Inc.(a) 221,492
7,277 The Finish Line, Inc., Class A 216,418
7,243 Five Below, Inc.(a) 289,068
21,989 Foot Locker, Inc. 1,115,282
7,055 Francesca's Holdings Corp.(a) 103,991
4,554 Fred's, Inc., Class A 69,631
3,596 FTD Cos., Inc.(a) 114,317
3,595 Gaiam, Inc., Class A(a) 27,610
1,694 Geeknet, Inc.(a) 21,124
3,579 Genesco, Inc.(a) 293,943
7,198 Grand Canyon Education, Inc.(a) 330,892
3,061 Group 1 Automotive, Inc. 258,073
8,649 Guess?, Inc. 233,523
2,955 Haverty Furniture Cos., Inc. 74,259
2,446 hhgregg, Inc.(a) 24,876
3,964 Hibbett Sports, Inc.(a),(b) 214,730
9,233 Hillenbrand, Inc. 301,180
4,887 HSN, Inc. 289,506
13,169 ITT Corp. 633,429
2,918 ITT Educational Services, Inc.(a) 48,701
45,394 JC Penney Co., Inc.(a),(b) 410,816
4,637 K12, Inc.(a) 111,613
20,842 KAR Auction Services, Inc. 664,235
2,515 Kirkland's, Inc.(a) 46,653
2,541 Lands'End, Inc.(a) 85,327
1,011 Learning Tree International, Inc.(a) 2,588
4,477 Liquidity Services, Inc.(a) 70,557
3,452 Lithia Motors, Inc., Class A 324,730
4,195 Lumber Liquidators Holdings, Inc.(a) 318,610
4,557 MarineMax, Inc.(a) 76,284
3,985 Matthews International Corp., Class A 165,656
6,741 The Men's Wearhouse, Inc. 376,148
4,602 Monro Muffler Brake, Inc. 244,780
6,471 Murphy USA, Inc.(a) 316,367
6,275 New York & Co., Inc.(a) 23,155
72,787 Office Depot, Inc.(a) 414,158
3,842 OpenTable, Inc.(a) 398,031
4,228 Outerwall, Inc.(a) 250,932
2,367 Overstock.com, Inc.(a) 37,328
9,393 Pacific Sunwear of California, Inc.(a) 22,355
1,516 PCM, Inc.(a) 16,161
6,156 Penske Automotive Group, Inc. 304,722
7,918 The Pep Boys-Manny Moe & Jack(a) 90,740
1,362 Perfumania Holdings, Inc.(a) 9,248
15,590 Pier 1 Imports, Inc. 240,242
2,618 Pricesmart, Inc. 227,871
2,023 The Providence Service Corp.(a) 74,022
19,530 RadioShack Corp.(a),(b) 19,352
6,577 RealNetworks, Inc.(a) 50,182
5,946 Regis Corp. 83,720
7,455 Rent-A-Center, Inc. 213,809
================================================================================
SCHEDULE OF INVESTMENTS | 41
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
4,302 Restoration Hardware Holdings, Inc.(a) $ 400,301
9,330 Rollins, Inc. 279,900
5,240 Rush Enterprises, Inc., Class A (a) 181,671
21,583 Sally Beauty Holdings, Inc.(a) 541,302
6,571 Sears Holdings Corp.(a),(b) 262,577
31,833 Service Corp. International 659,580
2,127 Shoe Carnival, Inc. 43,923
6,386 Shutterfly, Inc.(a) 274,981
11,819 Signet Jewelers Ltd. 1,307,063
7,467 SolarCity Corp.(a) 527,170
5,131 Sonic Automotive, Inc., Class A 136,895
10,262 Sotheby's 430,901
2,950 SP Plus Corp.(a) 63,100
10,106 Speed Commerce, Inc.(a) 37,796
4,498 Stage Stores, Inc. 84,068
2,999 Stamps.com, Inc.(a) 101,036
4,383 Stein Mart, Inc. 60,880
1,653 Strayer Education, Inc.(a) 86,799
2,867 Susser Holdings Corp.(a) 231,424
2,424 Titan Machinery, Inc.(a) 39,899
1,113 Trans World Entertainment Corp. 4,229
5,992 Tuesday Morning Corp.(a) 106,777
9,594 Ulta Salon Cosmetics & Fragrance, Inc.(a) 876,988
8,069 Valuevision Media, Inc., Class A (a) 40,264
13,192 VCA Antech, Inc.(a) 462,907
4,375 Weight Watchers International, Inc. 88,244
2,322 West Marine, Inc.(a) 23,824
15,586 The Wet Seal, Inc., Class A (a) 14,183
13,208 Williams-Sonoma, Inc. 948,070
574 Winmark Corp. 39,968
3,449 Zumiez, Inc.(a) 95,158
------------
30,078,512
------------
HEALTH CARE EQUIPMENT & SERVICES - 5.0%
3,187 Abaxis, Inc. 141,216
5,767 ABIOMED, Inc.(a) 144,982
7,158 Acadia Healthcare Co., Inc.(a) 325,689
11,390 Accuray, Inc.(a) 100,232
1,515 Addus HomeCare Corp.(a) 34,057
5,450 Air Methods Corp.(a) 281,492
12,116 Alere, Inc.(a) 453,381
10,903 Align Technology, Inc.(a) 611,004
2,209 Alliance HealthCare Services, Inc.(a) 59,643
1,625 Almost Family, Inc.(a) 35,880
20,207 Alphatec Holdings, Inc.(a) 32,937
5,610 Amedisys, Inc.(a) 93,911
2,753 American Caresource Holdings, Inc.(a) 9,278
4,964 Amsurg Corp.(a) 226,209
1,947 Analogic Corp. 152,333
4,266 AngioDynamics, Inc.(a) 69,664
2,272 Anika Therapeutics, Inc.(a) 105,262
22,489 Antares Pharma, Inc.(a) 60,046
4,748 AtriCure, Inc.(a) 87,268
253 Atrion Corp. 82,478
4,594 Baxano Surgical, Inc.(a),(b) 2,619
3,008 Bio-Rad Laboratories, Inc., Class A(a) 360,088
3,943 Bio-Reference Laboratories, Inc.(a) 119,157
11,125 Biolase, Inc.(a),(b) 24,475
10,652 BioScrip, Inc.(a) 88,838
5,176 BioTelemetry, Inc.(a) 37,112
5,924 Bovie Medical Corp.(a) 21,504
18,807 Brookdale Senior Living, Inc.(a) 627,025
16,707 Bruker Corp.(a) 405,479
10,340 BSD Medical Corp.(a),(b) 10,237
5,342 Cantel Medical Corp. 195,624
4,670 Capital Senior Living Corp.(a) 111,333
18,033 Cardica, Inc.(a) 20,558
5,476 Cardiovascular Systems, Inc.(a) 170,632
5,418 Celsion Corp.(a) 18,800
8,644 Centene Corp.(a) 653,573
10,644 Cepheid, Inc.(a) 510,273
================================================================================
42 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
5,823 Cesca Therapeutics, Inc.(a) $ 8,094
2,374 Chindex International, Inc.(a) 56,240
1,314 CollabRx, Inc.(a) 2,457
17,082 Community Health Systems, Inc.(a),(b) 775,010
4,155 CONMED Corp. 183,443
7,283 The Cooper Cos., Inc. 987,065
2,182 Corvel Corp.(a) 98,583
8,580 Covance, Inc.(a) 734,276
4,639 CryoLife, Inc. 41,519
3,451 Cutera, Inc.(a) 35,856
3,779 Cyberonics, Inc.(a) 236,036
3,272 Cynosure, Inc., Class A(a) 69,530
2,892 Delcath Systems, Inc.(a) 7,591
10,798 DexCom, Inc.(a) 428,249
2,662 Echo Therapeutics, Inc.(a),(b) 6,016
6,492 Emeritus Corp.(a) 205,472
10,545 Endologix, Inc.(a) 160,389
3,034 The Ensign Group, Inc. 94,297
10,658 Envision Healthcare Holdings, Inc.(a) 382,729
1,399 Escalon Medical Corp.(a) 2,392
1,661 Exactech, Inc.(a) 41,907
7,271 Five Star Quality Care, Inc.(a) 36,428
4,704 Fluidigm Corp.(a) 138,298
2,767 Fonar Corp.(a) 33,757
7,955 GenMark Diagnostics, Inc.(a) 107,631
5,338 Gentiva Health Services, Inc.(a) 80,390
8,779 Globus Medical, Inc., Class A(a) 209,994
7,730 Haemonetics Corp.(a) 272,714
5,275 Hanger, Inc.(a) 165,899
16,857 Hansen Medical, Inc.(a),(b) 22,083
4,592 Harvard Apparatus Regenerative Technology, Inc.(a) 47,986
47,041 HCA Holdings, Inc.(a) 2,652,172
11,784 Health Net, Inc.(a) 489,507
10,704 Healthcare Services Group, Inc. 315,126
13,261 HealthSouth Corp. 475,672
3,505 HealthStream, Inc.(a) 85,171
5,860 Healthways, Inc.(a) 102,784
2,540 HeartWare International, Inc.(a) 224,790
12,659 Henry Schein, Inc.(a) 1,502,244
8,582 Hill-Rom Holdings, Inc. 356,239
13,404 HMS Holdings Corp.(a) 273,576
41,560 Hologic, Inc.(a) 1,053,546
9,589 Hooper Holmes, Inc.(a) 7,168
1,995 ICU Medical, Inc.(a) 121,316
7,796 IDEXX Laboratories, Inc.(a) 1,041,312
8,701 Insulet Corp.(a) 345,169
3,596 Integra LifeSciences Holdings Corp.(a) 169,228
4,474 Invacare Corp. 82,187
2,772 IPC The Hospitalist Co., Inc.(a) 122,578
8,223 Kindred Healthcare, Inc. 189,951
1,911 LHC Group, Inc.(a) 40,838
6,766 LifePoint Hospitals, Inc.(a) 420,169
3,844 Magellan Health Services, Inc.(a) 239,251
7,809 Masimo Corp.(a) 184,292
3,614 Medical Action Industries, Inc.(a) 49,620
15,099 MEDNAX, Inc.(a) 878,007
7,818 MELA Sciences, Inc.(a) 2,511
6,734 Meridian Bioscience, Inc. 138,990
6,737 Merit Medical Systems, Inc.(a) 101,729
4,295 Molina Healthcare, Inc.(a) 191,686
1,141 National Healthcare Corp. 64,227
4,670 Natus Medical, Inc.(a) 117,404
30,416 Navidea Biopharmaceuticals, Inc.(a),(b) 45,016
5,992 Neogen Corp.(a) 242,496
2,033 NeuroMetrix, Inc.(a) 3,944
7,180 NuVasive, Inc.(a) 255,393
9,415 NxStage Medical, Inc.(a) 135,294
5,997 Omnicell, Inc.(a) 172,174
11,059 OraSure Technologies, Inc.(a) 95,218
================================================================================
SCHEDULE OF INVESTMENTS | 43
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
3,072 Orthofix International NV(a) $ 111,360
8,724 Owens & Minor, Inc. 296,441
8,576 PAREXEL International Corp.(a) 453,156
4,711 PharMerica Corp.(a) 134,687
1,801 Psychemedics Corp. 25,502
4,664 Quidel Corp.(a) 103,121
8,124 RadNet, Inc.(a) 53,862
21,034 ResMed, Inc. 1,064,951
3,653 Retractable Technologies, Inc.(a) 9,132
6,648 Rockwell Medical, Inc.(a),(b) 79,710
10,112 RTI Surgical, Inc.(a) 43,987
8,940 Select Medical Holdings Corp. 139,464
8,220 Sirona Dental Systems, Inc.(a) 677,821
4,337 Skilled Healthcare Group, Inc., Class A(a) 27,280
6,770 Spectranetics Corp.(a) 154,898
5,027 Staar Surgical Co.(a) 84,454
4,227 Stereotaxis, Inc.(a) 15,006
8,488 STERIS Corp. 453,938
2,327 SurModics, Inc.(a) 49,844
6,089 Symmetry Medical, Inc.(a) 53,949
3,470 Synergetics USA, Inc.(a) 10,757
10,655 Team Health Holdings, Inc.(a) 532,111
6,117 Teleflex, Inc. 645,955
8,482 Thoratec Corp.(a) 295,683
3,073 Triple-S Management Corp.(a) 55,099
1,930 U.S. Physical Therapy, Inc. 65,987
19,019 Unilife Corp.(a),(b) 56,296
7,080 Universal American Corp. 58,976
13,406 Universal Health Services, Inc. 1,283,759
5,585 Uroplasty, Inc.(a) 14,968
725 Utah Medical Products, Inc. 37,294
3,105 Vascular Solutions, Inc.(a) 68,900
14,475 Vision-Sciences, Inc.(a) 16,646
8,663 Volcano Corp.(a) 152,555
6,436 WellCare Health Plans, Inc.(a) 480,512
10,334 West Pharmaceutical Services, Inc. 435,888
7,889 Wright Medical Group, Inc.(a) 247,715
-------------
33,636,279
-------------
HOUSEHOLD GOODS & HOME CONSTRUCTION - 1.7%
18,141 ACCO Brands Corp.(a) 116,284
2,150 Bassett Furniture Industries, Inc. 28,294
4,476 Beazer Homes USA, Inc.(a) 93,906
7,808 Blount International, Inc.(a) 110,171
1,402 Blyth, Inc.(b) 10,908
6,754 Briggs & Stratton Corp. 138,187
1,223 Cavco Industries, Inc.(a) 104,322
7,098 Central Garden and Pet Co., Class A(a) 65,302
20,263 Church & Dwight Co., Inc. 1,417,397
1,034 Compx International, Inc. 10,805
7,515 Comstock Holdings Cos., Inc.(a) 8,943
2,900 The Dixie Group, Inc.(a) 30,711
9,125 Energizer Holdings, Inc. 1,113,524
3,943 Ethan Allen Interiors, Inc. 97,550
965 Flexsteel Industries, Inc. 32,183
2,823 Forward Industries, Inc.(a) 3,444
8,835 Herman Miller, Inc. 267,170
6,700 HNI Corp. 262,037
1,876 Hooker Furniture Corp. 30,279
21,351 Hovnanian Enterprises, Inc., Class A(a) 109,958
9,120 Interface, Inc. 171,821
4,579 iRobot Corp.(a),(b) 187,510
18,524 Jarden Corp.(a) 1,099,399
12,864 KB Home 240,300
7,374 Knoll, Inc. 127,791
8,276 La-Z-Boy, Inc. 191,755
3,813 Libbey, Inc.(a) 101,578
================================================================================
44 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
1,440 Lifetime Brands, Inc. $ 22,637
1,377 The LS Starrett Co., Class A 21,178
4,013 M/I Homes, Inc.(a) 97,395
6,036 MDC Holdings, Inc. 182,830
5,757 Meritage Homes Corp.(a) 243,003
930 National Presto Industries, Inc.(b) 67,741
631 NVR, Inc.(a) 726,029
858 Oil-Dri Corp. of America 26,229
7,317 The Ryland Group, Inc. 288,582
6,513 The Scotts Miracle-Gro Co., Class A 370,329
8,631 Select Comfort Corp.(a) 178,316
2,125 Skyline Corp.(a) 8,734
3,200 Spectrum Brands Holdings, Inc. 275,296
23,580 Standard Pacific Corp.(a) 202,788
2,178 Stanley Furniture Co., Inc.(a) 5,837
9,078 Steelcase, Inc., Class A 137,350
2,685 Summer Infant, Inc.(a) 7,733
4,488 Taylor Morrison Home Corp., Class A(a) 100,621
9,283 Tempur Sealy International, Inc.(a) 554,195
24,196 Toll Brothers, Inc.(a) 892,832
7,507 Tupperware Brands Corp. 628,336
2,505 Virco Manufacturing Corp.(a) 5,812
2,105 WD-40 Co. 158,338
-------------
11,373,670
-------------
INDUSTRIAL ENGINEERING - 3.2%
8,723 Accuride Corp.(a) 42,655
13,378 AGCO Corp. 752,111
1,182 Alamo Group, Inc. 63,934
4,299 Albany International Corp., Class A 163,190
4,225 Altra Industrial Motion Corp. 153,748
1,472 American Railcar Industries, Inc. 99,757
2,477 Astec Industries, Inc. 108,691
16,465 The Babcock & Wilcox Co. 534,454
2,781 Broadwind Energy, Inc.(a) 24,389
2,961 Ceco Environmental Corp. 46,162
494 Chicago Rivet & Machine Co. 18,278
2,779 CIRCOR International, Inc. 214,344
7,116 CLARCOR, Inc. 440,125
14,299 Colfax Corp.(a) 1,065,847
2,933 Columbus McKinnon Corp. 79,338
5,294 Commercial Vehicle Group, Inc.(a) 53,152
7,181 Crane Co. 533,979
19,692 Donaldson Co., Inc. 833,365
3,742 Douglas Dynamics, Inc. 65,934
2,036 Dynamic Materials Corp. 45,057
1,114 The Eastern Co. 17,200
7,684 Energy Recovery, Inc.(a),(b) 37,805
3,303 EnPro Industries, Inc.(a) 241,648
9,847 Federal Signal Corp. 144,259
5,549 Franklin Electric Co., Inc. 223,791
1,751 FreightCar America, Inc. 43,845
6,600 GATX Corp. 441,804
2,838 The Gorman-Rupp Co. 100,380
9,153 Graco, Inc. 714,666
1,902 Graham Corp. 66,209
3,794 The Greenbrier Cos., Inc.(a) 218,534
4,783 H&E Equipment Services, Inc.(a) 173,814
1,772 Hardinge, Inc. 22,416
1,150 Hurco Cos., Inc. 32,430
1,717 Hyster-Yale Materials Handling, Inc. 152,023
12,008 IDEX Corp. 969,526
4,210 John Bean Technologies Corp. 130,468
1,829 Kadant, Inc. 70,325
11,534 Kennametal, Inc. 533,794
998 Key Technology, Inc.(a) 12,295
================================================================================
SCHEDULE OF INVESTMENTS | 45
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
4,906 Kimball International, Inc., Class B $ 82,028
11,893 Lincoln Electric Holdings, Inc. 831,083
1,924 Lindsay Corp. 162,520
3,024 Lydall, Inc.(a) 82,767
2,717 Manitex International, Inc.(a) 44,124
20,308 The Manitowoc Co., Inc. 667,321
3,097 Materion Corp. 114,558
15,283 Meritor, Inc.(a) 199,290
1,937 MFRI, Inc.(a) 22,101
8,628 The Middleby Corp.(a) 713,708
1,717 Miller Industries, Inc. 35,336
4,624 MSA Safety, Inc. 265,788
8,298 Mueller Industries, Inc. 244,044
799 NACCO Industries, Inc., Class A 40,429
10,725 Navistar International Corp.(a) 401,973
3,075 NN, Inc. 78,659
8,972 Nordson Corp. 719,465
12,859 Oshkosh Corp. 714,060
4,561 PMFG, Inc.(a) 24,036
3,441 Proto Labs, Inc.(a) 281,887
4,844 Spartan Motors, Inc. 21,992
6,676 SPX Corp. 722,410
1,941 Standex International Corp. 144,566
3,780 Sun Hydraulics Corp. 153,468
1,348 Sypris Solutions, Inc. 7,522
4,019 Tecumseh Products Co.(a) 20,457
2,738 Tennant Co. 208,964
16,697 Terex Corp. 686,247
11,617 The Timken Co. 788,097
8,611 The Toro Co. 547,660
23,172 Trinity Industries, Inc. 1,013,080
1,357 Twin Disc, Inc. 44,849
10,790 Wabash National Corp.(a) 153,758
14,388 Wabtec Corp. 1,188,305
8,723 Woodward, Inc. 437,720
-------------
21,550,014
-------------
INDUSTRIAL METALS & MINING - 0.6%
21,307 AK Steel Holding Corp.(a) 169,604
1,402 Ampco-Pittsburgh Corp. 32,162
7,727 Carpenter Technology Corp. 488,733
8,318 Century Aluminum Co.(a) 130,426
22,958 Cliffs Natural Resources, Inc.(b) 345,518
17,156 Commercial Metals Co. 296,970
2,787 Friedman Industries, Inc. 23,550
9,757 Globe Specialty Metals, Inc. 202,750
1,143 Handy & Harman Ltd.(a) 30,598
1,874 Haynes International, Inc. 106,050
8,576 Horsehead Holding Corp.(a) 156,598
2,717 Kaiser Aluminum Corp. 197,988
37,168 McEwen Mining, Inc.(a) 107,044
10,483 Noranda Aluminum Holding Corp. 37,005
1,597 Olympic Steel, Inc. 39,526
11,249 Reliance Steel & Aluminum Co. 829,164
4,899 RTI International Metals, Inc.(a) 130,264
32,856 Steel Dynamics, Inc. 589,765
2,147 Synalloy Corp. 35,254
1,302 Universal Stainless & Alloy Products, Inc.(a) 42,289
19,733 Uranium Energy Corp.(a),(b) 30,783
3,876 Uranium Resources, Inc.(a) 10,000
7,838 Worthington Industries, Inc. 337,348
-------------
4,369,389
-------------
INDUSTRIAL TRANSPORTATION - 1.5%
13,461 Air Lease Corp. 519,325
8,433 Air Transport Services Group, Inc.(a) 70,584
9,655 Aircastle Ltd. 171,569
================================================================================
46 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
3,738 ArcBest Corp. $ 162,640
3,637 Atlas Air Worldwide Holdings, Inc.(a) 134,024
8,240 Baltic Trading Ltd. 49,275
2,930 CAI International, Inc.(a) 64,489
3,676 Celadon Group, Inc. 78,372
8,242 Con-way, Inc. 415,479
1,989 Covenant Transportation Group, Inc., Class A(a) 25,618
3,858 Eagle Bulk Shipping, Inc.(a) 11,921
2,581 Echo Global Logistics, Inc.(a) 49,478
4,305 Forward Air Corp. 205,994
7,681 Genesee & Wyoming, Inc., Class A(a) 806,505
7,267 Heartland Express, Inc. 155,078
5,073 Hub Group, Inc., Class A(a) 255,679
854 International Shipholding Corp. 19,574
13,424 JB Hunt Transport Services, Inc. 990,423
8,525 Kirby Corp.(a) 998,619
8,454 Knight Transportation, Inc. 200,952
6,456 Landstar System, Inc. 413,184
3,567 Marten Transport Ltd. 79,723
6,067 Matson, Inc. 162,838
10,425 Old Dominion Freight Line, Inc.(a) 663,864
980 PAM Transportation Services, Inc.(a) 27,401
1,004 Patriot Transportation Holding, Inc.(a) 35,110
8,287 PHH Corp.(a) 190,435
5,040 Quality Distribution, Inc.(a) 74,894
5,032 Rand Logistics, Inc.(a) 30,192
4,005 Roadrunner Transportation Systems, Inc.(a) 112,541
3,719 Saia, Inc.(a) 163,376
16,713 Swift Transportation Co.(a) 421,669
5,188 TAL International Group, Inc.(a) 230,140
5,878 Teekay Corp. 365,906
2,471 Textainer Group Holdings Ltd. 95,430
912 Universal Truckload Services, Inc. 23,128
1,622 USA Truck, Inc.(a) 30,153
13,413 UTI Worldwide, Inc. 138,690
6,300 Werner Enterprises, Inc. 167,013
8,498 Wesco Aircraft Holdings, Inc.(a) 169,620
1,351 Willis Lease Finance Corp.(a) 33,127
10,958 World Fuel Services Corp. 539,462
8,264 XPO Logistics, Inc.(a) 236,516
4,194 YRC Worldwide, Inc.(a) 117,893
-------------
9,907,903
-------------
LEISURE GOODS - 0.9%
73,431 Activision Blizzard, Inc. 1,637,511
2,143 Arctic Cat, Inc. 84,477
4,738 Black Diamond, Inc.(a) 53,160
13,894 Brunswick Corp. 585,354
11,826 Callaway Golf Co. 98,392
3,266 Drew Industries, Inc. 163,333
3,097 DTS, Inc.(a) 57,016
3,000 Emerson Radio Corp.(a) 5,340
2,473 Escalade, Inc. 39,914
16,419 Glu Mobile, Inc.(a) 82,095
3,025 JAKKS Pacific, Inc. 23,414
1,133 Koss Corp. 3,580
9,036 LeapFrog Enterprises, Inc.(a) 66,415
3,823 Majesco Entertainment Co.(a) 8,640
3,058 Marine Products Corp. 25,381
5,339 Nautilus, Inc.(a) 59,210
9,848 Polaris Industries, Inc. 1,282,604
6,688 Pool Corp. 378,273
================================================================================
SCHEDULE OF INVESTMENTS | 47
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
7,701 RealD, Inc.(a) $ 98,265
3,869 Skullcandy, Inc.(a) 28,050
14,270 Take-Two Interactive Software, Inc.(a) 317,365
6,530 Thor Industries, Inc. 371,361
18,817 TiVo, Inc.(a) 242,927
2,627 Universal Electronics, Inc.(a) 128,408
4,475 Winnebago Industries, Inc.(a) 112,681
-------------
5,953,166
-------------
LIFE INSURANCE - 0.5%
10,862 American Equity Investment Life Holding Co. 267,205
3,237 Amerisafe, Inc. 131,649
2,927 Atlantic American Corp. 11,269
8,623 Citizens, Inc.(a) 63,810
33,207 CNO Financial Group, Inc. 591,085
3,190 eHealth, Inc.(a) 121,124
4,927 Employers Holdings, Inc. 104,354
1,432 FBL Financial Group, Inc., Class A 65,872
2,342 Independence Holding Co. 33,092
643 Kansas City Life Insurance Co. 29,244
341 National Western Life Insurance Co., Class A 85,049
1,083 The Phoenix Cos., Inc.(a) 52,406
8,287 Primerica, Inc. 396,533
11,766 Protective Life Corp. 815,737
6,314 StanCorp Financial Group, Inc. 404,096
13,577 Symetra Financial Corp. 308,741
-------------
3,481,266
-------------
MEDIA - 4.1%
11,735 Acxiom Corp.(a) 254,532
3,599 AH Belo Corp. 42,648
9,057 AMC Networks, Inc., Class A(a) 556,915
2,129 Ascent Capital Group, Inc., Class A(a) 140,535
9,127 Bankrate, Inc.(a) 160,088
1,165 Beasley Broadcasting Group, Inc., Class A 7,398
10,540 Charter Communications, Inc., Class A(a) 1,669,325
6,448 Clear Channel Outdoor Holdings, Inc., Class A 52,745
6,146 ComScore, Inc.(a) 218,060
5,148 Constant Contact, Inc.(a) 165,302
10,870 Conversant, Inc.(a) 276,098
2,399 Courier Corp. 35,793
9,805 Crown Media Holdings, Inc., Class A(a) 35,592
1,461 CSS Industries, Inc. 38,527
50 CTN Media Group, Inc.(a) -
18,856 Cumulus Media, Inc., Class A(a) 124,261
9,546 Demand Media, Inc.(a) 46,012
31,625 DISH Network Corp., Class A(a) 2,058,155
7,199 Dolby Laboratories, Inc., Class A(a) 310,997
11,100 DreamWorks Animation SKG, Inc., Class A(a) 258,186
6,668 Emmis Communications Corp., Class A(a) 19,937
3,775 Entercom Communications Corp., Class A(a) 40,506
12,372 Entravision Communications Corp., Class A 76,954
5,297 EW Scripps Co.(a) 112,085
5,929 FactSet Research Systems, Inc. 713,140
8,001 Gray Television, Inc.(a) 105,053
59,044 Groupon, Inc.(a) 390,871
6,749 Harte-Hanks, Inc. 48,525
9,344 IHS, Inc., Class A(a) 1,267,700
7,011 John Wiley & Sons, Inc., Class A 424,797
================================================================================
48 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
6,809 Journal Communications, Inc., Class A(a) $ 60,396
9,826 Lamar Advertising Co., Class A 520,778
79,431 Liberty Global PLC(a) 3,360,726
33,260 Liberty Global PLC, Class A(a) 1,470,757
70,943 Liberty Interactive Corp., Series A(a) 2,082,887
14,963 Liberty Media Corp., Class A(a) 2,045,143
11,438 Liberty Ventures, Series A(a) 844,124
21,903 Live Nation Entertainment, Inc.(a) 540,785
13,417 Local Corp.(a) 27,840
5,246 Marchex, Inc., Class B 63,057
6,396 Martha Stewart Living Omnimedia, Class A(a) 30,061
10,903 The McClatchy Co., Class A(a) 60,512
4,003 Media General, Inc., Class A(a),(b) 82,182
5,493 Meredith Corp. 265,641
3,324 Morningstar, Inc. 238,696
10,222 National CineMedia, Inc. 178,987
19,330 The New York Times Co., Class A 294,009
4,695 Nexstar Broadcasting Group, Inc., Class A 242,309
26,311 Pandora Media, Inc.(a) 776,175
2,543 PDI, Inc.(a) 11,138
7,427 QuinStreet, Inc.(a) 40,923
5,488 Radio One, Inc., Class D(a) 27,056
1,186 Saga Communications, Inc., Class A 50,666
2,739 Salem Communications Corp., Class A 25,911
2,520 Schawk, Inc. 51,307
4,004 Scholastic Corp. 136,496
11,419 Sinclair Broadcast Group, Inc., Class A 396,810
448,087 Sirius XM Holdings, Inc.(a) 1,550,381
4,901 Sizmek, Inc.(a) 46,707
2,333 Spanish Broadcasting System, Inc.(a) 13,158
3,165 SPAR Group, Inc.(a) 4,779
14,130 Starz, ClassA(a) 420,933
5,084 TechTarget, Inc.(a) 44,841
9,587 TheStreet, Inc. 23,105
17,062 Time, Inc. (a) 413,242
1,830 Value Line, Inc. 30,762
7,311 WebMD Health Corp.(a) 353,121
5,764 XO Group, Inc.(a) 70,436
9,028 Yelp, Inc.(a) 692,267
-------------
27,239,841
-------------
MINING - 0.5%
18,252 Allied Nevada Gold Corp. (a),(b) 68,628
33,676 Alpha Natural Resources, Inc.(a) 124,938
32,421 Arch Coal, Inc. 118,337
9,192 Cloud Peak Energy, Inc. (a) 169,317
16,289 Coeur Mining, Inc.(a) 149,533
4,934 Compass Minerals International, Inc. 472,381
16,768 General Moly, Inc.(a),(b) 19,283
9,302 Golden Minerals Co.(a),(b) 10,697
55,170 Hecla Mining Co. 190,336
32,220 Molycorp, Inc.(a),(b) 82,805
10,023 Royal Gold, Inc. 762,951
15,315 Solitario Exploration & Royalty Corp.(a) 20,216
18,398 Stillwater Mining Co.(a) 322,885
10,679 SunCoke Energy, Inc.(a) 229,598
15,011 Timberline Resources Corp.(a),(b) 1,995
8,320 US Silica Holdings, Inc. 461,261
10,822 Walter Energy, Inc.(b) 58,980
3,611 Westmoreland Coal Co.(a) 131,007
-------------
3,395,148
-------------
================================================================================
SCHEDULE OF INVESTMENTS | 49
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
MOBILE TELECOMMUNICATIONS - 0.8%
1,546 Atlantic Tele-Network, Inc. $ 89,668
12,372 Iridium Communications, Inc.(a) 104,667
27,198 NII Holdings, Inc.(a),(b) 14,959
3,146 NTELOS Holdings Corp. 39,199
8,002 ORBCOMM, Inc.(a) 52,733
19,597 SBA Communications Corp., Class A(a) 2,004,773
3,515 Shenandoah Telecommunications Co. 107,067
129,638 Sprint Corp.(a) 1,105,812
38,648 T-Mobile US, Inc.(a) 1,299,346
13,697 Telephone & Data Systems, Inc. 357,629
1,525 United States Cellular Corp.(a) 62,220
3,856 USA Mobility, Inc. 59,382
-------------
5,297,455
-------------
NONLIFE INSURANCE - 3.3%
2,531 Alleghany Corp.(a) 1,108,882
14,766 Allied World Assurance Co. Holdings AG 561,403
6,424 Ambac Financial Group, Inc.(a) 175,439
10,489 American Financial Group, Inc. 624,725
539 American National Insurance Co. 61,554
4,764 Amtrust Financial Services, Inc. 199,183
17,366 Arch Capital Group Ltd.(a) 997,503
3,886 Argo Group International Holdings Ltd. 198,613
23,297 Arthur J Gallagher & Co. 1,085,640
9,578 Aspen Insurance Holdings Ltd. 435,033
24,148 Assured Guaranty Ltd. 591,626
15,562 Axis Capital Holdings Ltd. 689,085
1,784 Baldwin & Lyons, Inc., Class B 46,277
17,780 Brown & Brown, Inc. 546,024
3,530 CNA Financial Corp. 142,683
1,871 Donegal Group, Inc., Class A 28,626
901 EMC Insurance Group, Inc. 27,733
6,510 Endurance Specialty Holdings Ltd. 335,851
1,419 Enstar Group Ltd.(a) 213,886
3,698 Erie Indemnity Co., Class A 278,311
6,970 Everest Re Group Ltd. 1,118,615
2,731 Federated National Holding Co. 69,640
6,570 First Acceptance Corp.(a) 16,097
15,711 First American Financial Corp. 436,609
1,973 Global Indemnity PLC(a) 51,278
4,911 Greenlight Capital Re Ltd.(a) 161,768
6,420 The Hanover Insurance Group, Inc. 405,423
14,899 HCC Insurance Holdings, Inc. 729,157
11,293 Hilltop Holdings, Inc.(a) 240,089
6,108 Horace Mann Educators Corp. 190,997
1,707 Infinity Property & Casualty Corp. 114,762
7,517 Kemper Corp. 277,077
4,344 Life Partners Holdings, Inc. 10,817
8,194 Maiden Holdings Ltd. 99,065
2,117 Markel Corp.(a) 1,387,990
21,893 MBIA, Inc.(a) 241,699
7,057 Meadowbrook Insurance Group, Inc. 50,740
3,553 Mercury General Corp. 167,133
6,725 Montpelier Re Holdings Ltd. 214,864
8,953 National General Holdings Corp. 155,782
================================================================================
50 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
2,934 National Interstate Corp. $ 82,211
1,693 The Navigators Group, Inc.(a) 113,516
36,358 Old Republic International Corp. 601,361
2,550 OneBeacon Insurance Group Ltd. 39,627
6,881 PartnerRe Ltd. 751,474
4,148 Platinum Underwriters Holdings Ltd. 268,998
9,067 ProAssurance Corp. 402,575
10,238 Reinsurance Group of America, Inc. 807,778
6,523 RenaissanceRe Holdings Ltd. 697,961
5,342 RLI Corp. 244,557
2,120 Safety Insurance Group, Inc. 108,926
8,290 Selective Insurance Group, Inc. 204,929
2,450 State Auto Financial Corp. 57,403
10,180 Tower Group International Ltd. 18,324
3,306 United Fire Group, Inc. 96,932
5,132 Universal Insurance Holdings, Inc. 66,562
15,039 Validus Holdings Ltd. 575,091
16,118 W.R. Berkley Corp. 746,425
817 White Mountains Insurance Group Ltd. 497,095
26,126 Willis Group Holdings PLC 1,131,256
-------------
22,000,680
-------------
OIL & GAS PRODUCERS - 3.9%
18,396 Abraxas Petroleum Corp.(a) 115,159
460 Adams Resources & Energy, Inc. 35,940
3,887 Alon USA Energy, Inc. 48,354
2,992 Apco Oil and Gas International, Inc.(a) 43,175
5,719 Approach Resources, Inc.(a) 129,993
7,250 Athlon Energy, Inc.(a) 345,825
1,930 Barnwell Industries, Inc.(a) 5,867
7,950 Bill Barrett Corp.(a) 212,901
4,674 Bonanza Creek Energy, Inc.(a) 267,306
18,784 BPZ Resources, Inc.(a) 57,855
7,999 Callon Petroleum Co.(a) 93,188
6,605 Carrizo Oil & Gas, Inc.(a) 457,462
33,336 Cheniere Energy, Inc.(a) 2,390,191
1,073 Clayton Williams Energy, Inc.(a) 147,398
44,923 Cobalt International Energy, Inc.(a) 824,337
7,489 Comstock Resources, Inc. 215,983
16,513 Concho Resources, Inc.(a) 2,386,128
2,387 Contango Oil & Gas Co.(a) 100,994
6,523 Continental Resources, Inc.(a) 1,030,895
2,530 CVR Energy, Inc. 121,921
7,735 Delek US Holdings, Inc. 218,359
6,372 Diamondback Energy, Inc.(a) 565,834
11,407 Emerald Oil, Inc.(a),(b) 87,264
12,052 Endeavour International Corp.(a),(b) 16,511
10,981 Energen Corp. 975,991
14,483 Energy XXI Bermuda Ltd. 342,233
3,179 Era Group, Inc.(a) 91,174
3,643 Escalera Resources Co.(a) 9,599
5,834 Evolution Petroleum Corp. 63,882
28,887 EXCO Resources, Inc.(b) 170,144
23,888 Forest Oil Corp.(a) 54,465
13,494 FX Energy, Inc.(a) 48,713
11,369 Gastar Exploration, Inc.(a) 99,024
5,844 Goodrich Petroleum Corp.(a) 161,294
13,146 Gulfport Energy Corp.(a) 825,569
39,882 Halcon Resources Corp.(a),(b) 290,740
================================================================================
SCHEDULE OF INVESTMENTS | 51
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
7,655 Harvest Natural Resources, Inc.(a) $ 38,198
29,760 HollyFrontier Corp. 1,300,214
5,104 Houston American Energy Corp.(a) 2,348
9,512 Hyperdynamics Corp.(a),(b) 30,914
353 Isramco, Inc.(a) 44,873
41,210 Kodiak Oil & Gas Corp.(a) 599,606
16,595 Kosmos Energy Ltd.(a) 186,362
9,517 Laredo Petroleum, Inc.(a) 294,837
18,301 Magellan Petroleum Corp.(a) 40,262
26,868 Magnum Hunter Resources Corp.(a) 220,318
9,966 Matador Resources Co.(a) 291,804
7,135 Miller Energy Resources, Inc.(a),(b) 45,664
9,819 Northern Oil and Gas, Inc.(a) 159,952
14,918 Oasis Petroleum, Inc.(a) 833,767
3,564 Pacific Ethanol, Inc.(a),(b) 54,494
1,638 Panhandle Oil and Gas, Inc. 91,777
12,709 PBF Energy, Inc. 338,695
5,632 PDC Energy, Inc.(a) 355,661
8,697 Penn Virginia Corp.(a) 147,414
11,732 PetroQuest Energy, Inc.(a) 88,225
10,165 Pioneer Energy Services Corp.(a) 178,294
4,012 PostRock Energy Corp.(a) 6,018
27,437 Quicksilver Resources, Inc.(a),(b) 73,257
11,641 Resolute Energy Corp.(a) 100,578
7,757 Rex Energy Corp.(a) 137,376
9,456 Rosetta Resources, Inc.(a) 518,662
7,713 Sanchez Energy Corp.(a) 289,932
56,754 SandRidge Energy, Inc.(a) 405,791
6,805 SemGroup Corp., Class A 536,574
10,227 SM Energy Co. 860,091
8,175 Stone Energy Corp.(a) 382,508
6,841 Swift Energy Co.(a) 88,796
2,214 Syntroleum Corp.(a) 7,417
4,559 Targa Resources Corp. 636,300
23,886 Ultra Petroleum Corp.(a) 709,175
4,911 US Energy Corp., Wyoming(a) 21,265
10,081 Vaalco Energy, Inc.(a) 72,886
5,629 W&T Offshore, Inc. 92,147
13,542 Warren Resources, Inc.(a) 83,960
8,273 Western Refining, Inc. 310,651
17,889 Whiting Petroleum Corp.(a) 1,435,592
30,709 WPX Energy, Inc.(a) 734,252
13,617 ZaZa Energy Corp.(a),(b) 11,983
9,148 Zion Oil & Gas, Inc.(a) 18,936
-------------
25,929,494
-------------
OIL EQUIPMENT, SERVICES & DISTRIBUTION - 2.8%
8,724 Atwood Oceanics, Inc.(a) 457,835
5,297 Basic Energy Services, Inc.(a) 154,778
2,248 Bolt Technology Corp. 41,251
5,290 Bristow Group, Inc. 426,480
7,389 C&J Energy Services, Inc.(a) 249,600
19,235 Cal Dive International, Inc.(a),(b) 25,390
2,969 CARBO Ceramics, Inc. 457,582
4,551 Chart Industries, Inc.(a) 376,550
16,540 Civeo Corp.(a) 413,996
6,753 Core Laboratories NV 1,128,156
1,311 Dawson Geophysical Co. 37,560
9,761 DHT Holdings, Inc. 70,279
11,561 Dresser-Rand Group, Inc.(a) 736,783
6,241 Dril-Quip, Inc.(a) 681,767
9,039 Exterran Holdings, Inc. 406,665
7,402 Flotek Industries, Inc.(a) 238,048
2,153 Forbes Energy Services Ltd.(a) 9,839
9,191 Forum Energy Technologies, Inc.(a) 334,828
2,032 Geospace Technologies Corp.(a) 111,923
================================================================================
52 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
1,934 Gulf Island Fabrication, Inc. $ 41,620
3,659 Gulfmark Offshore, Inc., Class A 165,314
14,959 Helix Energy Solutions Group, Inc.(a) 393,571
24,567 Hercules Offshore, Inc.(a) 98,759
5,026 Hornbeck Offshore Services, Inc.(a) 235,820
21,270 ION Geophysical Corp.(a) 89,759
19,538 Key Energy Services, Inc.(a) 178,577
4,402 Matrix Service Co.(a) 144,342
35,472 McDermott International, Inc.(a) 286,968
2,357 Mitcham Industries, Inc.(a) 32,951
15,684 MRC Global, Inc.(a) 443,700
2,416 Natural Gas Services Group, Inc.(a) 79,873
13,713 Newpark Resources, Inc.(a) 170,864
15,925 NOW, Inc.(a) 576,644
16,012 Oceaneering International, Inc. 1,251,018
29,798 OGE Energy Corp. 1,164,506
8,270 Oil States International, Inc.(a) 530,024
19,733 Parker Drilling Co.(a) 128,659
21,247 Patterson-UTI Energy, Inc. 742,370
2,122 PHI, Inc.(a) 94,578
9,161 RPC, Inc. 215,192
2,751 SEACOR Holdings, Inc.(a) 226,270
5,432 Seventy Seven Energy, Inc.(a) 127,924
23,808 Superior Energy Services, Inc. 860,421
4,864 Tesco Corp. 103,798
12,273 TETRA Technologies, Inc.(a) 144,576
4,268 TGC Industries, Inc.(a) 23,261
7,273 Tidewater, Inc. 408,379
6,614 Unit Corp.(a) 455,242
114,576 Weatherford International PLC(a) 2,635,248
6,727 Willbros Group, Inc.(a) 83,078
-------------
18,492,616
-------------
PERSONAL GOODS - 1.2%
13,016 American Apparel, Inc.(a),(b) 11,714
8,349 Carter's, Inc. 575,497
4,772 Charles & Colvard Ltd.(a) 10,498
2,419 Cherokee, Inc. 36,745
1,775 Columbia Sportswear Co. 146,704
8,205 Coty, Inc., Class A 140,552
13,571 Crocs, Inc.(a) 203,972
1,628 Culp, Inc. 28,343
5,319 Deckers Outdoor Corp.(a) 459,189
1,207 Delta Apparel, Inc.(a) 17,284
3,743 Elizabeth Arden, Inc.(a) 80,175
5,213 The Female Health Co. 28,724
2,558 G-III Apparel Group Ltd.(a) 208,886
14,898 Hanesbrands, Inc. 1,466,559
4,446 Helen of Troy Ltd.(a) 269,561
7,819 Iconix Brand Group, Inc.(a) 335,748
2,513 Inter Parfums, Inc. 74,259
9,399 Joe's Jeans, Inc.(a) 9,963
18,937 Kate Spade & Co.(a) 722,257
2,662 Lakeland Industries, Inc.(a) 19,060
16,218 Lululemon Athletica, Inc.(a) 656,505
2,713 Movado Group, Inc. 113,051
8,879 Nu Skin Enterprises, Inc., Class A 656,691
1,530 Orchids Paper Products Co. 49,021
2,293 Oxford Industries, Inc. 152,874
2,072 Perry Ellis International, Inc.(a) 36,136
20,298 Quiksilver, Inc.(a) 72,667
2,114 Revlon, Inc., Class A(a) 64,477
2,248 RG Barry Corp. 42,600
1,306 Rocky Brands, Inc. 18,584
6,023 Skechers U.S.A., Inc., Class A(a) 275,251
================================================================================
SCHEDULE OF INVESTMENTS | 53
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
8,907 Steven Madden Ltd.(a) $ 305,510
918 Superior Uniform Group, Inc. 14,881
7,379 Tumi Holdings, Inc.(a) 148,539
2,706 Unifi, Inc.(a) 74,496
3,446 Vera Bradley, Inc.(a) 75,364
882 Weyco Group, Inc. 24,176
15,103 Wolverine World Wide, Inc. 393,584
-------------
8,020,097
-------------
PHARMACEUTICALS & BIOTECHNOLOGY - 5.5%
4,452 Aastrom Biosciences, Inc.(a) 18,253
13,663 ACADIA Pharmaceuticals, Inc.(a) 308,647
19,353 Achillion Pharmaceuticals, Inc.(a) 146,502
7,042 Acorda Therapeutics, Inc.(a) 237,386
11,590 Acura Pharmaceuticals, Inc.(a),(b) 12,633
4,247 Aegerion Pharmaceuticals, Inc.(a) 136,286
13,607 Affymetrix, Inc.(a) 121,238
13,328 Agenus, Inc.(a) 42,916
12,040 Akorn, Inc.(a) 400,330
4,097 Albany Molecular Research, Inc.(a) 82,432
7,669 Alexza Pharmaceuticals, Inc.(a) 35,047
22,479 Alkermes PLC(a) 1,131,368
9,801 Alnylam Pharmaceuticals, Inc.(a) 619,129
3,886 AMAG Pharmaceuticals, Inc.(a) 80,518
12,628 Amicus Therapeutics, Inc.(a) 42,178
8,902 Ampio Pharmaceuticals, Inc.(a) 74,332
5,912 Anacor Pharmaceuticals, Inc.(a) 104,820
2,161 ANI Pharmaceuticals, Inc.(a) 74,425
6,316 Anthera Pharmaceuticals, Inc.(a) 21,411
11,257 Apricus Biosciences, Inc.(a),(b) 25,328
10,078 ARCA Biopharma, Inc.(a) 14,714
36,143 Arena Pharmaceuticals, Inc.(a) 211,798
32,458 Ariad Pharmaceuticals, Inc.(a),(b) 206,757
20,616 Arqule, Inc.(a) 31,955
21,612 Array BioPharma, Inc.(a) 98,551
7,713 Auxilium Pharmaceuticals, Inc.(a) 154,723
28,877 AVANIR Pharmaceuticals, Inc.(a) 162,866
21,112 AVEO Pharmaceuticals, Inc.(a) 38,635
11,420 BioCryst Pharmaceuticals, Inc.(a) 145,605
5,801 Biodel, Inc.(a) 12,530
7,612 BioDelivery Sciences International, Inc.(a) 91,877
22,312 BioMarin Pharmaceutical, Inc.(a) 1,388,030
9,894 Biota Pharmaceuticals, Inc.(a) 28,198
14,244 Biotime, Inc.(a),(b) 43,444
7,740 CASI Pharmaceuticals, Inc.(a) 13,932
14,672 Cel-Sci Corp.(a) 18,193
14,644 Celldex Therapeutics, Inc.(a) 238,990
14,468 Cerus Corp.(a) 60,042
7,787 Charles River Laboratories International, Inc.(a) 416,760
20,827 Cleveland Biolabs, Inc.(a) 10,007
4,992 Clovis Oncology, Inc.(a) 206,719
4,676 Columbia Laboratories, Inc.(a) 32,031
18,449 Corcept Therapeutics, Inc.(a) 51,657
================================================================================
54 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-------------------------------------------------------------------------------------------------
14,758 Coronado Biosciences, Inc.(a),(b) $ 25,384
30,486 CTI BioPharma Corp.(a) 85,666
11,951 Cubist Pharmaceuticals, Inc.(a) 834,419
4,500 Cumberland Pharmaceuticals, Inc.(a) 20,250
24,444 Curis, Inc.(a) 45,466
8,226 Cytokinetics, Inc.(a) 39,320
19,551 Cytori Therapeutics, Inc.(a),(b) 46,727
9,758 CytRx Corp.(a) 40,788
32,515 Dendreon Corp.(a),(b) 74,784
10,053 Depomed, Inc.(a) 139,737
22,340 Discovery Laboratories, Inc.(a) 39,765
21,132 Durect Corp.(a) 38,460
23,162 Dyax Corp.(a) 222,355
52,460 Dynavax Technologies Corp.(a) 83,936
5,699 Emergent Biosolutions, Inc.(a) 128,000
21,089 Endo International PLC(a) 1,476,652
6,241 Endocyte, Inc.(a),(b) 41,128
8,028 Enzo Biochem, Inc.(a) 42,147
19,966 Enzon Pharmaceuticals, Inc. 20,765
14,169 Exact Sciences Corp.(a) 241,298
33,152 Exelixis, Inc.(a) 112,385
1,592 Furiex Pharmaceuticals, Inc.(a) 169,039
24,162 Galena Biopharma, Inc.(a),(b) 73,936
3,722 Genomic Health, Inc.(a) 101,983
8,267 GenVec, Inc.(a) 21,246
29,051 Geron Corp.(a) 93,254
17,845 GTx, Inc.(a),(b) 24,626
17,679 Halozyme Therapeutics, Inc.(a) 174,669
7,017 Harvard Bioscience, Inc.(a) 31,927
9,683 Hemispherx Biopharma, Inc.(a) 3,002
19,881 Idenix Pharmaceuticals, Inc.(a) 479,132
15,573 Idera Pharmaceuticals, Inc.(a) 45,162
19,281 Illumina, Inc.(a) 3,442,430
14,686 Immunogen, Inc.(a) 174,029
18,403 Immunomedics, Inc.(a) 67,171
10,467 Impax Laboratories, Inc.(a) 313,905
23,106 Incyte Corp. Ltd.(a) 1,304,103
8,109 Infinity Pharmaceuticals, Inc.(a) 103,309
9,511 Inovio Pharmaceuticals, Inc.(a),(b) 102,814
6,623 Insmed, Inc.(a) 132,328
1,891 Intercept Pharmaceuticals, Inc.(a) 447,467
15,261 InterMune, Inc.(a) 673,773
19,957 Ironwood Pharmaceuticals, Inc.(a) 305,941
18,200 Isis Pharmaceuticals, Inc.(a) 626,990
8,204 Jazz Pharmaceuticals PLC(a) 1,206,070
15,190 Keryx Biopharmaceuticals, Inc.(a),(b) 233,622
4,498 Lannett Co., Inc.(a) 223,191
46,663 Lexicon Pharmaceuticals, Inc.(a) 75,127
3,561 Ligand Pharmaceuticals, Inc., Class B(a) 221,815
7,451 Luminex Corp.(a) 127,785
8,810 Mallinckrodt PLC(a) 704,976
37,112 MannKind Corp.(a),(b) 407,861
10,340 The Medicines Co.(a) 300,480
11,862 Medivation, Inc.(a) 914,323
8,706 Momenta Pharmaceuticals, Inc.(a) 105,168
11,972 Myriad Genetics, Inc.(a),(b) 465,950
18,468 Nanosphere, Inc.(a) 29,179
20,082 Nektar Therapeutics(a) 257,451
19,434 Neuralstem, Inc.(a),(b) 82,011
12,471 Neurocrine Biosciences, Inc.(a) 185,070
================================================================================
SCHEDULE OF INVESTMENTS | 55
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
40,479 Novavax, Inc.(a) $ 187,013
15,426 NPS Pharmaceuticals, Inc.(a) 509,829
6,083 OncoGenex Pharmaceutical, Inc.(a) 22,690
17,944 Oncothyreon, Inc.(a) 58,139
36,184 Opko Health, Inc.(a),(b) 319,867
18,080 Orexigen Therapeutics, Inc.(a) 111,734
4,272 Osiris Therapeutics, Inc.(a) 66,729
5,610 OXiGENE, Inc.(a) 14,530
10,142 Pacific Biosciences of California, Inc.(a) 62,678
5,611 Pacira Pharmaceuticals, Inc.(a) 515,426
8,736 Pain Therapeutics, Inc.(a) 50,232
16,279 Palatin Technologies, Inc.(a),(b) 16,116
26,549 PDL BioPharma, Inc. 256,994
36,863 Peregrine Pharmaceuticals, Inc.(a),(b) 69,302
4,089 Pernix Therapeutics Holdings(a) 36,719
10,524 Pharmacyclics, Inc.(a) 944,108
7,071 Pozen, Inc.(a) 58,901
8,670 Prestige Brands Holdings, Inc.(a) 293,826
14,832 Progenics Pharmaceuticals, Inc.(a) 63,926
3,433 Puma Biotechnology, Inc.(a) 226,578
8,608 Questcor Pharmaceuticals, Inc. 796,154
8,004 Quintiles Transnational Holdings, Inc.(a) 426,533
13,271 Raptor Pharmaceutical Corp.(a) 153,280
6,758 Repligen Corp.(a) 154,015
5,171 Repros Therapeutics, Inc.(a) 89,458
36,171 Rexahn Pharmaceuticals, Inc.(a),(b) 31,469
16,778 Rigel Pharmaceuticals, Inc.(a) 60,904
3,816 Sagent Pharmaceuticals, Inc.(a) 98,682
9,811 Salix Pharmaceuticals Ltd.(a) 1,210,187
11,425 Sangamo Biosciences, Inc.(a) 174,460
6,277 Sarepta Therapeutics, Inc.(a) 186,992
11,817 Sciclone Pharmaceuticals, Inc.(a) 62,157
17,486 Seattle Genetics, Inc.(a) 668,839
22,329 Sequenom, Inc.(a),(b) 86,413
12,671 SIGA Technologies, Inc.(a),(b) 35,732
11,101 Spectrum Pharmaceuticals, Inc.(a) 90,251
19,530 StemCells, Inc.(a) 39,646
4,619 Sucampo Pharmaceuticals, Inc., Class A(a) 31,871
3,388 Synageva BioPharma Corp.(a) 355,062
15,752 Synta Pharmaceuticals Corp.(a),(b) 64,426
9,088 Targacept, Inc.(a) 40,987
5,373 Techne Corp. 497,379
6,927 Telik, Inc.(a) 10,183
3,972 Theravance Biopharma, Inc.(a),(b) 126,627
12,783 Theravance, Inc.(a),(b) 380,678
13,952 Threshold Pharmaceuticals, Inc.(a) 55,250
9,922 Transcept Pharmaceuticals, Inc. 19,745
3,113 Trubion Pharmaceuticals, Inc. _
7,038 United Therapeutics Corp.(a) 622,793
6,448 Vanda Pharmaceuticals, Inc.(a) 104,329
6,479 Venaxis, Inc.(a) 14,448
6,886 Ventrus Biosciences, Inc.(a) 9,021
29,769 Vical, Inc.(a) 36,318
17,507 Vivus, Inc.(a),(b) 93,137
11,650 XenoPort, Inc.(a) 56,270
14,458 XOMA Corp.(a) 66,362
================================================================================
56 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
8,168 Zalicus, Inc.(a) $ 9,965
21,202 ZIOPHARM Oncology, Inc.(a) 85,444
-------------
36,575,744
-------------
REAL ESTATE INVESTMENT & SERVICES - 1.0%
6,845 Alexander & Baldwin, Inc. 283,725
2,622 Altisource Portfolio Solutions SA(a) 300,429
1,631 American Realty Investors, Inc.(a) 11,009
2,544 AV Homes, Inc.(a) 41,594
1,716 BBX Capital Corp.(a) 30,888
4,763 CareTrust REIT, Inc.(a) 94,308
19,040 Columbia Property Trust, Inc. 495,231
1,356 Consolidated-Tomoka Land Co. 62,240
24,288 Forest City Enterprises, Inc., Class A(a) 482,603
5,654 Forestar Group, Inc.(a) 107,935
14,362 Gaming and Leisure Properties, Inc. 487,877
5,529 HFF, Inc., Class A 205,624
4,827 The Howard Hughes Corp.(a) 761,846
6,765 Jones Lang LaSalle, Inc. 855,028
10,998 Kennedy-Wilson Holdings, Inc. 294,966
6,225 Maui Land & Pineapple Co., Inc.(a) 42,704
7,752 Move, Inc.(a) 114,652
3,601 Nationstar Mortgage Holdings, Inc.(a),(b) 130,716
22,337 Realogy Holdings Corp.(a) 842,328
1,837 Reis, Inc. 38,724
13,831 The St. Joe Co.(a),(b) 351,722
2,659 Tejon Ranch Co.(a) 85,593
393 Transcontinental Realty Investors, Inc.(a) 5,596
5,649 Trulia, Inc.(a) 267,650
3,855 Zillow, Inc. Class A(a) 550,995
3,190 ZipRealty, Inc.(a) 9,666
-------------
6,955,649
-------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 8.5%
8,458 Acadia Realty Trust 237,585
3,375 Agree Realty Corp. 102,026
344 Alexander's, Inc. 127,098
10,646 Alexandria Real Estate Equities, Inc. 826,555
9,073 Altisource Residential Corp. 236,170
5,207 American Assets Trust, Inc. 179,902
15,864 American Campus Communities, Inc. 606,639
56,369 American Capital Agency Corp. 1,319,598
9,236 American Capital Mortgage Investment Corp. 184,905
8,958 American Homes 4 Rent, Class A 159,094
141,081 American Realty Capital Properties, Inc. 1,767,745
138,586 Annaly Capital Management, Inc. 1,584,038
19,542 Anworth Mortgage Asset Corp. 100,837
8,159 Apollo Commercial Real Estate Finance, Inc. 134,542
5,765 Apollo Residential Mortgage, Inc. 96,391
9,585 Arbor Realty Trust, Inc. 66,616
1,883 Arlington Asset Investment Corp. 51,462
59,489 ARMOUR Residential REIT, Inc. 257,587
3,025 Ashford Hospitality Prime, Inc. 51,909
12,545 Ashford Hospitality Trust, Inc. 144,769
10,239 Associated Estates Realty Corp. 184,507
4,511 Aviv REIT, Inc. 127,075
29,081 BioMed Realty Trust, Inc. 634,838
7,489 Blackstone Mortgage Trust, Inc., Class A 217,181
================================================================================
SCHEDULE OF INVESTMENTS | 57
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
23,241 Brandywine Realty Trust $ 362,560
3,601 BRT Realty Trust(a) 26,575
12,650 Camden Property Trust 900,048
10,740 Campus Crest Communities, Inc. 93,008
13,114 Capstead Mortgage Corp. 172,449
25,753 CBL & Associates Properties, Inc. 489,307
12,109 Cedar Realty Trust, Inc. 75,681
36,585 Chambers Street Properties 294,143
5,995 Chatham Lodging Trust 131,291
8,583 Chesapeake Lodging Trust 259,464
167,487 Chimera Investment Corp. 534,284
2,227 CIM Commercial Trust Corp. 48,237
14,537 Colony Financial, Inc. 337,549
16,555 CommonWealth REIT 435,728
3,504 Coresite Realty Corp. 115,877
13,407 Corporate Office Properties Trust 372,849
27,054 Cousins Properties, Inc. 336,822
19,811 CubeSmart 362,938
3,296 CyrusOne, Inc. 82,070
27,099 CYS Investments, Inc. 244,433
47,705 DCT Industrial Trust, Inc. 391,658
43,400 DDR Corp. 765,142
28,241 DiamondRock Hospitality Co. 362,050
20,186 Digital Realty Trust, Inc. 1,177,248
20,008 Douglas Emmett, Inc. 564,626
49,363 Duke Realty Corp. 896,432
10,020 DuPont Fabros Technology, Inc. 270,139
4,779 EastGroup Properties, Inc. 306,955
17,065 Education Realty Trust, Inc. 183,278
14,404 Empire State Realty Trust, Inc., Class A 237,666
8,521 EPR Properties 476,068
12,725 Equity Lifestyle Properties, Inc. 561,936
8,953 Equity One, Inc. 211,201
11,118 Excel Trust, Inc. 148,203
16,748 Extra Space Storage, Inc. 891,831
9,967 Federal Realty Investment Trust 1,205,210
19,363 FelCor Lodging Trust, Inc.(a) 203,505
15,801 First Industrial Realty Trust, Inc. 297,691
10,450 First Potomac Realty Trust 137,104
14,004 Franklin Street Properties Corp. 176,170
10,503 Geo Group, Inc. 375,272
4,945 Getty Realty Corp. 94,351
6,637 Gladstone Commercial Corp. 118,603
23,212 Glimcher Realty Trust 251,386
8,160 Government Properties Income Trust 207,182
16,896 Gramercy Property Trust, Inc. 102,221
14,923 Hatteras Financial Corp. 295,625
14,365 Healthcare Realty Trust, Inc. 365,158
25,818 Healthcare Trust of America, Inc., Class A 310,849
30,134 Hersha Hospitality Trust 202,199
13,243 Highwoods Properties, Inc. 555,544
8,866 Home Properties, Inc. 567,069
22,405 Hospitality Properties Trust 681,112
9,641 Hudson Pacific Properties, Inc. 244,303
13,981 Inland Real Estate Corp. 148,618
19,909 Invesco Mortgage Capital, Inc. 345,620
18,496 Investors Real Estate Trust 170,348
11,816 iStar Financial, Inc.(a) 177,004
12,656 Kilroy Realty Corp. 788,216
24,441 Kite Realty Group Trust 150,068
15,451 LaSalle Hotel Properties 545,266
29,464 Lexington Realty Trust 324,399
21,892 Liberty Property Trust 830,364
================================================================================
58 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
5,603 LTC Properties, Inc. $ 218,741
12,852 Mack-Cali Realty Corp. 276,061
26,239 Medical Properties Trust, Inc. 347,404
52,191 MFA Financial, Inc. 428,488
11,511 Mid-America Apartment Communities, Inc. 840,879
11,645 Monmouth Real Estate Investment Corp., Class A 116,916
4,453 National Health Investors, Inc. 278,580
18,515 National Retail Properties, Inc. 688,573
18,994 New York Mortgage Trust, Inc. 148,343
57,147 Newcastle Investment Corp. 273,734
54,237 NorthStar Realty Finance Corp. 942,639
19,201 Omega Healthcare Investors, Inc. 707,749
3,179 One Liberty Properties, Inc. 67,840
11,089 Parkway Properties, Inc. 228,988
9,764 Pebblebrook Hotel Trust 360,877
10,676 Pennsylvania Real Estate Investment Trust 200,922
10,450 PennyMac Mortgage Investment Trust(d) 229,273
23,343 Piedmont Office Realty Trust, Inc., Class A 442,116
8,052 Post Properties, Inc. 430,460
6,073 Potlatch Corp. 251,422
2,968 PS Business Parks, Inc. 247,798
9,876 RAIT Financial Trust 81,675
11,192 Ramco-Gershenson Properties Trust 186,011
18,813 Rayonier, Inc. 668,802
32,933 Realty Income Corp. 1,462,884
12,734 Redwood Trust, Inc. 247,931
13,766 Regency Centers Corp. 766,491
24,290 Resource Capital Corp. 136,753
13,711 Retail Opportunity Investments Corp. 215,674
26,354 Retail Properties of America, Inc., Class A 405,325
17,926 RLJ Lodging Trust 517,882
5,638 Rouse Properties, Inc. 96,466
7,937 Sabra Health Care REIT, Inc. 227,871
2,852 Saul Centers, Inc. 138,607
30,472 Senior Housing Properties Trust 740,165
6,204 Silver Bay Realty Trust Corp. 101,249
14,068 SL Green Realty Corp. 1,539,180
4,831 Sovran Self Storage, Inc. 373,195
56,368 Spirit Realty Capital, Inc. 640,340
9,468 STAG Industrial, Inc. 227,327
34,796 Starwood Property Trust, Inc. 827,101
6,388 Starwood Waypoint Residential Trust(a) 167,429
37,440 Strategic Hotels & Resorts, Inc.(a) 438,422
6,054 Sun Communities, Inc. 301,731
27,919 Sunstone Hotel Investors, Inc. 416,831
985 Supertel Hospitality, Inc.(a) 1,546
15,165 Tanger Factory Outlet Centers 530,320
9,446 Taubman Centers, Inc. 716,101
6,723 Terreno Realty Corp. 129,956
56,276 Two Harbors Investment Corp. 589,772
37,716 UDR, Inc. 1,079,809
9,986 UMH Properties, Inc. 100,160
1,725 Universal Health Realty Income Trust 75,003
3,630 Urstadt Biddle Properties, Inc., Class A 75,794
5,793 Walter Investment Management Corp.(a) 172,516
================================================================================
SCHEDULE OF INVESTMENTS | 59
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
23,415 Washington Prime Group, Inc.(a) $ 438,797
9,975 Washington Real Estate Investment Trust 259,151
16,823 Weingarten Realty Investors 552,467
8,263 Winthrop Realty Trust 126,837
9,287 WP Carey, Inc. 598,083
-------------
56,488,729
-------------
SOFTWARE & COMPUTER SERVICES - 5.6%
5,965 ACI Worldwide, Inc.(a) 333,026
6,017 Acorn Energy, Inc.(a),(b) 14,200
8,413 Actuate Corp.(a) 40,130
6,440 Advent Software, Inc. 209,751
24,263 Allscripts Healthcare Solutions, Inc.(a) 389,421
5,062 American Software, Inc., Class A 50,013
7,923 Angie's List, Inc.(a) 94,601
13,876 ANSYS, Inc.(a) 1,052,078
12,544 AOL, Inc.(a) 499,126
14,185 Aspen Technology, Inc.(a) 658,184
5,726 athenahealth, Inc.(a) 716,494
13,517 Authentidate Holding Corp.(a) 8,921
6,997 Blackbaud, Inc. 250,073
7,234 Blucora, Inc.(a) 136,506
6,036 Bottomline Technologies, Inc.(a) 180,597
4,796 BroadSoft, Inc.(a) 126,566
3,375 Bsquare Corp.(a) 10,800
3,395 CACI International, Inc., Class A(a) 238,363
43,901 Cadence Design Systems, Inc.(a) 767,828
6,241 Calix, Inc.(a) 51,051
7,727 Callidus Software, Inc.(a) 92,260
12,980 CDW Corp. 413,802
11,476 CIBER, Inc.(a) 56,691
7,587 Cogent Communications Group, Inc. 262,131
6,809 CommVault Systems, Inc.(a) 334,799
1,810 Computer Programs & Systems, Inc. 115,116
2,432 Computer Task Group, Inc. 40,031
33,584 Compuware Corp. 335,504
3,640 Comverse, Inc.(a) 97,115
7,261 Concur Technologies, Inc.(a) 677,742
7,517 Cornerstone OnDemand, Inc.(a) 345,932
3,732 Crexendo, Inc.(a) 11,942
5,270 CSG Systems International, Inc. 137,600
3,986 Datalink Corp.(a) 39,860
6,790 DealerTrack Holdings, Inc.(a) 307,859
4,556 Demandware, Inc.(a) 316,050
8,225 DeVry Education Group, Inc.(c) 348,246
1,650 Digimarc Corp. 53,790
5,923 Digital River, Inc.(a) 91,392
4,903 DST Systems, Inc. 451,910
5,448 Ebix, Inc. 77,961
4,798 Envestnet, Inc.(a) 234,718
4,838 EPIQ Systems, Inc. 67,974
7,421 Equinix, Inc.(a) 1,559,078
2,275 Evolving Systems, Inc. 19,474
5,190 Fair Isaac Corp. 330,914
9,942 FalconStor Software, Inc.(a) 16,901
5,004 FireEye, Inc.(a) 202,912
1,834 Forrester Research, Inc. 69,472
21,109 Fortinet, Inc.(a) 530,469
13,883 Gartner, Inc.(a) 979,029
4,471 GSE Systems, Inc.(a) 7,422
4,351 Guidance Software, Inc.(a) 39,681
10,537 Guidewire Software, Inc.(a) 428,434
5,104 The Hackett Group, Inc. 30,471
11,848 IAC/InterActiveCorp 820,237
7,137 ICG Group, Inc.(a) 149,021
4,787 iGATE Corp.(a) 174,199
5,721 Immersion Corp.(a) 72,771
================================================================================
60 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
7,904 Infoblox, Inc.(a) $ 103,938
16,669 Informatica Corp.(a) 594,250
3,774 Innodata, Inc.(a) 12,152
2,629 Interactive Intelligence Group, Inc.(a) 147,566
9,928 Internap Network Services Corp.(a) 69,992
1,714 Internet Patents Corp.(a) 5,313
7,451 IntraLinks Holdings, Inc.(a) 66,239
12,065 Inuvo, Inc.(a) 10,731
10,039 Ipass, Inc.(a) 12,047
7,201 j2 Global, Inc. 366,243
4,780 The KEYW Holding Corp.(a),(b) 60,085
10,669 Leidos Holdings, Inc. 409,049
19,332 Limelight Networks, Inc.(a) 59,156
9,143 LivePerson, Inc.(a) 92,801
3,729 LogMeIn, Inc.(a) 173,846
3,019 Looksmart Ltd.(a) 5,434
11,709 Manhattan Associates, Inc.(a) 403,141
1,020 Mastech Holdings, Inc. 15,300
9,552 MedAssets, Inc.(a) 218,168
8,016 Medidata Solutions, Inc.(a) 343,165
14,680 Mentor Graphics Corp. 316,648
15,954 Merge Healthcare, Inc.(a) 36,216
4,119 Meru Networks, Inc.(a) 15,158
1,418 MicroStrategy, Inc., Class A(a) 199,399
6,735 Mitek Systems, Inc.(a),(b) 22,428
6,249 Monotype Imaging Holdings, Inc. 176,034
1,401 NCI, Inc.(a) 12,441
5,756 Netscout Systems, Inc.(a) 255,221
4,818 NetSuite, Inc.(a) 418,588
10,231 NIC, Inc. 162,161
39,699 Nuance Communications, Inc.(a) 745,150
7,170 Palo Alto Networks, Inc.(a) 601,204
3,495 PC-Tel, Inc. 28,275
4,645 PDF Solutions, Inc.(a) 98,567
5,839 Pegasystems, Inc. 123,320
6,064 Perficient, Inc.(a) 118,066
4,858 Premier, Inc., Class A(a) 140,882
6,927 Premiere Global Services, Inc.(a) 92,475
7,977 Progress Software Corp.(a) 191,767
4,336 PROS Holdings, Inc.(a) 114,644
17,845 PTC, Inc.(a) 692,386
1,149 QAD, Inc., Class A 24,497
1,021 QAD, Inc., Class B 18,531
13,902 QLIK Technologies, Inc.(a) 314,463
7,566 Quality Systems, Inc. 121,434
17,806 Rackspace Hosting, Inc.(a) 599,350
8,197 RealPage, Inc.(a) 184,269
2,204 RigNet, Inc.(a) 118,619
3,184 Rosetta Stone, Inc.(a) 30,948
15,342 Rovi Corp.(a) 367,594
17,297 Sapient Corp.(a) 281,076
6,201 Science Applications International Corp. 273,836
4,688 SciQuest, Inc.(a) 82,931
2,985 Selectica, Inc.(a) 18,925
16,083 ServiceNow, Inc.(a) 996,503
7,292 Smith Micro Software, Inc.(a) 7,584
114 SoftBrands, Inc.(a) -
10,051 SolarWinds, Inc.(a) 388,572
10,446 Solera Holdings, Inc. 701,449
13,876 Splunk, Inc.(a) 767,759
2,803 SPS Commerce, Inc.(a) 177,122
9,629 SS&C Technologies Holdings, Inc.(a) 425,794
10,873 Support.com, Inc.(a) 29,466
4,820 Synchronoss Technologies,Inc.(a) 168,507
23,113 Synopsys, Inc.(a) 897,247
2,289 Syntel, Inc.(a) 196,762
5,367 Tableau Software, Inc., Class A(a) 382,828
6,350 Tangoe, Inc.(a) 95,631
11,480 TeleCommunication Systems, Inc., Class A(a) 37,769
4,941 TeleNav, Inc.(a) 28,114
23,384 TIBCO Software, Inc.(a) 471,655
11,787 Twitter, Inc.(a) 482,913
================================================================================
SCHEDULE OF INVESTMENTS | 61
================================================================================
-------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
4,457 Tyler Technologies, Inc.(a) $ 406,523
4,334 The Ultimate Software Group, Inc.(a) 598,829
7,575 Unisys Corp.(a) 187,406
3,255 United Online, Inc. 33,852
11,796 Unwired Planet, Inc.(a) 26,305
21,651 Vantiv, Inc., Class A(a) 727,907
5,401 VASCO Data Security International, Inc.(a) 62,652
8,298 Verint Systems, Inc.(a) 407,017
6,877 VirnetX Holding Corp.(a),(b) 121,104
4,107 Virtusa Corp.(a) 147,031
12,910 VMware, Inc., Class A(a) 1,249,817
1,272 Voltari Corp.(a),(b) 2,519
12,658 Wave Systems Corp., Class A(a) 17,848
7,721 Web.com Group, Inc.(a) 222,905
5,202 Workday, Inc., Class A(a) 467,452
12,044 Zix Corp.(a) 41,190
1,988 zulily, Inc., Class A(a) 81,409
105,804 Zynga, Inc., Class A(a) 339,631
-------------
37,731,830
-------------
SUPPORT SERVICES - 4.6%
7,020 ABM Industries, Inc. 189,400
8,239 Acacia Research Corp. 146,242
3,711 Advanced Emissions Solutions, Inc.(a) 85,093
5,558 The Advisory Board Co.(a) 287,904
3,004 AM Castle & Co.(a) 33,164
23,417 Amdocs Ltd. 1,084,910
7,283 AMN Healthcare Services, Inc.(a) 89,581
600 AMREP Corp.(a) 3,678
5,953 Applied Industrial Technologies, Inc. 301,996
7,827 ARC Document Solutions, Inc.(a) 45,866
6,708 Barnes Group, Inc. 258,526
1,189 Barrett Business Services, Inc. 55,883
2,395 Black Box Corp. 56,139
10,829 Booz Allen Hamilton Holding Corp. 230,008
6,746 The Brink's Co. 190,372
17,781 Broadridge Financial Solutions, Inc. 740,401
7,083 Cardtronics, Inc.(a) 241,389
2,116 Cartesian, Inc.(a) 9,120
9,636 Casella Waste Systems, Inc.(a) 48,276
1,314 Cass Information Systems, Inc. 65,017
6,146 CBIZ, Inc.(a) 55,498
1,891 CDI Corp. 27,249
15,636 Cenveo, Inc.(a) 58,010
8,254 Clean Harbors, Inc.(a) 530,319
5,684 Comfort Systems USA, Inc. 89,807
14,319 Convergys Corp. 306,999
13,800 CoreLogic, Inc.(a) 418,968
5,159 The Corporate Executive Board Co. 351,947
17,205 Corrections Corp. of America 565,184
4,784 CoStar Group, Inc.(a) 756,685
1,964 CRA International, Inc.(a) 45,270
3,747 Crawford & Co., Class B 37,770
5,567 Cross Country Healthcare, Inc.(a) 36,297
7,636 Deluxe Corp. 447,317
6,055 Dice Holdings, Inc.(a) 46,079
10,483 DigitalGlobe, Inc.(a) 291,427
6,643 Document Security Systems, Inc.(a),(b) 9,101
1,677 DXP Enterprises, Inc.(a) 126,681
4,607 ENGlobal Corp.(a) 14,374
3,906 Ennis, Inc. 59,606
7,261 Euronet Worldwide, Inc.(a) 350,271
11,013 EVERTEC, Inc. 266,955
5,411 ExamWorks Group, Inc.(a) 171,691
4,795 ExlService Holdings, Inc.(a) 141,213
2,101 Exponent, Inc. 155,705
11,185 FleetCor Technologies, Inc.(a) 1,474,183
2,677 Franklin Covey Co.(a) 53,888
================================================================================
62 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
300 Frontline Capital Group(a) $ -
5,990 FTI Consulting, Inc.(a) 226,542
3,071 Fuel Tech, Inc.(a) 17,320
7,007 Furmanite Corp.(a) 81,561
2,859 G&K Services, Inc., Class A 148,868
22,881 Genpact Ltd.(a) 401,104
10,402 Global Cash Access Holdings, Inc.(a) 92,578
11,051 Global Payments, Inc. 805,065
2,352 Global Power Equipment Group, Inc. 38,008
3,185 GP Strategies Corp.(a) 82,428
15,047 HD Supply Holdings, Inc.(a) 427,184
5,532 Heartland Payment Systems, Inc. 227,974
2,179 Heidrick & Struggles International, Inc. 40,312
1,910 Heritage-Crystal Clean, Inc.(a) 37,493
7,183 Higher One Holdings, Inc.(a) 27,367
5,103 Hudson Global, Inc.(a) 20,055
3,528 Huron Consulting Group, Inc.(a) 249,853
3,065 ICF International, Inc.(a) 108,378
7,279 InnerWorkings, Inc.(a) 61,872
3,118 Insperity, Inc. 102,894
12,579 Jack Henry & Associates, Inc. 747,570
3,831 Kaman Corp. 163,699
3,722 Kelly Services, Inc., Class A 63,907
4,578 Kforce, Inc. 99,114
7,608 Korn/Ferry International(a) 223,447
947 Lawson Products, Inc.(a) 15,427
11,210 LifeLock, Inc.(a) 156,492
5,588 Lincoln Educational Services Corp. 25,090
14,869 LinkedIn Corp.(a) 2,549,587
10,845 Lionbridge Technologies, Inc.(a) 64,419
11,578 Manpowergroup, Inc. 982,393
10,246 MAXIMUS, Inc. 440,783
3,369 McGrath RentCorp 123,811
7,655 Metalico, Inc.(a) 9,492
3,074 Mistras Group, Inc.(a) 75,374
6,204 Mobile Mini, Inc. 297,110
9,568 ModusLink Global Solutions, Inc.(a) 35,784
17,457 Monster Worldwide, Inc.(a) 114,169
7,104 MSC Industrial Direct Co., Inc., Class A 679,427
2,061 MWI Veterinary Supply, Inc.(a) 292,641
7,309 Navigant Consulting, Inc.(a) 127,542
8,904 NeuStar, Inc., Class A(a),(b) 231,682
20,285 Odyssey Marine Exploration, Inc.(a),(b) 34,079
7,290 On Assignment, Inc.(a) 259,305
1,596 Park-Ohio Holdings Corp. 92,744
1,637 Perma-Fix Environmental Services(a) 7,530
3,462 PowerSecure International, Inc.(a) 33,720
6,115 PRGX Global, Inc.(a) 39,075
3,688 Quad/Graphics, Inc. 82,501
1,931 Rentrak Corp.(a) 101,281
5,694 Resources Connection, Inc. 74,648
6,187 RPX Corp.(a) 109,819
30,534 RR Donnelley & Sons Co. 517,857
3,674 Schnitzer Steel Industries, Inc., Class A 95,781
10,518 ServiceSource International, Inc.(a) 61,004
3,560 Sharps Compliance Corp.(a) 15,664
2,919 The Standard Register Co.(a) 16,463
================================================================================
SCHEDULE OF INVESTMENTS | 63
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
3,340 StarTek, Inc.(a) $ 25,785
4,262 Swisher Hygiene, Inc.(a) 18,327
5,857 Sykes Enterprises, Inc.(a) 127,273
3,018 Team, Inc.(a) 123,798
2,889 TeleTech Holdings, Inc.(a) 83,752
9,437 Tetra Tech, Inc. 259,517
9,616 Towers Watson & Co., Class A 1,002,276
6,199 TrueBlue, Inc.(a) 170,906
2,188 UniFirst Corp. 231,928
14,626 United Rentals, Inc.(a) 1,531,781
5,818 United Stationers, Inc. 241,272
3,377 Universal Technical Institute, Inc. 40,997
10,865 URS Corp. 498,160
3,122 US Ecology, Inc. 152,822
22,420 Verisk Analytics, Inc., Class A(a) 1,345,648
3,107 Viad Corp. 74,071
4,832 WageWorks, Inc.(a) 232,951
18,225 Waste Connections, Inc. 884,824
5,771 WEX, Inc.(a) 605,782
-------------
30,960,616
-------------
TECHNOLOGY HARDWARE & EQUIPMENT - 4.8%
15,417 3D Systems Corp.(a),(b) 921,937
8,627 ADTRAN, Inc. 194,625
5,935 Advanced Energy Industries, Inc.(a) 114,249
96,273 Advanced Micro Devices, Inc.(a) 403,384
3,119 Agilysys, Inc.(a) 43,916
2,653 Alliance Fiber Optic Products, Inc. 48,019
20,119 Amkor Technology, Inc.(a) 224,930
2,148 Amtech Systems, Inc.(a) 26,270
19,442 ANADIGICS, Inc.(a) 15,732
11,676 Applied Micro Circuits Corp.(a) 126,218
18,017 ARRIS Group, Inc.(a) 586,093
16,990 Aruba Networks, Inc.(a) 297,665
63,700 Atmel Corp.(a) 596,869
15,750 Aviat Networks, Inc.(a) 20,160
4,713 Aware, Inc.(a) 30,917
19,244 Axcelis Technologies, Inc.(a) 38,488
4,192 AXT, Inc.(a) 8,971
67,206 Brocade Communications Systems, Inc. 618,295
9,688 Brooks Automation, Inc. 104,340
3,558 Cabot Microelectronics Corp.(a) 158,865
5,523 CalAmp Corp.(a),(b) 119,628
8,042 Cavium, Inc.(a) 399,366
4,009 Ceva, Inc.(a) 59,213
16,392 Ciena Corp.(a) 355,051
9,686 Cirrus Logic, Inc.(a) 220,260
2,370 Clearfield, Inc.(a) 39,792
3,077 Cohu, Inc. 32,924
12,379 CommScope Holding Co., Inc.(a) 286,326
2,512 Comtech Telecommunications Corp. 93,773
3,805 Concurrent Computer Corp. 28,385
6,296 Cray, Inc.(a) 167,474
18,130 Cree, Inc.(a) 905,593
1,397 CVD Equipment Corp.(a),(b) 16,918
21,268 Cypress Semiconductor Corp.(a) 232,034
2,046 Dataram Corp.(a) 5,872
9,782 Diebold, Inc. 392,943
4,719 Digi International, Inc.(a) 44,453
5,275 Diodes, Inc.(a) 152,764
12,021 Dot Hill Systems Corp.(a) 56,499
3,838 DSP Group, Inc.(a) 32,585
5,349 Dycom Industries, Inc.(a) 167,477
6,098 EchoStar Corp., Class A(a) 322,828
7,503 Electronics for Imaging, Inc.(a) 339,136
4,946 Emcore Corp.(a) 20,378
14,355 Emulex Corp.(a) 81,823
20,983 Entegris, Inc.(a) 288,411
15,197 Entropic Communications, Inc.(a) 50,606
7,831 Exar Corp.(a) 88,490
15,559 Extreme Networks, Inc.(a) 69,082
================================================================================
64 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
18,731 Fairchild Semiconductor International, Inc.(a) $ 292,204
14,897 Finisar Corp.(a) 294,216
8,934 FormFactor, Inc.(a) 74,331
14,909 Freescale Semiconductor Ltd.(a) 350,361
15,152 Fusion-io, Inc.(a) 171,218
4,254 GSI Technology, Inc.(a) 25,354
15,600 Harmonic, Inc.(a) 116,376
4,649 Hittite Microwave Corp. 362,390
7,941 Hutchinson Technology, Inc.(a) 19,852
3,541 ID Systems, Inc.(a) 19,263
1,928 Identiv, Inc.(a) 21,343
15,913 Ikanos Communications, Inc.(a) 6,763
6,548 Imation Corp.(a) 22,525
18,795 Infinera Corp.(a) 172,914
3,600 Infosonics Corp.(a) 8,532
23,025 Ingram Micro, Inc., Class A(a) 672,560
3,982 Inphi Corp.(a) 58,456
6,078 Insight Enterprises, Inc.(a) 186,838
20,792 Integrated Device Technology, Inc.(a) 321,444
4,637 Integrated Silicon Solution, Inc.(a) 68,488
6,324 InterDigital, Inc. 302,287
10,601 International Rectifier Corp.(a) 295,768
18,990 Intersil Corp., Class A 283,900
8,293 InvenSense, Inc.(a) 188,168
9,113 Ixia(a) 104,162
3,911 IXYS Corp. 48,184
35,369 JDS Uniphase Corp.(a) 441,051
11,813 Kopin Corp.(a) 38,510
11,452 Kulicke & Soffa Industries, Inc.(a) 163,305
2,945 KVH Industries, Inc.(a) 38,373
5,337 Lantronix, Inc.(a) 10,514
18,197 Lattice Semiconductor Corp.(a) 150,125
9,295 Lexmark International, Inc., Class A(c) 447,647
2,155 Loral Space & Communications, Inc.(a) 156,647
8,678 LRAD Corp.(a) 17,877
60,629 Marvell Technology Group Ltd. 868,814
11,678 Mattson Technology, Inc.(a) 25,575
41,416 Maxim Integrated Products, Inc. 1,400,275
5,193 MaxLinear, Inc., Class A(a) 52,293
5,778 Mercury Systems, Inc.(a) 65,523
6,402 Micrel, Inc. 72,215
11,415 MICROS Systems, Inc.(a) 775,078
14,005 Microsemi Corp.(a) 374,774
7,933 MKS Instruments, Inc. 247,827
5,208 Monolithic Power Systems, Inc. 220,559
9,572 MoSys, Inc.(a) 30,056
4,363 Nanometrics, Inc.(a) 79,625
25,185 NCR Corp.(a) 883,742
4,610 NeoPhotonics Corp.(a) 19,178
5,974 NETGEAR, Inc.(a) 207,716
10,122 Netlist, Inc.(a) 13,057
6,199 Novatel Wireless, Inc.(a) 11,840
19,536 Oclaro, Inc.(a) 42,979
8,340 OmniVision Technologies, Inc.(a) 183,313
67,483 ON Semiconductor Corp.(a) 616,795
3,237 Oplink Communications, Inc.(a) 54,932
1,750 Optical Cable Corp. 7,000
2,720 Overland Storage, Inc.(a) 13,192
2,477 PAR Technology Corp.(a) 10,403
17,069 Parkervision, Inc.(a),(b) 25,262
2,523 PC Connection, Inc. 52,176
25,170 Pendrell Corp.(a) 44,299
3,697 Pericom Semiconductor Corp.(a) 33,421
9,259 Photronics, Inc.(a) 79,627
3,290 Pixelworks, Inc.(a) 24,905
6,513 Plantronics, Inc. 312,950
7,293 PLX Technology, Inc.(a) 47,186
30,983 PMC - Sierra, Inc.(a) 235,781
24,303 Polycom, Inc.(a) 304,517
================================================================================
SCHEDULE OF INVESTMENTS | 65
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
4,528 Power Integrations, Inc. $ 260,541
401 Preformed Line Products Co. 21,586
4,723 Procera Networks, Inc.(a) 47,655
1,702 Pulse Electronics Corp.(a) 4,255
13,407 QLogic Corp.(a) 135,277
46,623 Quantum Corp.(a) 56,880
9,826 QuickLogic Corp.(a),(b) 50,800
2,149 Qumu Corp.(a) 30,064
7,155 Radisys Corp.(a) 24,971
17,718 Rambus, Inc.(a) 253,367
42,668 RF Micro Devices, Inc.(a) 409,186
24,672 Riverbed Technology, Inc.(a) 508,983
5,897 Rudolph Technologies, Inc.(a) 58,262
4,292 ScanSource, Inc.(a) 163,439
5,030 Seachange International, Inc.(a) 40,290
10,344 Semtech Corp.(a) 270,496
10,755 ShoreTel, Inc.(a) 70,123
6,824 Sigma Designs, Inc.(a) 31,254
5,817 Silicon Graphics International Corp.(a) 55,960
12,222 Silicon Image, Inc.(a) 61,599
5,876 Silicon Laboratories, Inc.(a) 289,393
28,302 Skyworks Solutions, Inc. 1,329,062
2,214 Sonic Foundry, Inc.(a) 23,734
42,059 Sonus Networks, Inc.(a) 150,992
7,633 Spansion, Inc., Class A(a) 160,827
37,043 SunEdison, Inc.(a) 837,172
5,514 Super Micro Computer, Inc.(a) 139,339
2,902 Superconductor Technologies, Inc.(a) 8,387
5,533 Synaptics, Inc.(a) 501,511
3,972 SYNNEX Corp.(a) 289,360
1,844 Systemax, Inc.(a) 26,498
5,693 Tech Data Corp.(a) 355,926
29,249 Teradyne, Inc. 573,280
7,127 Tessera Technologies, Inc. 157,364
2,692 Transact Technologies, Inc. 27,889
25,791 TriQuint Semiconductor, Inc.(a) 407,756
5,086 Ultra Clean Holdings, Inc.(a) 46,028
4,365 Ultratech, Inc.(a) 96,816
8,836 USA Technologies, Inc.(a) 18,644
17,081 VeriFone Systems, Inc.(a) 627,727
6,520 ViaSat, Inc.(a) 377,899
12,786 Vitesse Semiconductor Corp.(a) 44,112
4,073 VOXX International Corp.(a) 38,327
3,886 West Corp. 104,145
11,425 Westell Technologies, Inc., Class A(a) 27,991
8,384 Xcerra Corp.(a) 76,294
5,380 Zhone Technologies, Inc.(a) 16,678
-------------
32,346,997
-------------
TOBACCO - 0.1%
13,572 Alliance One International, Inc.(a) 33,930
26,933 Rock Creek Pharmaceuticals, Inc.(a),(b) 15,891
4,788 Schweitzer-Mauduit International, Inc. 209,044
3,104 Universal Corp. 171,806
10,308 Vector Group Ltd. 213,169
-------------
643,840
-------------
TRAVEL & LEISURE - 5.4%
10,314 Alaska Air Group, Inc. 980,346
2,114 Allegiant Travel Co. 248,966
4,485 Ambassadors Group, Inc.(a) 20,676
108,199 American Airlines Group, Inc.(a) 4,648,229
16,275 Avis Budget Group, Inc.(a) 971,455
5,989 Bally Technologies, Inc.(a) 393,597
15,036 Belmond Ltd., Class A(a) 218,623
247 Biglari Holdings, Inc.(a) 104,474
4,134 BJ's Restaurants, Inc.(a) 144,318
11,697 Bloomin' Brands, Inc.(a) 262,364
4,018 Bob Evans Farms, Inc. 201,101
12,757 Boyd Gaming Corp.(a) 154,742
================================================================================
66 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
3,909 Bravo Brio Restaurant Group, Inc.(a) $ 61,019
10,322 Brinker International, Inc. 502,165
2,972 Buffalo Wild Wings, Inc.(a) 492,490
10,056 Burger King Worldwide, Inc. 273,724
3,932 Carmike Cinemas, Inc.(a) 138,131
7,875 Carrols Restaurant Group, Inc.(a) 56,070
8,083 Century Casinos, Inc.(a) 46,801
7,119 The Cheesecake Factory, Inc. 330,464
5,745 Choice Hotels International, Inc. 270,647
1,975 Churchill Downs, Inc. 177,967
15,692 Cinemark Holdings, Inc. 554,869
9,904 Cosi, Inc.(a) 11,291
3,579 Cracker Barrel Old Country Store, Inc. 356,361
15,736 Denny's Corp.(a) 102,599
2,642 DineEquity, Inc. 210,013
8,718 Domino's Pizza, Inc. 637,199
6,916 Dover Downs Gaming & Entertainment, Inc.(a) 9,475
2,127 Dover Motorsports, Inc. 6,147
16,515 Dunkin' Brands Group, Inc. 756,552
2,916 Einstein Noah Restaurant Group, Inc. 46,831
4,635 Empire Resorts, Inc.(a) 33,187
3,165 Entertainment Gaming Asia, Inc.(a) 2,437
1,689 Famous Dave's Of America, Inc.(a) 48,474
4,111 Fiesta Restaurant Group, Inc.(a) 190,792
9,026 Full House Resorts, Inc.(a) 12,727
1,026 Gaming Partners International Corp.(a) 8,372
8,535 Hawaiian Holdings, Inc.(a) 117,015
68,591 Hertz Global Holdings, Inc.(a) 1,922,606
18,961 Hilton Worldwide Holdings, Inc.(a) 441,791
10,049 HomeAway, Inc.(a) 349,906
8,874 Hyatt Hotels Corp., Class A(a) 541,137
36,301 International Game Technology 577,549
3,616 International Speedway Corp., Class A 120,340
6,112 Interval Leisure Group, Inc. 134,097
6,156 Isle of Capri Casinos, Inc.(a) 52,695
6,471 Jack in the Box, Inc. 387,225
3,820 Jamba, Inc.(a) 46,222
33,856 JetBlue Airways Corp.(a) 367,338
10,678 Krispy Kreme Doughnuts, Inc.(a) 170,634
57,968 Las Vegas Sands Corp. 4,418,321
5,819 Life Time Fitness, Inc.(a) 283,618
5,639 Luby's, Inc.(a) 33,157
9,390 The Madison Square Garden Co., Class A(a) 586,405
3,675 The Marcus Corp. 67,069
5,152 Marriott Vacations Worldwide Corp.(a) 302,062
50,649 MGM Resorts International(a) 1,337,134
3,046 Monarch Casino & Resort, Inc.(a) 46,116
9,009 Morgans Hotel Group Co.(a) 71,441
6,616 MTR Gaming Group, Inc.(a) 35,396
4,756 Multimedia Games Holding Co., Inc.(a) 140,968
13,746 Norwegian Cruise Line Holdings Ltd.(a) 435,748
9,354 Orbitz Worldwide, Inc.(a) 83,251
4,045 Panera Bread Co., Class A(a) 606,062
5,127 Papa John's International, Inc. 217,334
11,982 Penn National Gaming, Inc.(a) 145,461
================================================================================
SCHEDULE OF INVESTMENTS | 67
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
8,495 Pinnacle Entertainment, Inc.(a) $ 213,904
4,017 Popeyes Louisiana Kitchen, Inc.(a) 175,583
8,491 Premier Exhibitions, Inc.(a) 6,878
6,261 Reading International, Inc., Class A(a) 53,406
7,412 Red Lion Hotels Corp.(a) 40,618
2,150 Red Robin Gourmet Burgers, Inc.(a) 153,080
12,932 Regal Entertainment Group, Class A 272,865
7,388 Republic Airways Holdings, Inc.(a) 80,086
3,176 Rick's Cabaret International, Inc.(a) 32,427
24,169 Royal Caribbean Cruises Ltd. 1,343,796
10,132 Ruby Tuesday, Inc.(a) 76,902
6,152 Ruth's Hospitality Group, Inc. 75,977
7,741 Ryman Hospitality Properties 372,729
7,878 Scientific Games Corp., Class A(a) 87,603
9,734 SeaWorld Entertainment, Inc. 275,764
14,321 Six Flags Entertainment Corp. 609,359
6,187 SkyWest, Inc. 75,605
8,547 Sonic Corp.(a) 188,718
1,363 Speedway Motorsports, Inc. 24,875
11,136 Spirit Airlines, Inc.(a) 704,241
2,066 Steiner Leisure Ltd.(a) 89,437
8,954 Texas Roadhouse, Inc. 232,804
5,436 Town Sports International Holdings, Inc. 36,149
2,406 Travelzoo, Inc.(a) 46,556
56,046 United Continental Holdings, Inc.(a) 2,301,809
5,362 Vail Resorts, Inc. 413,839
42,087 The Wendy's Co. 359,002
4,661 World Wrestling Entertainment, Inc. 55,606
-------------
36,123,411
-------------
Total Common Stocks - 97.6% 652,075,602
-------------
--------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
--------------------------------------------------------------------------------------------------
OTHER INTERESTS(e)
FIXED LINE TELECOMMUNICATIONS - 0.0%
$29 Primus Telecommunications Group, Inc. -
-------------
PHARMACEUTICALS & BIOTECHNOLOGY - 0.0%
3 Merck KGaA -
-------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 0.0%
4 AmeriVest Properties, Inc.(a) -
-------------
TECHNOLOGY HARDWARE & EQUIPMENT - 0.0%
4 Gerber Scientific, Inc. -
-------------
TRAVEL & LEISURE - 0.0%
13 FRD Acquisition Co. -
-------------
Total Other Interests - 0.0% -
-------------
--------------------------------------------------------------------------------------------------
SHARES
HELD
--------------------------------------------------------------------------------------------------
RIGHTS - 0.0%
TECHNOLOGY HARDWARE & EQUIPMENT - 0.0%
8,850 Leap Wireless, CVR(a) 22,302
-------------
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) -
-------------
================================================================================
68 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
--------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS - 0.0%
2,485 Magnum Hunter Resources Corp., (Issued 10/15/13, 1 Share for 10
Warrants, Expires 4/15/16, Strike Price $8.50) $ -
-------------
Total Warrants - 0.0% -
-------------
Total Long-Term Investments (Cost - $393,731,236) - 97.6% 652,097,904
-------------
SHORT-TERM SECURITIES
MONEY-MARKET FUNDS
13,551,357 BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.05%(d),(g) 13,551,357
-------------
--------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
--------------------------------------------------------------------------------------------------
$6,653 BlackRock Liquidity Series, LLC,
Money Market Series, 0.18%(d),(g),(h) 6,653,127
-------------
Total Short-Term Securities (Cost - $20,204,484) - 3.0% 20,204,484
-------------
TOTAL INVESTMENTS (Cost - $413,935,720*) - 100.6% 672,302,388
-------------
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (4,135,186)
-------------
NET ASSETS - 100.0% $668,167,202
=============
NOTES TO SCHEDULE OF INVESTMENTS
* As of June 30, 2014, gross unrealized appreciation and depreciation based
on cost for federal income tax purposes were as follows:
Tax cost $416,880,796
============
Gross unrealized appreciation $276,647,811
Gross unrealized depreciation (21,226,219)
------------
Net unrealized appreciation $255,421,592
============
(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 outstanding
financial futures contracts.
(d) Investments in issuers considered to be an affiliate of the Master Series
during the period ended June 30, 2014, for purposes of Section 2(a)(3) of
the Investment Company Act of 1940, as amended, were as follows:
SHARES/
BENEFICIAL SHARES/
INTEREST SHARES/ BENEFICIAL
HELD AT BENEFICIAL SHARES/ INTEREST VALUE AT
DECEMBER 31, INTEREST BENEFICIAL HELD AT JUNE 30, JUNE 30,
AFFILIATE 2013 PURCHASED INTEREST SOLD 2014 2014 INCOME
--------------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Funds,
TempCash Institutional Class 24,257,699 - (10,706,342)(1) 13,551,357 $13,551,357 $ 5,000
BlackRock Liquidity Series, LLC,
Money Market Series $20,519,002 - $(13,865,875)(1) $ 6,653,127 $ 6,653,127 $267,636
PennyMac Mortgage
InvestmentTrust 5,478 4,972 - 10,450 $ 229,273 $ 9,398
--------------------------------------------------------------------------------------------------------------------------------
(1) Represents net shares/beneficial interest sold.
================================================================================
SCHEDULE OF INVESTMENTS | 69
================================================================================
(e) Other interests represent beneficial interests in liquidation trusts and
other reorganization or private entities.
(f) Warrants entitle the Master Series to purchase a predetermined number of
shares of common stock and are non-income producing. The purchase price and
number of shares are subject to adjustment under certain conditions until
the expiration date, if any.
(g) Represents the current yield as of report date.
(h) Security was purchased with the cash collateral from loaned securities.
The Master 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 the investment advisor. These definitions may not apply for purposes of
this report, which may combine such industry sub-classifications for
reporting ease.
o Financial futures contracts outstanding as of June 30, 2014 were as follows:
CONTRACTS NOTIONAL UNREALIZED
PURCHASED ISSUE EXCHANGE EXPIRATION VALUE APPRECIATION
--------------------------------------------------------------------------------
67 Russell ICE
2000 Futures
Mini US September
Index Indices 2014 $7,975,010 $ 176,499
55 S&P
MidCap
400
E-Mini Chicago September
Index Mercantile 2014 $7,861,150 127,568
---------
TOTAL $ 304,067
=========
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 Master 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 Master 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 Master
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
Master 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 Master Series' investments and derivative
financial instruments categorized in the disclosure hierarchy as of June 30,
2014:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------------------------------------------------------------------------------------------------------
ASSETS:
Investments:
Common Stocks:
Aerospace & Defense $ 10,693,138 $ - $ - $ 10,693,138
Alternative Energy 1,266,477 - - 1,266,477
Automobiles & Parts 14,430,269 - - 14,430,269
Banks 33,618,189 - - 33,618,189
Beverages 460,786 - - 460,786
Chemicals 17,423,794 - - 17,423,794
Construction & Materials 16,424,615 - - 16,424,615
Electricity 9,830,446 - - 9,830,446
Electronic & Electrical Equipment 18,983,948 - - 18,983,948
Financial Services 20,267,189 - - 20,267,189
Fixed Line Telecommunications 3,005,998 - - 3,005,998
Food & Drug Retailers 5,048,490 - - 5,048,490
Food Producers 11,721,039 - - 11,721,039
Forestry & Paper 1,808,585 - - 1,808,585
Gas, Water & Multi-Utilities 9,795,100 - - 9,795,100
General Industrials 8,745,193 - - 8,745,193
General Retailers 30,078,512 - - 30,078,512
Health Care Equipment & Services 33,636,279 - - 33,636,279
Household Goods & Home Construction 11,373,670 - - 11,373,670
Industrial Engineering 21,550,014 - - 21,550,014
Industrial Metals & Mining 4,369,389 - - 4,369,389
Industrial Transportation 9,907,903 - - 9,907,903
Leisure Goods 5,953,166 - - 5,953,166
Life Insurance 3,481,266 - - 3,481,266
Media 27,239,841 - - 27,239,841
Mining 3,395,148 - - 3,395,148
Mobile Telecommunications 5,297,455 - - 5,297,455
Nonlife Insurance 22,000,680 - - 22,000,680
Oil & Gas Producers 25,922,077 7,417 - 25,929,494
Oil Equipment, Services &Distribution 18,492,616 - - 18,492,616
Personal Goods 8,020,097 - - 8,020,097
Pharmaceuticals & Biotechnology 36,575,744 - - 36,575,744
Real Estate Investment & Services 6,955,649 - - 6,955,649
Real Estate Investment Trusts (REITs) 56,488,729 - - 56,488,729
Software & Computer Services 37,731,830 - - 37,731,830
Support Services 30,960,616 - - 30,960,616
Technology Hardware & Equipment 32,346,997 - - 32,346,997
Tobacco 643,840 - - 643,840
Travel & Leisure 36,123,411 - - 36,123,411
Other Interests:
Fixed Line Telecommunications - - - -
Rights:
Technology Hardware & Equipment - - 22,302 22,302
Warrants:
Automobiles & Parts - - - -
Short-Term Securities 13,551,357 6,653,127 - 20,204,484
--------------------------------------------------------------------------------------------------------------
TOTAL $665,619,542 $6,660,544 $22,302 $672,302,388
==============================================================================================================
================================================================================
SCHEDULE OF INVESTMENTS | 71
================================================================================
DERIVATIVE FINANCIAL INSTRUMENTS(1)
--------------------------------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------------------------------------------------------------------------
ASSETS:
Equity contracts $304,067 - - $304,067
================================================================================
(1) Derivative financial instruments are financial futures contracts, which
are valued at the unrealized appreciation/depreciation on the instrument.
The Series may hold assets and/or liabilities in which the fair value
approximates the carrying amount for financial statement purposes. As of June
30, 2014, collateral on securities loaned at value of $6,653,127 is categorized
as Level 2 within the disclosure hierarchy.
There were no transfers between levels during the six months ended June 30,
2014.
================================================================================
72 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2014 (unaudited)
--------------------------------------------------------------------------------
ASSETS
Investments at value - unaffiliated (including securities
loaned of $6,402,480) (cost - $393,506,553) $651,868,631
Investments at value - affiliated (cost - $20,429,167) 20,433,757
Investments sold receivable 1,695,324
Dividends receivable 658,180
Contributions receivable from investors 255,756
Variation margin receivable on financial futures contracts 84,225
Securities lending income receivable - affiliated 48,941
Prepaid expenses 1,638
Other assets 1,253
------------
Total assets 675,047,705
------------
LIABILITIES
Collateral on securities loaned at value 6,653,127
Investments purchased payable 127,924
Investment advisory fees payable 3,855
Directors' fees payable 3,431
Other affiliates payable 1,173
Other accrued expenses payable 90,993
------------
Total liabilities 6,880,503
------------
NET ASSETS $668,167,202
============
NET ASSETS CONSIST OF
Investors' capital $409,496,467
Net unrealized appreciation/depreciation 258,670,735
------------
Net assets $668,167,202
============
See notes to financial statements.
================================================================================
FINANCIAL STATEMENTS | 73
================================================================================
STATEMENT OF OPERATIONS
Six-months period ended June 30, 2014 (unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends - unaffiliated $ 3,925,443
Securities lending - affiliated - net 267,636
Dividends - affiliated 14,398
Foreign taxes withheld (4,452)
------------
Total income 4,203,025
------------
EXPENSES
Investment advisory 31,527
Accounting services 69,523
Professional 42,282
Custodian 42,070
Directors 10,050
Printing 9,769
Miscellaneous 26,024
------------
Total expenses 231,245
Less fees waived by Manager (9,871)
------------
Total expenses after fees waived 221,374
------------
NET INVESTMENT INCOME 3,981,651
------------
REALIZED AND UNREALIZED GAIN
Net realized gain from:
Investments 11,199,521
Financial futures contracts 1,884,647
------------
13,084,168
------------
Net change in unrealized appreciation/depreciation on:
Investments 22,028,664
Financial futures contracts (583,140)
------------
21,445,524
------------
Total realized and unrealized gain 34,529,692
------------
Net increase in net assets resulting from operations $ 38,511,343
============
See notes to financial statements.
================================================================================
74 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
Six-month period ended June 30, 2014 (unaudited), and year ended
December 31, 2013
-----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS: 6/30/2014 12/31/2013
-----------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 3,981,651 $ 6,680,077
Net realized gain 13,084,168 25,765,323
Net change in unrealized appreciation/depreciation 21,445,524 127,045,647
---------------------------------
Net increase in net assets resulting from operations 38,511,343 159,491,047
---------------------------------
CAPITAL TRANSACTIONS
Proceeds from contributions 70,286,631 142,916,608
Value of withdrawals (56,498,056) (84,844,928)
---------------------------------
Net increase in net assets derived from
capital transactions 13,788,575 58,071,680
---------------------------------
NET ASSETS
Total increase in net assets 52,299,918 217,562,727
Beginning of period 615,867,284 398,304,557
---------------------------------
End of period $668,167,202 $615,867,284
=================================
See notes to financial statements.
================================================================================
FINANCIAL STATEMENTS | 75
================================================================================
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2014 ----------------------------------------------
(UNAUDITED) 2013 2012 2011 2010 2009
---------------------------------------------------------------
TOTAL INVESTMENT RETURN:
Total investment return 6.19%(1) 37.98% 18.04% (3.55)% 28.65% 37.08%
---------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Total expenses 0.07%(2),(3) 0.07% 0.10% 0.08% 0.08% 0.11%
---------------------------------------------------------------
Total expenses after fees waived
and/or reimbursed 0.07%(2),(3) 0.06% 0.09% 0.08% 0.08% 0.10%
---------------------------------------------------------------
Net investment income 1.26%(2),(3) 1.32% 1.83% 1.29% 1.30% 1.26%
---------------------------------------------------------------
SUPPLEMENTAL DATA:
Net assets, end of period (000) $668,167 $615,867 $398,305 $439,752 $437,426 $286,216
===============================================================
Portfolio turnover 3% 18% 12% 12% 15% 20%
---------------------------------------------------------------
(1) Aggregate total investment return.
(2) Annualized.
(3) Ratios do not include expenses incurred indirectly as a result of
investments in underlying funds of approximately 0.01%.
See notes to financial statements.
================================================================================
76 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
NOTES TO FINANCIAL STATEMENTS
June 30, 2014 (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, subject to certain
limitations.
The Series, together with certain other registered investment companies advised
by BlackRock Advisors, LLC (the "Manager") or its affiliates, is included in a
complex of open-end funds referred to as the Equity-Liquidity Complex.
(2) SIGNIFICANT ACCOUNTING POLICIES
The Series' financial statements are prepared in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP"),
which may require management to make estimates and assumptions that affect the
reported amounts of assets and liabilities in the financial statements and the
reported amounts of increases and decreases in net assets from operations during
the reporting period. Actual results could differ from those estimates. The
Series is considered an investment company under U.S. GAAP and follows the
accounting and reporting guidance applicable to investment companies. The
following is a summary of significant accounting policies followed by the
Series:
VALUATION - U.S. GAAP defines fair value as the price the Series would receive
to sell an asset or pay to transfer a liability in an orderly transaction
between
================================================================================
NOTES TO FINANCIAL STATEMENTS | 77
================================================================================
market participants at the measurement date. The Series determines the fair
values 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.
Equity investments traded on a recognized securities exchange or the NASDAQ
Stock Market ("NASDAQ") are valued at the last reported sale price that day or
the NASDAQ official closing price, if applicable. For equity investments traded
on more than one exchange, the last reported sale price on the exchange where
the stock is primarily traded is used. Equity investments traded on a recognized
exchange for which there were no sales on that day are valued at the last
available bid (long positions) or ask (short positions) price. Financial futures
contracts traded on exchanges are valued at their last sale price.
The Series values its investments in BlackRock Liquidity Series, LLC, Money
Market Series (the "Money Market Series") at fair value, which is ordinarily
based upon its pro rata ownership in the underlying fund's net assets. The Money
Market Series seeks current income consistent with maintaining liquidity and
preserving capital. Although the Money Market Series is not registered under the
1940 Act, its investments will follow the parameters of investments by a money
market fund that is subject to Rule 2a-7 under the 1940 Act. The Series may
withdraw up to 25% of its investment daily, although the manager of the Money
Market Series, in its sole discretion, may permit an investor to withdraw more
than 25% on any one day.
In the event that the application of these methods of valuation results in a
price for an investment that is deemed not to be representative of the market
value of such investment, or if a price is not available, the investment will be
valued by the Global Valuation Committee, or its delegate, in accordance with a
policy approved by the Board as reflecting fair value ("Fair Value Assets").
When determining the price for Fair Value Assets, the Global Valuation
Committee, or its delegate, seeks to determine the price that the Series might
reasonably expect to receive from the current sale of that asset in an
================================================================================
78 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
arm's-length transaction. Fair value determinations shall be based upon all
available factors that the Global Valuation Committee, or its delegate, deems
relevant consistent with the principles of fair value measurement, which include
the market approach, income approach and/or in the case of recent investments,
the cost approach, as appropriate. The market approach generally consists of
using comparable market transactions. The income approach generally is used to
discount future cash flows to present value and is adjusted for liquidity as
appropriate. These factors include but are not limited to: (i) attributes
specific to the investment or asset; (ii) the principal market for the
investment or asset; (iii) the customary participants in the principal market
for the investment or asset; (iv) data assumptions by market participants for
the investment or asset, if reasonably available; (v) quoted prices for similar
investments or assets in active markets; and (vi) other factors, such as future
cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks, recovery rates, liquidation amounts and/or default
rates. Due to the inherent uncertainty of valuations of such investments, the
fair values may differ from the values that would have been used had an active
market existed. The Global Valuation Committee, or its delegate, employs various
methods for calibrating valuation approaches for investments where an active
market does not exist, including regular due diligence of the Series' pricing
vendors, regular reviews of key inputs and assumptions, transactional
back-testing or disposition analysis to compare unrealized gains and losses to
realized gains and losses, reviews of missing or stale prices and large
movements in market values and reviews of any market related activity. The
pricing of all Fair Value Assets is subsequently reported to the Board or a
committee thereof on a quarterly basis.
SEGREGATION AND COLLATERALIZATION - In cases where the Series enters into
certain investments (e.g., financial futures contracts) that would be "senior
securities" for 1940 Act purposes, the Series may segregate or designate on its
books and records cash or liquid securities having a market value at least equal
to the amount of the Series' future obligations under such investments or
borrowings. Doing so allows the investment to be excluded from treatment as a
"senior security." Furthermore, if required by an exchange or counterparty
agreement, the Series may be required to deliver/deposit cash and/or securities
================================================================================
NOTES TO FINANCIAL STATEMENTS | 79
================================================================================
to/with an exchange, or broker-dealer or custodian as collateral for certain
investments or obligations.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME - For financial reporting
purposes, investment transactions are recorded on the dates the transactions are
entered into (the trade dates). Realized gains and losses on investment
transactions are determined on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Upon notification from issuers, some of the
dividend income received from a real estate investment trust may be redesignated
as a reduction of cost of the related investment and/or realized gain.
RECENT ACCOUNTING STANDARD - In June 2014, the Financial Accounting Standards
Board issued guidance to improve the financial reporting of reverse repurchase
agreements and other similar transactions. The guidance includes expanded
disclosure requirements for entities that enter into reverse repurchase
agreements and similar transactions accounted for as secured borrowings. The
guidance is effective for financial statements with fiscal years beginning on or
after December 15, 2014 and interim periods within those fiscal years.
Management is evaluating the impact, if any, of this guidance on the Series'
financial statement disclosures.
OTHER - Expenses directly related to 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.
(3) SECURITIES AND OTHER INVESTMENTS
SECURITIES LENDING - The Series may lend its securities to approved borrowers,
such as brokers, dealers and other financial institutions. The borrower pledges
collateral consisting of cash, an irrevocable letter of credit issued by a bank,
or securities issued or guaranteed by the U.S. government. The initial
collateral
================================================================================
80 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
received by the Series is required to have a value of at least 102% of the
current value of the loaned securities for securities traded on U.S. exchanges
and a value of at least 105% for all other securities. The collateral is
maintained thereafter, at a value equal to at least 100% of the current market
value of the securities on loan. The market value of the loaned securities is
determined at the close of each business day of the Series and any additional
required collateral is delivered to the Series on the next business day. During
the term of the loan, the Series earns dividend or interest income on the
securities loaned but does not receive interest income on any securities
received as collateral. Loans of securities are terminable at any time and the
borrower, after notice, is required to return 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. As of June 30, 2014, any securities on loan were collateralized
by cash. The cash collateral invested by the securities lending agent, BlackRock
Investment Management, LLC ("BIM"), if any, is disclosed in the Schedule of
Investments.
Securities lending transactions are entered into by the Series under Master
Securities Lending Agreements (each, an "MSLA"), which provide the right, in the
event of default (including bankruptcy or insolvency), for the non-defaulting
party to liquidate the collateral and calculate a net exposure to the defaulting
party or request additional collateral. In the event that a borrower defaults,
the Series, as lender, would offset the market value of the collateral received
against the market value of the securities loaned. When the value of the
collateral is greater than that of the market value of the securities loaned,
the lender is left with a net amount payable to the defaulting party. However,
bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, the borrower
can resell or re-pledge the loaned securities, and the Series can reinvest cash
collateral, or, upon an event of default, resell or re-pledge the collateral.
================================================================================
NOTES TO FINANCIAL STATEMENTS | 81
================================================================================
The following table is a summary of the Series' securities lending agreements by
counterparty which are subject to offset under an MSLA as of June 30, 2014:
SECURITIES
LOANED AT CASH COLLATERAL NET
COUNTERPARTY VALUE RECEIVED(1) AMOUNT
----------------------------------------------------------------------------------------------
Barclays Capital, Inc. $ 167,501 $ (167,501) -
BNP Paribas S.A. 78,492 (78,492) -
Citigroup Global Markets, Inc. 132,702 (132,702) -
Credit Suisse Securities (USA) LLC 432,264 (432,264) -
Deutsche Bank Securities, Inc. 104,115 (104,115) -
Goldman Sachs & Co 2,570,721 (2,570,721) -
JP Morgan Securities LLC 815,481 (815,481) -
Merrill Lynch, Pierce,
Fenner & Smith Inc. 179,018 (179,018) -
Morgan Stanley 1,617,760 (1,617,760) -
SG Americas Securities LLC 55,754 (55,754) -
UBS Securities LLC 248,672 (248,672) -
---------------------------------------------------
TOTAL $6,402,480 $(6,402,480) -
===================================================
(1) Collateral with a value of $6,653,127 has been received in connection with
securities lending agreements. Excess of collateral received from the
individual counterparty is not shown for financial reporting purposes.
The risks of securities lending include the risk that the borrower may not
provide additional collateral when required or may not return the securities
when due. To mitigate these risks, the Series benefits from a borrower default
indemnity provided by BIM. BIM's indemnity allows for full replacement of the
securities lent if the collateral received does not cover the value on the
securities loaned in the event of a borrower default. The Series could suffer a
loss if the value of an investment purchased with cash collateral falls below
the market value of loaned securities or if the value of an investment purchased
with cash collateral falls below the value of the original cash collateral
received.
(4) DERIVATIVE FINANCIAL INSTRUMENTS
The Series engages in various portfolio investment strategies using derivative
contracts both to increase the returns of the Series and/or to economically
hedge their exposure to certain risks such as equity risk. These contracts may
be transacted on an exchange or over-the-counter.
================================================================================
82 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
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, if any, 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. Variation margin is recorded
by the Series as unrealized appreciation or depreciation and, if applicable, as
a receivable or payable for variation margin in the Statement of Assets and
Liabilities.
When the contract is closed, the Series records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The use of financial futures contracts
involves the risk of an imperfect correlation in the movements in the price of
financial futures contracts, interest or foreign currency exchange rates and the
underlying assets.
================================================================================
NOTES TO FINANCIAL STATEMENTS | 83
================================================================================
The following is a summary of the Series' derivative financial instruments
categorized by risk exposure:
FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS AS OF JUNE 30, 2014
DERIVATIVE ASSETS
------------------------------------------------------
STATEMENT OF ASSETS
AND LIABILITIES LOCATION VALUE
------------------------------------------------------
Equity contracts Net unrealized appreciation(1) $304,067
--------------------------------------------------------------------------------
(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, 2014
Net Realized Gain From
Equity contracts Financial futures contracts $1,884,647
----------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/Depreciation on
Equity contracts Financial futures contracts $ (583,140)
----------------------------------------------------------------------------------
For the six months ended June 30, 2014, the average quarterly balances of
outstanding derivative financial instruments were as follows:
FINANCIAL FUTURES CONTRACTS:
Average number of contracts purchased 148
--------------------------------------------------------------------------------
Average notional value of contracts purchased $18,888,370
--------------------------------------------------------------------------------
COUNTERPARTY CREDIT RISK - A derivative contract may suffer a mark-to-market
loss if the value of the contract decreases due to an unfavorable change in the
market rates or values of the underlying instrument. Losses can also occur if
the counterparty does not perform under the contract.
With exchange traded futures there is less counterparty credit risk to the
Series since the exchange or clearinghouse, as counterparty to such instruments,
guarantees against a possible default. The clearinghouse stands between the
buyer and the seller of the contract; therefore, credit risk is limited to
failure of the clearinghouse. While offset rights may exist under applicable
law, the Series does not have a contractual right of offset against a clearing
broker or
================================================================================
84 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
clearinghouse in the event of a default (including the bankruptcy or insolvency)
of the clearing broker or clearinghouse. Additionally, credit risk exists in
exchange-traded futures with respect to initial and variation margin that is
held in a clearing broker's customer accounts. While clearing brokers are
required to segregate customer margin from their own assets, in the event that a
clearing broker becomes insolvent or goes into bankruptcy and at that time there
is a shortfall in the aggregate amount of margin held by the clearing broker for
all its clients, typically the shortfall would be allocated on a pro rata basis
across all the clearing broker's customers, potentially resulting in losses to
the Series.
(5) INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
The PNC Financial Services Group, Inc. is the largest stockholder and an
affiliate, for 1940 Act purposes, of BlackRock, Inc. ("BlackRock").
The Master LLC, on behalf of the Series, entered into an Investment Advisory
Agreement with BlackRock Advisors (the "Manager"), the Series' investment
advisor, an indirect, wholly owned subsidiary of BlackRock, to provide
investment advisory 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 in other affiliated
investment companies, if any. This amount is included in fees waived by Manager
in the Statement of Operations. For the six months ended the fees waived were
$9,871.
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
================================================================================
NOTES TO FINANCIAL STATEMENTS | 85
================================================================================
the Manager. Effective July 1, 2014, the sub-advisory agreement between the
Manager and BIM, with respect to the Series, expired.
For the six months ended June 30, 2014, the Series reimbursed the Manager $2,988
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 in
order to limit expenses, excluding interest expense, dividend expense, acquired
fund fees and expenses and certain other fund expenses, which constitute
extraordinary expenses not incurred in the ordinary course of the Series'
business. The expense limitation as a percentage of average daily net assets is
0.12%. The Manager has agreed not to reduce or discontinue this contractual
waiver or reimbursement prior to May 1, 2015 unless approved by the Board,
including a majority of the Independent Directors. There were no fees waived
and/or reimbursed by the Manager for the six months ended June 30, 2014.
The U.S. Securities and Exchange Commission has issued an exemptive order which
permits BIM, an affiliate of the Manager, to serve as securities lending agent
for the Series, subject to applicable conditions. As securities lending agent,
BIM bears all operational costs directly related to securities lending. The
Series is responsible for expenses in connection with the investment of cash
collateral received for securities on loan (the "collateral investment
expenses"). The cash collateral is invested in a private investment company
managed by the Manager or its affiliates. However, BIM has agreed to cap the
collateral investment expenses of the private investment company to an annual
rate of 0.04%. The investment advisor to the private investment company will not
charge any advisory fees with respect to shares purchased by the Series.
Securities lending income is equal to the total of income earned from the
reinvestment of cash collateral, net of fees and other payments to and from
borrowers of securities, and less the collateral investment expenses. The Series
retains a portion of securities lending income and remits a remaining portion to
BIM as compensation for its services as securities lending agent. Pursuant to
the securities lending agreement effective February 1, 2014, BIM may lend
securities only when the difference between the borrower rebate
================================================================================
86 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
rate and the risk free rate exceeds a certain level (such securities, the
"specials only securities").
Pursuant to such agreement, the Series retains 80% of securities lending income.
In addition, commencing the business day following the date that the aggregate
securities lending income earned across the Equity-Liquidity Complex in a
calendar year exceeds the aggregate securities lending income earned across the
Equity-Liquidity Complex through the lending of specials only securities in the
calendar year 2013, the Series, pursuant to the securities lending agreement,
will retain for the remainder of the calendar year securities lending income in
an amount equal to 85% of securities lending income. Prior to February 1, 2014,
the Series retained 65% of securities lending income and paid a fee to BIM equal
to 35% of such income. The share of securities lending income earned by the
Series is shown as securities lending - affiliated - net in the Statement of
Operations. For the six months ended June 30, 2014, the Series paid BIM $78,752
for securities lending agent services.
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, 2014, were $50,210,032 and $19,823,872, respectively.
(7) INCOME TAX INFORMATION
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.
The Series files U.S. federal and various state and local tax returns. No income
tax returns are currently under examination. The statute of limitations on the
Series' U.S. federal tax returns remains open for each of the four years ended
December 31, 2013. The statutes of limitations on the Series' state and local
tax returns may remain open for an additional year depending upon the
jurisdiction.
================================================================================
NOTES TO FINANCIAL STATEMENTS | 87
================================================================================
Management has analyzed tax laws and regulations and their application to the
Series' facts and circumstances and does not believe there are any uncertain tax
positions that require recognition of a tax liability.
(8) BANK BORROWINGS
The Series, along with certain other funds managed by the Manager and its
affiliates ("Participating Funds"), is a party to a 364-day, $1.1 billion credit
agreement with a group of lenders, under which the Series may borrow to fund
shareholder redemptions. The agreement expires in April 2015. Excluding
commitments designated for a certain individual fund, other Participating Funds,
including the Series, can borrow up to an aggregate commitment amount of $650
million, subject to asset coverage and other limitations as specified in the
agreement. The credit agreement has the following terms: a fee of 0.06% per
annum on unused commitment amounts and interest at a rate equal to the higher of
(a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus
0.80% per annum on amounts borrowed. Participating Funds paid administration
and arrangement fees which, along with commitment fees, were allocated among
such funds based upon portions of the aggregate commitment available to them and
relative net assets of Participating Funds. The Series did not borrow under the
credit agreement during the six months ended June 30, 2014.
(9) CONCENTRATION, MARKET AND CREDIT RISK
In the normal course of business, the Series 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
================================================================================
88 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
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, 2014, 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.
(10) SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Series
through the date the financial statements were issued and has determined that
there were no subsequent events requiring adjustment or additional disclosure in
the financial statements.
================================================================================
NOTES TO FINANCIAL STATEMENTS | 89
================================================================================
ADVISORY AGREEMENTS
June 30, 2013 (unaudited)
--------------------------------------------------------------------------------
The Board of Directors (the "Board," and the members of which are referred to as
"Board Members") of Quantitative Master Series LLC (the "Master LLC") met in
person on April 24, 2014 (the "April Meeting") and May 28-30, 2014 (the "May
Meeting") to consider the approval of the Master LLC's investment advisory
agreement (the "Advisory Agreement") with BlackRock Advisors, LLC (the "Manager"
or "BlackRock"), the Master LLC's investment advisor, on behalf of Master
Extended Market Index Series (the "Portfolio"), a series of the Master LLC. At
the May Meeting, it was noted that the sub-advisory agreement (the "Sub-Advisory
Agreement") between the Manager and BlackRock Investment Management, LLC with
respect to the Portfolio would expire effective July 1, 2014. It was also noted
that the non-renewal of the Sub-Advisory Agreement would not result in any
change in the nature or quality of services provided to the Portfolio, or in the
portfolio management team that serves the Portfolio.
ACTIVITIES AND COMPOSITION OF THE BOARD
The Board consists of fifteen individuals, thirteen of whom are not "interested
persons" of the Master LLC as defined in the Investment Company Act of 1940, as
amended (the "1940 Act") (the "Independent Board Members"). The Board Members
are responsible for the oversight of the operations of the Master LLC and
perform the various duties imposed on the directors of investment companies by
the 1940 Act. The Independent Board Members have retained independent legal
counsel to assist them in connection with their duties. The Co-Chairs of the
Board are each Independent Board Members. The Board has established five
standing committees: an Audit Committee, a Governance and Nominating Committee,
a Compliance Committee, a Performance Oversight and Contract Committee and an
Executive Committee, each of which is chaired by an Independent Board Member and
composed of Independent Board Members (except for the Executive Committee, which
also has one interested Board Member).
================================================================================
90 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
THE AGREEMENT
Pursuant to the 1940 Act, the Board is required to consider the continuation of
the Advisory Agreement on an annual basis. The Board has four quarterly meetings
per year, each extending over two or three days, and a fifth one-day meeting to
consider specific information surrounding the consideration of renewing the
Advisory Agreement. In connection with this process, the Board assessed, among
other things, the nature, scope and quality of the services provided to the
Portfolio by BlackRock, its personnel and its affiliates, including (as
applicable) investment management; administrative and shareholder services;
oversight of fund service providers; marketing services; risk oversight;
compliance and assistance in meeting applicable legal and regulatory
requirements.
The Board, acting directly and through its committees, considers at each of its
meetings, and from time to time as appropriate, factors that are relevant to its
annual consideration of the renewal of the Advisory Agreement, including the
services and support provided by BlackRock to the 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, and meeting new regulatory requirements; (e) the
Master LLC's compliance with its Code of Ethics and other compliance policies
and procedures; (f) the nature, cost and character of non-investment management
services provided by BlackRock and its affiliates; (g) BlackRock's and other
service providers' internal controls and risk and compliance oversight
mechanisms; (h) BlackRock's implementation of the proxy voting policies approved
by the Board; (i) the use of brokerage commissions and execution
================================================================================
ADVISORY AGREEMENTS | 91
================================================================================
quality of portfolio transactions; (j) BlackRock's implementation of the Master
LLC's valuation and liquidity procedures; (k) an analysis of management fees for
products with similar investment objectives across the open-end fund,
exchange-traded fund ("ETF"), closed-end fund and institutional account product
channels, as applicable, and the similarities and differences between the
services provided to these products as compared to the Portfolio; (l)
BlackRock's compensation methodology for its investment professionals and the
incentives it creates; and (m) periodic updates on BlackRock's business.
The Board has engaged in an ongoing strategic review with BlackRock of
BlackRock's product pipeline, opportunities to consolidate funds and BlackRock's
commitment to investment performance. BlackRock also furnished information to
the Board in response to specific questions. These questions covered issues such
as: BlackRock's profitability, implementation of alternative investment
strategies, investment performance, portfolio manager compensation and
accountability, portfolio managers' investments in the funds they manage,
supplemental service agreements with third party distribution partners,
subadvisory and advisory relationships with other clients (including mutual
funds sponsored by third parties) and management fee levels and breakpoints. The
Board further considered the importance of: (i) BlackRock's management
organization; (ii) marketing support for the funds; (iii) services provided to
the funds by BlackRock affiliates; and (iv) BlackRock's oversight of
relationships with third party service providers.
BOARD CONSIDERATIONS IN APPROVING THE AGREEMENT
THE APPROVAL PROCESS - Prior to the April Meeting, the Board requested and
received materials specifically relating to the Advisory Agreement. The Board is
continuously engaged in a process with its independent legal counsel and
BlackRock to review the nature and scope of the information provided to better
assist its deliberations. The materials provided in connection with the April
Meeting included (a) information independently compiled and prepared by Lipper,
Inc. ("Lipper") on 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
================================================================================
92 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
funds as determined by Lipper(1), as well as the gross investment performance of
the Portfolio as compared with its benchmark; (b) information on the profits
realized by BlackRock and its affiliates pursuant to the Advisory Agreement and
a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general
analysis provided by BlackRock concerning investment management fees charged to
other clients, such as institutional clients, ETFs and closed-end funds, under
similar investment mandates, as well as the performance of such other clients,
as applicable; (d) review of non-management fees; (e) the existence, impact and
sharing of potential economies of scale; (f) a summary of aggregate amounts paid
by the 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 Advisory Agreement. As a result of the discussions that occurred during
the April Meeting, and as a culmination of the Board's year-long deliberative
process, the Board presented BlackRock with questions and requests for
additional information. BlackRock responded to these requests with additional
written information in advance of the May Meeting.
At the May Meeting, the Board, including all the Independent Board Members,
approved the continuation of the Advisory Agreement between the Manager and the
Master LLC with respect to the Portfolio for a one-year term ending June 30,
2015. In approving the continuation of the Advisory Agreement, the Board
considered: (a) the nature, extent and quality of the services provided by
BlackRock; (b) the investment performance of the 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
Portfolio'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
(1) Funds are ranked by Lipper in quartiles, ranging from first to fourth, where
first is the most desirable quartile position and fourth is the least
desirable.
================================================================================
ADVISORY AGREEMENTS | 93
================================================================================
to BlackRock and its affiliates as a result of its relationship with the
Portfolio; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval
process, such as payments made to BlackRock or its affiliates relating to the
placement of Master Portfolio interests and securities lending, services related
to the valuation and pricing of portfolio holdings of the 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, as applicable. The
Board met with BlackRock's senior management personnel responsible for
investment activities, including the senior investment officers. The Board also
reviewed the materials provided by the Portfolio's portfolio management team
discussing the Portfolio's 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.
================================================================================
94 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
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) oversight of daily accounting
and pricing; (iii) overseeing and coordinating the activities of other service
providers; (iv) organizing Board meetings and preparing the materials for such
Board meetings; (v) providing legal and compliance support; (vi) furnishing
analytical and other support to assist the Board in its consideration of
strategic issues such as the merger or consolidation of certain open-end funds;
and (vii) performing other administrative functions necessary for the operation
of the 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 with a description of the methodology
================================================================================
ADVISORY AGREEMENTS | 95
================================================================================
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 for each of the one-, three- and five-year periods
reported, the Portfolio's gross performance (before expenses and fees), as
agreed upon by the Board, was within tolerance of its benchmark. BlackRock
believes that gross performance relative to the benchmark is an appropriate
performance metric for the Portfolio.
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 expense ratio, as well as its actual management fee rate, to
those of other funds in its Lipper category. The total expense ratio represents
a fund's total net operating expenses, including any 12b-1 or non 12b-1 service
fees. The total expense ratio gives effect to any expense reimbursements or fee
waivers that benefit a fund, and the actual management fee rate gives effect to
any management fee reimbursements or waivers that benefit a fund. The Board
considered the services provided and the fees charged by BlackRock and its
affiliates to other types of clients with similar investment mandates, as
applicable, including institutional accounts.
The Board received and reviewed statements relating to BlackRock's financial
condition. The Board was also provided with a profitability analysis that
detailed the revenues earned and the expenses incurred by BlackRock for services
provided to the 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, 2013 compared to available aggregate profitability data
provided for the two prior years. The Board reviewed BlackRock's profitability
with respect to certain other fund
================================================================================
96 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
complexes managed by the Manager and/or its affiliates. The Board reviewed
BlackRock's assumptions and methodology of allocating expenses in the
profitability analysis, noting the inherent limitations in allocating costs
among various advisory products. The Board recognized that profitability may be
affected by numerous factors including, among other things, fee waivers and
expense reimbursements by the Manager, the types of funds managed, precision of
expense allocations and business mix. As a result, calculating and comparing
profitability at individual fund levels is difficult.
The Board noted that, in general, individual fund or product line profitability
of other advisors is not publicly available. The Board reviewed BlackRock's
overall operating margin, in general, compared to that of certain other
publicly-traded asset management firms. The Board considered the differences
between BlackRock and these other firms, including the contribution of
technology at BlackRock, BlackRock's expense management and the relative product
mix.
In addition, the Board considered the cost of the services provided to the
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 Advisory Agreement and to
continue to provide the high quality of services that is expected by the Board.
The Board further considered factors including but not limited to BlackRock's
commitment of time, assumption of risk and liability profile in servicing the
Portfolio in contrast to what is required of BlackRock with respect to other
products with similar investment objectives across the open-end fund, ETF,
closed-end fund and institutional account product channels, as applicable.
The Board noted that the Portfolio's contractual management fee rate ranked in
the first quartile, and that the actual management fee rate and the total
expense ratio each ranked in the first quartile, relative to the Portfolio's
Expense Peers. The Board also noted that BlackRock has contractually
================================================================================
ADVISORY AGREEMENTS | 97
================================================================================
agreed to a cap on the Portfolio's total 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 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 their consideration, the
Board Members took into account the existence of any expense caps and further
considered the continuation and/or implementation, as applicable, of such caps.
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 Advisory Agreement, the Board also
received information regarding BlackRock's brokerage and soft dollar practices.
The Board received reports from BlackRock which included information on
brokerage commissions and trade execution practices throughout the year.
================================================================================
98 | MASTER EXTENDED MARKET INDEX SERIES
================================================================================
CONCLUSION
The Board, including all the Independent Board Members, approved the
continuation of the Advisory Agreement between the Manager and the Master LLC
with respect to the Portfolio for a one-year term ending June 30, 2015. Based
upon its evaluation of all of the aforementioned factors in their totality, the
Board, including the Independent Board Members, was satisfied that the terms of
the Advisory Agreement were fair and reasonable and in the best interest of the
Portfolio and its interest holders. In arriving at its decision to approve the
Advisory Agreement, the Board did not identify any single factor or group of
factors as all-important or controlling, but considered all factors together,
and different Board Members may have attributed different weights to the various
factors considered. The Independent Board Members were also assisted by the
advice of independent legal counsel in making this determination. The
contractual fee arrangements for the 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.
================================================================================
ADVISORY AGREEMENTS | 99
================================================================================
TRUSTEES Daniel S. McNamara
Robert L. Mason, Ph.D.
Jefferson C. Boyce
Dawn M. Hawley
Paul L. McNamara
Barbara B. Ostdiek, Ph.D.
Michael F. Reimherr
--------------------------------------------------------------------------------
ADMINISTRATOR AND USAA Asset Management Company
INVESTMENT ADVISER P.O. Box 659453
San Antonio, Texas 78265-9453
--------------------------------------------------------------------------------
UNDERWRITER AND USAA Investment Management Company
DISTRIBUTOR P.O. Box 659453
San Antonio, Texas 78265-9453
--------------------------------------------------------------------------------
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 your mutual fund
AT USAA.COM account and either click the link or
select 'I want to...' and select
OR CALL the desired action.
(800) 531-USAA
(8722)
--------------------------------------------------------------------------------
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 Ref erence 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)
=============================================================================
37757-0814 (C)2014, 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, 2014
By:* /S/ DANIEL J. MAVICO
-----------------------------------------------------------
Signature and Title: Daniel J. Mavico, Assistant Secretary
Date: 8/27/2014
------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By:* /S/ DANIEL S. MCNAMARA
-----------------------------------------------------
Signature and Title: Daniel S. McNamara, President
Date: 8/27/2014
------------------------------
By:* /S/ ROBERTO GALINDO, JR.
-----------------------------------------------------
Signature and Title: Roberto Galindo, Jr., Treasurer
Date: 8/27/2014
------------------------------
*Print the name and title of each signing officer under his or her signature.