United States

Securities and Exchange Commission

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-10027

STATE FARM MUTUAL FUND TRUST

(Exact name of registrant as specified in charter)

One State Farm Plaza

Bloomington, IL 61710-0001

(Address of principal executive offices) (Zip code)

Michael L. Tipsord One State Farm Plaza Bloomington, Illinois 61710-0001 Alan Goldberg K&L Gates LLP Three First National Plaza 70 West Madison St., Suite 3100 Chicago, Illinois 60602

(Names and addresses of agents for service)

Registrant’s telephone number, including area code: 1-800-447-4930

Date of fiscal year end: 12/31/2012

Date of reporting period: 03/31/2012

ITEM 1. SCHEDULE OF INVESTMENTS.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (97.61%)
Consumer Discretionary (15.11%)
Advance Auto Parts Inc.		22,500	$	1,992,825
AutoZone Inc. (a)		5,600		2,082,080
Bed Bath & Beyond Inc. (a)		20,800		1,368,016
Coach Inc.		21,200		1,638,336
Comcast Corp. Class A		153,500		4,606,535
DIRECTV Class A (a)		29,900		1,475,266
Dollar General Corp. (a)		33,800		1,561,560
Dollar Tree Inc. (a)		9,400		888,206
Ford Motor Co.		73,900		923,011
GAP Inc., The		64,000		1,672,960
General Motors Co. (a)		120,000		3,078,000
Home Depot Inc., The		31,400		1,579,734
Limited Brands Inc.		17,700		849,600
Macy’s Inc.		44,500		1,767,985
McDonald’s Corp.		18,900		1,854,090
Polaris Industries Inc.		17,800		1,284,270
Ross Stores Inc.		65,200		3,788,120
Starbucks Corp.		23,300		1,302,237
Target Corp.		13,000		757,510
Time Warner Inc.		80,600		3,042,650
TJX Companies Inc.		43,000		1,707,530
TRW Automotive Holdings Corp. (a)		33,200		1,542,140
Viacom Inc. Class B		35,400		1,680,084
Walt Disney Co., The		67,800		2,968,284
				45,411,029
Consumer Staples (10.91%)
Brown-Forman Corp. Class B		21,000		1,751,190
Coca-Cola Co., The		22,000		1,628,220
Coca-Cola Enterprises Inc.		35,100		1,003,860
Colgate-Palmolive Co.		15,400		1,505,812
CVS Caremark Corp.		69,500		3,113,600
Dr. Pepper Snapple Group Inc.		25,300		1,017,313
Estee Lauder Companies Inc. Class A, The		30,000		1,858,200
General Mills Inc.		38,900		1,534,605
Herbalife Ltd.		21,600		1,486,512
Kimberly-Clark Corp.		20,800		1,536,912
Monster Beverage Corp. (a)		25,200		1,564,668
PepsiCo Inc.		44,700		2,965,845
Philip Morris International Inc.		36,000		3,189,960
Procter & Gamble Co., The		18,000		1,209,780
Walgreen Co.		85,800		2,873,442
Wal-Mart Stores Inc.		74,100		4,534,920
				32,774,839
Energy (10.56%)
Anadarko Petroleum Corp.		37,500		2,937,750
Apache Corp.		27,400		2,752,056
Chevron Corp.		42,200		4,525,528
Cimarex Energy Co.		9,900		747,153
ConocoPhillips		20,400		1,550,604
CONSOL Energy Inc.		86,200		2,939,420
Diamond Offshore Drilling Inc.		15,300		1,021,275
EQT Corp.		87,300		4,208,733
Exxon Mobil Corp.		16,600		1,439,718

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Halliburton Co.		37,400	$	1,241,306
HollyFrontier Corp.		41,800		1,343,870
Marathon Oil Corp.		89,700		2,843,490
Occidental Petroleum Corp.		43,800		4,171,074
				31,721,977
Financials (10.72%)
ACE Ltd.		40,900		2,993,880
Aflac Inc.		57,800		2,658,222
American International Group Inc. (a)		40,100		1,236,283
Ameriprise Financial Inc.		51,500		2,942,195
Bank of America Corp.		318,200		3,045,174
CIT Group Inc. (a)		69,800		2,878,552
Discover Financial Services		50,700		1,690,338
Franklin Resources Inc.		14,700		1,823,241
JPMorgan Chase & Co.		64,100		2,947,318
MetLife Inc.		76,900		2,872,215
Moody’s Corp.		32,800		1,380,880
Travelers Companies Inc., The		47,000		2,782,400
Wells Fargo & Co.		86,400		2,949,696
				32,200,394
Health Care (12.91%)
Abbott Laboratories		103,900		6,368,031
Agilent Technologies Inc.		38,300		1,704,733
AmerisourceBergen Corp.		42,000		1,666,560
Baxter International Inc.		49,500		2,959,110
Becton, Dickinson and Co.		16,500		1,281,225
Biogen Idec Inc. (a)		13,900		1,750,983
Covidien PLC		56,100		3,067,548
CR Bard Inc.		14,900		1,470,928
DaVita Inc. (a)		17,100		1,541,907
Humana Inc.		16,000		1,479,680
Johnson & Johnson		53,700		3,542,052
Merck & Co. Inc.		69,900		2,684,160
Pfizer Inc.		135,000		3,059,100
St. Jude Medical Inc.		73,200		3,243,492
Teva Pharmaceutical Industries Ltd. Sponsored ADR		65,600		2,955,936
				38,775,445
Industrials (12.54%)
Boeing Co., The		50,500		3,755,685
Caterpillar Inc.		15,000		1,597,800
CSX Corp.		54,700		1,177,144
Cummins Inc.		14,100		1,692,564
Deere & Co.		17,300		1,399,570
Fastenal Co.		28,500		1,541,850
General Dynamics Corp.		18,300		1,342,854
General Electric Co.		76,800		1,541,376
Honeywell International Inc.		52,100		3,180,705
Kirby Corp. (a)		42,000		2,763,180
Lockheed Martin Corp.		18,600		1,671,396
Northrop Grumman Corp.		19,000		1,160,520
Precision Castparts Corp.		8,900		1,538,810

See accompanying notes to schedules of investments. 1

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Raytheon Co.		22,500	$	1,187,550
Textron Inc.		83,400		2,321,022
Union Pacific Corp.		47,200		5,073,056
WW Grainger Inc.		11,700		2,513,277
Xylem Inc.		79,800		2,214,450
				37,672,809
Information Technology (17.55%)
Accenture PLC Class A		25,200		1,625,400
Alliance Data Systems Corp. (a)		13,600		1,713,056
Apple Inc. (a)		10,100		6,054,647
Atmel Corp. (a)		152,700		1,505,622
Cisco Systems Inc.		62,500		1,321,875
Cognizant Technology Solutions Corp. Class A (a)		18,500		1,423,575
Dell Inc. (a)		254,000		4,216,400
F5 Networks Inc. (a)		11,600		1,565,536
Google Inc. Class A (a)		3,500		2,244,340
Hewlett-Packard Co.		27,200		648,176
Intel Corp.		170,600		4,795,566
International Business Machines Corp.		13,400		2,795,910
Lam Research Corp. (a)		20,600		919,172
MasterCard Inc. Class A		5,700		2,397,078
Microsoft Corp.		179,900		5,801,775
NeuStar Inc. Class A (a)		39,100		1,456,475
Oracle Corp.		152,800		4,455,648
Red Hat Inc. (a)		29,900		1,790,711
TE Connectivity Ltd.		41,700		1,532,475
Visa Inc. Class A		15,000		1,770,000
Western Union Co.		67,700		1,191,520
Xilinx Inc.		41,700		1,519,131
				52,744,088
Materials (3.72%)
CF Industries Holdings Inc.		9,200		1,680,380
Crown Holdings Inc. (a)		37,200		1,370,076
Dow Chemical Co., The		92,900		3,218,056
Freeport-McMoRan Copper & Gold Inc.		36,200		1,377,048
International Paper Co.		48,300		1,695,330
Sherwin-Williams Co., The		17,000		1,847,390
				11,188,280
Telecommunication Services (1.81%)
AT&T Inc.		126,800		3,959,964
Verizon Communications Inc.		38,400		1,468,032
				5,427,996
Utilities (1.78%)
American Electric Power Company Inc.		65,400		2,523,132
Sempra Energy		47,200		2,830,112
				5,353,244
Total Common Stocks
(cost $232,761,179)				293,270,101

	Shares		Value
Short-term Investments (2.61%)
JPMorgan U.S. Government Money Market Fund		7,851,270	$	7,851,270
Total Short-term Investments
(cost $7,851,270)				7,851,270
TOTAL INVESTMENTS (100.22%)
(cost $240,612,449)				301,121,371
LIABILITIES, NET OF OTHER ASSETS (-0.22%)				(665,247	)
NET ASSETS (100.00%)			$	300,456,124

(a) Non-income producing security.

ADR – American Depository Receipt

2 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (96.75%)
Consumer Discretionary (17.59%)
Arctic Cat Inc. (a)		28,500	$	1,220,655
Blyth Inc.		14,000		1,047,620
BorgWarner Inc. (a)		8,610		726,167
Caribou Coffee Company Inc. (a)		45,500		848,120
Cost Plus Inc. (a)		86,200		1,542,980
Dick’s Sporting Goods Inc.		10,450		502,436
Dillard’s Inc. Class A		20,700		1,304,514
Dollar General Corp. (a)		15,150		699,930
Domino’s Pizza Inc.		33,500		1,216,050
DSW Inc. Class A		3,160		173,073
Foot Locker Inc.		53,790		1,670,180
Fossil Inc. (a)		4,140		546,397
Genesco Inc. (a)		20,900		1,497,485
GNC Holdings Inc. Class A		16,300		568,707
Group 1 Automotive Inc.		14,260		800,984
Jarden Corp.		9,610		386,610
LKQ Corp. (a)		29,350		914,840
Lululemon Athletica Inc. (a)		6,940		518,279
Macy’s Inc.		16,870		670,245
Nordstrom Inc.		21,330		1,188,508
O’Reilly Automotive Inc. (a)		12,720		1,161,972
Penske Automotive Group Inc.		41,500		1,022,145
Pep Boys-Manny, Moe & Jack, The		23,800		355,096
Pier 1 Imports Inc. (a)		87,800		1,596,204
PVH Corp.		16,100		1,438,213
Ralph Lauren Corp.		2,580		449,771
Saga Communications Inc. Class A (a)		36,025		1,289,695
Sally Beauty Holdings Inc. (a)		76,810		1,904,888
Sinclair Broadcast Group Inc. Class A		108,100		1,195,586
Standard Motor Products Inc.		40,600		720,244
Tesla Motors Inc. (a)		15,660		583,178
Town Sports International Holdings Inc. (a)		93,000		1,174,590
Tractor Supply Co.		7,160		648,410
Under Armour Inc. Class A (a)		5,150		484,100
Williams-Sonoma Inc.		28,040		1,050,939
				33,118,811
Consumer Staples (3.04%)
Beam Inc.		14,460		846,922
Church & Dwight Co. Inc.		15,090		742,277
Corn Products International Inc.		18,920		1,090,738
Elizabeth Arden Inc. (a)		24,700		864,006
Monster Beverage Corp. (a)		7,020		435,872
Pantry Inc., The (a)		36,200		470,962
Susser Holdings Corp. (a)		26,900		690,523
Whole Foods Market Inc.		7,020		584,064
				5,725,364
Energy (7.56%)
Cameron International Corp. (a)		17,670		933,506
Cloud Peak Energy Inc. (a)		51,300		817,209
Denbury Resources Inc. (a)		52,860		963,638
Energy XXI (Bermuda) Ltd. (a)		42,390		1,530,703
Helix Energy Solutions Group Inc. (a)		46,100		820,580

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Hercules Offshore Inc. (a)		293,200	$	1,386,836
Noble Energy Inc.		12,160		1,189,005
Pioneer Drilling Co. (a)		83,100		731,280
Pioneer Natural Resources Co.		9,060		1,011,005
Plains Exploration & Production Co. (a)		46,280		1,973,842
REX American Resources Corp. (a)		10,800		331,560
Superior Energy Services Inc. (a)		46,090		1,214,932
Swift Energy Co. (a)		13,300		386,099
Weatherford International Ltd. (a)		42,900		647,361
Westmoreland Coal Co. (a)		27,700		309,409
				14,246,965
Financials (24.03%)
Affiliated Managers Group Inc. (a)		6,260		699,931
American Tower Corp.		11,575		729,456
Ameriprise Financial Inc.		19,960		1,140,315
AmTrust Financial Services Inc.		36,100		970,368
Argo Group International Holdings Ltd.		20,800		621,296
Armour Residential REIT Inc.		119,300		805,275
BancFirst Corp.		10,900		474,804
Bancorp Inc., The (a)		47,200		473,888
BioMed Realty Trust Inc.		44,000		835,120
Calamos Asset Management Inc. Class A		27,900		365,769
Cardinal Financial Corp.		67,700		765,010
CBRE Group Inc. (a)		70,580		1,408,777
City Holding Co.		24,400		847,168
CNO Financial Group Inc. (a)		122,500		953,050
Doral Financial Corp. (a)		276,400		425,656
East West Bancorp Inc.		83,890		1,937,020
Employers Holdings Inc.		59,300		1,050,203
F.N.B. Corp.		75,000		906,000
Fifth Third Bancorp		117,770		1,654,668
First Industrial Realty Trust Inc. (a)		138,500		1,710,475
Gramercy Capital Corp. (a)		196,900		525,723
Infinity Property & Casualty Corp.		14,700		769,251
Interactive Brokers Group Inc. Class A		43,300		736,100
IntercontinentalExchange Inc. (a)		5,650		776,423
Invesco Ltd.		67,590		1,802,625
iStar Financial Inc. (a)		104,300		756,175
Jones Lang LaSalle Inc.		16,650		1,387,112
Kemper Corp.		29,600		896,288
Meadowbrook Insurance Group Inc.		74,700		696,951
Merchants Bancshares Inc.		9,200		259,256
MPG Office Trust Inc. (a)		235,100		550,134
Nelnet Inc. Class A		32,100		831,711
Newcastle Investment Corp.		129,500		813,260
Ocwen Financial Corp. (a)		60,100		939,363
One Liberty Properties Inc.		49,249		901,257
ProAssurance Corp.		11,300		995,643
Raymond James Financial Inc.		18,620		680,189
Republic Bancorp Inc. Class A		18,600		444,912
Retail Opportunity Investments Corp.		76,300		918,652
RLI Corp.		11,200		802,368
Sabra Health Care REIT Inc.		22,200		364,968

See accompanying notes to schedules of investments. 3

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Signature Bank (a)		18,870	$	1,189,565
SVB Financial Group (a)		7,800		501,852
Symetra Financial Corp.		90,500		1,043,465
T. Rowe Price Group Inc.		14,420		941,626
Taylor Capital Group Inc. (a)		51,800		743,330
United Community Banks Inc. (a)		54,500		531,375
United Financial Bancorp Inc.		47,800		756,196
United Fire Group Inc.		23,400		418,626
Universal Insurance Holdings Inc.		77,400		301,086
Weingarten Realty Investors		31,458		831,435
Winthrop Realty Trust		59,800		693,082
Wintrust Financial Corp.		22,100		790,959
World Acceptance Corp. (a)		14,500		888,125
				45,253,332
Health Care (7.65%)
Agilent Technologies Inc.		16,610		739,311
Alexion Pharmaceuticals Inc. (a)		9,440		876,598
Amylin Pharmaceuticals Inc. (a)		27,360		682,906
Cerner Corp. (a)		7,480		569,677
Cooper Companies Inc., The		12,630		1,031,997
Cubist Pharmaceuticals Inc. (a)		14,370		621,502
Edwards Lifesciences Corp. (a)		12,500		909,125
Express Scripts Inc. (a)		10,050		544,509
HMS Holdings Corp. (a)		11,690		364,845
Hologic Inc. (a)		17,910		385,960
Intuitive Surgical Inc. (a)		1,150		623,012
Kindred Healthcare Inc. (a)		74,900		647,136
Medicines Co., The (a)		48,400		971,388
Perrigo Co.		10,600		1,095,086
Shire PLC ADR		10,300		975,925
Skilled Healthcare Group Inc. Class A (a)		125,600		962,096
SXC Health Solutions Corp. (a)		9,150		685,884
Triple-S Management Corp. Class B (a)		22,600		522,060
U.S. Physical Therapy Inc.		19,800		456,390
Valeant Pharmaceuticals International Inc. (a)		8,780		471,398
Vanda Pharmaceuticals Inc. (a)		54,900		262,971
				14,399,776
Industrials (13.72%)
Alaska Air Group Inc. (a)		29,000		1,038,780
AMERCO		9,800		1,033,998
AMETEK Inc.		9,350		453,568
Arkansas Best Corp.		30,900		581,229
BE Aerospace Inc. (a)		33,660		1,564,180
Cenveo Inc. (a)		177,200		598,936
Ceradyne Inc.		33,900		1,103,784
Chicago Bridge & Iron Co. N.V. NY Reg. Shares		40,840		1,763,880
Curtiss-Wright Corp.		17,400		643,974
Dycom Industries Inc. (a)		43,300		1,011,488
Eaton Corp.		25,610		1,276,146
Esterline Technologies Corp. (a)		8,900		635,994

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Expeditors International of Washington Inc.		6,025	$	280,223
Fluor Corp.		12,850		771,514
GenCorp Inc. (a)		6,500		46,150
International Shipholding Corp.		19,544		451,271
Joy Global Inc.		13,400		984,900
Kennametal Inc.		23,820		1,060,705
Layne Christensen Co. (a)		23,200		516,200
Lydall Inc. (a)		64,500		657,255
Multi-Color Corp.		32,600		733,826
Precision Castparts Corp.		7,515		1,299,344
Quality Distribution Inc. (a)		34,400		474,032
RailAmerica Inc. (a)		44,000		944,240
Republic Airways Holdings Inc. (a)		140,200		692,588
Standex International Corp.		12,300		506,637
Timken Co., The		27,450		1,392,813
Triumph Group Inc.		23,220		1,454,965
United Rentals Inc. (a)		32,100		1,376,769
Verisk Analytics Inc. Class A (a)		10,230		480,503
				25,829,892
Information Technology (12.98%)
Alliance Data Systems Corp. (a)		9,910		1,248,264
Altera Corp.		16,760		667,383
Autodesk Inc. (a)		21,060		891,259
Avago Technologies Ltd.		23,820		928,265
Brightpoint Inc. (a)		63,900		514,395
CACI International Inc. Class A (a)		15,000		934,350
Check Point Software Technologies Ltd. (a)		11,600		740,544
Citrix Systems Inc. (a)		9,800		773,318
Cognizant Technology Solutions Corp. Class A (a)		8,155		627,527
Coherent Inc. (a)		7,350		428,726
Cypress Semiconductor Corp. (a)		35,900		561,117
F5 Networks Inc. (a)		7,265		980,484
FleetCor Technologies Inc. (a)		18,650		723,060
Globecomm Systems Inc. (a)		31,500		456,120
IAC/InterActiveCorp		5,580		273,922
Informatica Corp. (a)		15,930		842,697
Insight Enterprises Inc. (a)		45,600		1,000,008
Intuit Inc.		15,050		904,956
JDS Uniphase Corp. (a)		28,380		411,226
MICROS Systems Inc. (a)		11,080		612,613
ON Semiconductor Corp. (a)		32,660		294,267
OSI Systems Inc. (a)		21,700		1,330,210
Photronics Inc. (a)		150,200		998,830
Polycom Inc. (a)		31,100		593,077
Red Hat Inc. (a)		5,390		322,807
Richardson Electronics Ltd.		106,300		1,273,474
Riverbed Technology Inc. (a)		26,900		755,352
Rovi Corp. (a)		8,550		278,302
TIBCO Software Inc. (a)		22,840		696,620
Trimble Navigation Ltd. (a)		11,560		629,095
Unisys Corp. (a)		25,400		500,888

4 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
United Online Inc.		137,300	$	671,397
VeriFone Systems Inc. (a)		18,060		936,772
Wright Express Corp. (a)		9,960		644,711
				24,446,036
Materials (4.05%)
Airgas Inc.		12,930		1,150,382
American Vanguard Corp.		65,500		1,420,695
Aurico Gold Inc. (a)		17,040		151,145
Ecolab Inc.		25,500		1,573,860
Kaiser Aluminum Corp.		15,300		723,078
P. H. Glatfelter Co.		50,100		790,578
Quaker Chemical Corp.		20,000		789,000
Rock-Tenn Co. Class A		6,940		468,866
Valspar Corp., The		11,550		557,750
				7,625,354
Telecommunication Services (1.52%)
General Communication Inc. Class A (a)		53,219		464,070
IDT Corp. Class B		48,500		452,990
SBA Communications Corp. Class A (a)		24,510		1,245,353
Vonage Holdings Corp. (a)		316,800		700,128
				2,862,541
Utilities (4.61%)
AES Corp., The (a)		136,890		1,789,156
American Water Works Co. Inc.		35,340		1,202,620
Chesapeake Utilities Corp.		15,400		633,248
Cleco Corp.		22,800		904,020
El Paso Electric Co.		30,300		984,447
ITC Holdings Corp.		10,940		841,724
Laclede Group Inc., The		17,100		667,242
NiSource Inc.		51,880		1,263,278
Unitil Corp.		15,000		402,450
				8,688,185
Total Common Stocks
(cost $145,413,015)				182,196,256

		14,927,795		14,927,795
	Shares		Value
Registered Investment Companies (0.30%)
Financials (0.30%)
Arlington Asset Investment Corp. Class A		25,000	$	555,000
				555,000
Total Registered Investment Companies
(cost $497,057)				555,000
Short-term Investments (3.03%)
JPMorgan U.S. Government Money Market Fund		5,712,119		5,712,119
Total Short-term Investments
(cost $5,712,119)				5,712,119
TOTAL INVESTMENTS (100.08%)
(cost $151,622,191)				188,463,375
LIABILITIES, NET OF OTHER ASSETS (-0.08%)				(149,848	)
NET ASSETS (100.00%)			$	188,313,527

(a) Non-income producing security.

ADR – American Depository Receipt

See accompanying notes to schedules of investments. 5

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (95.31%)
Argentina (1.10%)
Arcos Dorados Holdings Inc. Class A		25,886	$	468,278
MercadoLibre Inc.		8,309		812,537
				1,280,815
Australia (0.97%)
BHP Billiton PLC		36,847		1,124,220
Austria (0.37%)
Erste Group Bank AG		18,590		428,679
Belgium (2.20%)
Anheuser-Busch InBev NV		34,989		2,556,299
Brazil (2.30%)
BR Malls Participacoes SA		62,700		817,132
Itau Unibanco Holding SA ADR		43,811		840,733
OGX Petroleo e Gas Participacoes SA (a)		121,800		1,007,521
				2,665,386
Canada (1.92%)
Canadian National Railway Co.		17,215		1,367,387
Imax Corp. (a)		13,223		323,170
Pacific Rubiales Energy Corp.		18,396		537,430
				2,227,987
China (3.23%)
Baidu Inc. Sponsored ADR (a)		9,482		1,382,191
China Life Insurance Co. Ltd. H		163,000		422,951
China Mobile Ltd.		92,500		1,017,845
China Pacific Insurance (Group) Company Ltd. H		24,200		75,259
PetroChina Company Ltd. H		605,000		852,316
				3,750,562
Denmark (3.15%)
Novo Nordisk A/S Class B		22,433		3,105,922
Novozymes A/S B Shares		18,882		549,928
				3,655,850
France (9.09%)
Accor SA		18,250		651,582
AXA SA		50,577		838,460
Compagnie de Saint-Gobain		9,513		424,840
DANONE SA		14,833		1,034,639
Essilor International SA		5,906		526,409
JC Decaux SA (a)		19,000		580,546
L’Oreal SA		6,400		789,465
Pernod Ricard SA		16,621		1,737,926
Publicis Groupe		10,258		565,508
Schneider Electric SA		30,616		2,000,387
Unibail-Rodamco SE		6,948		1,389,518
				10,539,280

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Germany (6.00%)
Adidas AG		10,591	$	826,890
Allianz SE Reg.		6,256		746,504
Bayerische Motoren Werke (BMW) AG		11,610		1,044,103
Daimler AG Registered Shares		16,816		1,013,947
Infineon Technologies AG		56,229		574,893
Linde AG		8,599		1,543,084
SAP AG		17,379		1,213,619
				6,963,040
Hong Kong (4.13%)
Belle International Holdings Ltd.		434,000		776,841
Cheung Kong Holdings Ltd.		69,000		891,205
China Unicom (Hong Kong) Ltd.		810,000		1,366,420
CNOOC Ltd.		247,000		507,642
Hang Lung Properties Ltd.		340,000		1,245,630
				4,787,738
India (0.42%)
ICICI Bank Ltd. Sponsored ADR		13,864		483,438
Ireland (1.00%)
Accenture PLC Class A		17,947		1,157,582
Israel (0.61%)
Check Point Software Technologies Ltd. (a)		11,051		705,496
Japan (11.24%)
Canon Inc.		47,900		2,262,764
Fanuc Corp.		17,300		3,068,310
Honda Motor Co. Ltd.		37,100		1,409,683
Hoya Corp.		23,800		534,544
Japan Tobacco Inc.		238		1,339,954
Komatsu Ltd.		17,200		490,211
Marubeni Corp.		103,000		742,914
Rakuten Inc.		846		886,169
SMC Corp.		1,900		302,090
Sumitomo Realty & Development Co. Ltd.		31,000		747,191
Toyota Motor Corp.		29,200		1,259,442
				13,043,272
Malaysia (1.65%)
Genting Berhad		284,800		1,007,747
Sime Darby Berhad		283,700		901,987
				1,909,734
Mexico (0.51%)
Wal-mart de Mexico SAB de CV		175,400		588,560
Netherlands (4.24%)
ASML Holding NV		18,017		900,617
LyondellBasell Industries NV Class A		25,225		1,101,071

6 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Netherlands (Cont.)
Royal Dutch Shell PLC Class A		29,767	$	1,042,131
Sensata Technologies Holding NV (a)		33,000		1,104,840
Yandex NV Class A (a)		17,536		471,192
Ziggo NV (a)		9,555		298,070
				4,917,921
Singapore (1.20%)
DBS Group Holdings Ltd.		57,714		651,036
United Overseas Bank Ltd.		50,841		742,160
				1,393,196
South Korea (1.04%)
Samsung Electronics Co. Ltd.		1,073		1,207,427
Spain (0.79%)
Industria de Diseno Textil SA		9,542		913,993
Sweden (4.58%)
Atlas Copco AB Class A		60,000		1,451,979
Elekta AB B Shares		6,139		310,764
Investor AB B Shares		26,200		580,964
Millicom International Cellular SA SDR		12,504		1,417,516
Sandvik AB		58,302		841,598
Volvo AB B Shares		49,000		713,988
				5,316,809
Switzerland (11.85%)
ABB Ltd. Reg. (a)		42,621		874,424
Compagnie Financiere Richemont SA Class A		16,416		1,029,296
Holcim Ltd. Reg. (a)		11,898		776,329
Julius Baer Group Ltd. (a)		34,787		1,404,274
Nestle SA Reg.		46,586		2,931,300
Novartis AG		17,352		960,348
Roche Holding AG		15,862		2,760,519
Swatch Group AG, The		2,362		1,087,195
Syngenta AG Reg. (a)		3,010		1,040,679
UBS AG Reg. (a)		62,588		877,078
				13,741,442
Taiwan (1.85%)
Taiwan Semiconductor Manufacturing Company Ltd. Sponsored ADR		140,297		2,143,738
United Kingdom (17.77%)
Anglo American PLC		24,657		921,687
ARM Holdings PLC		64,583		611,539
BG Group PLC		48,700		1,127,930
British American Tobacco PLC		37,420		1,885,679
British Sky Broadcasting Group PLC		126,142		1,363,926
CRH PLC		69,014		1,412,966
Diageo PLC		55,274		1,328,373
Experian PLC		36,479		568,603
Imperial Tobacco Group PLC		29,075		1,178,914
Reed Elsevier PLC		63,002		559,283

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Rio Tinto PLC		11,443	$	630,724
Rolls-Royce Holdings PLC (a)		107,960		1,402,179
Shire PLC		28,715		927,779
Standard Chartered PLC		107,438		2,680,816
Tullow Oil PLC		48,667		1,188,661
Weir Group PLC, The		22,225		627,083
Xstrata PLC		128,300		2,191,707
				20,607,849
United States (2.10%)
Citigroup Inc.		25,984		949,715
Perrigo Co.		3,816		394,231
Wynn Resorts Ltd.		8,709		1,087,580
				2,431,526
Total Common Stocks
(cost $89,105,008)				110,541,839
Preferred Stocks (2.29%)
Brazil (2.29%)
Banco Bradesco SA Pfd.		61,809		1,079,783
Petroleo Brasileiro SA Pfd.		80,300		1,027,147
Suzano Papel e Celulose SA		78,875		337,459
Vale SA Pfd. Class A		9,200		208,951
				2,653,340
Total Preferred Stocks
(cost $3,760,074)				2,653,340

See accompanying notes to schedules of investments. 7

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Short-term Investments (2.38%)
State Street Institutional U.S. Government Money Market Fund		2,753,978	$	2,753,978
Total Short-term Investments
(cost $2,753,978)				2,753,978
TOTAL INVESTMENTS (99.98%)
(cost $95,619,060)		115,949,157
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.02%)				28,619
NET ASSETS (100.00%)			$	115,977,776

(a) Non-income producing security.

ADR – American Depository Receipt

SDR – Swedish Depository Receipt

INTERNATIONAL EQUITY FUND FOREIGN

CURRENCY DENOMINATIONS

		14,927,795		14,927,795
Currency	Value		%
Euro	$	23,642,109		20.39
British Pound		21,732,069		18.74
United States Dollar		17,547,157		15.13
Swiss Franc		13,741,442		11.85
Japanese Yen		13,043,272		11.25
Hong Kong Dollar		7,156,109		6.17
Swedish Krona		5,316,809		4.59
Brazilian Real		4,477,993		3.86
Danish Krone		3,655,850		3.15
Malaysian Ringgit		1,909,734		1.65
Singapore Dollar		1,393,196		1.20
South Korean Won		1,207,427		1.04
Mexican Peso		588,560		0.51
Canadian Dollar		537,430		0.47
Total Investments	$	115,949,157		100.00	%

INTERNATIONAL EQUITY FUND SECTOR CLASSIFICATIONS

		14,927,795		14,927,795
Sector	Value		%
Financials	$	17,892,526		15.43
Industrials		16,882,820		14.56
Consumer Discretionary		16,855,179		14.53
Consumer Staples		15,371,109		13.25
Information Technology		13,978,139		12.05
Materials		11,838,805		10.21
Health Care		8,985,972		7.75
Energy		7,290,778		6.29
Telecommunication Services		4,099,851		3.53
Total Stocks		113,195,179		97.60
Short-term Investments		2,753,978		2.38
Cash and Other Assets, Net of Liabilities		28,619		0.02
Net Assets	$	115,977,776		100.00	%

8 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (97.84%)
Consumer Discretionary (13.55%)
1-800-FLOWERS.COM Inc. (a)		7,415	$	22,467
Aeropostale Inc. (a)		19,918		430,627
AFC Enterprises Inc. (a)		6,041		102,455
AH Belo Corp. Class A		4,520		22,111
Ambassadors Group Inc.		4,772		25,530
American Axle & Manufacturing Holdings Inc. (a)		16,530		193,566
American Greetings Corp. Class A		9,500		145,730
American Public Education Inc. (a)		4,355		165,490
America’s Car-Mart Inc. (a)		2,200		96,756
Amerigon Inc. (a)		7,300		118,114
Ameristar Casinos Inc.		7,944		147,997
Ann Inc. (a)		12,032		344,596
Arbitron Inc.		6,718		248,432
Archipelago Learning Inc. (a)		3,085		34,305
Arctic Cat Inc. (a)		3,069		131,445
Asbury Automotive Group Inc. (a)		7,352		198,504
Ascena Retail Group Inc. (a)		15,546		688,999
Ascent Capital Group LLC Class A (a)		3,600		170,244
Barnes & Noble Inc. (a)		7,137		94,565
Beazer Homes USA Inc. (a)		19,663		63,905
bebe stores inc.		9,200		84,916
Belo Corp. Class A		22,900		164,193
Benihana Inc.		3,314		43,248
Big 5 Sporting Goods Corp.		5,519		43,269
Biglari Holdings Inc. (a)		301		121,258
BJ’s Restaurants Inc. (a)		5,949		299,532
Black Diamond Inc. (a)		4,539		42,031
Blue Nile Inc. (a)		2,956		97,489
Blyth Inc.		1,336		99,973
Bob Evans Farms Inc.		7,545		284,597
Body Central Corp. (a)		2,870		83,287
Bon-Ton Stores Inc., The		2,908		26,870
Boyd Gaming Corp. (a)		13,553		106,256
Bravo Brio Restaurant Group Inc. (a)		4,815		96,107
Bridgepoint Education Inc. (a)		4,447		110,063
Brown Shoe Co. Inc.		10,605		97,884
Brunswick Corp.		21,900		563,925
Buckle Inc., The		6,749		323,277
Buffalo Wild Wings Inc. (a)		4,596		416,811
Build-A-Bear Workshop Inc. (a)		3,529		18,527
Cabela’s Inc. (a)		10,730		409,350
Caesars Entertainment Corp. (a)		9,200		135,608
Callaway Golf Co.		16,414		110,959
Cambium Learning Group Inc. (a)		4,153		11,005
Capella Education Co. (a)		3,429		123,273
Caribou Coffee Company Inc. (a)		3,200		59,648
Carrols Restaurant Group Inc. (a)		3,200		48,800
Carter’s Inc. (a)		12,089		601,670
Casual Male Retail Group Inc. (a)		10,474		35,193
Cato Corp. Class A		6,744		186,404
Cavco Industries Inc. (a)		1,642		76,484
CEC Entertainment Inc.		4,506		170,822
Central European Media Enterprises Ltd. Class A (a)		9,051		64,262
Charming Shoppes Inc. (a)		28,181		166,268
Cheesecake Factory Inc., The (a)		13,589		399,381

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Cherokee Inc.		2,261	$	25,753
Children’s Place Retail Stores Inc., The (a)		6,056		312,914
Christopher & Banks Corp.		9,242		17,190
Churchill Downs Inc.		3,145		175,806
Cinemark Holdings Inc.		22,900		502,655
Citi Trends Inc. (a)		3,800		43,548
Coinstar Inc. (a)		7,819		496,897
Coldwater Creek Inc. (a)		20,700		24,012
Collective Brands Inc. (a)		15,230		299,422
Columbia Sportswear Co.		2,948		139,883
Conn’s Inc. (a)		3,792		58,207
Cooper Tire & Rubber Co.		15,450		235,149
Core-Mark Holding Co. Inc.		2,728		111,684
Corinthian Colleges Inc. (a)		19,116		79,140
Cost Plus Inc. (a)		4,702		84,166
Cracker Barrel Old Country Store Inc.		5,682		317,056
Crocs Inc. (a)		22,500		470,700
Crown Media Holdings Inc. (a)		7,162		11,388
CSS Industries Inc.		2,018		39,270
Cumulus Media Inc. Class A (a)		9,189		32,070
Dana Holding Corp.		36,084		559,302
Delta Apparel Inc. (a)		1,918		31,513
Denny’s Corp. (a)		25,053		101,214
Destination Maternity Corp.		2,600		48,282
Dial Global Inc. (a)		1,457		3,395
Digital Domain Media Group Inc. (a)		1,300		7,397
Digital Generation Inc. (a)		6,797		69,397
DineEquity Inc. (a)		3,875		192,200
Domino’s Pizza Inc.		14,517		526,967
Dorman Products Inc. (a)		2,700		136,620
Drew Industries Inc. (a)		4,619		126,145
E.W. Scripps Co Class A (a)		7,590		74,913
Einstein Noah Restaurant Group Inc.		1,400		20,888
Entercom Communications Corp. Class A (a)		5,869		38,090
Entravision Communications Corp. Class A		12,045		20,597
Ethan Allen Interiors Inc.		6,122		155,009
Exide Technologies (a)		18,900		59,157
Express Inc. (a)		13,662		341,277
Finish Line Inc. Class A, The		13,006		275,987
Fisher Communications Inc. (a)		2,196		67,461
Francesca’s Holdings Corp. (a)		2,460		77,761
Fred’s Inc. Class A		9,440		137,918
Fuel Systems Solutions Inc. (a)		4,254		111,285
Furniture Brands International Inc. (a)		10,564		17,748
Gaylord Entertainment Co. (a)		8,714		268,391
Geeknet Inc. (a)		1,082		15,646
Genesco Inc. (a)		5,832		417,863
G-III Apparel Group Ltd. (a)		4,071		115,698
Global Sources Ltd. (a)		2,764		17,026
GNC Holdings Inc. Class A		5,657		197,373
Gordmans Stores Inc. (a)		1,300		28,561
Grand Canyon Education Inc. (a)		7,033		124,906
Gray Television Inc. (a)		12,015		22,708

See accompanying notes to schedules of investments. 9

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Group 1 Automotive Inc.		5,649	$	317,304
Harte-Hanks Inc.		10,900		98,645
Haverty Furniture Companies Inc.		4,535		50,338
Helen of Troy Ltd. (a)		7,679		261,163
hhgregg Inc. (a)		4,414		50,231
Hibbett Sports Inc. (a)		6,812		371,595
Hillenbrand Inc.		15,453		354,646
Hot Topic Inc.		10,292		104,464
Hovnanian Enterprises Inc. (a)		16,624		40,729
HSN Inc.		9,900		376,497
Iconix Brand Group Inc. (a)		18,016		313,118
International Speedway Corp. Class A		7,285		202,159
Interval Leisure Group Inc.		10,100		175,740
iRobot Corp. (a)		5,900		160,834
Isle of Capri Casinos Inc. (a)		5,109		36,070
Jack in the Box Inc. (a)		10,929		261,968
JAKKS Pacific Inc.		6,627		115,641
Jamba Inc. (a)		14,879		30,800
Johnson Outdoors Inc. Class A (a)		1,230		23,493
Jones Group Inc., The		20,157		253,172
Jos. A. Bank Clothiers Inc. (a)		6,855		345,561
Journal Communications Inc. Class A (a)		10,142		57,099
K12 Inc. (a)		6,373		150,594
KB Home		18,979		168,913
Kenneth Cole Productions Inc. (a)		1,721		27,708
Kirkland’s Inc. (a)		3,700		59,866
Knology Inc. (a)		7,500		136,500
Krispy Kreme Doughnuts Inc. (a)		14,206		103,704
K-Swiss Inc. Class A (a)		6,671		27,351
La-Z-Boy Inc. (a)		12,622		188,825
Leapfrog Enterprises Inc. (a)		10,520		87,947
Libbey Inc. (a)		4,823		62,410
Life Time Fitness Inc. (a)		10,478		529,872
Lifetime Brands Inc.		2,381		26,762
Lin TV Corp. (a)		7,165		29,018
Lincoln Educational Services Corp.		5,600		44,296
Lions Gate Entertainment Corp. (a)		11,159		155,333
Lithia Motors Inc. Class A		5,439		142,502
Live Nation Entertainment Inc. (a)		34,853		327,618
Liz Claiborne Inc. (a)		23,200		309,952
Luby’s Inc. (a)		4,712		28,602
Lumber Liquidators Holdings Inc. (a)		5,874		147,496
M.D.C. Holdings Inc.		9,247		238,480
M/I Homes Inc. (a)		4,700		58,092
Mac-Gray Corp.		2,800		42,364
Maidenform Brands Inc. (a)		5,800		130,558
Marcus Corp.		5,037		63,214
Marine Products Corp.		2,692		16,017
MarineMax Inc. (a)		5,531		45,520
Martha Stewart Living Omnimedia Inc.		6,778		25,824
Matthews International Corp.		7,408		234,389
Mattress Firm Holding Corp. (a)		1,400		53,060
McClatchy Co. Class A, The (a)		14,927		43,139
MDC Partners Inc. Class A		6,183		68,755
Men’s Wearhouse Inc., The		12,658		490,751
Meredith Corp.		8,988		291,750

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Meritage Homes Corp. (a)		6,900	$	186,714
Modine Manufacturing Co. (a)		11,320		99,956
Monarch Casino & Resort Inc. (a)		2,466		25,400
Monro Muffler Brake Inc.		7,602		315,407
Morgans Hotel Group Co. (a)		4,986		24,681
Motorcar Parts of America Inc. (a)		3,036		29,206
Movado Group Inc.		4,339		106,522
Multimedia Games Holding Company Inc. (a)		7,000		76,720
National American University Holdings Inc.		2,083		13,123
National CineMedia Inc.		13,672		209,182
New York & Co. Inc. (a)		5,919		22,078
New York Times Co. Class A, The (a)		33,852		229,855
Nexstar Broadcasting Group Inc. Class A (a)		2,884		23,966
NutriSystem Inc.		6,707		75,320
O’Charley’s Inc. (a)		4,709		46,337
Office Depot Inc. (a)		68,539		236,460
OfficeMax Inc. (a)		21,200		121,264
Orbitz Worldwide Inc. (a)		5,115		15,601
Orient-Express Hotels Ltd. Class A (a)		23,503		239,731
Outdoor Channel Holdings Inc.		3,500		25,585
Overstock.com Inc. (a)		2,899		15,191
Oxford Industries Inc.		3,247		165,013
Pacific Sunwear of California Inc. (a)		11,602		20,420
Papa John’s International Inc. (a)		4,680		176,249
Peet’s Coffee & Tea Inc. (a)		3,153		232,376
Penske Automotive Group Inc.		10,929		269,181
Pep Boys-Manny, Moe & Jack, The		13,227		197,347
Perry Ellis International Inc. (a)		3,140		58,624
PetMed Express Inc.		4,700		58,186
PF Chang’s China Bistro Inc.		5,297		209,337
Pier 1 Imports Inc. (a)		24,411		443,792
Pinnacle Entertainment Inc. (a)		15,448		177,806
Pool Corp.		11,896		445,148
Quiksilver Inc. (a)		32,600		131,704
R.G. Barry Corp.		2,081		25,388
ReachLocal Inc. (a)		2,409		17,176
Red Lion Hotels Corp. (a)		4,000		32,840
Red Robin Gourmet Burgers Inc. (a)		3,174		118,041
Regis Corp.		14,375		264,931
Rent-A-Center Inc.		14,554		549,414
Rentrak Corp. (a)		2,500		56,750
Ruby Tuesday Inc. (a)		15,711		143,441
Rue21 Inc. (a)		3,677		107,883
Ruth’s Hospitality Group Inc. (a)		8,385		63,642
Ryland Group Inc.		10,889		209,940
Saga Communications Inc. Class A (a)		897		32,113
Saks Inc. (a)		28,415		329,898
Scholastic Corp.		6,491		229,002
School Specialty Inc. (a)		3,964		14,033
Scientific Games Corp. Class A (a)		14,346		167,274
Sealy Corp. (a)		12,100		24,442
Select Comfort Corp. (a)		13,753		445,460
Shiloh Industries Inc.		1,370		13,056
Shoe Carnival Inc. (a)		2,217		71,432

10 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Shuffle Master Inc. (a)		13,478	$	237,213
Shutterfly Inc. (a)		7,343		230,056
Sinclair Broadcast Group Inc. Class A		12,455		137,752
Six Flags Entertainment Corp.		10,298		481,637
Skechers U.S.A. Inc. (a)		9,249		117,647
Skullcandy Inc. (a)		2,366		37,454
Skyline Corp.		1,843		14,099
Smith & Wesson Holding Corp. (a)		14,939		115,777
Sonic Automotive Inc.		9,997		179,046
Sonic Corp. (a)		15,046		115,553
Sotheby’s		16,797		660,794
Spartan Motors Inc.		8,300		43,907
Speedway Motorsports Inc.		2,854		53,313
Stage Stores Inc.		7,807		126,786
Standard Motor Products Inc.		5,000		88,700
Standard Pacific Corp. (a)		25,800		115,068
Stein Mart Inc. (a)		6,523		43,052
Steiner Leisure Ltd. (a)		3,852		188,093
Steinway Musical Instruments Inc. (a)		1,499		37,475
Steven Madden Ltd. (a)		9,327		398,729
Stewart Enterprises Inc.		18,154		110,195
Stoneridge Inc. (a)		6,600		65,274
Strayer Education Inc.		3,020		284,726
Sturm, Ruger & Company Inc.		4,700		230,770
Summer Infant Inc. (a)		3,751		22,506
Superior Industries International Inc.		5,941		116,087
Systemax Inc. (a)		2,500		42,150
Talbots Inc. (a)		17,499		53,022
Teavana Holdings Inc. (a)		1,754		34,589
Tenneco Inc. (a)		15,013		557,733
Texas Roadhouse Inc. Class A		15,604		259,651
Tower International Inc. (a)		1,495		18,209
Town Sports International Holdings Inc. (a)		5,111		64,552
True Religion Apparel Inc. (a)		6,300		172,620
Tuesday Morning Corp. (a)		10,689		41,046
Unifi Inc. (a)		3,500		33,810
Universal Electronics Inc. (a)		3,712		74,166
Universal Technical Institute Inc.		5,681		74,932
US Auto Parts Network Inc. (a)		3,600		12,996
Vail Resorts Inc.		8,826		381,724
Valassis Communications Inc. (a)		11,190		257,370
Value Line Inc.		434		5,330
ValueVision Media Inc. Class A (a)		10,094		20,895
Vera Bradley Inc. (a)		4,847		146,331
Vitamin Shoppe Inc. (a)		6,123		270,698
VOXX International Corp. (a)		4,804		65,142
Warnaco Group Inc., The (a)		10,012		584,701
West Marine Inc. (a)		3,400		40,732
Wet Seal Inc. Class A (a)		22,624		78,053
Weyco Group Inc.		1,700		40,290
Winmark Corp.		575		33,316
Winnebago Industries Inc. (a)		7,419		72,706
Wolverine World Wide Inc.		12,215		454,154
World Wrestling Entertainment Inc.		7,095		62,933
Zagg Inc. (a)		5,616		59,698

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Zale Corp. (a)		7,922	$	24,479
Zumiez Inc. (a)		5,166		186,544
				41,728,451
Consumer Staples (3.45%)
Alico Inc.		885		20,452
Alliance One International Inc. (a)		20,644		77,828
Andersons Inc., The		4,540		221,053
Arden Group Inc. Class A		300		27,267
B&G Foods Inc. Class A		12,000		270,120
Boston Beer Co. Inc. (a)		1,980		211,444
Calavo Growers Inc.		2,800		74,984
Cal-Maine Foods Inc.		3,500		133,910
Casey’s General Stores Inc.		9,400		521,324
Central European Distribution Corp. (a)		17,941		91,679
Central Garden & Pet Co. (a)		10,273		98,929
Chefs’ Warehouse Inc., The (a)		2,500		57,850
Chiquita Brands International Inc. (a)		11,405		100,250
Coca-Cola Bottling Co. Consolidated		1,155		72,465
Craft Brew Alliance Inc. (a)		2,569		19,679
Darling International Inc. (a)		28,837		502,341
Diamond Foods Inc.		5,400		123,228
Dole Food Company Inc. (a)		8,668		86,507
Elizabeth Arden Inc. (a)		6,103		213,483
Farmer Brothers Co. (a)		1,831		19,940
Female Health Co., The		5,300		28,726
Fresh Del Monte Produce Inc.		9,000		205,560
Fresh Market Inc., The (a)		7,070		339,006
Griffin Land & Nurseries Inc.		500		13,205
Hain Celestial Group Inc., The (a)		8,823		386,536
Harbinger Group Inc. (a)		2,727		14,126
Imperial Sugar Co.		3,100		14,539
Ingles Markets Inc.		3,305		58,300
Inter Parfums Inc.		4,216		66,149
J&J Snack Foods Corp.		3,542		185,813
Lancaster Colony Corp.		4,614		306,646
Lifeway Foods Inc. (a)		1,100		10,175
Limoneira Co.		2,067		34,912
Medifast Inc. (a)		3,531		61,651
MGP Ingredients Inc.		2,972		15,989
Nash Finch Co.		3,012		85,601
National Beverage Corp. (a)		2,580		41,383
Nature’s Sunshine Products Inc. (a)		2,767		44,327
Nu Skin Enterprises Inc.		13,562		785,375
Nutraceutical International Corp. (a)		2,500		36,400
Oil-Dri Corporation of America		1,200		25,548
Omega Protein Corp. (a)		4,780		36,376
Pantry Inc., The (a)		5,739		74,664
Pilgrim’s Pride Corp. (a)		14,766		110,154
Prestige Brands Holdings Inc. (a)		12,448		217,591
PriceSmart Inc.		4,400		320,364
Primo Water Corp. (a)		3,040		5,928
Revlon Inc. Class A (a)		2,700		46,575
Rite Aid Corp. (a)		145,643		253,419
Roundy’s Inc. (a)		4,759		50,921
Ruddick Corp.		12,090		484,809

See accompanying notes to schedules of investments. 11

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Consumer Staples (Cont.)
Sanderson Farms Inc.		5,445	$	288,748
Schiff Nutrition International Inc. (a)		2,900		35,641
Seneca Foods Corp. Class A (a)		2,301		60,608
Smart Balance Inc. (a)		14,600		96,506
Snyders-Lance Inc.		11,658		301,359
Spartan Stores Inc.		5,652		102,414
Spectrum Brands Holdings Inc. (a)		4,090		142,986
Star Scientific Inc. (a)		26,500		86,920
Susser Holdings Corp. (a)		2,300		59,041
Synutra International Inc. (a)		4,500		26,460
Tootsie Roll Industries Inc.		5,999		137,437
TreeHouse Foods Inc. (a)		8,767		521,636
United Natural Foods Inc. (a)		11,946		557,400
Universal Corp.		5,705		265,853
USANA Health Sciences Inc. (a)		1,574		58,757
Vector Group Ltd.		11,912		211,083
Village Super Market Inc. Class A		1,528		48,270
WD-40 Co.		4,062		184,212
Weis Markets Inc.		2,796		121,906
				10,612,738
Energy (6.40%)
Abraxas Petroleum Corp. (a)		20,468		63,861
Alon USA Energy Inc.		2,800		25,340
Amyris Inc. (a)		4,382		22,699
Apco Oil and Gas International Inc.		2,300		156,791
Approach Resources Inc. (a)		6,479		239,399
ATP Oil & Gas Corp. (a)		10,834		79,630
Basic Energy Services Inc. (a)		6,100		105,835
Berry Petroleum Co.		12,740		600,436
Bill Barrett Corp. (a)		11,774		306,242
Bonanza Creek Energy Inc. (a)		2,500		54,625
BPZ Resources Inc. (a)		26,000		104,780
Bristow Group Inc.		8,923		425,895
C&J Energy Services Inc. (a)		2,929		52,107
Cal Dive International Inc. (a)		23,514		77,596
Callon Petroleum Co. (a)		9,694		60,975
CAMAC Energy Inc. (a)		12,002		12,002
Carrizo Oil & Gas Inc. (a)		9,590		271,013
Ceres Inc. (a)		1,500		23,985
Cheniere Energy Inc. (a)		38,157		571,592
Clayton Williams Energy Inc. (a)		1,449		115,109
Clean Energy Fuels Corp. (a)		12,255		260,786
Cloud Peak Energy Inc. (a)		15,087		240,336
Comstock Resources Inc. (a)		11,772		186,351
Contango Oil & Gas Co. (a)		3,000		176,730
Crimson Exploration Inc. (a)		5,419		22,489
Crosstex Energy Inc.		10,319		145,911
CVR Energy Inc. (a)		21,703		580,555
Dawson Geophysical Co. (a)		2,000		68,700
Delek US Holdings Inc.		3,500		54,285
DHT Holdings Inc.		15,800		15,168
DHT Holdings Inc. Rights (a) (b)		63		6,925
Dril-Quip Inc. (a)		8,549		555,856
Endeavour International Corp. (a)		9,231		109,387
Energy Partners Ltd. (a)		7,325		121,668
Energy XXI (Bermuda) Ltd. (a)		18,593		671,393

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Evolution Petroleum Corp. (a)		3,936	$	36,605
Exterran Holdings Inc. (a)		15,806		208,481
Frontline Ltd.		12,714		97,771
FX Energy Inc. (a)		12,900		70,176
Gastar Exploration Ltd. (a)		14,162		42,344
Geokinetics Inc. (a)		2,657		4,676
GeoResources Inc. (a)		4,988		163,307
Gevo Inc. (a)		1,500		13,785
Global Geophysical Services Inc. (a)		4,454		47,257
GMX Resources Inc. (a)		14,812		18,811
Golar LNG Ltd.		9,817		373,537
Goodrich Petroleum Corp. (a)		6,253		118,932
Green Plains Renewable Energy Inc. (a)		4,500		48,555
Gulf Island Fabrication Inc.		3,482		101,918
GulfMark Offshore Inc. Class A (a)		5,899		271,118
Gulfport Energy Corp. (a)		11,277		328,386
Hallador Energy Co.		737		6,515
Harvest Natural Resources Inc. (a)		8,432		59,699
Heckmann Corp. (a)		24,700		106,457
Helix Energy Solutions Group Inc. (a)		26,094		464,473
Hercules Offshore Inc. (a)		33,157		156,833
Hornbeck Offshore Services Inc. (a)		7,634		320,857
Houston American Energy Corp. (a)		4,083		21,313
Hyperdynamics Corp. (a)		38,408		49,546
ION Geophysical Corp. (a)		32,813		211,644
Isramco Inc. (a)		272		23,762
James River Coal Co. (a)		8,761		44,856
Key Energy Services Inc. (a)		31,005		479,027
KiOR Inc. Class A (a)		2,654		35,484
Knightsbridge Tankers Ltd.		5,386		77,451
Kodiak Oil & Gas Corp. (a)		63,809		635,538
L&L Energy Inc. (a)		5,734		14,048
Lufkin Industries Inc.		8,364		674,557
Magnum Hunter Resources Corp. (a)		27,514		176,365
Magnum Hunter Resources Corp. Warrants (a) (b)		2,751		0
Matador Resources Co. (a)		3,600		39,420
Matrix Service Co. (a)		6,700		93,867
McMoRan Exploration Co. (a)		24,248		259,454
Miller Energy Resources Inc. (a)		7,630		32,199
Mitcham Industries Inc. (a)		2,869		64,438
Natural Gas Services Group (a)		3,100		40,920
Newpark Resources Inc. (a)		22,457		183,923
Nordic American Tankers Ltd.		13,202		209,648
Northern Oil and Gas Inc. (a)		15,595		323,440
Oasis Petroleum Inc. (a)		14,711		453,540
Overseas Shipholding Group Inc.		6,668		84,217
OYO Geospace Corp. (a)		1,100		115,863
Panhandle Oil & Gas Inc.		1,763		51,973
Parker Drilling Co. (a)		28,421		169,673
Patriot Coal Corp. (a)		22,510		140,462
Penn Virginia Corp.		11,134		50,660
Petroleum Development Corp. (a)		5,911		219,239
Petroquest Energy Inc. (a)		14,265		87,587
PHI Inc. (a)		3,100		71,765
Pioneer Drilling Co. (a)		15,164		133,443

12 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Renewable Energy Group Inc. (a)		1,900	$	19,684
Rentech Inc. (a)		56,994		118,548
Resolute Energy Corp. (a)		11,443		130,221
REX American Resources Corp. (a)		1,500		46,050
Rex Energy Corp. (a)		10,400		111,072
RigNet Inc. (a)		1,500		26,295
Rosetta Resources Inc. (a)		13,117		639,585
Sanchez Energy Corp. (a)		2,530		56,798
Scorpio Tankers Inc. (a)		7,680		54,221
SemGroup Corp. Class A (a)		10,264		299,093
Ship Finance International Ltd.		11,100		169,830
Solazyme Inc. (a)		2,746		40,174
Stone Energy Corp. (a)		12,074		345,196
Swift Energy Co. (a)		10,520		305,396
Syntroleum Corp. (a)		19,348		18,671
Targa Resources Corp.		4,064		184,709
Teekay Tankers Ltd. Class A		13,194		80,088
Tesco Corp. (a)		7,523		106,751
TETRA Technologies Inc. (a)		19,000		178,980
Triangle Petroleum Corp. (a)		10,639		73,409
Union Drilling Inc. (a)		3,600		20,016
Uranerz Energy Corp. (a)		15,943		40,176
Uranium Energy Corp. (a)		17,800		69,420
Uranium Resources Inc. (a)		22,991		20,920
Ur-Energy Inc. (a)		25,544		31,164
USEC Inc. (a)		28,891		30,624
VAALCO Energy Inc. (a)		12,400		117,180
Vantage Drilling Co. (a)		43,336		69,338
Venoco Inc. (a)		7,279		78,904
Voyager Oil & Gas Inc. (a)		11,537		28,035
W&T Offshore Inc.		8,600		181,288
Warren Resources Inc. (a)		18,346		59,808
Western Refining Inc.		12,881		242,420
Westmoreland Coal Co. (a)		2,467		27,556
Willbros Group Inc. (a)		9,700		31,428
World Fuel Services Corp.		17,477		716,557
Zion Oil & Gas Inc. (a)		6,257		16,518
				19,702,390
Financials (21.41%)
1st Source Corp.		3,827		93,647
1st United Bancorp Inc. (a)		6,900		41,745
Acadia Realty Trust		10,590		238,699
Advance America Cash Advance Centers Inc.		13,801		144,772
AG Mortgage Investment Trust Inc.		2,447		48,304
Agree Realty Corp.		2,820		63,676
Alexander’s Inc.		519		204,424
Alliance Financial Corp.		1,100		33,341
Alterra Capital Holdings Ltd.		22,427		515,372
American Assets Trust Inc.		7,947		181,192
American Campus Communities Inc.		18,384		822,132
American Capital Mortgage Investment Corp.		4,365		95,026
American Equity Investment Life Holding Co.		14,642		186,978

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
American Safety Insurance Holdings Ltd. (a)		2,576	$	48,558
Ameris Bancorp (a)		6,127		80,509
Amerisafe Inc. (a)		4,500		111,330
Ames National Corp.		2,200		52,360
AmTrust Financial Services Inc.		6,100		163,968
Anworth Mortgage Asset Corp.		33,643		221,371
Apollo Commercial Real Estate Finance Inc.		5,361		83,900
Apollo Residential Mortgage Inc.		2,326		42,752
Argo Group International Holdings Ltd.		6,786		202,698
Armour Residential REIT Inc.		44,162		298,094
Arrow Financial Corp.		2,513		61,317
Artio Global Investors Inc.		7,755		36,991
Ashford Hospitality Trust Inc.		13,019		117,301
Associated Estates Realty Corp.		10,200		166,668
Astoria Financial Corp.		21,700		213,962
AV Homes Inc. (a)		2,348		28,599
Baldwin & Lyons Inc.		2,011		45,006
BancFirst Corp.		1,648		71,787
Banco Latinoamericano de Comercio Exterior SA		7,000		147,770
Bancorp Inc., The (a)		7,272		73,011
BancorpSouth Inc.		23,261		313,326
Bank Mutual Corp.		11,919		48,153
Bank of Kentucky Financial Corp., The		1,425		36,665
Bank of Marin Bancorp		1,400		53,214
Bank of the Ozarks Inc.		7,036		219,945
BankFinancial Corp.		5,403		35,768
Banner Corp.		4,365		96,161
BBCN Bancorp Inc. (a)		18,532		206,261
Beneficial Mutual Bancorp Inc. (a)		8,145		71,187
Berkshire Hills Bancorp Inc.		5,076		116,342
BGC Partners Inc. Class A		18,701		138,200
BioMed Realty Trust Inc.		38,006		721,354
BofI Holding Inc. (a)		2,334		39,865
Boston Private Financial Holdings Inc.		19,251		190,777
Bridge Bancorp Inc.		1,685		35,334
Bridge Capital Holdings (a)		2,253		30,325
Brookline Bancorp Inc.		16,492		154,530
Bryn Mawr Bank Corp.		2,800		62,832
Calamos Asset Management Inc. Class A		4,651		60,975
California First National Bancorp		300		4,602
Camden National Corp.		2,000		70,300
Campus Crest Communities Inc.		7,610		88,733
Cape Bancorp Inc. (a)		2,855		22,783
Capital Bank Corp. (a)		3,380		7,571
Capital City Bank Group Inc.		2,998		22,335
CapLease Inc.		16,756		67,527
Capstead Mortgage Corp.		22,494		294,896
Cardinal Financial Corp.		6,967		78,727
Cascade Bancorp (a)		1,473		8,367
Cash America International Inc.		7,280		348,930
Cathay General Bancorp		19,246		340,654

See accompanying notes to schedules of investments. 13

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
CBL & Associates Properties Inc.		36,660	$	693,607
Cedar Realty Trust Inc.		14,275		73,088
Center Bancorp Inc.		2,986		29,950
Centerstate Banks Inc.		7,324		59,764
Central Pacific Financial Corp. (a)		3,594		46,542
Century Bancorp Inc. Class A		709		19,356
Charter Financial Corp.		1,655		14,829
Chatham Lodging Trust		3,387		42,981
Chemical Financial Corp.		6,756		158,361
Chesapeake Lodging Trust		7,847		141,011
CIFC Corp. (a)		2,977		18,457
Citizens & Northern Corp.		3,100		62,000
Citizens Inc. (a)		9,500		93,860
City Holding Co.		3,768		130,825
Clifton Savings Bancorp Inc.		2,225		23,207
CNB Financial Corp.		3,000		50,130
CNO Financial Group Inc. (a)		54,707		425,620
CoBiz Financial Inc.		8,474		59,911
Cogdell Spencer Inc.		10,680		45,283
Cohen & Steers Inc.		4,434		141,445
Colonial Properties Trust		21,861		475,040
Colony Financial Inc.		8,155		133,579
Columbia Banking System Inc.		9,897		225,454
Community Bank System Inc.		9,736		280,202
Community Trust Bancorp Inc.		3,487		111,828
Compass Diversified Holdings		10,009		148,033
Consolidated-Tomoka Land Co.		1,042		31,000
Coresite Realty Corp.		5,054		119,224
Cousins Properties Inc.		22,540		170,853
Cowen Group Inc. Class A (a)		15,679		42,490
Crawford & Co. Class B		6,776		33,202
Credit Acceptance Corp. (a)		1,624		164,040
CreXus Investment Corp.		14,111		145,908
CubeSmart		30,178		359,118
CVB Financial Corp.		21,763		255,498
CYS Investments Inc.		27,570		360,891
DCT Industrial Trust Inc.		60,981		359,788
Delphi Financial Group Inc. Class A		11,833		529,763
DFC Global Corp. (a)		10,578		199,607
Diamond Hill Investment Group		600		44,190
DiamondRock Hospitality Co.		41,940		431,563
Dime Community Bancshares		7,669		112,044
Donegal Group Inc.		1,869		25,549
Doral Financial Corp. (a)		31,175		48,010
Duff & Phelps Corp. Class A		7,500		116,550
DuPont Fabros Technology Inc.		14,540		355,503
Dynex Capital Inc.		13,353		127,521
Eagle Bancorp Inc. (a)		4,346		72,752
EastGroup Properties Inc.		6,767		339,839
Edelman Financial Group Inc.		4,975		32,885
Education Realty Trust Inc.		22,882		248,041
eHealth Inc. (a)		5,100		83,181
EMC Insurance Group Inc.		981		19,708
Employers Holdings Inc.		8,100		143,451
Encore Bancshares Inc. (a)		2,127		43,327
Enstar Group Ltd. (a)		1,700		168,283
Enterprise Bancorp Inc.		1,437		23,624

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Enterprise Financial Services Corp.		4,076	$	47,852
Entertainment Properties Trust		11,521		534,344
Epoch Holding Corp.		3,700		88,356
Equity Lifestyle Properties Inc.		8,075		563,150
Equity One Inc.		13,195		266,803
ESB Financial Corp.		3,140		45,279
ESSA Bancorp Inc.		2,800		27,440
Evercore Partners Inc. Class A		5,300		154,071
Excel Trust Inc.		7,621		92,062
Extra Space Storage Inc.		23,299		670,778
EZCORP Inc. Class A (a)		11,600		376,478
F.N.B. Corp.		33,661		406,625
FBL Financial Group Inc.		3,098		104,403
FBR & Co. (a)		10,000		25,700
Federal Agricultural Mortgage Corp. Class C		2,404		54,571
FelCor Lodging Trust Inc. (a)		30,618		110,225
Financial Engines Inc. (a)		9,512		212,688
Financial Institutions Inc.		3,400		54,978
First American Financial Corp.		25,967		431,831
First Bancorp (North Carolina)		3,703		40,474
First Bancorp Inc.		2,362		35,028
First Busey Corp.		18,979		93,756
First Cash Financial Services Inc. (a)		7,314		313,697
First Commonwealth Financial Corp.		26,134		159,940
First Community Bancshares Inc.		3,823		51,075
First Connecticut Bancorp Inc.		4,394		57,957
First Defiance Financial Corp.		2,394		40,363
First Financial Bancorp		14,541		251,559
First Financial Bankshares Inc.		7,752		272,948
First Financial Corp. Indiana		2,699		85,693
First Financial Holdings Inc.		3,808		41,888
First Industrial Realty Trust Inc. (a)		21,313		263,216
First Interstate BancSystem Inc.		3,857		56,389
First Marblehead Corp., The (a)		15,400		18,788
First Merchants Corp.		6,106		75,348
First Midwest Bancorp Inc.		18,551		222,241
First of Long Island Corp., The		1,800		47,700
First PacTrust Bancorp Inc.		2,096		24,984
First Potomac Realty Trust		12,389		149,783
FirstMerit Corp.		27,033		455,776
Flagstar Bancorp Inc. (a)		48,089		44,242
Flagstone Reinsurance Holdings SA.		13,000		102,310
Flushing Financial Corp.		7,597		102,256
Forestar Group Inc. (a)		8,700		133,893
Fortegra Financial Corp. (a)		1,400		11,704
Fox Chase Bancorp		2,983		38,779
Franklin Financial Corp. (a)		3,432		46,092
Franklin Street Properties Corp.		17,445		184,917
FX Alliance Inc. (a)		1,500		23,520
FXCM Inc. Class A		4,262		55,363
Gain Capital Holdings Inc.		1,900		9,538
GAMCO Investors Inc.		1,625		80,616
German American Bancorp Inc.		3,100		60,233
Getty Realty Corp.		6,394		99,619
GFI Group Inc.		18,256		68,643
Glacier Bancorp Inc.		17,844		266,589

14 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Gladstone Commercial Corp.		2,900	$	49,909
Gleacher & Co Inc. (a)		19,708		26,803
Glimcher Realty Trust		34,686		354,491
Global Indemnity PLC (a)		3,118		60,770
Government Properties Income Trust		8,712		210,046
Great Southern Bancorp Inc.		2,467		59,208
Greenlight Capital Re Ltd. Class A (a)		7,103		174,947
Hallmark Financial Services Inc. (a)		2,600		20,514
Hampton Roads Bankshares Inc. (a)		2,411		7,305
Hancock Holding Co.		18,830		668,653
Hanmi Financial Corp. (a)		7,852		79,462
Harleysville Group Inc.		3,054		176,216
Hatteras Financial Corp.		18,451		514,783
Healthcare Realty Trust Inc.		19,176		421,872
Heartland Financial USA Inc.		3,243		56,234
Heritage Commerce Corp. (a)		5,133		33,005
Heritage Financial Corp.		3,900		53,040
Hersha Hospitality Trust		34,921		190,669
HFF Inc. Class A (a)		7,137		117,546
Highwoods Properties Inc.		17,888		596,028
Hilltop Holdings Inc. (a)		10,188		85,477
Home Bancshares Inc.		5,658		150,559
Home Federal Bancorp Inc.		4,100		41,533
Home Loan Servicing Solutions Ltd.		3,340		46,560
Home Properties Inc.		11,908		726,507
HomeStreet Inc. (a)		1,100		30,580
Horace Mann Educators Corp.		10,002		176,235
Hudson Pacific Properties Inc.		5,452		82,489
Hudson Valley Holding Corp.		3,852		62,133
IBERIABANK Corp.		7,277		389,101
ICG Group Inc. (a)		9,421		84,318
Imperial Holdings Inc. (a)		4,386		11,711
Independence Holding Co.		1,974		19,661
Independent Bank Corp.		5,310		152,556
Infinity Property & Casualty Corp.		3,086		161,490
Inland Real Estate Corp.		19,017		168,681
International Bancshares Corp.		12,950		273,892
INTL FCStone Inc. (a)		3,127		65,980
Invesco Mortgage Capital		28,438		501,931
Investment Technology Group Inc. (a)		9,612		114,960
Investors Bancorp Inc. (a)		11,429		171,664
Investors Real Estate Trust		21,234		163,289
iStar Financial Inc. (a)		20,400		147,900
JMP Group Inc.		3,514		25,933
Kansas City Life Insurance Co.		1,057		34,035
KBW Inc.		8,333		154,160
Kearny Financial Corp.		3,406		33,208
Kennedy-Wilson Holdings Inc.		6,593		89,006
Kilroy Realty Corp.		16,862		785,938
Kite Realty Group Trust		14,094		74,275
Knight Capital Group Inc. Class A (a)		24,854		319,871
Ladenburg Thalmann Financial Services Inc. (a)		26,630		47,401
Lakeland Bancorp Inc.		5,640		55,554
Lakeland Financial Corp.		3,932		102,350
LaSalle Hotel Properties		21,063		592,713

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Lexington Realty Trust		29,456	$	264,809
LTC Properties Inc.		7,501		240,032
Maiden Holdings Ltd.		12,700		114,300
MainSource Financial Group Inc.		5,161		62,190
Manning & Napier Inc. (a)		3,077		45,232
MarketAxess Holdings Inc.		7,151		266,661
Marlin Business Services Corp.		2,159		32,515
MB Financial Inc.		13,367		280,573
Meadowbrook Insurance Group Inc.		12,962		120,935
Medical Properties Trust Inc.		33,162		307,743
Merchants Bancshares Inc.		1,308		36,859
Meridian Interstate Bancorp Inc. (a)		2,126		27,914
Metro Bancorp Inc. (a)		3,600		42,084
MFA Financial Inc.		87,769		655,634
MGIC Investment Corp. (a)		46,290		229,598
Mid-America Apartment Communities Inc.		10,132		679,148
MidSouth Bancorp Inc.		1,900		25,840
Mission West Properties Inc.		4,185		41,264
Monmouth Real Estate Investment Corp. Class A		9,400		91,556
Montpelier Re Holdings Ltd.		15,419		297,895
MPG Office Trust Inc. (a)		12,247		28,658
National Bankshares Inc.		1,700		51,170
National Financial Partners Corp. (a)		10,263		155,382
National Health Investors Inc.		6,101		297,607
National Interstate Corp.		1,813		46,377
National Penn Bancshares Inc.		30,486		269,801
National Retail Properties Inc.		25,741		699,898
National Western Life Insurance Co.		575		78,700
Navigators Group Inc., The (a)		2,672		126,225
NBT Bancorp Inc.		8,466		186,929
Nelnet Inc. Class A		6,500		168,415
Netspend Holdings Inc. (a)		6,649		51,596
Newcastle Investment Corp.		25,844		162,300
NewStar Financial Inc. (a)		6,732		74,860
Nicholas Financial Inc.		2,406		31,735
Northfield Bancorp Inc.		4,232		60,179
NorthStar Realty Finance Corp.		28,327		153,249
Northwest Bancshares Inc.		23,958		304,267
OceanFirst Financial Corp.		3,400		48,416
Ocwen Financial Corp. (a)		23,594		368,774
Old National Bancorp		23,295		306,096
Omega Healthcare Investors Inc.		25,109		533,817
OmniAmerican Bancorp Inc. (a)		2,705		52,369
One Liberty Properties Inc.		2,747		50,270
OneBeacon Insurance Group Ltd. Class A		5,448		83,954
Oppenheimer Holdings Inc. Class A		2,680		46,498
Oriental Financial Group Inc.		10,396		125,792
Oritani Financial Corp.		11,505		168,893
Orrstown Financial Services Inc.		1,800		15,786
Pacific Capital Bancorp (a)		994		45,336
Pacific Continental Corp.		4,600		43,332
PacWest Bancorp		7,391		179,601
Park National Corp.		3,170		219,269
Park Sterling Corp. (a)		8,746		41,981

See accompanying notes to schedules of investments. 15

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Parkway Properties Inc.		5,445	$	57,064
Pebblebrook Hotel Trust		12,502		282,295
Penns Woods Bancorp Inc.		857		35,034
Pennsylvania Real Estate Investment Trust		13,750		209,962
PennyMac Mortgage Investment Trust		7,444		138,979
Peoples Bancorp Inc.		2,610		45,779
PHH Corp. (a)		13,769		213,006
Phoenix Companies Inc., The (a)		28,603		70,077
PICO Holdings Inc. (a)		5,707		133,829
Pinnacle Financial Partners Inc. (a)		8,414		154,397
Piper Jaffray Companies Inc. (a)		4,033		107,358
Platinum Underwriters Holdings Ltd.		8,797		321,090
Post Properties Inc.		13,077		612,788
Potlatch Corp.		10,065		315,437
Presidential Life Corp.		5,157		58,945
Primerica Inc.		7,382		186,100
PrivateBancorp Inc.		14,804		224,577
ProAssurance Corp.		7,599		669,548
Prosperity Bancshares Inc.		11,652		533,662
Provident Financial Services Inc.		15,018		218,212
Provident New York Bancorp		9,270		78,424
PS Business Parks Inc.		4,582		300,304
Pzena Investment Management Inc. Class A		2,000		11,700
Radian Group Inc.		33,100		143,985
RAIT Financial Trust		12,721		63,223
Ramco-Gershenson Properties Trust		9,655		117,984
Redwood Trust Inc.		19,754		221,245
Renasant Corp.		6,116		99,568
Republic Bancorp Inc. Class A		2,319		55,470
Resource Capital Corp.		21,000		113,190
Retail Opportunity Investments Corp.		12,458		149,994
RLI Corp.		4,538		325,102
RLJ Lodging Trust		6,787		126,442
Rockville Financial Inc.		7,268		84,672
Roma Financial Corp.		2,006		19,639
S&T Bancorp Inc.		6,862		148,837
Sabra Health Care REIT Inc.		9,084		149,341
Safeguard Scientifics Inc. (a)		5,216		89,715
Safety Insurance Group Inc.		3,164		131,749
Sandy Spring Bancorp Inc.		5,994		108,911
Saul Centers Inc.		1,848		74,585
SCBT Financial Corp.		3,513		114,910
SeaBright Holdings Inc.		4,600		41,814
Seacoast Banking Corporation of Florida (a)		17,806		31,339
Selective Insurance Group Inc.		13,311		234,407
Sierra Bancorp		2,800		27,524
Signature Bank (a)		11,352		715,630
Simmons First National Corp.		4,216		108,899
Southside Bancshares Inc.		4,058		89,682
Southwest Bancorp Inc. (a)		5,055		46,607
Sovran Self Storage Inc.		6,744		336,054
STAG Industrial Inc.		3,893		54,346
Starwood Property Trust Inc.		23,077		485,079
State Auto Financial Corp.		3,558		51,982

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
State Bank Financial Corp. (a)		7,798	$	136,543
StellarOne Corp.		5,700		67,659
Sterling Bancorp NY		8,008		76,797
Sterling Financial Corp. (a)		6,595		137,704
Stewart Information Services Corp.		4,491		63,817
Stifel Financial Corp. (a)		13,256		501,607
Strategic Hotels & Resorts Inc. (a)		43,093		283,552
Suffolk Bancorp (a)		2,423		31,475
Summit Hotel Properties Inc.		6,430		48,739
Sun Bancorp Inc. (a)		9,204		32,490
Sun Communities Inc.		6,515		282,295
Sunstone Hotel Investors Inc. (a)		29,095		283,385
Susquehanna Bancshares Inc.		45,771		452,217
SVB Financial Group (a)		10,660		685,864
SWS Group Inc.		6,997		40,023
SY Bancorp Inc.		2,867		66,514
Symetra Financial Corp.		16,597		191,363
Tanger Factory Outlet Centers Inc.		21,144		628,611
Taylor Capital Group Inc. (a)		3,833		55,004
Tejon Ranch Co. (a)		3,536		101,271
Terreno Realty Corp.		3,351		47,953
Territorial Bancorp Inc.		2,685		55,875
Texas Capital Bancshares Inc. (a)		9,280		321,274
Tompkins Financial Corp.		2,046		81,963
Tower Group Inc.		9,234		207,119
TowneBank		6,000		80,940
Trico Bancshares		3,592		62,573
Trustco Bank Corp. NY		23,277		132,912
Trustmark Corp.		15,701		392,211
Two Harbors Investment Corp.		51,762		524,867
UMB Financial Corp.		8,035		359,446
UMH Properties Inc.		2,800		30,688
Umpqua Holdings Corp.		28,509		386,582
Union First Market Bankshares Corp.		5,263		73,682
United Bankshares Inc.		12,368		356,940
United Community Banks Inc. (a)		10,243		99,869
United Financial Bancorp Inc.		4,093		64,751
United Fire Group Inc.		5,292		94,674
Universal Health Realty Income Trust		3,005		119,088
Universal Insurance Holdings Inc.		5,400		21,006
Univest Corp. of Pennsylvania		4,199		70,459
Urstadt Biddle Properties Inc.		5,704		112,597
ViewPoint Financial Group		8,580		131,960
Virginia Commerce Bancorp (a)		6,186		54,313
Virtus Investment Partners Inc. (a)		1,630		139,821
Walker & Dunlop Inc. (a)		2,629		33,125
Walter Investment Management Corp.		6,260		141,163
Washington Banking Co.		3,610		49,854
Washington Real Estate Investment Trust		16,290		483,813
Washington Trust Bancorp Inc.		3,556		85,842
Webster Financial Corp.		17,804		403,617
WesBanco Inc.		5,787		116,550
West Bancorporation		3,700		36,963
West Coast Bancorp (a)		4,742		89,719

16 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Westamerica Bancorporation		7,092	$	340,416
Western Alliance Bancorp (a)		17,600		149,072
Westfield Financial Inc.		6,860		54,263
Westwood Holdings Group Inc.		1,571		60,845
Whitestone REIT Class B		1,829		23,850
Wilshire Bancorp Inc. (a)		15,870		76,652
Winthrop Realty Trust		7,060		81,825
Wintrust Financial Corp.		8,708		311,659
World Acceptance Corp. (a)		3,781		231,586
WSFS Financial Corp.		1,635		67,035
				65,914,516
Health Care (12.50%)
Abaxis Inc. (a)		5,621		163,740
Abiomed Inc. (a)		7,901		175,323
Accretive Health Inc. (a)		9,925		198,202
Accuray Inc. (a)		16,944		119,625
Achillion Pharmaceuticals Inc. (a)		11,809		113,130
Acorda Therapeutics Inc. (a)		9,744		258,703
Acura Pharmaceuticals Inc. (a)		1,900		6,574
Aegerion Pharmaceuticals Inc. (a)		2,298		31,781
Affymax Inc. (a)		8,627		101,281
Affymetrix Inc. (a)		17,100		73,017
Air Methods Corp. (a)		2,800		244,300
Akorn Inc. (a)		13,676		160,009
Albany Molecular Research Inc. (a)		5,823		15,722
Align Technology Inc. (a)		15,039		414,324
Alimera Sciences Inc. (a)		2,781		9,400
Alkermes PLC (a)		23,415		434,348
Alliance HealthCare Services Inc. (a)		6,742		10,113
Allos Therapeutics Inc. (a)		20,300		30,044
Almost Family Inc. (a)		1,900		49,419
Alnylam Pharmaceuticals Inc. (a)		11,103		122,910
Alphatec Holdings Inc. (a)		12,600		29,862
AMAG Pharmaceuticals Inc. (a)		5,282		84,142
Amedisys Inc. (a)		7,288		105,384
Amicus Therapeutics Inc. (a)		5,278		27,868
AMN Healthcare Services Inc. (a)		10,188		61,739
Ampio Pharmaceuticals Inc. (a)		4,914		16,757
Amsurg Corp. (a)		7,804		218,356
Anacor Pharmaceuticals Inc. (a)		2,917		17,181
Analogic Corp.		3,106		209,779
Angiodynamics Inc. (a)		6,300		77,175
Antares Pharma Inc. (a)		21,677		70,017
Anthera Pharmaceuticals Inc. (a)		5,237		11,574
Ardea Biosciences Inc. (a)		5,695		123,923
Arena Pharmaceuticals Inc. (a)		41,658		127,890
Ariad Pharmaceuticals Inc. (a)		38,813		619,067
ArQule Inc. (a)		13,200		92,532
Array Biopharma Inc. (a)		20,778		70,853
ArthroCare Corp. (a)		6,715		180,298
Assisted Living Concepts Inc. Class A		4,680		77,735
Astex Pharmaceuticals Inc. (a)		14,600		27,156
athenahealth Inc. (a)		8,631		639,730
AtriCure Inc. (a)		3,468		34,507
Atrion Corp.		400		84,084

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Auxilium Pharmaceuticals Inc. (a)		11,781	$	218,773
AVANIR Pharmaceuticals Inc. Class A (a)		32,900		112,518
Aveo Pharmaceuticals Inc. (a)		7,710		95,681
AVI BioPharma Inc. (a)		35,064		53,999
Bacterin International Holdings Inc. (a)		5,528		13,378
BG Medicine Inc. (a)		1,900		13,338
BioCryst Pharmaceuticals Inc. (a)		6,780		32,747
BioLase Technology Inc. (a)		7,171		19,433
BioMimetic Therapeutics Inc. (a)		4,506		11,130
Bio-Reference Laboratories Inc. (a)		5,986		140,731
BioSante Pharmaceuticals Inc. (a)		27,387		18,623
BioScrip Inc. (a)		9,754		66,230
BioSpecifics Technologies Corp. (a)		1,393		22,037
BioTime Inc. (a)		6,836		30,147
Cadence Pharmaceuticals Inc. (a)		12,520		46,324
Cambrex Corp. (a)		7,481		52,292
Cantel Medical Corp.		4,800		120,432
Capital Senior Living Corp. (a)		7,200		66,528
CardioNet Inc. (a)		6,100		18,788
Cardiovascular Systems Inc. (a)		3,270		30,248
Cell Therapeutics Inc. (a)		56,170		73,021
Celldex Therapeutics Inc. (a)		14,055		71,540
Cempra Inc. (a)		1,000		7,550
Centene Corp. (a)		12,309		602,772
Cepheid Inc. (a)		16,084		672,794
Cerus Corp. (a)		14,340		57,647
Chelsea Therapeutics International Ltd. (a)		15,329		39,242
Chemed Corp.		4,924		308,636
ChemoCentryx Inc. (a)		1,200		12,792
Chindex International Inc. (a)		2,800		26,600
Cleveland Biolabs Inc. (a)		8,082		19,882
Clovis Oncology Inc. (a)		2,634		67,035
Codexis Inc. (a)		5,958		21,747
Columbia Laboratories Inc. (a)		18,065		12,826
Complete Genomics Inc. (a)		2,462		6,943
Computer Programs & Systems Inc.		2,784		157,352
Conceptus Inc. (a)		7,800		112,164
Conmed Corp.		7,029		209,956
Corcept Therapeutics Inc. (a)		10,130		39,811
Cornerstone Therapeutics Inc. (a)		1,800		10,728
Corvel Corp. (a)		1,539		61,391
Cross Country Healthcare Inc. (a)		6,689		33,517
CryoLife Inc. (a)		6,832		36,005
Cubist Pharmaceuticals Inc. (a)		15,505		670,591
Curis Inc. (a)		19,387		93,445
Cyberonics Inc. (a)		6,976		265,995
Cynosure Inc. Class A (a)		2,500		44,650
Cytori Therapeutics Inc. (a)		12,000		29,880
Delcath Systems Inc. (a)		11,200		35,168
DepoMed Inc. (a)		12,800		80,128
Dexcom Inc. (a)		16,601		173,148
Durect Corp. (a)		20,848		16,678
DUSA Pharmaceuticals Inc. (a)		6,020		37,685
Dyax Corp. (a)		25,477		39,744
Dynavax Technologies Corp. (a)		38,270		193,646

See accompanying notes to schedules of investments. 17

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
DynaVox Inc. Class A (a)		2,296	$	7,072
Emergent Biosolutions Inc. (a)		6,000		96,000
Emeritus Corp. (a)		7,500		132,450
Endocyte Inc. (a)		3,578		17,818
Endologix Inc. (a)		12,129		177,690
Ensign Group Inc., The		4,000		108,640
Enzo Biochem Inc. (a)		10,161		27,333
Enzon Pharmaceuticals Inc. (a)		9,215		63,031
ePocrates Inc. (a)		1,565		13,428
eResearch Technology Inc. (a)		12,537		98,039
Exact Sciences Corp. (a)		14,094		157,289
Exactech Inc. (a)		2,200		34,870
ExamWorks Group Inc. (a)		6,692		83,115
Exelixis Inc. (a)		36,630		189,743
Five Star Quality Care Inc. (a)		10,281		35,058
Fluidigm Corp. (a)		1,594		25,074
Furiex Pharmaceuticals Inc. (a)		2,578		60,918
Genomic Health Inc. (a)		4,200		128,562
Gentiva Health Services Inc. (a)		7,626		66,651
Geron Corp. (a)		32,073		54,203
Greatbatch Inc. (a)		5,856		143,589
Greenway Medical Technologies Inc. (a)		1,900		29,032
GTx Inc. (a)		6,425		24,736
Haemonetics Corp. (a)		6,302		439,123
Halozyme Therapeutics Inc. (a)		21,940		279,954
Hanger Orthopedic Group Inc. (a)		8,300		181,438
Hansen Medical Inc. (a)		14,015		42,045
Harvard Bioscience Inc. (a)		5,592		21,921
Healthsouth Corp. (a)		23,376		478,740
HealthStream Inc. (a)		4,382		101,619
Healthways Inc. (a)		8,570		63,075
HeartWare International Inc. (a)		2,985		196,085
Hi-Tech Pharmacal Co. Inc. (a)		2,600		93,418
HMS Holdings Corp. (a)		21,000		655,410
Horizon Pharma Inc. (a)		2,200		9,108
ICU Medical Inc. (a)		3,032		149,053
Idenix Pharmaceuticals Inc. (a)		15,051		147,349
ImmunoGen Inc. (a)		18,593		267,553
Immunomedics Inc. (a)		16,385		59,478
Impax Laboratories Inc. (a)		16,100		395,738
Incyte Corp. (a)		21,975		424,118
Infinity Pharmaceuticals Inc. (a)		5,000		59,800
Insmed Inc. (a)		6,127		22,241
Insulet Corp. (a)		11,365		217,526
Integra LifeSciences Holdings Corp. (a)		4,827		167,449
InterMune Inc. (a)		13,536		198,573
Invacare Corp.		7,104		117,713
IPC The Hospitalist Co. (a)		4,100		151,331
IRIS International Inc. (a)		4,600		62,146
Ironwood Pharmaceuticals Inc. (a)		13,278		176,730
Isis Pharmaceuticals Inc. (a)		24,592		215,672
ISTA Pharmaceuticals Inc. (a)		8,088		72,873
Jazz Pharmaceuticals PLC (a)		5,446		263,968
Kensey Nash Corp.		2,100		61,446
Keryx Biopharmaceuticals Inc. (a)		16,978		84,550
Kindred Healthcare Inc. (a)		12,837		110,912

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
K-V Pharmaceutical Co. Class A (a)		12,712	$	16,780
Landauer Inc.		2,380		126,188
Lannett Company Inc. (a)		4,000		16,680
Lexicon Pharmaceuticals Inc. (a)		45,700		85,002
LHC Group Inc. (a)		3,900		72,267
Ligand Pharmaceuticals Inc. Class B (a)		4,816		76,815
Luminex Corp. (a)		9,414		219,817
Magellan Health Services Inc. (a)		6,991		341,231
MAKO Surgical Corp. (a)		7,947		334,966
MannKind Corp. (a)		24,313		60,053
MAP Pharmaceuticals Inc. (a)		5,428		77,946
Masimo Corp. (a)		13,025		304,524
Maxygen Inc. (a)		6,379		36,615
MedAssets Inc. (a)		11,808		155,393
Medical Action Industries Inc. (a)		3,650		20,878
Medicines Co., The (a)		13,310		267,132
Medicis Pharmaceutical Corp. Class A		15,263		573,736
Medidata Solutions Inc. (a)		5,228		139,274
Medivation Inc. (a)		7,800		582,816
MEDTOX Scientific Inc. (a)		1,869		31,511
Merge Healthcare Inc. (a)		13,200		77,220
Meridian Bioscience Inc.		10,200		197,676
Merit Medical Systems Inc. (a)		10,396		129,118
Metabolix Inc. (a)		8,315		23,531
Metropolitan Health Networks Inc. (a)		10,785		101,055
MModal Inc. (a)		8,514		89,823
Molina Healthcare Inc. (a)		6,943		233,493
Momenta Pharmaceuticals Inc. (a)		11,411		174,817
MWI Veterinary Supply Inc. (a)		3,100		272,800
Nabi Biopharmaceuticals (a)		10,111		18,806
National Healthcare Corp.		2,573		117,226
National Research Corp.		400		17,176
Natus Medical Inc. (a)		7,200		85,896
Navidea Biopharmaceuticals Inc. (a)		22,300		73,144
Nektar Therapeutics (a)		28,208		223,407
Neogen Corp. (a)		5,784		225,981
NeoStem Inc. (a)		18,051		6,814
Neurocrine Biosciences Inc. (a)		14,238		113,477
NewLink Genetics Corp. (a)		1,700		15,555
Novavax Inc. (a)		23,403		29,488
NPS Pharmaceuticals Inc. (a)		21,215		145,111
NuVasive Inc. (a)		10,598		178,470
NxStage Medical Inc. (a)		11,019		212,336
Nymox Pharmaceutical Corp. (a)		4,699		37,780
Obagi Medical Products Inc. (a)		4,400		58,960
Omnicell Inc. (a)		8,100		123,201
OncoGenex Pharmaceutical Inc. (a)		3,596		47,791
Oncothyreon Inc. (a)		10,243		44,659
Onyx Pharmaceuticals Inc. (a)		15,658		589,993
Opko Health Inc. (a)		26,910		127,284
Optimer Pharmaceuticals Inc. (a)		11,500		159,850
OraSure Technologies Inc. (a)		11,475		131,848
Orexigen Therapeutics Inc. (a)		11,244		46,100
Orthofix International NV (a)		4,400		165,352
Osiris Therapeutics Inc. (a)		4,300		22,016
Owens & Minor Inc.		15,828		481,330

18 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Pacific Biosciences of California Inc. (a)		8,369	$	28,622
Pacira Pharmaceuticals Inc. (a)		2,016		23,265
Pain Therapeutics Inc. (a)		8,959		32,163
Palomar Medical Technologies Inc. (a)		4,424		41,320
Par Pharmaceutical Companies Inc. (a)		8,921		345,510
Parexel International Corp. (a)		14,434		389,285
PDL BioPharma Inc.		34,715		220,440
Peregrine Pharmaceuticals Inc. (a)		31,599		17,067
Pernix Therapeutics Holdings Inc. (a)		811		7,299
Pharmacyclics Inc. (a)		11,493		319,046
PharmAthene Inc. (a)		8,716		15,427
PharMerica Corp. (a)		7,418		92,206
Pozen Inc. (a)		6,699		40,194
Progenics Pharmaceuticals Inc. (a)		7,669		75,923
Providence Service Corp. (a)		3,399		52,718
PSS World Medical Inc. (a)		12,654		320,652
Quality Systems Inc.		9,552		417,709
Questcor Pharmaceuticals Inc. (a)		13,100		492,822
Quidel Corp. (a)		7,000		128,590
Radnet Inc. (a)		7,536		23,964
Raptor Pharmaceutical Corp. (a)		11,705		79,126
Rigel Pharmaceuticals Inc. (a)		16,966		136,576
Rockwell Medical Technologies Inc. (a)		3,956		37,424
RTI Biologics Inc. (a)		13,700		50,690
Sagent Pharmaceuticals Inc. (a)		1,639		29,289
Salix Pharmaceuticals Ltd. (a)		14,475		759,938
Sangamo BioSciences Inc. (a)		12,900		63,210
Santarus Inc. (a)		13,300		77,805
Savient Pharmaceuticals Inc. (a)		17,922		39,070
SciClone Pharmaceuticals Inc. (a)		8,700		54,897
Seattle Genetics Inc. (a)		23,848		486,022
Select Medical Holdings Corp. (a)		10,134		77,930
Sequenom Inc. (a)		28,414		115,645
SIGA Technologies Inc. (a)		8,400		28,224
Skilled Healthcare Group Inc. Class A (a)		5,000		38,300
Solta Medical Inc. (a)		14,830		44,935
Spectranetics Corp. (a)		8,400		87,360
Spectrum Pharmaceuticals Inc. (a)		14,328		180,963
STAAR Surgical Co. (a)		8,624		93,398
Stereotaxis Inc. (a)		10,835		7,043
STERIS Corp.		14,631		462,632
Sucampo Pharmaceuticals Inc. Class A (a)		3,600		26,820
Sun Healthcare Group Inc. (a)		6,215		42,511
Sunesis Pharmaceuticals Inc. (a)		6,910		19,832
Sunrise Senior Living Inc. (a)		14,264		90,148
SurModics Inc. (a)		4,000		61,480
Symmetry Medical Inc. (a)		9,208		65,101
Synergetics USA Inc. (a)		5,510		35,815
Synta Pharmaceuticals Corp. (a)		6,200		26,970
Targacept Inc. (a)		6,778		34,703
Team Health Holdings Inc. (a)		6,567		135,018
Theravance Inc. (a)		17,000		331,500
Tornier NV (a)		2,602		66,871
Transcend Services Inc. (a)		2,300		67,505

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Transcept Pharmaceuticals Inc. (a)		1,190	$	12,519
Triple-S Management Corp. Class B (a)		5,000		115,500
Trius Therapeutics Inc. (a)		3,061		16,376
U.S. Physical Therapy Inc.		2,900		66,845
Unilife Corp. (a)		15,994		64,936
Universal American Corp.		8,156		87,922
Uroplasty Inc. (a)		5,098		15,345
Vanda Pharmaceuticals Inc. (a)		6,800		32,572
Vanguard Health Systems Inc. (a)		7,500		73,950
Vascular Solutions Inc. (a)		4,400		47,476
Verastem Inc. (a)		1,500		16,395
Vical Inc. (a)		20,963		71,274
ViroPharma Inc. (a)		17,583		528,721
VIVUS Inc. (a)		24,261		542,476
Volcano Corp. (a)		12,900		365,715
WellCare Health Plans Inc. (a)		10,577		760,275
West Pharmaceutical Services Inc.		8,314		353,594
Wright Medical Group Inc. (a)		9,745		188,273
Xenoport Inc. (a)		8,722		39,249
Young Innovations Inc.		1,300		40,196
Zalicus Inc. (a)		19,866		23,839
Zeltiq Aesthetics Inc. (a)		1,800		11,106
ZIOPHARM Oncology Inc. (a)		16,491		89,051
Zogenix Inc. (a)		6,404		12,808
Zoll Medical Corp. (a)		5,466		506,316
				38,488,066
Industrials (15.51%)
A.T. Cross Co. Class A (a)		2,338		28,150
A123 Systems Inc. (a)		21,674		24,275
Aaon Inc.		4,645		93,785
AAR Corp.		9,803		178,905
ABM Industries Inc.		13,035		316,750
Acacia Research Corp. (a)		10,552		440,440
ACCO Brands Corp. (a)		13,532		167,932
Accuride Corp. (a)		10,047		87,308
Aceto Corp.		6,964		66,088
Active Power Inc. (a)		19,591		15,283
Actuant Corp. Class A		17,045		494,135
Acuity Brands Inc.		10,713		673,098
Advisory Board Co., The (a)		4,078		361,392
Aegion Corp. (a)		9,956		177,515
Aerovironment Inc. (a)		4,104		110,028
Air Transport Services Group Inc. (a)		13,100		75,849
Aircastle Ltd.		13,700		167,688
Alamo Group Inc.		1,685		50,651
Alaska Air Group Inc. (a)		17,834		638,814
Albany International Corp. Class A		6,951		159,525
Allegiant Travel Co. (a)		3,710		202,195
Altra Holdings Inc. (a)		6,600		126,720
AMERCO		2,088		220,305
Ameresco Inc. Class A (a)		4,400		59,620
American Railcar Industries Inc. (a)		2,509		58,987
American Reprographics Co. (a)		9,321		50,240
American Science & Engineering Inc.		2,281		152,941
American Superconductor Corp. (a)		10,996		45,304

See accompanying notes to schedules of investments. 19

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
American Woodmark Corp.		2,433	$	43,794
Ampco-Pittsburgh Corp.		2,200		44,286
AO Smith Corp.		9,393		422,215
Apogee Enterprises Inc.		7,136		92,411
Applied Industrial Technologies Inc.		10,449		429,767
Argan Inc.		1,800		28,872
Arkansas Best Corp.		6,390		120,196
Astec Industries Inc. (a)		4,914		179,263
Astronics Corp. (a)		2,640		92,294
Atlas Air Worldwide Holdings Inc. (a)		6,443		317,060
Avis Budget Group Inc. (a)		26,200		370,730
AZZ Inc.		3,100		160,084
Baltic Trading Ltd.		4,089		16,969
Barnes Group Inc.		13,444		353,712
Barrett Business Services Inc.		1,800		35,694
Beacon Roofing Supply Inc. (a)		11,285		290,702
Belden Inc.		11,773		446,314
Blount International Inc. (a)		11,994		200,060
Brady Corp.		11,713		378,916
Briggs & Stratton Corp.		12,580		225,559
Brink’s Co., The		11,499		274,481
Broadwind Energy Inc. (a)		37,500		17,629
Builders FirstSource Inc. (a)		12,105		51,204
CAI International Inc. (a)		3,000		54,540
Capstone Turbine Corp. (a)		68,537		69,908
Cascade Corp.		2,262		113,371
Casella Waste Systems Inc. Class A (a)		6,114		38,090
CBIZ Inc. (a)		9,736		61,532
CDI Corp.		2,986		53,539
Celadon Group Inc.		4,800		74,640
Cenveo Inc. (a)		13,671		46,208
Ceradyne Inc.		6,220		202,523
Chart Industries Inc. (a)		7,300		535,309
CIRCOR International Inc.		4,321		143,760
Clarcor Inc.		12,513		614,263
Clean Harbors Inc. (a)		11,636		783,452
Coleman Cable Inc. (a)		2,070		20,120
Colfax Corp. (a)		12,821		451,812
Columbus McKinnon Corp. (a)		4,600		74,934
Comfort Systems USA Inc.		9,173		100,077
Commercial Vehicle Group Inc. (a)		7,096		86,642
Consolidated Graphics Inc. (a)		2,101		95,070
Corporate Executive Board Co., The		8,500		365,585
CoStar Group Inc. (a)		6,288		434,186
Courier Corp.		2,501		29,012
Covenant Transport Group Inc. Class A (a)		2,045		6,544
CRA International Inc. (a)		2,815		70,994
Cubic Corp.		3,965		187,465
Curtiss-Wright Corp.		11,478		424,801
Deluxe Corp.		12,600		295,092
DigitalGlobe Inc. (a)		8,687		115,885
Dolan Co., The (a)		7,800		71,058
Dollar Thrifty Automotive Group Inc. (a)		7,212		583,523
Douglas Dynamics Inc.		4,610		63,388
Ducommun Inc. (a)		2,528		30,083
DXP Enterprises Inc. (a)		2,100		91,329

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Dycom Industries Inc. (a)		8,733	$	204,003
Dynamic Materials Corp.		3,254		68,692
Eagle Bulk Shipping Inc. (a)		15,477		30,025
EMCOR Group Inc.		16,656		461,704
Encore Capital Group Inc. (a)		4,000		90,200
Encore Wire Corp.		4,695		139,582
Energy Recovery Inc. (a)		11,500		26,450
EnergySolutions Inc. (a)		19,700		96,530
EnerNOC Inc. (a)		5,730		41,256
EnerSys (a)		11,885		411,815
Ennis Inc.		6,632		104,918
EnPro Industries Inc. (a)		5,048		207,473
ESCO Technologies Inc.		6,510		239,373
Essex Rental Corp. (a)		4,218		16,113
Esterline Technologies Corp. (a)		7,489		535,164
Excel Maritime Carriers Ltd. (a)		12,415		24,830
Exponent Inc. (a)		3,229		156,671
Federal Signal Corp. (a)		15,434		85,813
Flow International Corp. (a)		12,300		49,446
Forward Air Corp.		7,208		264,317
Franklin Covey Co. (a)		3,100		29,171
Franklin Electric Co. Inc.		5,698		279,601
Freightcar America Inc.		3,060		68,819
FTI Consulting Inc. (a)		10,382		389,533
Fuel Tech Inc. (a)		4,500		24,570
FuelCell Energy Inc. (a)		40,110		62,973
Furmanite Corp. (a)		9,400		60,348
G&K Services Inc. Class A		4,580		156,636
Genco Shipping & Trading Ltd. (a)		9,094		57,838
GenCorp Inc. (a)		14,026		99,585
Generac Holdings Inc. (a)		6,090		149,510
Genesee & Wyoming Inc. Class A (a)		9,950		543,071
Geo Group Inc., The (a)		15,320		291,233
GeoEye Inc. (a)		5,500		132,385
Gibraltar Industries Inc. (a)		7,282		110,322
Global Power Equipment Group Inc. (a)		3,873		107,282
Gorman-Rupp Co., The		3,733		108,929
GP Strategies Corp. (a)		3,800		66,500
Graham Corp.		2,300		50,347
Granite Construction Inc.		9,553		274,553
Great Lakes Dredge & Dock Co.		14,800		106,856
Greenbrier Companies Inc. (a)		4,934		97,644
Griffon Corp.		11,936		127,715
H&E Equipment Services Inc. (a)		7,000		132,440
Hawaiian Holdings Inc. (a)		11,800		61,714
Healthcare Services Group Inc.		16,447		349,828
Heartland Express Inc.		12,376		178,957
Heico Corp.		10,283		530,500
Heidrick & Struggles International Inc.		4,312		94,993
Heritage-Crystal Clean Inc. (a)		1,167		23,282
Herman Miller Inc.		14,200		326,032
Hexcel Corp. (a)		24,332		584,211
Hill International Inc. (a)		5,992		23,549
HNI Corp.		11,047		306,554
Houston Wire & Cable Co.		4,500		62,505
Hub Group Inc. (a)		9,050		326,072

20 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Hudson Highland Group Inc. (a)		8,166	$	43,933
Hurco Companies Inc. (a)		1,569		44,324
Huron Consulting Group Inc. (a)		5,490		206,204
ICF International Inc. (a)		4,900		124,313
II-VI Inc. (a)		12,796		302,625
Innerworkings Inc. (a)		6,352		74,001
Insperity Inc.		5,699		174,617
Insteel Industries Inc.		4,500		54,675
Interface Inc.		13,005		181,420
Interline Brands Inc. (a)		7,839		169,401
International Shipholding Corp.		1,333		30,779
Intersections Inc.		2,270		29,011
Jetblue Airways Corp. (a)		60,435		295,527
John Bean Technologies Corp.		7,000		113,400
Kadant Inc. (a)		2,858		68,078
Kaman Corp.		6,546		222,237
Kaydon Corp.		7,985		203,697
Kelly Services Inc. Class A		6,716		107,389
Keyw Holding Corp., The (a)		4,611		35,735
Kforce Inc. (a)		7,326		109,157
Kimball International Inc. Class B		7,983		55,163
Knight Transportation Inc.		14,996		264,829
Knoll Inc.		11,644		193,756
Korn/Ferry International (a)		11,733		196,528
Kratos Defense & Security Solutions Inc. (a)		8,124		43,382
L.B. Foster Co. Class A		2,336		66,599
Lawson Products Inc.		911		13,765
Layne Christensen Co. (a)		4,986		110,938
Lindsay Corp.		3,098		205,304
LMI Aerospace Inc. (a)		2,200		40,040
LSI Industries Inc.		4,647		34,063
Lydall Inc. (a)		4,190		42,696
Marten Transport Ltd.		3,865		85,301
MasTec Inc. (a)		13,981		252,916
McGrath Rentcorp		6,040		193,944
Meritor Inc. (a)		23,315		188,152
Metalico Inc. (a)		9,899		42,269
Met-Pro Corp.		3,800		40,128
Michael Baker Corp. (a)		2,000		47,700
Middleby Corp. (a)		4,593		464,720
Miller Industries Inc.		2,600		43,992
Mine Safety Appliances Co.		6,718		275,975
Mistras Group Inc. (a)		3,562		84,847
Mobile Mini Inc. (a)		9,047		191,073
Moog Inc. Class A (a)		11,240		482,084
Mueller Industries Inc.		9,311		423,185
Mueller Water Products Inc.		38,803		129,214
Multi-Color Corp.		2,873		64,671
MYR Group Inc. (a)		5,000		89,300
NACCO Industries Inc. Class A		1,448		168,504
National Presto Industries Inc.		1,218		92,397
Navigant Consulting Inc. (a)		12,948		180,107
NCI Building Systems Inc. (a)		4,654		53,568
NL Industries Inc.		1,843		27,461
NN Inc. (a)		4,117		33,595
Northwest Pipe Co. (a)		2,400		50,976

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Odyssey Marine Exploration Inc. (a)		17,031	$	52,796
Old Dominion Freight Line Inc. (a)		11,712		558,311
Omega Flex Inc. (a)		600		7,620
On Assignment Inc. (a)		9,300		162,471
Orbital Sciences Corp. (a)		14,729		193,686
Orion Marine Group Inc. (a)		6,764		48,904
Pacer International Inc. (a)		8,370		52,898
Park-Ohio Holdings Corp. (a)		1,966		39,418
Patriot Transportation Holding Inc. (a)		1,500		34,935
Pendrell Corp. (a)		37,246		97,212
Pike Electric Corp. (a)		4,100		33,743
PMFG Inc. (a)		5,100		76,551
Portfolio Recovery Associates Inc. (a)		4,266		305,958
Powell Industries Inc. (a)		2,155		73,809
PowerSecure International Inc. (a)		5,100		30,906
Preformed Line Products Co.		600		39,300
Primoris Services Corp.		6,564		105,418
Proto Labs Inc. (a)		1,108		37,772
Quad Graphics, Inc.		6,240		86,736
Quality Distribution Inc. (a)		4,176		57,545
Quanex Building Products Corp.		9,241		162,919
RailAmerica Inc. (a)		5,197		111,528
Raven Industries Inc.		4,492		274,057
RBC Bearings Inc. (a)		5,500		253,715
Republic Airways Holdings Inc. (a)		11,632		57,462
Resources Connection Inc.		10,664		149,829
Roadrunner Transportation Systems Inc. (a)		2,131		36,973
Robbins & Myers Inc.		9,825		511,391
Rollins Inc.		15,726		334,649
RPX Corp. (a)		2,366		40,127
RSC Holdings Inc. (a)		16,700		377,253
Rush Enterprises Inc. Class A (a)		8,168		173,325
Saia Inc. (a)		4,135		70,336
SatCon Technology Corp. (a)		22,262		8,014
Sauer-Danfoss Inc.		2,839		133,433
Schawk Inc.		2,782		34,803
Seaboard Corp. (a)		78		152,178
SeaCube Container Leasing Ltd.		2,905		49,966
Simpson Manufacturing Co. Inc.		10,257		330,788
SkyWest Inc.		13,121		144,987
Spirit Airlines Inc. (a)		3,955		79,377
Standard Parking Corp. (a)		3,900		79,950
Standex International Corp.		3,127		128,801
Steelcase Inc.		19,300		185,280
Sterling Construction Company Inc. (a)		4,300		41,925
Sun Hydraulics Corp.		5,100		133,416
Swift Transportation Co. (a)		19,561		225,734
Swisher Hygiene Inc. (a)		20,833		51,249
Sykes Enterprises Inc. (a)		9,935		156,973
TAL International Group Inc.		5,400		198,234
Taser International Inc. (a)		14,092		61,159
Team Inc. (a)		4,800		148,560
Tecumseh Products Co. Class A (a)		4,403		17,700
Teledyne Technologies Inc. (a)		9,113		574,575
Tennant Co.		4,771		209,924
Tetra Tech Inc. (a)		15,321		403,862

See accompanying notes to schedules of investments. 21

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Textainer Group Holdings Ltd.		2,800	$	94,920
Thermon Group Holdings Inc. (a)		2,424		49,571
Titan International Inc.		10,385		245,605
Titan Machinery Inc. (a)		3,800		107,160
TMS International Corp. Class A (a)		3,198		38,696
TRC Companies Inc. (a)		4,335		26,487
Trex Co. Inc. (a)		3,934		126,203
TriMas Corp. (a)		6,300		141,057
Triumph Group Inc.		9,264		580,482
TrueBlue Inc. (a)		9,910		177,191
Tutor Perini Corp. (a)		7,673		119,545
Twin Disc Inc.		2,052		53,537
Ultrapetrol Bahamas Ltd. (a)		5,800		11,600
UniFirst Corp.		3,575		220,041
United Rentals Inc. (a)		15,400		660,506
United Stationers Inc.		10,608		329,166
UniTek Global Services Inc. (a)		2,748		9,261
Universal Forest Products Inc.		4,910		169,297
Universal Truckload Services Inc.		1,400		21,084
US Airways Group Inc. (a)		39,731		301,558
US Ecology Inc.		4,558		99,091
USG Corp. (a)		17,622		303,098
Valence Technology Inc. (a)		16,497		13,335
Viad Corp.		5,162		100,298
Vicor Corp.		4,808		38,464
VSE Corp.		1,100		27,291
Wabash National Corp. (a)		16,743		173,290
Watsco Inc.		6,968		515,911
Watts Water Technologies Inc.		7,351		299,553
Werner Enterprises Inc.		10,826		269,134
Wesco Aircraft Holdings Inc. (a)		5,160		83,592
Woodward Inc.		15,310		655,727
Xerium Technologies Inc. (a)		2,718		17,531
Zipcar Inc. (a)		2,522		37,351
				47,756,042
Information Technology (16.50%)
3D Systems Corp. (a)		10,360		243,874
Accelrys Inc. (a)		14,125		112,718
ACI Worldwide Inc. (a)		9,716		391,263
Active Network Inc., The (a)		3,448		58,030
Actuate Corp. (a)		10,000		62,800
Acxiom Corp. (a)		20,061		294,495
Adtran Inc.		15,932		496,919
Advanced Energy Industries Inc. (a)		9,933		130,321
Advent Software Inc. (a)		8,110		207,616
Aeroflex Holding Corp. (a)		4,884		54,408
Agilysys Inc. (a)		4,414		39,682
Alpha & Omega Semiconductor Ltd. (a)		3,690		35,498
American Software Inc. Class A		5,400		46,332
Amkor Technology Inc. (a)		22,364		137,427
Amtech Systems Inc. (a)		2,392		19,925
ANADIGICS Inc. (a)		16,000		37,920
Anaren Inc. (a)		3,746		68,739
Ancestry.com Inc. (a)		7,782		176,963
Angie’s List Inc. (a)		2,600		49,114
Anixter International Inc. (a)		7,135		517,502

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Applied Micro Circuits Corp. (a)		15,762	$	109,388
Arris Group Inc. (a)		28,606		323,248
Aruba Networks Inc. (a)		22,155		493,613
Aspen Technology Inc. (a)		20,962		430,350
ATMI Inc. (a)		7,988		186,120
AVG Technologies NV (a)		1,900		28,405
Aviat Networks Inc. (a)		15,150		42,723
Avid Technology Inc. (a)		7,200		79,200
Axcelis Technologies Inc. (a)		25,726		44,249
AXT Inc. (a)		7,625		48,419
Badger Meter Inc.		3,730		126,783
Bankrate Inc. (a)		5,651		139,862
Bazaarvoice Inc. (a)		2,700		53,649
Bel Fuse Inc.		2,483		43,875
Benchmark Electronics Inc. (a)		14,876		245,305
Black Box Corp.		4,455		113,647
Blackbaud Inc.		11,111		369,219
Bottomline Technologies Inc. (a)		8,931		249,532
Brightcove Inc. (a)		1,400		34,720
Brightpoint Inc. (a)		16,761		134,926
BroadSoft Inc. (a)		5,600		214,200
Brooks Automation Inc.		16,449		202,816
Cabot Microelectronics Corp.		5,861		227,876
CACI International Inc. Class A (a)		6,514		405,757
Calix Inc. (a)		10,120		86,324
Callidus Software Inc. (a)		7,403		57,817
Carbonite Inc. (a)		1,800		19,818
Cardtronics Inc. (a)		10,600		278,250
Cass Information Systems Inc.		2,260		90,287
Cavium Inc. (a)		11,937		369,331
CEVA Inc. (a)		5,800		131,718
Checkpoint Systems Inc. (a)		9,715		109,585
Ciber Inc. (a)		15,843		67,174
Cirrus Logic Inc. (a)		16,397		390,249
Cognex Corp.		10,361		438,892
Coherent Inc. (a)		5,800		338,314
Cohu Inc.		6,008		68,311
Communications Systems Inc.		1,611		21,152
Commvault Systems Inc. (a)		10,888		540,480
Computer Task Group Inc. (a)		3,600		55,152
comScore Inc. (a)		7,828		167,441
Comtech Telecommunications Corp.		4,688		152,735
Concur Technologies Inc. (a)		11,049		633,992
Constant Contact Inc. (a)		7,200		214,488
Convergys Corp. (a)		25,961		346,579
Convio Inc. (a)		3,035		46,951
Cornerstone OnDemand Inc. (a)		2,792		60,977
Cray Inc. (a)		8,522		62,381
CSG Systems International Inc. (a)		8,665		131,188
CTS Corp.		8,641		90,903
Cymer Inc. (a)		7,576		378,800
Daktronics Inc.		8,552		76,027
DDi Corp.		3,500		42,700
DealerTrack Holdings Inc. (a)		10,241		309,893
Deltek Inc. (a)		5,505		58,683
Demand Media Inc. (a)		1,933		14,014
Dialogic Inc. (a)		3,799		3,306

22 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Dice Holdings Inc. (a)		11,918	$	111,195
Digi International Inc. (a)		6,080		66,819
Digimarc Corp. (a)		1,581		44,173
Digital River Inc. (a)		9,278		173,591
Diodes Inc. (a)		8,746		202,732
Dot Hill Systems Corp. (a)		13,942		21,052
DSP Group Inc. (a)		5,824		38,788
DTS Inc. (a)		4,384		132,484
Dynamics Research Corp. (a)		2,221		21,410
EarthLink Inc.		27,540		220,045
Ebix Inc.		7,239		167,655
Echelon Corp. (a)		8,344		36,964
Echo Global Logistics Inc. (a)		2,800		45,080
Electro Rent Corp.		4,606		84,796
Electro Scientific Industries Inc.		5,538		83,125
Electronics for Imaging Inc. (a)		11,808		196,249
Ellie Mae Inc. (a)		2,148		23,972
eMagin Corp. (a)		4,225		13,731
EMCORE Corp. (a)		5,433		25,915
Emulex Corp. (a)		21,880		227,114
Entegris Inc. (a)		33,613		313,945
Entropic Communications Inc. (a)		21,200		123,596
Envestnet Inc. (a)		4,700		58,844
EPAM Systems Inc. (a)		900		18,468
EPIQ Systems Inc.		7,690		93,049
ePlus Inc. (a)		1,018		32,545
Euronet Worldwide Inc. (a)		12,797		267,329
Exar Corp. (a)		8,967		75,323
Exlservice Holdings Inc. (a)		4,264		117,004
Extreme Networks Inc. (a)		22,764		87,186
Fabrinet (a)		5,028		89,046
Fair Isaac Corp.		8,902		390,798
FalconStor Software Inc. (a)		7,016		26,240
FARO Technologies Inc. (a)		4,049		236,178
FEI Co. (a)		9,486		465,857
Finisar Corp. (a)		22,167		446,665
Formfactor Inc. (a)		12,443		69,432
Forrester Research Inc.		3,652		118,325
FriendFinder Networks Inc. (a)		2,077		2,825
FSI International Inc. (a)		10,384		50,778
Gerber Scientific Inc. Escrow Shares (a) (b)		6,402		0
Global Cash Access Holdings Inc. (a)		15,837		123,529
Globecomm Systems Inc. (a)		5,700		82,536
Glu Mobile Inc. (a)		12,312		59,713
GSI Group Inc. (a)		6,355		76,641
GSI Technology Inc. (a)		5,400		22,896
GT Advanced Technologies Inc. (a)		29,400		243,138
Guidance Software Inc. (a)		2,944		32,531
Guidewire Software Inc. (a)		2,200		67,716
Hackett Group Inc., The (a)		8,094		48,321
Harmonic Inc. (a)		28,310		154,856
Heartland Payment Systems Inc.		9,600		276,864
Higher One Holdings Inc. (a)		7,571		113,186
Hittite Microwave Corp. (a)		7,800		423,618
Identive Group Inc. (a)		9,560		19,980
iGate Corp. (a)		7,626		127,812

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Imation Corp. (a)		7,659	$	47,409
Immersion Corp. (a)		7,200		39,312
Imperva Inc. (a)		1,354		53,009
Infinera Corp. (a)		25,721		208,855
InfoSpace Inc. (a)		9,520		121,951
Inphi Corp. (a)		5,137		72,843
Insight Enterprises Inc. (a)		10,948		240,090
Integrated Device Technology Inc. (a)		36,303		259,566
Integrated Silicon Solution Inc. (a)		6,439		71,859
Interactive Intelligence Group (a)		3,511		107,121
InterDigital Inc.		11,192		390,153
Intermec Inc. (a)		14,704		113,662
Intermolecular Inc. (a)		2,400		14,904
Internap Network Services Corp. (a)		12,990		95,347
Intevac Inc. (a)		5,632		47,872
Intralinks Holdings Inc. (a)		7,833		41,437
InvenSense Inc. (a)		2,600		47,060
Ixia (a)		9,499		118,643
IXYS Corp. (a)		6,314		83,345
j2 Global Inc.		11,290		323,797
Jack Henry & Associates Inc.		21,414		730,646
JDA Software Group Inc. (a)		10,482		288,045
Jive Software Inc. (a)		3,800		103,208
Kemet Corp. (a)		10,879		101,827
Kenexa Corp. (a)		6,536		204,185
Keynote Systems Inc.		3,690		72,914
KIT Digital Inc. (a)		9,745		70,164
Kopin Corp. (a)		17,200		70,004
Kulicke & Soffa Industries Inc. (a)		17,882		222,273
KVH Industries Inc. (a)		3,400		35,700
Lattice Semiconductor Corp. (a)		29,593		190,283
LeCroy Corp. (a)		4,019		41,757
Limelight Networks Inc. (a)		16,679		54,874
Lionbridge Technologies Inc. (a)		14,200		40,896
Liquidity Services Inc. (a)		4,600		206,080
Littelfuse Inc.		5,337		334,630
LivePerson Inc. (a)		13,000		218,010
LogMeIn Inc. (a)		5,070		178,616
LoopNet Inc. (a)		4,500		84,510
Loral Space & Communications Inc. (a)		2,700		214,920
LTX-Credence Corp. (a)		12,296		88,408
Manhattan Associates Inc. (a)		5,005		237,888
ManTech International Corp.		5,755		198,317
Marchex Inc. Class B		5,366		23,932
MAXIMUS Inc.		8,598		349,681
MaxLinear Inc. Class A (a)		3,986		22,202
Maxwell Technologies Inc. (a)		6,900		126,477
Measurement Specialties Inc. (a)		3,700		124,690
Mentor Graphics Corp. (a)		23,756		353,014
Mercury Computer Systems Inc. (a)		7,478		99,084
Meru Networks Inc. (a)		2,670		10,814
Methode Electronics Inc.		8,967		83,214
Micrel Inc.		12,195		125,121
Microsemi Corp. (a)		21,361		457,980
MicroStrategy Inc. (a)		1,925		269,500
Microvision Inc. (a)		3,541		9,667

See accompanying notes to schedules of investments. 23

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Mindspeed Technologies Inc. (a)		7,951	$	50,648
MIPS Technologies Inc. (a)		13,220		71,917
MKS Instruments Inc.		12,878		380,287
ModusLink Global Solutions Inc. (a)		11,395		61,533
MoneyGram International Inc. (a)		2,562		46,116
Monolithic Power Systems Inc. (a)		7,303		143,650
Monotype Imaging Holdings Inc. (a)		8,800		131,120
MoSys Inc. (a)		7,482		29,704
Motricity Inc. (a)		9,100		10,010
Move Inc. (a)		9,852		95,663
MTS Systems Corp.		3,870		205,458
Multi-Fineline Electronix Inc. (a)		2,134		58,578
Nanometrics Inc. (a)		4,904		90,773
NCI Inc. (a)		1,700		10,863
NeoPhotonics Corp. (a)		2,100		9,933
Netgear Inc. (a)		9,048		345,634
NetScout Systems Inc. (a)		9,200		187,128
NetSuite Inc. (a)		7,100		357,059
Newport Corp. (a)		9,418		166,887
NIC Inc.		15,806		191,727
Novatel Wireless Inc. (a)		7,780		26,063
NumereX Corp. Class A (a)		2,327		22,758
NVE Corp. (a)		1,200		63,600
Oclaro Inc. (a)		12,466		49,116
OCZ Technology Group Inc. (a)		16,261		113,502
Omnivision Technologies Inc. (a)		12,945		258,900
OpenTable Inc. (a)		5,800		234,726
Openwave Systems Inc. (a)		21,400		48,578
Oplink Communications Inc. (a)		5,045		86,270
OPNET Technologies Inc.		3,600		104,400
OpNext Inc. (a)		9,572		14,837
OSI Systems Inc. (a)		4,765		292,094
Parametric Technology Corp. (a)		29,444		822,665
Park Electrochemical Corp.		5,188		156,833
PC Connection Inc.		2,020		16,604
PDF Solutions Inc. (a)		6,063		51,111
Pegasystems Inc.		4,140		157,982
Perficient Inc. (a)		5,900		70,859
Pericom Semiconductor Corp. (a)		6,609		53,467
Photronics Inc. (a)		14,772		98,234
Plantronics Inc.		10,796		434,647
Plexus Corp. (a)		8,840		309,312
PLX Technology Inc. (a)		11,411		45,872
Power Integrations Inc.		7,189		266,856
Power-One Inc. (a)		16,518		75,157
Powerwave Technologies Inc. (a)		8,393		17,206
PRGX Global Inc. (a)		4,831		30,387
Procera Networks Inc. (a)		3,520		78,707
Progress Software Corp. (a)		15,375		363,158
PROS Holdings Inc. (a)		5,500		102,850
Pulse Electronics Corp.		10,480		26,305
QAD Inc. Class A (a)		1,458		19,100
QLIK Technologies Inc. (a)		17,424		557,568
Quantum Corp. (a)		55,695		145,921
Quepasa Corp. (a)		1,656		7,353
Quest Software Inc. (a)		14,173		329,806
QuinStreet Inc. (a)		6,798		71,311

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Radisys Corp. (a)		4,829	$	35,735
Rambus Inc. (a)		24,258		156,464
RealD Inc. (a)		10,398		140,373
Realnetworks Inc.		5,369		53,368
RealPage Inc. (a)		7,516		144,082
Responsys Inc. (a)		2,325		27,830
RF Micro Devices Inc. (a)		68,598		341,618
Richardson Electronics Ltd.		3,533		42,325
Rimage Corp.		2,297		22,993
Rofin-Sinar Technologies Inc. (a)		7,034		185,487
Rogers Corp. (a)		3,965		153,644
Rosetta Stone Inc. (a)		2,689		27,750
Rubicon Technology Inc. (a)		4,200		43,806
Rudolph Technologies Inc. (a)		7,917		87,958
Saba Software Inc. (a)		7,600		74,556
Sanmina-SCI Corp. (a)		19,926		228,153
Sapient Corp.		27,008		336,250
ScanSource Inc. (a)		6,678		249,223
SciQuest Inc. (a)		3,054		46,543
SeaChange International Inc. (a)		6,200		48,236
Semtech Corp. (a)		16,149		459,601
ServiceSource International Inc. (a)		2,459		38,065
ShoreTel Inc. (a)		12,039		68,382
Sigma Designs Inc. (a)		7,596		39,347
Silicon Graphics International Corp. (a)		7,700		74,536
Silicon Image Inc. (a)		19,173		112,737
Smith Micro Software Inc. (a)		9,100		21,203
SolarWinds Inc. (a)		14,100		544,965
Sonus Networks Inc. (a)		52,506		152,267
Sourcefire Inc. (a)		7,100		341,723
Spansion Inc. Class A (a)		12,469		151,872
SPS Commerce Inc. (a)		2,106		56,609
SRS Labs Inc. (a)		2,700		18,765
SS&C Technologies Holdings Inc. (a)		6,217		145,043
Stamps.com Inc. (a)		3,028		84,421
Standard Microsystems Corp. (a)		5,632		145,700
STEC Inc. (a)		9,200		86,848
STR Holdings Inc. (a)		7,685		37,195
Stratasys Inc. (a)		5,214		190,415
Stream Global Services Inc. (a)		2,200		7,238
Super Micro Computer Inc. (a)		7,007		122,342
Supertex Inc. (a)		2,380		43,007
Support.com Inc. (a)		11,300		35,595
Sycamore Networks Inc. (a)		4,927		87,405
Symmetricom Inc. (a)		11,346		65,466
Synaptics Inc. (a)		8,024		292,956
Synchronoss Technologies Inc. (a)		6,500		207,480
SYNNEX Corp. (a)		6,205		236,659
Syntel Inc.		3,758		210,448
Take-Two Interactive Software Inc. (a)		18,200		280,007
Taleo Corp. (a)		10,133		465,409
Tangoe Inc. (a)		2,518		47,364
TechTarget (a)		3,326		23,049
TeleCommunication Systems Inc. Class A (a)		10,700		29,746
TeleNav Inc. (a)		4,108		28,838
TeleTech Holdings Inc. (a)		6,205		99,900

24 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Tessera Technologies Inc. (a)		12,872	$	222,042
THQ Inc. (a)		17,309		9,693
TiVo Inc. (a)		29,440		352,988
TNS Inc. (a)		6,315		137,225
Travelzoo Inc. (a)		1,400		32,200
TriQuint Semiconductor Inc. (a)		40,415		278,661
TTM Technologies Inc. (a)		12,760		146,612
Tyler Technologies Inc. (a)		7,390		283,850
Ubiquiti Networks Inc. (a)		2,146		67,878
Ultimate Software Group Inc. (a)		6,391		468,332
Ultra Clean Holdings Inc. (a)		5,323		40,135
Ultratech Inc. (a)		6,379		184,863
Unisys Corp. (a)		10,679		210,590
United Online Inc.		21,456		104,920
Universal Display Corp. (a)		9,498		346,962
ValueClick Inc. (a)		19,464		384,219
VASCO Data Security International Inc. (a)		6,902		74,473
Veeco Instruments Inc. (a)		10,102		288,917
Verint Systems Inc. (a)		5,238		169,659
ViaSat Inc. (a)		8,999		433,842
Viasystems Group Inc. (a)		656		12,451
Virnetx Holding Corp. (a)		10,027		239,946
Virtusa Corp. (a)		3,800		65,626
Vishay Precision Group Inc. (a)		3,021		44,801
Vocus Inc. (a)		4,300		56,975
Volterra Semiconductor Corp. (a)		6,021		207,213
Wave Systems Corp. Class A (a)		20,279		37,719
Web.com Group Inc. (a)		7,157		103,276
Websense Inc. (a)		9,302		196,179
Westell Technologies Inc. Class A (a)		12,962		30,201
Wright Express Corp. (a)		9,598		621,279
XO Group Inc. (a)		6,900		64,791
X-Rite Inc. (a)		6,400		29,056
Xyratex Ltd.		7,027		111,800
Zillow Inc. (a)		1,009		35,910
Zix Corp. (a)		16,400		47,724
Zygo Corp. (a)		3,900		76,323
				50,805,897
Materials (4.55%)
A. Schulman Inc.		7,745		209,270
AEP Industries Inc. (a)		1,100		38,289
AM Castle & Co. (a)		4,189		52,991
AMCOL International Corp.		6,044		178,238
American Vanguard Corp.		5,613		121,746
Balchem Corp.		7,088		214,412
Boise Inc.		21,676		177,960
Buckeye Technologies Inc.		9,980		339,021
Calgon Carbon Corp. (a)		14,052		219,352
Century Aluminum Co. (a)		12,700		112,776
Chase Corp.		1,554		24,476
Chemtura Corp. (a)		23,725		402,850
Clearwater Paper Corp. (a)		5,676		188,500
Coeur d’Alene Mines Corp. (a)		22,088		524,369
Deltic Timber Corp.		2,730		172,782
Eagle Materials Inc.		10,963		380,964

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Materials (Cont.)
Ferro Corp. (a)		21,217	$	126,029
Flotek Industries Inc. (a)		12,328		148,183
FutureFuel Corp.		4,573		50,212
General Moly Inc. (a)		16,300		54,605
Georgia Gulf Corp. (a)		8,480		295,782
Globe Specialty Metals Inc.		15,605		232,046
Gold Resource Corp.		6,973		169,514
Golden Minerals Co. (a)		6,879		57,990
Golden Star Resources Ltd. (a)		64,808		120,543
Graphic Packaging Holding Co. (a)		39,260		216,715
GSE Holding Inc. (a)		2,000		26,260
Handy & Harman Ltd. (a)		1,448		20,909
Hawkins Inc.		2,165		80,538
Haynes International Inc.		3,000		190,050
HB Fuller Co.		12,254		402,299
Headwaters Inc. (a)		14,620		61,112
Hecla Mining Co.		69,079		319,145
Horsehead Holding Corp. (a)		10,929		124,481
Innophos Holdings Inc.		5,400		270,648
Innospec Inc. (a)		5,849		177,693
Jaguar Mining Inc. (a)		21,255		99,261
Kaiser Aluminum Corp.		4,000		189,040
Kapstone Paper and Packaging Corp. (a)		9,673		190,558
KMG Chemicals Inc.		1,601		28,898
Koppers Holdings Inc.		5,119		197,389
Kraton Performance Polymers Inc. (a)		7,914		210,275
Landec Corp. (a)		6,700		43,751
Louisiana-Pacific Corp. (a)		32,610		304,904
LSB Industries Inc. (a)		4,600		179,032
Materion Corp. (a)		4,952		142,271
McEwen Mining Inc. (a)		25,800		114,552
Metals USA Holdings Corp. (a)		2,796		40,290
Midway Gold Corp. (a)		22,105		31,610
Minerals Technologies Inc.		4,509		294,934
Myers Industries Inc.		7,345		108,339
Neenah Paper Inc.		3,853		114,588
NewMarket Corp.		2,271		425,585
Noranda Aluminum Holding Corp.		5,604		55,872
Olin Corp.		19,810		430,868
Olympic Steel Inc.		2,300		55,200
OM Group Inc. (a)		7,691		211,579
Omnova Solutions Inc. (a)		10,758		72,616
P. H. Glatfelter Co.		10,796		170,361
Paramount Gold and Silver Corp. (a)		28,752		64,980
PolyOne Corp.		23,048		331,891
Quaker Chemical Corp.		3,100		122,295
Revett Minerals Inc. (a)		6,198		25,908
RTI International Metals Inc. (a)		7,374		170,044
Schweitzer-Mauduit International Inc.		3,974		274,444
Senomyx Inc. (a)		9,852		26,994
Sensient Technologies Corp.		12,353		469,414
Spartech Corp. (a)		7,804		38,084
Stepan Co.		1,951		171,298
Stillwater Mining Co. (a)		28,699		362,755
SunCoke Energy Inc. (a)		17,490		248,533
Texas Industries Inc.		5,627		197,001

See accompanying notes to schedules of investments. 25

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Materials (Cont.)
Thompson Creek Metals Company Inc. (a)		37,404	$	252,851
TPC Group Inc. (a)		3,309		146,291
Tredegar Corp.		5,999		117,520
U.S. Energy Corp. (a)		6,598		20,850
United States Lime & Minerals Inc. (a)		600		35,934
Universal Stainless & Alloy Products Inc. (a)		1,824		77,921
US Silica Holdings Inc. (a)		2,900		60,726
Verso Paper Corp. (a)		2,478		4,659
Vista Gold Corp. (a)		17,304		54,335
Wausau Paper Corp.		12,526		117,494
Worthington Industries Inc.		13,696		262,689
Zep Inc.		5,331		76,766
Zoltek Companies Inc. (a)		7,105		80,429
				14,026,629
Telecommunication Services (0.79%)
8x8 Inc. (a)		15,329		64,382
AboveNet Inc. (a)		5,794		479,743
Alaska Communications Systems Group Inc.		11,279		34,739
Atlantic Tele-Network Inc.		2,249		81,772
Boingo Wireless Inc. (a)		1,410		17,061
Cbeyond Inc. (a)		7,000		56,000
Cincinnati Bell Inc. (a)		50,085		201,342
Cogent Communications Group Inc. (a)		11,400		217,512
Consolidated Communications Holdings Inc.		6,408		125,789
FairPoint Communications Inc. (a)		5,294		19,905
General Communication Inc. Class A (a)		9,382		81,811
Globalstar Inc. (a)		25,072		17,550
HickoryTech Corp.		3,244		33,543
IDT Corp. Class B		3,305		30,869
inContact Inc. (a)		7,420		41,404
Iridium Communications Inc. (a)		10,783		94,459
Leap Wireless International Inc. (a)		15,074		131,596
Lumos Networks Corp.		3,750		40,350
Neutral Tandem Inc. (a)		7,800		95,082
NTELOS Holdings Corp.		3,750		77,625
Orbcomm Inc. (a)		8,390		32,302
Premiere Global Services Inc. (a)		12,840		116,074
Shenandoah Telecommunications Co.		6,038		67,324
SureWest Communications		3,429		77,324
Towerstream Corp. (a)		9,674		45,952
USA Mobility Inc.		5,566		77,534
Vonage Holdings Corp. (a)		34,179		75,536
				2,434,580
Utilities (3.18%)
Allete Inc.		8,451		350,631
American States Water Co.		4,678		169,063
Artesian Resources Corp. Class A		1,686		31,680
Atlantic Power Corp.		27,944		386,745
Avista Corp.		14,206		363,389
Black Hills Corp.		11,089		371,814

	Shares		Value
Common Stocks (Cont.)
Utilities (Cont.)
Cadiz Inc. (a)		3,002	$	27,618
California Water Service Group		10,408		189,530
Central Vermont Public Service Corp.		3,427		120,630
CH Energy Group Inc.		3,826		255,309
Chesapeake Utilities Corp.		2,308		94,905
Cleco Corp.		15,080		597,922
Connecticut Water Service Inc.		2,224		62,917
Consolidated Water Co. Ltd.		3,594		28,429
Dynegy Inc. (a)		25,666		14,373
El Paso Electric Co.		10,432		338,936
Empire District Electric Co., The		10,330		210,216
Genie Energy Ltd. Class B		3,305		31,959
Idacorp Inc.		12,255		503,926
Laclede Group Inc., The		5,588		218,044
MGE Energy Inc.		5,659		251,203
Middlesex Water Co.		3,953		74,672
New Jersey Resources Corp.		10,276		458,001
Northwest Natural Gas Co.		6,575		298,505
NorthWestern Corp.		8,911		315,984
Ormat Technologies Inc.		4,405		88,761
Otter Tail Corp.		9,091		197,275
Piedmont Natural Gas Company Inc.		17,805		553,201
PNM Resources Inc.		19,670		359,961
Portland General Electric Co.		18,537		463,054
SJW Corp.		3,648		87,990
South Jersey Industries Inc.		7,398		370,196
Southwest Gas Corp.		11,424		488,262
UIL Holdings Corp.		12,537		435,786
Unisource Energy Corp.		9,111		333,189
Unitil Corp.		2,623		70,375
WGL Holdings Inc.		12,752		519,006
York Water Co.		3,000		51,900
				9,785,357
Total Common Stocks
(cost $262,561,213)				301,254,666
Registered Investment Companies (0.84%)
Financials (0.84%)
Apollo Investment Corp.		48,429		347,236
Arlington Asset Investment Corp. Class A		2,037		45,221
BlackRock Kelso Capital Corp.		18,510		181,768
Capital Southwest Corp.		757		71,574
Fidus Investment Corp.		1,300		18,213
Fifth Street Finance Corp.		20,329		198,411
Gladstone Capital Corp.		5,050		40,956
Gladstone Investment Corp.		5,110		38,683
Golub Capital BDC LLC Inc.		3,151		48,116
Harris & Harris Group Inc. (a)		8,000		33,200
Hercules Technology Growth Capital Inc.		12,248		135,708
Kohlberg Capital Corp.		4,761		32,899
Main Street Capital Corp.		5,600		137,928
MCG Capital Corp.		18,458		78,446
Medallion Financial Corp.		3,600		40,176
Medley Capital Corp.		2,747		30,959

26 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Registered Investment Companies (Cont.)
Financials (Cont.)
MVC Capital Inc.		5,754	$	75,550
New Mountain Finance Corp.		1,818		24,979
NGP Capital Resources Co.		5,276		34,558
PennantPark Investment Corp.		13,565		141,076
Prospect Capital Corp.		30,529		335,208
Solar Capital Ltd.		9,100		200,837
Solar Senior Capital Ltd.		1,978		31,866
THL Credit Inc.		2,262		29,089
TICC Capital Corp.		9,500		92,530
Triangle Capital Corp.		6,684		132,009
				2,577,196
Total Registered Investment Companies
(cost $3,288,826)				2,577,196
Short-term Investments (1.92%)
JPMorgan U.S. Government Money Market Fund		5,240,876		5,240,876
	Principal amount		Value
U.S. Treasury Bill (c)
0.021%, 05/03/2012	$	680,000	$	679,977
Total Short-term Investments
(cost $5,920,863)				5,920,853
TOTAL INVESTMENTS (100.60%)
(cost $271,770,902)				309,752,715
LIABILITIES, NET OF OTHER ASSETS (-0.60%)				(1,834,529	)
NET ASSETS (100.00%)			$	307,918,186

(a) Non-income producing security.

(b) In accordance with the Trust’s Valuation Procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

(c) At March 31, 2012, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

See accompanying notes to schedules of investments. 27

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (97.94%)
Australia (8.29%)
AGL Energy Ltd.		8,579	$	131,077
Alumina Ltd.		46,649		59,677
Amcor Ltd.		22,831		175,952
AMP Ltd.		52,066		232,989
APA Group		10,159		53,668
Asciano Ltd.		18,010		91,413
ASX Ltd.		3,342		114,932
Australia & New Zealand Banking Group Ltd.		49,075		1,182,406
Bendigo and Adelaide Bank Ltd.		7,310		58,683
BGP Holdings PLC (a) (b)		183,756		0
BHP Billiton Ltd.		60,025		2,151,942
Boral Ltd.		13,782		57,533
Brambles Ltd.		27,937		205,464
Caltex Australia Ltd.		2,519		36,243
Campbell Brothers Ltd.		1,254		87,329
CFS Retail Property Trust		35,298		65,449
Coca-Cola Amatil Ltd.		10,549		136,262
Cochlear Ltd.		1,045		67,004
Commonwealth Bank of Australia		29,120		1,511,214
Computershare Ltd.		8,100		75,513
Crown Ltd.		8,609		77,494
CSL Ltd.		9,780		363,588
Dexus Property Group		88,581		79,828
Echo Entertainment Group Ltd.		13,007		59,148
Fairfax Media Ltd.		44,224		33,212
Fortescue Metals Group Ltd.		23,621		142,158
Goodman Group		132,262		94,532
GPT Group		31,984		103,368
Harvey Norman Holdings Ltd.		10,827		22,542
Iluka Resources Ltd.		7,836		144,400
Incitec Pivot Ltd.		30,761		100,371
Insurance Australia Group Ltd.		38,386		135,191
James Hardie Industries SE CDI		8,057		64,096
Leighton Holdings Ltd.		2,900		64,045
Lend Lease Corp. Ltd.		10,208		78,987
Lynas Corporation Ltd. (a)		32,459		36,817
Macquarie Group Ltd.		6,493		195,585
Metcash Ltd.		14,152		63,035
Mirvac Group		62,708		75,999
National Australia Bank Ltd.		41,093		1,047,128
Newcrest Mining Ltd.		14,381		442,130
Orica Ltd.		6,823		197,681
Origin Energy Ltd.		20,066		277,485
OZ Minerals Ltd.		5,943		60,083
Qantas Airways Ltd. (a)		21,256		39,302
QBE Insurance Group Ltd.		20,592		302,249
QR National Ltd.		31,721		122,561
Ramsay Health Care Ltd.		2,424		49,088
Rio Tinto Ltd.		8,198		555,370
Santos Ltd.		17,589		259,447
Sims Metal Management Ltd.		3,200		48,693
Sonic Healthcare Ltd.		7,081		91,832
SP Ausnet		24,719		27,526
Stockland		43,992		133,973
Suncorp Group Ltd.		23,943		208,331

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Australia (Cont.)
Sydney Airport		7,407	$	22,020
Tabcorp Holding Ltd.		13,007		36,647
Tatts Group Ltd.		23,814		61,176
Telstra Corp. Ltd.		81,159		276,585
Toll Holdings Ltd.		12,395		75,367
Transurban Group		24,693		143,238
Wesfarmers Ltd.		18,789		584,267
Westfield Group		41,355		378,256
Westfield Retail Trust		53,538		143,080
Westpac Banking Corp.		56,588		1,283,119
Woodside Petroleum Ltd.		11,938		430,460
Woolworths Ltd.		22,715		611,292
WorleyParsons Ltd.		3,571		105,903
				16,443,435
Austria (0.25%)
Erste Group Bank AG		3,422		78,910
Immoeast Interim Shares (a) (b)		8,216		0
Immofinanz AG (a)		17,968		65,278
Immofinanz AG Interim Shares (a) (b)		7,204		0
Oesterreichische Elektrizitaetswirtschafts AG (Verbund) Class A		1,318		40,096
OMV AG		3,054		108,549
Raiffeisen Bank International AG		925		32,692
Telekom Austria AG		6,045		70,399
Vienna Insurance Group AG Wiener Versicherung Gruppe		730		32,197
VoestAlpine AG		2,100		70,621
				498,742
Belgium (1.02%)
Ageas		42,227		92,813
Anheuser-Busch InBev NV		14,983		1,094,659
Bekaert NV		748		24,097
Belgacom SA		2,887		92,814
Colruyt SA		1,360		54,669
Delhaize Group		1,880		98,915
Groupe Bruxelles Lambert SA		1,544		119,518
KBC GROEP NV		3,112		78,070
Mobistar SA		573		28,543
Solvay SA		1,132		134,020
UCB SA		1,885		81,329
Umicore SA		2,161		119,046
				2,018,493
Denmark (1.09%)
A P Moller-Maersk A/S Class A		10		73,555
A P Moller-Maersk A/S Class B		24		185,307
Carlsberg A/S Class B		1,989		164,339
Coloplast A/S Class B		423		73,236
Danske Bank A/S (a)		12,124		205,344
DSV A/S		3,748		84,976
Novo Nordisk A/S Class B		7,949		1,100,565
Novozymes A/S B Shares		4,305		125,381

28 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Denmark (Cont.)
TDC A/S		7,113	$	51,733
Tryg A/S		462		26,050
Vestas Wind Systems A/S (a)		3,873		39,289
William Demant Holding A/S (a)		420		39,143
				2,168,918
Finland (0.87%)
Elisa OYJ		2,608		62,504
Fortum OYJ		8,330		202,197
Kesko OYJ		1,244		40,366
Kone Corp. OYJ Class B		2,897		161,388
Metso OYJ		2,422		103,529
Neste Oil OYJ		2,575		31,716
Nokia OYJ		69,779		379,888
Nokian Renkaat OYJ		2,041		99,465
Orion OYJ Class B		1,774		35,064
Pohjola Bank PLC		2,708		29,995
Sampo OYJ A Shares		7,907		228,522
Sanoma OYJ		1,601		20,498
Stora Enso OYJ R Shares		10,571		78,529
UPM-Kymmene OYJ		9,966		135,708
Wartsila OYJ Class B		3,097		116,810
				1,726,179
France (8.98%)
Accor SA		2,698		96,326
Aeroports de Paris (ADP)		661		54,252
Air Liquide SA		5,295		705,911
Alcatel-Lucent (a)		44,310		100,759
Alstom SA		3,816		148,916
Arkema		1,023		95,329
AtoS		891		51,389
AXA SA		32,427		537,571
BNP Paribas SA		18,014		854,699
Bouygues SA		3,542		108,320
Bureau Veritas SA		1,044		91,897
Cap Gemini SA		2,819		126,176
Carrefour SA		10,875		260,709
Casino Guichard Perrachon SA		1,023		100,827
Christian Dior SA		1,008		154,670
Cie Generale des Etablissements Michelin Class B		3,371		251,006
CNP Assurances		2,609		40,712
Compagnie de Saint-Gobain		7,551		337,220
Compagnie Generale de
Geophysique-Veritas (a)		2,735		80,942
Credit Agricole SA		18,649		115,904
DANONE SA		10,907		760,790
Dassault Systemes SA		1,150		105,814
Edenred		2,913		87,647
Eiffage SA		792		30,643
Electricite de France		4,463		101,844
Essilor International SA		3,787		337,540
Eurazeo		596		30,325
European Aeronautic Defence and Space Co. NV		7,644		313,031

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
France (Cont.)
Eutelsat Communications		2,468	$	91,242
Fonciere des Regions		533		42,815
France Telecom SA		34,497		510,926
GDF Suez		23,097		596,682
Gecina SA		421		43,987
Groupe Eurotunnel SA		10,072		87,476
ICADE		451		40,234
Iliad SA		364		50,149
Imerys SA		652		39,644
JC Decaux SA (a)		1,333		40,730
Klepierre		1,999		69,318
Lafarge SA		3,695		176,349
Lagardere SCA		2,130		65,707
Legrand SA		4,213		155,025
L’Oreal SA		4,487		553,489
LVMH Moet Hennessy Louis Vuitton SA		4,743		815,071
Natixis		17,894		68,851
Neopost SA		612		39,358
Pernod Ricard SA		3,701		386,984
Peugeot SA		4,471		72,003
PPR SA		1,415		243,447
Publicis Groupe		2,703		149,012
Renault SA		3,537		186,451
Safran SA		3,069		112,786
Sanofi		21,410		1,662,729
Schneider Electric SA		9,193		600,652
SCOR SE		3,304		89,277
SES FDR		5,664		140,544
Societe BIC SA		554		55,593
Societe Generale		12,397		363,167
Societe Television Francaise 1		2,151		26,338
Sodexo		1,741		142,941
STMicroelectronics NV		11,700		95,607
Suez Environnement Co.		5,216		80,001
Technip SA		1,850		217,941
Thales SA		1,932		72,302
Total SA		39,670		2,023,197
Unibail-Rodamco SE		1,729		345,780
Vallourec SA		2,115		133,987
Veolia Environnement		6,746		111,879
Vinci SA		8,495		442,994
Vivendi		23,224		426,200
Wendel		630		53,817
				17,803,851
Germany (7.96%)
Adidas AG		3,928		306,678
Allianz SE Reg.		8,485		1,012,482
Axel Springer AG		771		38,941
BASF SE		17,158		1,500,937
Bayer AG		15,442		1,086,180
Bayerische Motoren Werke (BMW) AG		6,173		555,146
Beiersdorf AG		1,865		121,694
Brenntag AG		643		78,742
Celesio AG		1,666		30,152
Commerzbank AG (a)		65,911		166,757

See accompanying notes to schedules of investments. 29

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Germany (Cont.)
Continental AG (a)		1,476	$	139,314
Daimler AG Registered Shares		16,894		1,018,650
Deutsche Bank AG Reg.		17,510		871,187
Deutsche Boerse AG		3,621		243,784
Deutsche Lufthansa AG Reg.		4,325		60,538
Deutsche Post AG		15,704		302,333
Deutsche Telekom AG		52,408		630,956
E.On AG		33,628		805,500
Fraport AG		731		45,773
Fresenius Medical Care AG & Co. KGaA		3,888		275,553
Fresenius SE & Co. KGaA		2,132		218,633
GEA Group AG		3,221		111,091
Hannover Rueckversicherung AG Reg.		1,095		65,046
HeidelbergCement AG		2,594		157,015
Henkel AG & Co. KGaA		2,455		153,234
Hochtief AG		815		49,446
Infineon Technologies AG		20,159		206,108
K+S AG Reg.		3,214		168,138
Kabel Deutschland Holding AG (a)		1,725		106,542
Lanxess AG		1,532		126,639
Linde AG		3,220		577,827
MAN AG		1,172		156,044
Merck KGaA		1,202		133,026
Metro AG		2,423		93,683
Muenchener Rueckversicherungs Gesellschaft AG Reg.		3,344		504,191
QIAGEN NV (a)		4,488		69,882
RWE AG		9,109		434,983
Salzgitter AG		753		41,271
SAP AG		17,192		1,200,561
Siemens AG Reg.		15,368		1,549,315
Suedzucker AG		1,221		38,879
ThyssenKrupp AG		7,186		178,885
United Internet AG Reg.		1,933		36,428
Volkswagen AG		549		88,523
Wacker Chemie AG		301		26,539
				15,783,226
Greece (0.09%)
Coca-Cola Hellenic Bottling Co. SA (a)		3,442		65,875
Hellenic Telecommunications Organization SA		4,860		20,677
National Bank of Greece SA (a)		18,232		46,687
OPAP SA		4,278		41,479
				174,718
Hong Kong (2.82%)
AIA Group Ltd.		157,619		577,456
ASM Pacific Technology Ltd.		3,600		52,524
Bank of East Asia Ltd.		29,316		110,234
BOC Hong Kong Holdings Ltd.		69,000		190,592
Cathay Pacific Airways Ltd.		23,494		43,505
Cheung Kong Holdings Ltd.		25,364		327,602

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Cheung Kong Infrastructure Holdings Ltd.		9,175	$	55,826
CLP Holdings Ltd.		36,005		310,646
First Pacific Company Ltd.		39,425		43,661
Foxconn International Holdings Ltd. (a)		42,000		29,909
Galaxy Entertainment Group Ltd. (a)		23,880		65,961
Hang Lung Group Ltd.		16,000		103,534
Hang Lung Properties Ltd.		46,000		168,526
Hang Seng Bank Ltd.		14,343		190,611
Henderson Land Development Co. Ltd.		16,881		93,149
HKT Trust and HKT Ltd. (a)		1,760		1,378
Hong Kong & China Gas Co. Ltd.		88,499		226,788
Hong Kong Exchanges & Clearing Ltd.		19,300		324,336
Hopewell Holdings Ltd.		10,500		28,800
Hutchison Whampoa Ltd.		39,700		396,716
Hysan Development Co. Ltd.		11,856		47,482
Kerry Properties Ltd.		13,657		61,465
Li & Fung Ltd.		105,240		241,500
Lifestyle International Holdings Ltd.		10,500		26,637
Link REIT, The		42,007		156,332
MTR Corporation Ltd.		26,688		95,541
New World Development Co. Ltd.		69,357		83,330
NWS Holdings Ltd.		25,260		38,644
Orient Overseas International Ltd.		4,400		31,305
PCCW Ltd.		81,000		28,997
Power Assets Holdings Ltd.		25,982		190,711
Sands China Ltd.		44,853		175,010
Shangri-La Asia Ltd.		26,283		57,470
Sino Land Co. Ltd.		52,479		83,798
SJM Holdings Ltd.		32,022		64,988
Sun Hung Kai Properties Ltd.		26,656		331,246
Swire Pacific Ltd. Class A		13,321		149,325
Wharf Holdings Ltd.		28,700		155,963
Wheelock and Co. Ltd.		18,000		54,240
Wing Hang Bank Ltd.		3,252		32,308
Wynn Macau Ltd.		29,936		88,086
Yue Yuen Industrial Holdings Ltd.		14,000		49,126
				5,585,258
Ireland (0.28%)
CRH PLC (Dublin)		13,370		272,822
Elan Corp. PLC (a)		9,346		136,801
Kerry Group PLC Class A		2,652		122,733
Ryanair Holdings PLC (a)		3,431		20,482
				552,838
Israel (0.62%)
Bank Hapoalim B.M.		20,381		74,838
Bank Leumi Le-Israel		21,485		67,655
Bezeq The Israeli Telecommunication Corporation Ltd.		33,862		55,597
Cellcom Israel Ltd.		971		12,298
Delek Group Ltd.		78		15,258
Elbit Systems Ltd.		455		17,652

30 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Israel (Cont.)
Israel Chemicals Ltd.		8,329	$	94,760
Israel Corporation Ltd., The		45		30,294
Israel Discount Bank Class A (a)		14,983		19,830
Mizrahi Tefahot Bank Ltd.		2,374		21,390
NICE Systems Ltd. (a)		1,063		41,669
Partner Communications Company Ltd.		1,670		12,881
Teva Pharmaceutical Industries Ltd.		17,555		776,184
				1,240,306
Italy (2.29%)
A2A SpA		20,416		16,379
Assicurazioni Generali SpA		21,691		336,737
Atlantia SpA		5,733		95,194
Autogrill SpA		2,144		22,633
Banca Carige SpA		12,622		16,565
Banca Monte Dei Paschi di Siena SpA		94,830		39,979
Banco Popolare Societa Cooperativa		33,734		63,977
Enel Green Power SpA		33,575		63,810
Enel SpA		122,604		443,458
Eni SpA		44,884		1,052,969
EXOR SpA		1,287		32,493
Fiat Industrial SpA (a)		14,133		150,793
Fiat SpA		14,506		85,280
Finmeccanica SpA		7,705		41,721
Intesa Sanpaolo		189,063		338,894
Intesa Sanpaolo RSP		18,229		28,129
Luxottica Group SpA		2,135		77,308
Mediaset SpA		14,001		38,616
Mediobanca SpA		9,887		58,072
Pirelli & Co. SpA		4,188		49,823
Prysmian SpA		3,927		69,029
Saipem SpA		4,935		254,913
Snam SpA		29,757		143,111
Telecom Italia RNC SpA		111,414		109,513
Telecom Italia SpA		173,646		206,464
Tenaris SA		8,786		167,566
Terna - Rete Elettrica Nationale SpA		22,983		92,386
UBI Banca - Unione di Banche Italiane ScpA		14,865		63,005
UniCredit SpA		76,167		381,549
				4,540,366
Japan (21.16%)
ABC-Mart Inc.		500		18,817
Advantest Corp.		2,800		44,113
Aeon Co. Ltd.		11,400		149,851
Aeon Credit Service Co. Ltd.		1,400		22,022
Aeon Mall Co. Ltd.		1,400		32,526
Air Water Inc.		2,769		35,729
Aisin Seiki Co. Ltd.		3,500		122,883
Ajinomoto Co. Inc.		12,000		150,489
Alfresa Holdings Corp.		700		33,279
All Nippon Airways Co. Ltd.		15,000		45,306
Amada Co. Ltd.		7,000		47,191

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Aozora Bank Ltd.		11,000	$	31,763
Asahi Glass Co. Ltd.		19,000		161,145
Asahi Group Holdings Ltd.		7,300		161,664
Asahi Kasei Corp.		23,000		141,996
ASICS Corp.		3,000		33,925
Astellas Pharma Inc.		8,298		340,863
Bank of Kyoto Ltd., The		6,000		54,440
Bank of Yokohama Ltd., The		23,000		115,042
Benesse Holdings Inc.		1,300		64,788
Bridgestone Corp.		12,100		293,254
Brother Industries Ltd.		4,300		58,289
Canon Inc.		21,200		1,001,474
Casio Computer Co. Ltd. (a)		4,800		34,273
Central Japan Railway Co.		28		230,712
Chiba Bank Ltd., The		14,000		89,308
Chiyoda Corp.		3,077		39,071
Chubu Electric Power Co. Inc.		12,800		231,040
Chugai Pharmaceutical Co. Ltd.		4,300		79,278
Chugoku Bank Ltd., The		3,000		40,558
Chugoku Electric Power Company Inc., The		5,500		102,132
Citizen Holdings Co. Ltd.		4,800		30,388
Coca-Cola West Co. Ltd.		1,299		22,772
Cosmo Oil Co. Ltd.		11,000		30,567
Credit Saison Co. Ltd.		2,800		56,663
Dai Nippon Printing Co. Ltd.		10,000		102,211
Daicel Chemical Industries Ltd.		5,000		32,198
Daido Steel Co. Ltd.		5,000		34,614
Daihatsu Motor Co. Ltd.		4,000		73,263
Dai-ichi Life Insurance Company Ltd.		168		231,997
Daiichi Sankyo Co. Ltd.		12,540		228,468
Daikin Industries Ltd.		4,400		119,768
Dainippon Sumitomo Pharma Co. Ltd.		3,000		31,787
Daito Trust Construction Co. Ltd.		1,400		125,674
Daiwa House Industry Co. Ltd.		9,000		118,956
Daiwa Securities Group Inc.		30,000		118,521
DeNA Co. Ltd.		1,900		52,636
Denki Kagaku Kogyo KK		9,000		35,991
Denso Corp.		9,100		303,993
Dentsu Inc.		3,316		105,606
East Japan Railway Co.		6,413		403,670
Eisai Co. Ltd.		4,700		186,819
Electric Power Development Co. Ltd.		2,100		56,934
FamilyMart Co. Ltd.		1,200		50,743
Fanuc Corp.		3,600		638,492
Fast Retailing Co. Ltd.		1,000		227,860
Fuji Electric Co. Ltd.		10,000		26,338
Fuji Heavy Industries Ltd.		11,000		88,377
FUJIFILM Holdings Corp.		8,700		204,020
Fujitsu Ltd.		35,000		184,366
Fukuoka Financial Group Inc.		15,000		66,510
Furukawa Electric Co. Ltd.		12,000		31,896
Gree Inc.		1,779		44,899
GS Yuasa Corp.		6,000		32,910
Gunma Bank Ltd.		7,000		37,465
Hachijuni Bank Ltd., The		7,549		44,508

See accompanying notes to schedules of investments. 31

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Hakuhodo DY Holdings Inc.		400	$	25,130
Hamamatsu Photonics K.K.		1,293		48,818
Hino Motors Ltd.		5,000		36,124
Hirose Electric Co. Ltd.		600		62,994
Hiroshima Bank Ltd., The		9,000		41,102
Hisamitsu Pharmaceutical Co. Inc.		1,200		56,905
Hitachi Chemical Co. Ltd.		1,900		34,203
Hitachi Construction Machinery Co. Ltd.		2,100		46,455
Hitachi High-Technologies Corp.		1,200		28,634
Hitachi Ltd.		85,000		545,306
Hitachi Metals Ltd.		3,000		37,260
Hokkaido Electric Power Co. Inc.		3,300		48,441
Hokuhoku Financial Group Inc.		24,000		45,814
Hokuriku Electric Power Co.		3,100		56,030
Honda Motor Co. Ltd.		30,400		1,155,105
Hoya Corp.		8,100		181,925
Ibiden Co. Ltd.		2,300		58,827
Idemitsu Kosan Co. Ltd.		400		39,870
IHI Corp.		25,000		63,127
INPEX Corp.		41		276,900
Isetan Mitsukoshi Holdings Ltd.		7,240		85,022
Isuzu Motors Ltd.		22,000		128,911
Itochu Corp.		28,000		305,473
Itochu Techno-Solutions Corp.		500		22,381
Iyo Bank Ltd., The		5,000		44,279
J. Front Retailing Co. Ltd.		8,600		48,003
Japan Petroleum Exploration Co.		500		23,287
Japan Prime Realty Investment Corp.		13		37,365
Japan Real Estate Investment Corp.		9		79,268
Japan Retail Fund Investment Corp.		35		51,969
Japan Steel Works Ltd., The		6,000		41,102
Japan Tobacco Inc.		84		472,925
JFE Holdings Inc.		8,500		182,590
JGC Corp.		4,000		123,958
Joyo Bank Ltd., The		12,000		54,947
JS Group Corp.		5,100		106,781
JSR Corp.		3,300		66,423
JTEKT Corp.		4,300		51,484
Jupiter Telecommunications Co. Ltd.		33		33,052
JX Holdings Inc.		42,300		262,171
Kajima Corp.		15,000		45,669
Kamigumi Co. Ltd.		4,000		33,104
Kaneka Corp.		5,000		30,144
Kansai Electric Power Company Inc., The		14,100		218,391
Kansai Paint Co. Ltd.		4,000		40,353
Kao Corp.		9,800		257,166
Kawasaki Heavy Industries Ltd.		27,000		82,530
Kawasaki Kisen Kaisha Ltd. (a)		13,000		28,585
KDDI Corp.		54		349,692
Keikyu Corp.		9,000		78,724
Keio Corp.		11,000		78,809
Keisei Electric Railway Co. Ltd.		5,000		38,661
Keyence Corp.		847		199,138
Kikkoman Corp.		3,000		34,686
Kinden Corp.		2,000		15,440

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Kintetsu Corp.		31,000	$	117,978
Kirin Holdings Co. Ltd.		15,000		194,092
Kobe Steel Ltd.		48,000		77,709
Koito Manufacturing Company Ltd.		1,924		31,125
Komatsu Ltd.		17,700		504,462
Konami Corp.		1,700		48,184
Konica Minolta Holdings Inc.		9,000		78,615
Kubota Corp.		22,000		211,308
Kuraray Co. Ltd.		6,600		93,374
Kurita Water Industries Ltd.		2,200		53,904
Kyocera Corp.		2,800		256,421
Kyowa Hakko Kirin Co. Ltd.		5,000		55,576
Kyushu Electric Power Co. Inc.		7,500		106,832
Lawson Inc.		1,100		69,240
Mabuchi Motor Co. Ltd.		500		22,683
Makita Corp.		2,100		84,233
Marubeni Corp.		31,000		223,596
Marui Group Co. Ltd.		4,400		36,680
Maruichi Steel Tube Ltd.		1,000		23,342
Mazda Motor Corp. (a)		48,000		84,088
McDonald’s Holdings Company Ltd. (Japan)		1,300		34,491
MEDIPAL HOLDINGS CORP.		2,900		37,560
MEIJI Holdings Company Ltd.		1,268		55,380
Miraca Holdings Inc.		1,090		42,536
Mitsubishi Chemical Holdings Corp.		25,000		133,502
Mitsubishi Corp.		26,500		614,715
Mitsubishi Electric Corp.		36,000		318,376
Mitsubishi Estate Co. Ltd.		23,000		410,149
Mitsubishi Gas Chemical Co. Inc.		7,000		46,768
Mitsubishi Heavy Industries Ltd.		57,000		276,151
Mitsubishi Logistics Corp.		2,000		23,608
Mitsubishi Materials Corp.		21,000		66,473
Mitsubishi Motors Corp. (a)		71,968		81,732
Mitsubishi Tanabe Pharma Corp.		4,300		60,315
Mitsubishi UFJ Financial Group Inc.		238,000		1,184,680
Mitsubishi UFJ Lease & Finance Co. Ltd.		1,050		46,176
Mitsui & Co. Ltd.		32,400		531,192
Mitsui Chemicals Inc.		15,000		45,488
Mitsui Fudosan Co. Ltd.		16,000		306,005
Mitsui OSK Lines Ltd.		21,000		91,337
Mitsui Sumitomo Insurance Group Holdings Inc.		10,600		217,584
Mizuho Financial Group Inc.		425,929		694,701
Murata Manufacturing Co. Ltd.		3,800		225,190
Nabtesco Corp.		1,745		35,798
Namco Bandai Holdings Inc.		3,700		53,374
NEC Corp. (a)		49,000		102,416
NGK Insulators Ltd.		5,000		71,342
NGK Spark Plug Co. Ltd.		3,000		42,805
NHK Spring Co. Ltd.		3,000		32,258
Nidec Corp.		2,000		182,192
Nikon Corp.		6,300		191,200
Nintendo Co. Ltd.		1,800		270,750
Nippon Building Fund Inc.		11		104,458
Nippon Electric Glass Co. Ltd.		7,500		65,150

32 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Nippon Express Co. Ltd.		16,000	$	62,438
Nippon Meat Packers Inc.		3,000		38,094
Nippon Paper Group Inc.		1,800		37,470
Nippon Sheet Glass Co. Ltd.		17,000		26,084
Nippon Steel Corp.		96,000		263,284
Nippon Telegraph & Telephone Corp.		8,213		372,597
Nippon Yusen Kabushiki Kaish		29,000		91,096
Nishi-Nippon City Bank Ltd., The		12,000		33,925
Nissan Motor Co. Ltd.		46,400		493,879
Nisshin Seifun Group Inc.		3,300		39,909
Nisshin Steel Co. Ltd.		12,000		20,152
Nissin Foods Holdings Co. Ltd.		1,100		41,132
Nitori Holdings Co. Ltd.		700		63,260
Nitto Denko Corp.		3,100		124,906
NKSJ Holdings Inc.		6,900		154,223
NOK Corp.		2,000		43,494
Nomura Holdings Inc.		67,700		299,362
Nomura Real Estate Holdings Inc.		1,800		31,729
Nomura Real Estate Office Fund Inc.		5		29,751
Nomura Research Institute Ltd.		2,000		49,607
NSK Ltd.		8,000		61,568
NTN Corp.		9,000		38,057
NTT Data Corp.		23		80,835
NTT DoCoMo Inc.		286		474,766
NTT Urban Development Corp.		23		18,729
Obayashi Corp.		12,000		52,338
Odakyu Electric Railway Co. Ltd.		12,000		113,374
Oji Paper Co. Ltd.		16,000		77,323
Olympus Corp. (a)		4,100		67,070
Omron Corp.		3,800		81,720
Ono Pharmaceutical Co. Ltd.		1,500		83,545
Oracle Corp. Japan		700		26,598
Oriental Land Co. Ltd.		900		96,448
Orix Corp.		1,960		187,073
Osaka Gas Co. Ltd.		35,000		140,389
OTSUKA Corp.		300		24,393
Otsuka Holdings Co. Ltd.		4,731		140,038
Panasonic Corp.		41,100		377,880
Rakuten Inc.		136		142,457
Resona Holdings Inc.		35,495		163,388
Ricoh Co. Ltd.		12,000		116,709
RINNAI Corp.		600		43,204
Rohm Co. Ltd.		1,800		88,837
Sankyo Co. Ltd.		1,000		49,052
Sanrio Co. Ltd.		800		31,219
Santen Pharmaceutical Co. Ltd.		1,400		59,792
SBI Holdings Inc. (a)		400		37,743
Secom Co. Ltd.		3,900		190,830
Sega Sammy Holdings Inc.		3,926		82,248
Seiko Epson Corp.		2,600		36,438
Sekisui Chemical Co. Ltd.		8,000		69,397
Sekisui House Ltd.		11,000		107,781
Seven & I Holdings Co. Ltd.		14,080		418,130
Seven Bank Ltd.		11,000		24,055
Sharp Corp.		19,000		138,649
Shikoku Electric Power Co. Inc.		3,400		95,834

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Shimadzu Corp.		4,000	$	36,100
Shimamura Co. Ltd.		400		44,751
Shimano Inc.		1,400		84,318
Shimizu Corp.		11,000		44,122
Shin-Etsu Chemical Co. Ltd.		7,700		444,678
Shinsei Bank Ltd.		26,000		33,925
Shionogi & Co. Ltd.		5,700		78,782
Shiseido Co. Ltd.		6,700		115,593
Shizuoka Bank Ltd., The		11,000		113,229
Showa Denko K.K.		28,000		63,598
Showa Shell Sekiyu K.K.		3,400		21,689
SMC Corp.		1,000		158,995
Softbank Corp. (a)		16,700		493,716
Sojitz Corp.		22,100		39,517
Sony Corp.		18,700		384,980
Sony Financial Holdings Inc.		3,200		56,832
Square Enix Holdings Co. Ltd.		1,200		25,198
Stanley Electric Co. Ltd.		2,800		44,485
SUMCO Corp. (a)		2,300		27,982
Sumitomo Chemical Co. Ltd.		29,000		123,330
Sumitomo Corp.		21,200		306,333
Sumitomo Electric Industries Ltd.		14,300		195,746
Sumitomo Heavy Industries Ltd.		10,000		55,576
Sumitomo Metal Industries Ltd.		64,000		129,129
Sumitomo Metal Mining Co. Ltd.		10,000		140,510
Sumitomo Mitsui Financial Group Inc.		25,089		825,388
Sumitomo Mitsui Trust Holdings Inc.		58,000		184,995
Sumitomo Realty & Development Co. Ltd.		7,000		168,721
Sumitomo Rubber Industries Ltd.		3,100		41,161
Suruga Bank Ltd.		3,000		30,627
Suzuken Co. Ltd.		1,280		39,466
Suzuki Motor Corp.		6,298		150,431
Sysmex Corp.		1,400		56,494
T&D Holdings Inc.		10,700		123,974
Taisei Corp.		19,000		49,583
Taisho Pharmaceutical Holdings Co. Ltd.		700		56,748
Taiyo Nippon Sanso Corp.		5,000		35,278
Takashimaya Co. Ltd.		5,000		41,501
Takeda Pharmaceutical Co. Ltd.		14,800		651,758
TDK Corp.		2,300		130,325
Teijin Ltd.		18,000		60,457
Terumo Corp.		3,100		148,127
THK Co. Ltd.		2,200		44,734
Tobu Railway Co. Ltd.		19,000		100,773
Toho Co. Ltd.		2,200		40,375
Toho Gas Co. Ltd.		8,000		47,167
Tohoku Electric Power Co. Inc. (a)		8,400		95,803
Tokio Marine Holdings Inc.		13,500		370,406
Tokyo Electric Power Company Inc., The (a)		26,900		67,599
Tokyo Electron Ltd.		3,200		183,062
Tokyo Gas Co. Ltd.		46,000		216,745
Tokyu Corp.		21,000		99,710
Tokyu Land Corp.		8,000		39,145

See accompanying notes to schedules of investments. 33

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
TonenGeneral Sekiyu KK		5,000	$	46,031
Toppan Printing Co. Ltd.		10,000		78,048
Toray Industries Inc.		27,000		200,290
Toshiba Corp.		75,000		329,830
Tosoh Corp.		10,000		27,788
Toto Ltd.		5,000		37,634
Toyo Seikan Kaisha Ltd.		2,800		40,155
Toyo Suisan Kaisha Ltd.		2,000		51,927
Toyoda Gosei Co. Ltd.		1,200		23,356
Toyota Boshoku Corp.		1,400		16,508
Toyota Industries Corp.		3,400		102,530
Toyota Motor Corp.		51,500		2,221,276
Toyota Tsusho Corp.		3,900		79,395
Trend Micro Inc.		2,000		61,447
Tsumura & Co.		1,100		31,776
UBE Industries Ltd.		19,000		51,649
Unicharm Corp.		2,100		110,874
Ushio Inc.		2,000		28,102
USS Co. Ltd.		420		42,573
West Japan Railway Co.		3,200		128,549
Yahoo Japan Corp.		272		88,005
Yakult Honsha Co. Ltd.		1,800		61,870
Yamada Denki Co. Ltd.		1,550		96,816
Yamaguchi Financial Group Inc.		4,000		36,342
Yamaha Corp.		2,900		30,062
Yamaha Motor Co. Ltd.		5,400		72,352
Yamato Holdings Co. Ltd.		7,500		115,893
Yamato Kogyo Co. Ltd.		800		23,342
Yamazaki Baking Co. Ltd.		2,000		28,658
Yaskawa Electric Corp.		4,000		37,598
Yokogawa Electric Corp.		4,200		42,472
				41,960,962
Netherlands (2.58%)
Aegon NV (a)		31,865		176,963
Akzo Nobel NV		4,305		254,181
ArcelorMittal		16,102		307,740
ASML Holding NV		8,142		406,995
Corio NV		1,163		61,346
Delta Lloyd NV		1,937		34,049
Fugro NV		1,297		92,406
Heineken Holding NV		2,185		102,286
Heineken NV		4,891		271,851
ING Groep NV (a)		71,332		594,311
Koninklijke Ahold NV		21,682		300,450
Koninklijke Boskalis Westminster NV CVA		1,279		48,044
Koninklijke DSM NV		2,876		166,413
Koninklijke KPN NV		27,478		302,268
Koninklijke Philips Electronics NV		18,920		383,551
Koninklijke Vopak NV		1,299		74,834
Randstad Holding NV		2,287		86,289
Reed Elsevier NV		13,033		166,451
SBM Offshore NV		3,176		64,914
TNT Express NV		6,537		80,732
Unilever NV CVA		30,475		1,037,044

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Netherlands (Cont.)
Wolters Kluwer - CVA		5,648	$	106,965
				5,120,083
New Zealand (0.12%)
Auckland International Airport Ltd.		18,043		36,343
Contact Energy Ltd. (a)		6,702		25,956
Fletcher Building Ltd.		12,554		69,282
SKYCITY Entertainment Group Ltd.		10,408		33,577
Telecom Corp. of New Zealand Ltd.		36,499		72,472
				237,630
Norway (0.95%)
Aker Solutions ASA		3,204		54,208
DnB NOR ASA		18,208		234,045
Gjensidige Forsikring Asa		3,900		46,056
Norsk Hydro ASA		17,016		92,658
Orkla ASA		14,531		114,977
Seadrill Ltd.		6,146		230,310
Statoil ASA		20,859		566,276
Subsea 7 SA (a)		5,235		138,626
Telenor ASA		13,466		249,705
Yara International ASA		3,486		166,258
				1,893,119
Portugal (0.20%)
Banco Espirito Santo SA Reg.		10,333		18,880
CIMPOR-Cimentos de Portugal SGPS SA		3,597		23,987
EDP Renovaveis SA (a)		4,124		20,493
Energias de Portugal SA		35,503		103,271
Galp Energia SGPS SA B Shares		4,232		69,650
Jeronimo Martins SGPS SA (a)		4,129		84,117
Portugal Telecom SGPS SA		12,356		67,219
				387,617
Singapore (1.78%)
Ascendas Real Estate Investment Trust		34,000		54,636
Capitaland Ltd.		47,000		116,654
Capitamall Trust		41,000		58,872
CapitaMalls Asia Ltd.		26,807		34,867
City Developments Ltd.		9,000		81,262
Comfortdelgro Corp. Ltd.		36,000		44,676
Cosco Corp. Singapore Ltd.		19,000		17,609
DBS Group Holdings Ltd.		33,086		373,223
Fraser and Neave Ltd.		16,894		90,044
Genting Singapore PLC (a)		114,000		154,624
Global Logistic Properties Ltd. (a)		35,726		62,525
Golden Agri-Resources Ltd.		125,330		78,266
Hutchison Port Holdings Trust		100,000		76,500
Jardine Cycle & Carriage Ltd.		1,863		71,568
Keppel Corp. Ltd.		26,400		230,807
Keppel Land Ltd.		14,101		38,925
Neptune Orient Lines Ltd.		17,000		19,136
Noble Group Ltd.		72,800		79,920

34 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Singapore (Cont.)
Olam International Ltd.		27,798	$	52,187
Oversea-Chinese Banking Corporation Ltd.		47,797		339,166
Sembcorp Industries Ltd.		18,220		76,530
Sembcorp Marine Ltd.		15,800		66,365
Singapore Airlines Ltd.		10,267		87,964
Singapore Exchange Ltd.		16,000		88,334
Singapore Press Holdings Ltd.		28,000		87,316
Singapore Technologies Engineering Ltd.		29,000		74,977
Singapore Telecommunications Ltd.		149,450		374,502
StarHub Ltd.		12,000		29,593
United Overseas Bank Ltd.		23,881		348,607
UOL Group Ltd.		8,639		32,575
Wilmar International Ltd.		36,000		140,329
Yangzijiang Shipbuilding Holdings Ltd.		36,548		38,669
				3,521,228
Spain (2.84%)
Abertis Infraestructuras SA		7,140		121,556
Acciona SA		474		33,101
Acerinox SA		1,980		25,449
ACS Actividades de Construccion y
Servicios SA		2,567		65,699
Amadeus IT Holding SA A Shares		5,884		111,042
Banco Bilbao Vizcaya Argentaria SA		85,497		680,401
Banco de Sabadell SA		38,794		105,652
Banco Popular Espanol SA		18,414		66,063
Banco Popular Espanol SA Rights (a) (b)		18,403		857
Banco Santander SA (Madrid)		158,218		1,217,558
Bankia Sa (a)		16,625		60,221
Bankinter SA		4,103		21,522
CaixaBank		14,181		55,208
Distribuidora Internacional de Alimentacion SA (a)		11,086		54,957
Enagas SA		3,355		64,568
Ferrovial SA		6,755		77,641
Fomento de Construcciones y Contratas SA		994		22,205
Gas Natural SDG SA		6,458		103,184
Grifols SA (a)		2,289		48,845
Grifols SA Class B (a)		247		3,821
Iberdrola SA		74,233		421,462
Indra Sistemas SA		1,989		24,373
Industria de Diseno Textil SA		4,076		390,425
International Consolidated Airlines Group SA (a)		17,929		51,626
Mapfre SA		14,174		45,634
Red Electrica Corporacion SA		2,041		99,876
Repsol YPF SA		14,823		371,863
Telefonica SA		76,674		1,256,265
Zardoya Otis SA		2,723		35,263
				5,636,337

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Sweden (3.14%)
Alfa Laval AB		6,241	$	128,388
Assa Abloy AB Class B		5,847		183,652
Atlas Copco AB Class A		12,529		303,197
Atlas Copco AB Class B		7,269		156,679
Boliden AB		5,049		79,294
Electrolux AB Series B		4,525		95,687
Getinge AB B Shares		3,687		104,996
Hennes & Mauritz AB (H&M) B Shares		19,117		691,770
Hexagon AB B Shares		4,862		94,362
Holmen AB Class B		962		26,421
Husqvarna AB B Shares		8,301		50,076
Industrivarden AB C Shares		2,307		34,278
Investment AB Kinnevik B Shares		3,925		91,305
Investor AB B Shares		8,497		188,414
Lundin Petroleum AB (a)		4,181		89,614
Millicom International Cellular SA SDR		1,435		162,679
Modern Times Group B Shares		896		49,352
Nordea Bank AB		49,113		446,529
Ratos AB B Shares		3,562		49,453
Sandvik AB		18,761		270,818
Scania AB Class B		5,897		122,650
Securitas AB Class B		5,922		57,109
Skandinaviska Enskilda Banken AB Class A		26,151		185,782
Skanska AB Class B		7,370		127,776
SKF AB B Shares		7,282		177,763
SSAB Svenskt Stal AB Series A		3,017		28,525
Svenska Cellulosa AB B Shares		10,773		186,612
Svenska Handelsbanken AB A Shares		9,178		292,578
Swedbank AB - A Shares		15,082		234,353
Swedish Match AB		4,007		159,534
Tele2 AB Class B		5,918		120,761
Telefonaktiebolaget LM Ericsson B Shares		56,197		582,289
TeliaSonera AB		40,751		284,206
Volvo AB B Shares		26,002		378,880
				6,235,782
Switzerland (8.42%)
ABB Ltd. Reg. (a)		40,874		838,580
Actelion Ltd. Reg. (a)		2,113		77,245
Adecco SA Reg. (a)		2,435		127,590
Aryzta AG (a)		1,552		76,680
Baloise Holding AG Reg.		894		71,999
Barry Callebaut AG Reg. (a)		34		34,068
Compagnie Financiere Richemont SA Class A		9,736		610,455
Credit Suisse Group AG Reg. (a)		21,217		604,756
GAM Holding AG (a)		3,532		51,452
Geberit AG Reg. (a)		731		152,970
Givaudan SA Reg. (a)		154		148,421
Holcim Ltd. Reg. (a)		4,595		299,818
Julius Baer Group Ltd. (a)		3,851		155,456

See accompanying notes to schedules of investments. 35

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
Switzerland (Cont.)
Kuehne & Nagel International AG Reg.		1,002	$	135,531
Lindt & Spruengli AG		16		51,401
Lindt & Spruengli AG Reg.		2		74,432
Lonza Group AG Reg. (a)		914		47,244
Nestle SA Reg.		61,697		3,882,120
Novartis AG		43,611		2,413,654
Pargesa Holding SA		503		36,163
Partners Group Holding AG		245		47,795
Roche Holding AG		13,127		2,284,537
Schindler Holding AG (a)		898		108,035
Schindler Holding AG Reg.		401		47,932
SGS SA Reg		102		198,418
Sika AG		37		80,091
Sonova Holding AG Reg. (a)		909		101,000
Straumann Holding AG Reg.		153		26,034
Sulzer AG Reg.		461		65,522
Swatch Group AG Reg., The		842		67,672
Swatch Group AG, The		579		266,505
Swiss Life Holding AG Reg. (a)		586		69,720
Swiss Re Ag (a)		6,425		410,326
Swisscom AG		437		176,649
Syngenta AG Reg. (a)		1,765		610,232
Synthes Inc. (c)		1,223		212,166
Transocean Ltd. (a)		6,452		352,012
UBS AG Reg. (a)		67,809		950,243
Zurich Financial Services AG (a)		2,741		736,642
				16,701,566
United Kingdom (22.19%)
3i Group PLC		18,448		63,143
Admiral Group PLC		3,937		74,748
Aggreko Plc		4,955		178,324
AMEC PLC		6,174		109,419
Anglo American PLC		24,704		923,444
Antofagasta PLC		7,341		135,267
ARM Holdings PLC		25,141		238,061
Associated British Foods PLC		6,686		130,470
AstraZeneca PLC		25,105		1,115,921
Aviva PLC		53,863		285,600
Babcock International Group PLC		6,564		83,626
BAE Systems PLC		63,313		303,706
Balfour Beatty PLC		13,210		60,324
Barclays PLC		215,978		812,688
BG Group PLC		63,365		1,467,582
BHP Billiton PLC		39,451		1,203,669
BP PLC		354,124		2,619,983
British American Tobacco PLC		36,979		1,863,456
British Land Co. PLC		15,497		118,955
British Sky Broadcasting Group PLC		21,154		228,730
BT Group PLC		144,874		524,628
Bunzl PLC		6,336		101,750
Burberry Group PLC		8,296		198,644
Capita PLC		11,695		137,023
Capital Shopping Centres Group PLC		10,742		56,941
Carnival PLC		3,381		108,050

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Centrica PLC		96,603	$	488,890
Cobham PLC		20,495		75,103
Compass Group PLC		35,341		370,541
Diageo PLC		46,798		1,124,673
Essar Energy Ltd. PLC (a)		6,220		15,451
Eurasian Natural Resources Corp.		4,709		44,627
Experian PLC		18,694		291,386
Fresnillo PLC		3,335		85,243
G4S PLC		26,089		113,713
GKN PLC		29,781		98,175
GlaxoSmithKline PLC		94,837		2,118,377
Glencore International Plc		25,886		161,230
Hammerson PLC		13,360		88,811
HSBC Holdings PLC		333,613		2,960,492
ICAP PLC		10,458		65,706
Imperial Tobacco Group PLC		18,934		767,724
Inmarsat PLC		8,616		63,435
InterContinental Hotels Group PLC		5,530		128,521
International Power PLC		28,557		184,992
Intertek Group PLC		3,014		121,053
Invensys PLC		15,644		49,795
Investec PLC		9,113		55,725
ITV PLC		67,564		95,479
J Sainsbury PLC		22,870		113,875
Johnson Matthey PLC		3,989		150,514
Kazakhmys PLC		3,909		56,772
Kingfisher PLC		44,430		217,959
Land Securities Group PLC		14,443		166,909
Legal & General Group PLC		109,703		229,339
Lloyds Banking Group PLC (a)		773,981		416,024
London Stock Exchange Group PLC		2,778		45,945
Lonmin PLC		2,935		47,978
Man Group PLC		36,033		77,692
Marks & Spencer Group PLC		29,379		178,099
Meggitt PLC		14,507		93,721
National Grid PLC		66,491		670,552
Next PLC		3,219		153,589
Old Mutual PLC		102,522		260,079
Pearson PLC		15,346		285,960
Petrofac Ltd.		4,847		134,898
Prudential PLC		47,538		568,377
Randgold Resources Ltd.		1,713		147,135
Reckitt Benckiser Group PLC		11,567		653,655
Reed Elsevier PLC		22,866		202,987
Resolution Ltd.		26,798		112,002
Rexam PLC		16,705		114,387
Rio Tinto PLC		26,130		1,440,254
Rolls-Royce Holdings PLC (a)		34,944		453,851
Royal Bank of Scotland Group PLC (a)		328,393		145,183
Royal Dutch Shell PLC Class A		67,684		2,363,871
Royal Dutch Shell PLC Class B		50,208		1,766,369
RSA Insurance Group PLC		64,711		108,267
SABMiller PLC		17,970		721,306
Sage Group PLC, The		25,250		120,839
Schroders PLC		2,153		54,411

36 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
SEGRO PLC		14,566	$	54,704
Serco Group PLC		9,463		82,113
Severn Trent PLC		4,494		110,985
Shire PLC		10,595		342,324
Smith & Nephew PLC		16,679		169,006
Smiths Group PLC		7,222		121,523
SSE PLC		17,849		379,423
Standard Chartered PLC		44,452		1,109,176
Standard Life PLC		43,988		161,614
Tate & Lyle PLC		8,795		99,177
Tesco PLC		149,782		790,602
Tui Travel PLC		9,731		30,554
Tullow Oil PLC		17,009		415,434
Unilever PLC		23,992		792,065
United Utilities Group PLC		12,767		122,831
Vedanta Resources PLC		2,224		43,684
Vodafone Group PLC		950,115		2,616,940
Weir Group PLC, The		3,929		110,858
Whitbread PLC		3,320		97,923
William Morrison Supermarkets PLC		41,110		195,951
Wolseley PLC		5,296		201,948
WPP PLC		23,351		319,157
Xstrata PLC		38,720		661,441
				44,015,526
Total Common Stocks
(cost $177,246,876)				194,246,180
Preferred Stocks (0.51%)
Germany (0.51%)
Bayerische Moteren Werke (BMW) AG PFD		943		56,011
Henkel AG & Co. KGaA PFD		3,333		244,220
Porsche Automobil Holding SE PFD		2,847		168,019
ProSiebenSat.1 Media AG PFD (a)		1,508		38,756
RWE AG-Non Voting PFD		765		33,634
Volkswagen AG PFD		2,699		474,615
				1,015,255
Total Preferred Stocks
(cost $553,984)				1,015,255

		14,927,795		14,927,795
	Shares		Value
Short-term Investments (0.09%)
State Street Institutional U.S. Government Money Market Fund		188,645	$	188,645
Total Short-term Investments
(cost $188,645)				188,645
TOTAL INVESTMENTS (98.54%)
(cost $177,989,505)				195,450,080
CASH (d) AND OTHER ASSETS, NET OF LIABILITIES (1.46%)				2,887,508
NET ASSETS (100.00%)			$	198,337,588

(a) Non-income producing security.

(b) In accordance with the Trust’s Valuation Procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

(c) These shares may only be resold to qualified institutional buyers in transactions exempt from registration.

(d) At March 31, 2012, cash in the amount of $1,303,923 has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

FDR – Fiduciary Depository Receipt

SDR – Swedish Depository Receipt

See accompanying notes to schedules of investments. 37

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
INTERNATIONAL INDEX FUND FOREIGN CURRENCY DENOMINATIONS
Currency	Value		%
Euro	$	55,257,705		28.27
British Pound		44,015,526		22.52
Japanese Yen		41,960,962		21.47
Swiss Franc		16,701,566		8.55
Australian Dollar		16,443,435		8.41
Swedish Krona		6,235,782		3.19
Hong Kong Dollar		5,585,258		2.86
Singapore Dollar		3,444,728		1.76
Danish Krone		2,168,918		1.11
Norwegian Krone		1,893,119		0.97
Israeli Shekel		1,240,306		0.63
United States Dollar		265,145		0.14
New Zealand Dollar		237,630		0.12
Total Investments	$	195,450,080		100.00	%
INTERNATIONAL INDEX FUND SECTOR CLASSIFICATIONS
Sector	Value		%
Financials	$	44,061,964		22.22
Industrials		24,803,540		12.51
Consumer Staples		21,928,792		11.06
Consumer Discretionary		21,124,051		10.65
Materials		19,895,091		10.03
Health Care		18,259,681		9.21
Energy		16,670,732		8.40
Telecommunication Services		10,640,707		5.36
Information Technology		9,401,754		4.74
Utilities		8,475,123		4.27
Total Stocks		195,261,435		98.45
Short-term Investments		188,645		0.09
Cash and Other Assets, Net of Liabilities		2,887,508		1.46
Net Assets	$	198,337,588		100.00	%

38 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Shares		Value
Registered Investment Companies (99.31%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (a)		6,328,079	$	73,152,597
State Farm Mutual Fund Trust Equity Fund Institutional Shares (a)		18,396,298		118,840,085
Total Registered Investment Companies
(cost $201,303,108)				191,992,682
TOTAL INVESTMENTS (99.31%)
(cost $201,303,108)				191,992,682
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.69%)				1,328,295
NET ASSETS (100.00%)			$	193,320,977

(a) The Equity and Bond Fund’s investment adviser is an affiliate of the issuer.

See accompanying notes to schedules of investments. 39

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (42.39%)
Aerospace/Defense (1.04%)
General Dynamics Corp.
4.250%, 05/15/2013	$	1,000,000	$	1,041,278
Northrop Grumman Corp.
3.700%, 08/01/2014		500,000		525,292
5.050%, 08/01/2019		500,000		556,914
Raytheon Co.
3.125%, 10/15/2020		1,500,000		1,526,700
Northrop Grumman Corp.
3.500%, 03/15/2021		500,000		513,624
Lockheed Martin Corp.
3.350%, 09/15/2021		2,000,000		2,003,516
				6,167,324
Agriculture, Foods, & Beverage (3.73%)
Pepsico Inc.
5.150%, 05/15/2012		1,000,000		1,005,214
PepsiAmericas Inc.
5.750%, 07/31/2012		500,000		508,357
Bottling Group LLC
4.625%, 11/15/2012		500,000		512,660
Kellogg Co.
5.125%, 12/03/2012		500,000		515,220
Kraft Foods Inc.
6.000%, 02/11/2013		500,000		522,372
Pepsico Inc.
4.650%, 02/15/2013		500,000		518,226
HJ Heinz Co.
5.350%, 07/15/2013		1,000,000		1,060,254
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		542,978
Kellogg Co.
4.450%, 05/30/2016		1,000,000		1,106,811
Hershey Co.
5.450%, 09/01/2016		500,000		584,589
General Mills Inc.
5.700%, 02/15/2017		1,000,000		1,182,255
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		585,238
Coca-Cola Co., The
5.350%, 11/15/2017		2,000,000		2,378,396
Kraft Foods Inc.
6.125%, 02/01/2018		500,000		600,004
Pepsico Inc.
7.900%, 11/01/2018		500,000		672,039
Coca-Cola Co., The
3.150%, 11/15/2020		1,000,000		1,044,702
Kellogg Co.
4.000%, 12/15/2020		1,000,000		1,058,876
Campbell Soup Co.
4.250%, 04/15/2021		2,000,000		2,193,482
Hormel Foods Corp.
4.125%, 04/15/2021		1,000,000		1,083,633
HJ Heinz Co.
3.125%, 09/12/2021		1,000,000		1,001,369

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Agriculture, Foods, & Beverage (Cont.)
2.850%, 03/01/2022	$	2,000,000	$	1,946,244
Pepsico Inc.
2.750%, 03/05/2022		1,500,000		1,459,450
				22,082,369
Automotive (0.62%)
Daimler Finance NA LLC
6.500%, 11/15/2013		500,000		544,519
Johnson Controls Inc.
4.250%, 03/01/2021		2,000,000		2,118,928
Toyota Motor Credit Corp.
3.300%, 01/12/2022		1,000,000		1,019,430
				3,682,877
Banks (2.03%)
Barclays Bank PLC
5.450%, 09/12/2012		1,000,000		1,018,743
Wachovia Corp.
5.700%, 08/01/2013		500,000		530,861
Mellon Funding Corp.
5.200%, 05/15/2014		500,000		543,834
US Bank NA
4.950%, 10/30/2014		500,000		547,642
Fifth Third Bank
4.750%, 02/01/2015		500,000		533,645
Wachovia Bank NA
5.600%, 03/15/2016		500,000		556,474
Wells Fargo Bank NA
5.750%, 05/16/2016		500,000		557,742
Wachovia Corp.
5.750%, 06/15/2017		500,000		576,031
KFW
4.875%, 06/17/2019		1,000,000		1,182,881
Bank of New York Mellon Corp.
3.550%, 09/23/2021		2,000,000		2,048,542
Wells Fargo & Co.
3.500%, 03/08/2022		2,000,000		1,968,938
US Bancorp
3.000%, 03/15/2022		2,000,000		1,969,790
				12,035,123
Building Materials & Construction (1.04%)
Leggett & Platt Inc.
4.700%, 04/01/2013		500,000		514,536
CRH America Inc.
5.300%, 10/15/2013		1,000,000		1,049,833
6.000%, 09/30/2016		500,000		544,528
5.750%, 01/15/2021		1,000,000		1,033,446
Fluor Corp.
3.375%, 09/15/2021		2,000,000		2,009,154

40 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Building Materials & Construction (Cont.)
Sonoco Products Co.
4.375%, 11/01/2021	$	1,000,000	$	1,017,415
				6,168,912
Chemicals (1.96%)
E.I. du Pont de Nemours and Co.
5.000%, 01/15/2013		167,000		172,752
4.125%, 03/06/2013		500,000		515,308
Rohm & Haas Co.
5.600%, 03/15/2013		500,000		521,247
E.I. du Pont de Nemours and Co.
4.875%, 04/30/2014		500,000		543,540
Praxair Inc.
5.375%, 11/01/2016		1,000,000		1,165,788
Rohm & Haas Co.
6.000%, 09/15/2017		500,000		575,614
E.I. du Pont de Nemours and Co.
6.000%, 07/15/2018		500,000		617,740
PPG Industries Inc.
7.400%, 08/15/2019		500,000		607,903
3.600%, 11/15/2020		1,000,000		1,039,210
E.I. du Pont de Nemours and Co.
3.625%, 01/15/2021		1,000,000		1,074,443
Praxair Inc.
4.050%, 03/15/2021		1,000,000		1,105,150
3.000%, 09/01/2021		1,000,000		1,014,934
Dow Chemical Co., The
4.125%, 11/15/2021		1,000,000		1,028,745
Praxair Inc.
2.450%, 02/15/2022		1,000,000		961,779
Dow Chemical Co., The
7.375%, 11/01/2029		500,000		645,847
				11,590,000
Colleges (0.19%)
Dartmouth College
4.750%, 06/01/2019		1,000,000		1,150,140
Commercial Service/Supply (0.54%)
Pitney Bowes Inc.
4.625%, 10/01/2012		500,000		508,746
4.875%, 08/15/2014		500,000		531,489
5.750%, 09/15/2017		500,000		526,872
Cintas Corp. No. 2
6.125%, 12/01/2017		500,000		586,359
4.300%, 06/01/2021		1,000,000		1,060,734
				3,214,200
Computer Software & Services (0.71%)
Microsoft Corp.
3.000%, 10/01/2020		2,000,000		2,110,914
Intel Corp.
3.300%, 10/01/2021		2,000,000		2,066,296
				4,177,210

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Computers (0.87%)
International Business Machines Corp.
6.500%, 10/15/2013	$	500,000	$	544,812
5.700%, 09/14/2017		500,000		602,075
Hewlett-Packard Co.
3.750%, 12/01/2020		1,000,000		995,718
4.300%, 06/01/2021		2,000,000		2,039,692
4.050%, 09/15/2022		1,000,000		995,928
				5,178,225
Consumer & Marketing (3.08%)
Clorox Co.
5.450%, 10/15/2012		1,000,000		1,024,144
Avery Dennison Corp.
4.875%, 01/15/2013		500,000		515,772
Procter & Gamble Co., The
4.950%, 08/15/2014		1,000,000		1,104,238
Clorox Co.
5.000%, 01/15/2015		500,000		543,816
Procter & Gamble Co., The
3.150%, 09/01/2015		1,000,000		1,074,443
Estee Lauder Co. Inc.
5.550%, 05/15/2017		1,000,000		1,139,247
Kimberly-Clark Corp.
6.125%, 08/01/2017		500,000		610,118
Danaher Corp.
5.625%, 01/15/2018		500,000		593,297
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,251,509
Colgate-Palmolive Co.
2.950%, 11/01/2020		1,000,000		1,025,340
Unilever Capital Corp.
4.250%, 02/10/2021		3,000,000		3,389,505
Clorox Co.
3.800%, 11/15/2021		1,000,000		1,010,584
McDonald’s Corp.
2.625%, 01/15/2022		1,000,000		987,798
Valspar Corp.
4.200%, 01/15/2022		2,000,000		2,047,664
Procter & Gamble Co., The
2.300%, 02/06/2022		2,000,000		1,933,270
				18,250,745
Electronic/Electrical Manufacturing (0.36%)
General Electric Co.
5.000%, 02/01/2013		500,000		518,215
Emerson Electric Co.
4.500%, 05/01/2013		500,000		520,434
4.750%, 10/15/2015		1,000,000		1,116,614
				2,155,263
Financial Services (2.88%)
AMB Property L.P.
6.300%, 06/01/2013		1,000,000		1,036,918

See accompanying notes to schedules of investments. 41

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Financial Services (Cont.)
JPMorgan Chase & Co.
5.375%, 01/15/2014	$	500,000	$	536,674
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		549,390
Verizon Global Funding Corp.
4.900%, 09/15/2015		500,000		562,539
JPMorgan Chase Bank NA
5.875%, 06/13/2016		500,000		553,043
General Electric Capital Corp.
5.400%, 02/15/2017		500,000		572,612
Caterpillar Financial Services Corp.
5.850%, 09/01/2017		500,000		598,996
John Deere Capital Corp.
2.800%, 09/18/2017		2,000,000		2,111,798
JPMorgan Chase Bank NA
6.000%, 10/01/2017		1,000,000		1,144,211
Simon Property Group Inc.
6.125%, 05/30/2018		1,000,000		1,177,359
Rio Tinto Finance USA Ltd.
3.500%, 11/02/2020		1,000,000		1,020,980
4.125%, 05/20/2021		2,000,000		2,110,008
General Electric Capital Corp.
4.650%, 10/17/2021		1,000,000		1,064,320
JPMorgan Chase & Co.
4.500%, 01/24/2022		1,000,000		1,040,339
John Deere Capital Corp.
2.750%, 03/15/2022		1,000,000		982,161
Syngenta Finance NV
3.125%, 03/28/2022		2,000,000		2,013,162
				17,074,510
Forest Products & Paper (0.20%)
International Paper Co.
5.250%, 04/01/2016		500,000		551,686
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		606,624
				1,158,310
Health Care (4.68%)
Johnson & Johnson
5.150%, 08/15/2012		500,000		508,937
AstraZeneca PLC
5.400%, 09/15/2012		500,000		511,146
Merck & Co. Inc.
4.375%, 02/15/2013		500,000		517,094
Wyeth
5.500%, 03/15/2013		500,000		524,110
Becton Dickinson & Co.
4.550%, 04/15/2013		500,000		519,898
Johnson & Johnson
3.800%, 05/15/2013		1,000,000		1,038,569
Schering-Plough Corp.
5.300%, 12/01/2013		1,000,000		1,079,547
Pfizer Inc.
4.500%, 02/15/2014		1,000,000		1,074,053

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Health Care (Cont.)
GlaxoSmithKline Capital Inc.
4.375%, 04/15/2014	$	1,000,000	$	1,076,327
AstraZeneca PLC
5.400%, 06/01/2014		1,000,000		1,103,272
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		1,081,235
Amgen Inc.
4.850%, 11/18/2014		500,000		546,992
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		555,804
Baxter International Inc.
4.625%, 03/15/2015		1,000,000		1,106,369
Medtronic Inc.
4.750%, 09/15/2015		500,000		559,653
Abbott Laboratories
5.875%, 05/15/2016		750,000		882,322
Baxter International Inc.
5.900%, 09/01/2016		500,000		594,158
Eli Lilly & Co.
5.200%, 03/15/2017		2,000,000		2,344,048
Wyeth
5.450%, 04/01/2017		500,000		597,248
Amgen Inc.
5.850%, 06/01/2017		500,000		587,931
Johnson & Johnson
5.550%, 08/15/2017		500,000		609,109
AstraZeneca PLC
5.900%, 09/15/2017		500,000		599,264
Schering-Plough Corp.
6.000%, 09/15/2017		500,000		616,614
Becton Dickinson & Co.
5.000%, 05/15/2019		1,000,000		1,160,707
Baxter International Inc.
4.500%, 08/15/2019		500,000		562,638
Becton Dickinson & Co.
3.250%, 11/12/2020		1,000,000		1,036,666
CR Bard Inc.
4.400%, 01/15/2021		1,000,000		1,109,936
Medtronic Inc.
4.125%, 03/15/2021		1,000,000		1,094,431
Sanofi-Aventis
4.000%, 03/29/2021		1,000,000		1,089,109
Becton Dickinson & Co.
3.125%, 11/08/2021		1,000,000		1,014,681
Amgen Inc.
3.875%, 11/15/2021		1,000,000		1,023,948
Medtronic Inc.
3.125%, 03/15/2022		1,000,000		1,004,765
				27,730,581
Machinery & Manufacturing (3.38%)
Bemis Company Inc.
4.875%, 04/01/2012		500,000		500,000
Covidien International
5.450%, 10/15/2012		500,000		512,578

42 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Machinery & Manufacturing (Cont.)
Cooper U.S. Inc.
5.250%, 11/15/2012	$	1,000,000	$	1,027,828
Parker Hannifin Corp.
4.875%, 02/15/2013		500,000		518,006
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		790,780
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		1,116,853
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		1,080,836
Thermo Electron Corp.
5.000%, 06/01/2015		500,000		555,314
Dover Corp.
4.875%, 10/15/2015		1,000,000		1,120,909
Honeywell International Inc.
5.400%, 03/15/2016		1,000,000		1,148,010
Caterpillar Inc.
5.700%, 08/15/2016		500,000		591,350
Eaton Corp.
5.300%, 03/15/2017		1,000,000		1,161,244
Honeywell International Inc.
5.300%, 03/15/2017		500,000		588,383
Cooper U.S. Inc.
6.100%, 07/01/2017		500,000		585,962
Covidien International
6.000%, 10/15/2017		500,000		599,810
United Technologies Corp.
5.375%, 12/15/2017		500,000		598,700
Cooper U.S. Inc.
3.875%, 12/15/2020		1,000,000		1,065,092
Dover Corp.
4.300%, 03/01/2021		1,000,000		1,120,197
Honeywell International Inc.
4.250%, 03/01/2021		1,000,000		1,132,304
Caterpillar Inc.
3.900%, 05/27/2021		1,000,000		1,095,981
Illinois Tool Works Inc. (a)
3.375%, 09/15/2021		1,000,000		1,021,229
Bemis Company Inc.
4.500%, 10/15/2021		1,000,000		1,044,943
Parker Hannifin Corp.
3.500%, 09/15/2022		1,000,000		1,028,423
				20,004,732
Media & Broadcasting (1.16%)
Thomson Corp.
5.700%, 10/01/2014		1,000,000		1,102,910
Walt Disney Co., The
5.625%, 09/15/2016		1,000,000		1,179,079
McGraw-Hill Companies Inc.
5.900%, 11/15/2017		500,000		585,050
Walt Disney Co., The
2.750%, 08/16/2021		2,000,000		1,992,100
Thomson Reuters Corp.
3.950%, 09/30/2021		1,000,000		1,041,976

	Principal amount		Value
Corporate Bonds (Cont.)
Media & Broadcasting (Cont.)
Walt Disney Co., The
2.550%, 02/15/2022	$	1,000,000	$	971,149
				6,872,264
Mining & Metals (1.55%)
BHP Finance USA
4.800%, 04/15/2013		500,000		521,840
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		1,087,309
Alcan Inc.
5.000%, 06/01/2015		1,000,000		1,107,354
Alcoa Inc.
5.550%, 02/01/2017		500,000		549,262
BHP Billiton Finance USA Ltd.
5.400%, 03/29/2017		500,000		585,160
Barrick NA Finance LLC
4.400%, 05/30/2021		1,000,000		1,054,060
BHP Billiton Finance USA Ltd.
3.250%, 11/21/2021		1,500,000		1,513,833
Alcoa Inc.
5.870%, 02/23/2022		750,000		781,463
BHP Billiton Finance USA Ltd.
2.875%, 02/24/2022		1,000,000		975,272
Barrick Gold Corp. (a)
3.850%, 04/01/2022		1,000,000		1,006,040
				9,181,593
Oil & Gas (2.22%)
National Fuel Gas Co.
5.250%, 03/01/2013		500,000		517,835
ConocoPhillips Australia Funding Co.
5.500%, 04/15/2013		500,000		525,093
ConocoPhillips Canada
5.625%, 10/15/2016		500,000		588,281
Apache Corp.
5.625%, 01/15/2017		500,000		587,916
Shell International Finance
5.200%, 03/22/2017		500,000		587,646
Canadian National Resources
5.700%, 05/15/2017		500,000		592,111
Weatherford International Inc.
6.350%, 06/15/2017		500,000		577,370
EOG Resources Inc.
5.875%, 09/15/2017		500,000		598,889
Husky Energy Inc.
6.200%, 09/15/2017		500,000		591,646
Encana Corp.
5.900%, 12/01/2017		500,000		582,788
Chevron Corp.
4.950%, 03/03/2019		1,000,000		1,181,232
ConocoPhillips
6.000%, 01/15/2020		500,000		619,506

See accompanying notes to schedules of investments. 43

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Oil & Gas (Cont.)
Trans-Canada Pipelines
3.800%, 10/01/2020	$	1,000,000	$	1,072,138
Apache Corp.
3.625%, 02/01/2021		500,000		527,314
Occidental Petroleum Corp.
4.100%, 02/01/2021		1,000,000		1,093,790
Canadian National Resources
3.450%, 11/15/2021		1,000,000		1,014,061
Total Capital International SA
2.875%, 02/17/2022		2,000,000		1,917,744
				13,175,360
Retailers (2.22%)
Lowe’s Companies Inc.
5.600%, 09/15/2012		500,000		510,886
Wal-Mart Stores Inc.
4.550%, 05/01/2013		1,000,000		1,044,159
McDonald’s Corp.
4.125%, 06/01/2013		1,000,000		1,038,892
Walgreen Co.
4.875%, 08/01/2013		500,000		529,275
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		1,124,835
Target Corp.
5.875%, 07/15/2016		1,000,000		1,180,615
Lowe’s Companies Inc.
5.400%, 10/15/2016		500,000		582,190
McDonald’s Corp.
5.300%, 03/15/2017		500,000		585,782
Target Corp.
5.375%, 05/01/2017		500,000		589,988
CVS Caremark Corp.
5.750%, 06/01/2017		500,000		590,050
Home Depot Inc.
3.950%, 09/15/2020		1,000,000		1,085,337
Wal-Mart Stores Inc.
3.250%, 10/25/2020		2,000,000		2,093,202
Home Depot Inc.
4.400%, 04/01/2021		1,000,000		1,120,665
Lowe’s Companies Inc.
3.800%, 11/15/2021		1,000,000		1,060,864
				13,136,740
Telecom & Telecom Equipment (1.80%)
Telstra Corp. Ltd.
6.375%, 04/01/2012		500,000		500,000
Alltel Corp.
7.000%, 07/01/2012		500,000		507,829
Telefonica Emisiones SAU
5.855%, 02/04/2013		1,000,000		1,033,904
Vodafone Group PLC
4.150%, 06/10/2014		500,000		534,847
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		1,100,563
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		1,159,557

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Telecom & Telecom Equipment (Cont.)
Vodafone Group PLC
5.450%, 06/10/2019	$	500,000	$	589,646
Telefonica Emisiones SAU
5.462%, 02/16/2021		1,000,000		972,165
Vodafone Group PLC
4.375%, 03/16/2021		2,000,000		2,199,912
AT&T Inc.
4.450%, 05/15/2021		1,000,000		1,104,101
3.000%, 02/15/2022		1,000,000		980,015
				10,682,539
Transportation (0.76%)
United Parcel Services Inc.
3.125%, 01/15/2021		1,500,000		1,571,289
Burlington North Santa Fe
3.050%, 03/15/2022		1,000,000		983,257
Norfolk Southern Corp.
3.000%, 04/01/2022		2,000,000		1,966,314
				4,520,860
Utilities & Energy (5.37%)
Appalachian Power Co.
5.650%, 08/15/2012		500,000		508,502
Northern States Power Co.
8.000%, 08/28/2012		500,000		514,954
Southern California Gas
4.800%, 10/01/2012		500,000		510,369
Georgia Power Co.
5.125%, 11/15/2012		200,000		205,574
Virginia Electric & Power
5.100%, 11/30/2012		500,000		514,964
MidAmerican Energy Co.
5.125%, 01/15/2013		1,000,000		1,035,689
Florida Power Corp.
4.800%, 03/01/2013		500,000		519,058
Public Service of Colorado
4.875%, 03/01/2013		500,000		519,653
Peoples Gas Light & Coke Co.
4.625%, 05/01/2013		500,000		516,170
Wisconsin Electric Power
4.500%, 05/15/2013		1,000,000		1,038,914
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		525,662
PSI Energy
5.000%, 09/15/2013		1,000,000		1,054,678
NSTAR Electric Co.
4.875%, 04/15/2014		1,000,000		1,079,210
Union Electric Co.
5.500%, 05/15/2014		500,000		533,514
Atmos Energy Corp.
4.950%, 10/15/2014		1,000,000		1,088,529
Union Electric Co.
4.750%, 04/01/2015		500,000		532,144
Commonwealth Edison Co.
4.700%, 04/15/2015		500,000		549,478

44 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Southwestern Electric Power
5.375%, 04/15/2015	$	500,000	$	542,810
San Diego Gas & Electric
5.300%, 11/15/2015		500,000		573,124
Consolidated Edison Co. NY
5.375%, 12/15/2015		1,000,000		1,144,429
Virginia Electric & Power
5.400%, 01/15/2016		500,000		573,941
Ohio Power Co.
6.000%, 06/01/2016		500,000		571,410
Commonwealth Edison Co.
5.950%, 08/15/2016		500,000		589,646
Baltimore Gas & Electric Co.
5.900%, 10/01/2016		500,000		582,855
Consolidated Edison Co. NY
5.300%, 12/01/2016		500,000		580,958
Georgia Power Co.
5.700%, 06/01/2017		500,000		597,760
Jersey Central Power & Light
5.650%, 06/01/2017		1,000,000		1,145,165
Atmos Energy Corp.
6.350%, 06/15/2017		500,000		584,956
Kansas City Power & Light Co.
5.850%, 06/15/2017		1,000,000		1,140,186
Union Electric Co.
6.400%, 06/15/2017		500,000		599,264
Florida Power Corp.
5.800%, 09/15/2017		500,000		599,820
Virginia Electric & Power
5.950%, 09/15/2017		500,000		607,142
NSTAR Electric Co.
5.625%, 11/15/2017		500,000		593,680
Pacific Gas & Electric
5.625%, 11/30/2017		500,000		594,332
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		537,540
Southern California Gas
5.450%, 04/15/2018		500,000		592,405
Pacificorp
5.650%, 07/15/2018		500,000		596,704
Pacific Gas & Electric
8.250%, 10/15/2018		500,000		661,880
Alabama Power Co.
3.375%, 10/01/2020		1,000,000		1,045,653
Pacific Gas & Electric
3.500%, 10/01/2020		1,000,000		1,035,867
Kentucky Utilities
3.250%, 11/01/2020		1,000,000		1,028,843
Appalachian Power Co.
4.600%, 03/30/2021		500,000		545,406
Pacific Gas & Electric
3.250%, 09/15/2021		1,000,000		1,012,355
San Diego Gas & Electric
6.000%, 06/01/2026		500,000		624,692

		14,927,795		14,927,795
	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Northern States Power Co.
6.200%, 07/01/2037	$	1,000,000	$	1,301,321
				31,851,206
Total Corporate Bonds
(cost $232,683,025)				251,241,083
Taxable Municipal Bonds (0.17%)
Illinois State
3.850%, 06/01/2013		1,000,000		1,030,030
Total Taxable Municipal Bonds
(cost $999,725)				1,030,030
Commercial Mortgage-Backed Securities (0.71%)
LB-UBS Commercial Mortgage Trust
Series 2004-C2 Class A4
4.367%, 03/15/2036		2,000,000		2,105,332
Morgan Stanley Capital Series
2004-T13 Class A4
4.660%, 09/13/2045		2,000,000		2,100,096
Total Commercial Mortgage-Backed Securities
(cost $3,929,069)				4,205,428
Government Agency Securities (b) (22.04%)
Agency Commercial Mortgage-Backed Securities (1.70%)
Federal National Mortgage Association
3.044%, 01/25/2022		10,000,000		10,111,480
				10,111,480
Agency Mortgage-Backed Securities (18.73%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018		170,258		183,769
5.000%, 09/01/2018		177,084		192,631
5.000%, 09/01/2018		108,229		116,818
4.500%, 11/01/2018		355,932		382,065
5.500%, 11/01/2018		118,964		129,168
5.000%, 01/01/2019		134,114		144,883
5.000%, 04/01/2019		172,783		186,657
4.000%, 05/01/2019		153,638		163,814
4.500%, 05/01/2019		218,343		238,467
5.500%, 06/01/2019		294,363		319,611
5.000%, 01/01/2020		148,799		160,747
5.500%, 04/01/2020		241,630		262,205
5.500%, 07/01/2020		385,354		418,406
6.000%, 07/01/2021		361,629		392,152
4.500%, 05/01/2024		1,129,124		1,206,024
4.500%, 05/01/2024		395,285		421,897
4.500%, 09/01/2024		916,399		978,096
4.000%, 10/01/2024		1,224,784		1,294,038
5.000%, 10/01/2024		1,066,266		1,153,379
4.000%, 01/01/2025		1,094,975		1,160,823
4.000%, 07/01/2025		1,143,215		1,207,857
4.500%, 08/01/2025		938,826		1,002,179
3.500%, 04/01/2026		1,643,056		1,719,266

See accompanying notes to schedules of investments. 45

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
2.500%, 02/01/2027	$	5,974,180	$	6,069,080
6.000%, 11/01/2028		20,909		23,399
6.500%, 06/01/2029		43,428		49,649
7.500%, 12/01/2030		1,705		1,986
7.000%, 07/01/2031		4,738		5,511
6.500%, 09/01/2031		7,468		8,501
6.000%, 11/01/2032		89,925		100,635
6.000%, 12/01/2032		45,138		50,514
5.500%, 05/01/2033		771,995		847,140
5.500%, 07/01/2033		796,765		872,578
5.000%, 08/01/2033		434,276		475,485
5.500%, 03/01/2034		230,786		252,602
5.000%, 04/01/2034		297,029		320,666
6.000%, 07/01/2034		727,095		818,252
5.500%, 05/01/2035		714,214		788,980
5.000%, 05/01/2035		860,237		941,865
4.500%, 08/01/2035		356,282		378,446
5.000%, 10/01/2035		372,603		401,904
6.500%, 08/01/2036		399,427		448,160
5.500%, 10/01/2037		594,361		646,922
5.500%, 11/01/2037		780,491		849,513
6.000%, 01/01/2038		306,091		337,956
6.000%, 01/01/2038		537,891		593,887
5.000%, 06/01/2039		1,152,235		1,241,047
4.500%, 06/01/2039		1,392,889		1,477,797
4.500%, 10/01/2039		1,939,904		2,058,157
5.000%, 10/01/2039		1,658,032		1,785,830
5.000%, 01/01/2040		683,747		736,449
4.500%, 02/01/2040		669,636		710,456
4.000%, 07/01/2041		3,961,155		4,150,090
Federal National Mortgage Association
6.000%, 09/01/2013		16,658		16,871
5.500%, 12/01/2016		25,445		27,746
5.500%, 01/01/2017		21,154		23,067
6.500%, 01/01/2017		24,739		27,264
5.500%, 01/01/2017		130,117		141,885
5.500%, 02/01/2017		112,966		123,183
5.000%, 03/01/2017		106,568		115,674
6.000%, 04/01/2017		20,130		21,799
5.500%, 01/01/2018		54,505		59,469
5.000%, 02/01/2018		137,732		149,501
5.000%, 05/01/2018		272,347		295,619
5.000%, 05/01/2018		250,802		273,722
4.500%, 05/01/2018		250,549		269,414
4.500%, 05/01/2018		262,413		282,171
5.000%, 05/01/2018		126,615		135,731
4.500%, 03/01/2019		189,515		201,927
5.500%, 10/01/2019		466,918		513,380
5.000%, 11/01/2019		341,869		371,135
4.500%, 12/01/2019		216,134		232,272
5.000%, 06/01/2020		449,638		490,729
4.500%, 09/01/2020		313,804		336,451
5.500%, 05/01/2021		319,791		351,613
5.000%, 05/01/2021		472,492		510,431
4.500%, 04/01/2023		161,138		172,667
5.000%, 01/01/2024		549,092		593,953

		14,927,795		14,927,795
	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
4.500%, 04/01/2024	$	262,185	$	280,779
4.000%, 06/01/2024		954,099		1,011,473
4.500%, 11/01/2024		744,974		797,807
3.500%, 12/01/2025		876,935		927,201
3.000%, 12/01/2026		1,963,524		2,036,459
7.500%, 09/01/2029		24,923		29,767
8.000%, 03/01/2030		3,613		3,799
6.500%, 05/01/2030		36,267		41,489
6.500%, 08/01/2031		6,941		7,906
7.000%, 08/01/2031		3,224		3,667
6.500%, 10/01/2031		24,466		27,866
6.000%, 11/01/2031		18,913		21,129
7.000%, 01/01/2032		35,299		41,843
3.000%, 02/01/2032		5,507,033		5,628,441
3.000%, 02/01/2032		7,665,740		7,855,451
6.500%, 03/01/2032		13,503		15,379
6.000%, 03/01/2032		26,539		29,648
7.000%, 04/01/2032		34,924		40,994
6.500%, 04/01/2032		56,546		64,405
6.500%, 05/01/2032		287,250		328,606
6.000%, 05/01/2032		22,474		25,107
7.000%, 06/01/2032		45,848		53,774
6.500%, 06/01/2032		14,542		16,563
7.000%, 06/01/2032		59,070		69,341
6.500%, 07/01/2032		83,335		94,917
6.000%, 08/01/2032		173,684		194,847
5.500%, 10/01/2032		362,152		397,986
6.500%, 10/01/2032		182,971		208,399
6.000%, 11/01/2032		175,157		195,678
6.000%, 01/01/2033		140,152		156,573
5.500%, 03/01/2033		116,873		128,437
5.500%, 03/01/2033		191,133		210,045
6.000%, 04/01/2033		287,954		321,692
5.000%, 05/01/2033		146,154		158,247
5.000%, 05/01/2033		304,851		330,075
5.000%, 08/01/2033		430,916		466,571
5.500%, 10/01/2033		386,468		424,708
5.000%, 03/01/2034		747,065		808,879
5.500%, 05/01/2034		482,085		529,786
6.000%, 07/01/2034		293,100		326,021
5.500%, 12/01/2034		726,758		798,668
5.500%, 04/01/2035		612,434		673,033
5.000%, 07/01/2035		672,236		726,913
5.500%, 07/01/2035		695,270		761,023
5.000%, 10/01/2035		531,173		574,377
5.000%, 11/01/2035		257,986		278,970
6.000%, 08/01/2036		558,850		617,340
6.000%, 12/01/2037		218,074		240,489
5.500%, 02/01/2038		605,068		659,832
5.500%, 06/01/2038		1,556,548		1,697,429
4.500%, 03/01/2039		1,377,532		1,484,104
4.500%, 05/01/2039		1,359,449		1,456,974
5.000%, 05/01/2039		1,270,702		1,390,336
5.000%, 11/01/2039		1,772,462		1,949,306
4.500%, 01/01/2040		1,340,871		1,426,587
4.500%, 09/01/2040		2,297,333		2,447,064

46 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
3.500%, 01/01/2041	$	2,826,795	$	2,905,900
4.500%, 04/01/2041		922,666		984,532
5.000%, 05/01/2041		1,641,321		1,777,384
4.000%, 11/01/2041		3,826,524		4,016,385
Government National Mortgage Association
6.000%, 05/15/2017		61,394		67,580
6.500%, 06/15/2028		50,649		58,734
6.000%, 11/15/2028		33,004		37,498
6.500%, 03/15/2029		68,412		79,869
7.000%, 06/15/2029		19,698		23,183
7.500%, 08/20/2030		11,863		14,206
6.000%, 01/15/2032		21,246		24,140
5.500%, 10/15/2033		349,354		392,703
5.000%, 11/20/2033		520,752		577,557
6.000%, 12/20/2033		157,044		177,603
5.500%, 11/15/2038		1,006,580		1,126,443
5.000%, 09/15/2039		1,549,267		1,712,939
4.500%, 10/15/2039		2,284,173		2,492,179
5.000%, 12/15/2039		626,551		692,743
4.000%, 09/20/2040		3,605,870		3,874,784
4.500%, 03/20/2041		874,171		953,913
5.000%, 05/20/2041		830,391		916,561
				111,017,119
Agency Notes & Bonds (1.61%)
Federal Home Loan Mortgage Corp.
4.500%, 07/15/2013		1,500,000		1,581,633
Federal National Mortgage Association
4.375%, 09/15/2012		1,500,000		1,528,635
5.500%, 05/10/2027		5,000,000		5,681,610
7.125%, 01/15/2030		500,000		738,866
				9,530,744
Total Government Agency Securities
(cost $124,875,266)				130,659,343
U.S. Treasury Obligations (31.29%)
U.S. Treasury Bonds
7.500%, 11/15/2016		500,000		647,656
8.125%, 08/15/2019		750,000		1,089,434
6.250%, 08/15/2023		11,000,000		15,235,000
6.875%, 08/15/2025		1,000,000		1,477,969
U.S. Treasury Notes
1.375%, 05/15/2013		5,000,000		5,062,305
2.625%, 07/31/2014		2,000,000		2,101,876
2.375%, 08/31/2014		1,000,000		1,046,328
4.250%, 11/15/2014		1,000,000		1,097,656
4.000%, 02/15/2015		2,000,000		2,197,656
4.125%, 05/15/2015		1,000,000		1,109,609
2.125%, 05/31/2015		5,000,000		5,241,015
4.250%, 08/15/2015		2,000,000		2,240,938
4.500%, 11/15/2015		10,000,000		11,359,380
4.500%, 02/15/2016		10,000,000		11,428,120
2.625%, 04/30/2016		1,000,000		1,072,188
3.250%, 07/31/2016		2,000,000		2,200,624
3.000%, 08/31/2016		1,000,000		1,090,234

		14,927,795		14,927,795
	Principal amount		Value
U.S. Treasury Obligations (Cont.)
2.750%, 05/31/2017	$	5,000,000	$	5,413,280
4.250%, 11/15/2017		12,000,000		13,967,808
3.500%, 02/15/2018		12,000,000		13,485,000
3.875%, 05/15/2018		2,000,000		2,296,250
3.750%, 11/15/2018		17,000,000		19,442,424
3.125%, 05/15/2019		2,000,000		2,202,344
3.625%, 08/15/2019		2,000,000		2,269,844
3.375%, 11/15/2019		10,000,000		11,164,060
3.625%, 02/15/2020		30,000,000		34,031,250
3.500%, 05/15/2020		5,000,000		5,624,220
2.000%, 11/15/2021		10,000,000		9,844,530
Total U.S. Treasury Obligations
(cost $171,002,225)				185,438,998
	Shares		Value
Short-term Investments (2.65%)
JPMorgan U.S. Government Money Market Fund		15,690,401	$	15,690,401
Total Short-term Investments
(cost $15,690,401)				15,690,401
TOTAL INVESTMENTS (99.25%)
(cost $549,179,711)				588,265,283
OTHER ASSETS, NET OF LIABILITIES (0.75%)				4,416,644
NET ASSETS (100.00%)			$	592,681,927

(a) Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2012, the value of these securities amounted to $2,027,269 or 0.34% of net assets.

(b) The obligations of these U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury. On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corp. (“Freddie Mac”) into conservatorship. The United States Treasury has put in place a set of financing agreements to help ensure that these entities continue to meet their obligations to holders of bonds they have issued or guaranteed.

See accompanying notes to schedules of investments. 47

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (b) (90.12%)
Alabama (2.59%)
City of Trussville, Alabama, General Obligation Warrants, Series 2006-A		5.000%		10/01/2022	Aa2	$	1,000,000	$	1,116,460
City of Tuscaloosa, Alabama, General Obligation Warrants, Series 2010-A		4.750%		07/01/2024	Aa1		1,025,000		1,176,270
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250%		02/01/2026	Aa2		500,000		571,595
City of Huntsville, Alabama, General Obligation Warrants, Series 2007-A		4.750%		05/01/2027	Aaa		2,000,000		2,186,240
City of Florence (Alabama), Water and Sewer Revenue Warrants, Series 2011		5.000%		08/15/2028	A1		940,000		1,042,836
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.125%		02/01/2030	Aa2		2,305,000		2,567,540
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250%		02/01/2031	Aa2		1,000,000		1,116,950
									9,777,891
Alaska (1.26%)
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		4.000%		12/01/2020	A+		1,000,000		1,087,920
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		5.000%		12/01/2022	A+		2,220,000		2,502,273
Matanuska-Susitna Borough, Alaska, General Obligation School Bonds, 2009 Series A		5.000%		07/01/2029	Aa2		1,035,000		1,158,786
									4,748,979
Arizona (7.16%)
City of Glendale, Arizona, General Obligation Refunding Bonds, Series 2010		5.000%		07/01/2018	A+		2,100,000		2,493,645
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		4.000%		07/01/2018	AA-		500,000		553,440
Maricopa County, Arizona, Tempe Elementary School District No. 3, School Improvement Bonds, Project of 2005, Series B (2007)		4.500%		07/01/2021	Aa2		885,000		960,986
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000%		07/01/2021	AA-		1,140,000		1,344,961
Tucson Unified School District No. 1 of Pima County, Arizona, School Improvement Bonds, Project of 2004, Series C (2007)		4.500%		07/01/2021	A+		1,300,000		1,411,618
City of Phoenix, Civic Improvement Corporation, Senior Lien Wastewater System Revenue Refunding Bonds, Series 2008		5.500%		07/01/2023	Aa2		1,000,000		1,176,760
Pima County, Arizona, General Obligation Bonds, Series 2009A		4.000%		07/01/2023	AA-		1,500,000		1,598,940
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012)		4.000%		07/01/2023	AA		1,000,000		1,086,040
Sedona-Oak Creek Joint Unified School District No. 9 of Coconino and Yavapai Counties,
Arizona, School Improvement Bonds, Project of 2007, Series B (2009)		5.000%		07/01/2023	A+		1,460,000		1,640,646
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000%		07/01/2023	AA-		800,000		934,000
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		4.000%		07/01/2024	AA-		300,000		319,188
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012)		4.250%		07/01/2025	AA		2,000,000		2,168,440
Amphitheater Unified School District No. 10 of Pima County, Arizona, School Improvement Bonds, Project of 2007, Series B (2009) (Bank Qualified)		5.000%		07/01/2027	A+		2,000,000		2,225,500
Pinal County Community College District of Pinal County, Arizona, General Obligation Bonds, Project of 2008, Series B (2012)		4.500%		07/01/2027	AA-		2,480,000		2,676,292
Paradise Valley Unified School District No. 69 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011 Series A (2012)		4.000%		07/01/2028	Aa2		4,165,000		4,335,473
Paradise Valley Unified School District No. 69 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011 Series A (2012)		4.000%		07/01/2029	Aa2		2,000,000		2,069,660
									26,995,589
Arkansas (1.10%)
Beaver Water District of Benton and Washington Counties, Arkansas, Water Refunding Revenue Bonds, Series 2010		3.000%		11/15/2020	AA+		150,000		157,322
Beaver Water District of Benton and Washington Counties, Arkansas, Water Refunding Revenue Bonds, Series 2010		4.000%		11/15/2021	AA+		1,000,000		1,105,770
Conway School District No. 1 of Faulkner County, Arkansas Refunding Bonds		4.000%		02/01/2022	Aa3		1,270,000		1,324,788

48 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Arkansas (Cont.)
Springdale School District No. 50 of Washington County, Arkansas Refunding and Construction Bonds, Series A		4.250%		06/01/2027	Aa2	$	1,500,000	$	1,559,805
									4,147,685
California (4.51%)
Moulton-Niguel California, Water District Consolidated Refunding Bonds		5.000%		09/01/2017	AA		1,395,000		1,467,777
Moulton-Niguel California, Water District Consolidated Refunding Bonds		5.000%		09/01/2018	AA		450,000		472,248
State of California, General Obligation Bonds (Prerefunded to 02-01-2013 @ 100) (c)		5.250%		02/01/2019	A-		2,200,000		2,291,344
Grossmont Healthcare District, San Diego County, California, General Obligation Bonds, 2006 Election, 2007 Series A		5.000%		07/15/2020	Aa2		900,000		992,349
City of Napa (Napa County California) Water Revenue Bonds, Series 2007 (Water System Improvement Projects)		4.500%		05/01/2022	AA-		560,000		604,184
State of California, Various Purpose General Obligation Bonds		5.000%		11/01/2022	A-		600,000		637,992
Santa Barbara County, California, Santa Barbara Schools Financing Authority, 2007 General Obligation Revenue Bonds, Series B		4.750%		08/01/2024	Aa2		1,000,000		1,066,710
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750%		05/01/2025	AA		885,000		927,268
Yosemite Community College District, (Stanislaus, Tuolumne, Calaveras, San Joaquin, Santa Clara and Merced Counties, California), Tax-Exempt General Obligation Bonds, Election of 2004, Series 2005A		5.000%		08/01/2025	AA-		1,195,000		1,304,498
State of California, Various Purpose General Obligation Bonds		5.500%		03/01/2026	A-		1,300,000		1,461,993
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750%		05/01/2026	AA		930,000		970,316
Marin Community College District, (Marin County, California), Election of 2004 General Obligation Bonds, Series C		4.250%		08/01/2027	AA		1,440,000		1,581,739
Placentia-Yorba Linda Unified School District, (Orange County, California), General Obligation Bonds, 2002 Election, Series C		5.000%		08/01/2029	AA-		1,000,000		1,059,870
Ventura County Community College District (Ventura County, California) Election of 2002 General Obligation Bonds, Series C		5.500%		08/01/2029	Aa2		1,000,000		1,137,450
Santa Clara Unified School District, (Santa Clara County, California), General Obligation Bonds, Election of 2004, Series 2008		5.000%		07/01/2030	AA		1,000,000		1,046,540
									17,022,278
Colorado (1.89%)
Arapahoe County Water & Wastewater Public Improvement District (In Arapahoe County, Colorado) General Obligation Project Bonds, Series 2002A		5.750%		12/01/2018	NR		1,320,000		1,357,382
City of Colorado Springs, Colorado, Utilities System Subordinate Lien Improvement Revenue Bonds, Series 2005B		4.750%		11/15/2022	Aa2		250,000		270,485
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000%		12/15/2022	Aa2		1,000,000		1,126,600
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000%		12/15/2024	Aa2		1,350,000		1,485,486
Cherry Creek School District No. 5, (Arapahoe County, Colorado), General Obligation Bonds, Series 2009		5.000%		12/15/2025	AA		1,185,000		1,371,353
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000%		12/15/2025	Aa2		1,385,000		1,508,043
									7,119,349
Connecticut (1.26%)
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Series C		4.000%		04/01/2021	Aaa		1,010,000		1,143,300
Town of Stonington, Connecticut, General Obligation Bonds, Issue of 2012 (d)		3.000%		04/01/2023	Aa1		600,000		609,834
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Issue of 2010, Series A		4.000%		06/15/2023	Aaa		1,230,000		1,352,336
Town of Bethel, Connecticut, General Obligation Bonds, Issue of 2009, Series A		4.000%		11/15/2026	AA+		950,000		991,876
Town of Bethel, Connecticut, General Obligation Sewer Bonds, Issue of 2009, Series B		4.000%		11/15/2026	AA+		620,000		647,330
									4,744,676

See accompanying notes to schedules of investments. 49

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Delaware (0.84%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005		5.000%		01/01/2021	A	$	1,625,000	$	1,734,622
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A (Prerefunded to 12-01-2018 @ 100) (c)		5.000%		12/01/2028	NR		1,120,000		1,377,858
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A		5.000%		12/01/2028	AA-		50,000		55,993
									3,168,473
Florida (4.83%)
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2010B		5.000%		07/01/2019	Aa3		2,085,000		2,467,639
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2006A		4.200%		07/01/2021	Aa3		1,500,000		1,603,560
JEA Florida, Electric System Revenue Bonds, Series Three D-1		4.000%		10/01/2021	AA-		1,000,000		1,047,800
City of Fort Lauderdale, Florida, Water and Sewer Revenue Bonds, Series 2010		4.000%		03/01/2023	AA		1,265,000		1,365,896
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2010B		5.000%		07/01/2024	Aa3		3,130,000		3,608,452
City of Winter Park, Florida, Water and Sewer Refunding and Improvement Revenue Bonds, Series 2009		4.250%		12/01/2024	AA-		1,000,000		1,072,890
City of Palm Bay, Florida, Utility System Improvement Revenue Bonds, Series 2005A (Prerefunded to 10-01-2015 @ 100) (c)		5.000%		10/01/2026	A		1,350,000		1,553,931
Tohopekaliga Water Authority, Utility System Revenue Refunding Bonds, Series 2011A		5.000%		10/01/2026	Aa2		400,000		452,588
Coral Springs Improvement District, Subordinate Water and Sewer Revenue Bonds, Series 2007		4.500%		06/01/2027	NR		1,000,000		1,040,070
City of Tallahassee, Florida, Consolidated Utility Systems Revenue Bonds, Series 2007		5.000%		10/01/2027	Aa1		1,700,000		1,907,536
State of Florida, State Board of Education, Public Education Capital Outlay Bonds, 2004 Series C		4.750%		06/01/2029	Aa1		2,000,000		2,112,900
									18,233,262
Georgia (1.66%)
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005		5.000%		07/01/2023	Aa2		1,000,000		1,101,960
Cherokee County Water and Sewerage Authority (Georgia), Water and Sewerage Revenue Bonds, Series 2010		4.000%		08/01/2023	Aa2		320,000		353,584
Fulton County, Georgia, Water and Sewerage Revenue Refunding Bonds, Series 2011		5.000%		01/01/2025	Aa3		2,000,000		2,328,880
Spalding County Water and Sewerage Facilities Authority (Georgia), Revenue Bonds, Series 2008		6.125%		09/01/2028	Aa3		1,000,000		1,155,690
Fayette County, Georgia, Water Revenue Bonds, Series 2009		4.750%		10/01/2029	Aa2		1,205,000		1,317,619
									6,257,733
Hawaii (0.62%)
State of Hawaii, Highway Revenue Bonds, Series 2008		6.000%		01/01/2029	Aa2		2,000,000		2,345,000
Idaho (0.83%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties, Idaho General Obligation School Bonds, Series 2002 (Prerefunded to 07-30-2012 @ 100) (c)		5.125%		07/30/2019	AA-		500,000		507,975
Nampa School District Number 131, Canyon County, Idaho, General Obligation School Bonds, Series 2003 (Prerefunded to 08-15-2013 @ 100) (c)		4.875%		08/15/2020	A		1,000,000		1,062,930
Independent School District of Boise City, Ada and Boise Counties, Idaho, General Obligation Bonds, Series 2007		4.750%		08/01/2024	AA		1,430,000		1,566,265
									3,137,170
Illinois (1.37%)
The Illinois State Toll Highway Authority, Toll Highway Senior Priority Revenue Bonds, 2005 Series A		4.125%		01/01/2020	Aa3		4,900,000		5,169,794
Indiana (1.31%)
City of Fort Wayne, Indiana, Sewage Works Revenue Bonds of 2010		4.500%		08/01/2019	Aa3		2,005,000		2,219,455
Highland School Building Corporation, Lake County, Indiana, First Mortgage Refunding Bonds, Series 2003		5.000%		01/10/2020	AA+		1,310,000		1,358,208
City of Fort Wayne, Indiana, Sewage Works Revenue Bonds of 2010		4.500%		08/01/2025	Aa3		1,000,000		1,067,170

50 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795	14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date	Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Indiana (Cont.)
Indiana Housing and Community Development Authority, Single Family Mortgage Revenue Bonds, 2008 Series A		6.250%	07/01/2033	Aaa	$	275,000	$	289,088
								4,933,921
Iowa (2.19%)
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%	06/01/2020	Aa1		1,245,000		1,389,345
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%	06/01/2021	Aa1		850,000		945,940
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%	06/01/2023	Aa1		1,410,000		1,548,575
City of Des Moines, Iowa, General Obligation Bonds, Series 2008D		4.250%	06/01/2025	Aa1		1,015,000		1,079,747
Board of Regents, State of Iowa, Academic Building Revenue Bonds, Series S.U.I. 2008 (The State University of Iowa)		4.750%	07/01/2028	AA		1,785,000		1,936,136
Ankeny Community School District, Polk County, Iowa, General Obligation School Bonds, Series 2009		5.000%	06/01/2029	Aa3		1,270,000		1,354,201
								8,253,944
Kansas (3.59%)
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A		5.000%	12/01/2019	Aa3		730,000		764,551
City of Wichita, Kansas, General Obligation Bonds, Series 790		4.375%	09/01/2020	Aa1		620,000		662,476
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A		5.000%	12/01/2021	Aa3		245,000		255,452
Unified School District No. 512, Johnson County, Kansas (Shawnee Mission), General Obligation School Bonds, Series 2005-C		4.250%	10/01/2022	Aaa		4,265,000		4,476,928
Unified School District No. 512, Johnson County, Kansas (Shawnee Mission), General Obligation School Bonds, Series 2005-C		5.000%	10/01/2025	Aaa		1,000,000		1,081,190
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750%	09/01/2027	Aaa		1,840,000		2,032,059
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750%	09/01/2028	Aaa		2,460,000		2,701,695
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 2009A		5.000%	10/01/2030	AA-		1,400,000		1,563,716
								13,538,067
Kentucky (1.90%)
Boone-Florence Water Commission (Kentucky), Water Supply System Refunding Revenue Bonds, Series 2010		3.250%	12/01/2019	Aa3		620,000		671,553
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300%	09/01/2025	A1		2,700,000		2,801,466
Louisville/Jefferson County Metro Government, General Obligation Bonds, Series 2006A		4.250%	11/01/2025	Aa1		1,000,000		1,071,170
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300%	09/01/2026	A1		2,545,000		2,624,200
								7,168,389
Louisiana (0.26%)
State of Louisiana, General Obligation Match Bonds, Series 2006-B		5.000%	07/15/2025	Aa2		900,000		993,465
Maine (0.77%)
Town of Gorham, Maine, 2012 General Obligation Refunding Bonds		4.000%	11/01/2022	Aa2		1,565,000		1,788,185
Maine Turnpike Authority, Turnpike Revenue Bonds, Series 2004 (Prerefunded to 07-01-2014 @ 100) (c)		5.250%	07/01/2030	Aa3		1,000,000		1,107,170
								2,895,355
Maryland (1.94%)
Baltimore County, Maryland, General Obligation Bonds, Consolidated Public Improvement, Series 2002		5.000%	09/01/2014	Aaa		1,250,000		1,273,488
Howard County, Maryland, Consolidated Public Improvement Bonds, 2012 Series A (d)		4.000%	02/15/2023	Aaa		1,845,000		2,045,588
Washington Suburban Sanitary District, Maryland, Water Supply Bonds of 2005 (Prerefunded to 06-01-2015 @ 100) (c)		5.000%	06/01/2023	Aaa		1,000,000		1,138,460
Howard County, Maryland, Metropolitan District Bonds, 2012 Series A (d)		4.000%	02/15/2032	Aaa		2,790,000		2,863,823
								7,321,359

See accompanying notes to schedules of investments. 51

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795	14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date	Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Massachusetts (0.23%)
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2003, Series C (Prerefunded to 08-01-2013 @ 100) (c)		5.250%	08/01/2020	Aa1	$	800,000	$	851,768
Michigan (2.03%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2010 School Building and Site Bonds, Series II, (General Obligation - Unlimited Tax)		4.000%	05/01/2019	AA		500,000		541,935
Traverse City Area Public Schools, Counties of Grand Traverse, Leelanau and Benzie, State of Michigan, 2010 School Building and Site Bonds (General Obligation - Unlimited Tax)		3.500%	05/01/2020	AA		1,000,000		1,078,770
Forest Hills Public Schools, County of Kent, State of Michigan, 2010 School Building and Site Bonds, Series II, (General Obligation - Unlimited Tax)		4.000%	05/01/2021	AA		500,000		544,595
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000%	02/01/2023	AA-		720,000		810,086
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000%	02/01/2024	AA-		225,000		251,147
East Grand Rapids Public Schools, County of Kent, State of Michigan, 2012 Refunding Bonds, (General Obligation - Unlimited Tax)		4.000%	05/01/2024	AA		1,625,000		1,692,145
Forest Hills Public Schools County of Kent, State of Michigan, 2007 School Building and Site Bonds (General Obligation - Unlimited Tax)		4.750%	05/01/2024	AA		1,000,000		1,097,590
East Grand Rapids Public Schools, County of Kent, State of Michigan, 2012 Refunding Bonds, (General Obligation - Unlimited Tax)		4.000%	05/01/2027	AA		1,600,000		1,624,256
								7,640,524
Minnesota (1.53%)
Independent School District Number 181 (Brainerd), Minnesota, General Obligation School Building Bonds, Series 2002A		5.375%	02/01/2019	A1		2,500,000		2,540,675
Independent School District No. 277 (Westonka), Minnesota, General Obligation School Building Bonds, Series 2012A		2.000%	02/01/2022	Aa2		2,160,000		2,084,184
State of Minnesota, General Obligation State Various Purpose Bonds, Series 2009H		4.500%	11/01/2024	Aa1		1,000,000		1,142,410
								5,767,269
Mississippi (0.77%)
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		3.000%	03/01/2019	AA-		500,000		521,580
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000%	03/01/2020	AA-		1,000,000		1,186,250
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000%	03/01/2021	AA-		1,000,000		1,185,460
								2,893,290
Missouri (1.75%)
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B		5.625%	07/01/2016	Aaa		535,000		536,723
The School District of Columbia, Boone County, State of Missouri, General Obligation Refunding and Improvement Bonds, Series 2012 (d)		4.000%	03/01/2023	Aa1		1,040,000		1,164,228
Parkway C-2 School District, St. Louis County, Missouri, General Obligation Refunding and Improvement Bonds, Series 2009		4.625%	03/01/2025	AAA		1,000,000		1,111,230
School District of the City of Ladue, St. Louis County, Missouri, General Obligation Refunding and Improvement Bonds, Series 2007		5.000%	03/01/2025	AAA		1,000,000		1,112,340
The School District of Columbia, Boone County, State of Missouri, General Obligation Refunding and Improvement Bonds, Series 2012 (d)		4.000%	03/01/2026	Aa1		2,490,000		2,677,671
								6,602,192
Montana (0.09%)
State of Montana, General Obligation Bonds, (Drinking Water State Revolving Fund Program), Series 2005F		4.750%	07/15/2018	AA		315,000		348,500

52 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795	14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date	Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Nebraska (1.79%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and Refunding Bonds, Series 2002		5.000%	09/01/2015	Aa2	$	1,595,000	$	1,623,838
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		4.000%	12/15/2021	AA-		1,140,000		1,286,410
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		5.000%	12/15/2027	AA-		1,850,000		2,122,338
Omaha Public Power District (Nebraska) Electric System Revenue Bonds, 2008 Series A		5.500%	02/01/2028	AA		1,500,000		1,709,295
								6,741,881
New Hampshire (1.00%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 (Prerefunded to 12-01-2013 @ 100) (c)		5.000%	12/01/2021	Aa2		610,000		657,281
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 (Prerefunded to 12-01-2013 @ 100) (c)		5.000%	12/01/2023	Aa2		980,000		1,055,960
New Hampshire Municipal Bond Bank, 2011 Series E Bonds		4.000%	01/15/2024	Aa3		1,410,000		1,522,490
New Hampshire Municipal Bond Bank, 2007 Series B Bonds		4.750%	08/15/2024	A1		500,000		544,330
								3,780,061
New Jersey (3.63%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F		5.000%	12/01/2018	A2		1,300,000		1,372,683
Township of Toms River, County of Ocean, New Jersey, General Improvement Bonds, Series 2010A		3.000%	06/15/2019	AA		2,000,000		2,106,440
County of Essex, New Jersey, General Obligation Bonds, Series 2010, County College Bonds, Series 2010C (Tax-Exempt)		5.000%	08/01/2019	Aa2		1,550,000		1,854,823
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Bonds		2.750%	11/01/2019	AA		1,735,000		1,855,027
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Bonds		3.000%	11/01/2020	AA		1,550,000		1,653,928
The Board of Education of the Township of South Brunswick in the County of Middlesex, New Jersey, Refunding School Bonds		3.000%	12/01/2021	AA		775,000		819,663
Middlesex County Improvement Authority, (County of Middlesex, State of New Jersey), County-Guaranteed Open Space Trust Fund Revenue Bonds, Series 2009A		4.000%	12/15/2021	Aa2		1,205,000		1,344,214
The Board of Education of the Township of South Brunswick in the County of Middlesex, New Jersey, Refunding School Bonds		4.000%	12/01/2023	AA		475,000		530,423
The Board of Education of the Somerset Hills School District in the County of Somerset, New Jersey, Refunding School Bonds, Series 2012		4.000%	03/15/2027	Aa1		1,110,000		1,183,182
The Board of Education of the Somerset Hills School District in the County of Somerset, New Jersey, Refunding School Bonds, Series 2012		4.000%	03/15/2028	Aa1		920,000		975,016
								13,695,399
New Mexico (1.38%)
City of Santa Fe, New Mexico, General Obligation Bonds, Series 2010		4.000%	08/01/2022	AA		570,000		622,104
Las Cruces School District No. 2, General Obligation School Building Bonds, Series 2011A		4.000%	08/01/2023	Aa2		1,700,000		1,866,396
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2005		4.400%	07/01/2024	AA		1,000,000		1,060,060
City of Santa Fe, New Mexico, Water Utility System / Capital Outlay Gross Receipts Tax Revenue Bonds, Series 2009A (Tax-Exempt)		5.000%	06/01/2025	AA+		470,000		529,488
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2008A		5.000%	07/01/2030	AA		1,000,000		1,122,100
								5,200,148
New York (3.99%)
New York City, Municipal Water Finance Authority, Water and Sewer System Revenue Bonds, Fiscal 2003, Series D (Prerefunded to 06-15-2012 @ 100) (c)		5.000%	06/15/2016	Aa1		1,300,000		1,312,376
Town of Brookhaven, Suffolk County, New York, Public Improvement Serial Bonds - 2010		3.250%	03/15/2019	Aa2		1,575,000		1,686,683

See accompanying notes to schedules of investments. 53

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795	14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date	Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
New York (Cont.)
Webster Central School District, Monroe and Wayne Counties, New York, General Obligations, School District (Serial) Bonds, 2009 Series B		3.000%	10/01/2020	AA	$	2,310,000	$	2,431,252
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B		5.000%	04/01/2021	AA		1,000,000		1,118,990
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000%	07/15/2021	AA+		430,000		466,589
County of Suffolk, New York, Public Improvement Serial Bonds - 2009 Series C		4.000%	10/15/2021	A1		1,000,000		1,083,080
East Hampton Union Free School District, Suffolk County, New York, School District Serial Bonds - 2009		4.000%	06/15/2022	Aa1		1,285,000		1,425,502
Miller Place Union Free School District in the Town of Brookhaven, Suffolk County, New York, School District Serial Bonds - 2010		4.000%	02/15/2025	Aa2		685,000		717,051
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000%	07/15/2025	AA+		510,000		533,700
County of Suffolk, New York, Public Improvement Serial Bonds - 2008 Series B		5.000%	11/01/2027	A1		1,000,000		1,101,580
The Port Authority of New York and New Jersey Consolidated Bonds, One Hundred Fifty-Third Series		4.750%	07/15/2030	AA-		1,000,000		1,081,600
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750%	07/15/2031	Aa1		950,000		1,032,574
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750%	07/15/2032	Aa1		995,000		1,077,953
								15,068,930
North Carolina (3.27%)
County of Orange, North Carolina, General Obligation Refunding Bonds, Series 2011		3.000%	02/01/2020	Aa1		1,000,000		1,081,890
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2002B		5.000%	07/01/2021	Aaa		1,000,000		1,010,010
City of Fayetteville, North Carolina, Public Works Commission, Revenue Refunding Bonds, Series 2009A		5.000%	03/01/2024	Aa3		1,355,000		1,563,101
County of Wake, North Carolina, General Obligation Public Improvement Bonds, Series 2011		4.000%	04/01/2024	Aaa		2,000,000		2,250,520
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2009B		4.000%	06/01/2024	Aaa		1,265,000		1,389,501
State of North Carolina, General Obligation Public Improvement Bonds, Series 2010A		4.000%	05/01/2026	Aaa		1,000,000		1,090,700
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		4.250%	07/01/2026	Aaa		1,500,000		1,662,525
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750%	08/01/2026	Aa2		195,000		210,376
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		5.000%	07/01/2027	Aaa		1,500,000		1,752,135
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750%	08/01/2027	Aa2		300,000		322,284
								12,333,042
North Dakota (0.36%)
West Fargo Public School District No. 6, Cass County, North Dakota, General Obligation School Building Bonds, Series 2011		4.000%	05/01/2026	Aa3		1,300,000		1,370,837
Ohio (2.42%)
Board of Education Indian Hill Exempted Village School District, County of Hamilton, Ohio, School Improvement Refunding Bonds, Series 2006		4.375%	12/01/2022	Aaa		750,000		812,828
Board of Education, City School District of the City of Cincinnati, County of Hamilton, Ohio, Classroom Facilities Construction and Improvement Refunding Bonds, Series 2006 (Voted General Obligation Unlimited Tax)		5.250%	12/01/2022	AA-		1,000,000		1,218,200
Columbus City School District, Franklin County, Ohio, School Facilities Construction and Improvement Bonds, Series 2009-B (General Obligation - Unlimited Tax)		5.000%	12/01/2023	Aa2		1,000,000		1,155,880
State of Ohio, Common Schools General Obligation Bonds, Series 2006D		4.300%	09/15/2025	Aa1		2,500,000		2,659,400
Miami University (A State University of Ohio) General Receipts Revenue and Refunding Bonds, Series 2011		5.000%	09/01/2026	Aa3		1,000,000		1,151,350
Plain Local School District (Stark County), Ohio, General Obligation (Unlimited Tax), School Improvement Refunding Bonds, Series 2011A		4.500%	11/01/2027	AA-		2,000,000		2,116,380
								9,114,038
Oklahoma (1.12%)
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000%	01/01/2026	Aa3		1,000,000		1,158,570

54 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Oklahoma (Cont.)
City of Tulsa, Oklahoma, General Obligation Bonds, Series 2008		4.750%		05/01/2026	AA	$	1,165,000	$	1,303,425
City of Oklahoma City, Oklahoma, General Obligation Bonds, Series 2008		5.000%		03/01/2027	Aaa		400,000		451,552
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000%		01/01/2028	Aa3		770,000		881,242
Oklahoma Housing Finance Agency, Single Family Mortgage Revenue Bonds, (Homeownership Loan Program), 2003 Series B-1 (AMT)		4.875%		09/01/2033	Aaa		435,000		435,344
									4,230,133
Oregon (3.22%)
Newberg School District Number 29J, Yamhill, Clackamas and Washington Counties, Oregon, General Obligation Bonds, Series 2002 (Prerefunded to 06-15-2012 @ 100) (c)		5.250%		06/15/2015	AA+		1,000,000		1,010,010
City of Portland, Oregon, First Lien Water System Revenue and Refunding Bonds, 2010 Series A (Tax Exempt)		4.000%		05/01/2021	Aaa		1,070,000		1,209,228
Emerald People’s Utility District, Lane County, Oregon		5.250%		11/01/2021	A1		705,000		745,079
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000%		06/15/2022	Aa3		1,825,000		2,083,110
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000%		06/15/2023	Aa3		1,375,000		1,555,978
City of Portland, Oregon, First Lien Water System Revenue Bonds, 2011 Series A		4.000%		05/01/2024	Aaa		1,500,000		1,654,725
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Series F (Tax Exempt)		4.625%		08/01/2024	Aa1		570,000		625,250
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Refunding Series G (Tax Exempt)		4.625%		08/01/2024	Aa1		330,000		361,987
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A		5.750%		08/01/2024	Aa1		575,000		681,093
Oregon Trail School District No. 46, Clackamas County, Oregon, General Obligation Bonds, Series 2009		5.000%		06/15/2029	A+		1,000,000		1,118,940
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A		5.750%		08/01/2029	Aa1		940,000		1,093,756
									12,139,156
Pennsylvania (0.88%)
Township of Cranberry, Butler County, Pennsylvania, General Obligation Bonds, Series of 2011		4.500%		03/01/2026	Aa2		1,575,000		1,724,908
County of Chester, Commonwealth of Pennsylvania, General Obligation Bonds, Series of 2011		4.000%		11/15/2026	Aaa		1,465,000		1,577,644
									3,302,552
Rhode Island (0.72%)
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2004 A (Pooled Loan Issue)		4.750%		10/01/2022	Aaa		1,000,000		1,071,310
State of Rhode Island and Providence Plantations, General Obligation Bonds, Consolidated Capital Development Loan of 2007, Series A		4.750%		08/01/2024	Aa2		1,000,000		1,081,910
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2007 A (Pooled Loan Issue)		4.750%		10/01/2025	Aaa		500,000		560,940
									2,714,160
South Carolina (2.58%)
Renewable Water Resources, South Carolina, Sewer System Refunding Revenue Bonds, Series 2012		5.000%		01/01/2024	Aa3		2,500,000		2,956,625
City of Columbia, South Carolina, Waterworks and Sewer System Revenue Bonds, Series 2010		4.500%		02/01/2025	AA		1,020,000		1,127,467
School District No. 1 of Richland County, South Carolina, General Obligation Bonds, Series 2006B		4.450%		03/01/2025	Aa2		1,500,000		1,637,190

See accompanying notes to schedules of investments. 55

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

		14,927,795		14,927,795	14,927,795		14,927,795		14,927,795
	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
South Carolina (Cont.)
South Carolina Public Service Authority, Revenue Obligations, Series 2008, Tax-Exempt Series A		5.375%		01/01/2028	Aa3	$	3,500,000	$	4,024,510
									9,745,792
South Dakota (0.53%)
Harrisburg School District No. 41-2, Lincoln County, South Dakota, General Obligation Refunding Bonds, Series 2012		2.375%		01/15/2021	AA-		1,210,000		1,190,604
Harrisburg School District No. 41-2, Lincoln County, South Dakota, General Obligation Bonds, Series 2007		4.500%		01/15/2023	Aa3		800,000		800,000
									1,990,604
Tennessee (4.37%)
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2018	AA-		650,000		788,879
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2019	AA-		150,000		184,362
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2020	AA-		270,000		326,973
City of Knoxville, Tennessee, Water System Revenue Bonds, Series U-2009		4.000%		03/01/2022	Aa2		175,000		194,136
Tennessee State School Bond Authority, Higher Educational Facilities, Second Program Bonds, 2008 Series B		4.750%		05/01/2023	AA		1,000,000		1,147,930
City of Knoxville, Tennessee, Electric System Revenue Refunding Bonds, Series AA-2012 (d)		3.000%		07/01/2023	Aa2		2,000,000		2,007,980
The Metropolitan Government of Nashville and Davidson County (Tennessee), General Obligation Improvement and Refunding Bonds, Series 2010A		4.000%		07/01/2023	AA		900,000		986,598
The Metropolitan Government of Nashville and Davidson County (Tennessee), General Obligation Refunding Bonds, Series 2012		4.000%		07/01/2025	AA		1,000,000		1,091,270
State of Tennessee, General Obligation Bonds, 2012 Refunding Series A		4.000%		08/01/2025	AA+		5,000,000		5,548,800
State of Tennessee, General Obligation Bonds, 2007 Series A (Prerefunded to 10-01-2015 @ 100) (c)		4.500%		10/01/2025	AA+		425,000		482,660
City of Chattanooga, Tennessee, General Obligation Refunding Bonds, Series 2007A		4.750%		03/01/2026	AA+		2,250,000		2,443,388
The Metropolitan Government of Nashville and Davidson County (Tennessee), Electric System Revenue Bonds, 2008 Series A		4.750%		05/15/2026	AA+		1,175,000		1,295,954
									16,498,930
Texas (3.07%)
City of Plano, Texas, (Collin and Denton Counties), General Obligation Refunding and Improvement Bonds, Series 2011		5.000%		09/01/2020	Aaa		1,000,000		1,223,300
Fort Worth Independent School District, (Tarrant County, Texas), Unlimited Tax School Building Bonds, Series 2010		4.000%		02/15/2021	AA		775,000		873,425
City of Austin, Texas, (Travis and Williamson Counties), Water and Wastewater System Revenue Refunding Bonds, Series 2009A		5.000%		11/15/2026	AA-		2,000,000		2,273,320
Trinity River Authority of Texas, (Tarrant County Water Project) Improvement Revenue Bonds, Series 2008		5.750%		02/01/2027	Aa3		1,500,000		1,711,995
New Braunfels Independent School District, (A political subdivision of the State of Texas located in Comal and Guadalupe Counties, Texas), Unlimited Tax School Building Bonds, Series 2008		5.000%		02/01/2029	AA		900,000		961,065
Lake Travis Independent School District, Unlimited Tax School Building Bonds, Series 2012		5.000%		02/15/2029	AA+		2,365,000		2,732,663
Lake Travis Independent School District, Unlimited Tax School Building Bonds, Series 2012		5.000%		02/15/2031	AA+		1,565,000		1,791,252
									11,567,020
Utah (0.49%)
West Jordan Utah, General Obligation Bonds (Prerefunded to 04-01-2014 @ 100) (c)		5.250%		04/01/2022	NR		680,000		745,502
Board of Education of Canyons School District, Utah, General Obligation Bonds, (Utah School Bond Guaranty Program), Series 2011		4.000%		06/15/2023	AA+		1,000,000		1,106,940
									1,852,442

56 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

	Coupon rate		Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Virginia (1.84%)
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997		5.000%		04/01/2021		Aaa	$	900,000	$	1,089,522
City of Salem, Virginia General Obligation Public Improvement Refunding Bonds Series 2007A		4.500%		01/01/2023		Aa3		520,000		566,940
General Obligation Public Improvement and Refunding Bonds, Series 2007 of the City of Hampton, Virginia		4.375%		01/15/2023		Aa1		1,550,000		1,708,100
Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 2006 A		4.500%		08/01/2024		Aa1		1,000,000		1,068,760
Loudoun County, Virginia, General Obligation Public Improvement Bonds, Series 2011A		4.000%		12/01/2026		Aaa		1,395,000		1,502,847
Virginia Public School Authority, School Financing Bonds, (1997 Resolution) Series 2004 A (Prerefunded to 08-01-2014 @ 100) (c)		4.750%		08/01/2027		Aa1		900,000		989,622
										6,925,791
Washington (2.64%)
Bethel School District No. 403, Pierce County, Washington, Unlimited Tax General Obligation Bonds, 2006		5.000%		12/01/2020		Aa2		1,420,000		1,603,066
Lake Washington School District No. 414, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		5.000%		12/01/2025		AA		2,000,000		2,273,320
Bellevue School District No. 405, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		4.750%		12/01/2026		AA+		2,500,000		2,744,250
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.000%		01/01/2028		AA-		680,000		731,578
The City of Seattle, Washington, Drainage and Wastewater Revenue Bonds, 2004		4.750%		09/01/2028		Aa1		1,140,000		1,185,452
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.125%		01/01/2029		AA-		445,000		481,833
Public Utility District No. 1 of Douglas County, Washington, Wells Hydroelectric Revenue and Refunding Bonds, Series 2005B (Non-AMT)		5.000%		09/01/2030		Aa3		900,000		954,882
										9,974,381
West Virginia (2.14%)
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		5.000%		10/01/2022		A+		2,200,000		2,660,108
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750%		10/01/2027		A+		2,240,000		2,518,365
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750%		10/01/2028		A+		2,595,000		2,899,471
										8,077,944
Wisconsin (0.40%)
City of Fond Du Lac, Fon Du Lac County, Wisconsin, General Obligation Refunding Bonds, Series 2010		4.250%		03/01/2023		AA-		500,000		549,610
School District of Elbrook, Waukesha County, Wisconsin, General Obligation School Building and Improvement Bonds		5.000%		04/01/2028		Aaa		850,000		945,056
										1,494,666
Total Long-term Municipal Bonds
(cost $322,675,145)										339,893,829

See accompanying notes to schedules of investments. 57

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2012

(Unaudited)

	Shares		Value
Short-term Investments (11.28%)
JPMorgan Tax Free Money Market Fund		42,550,288	$	42,550,288
Total Short-term Investments
(cost $42,550,288)				42,550,288
TOTAL INVESTMENTS (101.40%)
(cost $365,225,433)				382,444,117
LIABILITIES, NET OF OTHER ASSETS (-1.40%)				(5,287,716	)
NET ASSETS (100.00%)			$	377,156,401

(a) Ratings are not audited and represent the lower of Moody’s, S&P or Fitch issuer specific ratings.

(b) Long-term Municipal Bonds, as a percentage of total net assets, consisted of 4.28% Advanced Refunded Bonds, 55.35% General Obligation Bonds and 30.49% Municipal Revenue Bonds.

(c) Advanced Refunded Bonds are backed by an escrow or trust containing U.S. Government or U.S. Government Agency securities to support the timely payment of principal and interest.

(d) Security purchased on a “when-issued” basis.

NR – Not Rated

58 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

March 31, 2012

(Unaudited)

		14,927,795		14,927,795
	Principal amount		Value
Short-term Investments (99.50%)
Agriculture, Foods, & Beverage (10.73%)
Coca-Cola Co. (a)
0.120%, 04/16/2012	$	5,460,000	$	5,459,709
0.120%, 05/09/2012		6,520,000		6,519,152
Nestle Capital Corp. (a)
0.130%, 06/29/2012		9,000,000		8,997,075
Pepsico Inc. (a)
0.070%, 05/01/2012		6,900,000		6,899,584
				27,875,520
Automotive (15.33%)
American Honda Finance Corp.
0.090%, 04/09/2012		12,500,000		12,499,719
0.110%, 04/17/2012		1,000,000		999,948
PACCAR Financial Corp.
0.110%, 04/04/2012		7,590,000		7,589,907
0.100%, 04/10/2012		1,550,000		1,549,957
0.120%, 04/16/2012		1,800,000		1,799,904
0.130%, 04/19/2012		2,000,000		1,999,863
Toyota Motor Credit Corp.
0.150%, 06/04/2012		13,393,000		13,389,373
				39,828,671
Chemicals (2.88%)
EI du Pont de Nemours and Co. (a)
0.150%, 05/10/2012		7,491,000		7,489,752
Consumer & Marketing (5.39%)
Procter & Gamble Co., The (a)
0.070%, 04/05/2012		5,000,000		4,999,951
0.080%, 04/27/2012		3,100,000		3,099,814
0.120%, 06/01/2012		5,909,000		5,907,779
				14,007,544
Financial Services (5.13%)
General Electric Capital Corp.
0.130%, 06/07/2012		13,326,000		13,322,728
Government Agency Securities (b) (31.42%)
Federal Home Loan Bank
0.040%, 04/11/2012		2,000,000		1,999,975
0.082%, 04/13/2012		7,400,000		7,399,781
0.090%, 05/02/2012		4,450,000		4,449,644
0.110%, 05/11/2012		5,600,000		5,599,298
0.095%, 05/18/2012		2,840,000		2,839,596
0.110%, 05/18/2012		10,000,000		9,998,578
0.090%, 05/21/2012		6,000,000		5,999,298
0.070%, 05/21/2012		3,500,000		3,499,590
0.090%, 05/24/2012		7,750,000		7,748,954
0.101%, 05/25/2012		9,287,000		9,285,567
Federal Home Loan Mortgage Corp.
0.050%, 04/20/2012		3,000,000		2,999,917
0.060%, 04/23/2012		11,800,000		11,799,548
Federal National Mortgage Association
0.055%, 05/21/2012		8,000,000		7,999,377
				81,619,123

		14,927,795		14,927,795
	Principal amount		Value
Short-term Investments (Cont.)
Health Care (8.99%)
Abbott Laboratories (a)
0.140%, 06/19/2012	$	10,850,000	$	10,846,624
Roche Holdings (a)
0.060%, 04/02/2012		1,321,000		1,320,995
0.120%, 04/10/2012		5,000,000		4,999,833
0.060%, 05/14/2012		6,198,000		6,197,545
				23,364,997
Media & Broadcasting (2.12%)
Walt Disney Co., The (a)
0.070%, 04/18/2012		3,500,000		3,499,878
0.070%, 04/19/2012		2,000,000		1,999,925
				5,499,803
	Shares		Value
Registered Investment Companies (0.01%)
JPMorgan U.S. Government Money Market Fund		17,448	$	17,448
	Principal amount		Value
Retailers (5.19%)
Wal-Mart Stores Inc. (a)
0.090%, 04/23/2012	$	13,485,000	$	13,484,225
U.S. Government Obligations (12.31%)
U.S. Treasury Bill
0.010%, 04/12/2012		15,000,000		14,999,950
0.032%, 04/19/2012		6,000,000		5,999,900
0.066%, 05/03/2012		5,000,000		4,999,700
0.083%, 05/24/2012		1,000,000		999,876
0.072%, 06/28/2012		5,000,000		4,999,110
				31,998,536
Total Short-term Investments
(cost $258,508,347)				258,508,347
TOTAL INVESTMENTS (99.50%)
(cost $258,508,347)				258,508,347
OTHER ASSETS, NET OF LIABILITIES (0.50%)				1,295,387
NET ASSETS (100.00%)			$	259,803,734

(a) Securities exempt from registration under Section 4(2) of the Securities Act of 1933. These securities are purchased as part of the normal course of business, valued at amortized cost and may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been determined to be liquid.

(b) The obligations of these U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury. On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corp. (“Freddie Mac”) into conservatorship. The United States Treasury has put in place a set of financing agreements to help ensure that these entities continue to meet their obligations to holders of bonds they have issued or guaranteed.

See accompanying notes to schedules of investments. 59

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS

(Unaudited)

1. Investment Objective

State Farm Mutual Fund Trust (the “Trust”) has 15 separate investment portfolios (the “Funds”). Each Fund is a separate investment portfolio with its own investment objective, investment policies, restrictions, and attendant risks. State Farm Investment Management Corp. (“SFIMC”) is the Trust’s investment adviser.

The State Farm Equity Fund (the “Equity Fund”) seeks long-term growth of capital. The Equity Fund seeks to achieve this objective by investing, under normal circumstances, at least 80% of its net assets (plus any borrowings) in common stocks and other equity securities of U.S. large capitalization companies.

The State Farm Small/Mid Cap Equity Fund (the “Small/Mid Cap Equity Fund”) seeks long-term growth of capital. The Fund primarily invests under normal circumstances at least 80% of its net assets (plus any borrowing) in common stock and other equity securities of small and mid-capitalization stocks issued by U.S. companies.

The State Farm International Equity Fund (the “International Equity Fund”) seeks long-term growth of capital. The International Equity Fund invests its assets primarily in securities issued by foreign companies. There is no restriction on the size of the companies in which the Fund invests.

The State Farm S&P 500 Index Fund (the “S&P 500 Index Fund”) seeks to provide investment results that correspond to the total return of publicly traded common stocks as represented by the Standard & Poor’s 500 Stock Index (the “S&P 500^® Index”)1. The S&P 500 Index Fund invests all of its assets in a separate series of an unaffiliated mutual fund called Master Investment Portfolio. That series, called the S&P 500 Stock Master Portfolio, holds each of the stocks that make up the S&P 500 Index. The S&P 500 Stock Master Portfolio and the S&P 500 Index Fund have substantially similar investment objectives.

The State Farm Small Cap Index Fund (the “Small Cap Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of the Russell 2000^® Small Stock Index (the “Russell 2000”)2. The Small Cap Index Fund pursues its investment objective by investing in a representative sample of the securities contained in the Russell 2000. The Russell 2000 tracks the common stock performance of about 2,000 small U.S. companies.

The State Farm International Index Fund (the “International Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of an international portfolio of common stocks represented by the Morgan Stanley Capital International Europe, Australasia and Far East Free Index (the “EAFE^® Free”)3. The International Index Fund selects a representative sample of the securities contained in the EAFE Free. The EAFE Free is a capitalization-weighted index that currently includes stocks of companies in 16 European countries, Australia, New Zealand, Israel, Hong Kong, Japan and Singapore.

The State Farm Equity and Bond Fund (the “Equity and Bond Fund”) seeks long-term growth of principal while providing some current income. The Equity and Bond Fund invests substantially all of its assets in Institutional shares of the State Farm Equity Fund and State Farm Bond Fund of the Trust.

The State Farm Bond Fund (the “Bond Fund”) seeks to realize over a period of years the highest yield consistent with investing in investment grade bonds. The Fund typically invests 80% or more of its assets in investment grade bonds or bonds determined to be of comparable quality.

The State Farm Tax Advantaged Bond Fund (the “Tax Advantaged Bond Fund”) seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Tax Advantaged Bond Fund normally invests so that either (1) at least 80% of the Tax Advantaged Bond Fund’s net investment income is exempt from regular federal income tax or (2) at least 80% or more of the Tax Advantaged Bond Fund’s net assets are invested in securities that produce income exempt from regular federal income tax.

The State Farm Money Market Fund (the “Money Market Fund”) seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Money Market Fund invests exclusively in short-term, U.S. dollar-denominated money market securities, including those issued by U.S. and foreign financial institutions, corporate issuers, the U.S. Government and its agencies and instrumentalities, municipalities, foreign governments, and multi-national organizations, such as The World Bank.

The State Farm LifePath^® Retirement Fund (the “LifePath Retirement Fund”)4 is managed for investors seeking income and moderate long-term growth of capital. The LifePath Retirement Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath Retirement Master Portfolio. The LifePath Retirement Master Portfolio and the LifePath Retirement Fund have substantially similar investment objectives.

The State Farm LifePath 2020^® Fund (the “LifePath 2020 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2020. The LifePath 2020 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2020 Master Portfolio. The LifePath 2020 Master Portfolio and the LifePath 2020 Fund have substantially similar investment objectives.

The State Farm LifePath 2030^® Fund (the “LifePath 2030 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2030. The LifePath 2030 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2030 Master Portfolio. The LifePath 2030 Master Portfolio and the LifePath 2030 Fund have substantially similar investment objectives.

60

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

The State Farm LifePath 2040^® Fund (the “LifePath 2040 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2040. The LifePath 2040 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2040 Master Portfolio. The LifePath 2040 Master Portfolio and the LifePath 2040 Fund have substantially similar investment objectives.

The State Farm LifePath 2050^® Fund (the “LifePath 2050 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2050. The LifePath 2050 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2050 Master Portfolio. The LifePath 2050 Master Portfolio and the LifePath 2050 Fund have substantially similar investment objectives.

Each LifePath Master Portfolio invests in a combination of stock, bond and short-term money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive asset allocation investment strategy that gradually becomes more conservative as the year in the LifePath Fund’s name approaches, except for the LifePath Retirement Master Portfolio that already is in its most conservative phase.

The S&P 500 Index, LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040 and LifePath 2050 Funds are collectively defined as the “Feeder Funds”. The S&P 500 Stock Master Portfolio, LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio are collectively defined as the “Master Portfolios”.

For more information about the Master Portfolios refer to the Master Investment Portfolio (“MIP”) section.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their schedules of investments in accordance with U.S. generally accepted accounting principles (“GAAP”).

Securities valuation

Investments are valued pursuant to valuation procedures approved by the Trust’s Board of Trustees. Valuations under these procedures are designed to reflect the fair value of the investments.

Fair value is defined as the price that the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is used to classify fair value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in three broad levels as follows:

• Level 1 - quoted prices (unadjusted) in active markets for identical securities

• Level 2 - significant other observable inputs (other than quoted prices included within Level 1), such as quoted prices for similar securities and interest rates, prepayment speeds, credit risk, etc., on fixed income securities

• Level 3 - significant unobservable inputs (including SFIMC’s own assumptions in determining the fair value of a Fund’s investments)

Stocks, closed-end registered investment companies and exchange-traded funds (“ETFs”) traded on securities exchanges, or in an over-the-counter market in which transaction prices are reported, are valued at the last sales price on the day of valuation or, if there are no reported sales on that day, at the last reported bid price for the day. Stocks traded on NASDAQ are valued at the NASDAQ Official Closing Price. Long-term debt securities and U.S. Treasury bills are generally valued using quotations provided by an independent pricing service. All of the securities of the Money Market Fund and short-term debt securities with remaining maturities of 60 days or less (other than U.S. Treasury bills) held by any of the other Non-feeder Funds are generally valued on an amortized cost basis, which approximates market value. Investments in open-end investment companies are valued each day based on the closing net asset value of the respective fund. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using quoted forward exchange rates. Short sales, if any, are valued at market value.

Portfolio securities that are primarily traded on foreign securities exchanges (“foreign securities”) are valued at the closing values of such securities on the respective exchange where each security is primarily traded. SFIMC may determine that a market quotation for a foreign security held by a Fund is not reliable because of events or circumstances that have occurred between the time of the market quotation and the time the net asset value of the Fund is calculated (“subsequent event”). A subsequent event might include company-specific developments, a development that might affect an entire market or region, a potentially global development or a significant change in one or more U.S. securities indexes. If SFIMC determines that the market quotation for a foreign security is not reliable, SFIMC may use an independent statistical fair value service to assist in determining value, or SFIMC may determine the foreign security’s value in SFIMC’s reasonable judgment.

For securities other than foreign securities, for which market prices are not readily available or are considered unreliable, SFIMC is required to obtain bid price quotations from brokers or dealers in the securities. If SFIMC cannot obtain a quotation for the security or if SFIMC believes the quotation does not represent the security’s fair value, then SFIMC will determine the security’s value in SFIMC’s reasonable judgment.

In determining a value based on reasonable judgment, SFIMC may use different methodologies, including multiple of earnings, multiple of book value, discount from market of a similar freely traded security or, for debt securities, yield to maturity. Other factors SFIMC may consider in determining value for

61

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

a security include, but are not limited to, fundamental analytical data relating to the security, the nature and duration of any restrictions on disposition of the security, the last traded price of the security, significant global or regional events such as political unrest, natural disasters, and war, and significant movements in major market indices, exchange traded funds, index futures or other financial instruments in the U.S. or other markets.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds’ assets and liabilities as of March 31, 2012:

	Investments in Securities								Derivative Instruments
Fund	Level 1		Level 2		Level 3		Total		Level 1			Level 2		Level 3		Total
Equity Fund									$	—		$	—	$	—	$	—
Common Stocks (a)	$	293,270,101	$	—	$	—	$	293,270,101
Short-term Investments		7,851,270		—		—		7,851,270
Small/Mid Cap Equity Fund										—			—		—		—
Common Stocks (a)		182,196,256		—		—		182,196,256
Registered Investment Companies		555,000		—		—		555,000
Short-term Investments		5,712,119		—		—		5,712,119
International Equity Fund										—			2		—		2
Common Stocks (a)		110,541,839		—		—		110,541,839
Preferred Stocks (a)		2,653,340		—		—		2,653,340
Short-term Investments		2,753,978		—		—		2,753,978
S&P 500 Index Fund										—			—		—		—
Investments in securities in Master Portfolios		—		616,789,126		—		616,789,126
Small Cap Index Fund										102,492			—		—		102,492
Common Stocks (a)		301,247,741		6,925		0		301,254,666
Registered Investment Companies		2,577,196		—		—		2,577,196
Short-term Investments		5,240,876		679,977		—		5,920,853
International Index Fund										(20,045	)		9,279		—		(10,766	)
Common Stocks (a)		194,245,323		857		0		194,246,180
Preferred Stocks (a)		1,015,255		—		—		1,015,255
Short-term Investments		188,645		—		—		188,645
Equity and Bond Fund										—			—		—		—
Registered Investment Companies		191,992,682		—		—		191,992,682
Bond Fund										—			—		—		—
Corporate Bonds (a)		—		251,241,083		—		251,241,083
Taxable Municipal Bonds		—		1,030,030		—		1,030,030
Commercial Mortgaged-Backed Securities		—		4,205,428		—		4,205,428
Agency Commercial Mortgaged-Backed Securities		—		10,111,480		—		10,111,480
Agency Mortgage-Backed Securities		—		111,017,119		—		111,017,119
Agency Notes & Bonds		—		9,530,744		—		9,530,744
U.S. Treasury Obligations		—		185,438,998		—		185,438,998
Short-term Investments		15,690,401		—		—		15,690,401
Tax Advantaged Bond Fund										—			—		—		—
Long-term Municipal Bonds		—		339,893,829		—		339,893,829
Short-term Investments		42,550,288		—		—		42,550,288
Money Market Fund										—			—		—		—
Short-term Investments		17,448		258,490,899		—		258,508,347
(a) Industry classification and/or country is disclosed in the Schedules of Investments.

62

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

	Investments in Securities							Derivative Instruments
Fund	Level 1	Level 2		Level 3		Total		Level 1	Level 2		Level 3		Total
LifePath Retirement Fund								$—		$—		$—		$—
Investments in securities in Master Portfolios	$—		$   791,924,979		$—		$   791,924,979
LifePath 2020 Fund								—		—		—		—
Investments in securities in Master Portfolios	—		1,263,003,508		—		1,263,003,508
LifePath 2030 Fund								—		—		—		—
Investments in securities in Master Portfolios	—		1,110,272,682		—		1,110,272,682
LifePath 2040 Fund								—		—		—		—
Investments in securities in Master Portfolios	—		813,212,884		—		813,212,884
LifePath 2050 Fund								—		—		—		—
Investments in securities in Master Portfolios	—		83,489,953		—		83,489,953

There were no transfers of securities between Level 1 and Level 2 as of March 31, 2012 as compared to December 31, 2011.

Derivative instruments, such as futures and foreign currency contracts, are not listed separately in the Schedules of Investments and are valued at the unrealized appreciation (depreciation) on the instrument.

The Small Cap Index Fund and the International Index Fund did not hold any Level 3 securities valued at other than zero as of December 31, 2011 or for the period ended March 31, 2012. The remaining Funds did not hold any Level 3 securities as of December 31, 2011 or for the period ended March 31, 2012.

Securities transactions

For financial reporting purposes, security transactions are accounted for on trade date (date the order to buy or sell is executed).

Securities purchased on a “when-issued” basis

The Tax Advantaged Bond Fund may purchase municipal bonds on a “when-issued” basis. Delivery and payment for these securities may be a month or more after the purchase date, during which time such securities are subject to market fluctuations. The Tax Advantaged Bond Fund identifies and holds specific liquid assets with a market value at least equal to the amount of the when-issued purchase commitments in order to ensure that it can meet those commitments. It is possible that the securities will never be issued and the commitment canceled. At March 31, 2012, the Tax Advantaged Bond Fund had commitments of $11,276,014 (representing 2.99% of net assets) for when-issued securities.

Investments in Master Portfolios

The Feeder Funds, through their investments in the Master Portfolios, are diversified, open-end management investment companies. The Feeder Funds invest all of their assets in the Master Portfolios. Pursuant to shareholder approval at the December 16, 2011 Special Shareholder Meeting, the S&P 500 Index Fund elected to withdraw all assets from its Master Portfolio and invest directly in individual securities, effective in May 2012. The percentage ownership in the Master Portfolios held by the Feeder Funds as of March 31, 2012 is detailed below:

Feeder Fund	Invests in Master Portfolio	% ownership interest held by the Feeder Funds
S&P 500 Index Fund	S&P 500 Stock Master Portfolio	24.96%
LifePath Retirement Fund	LifePath Retirement Master Portfolio	56.13%
LifePath 2020 Fund	LifePath 2020 Master Portfolio	51.45%
LifePath 2030 Fund	LifePath 2030 Master Portfolio	51.63%
LifePath 2040 Fund	LifePath 2040 Master Portfolio	49.64%
LifePath 2050 Fund	LifePath 2050 Master Portfolio	39.51%

The Master Portfolios are diversified, open-end management investment companies, each of which has an investment objective substantially similar to that of its corresponding Feeder Fund. The Schedules of Investments of each Master Portfolio are included elsewhere in this report.

63

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

Each Feeder Fund records its investment in its Master Portfolio based upon each Feeder Fund’s proportionate interest in the net assets of the respective Master Portfolio.

Each Feeder Fund records daily its proportionate share of the Master Portfolio’s income, expenses, and realized and unrealized gains and losses. In addition, the Feeder Funds accrue their own expenses.

Federal income taxes

Each Fund is a separate taxpayer for federal income tax purposes. It is the Funds’ policy to comply with the special provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and, in the manner provided therein, to distribute substantially all of their taxable income, including any net realized gain on sales of investments reportable for federal income tax purposes.

As of March 31, 2012, aggregate securities holdings’ unrealized gains and losses based on cost for federal income tax purposes for certain Funds were as follows:

Fund	Cost of Investments for Federal Tax Purposes	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
Equity Fund	$242,141,820	$63,555,650	$(4,576,099)	$58,979,551
Small/Mid Cap Equity Fund	151,730,297	40,820,973	(4,087,895)	36,733,078
International Equity Fund	97,360,827	23,244,008	(4,655,678)	18,588,330
Small Cap Index Fund	271,545,872	87,398,247	(49,191,404)	38,206,843
International Index Fund	181,849,283	48,237,667	(34,636,870)	13,600,797
Equity and Bond Fund	201,303,108	6,546,133	(15,856,559)	(9,310,426)
Bond Fund	549,179,711	39,923,955	(838,383)	39,085,572
Tax Advantaged Bond Fund	365,225,433	18,385,015	(1,166,331)	17,218,684
Money Market Fund	258,508,347	-	-	-

The differences between the cost of investments for federal income tax purposes and the cost of investments reflected on the Schedules of Investments are primarily related to the timing of recognition of gains and losses and investment income.

The Master Portfolios are organized as partnerships for federal income tax purposes. Information relating to the cost of investments, gross and net unrealized appreciation (depreciation) and other tax matters for the Master Portfolios may be found in the MIP Schedules of Investments which are included in this report. The tax cost information for the LifePath Master Portfolios in the MIP Schedules of Investments does not include the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios, each of which is an Underlying Fund. See the MIP Schedules of Investments for the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios.

Foreign currency translation

Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing foreign exchange rates at March 31, 2012. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollars at the prevailing foreign exchange rates on the respective dates of transactions. That portion of realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with realized and unrealized gains and losses on investment securities.

Financial instruments

The Small Cap Index Fund and International Index Fund are subject to equity price risk in the normal course of pursuing their investment objectives. These Funds entered into stock index futures contracts to gain exposure to market fluctuations, as the use of these instruments was more efficient or cost effective than actually buying the underlying securities. These contracts obligated those Funds to make or take delivery of a financial instrument or the cash value of a securities index at a specified future date at a specified price. Unrealized gains and losses on open futures contracts are reflected in other assets in the Schedules of Investments. Upon entering into a futures contract, these Funds bore the risk of futures contracts’ prices moving unexpectedly, in which case, the Funds might not have been able to achieve the anticipated benefits of the futures contract and might realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearing house, as the ultimate counterparty to all exchange traded futures, guarantees the futures against default.

The International Equity and International Index Funds are subject to foreign currency exchange risk in the normal course of pursuing their investment objectives. In an attempt to decrease exposure to this risk, both Funds engaged in transaction hedging and the International Index Fund engaged in portfolio hedging with the objective to protect against variations in exchange rates. Transaction hedging involved the purchase and sale of forward foreign currency contracts between trade date and settlement date on security transactions. Portfolio hedging involved selling forward foreign currency contracts with respect to the actual or anticipated portfolio security position denominated or quoted in the particular currency. Unrealized gains and losses on

64

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

forward foreign currency contracts are reflected in other assets in the Schedule of Investments. These Funds bore the market risk that arises from changes in foreign currency rates and the credit risk should a counterparty fail to perform under such contracts, and as a result, might realize a loss.

For unrealized gain (loss) of derivative instruments held by the Funds, see Note 3 under Futures and foreign currency contracts.

3. Futures and foreign currency contracts

As of March 31, 2012, the International Equity Fund and International Index Fund had the following open forward foreign currency contracts. See Note 2 under Financial Instruments:

International Equity Fund
Foreign amount     Purchased (Sold)	Currency	Counterparty	Settlement Date	U.S. Dollar amount Purchased (Sold)	Unrealized Gain		Unrealized (Loss)
18,342	British Pound	Barclays Bank PLC Wholesale	04/03/2012	(29,182)	$	156	$	—
53,088	British Pound	JPMorgan Chase Bank N.A	04/04/2012	(84,893)		22		—
47,028	British Pound	State Street Bank and Trust Company	04/04/2012	(75,273)		—		(52	)
78,764	British Pound	State Street Bank and Trust Company	04/03/2012	(125,684)		299		—
1,319,532	Japanese Yen	State Street Bank and Trust Company	04/04/2012	(15,931)		12		—
1,344,223	Japanese Yen	State Street Bank and Trust Company	04/03/2012	(16,313)		—		(73	)
(251,381)	Brazilian Real	State Street Bank and Trust Company	04/03/2012	137,397		—		(312	)
(49,100)	Brazilian Real	State Street Bank and Trust Company	04/02/2012	26,863		—		(35	)
(21,502)	Brazilian Real	State Street Bank and Trust Company	04/02/2012	11,764		—		(15	)
				Total	$	489	$	(487	)

International Index Fund
Foreign amount     Purchased (Sold)	Currency	Counterparty	Settlement Date	U.S. Dollar amount Purchased (Sold)	Unrealized Gain		Unrealized (Loss)
5,762	Australian Dollar	Citibank N.A.	06/20/2012	(6,000)	$	—	$	(82	)
159,822	British Pound	Citibank N.A.	06/20/2012	(253,000)		2,501		—
294,432	Euro	Citibank N.A.	06/20/2012	(386,000)		6,845		—
139,675	Hong Kong Dollar	Citibank N.A.	06/20/2012	(18,000)		—		(8	)
18,667,040	Japanese Yen	UBS AG	06/20/2012	(224,000)		1,688		—
(106,365)	Australian Dollar	Morgan Stanley and Co. Inc.	06/20/2012	110,000		767		—
(157,366)	British Pound	Morgan Stanley and Co. Inc.	06/20/2012	250,000		—		(1,576	)
(22,627,165)	Japanese Yen	UBS AG	06/20/2012	275,000		1,434		—
(94,956)	Swiss Franc	Citibank N.A.	06/20/2012	103,000		—		(2,290	)
				Total	$	13,235	$	(3,956	)

65

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

The Small Cap Index and International Index Funds had the following open futures contracts at March 31, 2012:

Fund	Type	Number of contracts	Notional     Value		Market      Value		Position	Expiration       Month	Unrealized Gain (Loss)
Small Cap Index Fund	Russell 2000 Mini	51	$	4,118,778	$	4,221,270	Long	June ‘12	$	102,492
Total									$	102,492
International Index Fund	Euro Stoxx 50	33		1,095,594		1,060,251	Long	June ‘12		(35,343	)
International Index Fund	FTSE 100 Index	10		930,642		916,434	Long	June ‘12		(14,208	)
International Index Fund	Hang Seng Index	1		134,981		131,993	Long	April ‘12		(2,988	)
International Index Fund	ASX SPI 200 Index	3		332,586		337,558	Long	June ‘12		4,972
International Index Fund	TOPIX Index	8		800,797		828,319	Long	June ‘12		27,522
Total									$	(20,045	)

(1) “S&P 500^®” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by the State Farm Mutual Fund Trust. The State Farm S&P 500 Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

(2) The Russell 2000^® Index is a trademark/service mark and Russell^® is a trademark of the Frank Russell Company, doing business as Russell Investment Group (“Russell”). The State Farm Small Cap Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by, nor in any way affiliated with Russell. Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise.

(3) The EAFE^® Free Index is a trademark, service mark and the exclusive property of Morgan Stanley Capital International, Inc. (“MSCI”) and its affiliates and has been licensed for use by the State Farm Mutual Fund Trust (the “Trust”). The State Farm International Index Fund (the “Fund”), based on the EAFE^®Free Index, has not been passed on by MSCI as to its legality or suitability, and is not issued, sponsored, endorsed, sold or promoted by MSCI. MSCI makes no warranties and bears no liability with respect to the Fund. MSCI has no responsibility for and does not participate in the management of the Fund assets or sale of the Fund shares. The Trust’s Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with the Trust and the Fund.

(4) LifePath and LifePath followed by 2020, 2030, 2040 and 2050 are registered trademarks of BlackRock Institutional Trust Company, N.A.

66

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks	Shares		Value
Consumer Discretionary - 10.6%
Auto Components - 0.3%
BorgWarner, Inc. (a)(b)		20,582	$	1,735,886
The Goodyear Tire & Rubber Co. (a)		45,685		512,585
Johnson Controls, Inc.		128,339		4,168,451
				6,416,922
Automobiles - 0.4%
Ford Motor Co.		716,549		8,949,697
Harley-Davidson, Inc.		42,992		2,110,047
				11,059,744
Distributors - 0.1%
Genuine Parts Co. (b)		29,368		1,842,842
Diversified Consumer Services - 0.1%
Apollo Group, Inc., Class A (a)		21,223		820,057
DeVry, Inc.		11,178		378,599
H&R Block, Inc.		55,064		906,904
				2,105,560
Hotels, Restaurants & Leisure - 1.9%
Carnival Corp.		85,387		2,739,215
Chipotle Mexican Grill, Inc. (a)		5,894		2,463,692
Darden Restaurants, Inc. (b)		24,197		1,237,919
International Game Technology		56,338		945,915
Marriott International, Inc., Class A (b)		50,400		1,907,640
McDonald’s Corp.		192,029		18,838,045
Starbucks Corp.		142,037		7,938,448
Starwood Hotels & Resorts Worldwide, Inc.		36,970		2,085,478
Wyndham Worldwide Corp.		27,495		1,278,792
Wynn Resorts Ltd. (b)		14,974		1,869,953
Yum! Brands, Inc.		86,801		6,178,495
				47,483,592
Household Durables - 0.2%
D.R. Horton, Inc. (b)		52,848		801,704
Harman International Industries, Inc. (b)		13,297		622,432
Leggett & Platt, Inc. (b)		26,566		611,284
Lennar Corp., Class A (b)		30,773		836,410
Newell Rubbermaid, Inc.		54,335		967,706
PulteGroup, Inc. (a)		63,362		560,754
Whirlpool Corp. (b)		14,380		1,105,247
				5,505,537
Internet & Catalog Retail - 0.9%
Amazon.com, Inc. (a)		68,636		13,899,476
Expedia, Inc. (b)		17,868		597,506
NetFlix, Inc. (a)		10,404		1,196,876
priceline.com, Inc. (a)		9,389		6,736,608
TripAdvisor, Inc. (a)		17,740		632,786
				23,063,252
Leisure Equipment & Products - 0.1%
Hasbro, Inc. (b)		21,930		805,270
Mattel, Inc.		63,929		2,151,850
				2,957,120

67

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Consumer Discretionary (Cont.)
Media - 3.1%
Cablevision Systems Corp.		41,033	$	602,364
CBS Corp., Class B		122,368		4,149,499
Comcast Corp, Class A		508,369		15,256,154
DIRECTV, Class A (a)		127,495		6,290,603
Discovery Communications, Inc. (a)		48,826		2,470,596
Gannett Co., Inc. (b)		44,609		683,856
Interpublic Group of Cos., Inc.		84,126		959,878
The McGraw-Hill Cos., Inc.		52,488		2,544,093
News Corp., Class A		405,795		7,990,104
Omnicom Group, Inc.		51,497		2,608,323
Scripps Networks Interactive, Inc., Class A		18,018		877,296
Time Warner Cable, Inc.		59,214		4,825,941
Time Warner, Inc.		182,803		6,900,813
Viacom, Inc., Class B		101,832		4,832,947
The Walt Disney Co.		337,914		14,793,875
The Washington Post Co., Class B (b)		907		338,828
				76,125,170
Multiline Retail - 0.8%
Big Lots, Inc. (a)		12,275		528,070
Dollar Tree, Inc. (a)		22,439		2,120,261
Family Dollar Stores, Inc. (b)		22,250		1,407,980
J.C. Penney Co., Inc. (b)		27,378		970,003
Kohl’s Corp. (b)		47,777		2,390,283
Macy’s, Inc.		78,109		3,103,271
Nordstrom, Inc.		30,134		1,679,066
Sears Holdings Corp. (a)(b)		7,227		478,789
Target Corp.		126,615		7,377,856
				20,055,579
Specialty Retail - 2.0%
Abercrombie & Fitch Co., Class A		16,199		803,632
AutoNation, Inc. (a)		8,570		294,037
AutoZone, Inc. (a)		5,129		1,906,962
Bed Bath & Beyond, Inc. (a)		44,659		2,937,222
Best Buy Co., Inc. (b)		53,454		1,265,791
CarMax, Inc. (a)		42,769		1,481,946
GameStop Corp., Class A (b)		25,829		564,105
The Gap, Inc.		62,506		1,633,907
The Home Depot, Inc.		290,632		14,621,696
Limited Brands, Inc. (b)		46,370		2,225,760
Lowe’s Cos., Inc. (b)		233,963		7,341,759
O’Reilly Automotive, Inc. (a)		23,947		2,187,558
Ross Stores, Inc.		43,175		2,508,468
Staples, Inc. (b)		130,568		2,112,590
Tiffany & Co.		23,951		1,655,733
The TJX Cos., Inc. (b)		142,202		5,646,841
Urban Outfitters, Inc. (a)		20,759		604,295
				49,792,302
Textiles, Apparel & Luxury Goods - 0.7%
Coach, Inc.		54,252		4,192,594
NIKE, Inc., Class B (b)		69,215		7,505,675
Ralph Lauren Corp.		12,185		2,124,211
VF Corp. (b)		16,472		2,404,583
				16,227,063
Total Consumer Discretionary				262,634,683

68

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Consumer Staples - 10.5%
Beverages - 2.4%
Beam, Inc.		29,560	$	1,731,329
Brown-Forman Corp., Class B		18,702		1,559,560
The Coca-Cola Co.		426,684		31,578,883
Coca-Cola Enterprises, Inc.		56,538		1,616,987
Constellation Brands, Inc. (a)		32,461		765,755
Dr Pepper Snapple Group, Inc.		39,979		1,607,555
Molson Coors Brewing Co., Class B		29,644		1,341,391
PepsiCo Inc.		296,114		19,647,164
				59,848,624
Food & Staples Retailing - 2.2%
Costco Wholesale Corp.		81,997		7,445,328
CVS Caremark Corp.		245,537		11,000,058
The Kroger Co. (b)		108,480		2,628,470
Safeway, Inc. (b)		50,672		1,024,081
SUPERVALU, Inc. (b)		39,885		227,743
Sysco Corp.		110,209		3,290,841
Wal-Mart Stores, Inc. (b)		329,287		20,152,364
Walgreen Co.		164,678		5,515,066
Whole Foods Market, Inc.		30,599		2,545,837
				53,829,788
Food Products - 1.7%
Archer Daniels Midland Co.		124,734		3,949,078
Campbell Soup Co. (b)		33,565		1,136,175
ConAgra Foods, Inc.		77,779		2,042,476
Dean Foods Co. (a)		34,561		418,534
General Mills, Inc.		121,533		4,794,477
H.J. Heinz Co. (b)		60,307		3,229,440
The Hershey Co.		28,920		1,773,664
Hormel Foods Corp. (b)		25,719		759,225
The J.M. Smucker Co.		21,372		1,738,826
Kellogg Co.		46,459		2,491,596
Kraft Foods, Inc., Class A		333,365		12,671,204
McCormick & Co., Inc. (b)		25,131		1,367,880
Mead Johnson Nutrition Co.		38,395		3,166,820
Sara Lee Corp.		111,526		2,401,155
Tyson Foods, Inc., Class A		54,740		1,048,271
				42,988,821
Household Products - 2.1%
The Clorox Co. (b)		24,431		1,679,631
Colgate-Palmolive Co.		90,415		8,840,779
Kimberly-Clark Corp.		74,220		5,484,116
The Procter & Gamble Co.		519,290		34,901,481
				50,906,007
Personal Products - 0.2%
Avon Products, Inc.		81,319		1,574,336
The Estee Lauder Cos., Inc., Class A		42,391		2,625,698
				4,200,034

69

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Consumer Staples (Cont.)
Tobacco - 1.9%
Altria Group, Inc.		385,668	$	11,905,571
Lorillard, Inc.		24,887		3,222,369
Philip Morris International, Inc.		324,627		28,765,198
Reynolds American, Inc.		63,073		2,613,745
				46,506,883
Total Consumer Staples				258,280,157
Energy - 10.9%
Energy Equipment & Services - 1.7%
Baker Hughes, Inc.		82,493		3,459,756
Cameron International Corp. (a)		46,409		2,451,787
Diamond Offshore Drilling, Inc.		13,070		872,423
FMC Technologies, Inc. (a)		45,071		2,272,480
Halliburton Co. (b)		174,007		5,775,292
Helmerich & Payne, Inc. (b)		20,294		1,094,861
Nabors Industries Ltd. (a)		54,575		954,517
National Oilwell Varco, Inc.		79,978		6,355,852
Noble Corp. (a)		47,538		1,781,249
Rowan Cos., Inc. (a)		23,246		765,491
Schlumberger Ltd.		251,458		17,584,458
				43,368,166
Oil, Gas & Consumable Fuels - 9.2%
Alpha Natural Resources, Inc. (a)		41,237		627,215
Anadarko Petroleum Corp.		93,968		7,361,453
Apache Corp.		72,456		7,277,481
Cabot Oil & Gas Corp.		39,629		1,235,236
Chesapeake Energy Corp. (b)		124,896		2,893,840
Chevron Corp.		372,720		39,970,493
ConocoPhillips		241,261		18,338,249
CONSOL Energy, Inc.		42,861		1,461,560
Denbury Resources, Inc. (a)		73,498		1,339,868
Devon Energy Corp.		76,184		5,418,206
El Paso Corp.		145,703		4,305,524
EOG Resources, Inc.		50,730		5,636,103
EQT Corp.		28,222		1,360,583
Exxon Mobil Corp. (b)		888,591		77,067,497
Hess Corp.		57,044		3,362,744
Marathon Oil Corp.		132,708		4,206,844
Marathon Petroleum Corp.		65,576		2,843,375
Murphy Oil Corp.		36,550		2,056,668
Newfield Exploration Co. (a)		25,093		870,225
Noble Energy, Inc.		33,358		3,261,745
Occidental Petroleum Corp.		152,909		14,561,524
Peabody Energy Corp.		51,342		1,486,864
Pioneer Natural Resources Co. (b)		23,237		2,593,017
QEP Resources, Inc.		33,582		1,024,251
Range Resources Corp.		29,757		1,730,072
Southwestern Energy Co. (a)		65,801		2,013,511
Spectra Energy Corp.		122,758		3,873,015
Sunoco, Inc.		20,254		772,690
Tesoro Corp. (a)		26,251		704,577
Valero Energy Corp.		104,705		2,698,248
The Williams Cos., Inc.		111,640		3,439,628
WPX Energy, Inc. (a)		37,189		669,774
				226,462,080
Total Energy				269,830,246

70

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Financials - 14.5%
Capital Markets - 2.0%
Ameriprise Financial, Inc.		41,904	$	2,393,976
The Bank of New York Mellon Corp.		227,135		5,480,768
BlackRock, Inc. (c)		18,923		3,877,323
The Charles Schwab Corp.		203,725		2,927,528
E*Trade Financial Corp. (a)		47,771		523,092
Federated Investors, Inc., Class B (b)		17,458		391,234
Franklin Resources, Inc. (b)		26,869		3,332,562
The Goldman Sachs Group, Inc.		93,304		11,604,218
Invesco Ltd.		83,919		2,238,120
Legg Mason, Inc.		23,572		658,366
Morgan Stanley		287,229		5,641,178
Northern Trust Corp.		45,454		2,156,792
State Street Corp.		91,972		4,184,726
T Rowe Price Group, Inc.		47,788		3,120,556
				48,530,439
Commercial Banks - 2.8%
BB&T Corp.		131,445		4,126,058
Comerica, Inc. (b)		37,194		1,203,598
Fifth Third Bancorp		173,416		2,436,495
First Horizon National Corp. (b)		48,570		504,157
Huntington Bancshares, Inc.		162,283		1,046,725
KeyCorp		179,831		1,528,563
M&T Bank Corp. (b)		23,830		2,070,350
PNC Financial Services Group, Inc. (c)		99,461		6,414,240
Regions Financial Corp.		237,784		1,566,997
SunTrust Banks, Inc.		100,524		2,429,665
U.S. Bancorp		360,266		11,413,227
Wells Fargo & Co.		994,170		33,940,964
Zions BanCorp.		34,845		747,774
				69,428,813
Consumer Finance - 0.9%
American Express Co.		191,326		11,070,122
Capital One Financial Corp.		104,337		5,815,745
Discover Financial Services		99,934		3,331,800
SLM Corp.		96,099		1,514,520
				21,732,187
Diversified Financial Services - 3.3%
Bank of America Corp.		2,023,382		19,363,766
Citigroup, Inc.		552,142		20,180,790
CME Group, Inc.		12,527		3,624,437
IntercontinentalExchange, Inc. (a)		13,685		1,880,593
JPMorgan Chase & Co. (b)		719,691		33,091,392
Leucadia National Corp.		37,468		977,915
Moody’s Corp.		37,008		1,558,037
The NASDAQ OMX Group, Inc. (a)		23,608		611,447
NYSE Euronext		48,640		1,459,686
				82,748,063

71

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Financials (Cont.)
Insurance - 3.4%
ACE Ltd.		63,562	$	4,652,738
Aflac, Inc.		88,059		4,049,833
The Allstate Corp. (b)		93,973		3,093,591
American International Group, Inc. (a)		101,429		3,127,056
Aon Corp.		61,303		3,007,525
Assurant, Inc.		16,534		669,627
Berkshire Hathaway, Inc., Class B (a)		331,476		26,899,277
Chubb Corp.		51,114		3,532,489
Cincinnati Financial Corp. (b)		30,642		1,057,455
Genworth Financial, Inc., Class A (a)		92,111		766,364
Hartford Financial Services Group, Inc. (b)		82,853		1,746,541
Lincoln National Corp. (b)		54,859		1,446,083
Loews Corp.		57,603		2,296,632
Marsh & McLennan Cos., Inc.		102,447		3,359,237
MetLife, Inc.		199,902		7,466,340
Principal Financial Group, Inc.		56,828		1,676,994
The Progressive Corp. (b)		115,420		2,675,436
Prudential Financial, Inc.		88,608		5,616,861
Torchmark Corp.		18,898		942,065
The Travelers Cos., Inc.		74,104		4,386,957
Unum Group (b)		54,603		1,336,682
XL Group Plc		59,463		1,289,753
				85,095,536
Real Estate Investment Trusts (REITs) - 1.9%
American Tower Corp.		74,226		4,677,723
Apartment Investment & Management Co.		22,715		599,903
AvalonBay Communities, Inc.		17,949		2,537,091
Boston Properties, Inc.		27,954		2,934,890
Equity Residential (b)		56,603		3,544,480
HCP, Inc. (b)		77,204		3,046,470
Health Care REIT, Inc.		39,641		2,178,669
Host Hotels & Resorts, Inc. (b)		133,388		2,190,231
Kimco Realty Corp. (b)		76,804		1,479,245
Plum Creek Timber Co., Inc.		30,518		1,268,328
ProLogis, Inc.		86,527		3,116,703
Public Storage		26,803		3,703,370
Simon Property Group, Inc.		57,737		8,411,126
Ventas, Inc. (b)		54,467		3,110,066
Vornado Realty Trust (b)		34,892		2,937,906
Weyerhaeuser Co.		101,140		2,216,989
				47,953,190
Real Estate Management & Development - 0.1%
CB Richard Ellis Group Inc. (a)		61,947		1,236,462
Thrifts & Mortgage Finance - 0.1%
Hudson City Bancorp, Inc. (b)		99,104		724,450
People’s United Financial, Inc.		67,461		893,184
				1,617,634
Total Financials				358,342,324
Health Care - 11.1%
Biotechnology - 1.2%
Amgen, Inc. (b)		149,208		10,144,652

72

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Health Care (Cont.)
Biotechnology (Cont.)
Biogen Idec, Inc. (a)		45,006	$	5,669,406
Celgene Corp. (a)		82,728		6,413,074
Gilead Sciences, Inc. (a)		142,775		6,974,559
				29,201,691
Health Care Equipment & Supplies - 1.7%
Baxter International, Inc.		105,641		6,315,219
Becton Dickinson & Co. (b)		39,623		3,076,726
Boston Scientific Corp. (a)		273,200		1,633,736
C.R. Bard, Inc.		15,826		1,562,343
CareFusion Corp. (a)		42,442		1,100,521
Covidien Plc		91,122		4,982,551
DENTSPLY International, Inc. (b)		26,663		1,069,986
Edwards Lifesciences Corp. (a)		21,697		1,578,023
Intuitive Surgical, Inc. (a)		7,410		4,014,367
Medtronic, Inc. (b)		196,181		7,688,333
St. Jude Medical, Inc.		60,413		2,676,900
Stryker Corp. (b)		61,056		3,387,387
Varian Medical Systems, Inc. (a)		21,323		1,470,434
Zimmer Holdings, Inc.		33,506		2,153,766
				42,710,292
Health Care Providers & Services - 2.1%
Aetna, Inc.		66,084		3,314,773
AmerisourceBergen Corp.		48,607		1,928,726
Cardinal Health, Inc.		65,169		2,809,435
Cigna Corp.		54,014		2,660,189
Coventry Health Care, Inc.		26,640		947,585
DaVita, Inc. (a)		17,680		1,594,206
Express Scripts, Inc. (a)		91,393		4,951,673
Humana, Inc.		30,927		2,860,129
Laboratory Corp. of America Holdings (a)		18,295		1,674,724
McKesson Corp.		46,397		4,072,265
Medco Health Solutions, Inc. (a)		73,172		5,143,992
Patterson Cos., Inc.		16,404		547,894
Quest Diagnostics Inc. (b)		29,856		1,825,694
Tenet Healthcare Corp. (a)(b)		77,820		413,224
UnitedHealth Group, Inc. (b)		197,006		11,611,534
WellPoint, Inc.		63,109		4,657,444
				51,013,487
Health Care Technology - 0.1%
Cerner Corp. (a)		27,510		2,095,162
Life Sciences Tools & Services - 0.4%
Agilent Technologies, Inc. (b)		65,535		2,916,963
Life Technologies Corp. (a)		33,634		1,642,012
PerkinElmer, Inc.		21,231		587,249
Thermo Fisher Scientific, Inc.		68,973		3,888,698
Waters Corp. (a)		16,821		1,558,634
				10,593,556
Pharmaceuticals - 5.6%
Abbott Laboratories (b)		296,437		18,168,624
Allergan, Inc. (b)		57,396		5,477,300
Bristol-Myers Squibb Co. (b)		318,257		10,741,174
Eli Lilly & Co. (b)		192,517		7,752,659
Forest Laboratories, Inc. (a)		50,127		1,738,906
Hospira, Inc. (a)		31,099		1,162,792
Johnson & Johnson (b)		517,533		34,136,477
Merck & Co., Inc.		573,889		22,037,337

73

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Health Care (Cont.)
Pharmaceuticals (Cont.)
Mylan, Inc. (a)		80,489	$	1,887,467
Perrigo Co. (b)		17,594		1,817,636
Pfizer, Inc. (b)		1,421,245		32,205,412
Watson Pharmaceuticals, Inc. (a)		24,009		1,610,043
				138,735,827
Total Health Care				274,350,015
Industrials - 10.2%
Aerospace & Defense - 2.5%
The Boeing Co.		140,591		10,455,753
General Dynamics Corp.		67,271		4,936,346
Goodrich Corp.		23,717		2,975,060
Honeywell International, Inc.		146,179		8,924,228
L-3 Communications Holdings, Inc.		18,641		1,319,224
Lockheed Martin Corp.		50,259		4,516,274
Northrop Grumman Corp. (b)		47,653		2,910,645
Precision Castparts Corp.		27,367		4,731,754
Raytheon Co. (b)		64,074		3,381,826
Rockwell Collins, Inc.		27,975		1,610,241
Textron, Inc. (b)		52,786		1,469,034
United Technologies Corp.		171,593		14,231,923
				61,462,308
Air Freight & Logistics - 1.0%
C.H. Robinson Worldwide, Inc.		30,794		2,016,699
Expeditors International of Washington, Inc.		39,983		1,859,609
FedEx Corp.		59,289		5,452,216
United Parcel Service, Inc., Class B (b)		180,748		14,589,979
				23,918,503
Airlines - 0.0%
Southwest Airlines Co. (b)		145,326		1,197,486
Building Products - 0.0%
Masco Corp. (b)		66,981		895,536
Commercial Services & Supplies - 0.4%
Avery Dennison Corp. (b)		19,913		599,979
Cintas Corp. (b)		20,689		809,354
Iron Mountain, Inc.		32,273		929,462
Pitney Bowes, Inc. (b)		37,515		659,514
R.R. Donnelley & Sons Co. (b)		33,867		419,612
Republic Services, Inc.		59,310		1,812,514
Stericycle, Inc. (a)		15,993		1,337,654
Waste Management, Inc. (b)		86,979		3,040,786
				9,608,875
Construction & Engineering - 0.2%
Fluor Corp.		31,887		1,914,495
Jacobs Engineering Group, Inc. (a)		24,305		1,078,413
Quanta Services, Inc. (a)		40,040		836,836
				3,829,744
Electrical Equipment - 0.5%
Cooper Industries Plc, Class A		29,882		1,910,954
Emerson Electric Co.		138,462		7,224,947
Rockwell Automation, Inc.		26,844		2,139,467
Roper Industries, Inc.		18,269		1,811,554
				13,086,922

74

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Industrials (Cont.)
Industrial Conglomerates - 2.5%
3M Co.		130,942	$	11,681,336
Danaher Corp. (b)		107,859		6,040,104
General Electric Co.		1,994,898		40,037,603
Tyco International Ltd.		86,904		4,882,266
				62,641,309
Machinery - 2.0%
Caterpillar, Inc.		122,080		13,003,962
Cummins, Inc.		36,184		4,343,527
Deere & Co.		75,756		6,128,660
Dover Corp.		34,699		2,183,955
Eaton Corp.		63,098		3,144,173
Flowserve Corp.		10,268		1,186,057
Illinois Tool Works, Inc.		91,205		5,209,630
Ingersoll-Rand Plc		56,174		2,322,795
Joy Global, Inc. (b)		19,965		1,467,428
PACCAR, Inc. (b)		67,280		3,150,722
Pall Corp. (b)		21,799		1,299,874
Parker Hannifin Corp.		28,449		2,405,363
Snap-on, Inc. (b)		10,967		668,658
Stanley Black & Decker, Inc.		31,964		2,459,950
Xylem, Inc.		34,683		962,453
				49,937,207
Professional Services - 0.1%
The Dun & Bradstreet Corp.		9,019		764,180
Equifax, Inc.		22,601		1,000,320
Robert Half International, Inc. (b)		26,658		807,738
				2,572,238
Road & Rail - 0.8%
CSX Corp.		198,379		4,269,116
Norfolk Southern Corp.		62,240		4,097,259
Ryder System, Inc.		9,584		506,035
Union Pacific Corp.		90,507		9,727,693
				18,600,103
Trading Companies & Distributors - 0.2%
Fastenal Co. (b)		55,666		3,011,531
W.W. Grainger, Inc. (b)		11,499		2,470,100
				5,481,631
Total Industrials				253,231,862
Information Technology - 19.9%
Communications Equipment - 2.2%
Cisco Systems, Inc.		1,015,413		21,475,985
F5 Networks, Inc. (a)		14,940		2,016,302
Harris Corp. (b)		21,480		968,318
JDS Uniphase Corp. (a)		43,105		624,592
Juniper Networks, Inc. (a)		99,230		2,270,382
Motorola Mobility Holdings, Inc. (a)		49,690		1,949,836
Motorola Solutions, Inc.		55,469		2,819,489
QUALCOMM, Inc.		318,884		21,690,490
				53,815,394

75

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Information Technology (Cont.)
Computers & Peripherals - 5.6%
Apple, Inc. (a)		175,782	$	105,376,035
Dell, Inc. (a)		287,885		4,778,891
EMC Corp. (a)		387,066		11,565,532
Hewlett-Packard Co.		372,594		8,878,915
Lexmark International, Inc., Class A (b)		13,338		443,355
NetApp, Inc. (a)		68,431		3,063,656
SanDisk Corp. (a)		45,696		2,266,065
Western Digital Corp. (a)		44,125		1,826,334
				138,198,783
Electronic Equipment, Instruments & Components - 0.4%
Amphenol Corp., Class A		30,737		1,837,150
Corning, Inc.		286,911		4,039,707
FLIR Systems, Inc.		29,047		735,180
Jabil Circuit, Inc. (b)		34,913		877,015
Molex, Inc. (b)		25,752		724,146
TE Connectivity Ltd.		80,344		2,952,642
				11,165,840
Internet Software & Services - 1.8%
Akamai Technologies, Inc. (a)		33,517		1,230,074
eBay, Inc. (a)		215,932		7,965,732
Google, Inc., Class A (a)		47,813		30,659,608
VeriSign, Inc.		30,167		1,156,603
Yahoo!, Inc. (a)		228,820		3,482,640
				44,494,657
IT Services - 3.8%
Accenture Plc, Class A		122,018		7,870,161
Automatic Data Processing, Inc.		92,486		5,104,302
Cognizant Technology Solutions Corp., Class A (a)		57,194		4,401,078
Computer Sciences Corp. (b)		29,133		872,242
Fidelity National Information Services, Inc.		44,162		1,462,646
Fiserv, Inc. (a)		26,079		1,809,622
International Business Machines Corp.		218,445		45,578,549
MasterCard, Inc., Class A		20,035		8,425,519
Paychex, Inc.		60,807		1,884,409
SAIC, Inc. (a)		51,745		683,034
Teradata Corp. (a)		31,558		2,150,678
Total System Services, Inc.		30,251		697,891
Visa, Inc., Class A		93,784		11,066,512
The Western Union Co. (b)		116,944		2,058,214
				94,064,857
Office Electronics - 0.1%
Xerox Corp. (b)		250,533		2,024,307
Semiconductors & Semiconductor Equipment - 2.3%
Advanced Micro Devices, Inc. (a)		111,116		891,150
Altera Corp.		60,774		2,420,021
Analog Devices, Inc. (b)		56,147		2,268,339
Applied Materials, Inc.		243,482		3,028,916
Broadcom Corp., Class A (a)		92,471		3,634,110
First Solar, Inc. (a)(b)		10,949		274,272
Intel Corp. (b)		941,900		26,476,809
KLA-Tencor Corp.		31,452		1,711,618

76

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Information Technology (Cont.)
Semiconductors & Semiconductor Equipment (Cont.)
Linear Technology Corp.		43,221	$	1,456,548
LSI Corp. (a)		107,322		931,555
Microchip Technology, Inc. (b)		36,274		1,349,393
Micron Technology, Inc. (a)		186,330		1,509,273
Novellus Systems, Inc. (a)		13,412		669,393
NVIDIA Corp. (a)		115,174		1,772,528
Teradyne, Inc. (a)		34,890		589,292
Texas Instruments, Inc.		215,859		7,255,021
Xilinx, Inc.		49,364		1,798,330
				58,036,568
Software - 3.7%
Adobe Systems, Inc. (a)		93,093		3,194,021
Autodesk, Inc. (a)		42,585		1,802,197
BMC Software, Inc. (a)		30,946		1,242,791
CA, Inc.		68,533		1,888,769
Citrix Systems, Inc. (a)		34,986		2,760,745
Electronic Arts, Inc. (a)		62,696		1,033,230
Intuit, Inc.		55,597		3,343,048
Microsoft Corp.		1,407,911		45,405,130
Oracle Corp.		739,069		21,551,252
Red Hat, Inc. (a)		36,412		2,180,715
Salesforce.com, Inc. (a)		25,640		3,961,636
Symantec Corp. (a)		137,721		2,575,383
				90,938,917
Total Information Technology				492,739,323
Materials - 3.4%
Chemicals - 2.2%
Air Products & Chemicals, Inc.		39,705		3,644,919
Airgas, Inc.		12,997		1,156,343
CF Industries Holdings, Inc. (b)		12,344		2,254,632
The Dow Chemical Co. (b)		223,476		7,741,209
E.I. du Pont de Nemours & Co.		175,756		9,297,492
Eastman Chemical Co.		25,853		1,336,342
Ecolab, Inc. (b)		54,913		3,389,230
FMC Corp. (b)		13,147		1,391,741
International Flavors & Fragrances, Inc.		15,334		898,572
Monsanto Co.		100,941		8,051,054
The Mosaic Co.		56,140		3,103,981
PPG Industries, Inc.		28,687		2,748,215
Praxair, Inc.		56,259		6,449,532
The Sherwin-Williams Co.		16,306		1,771,973
Sigma-Aldrich Corp. (b)		22,773		1,663,795
				54,899,030
Construction Materials - 0.1%
Vulcan Materials Co. (b)		24,418		1,043,381
Containers & Packaging - 0.1%
Ball Corp.		29,418		1,261,444
Bemis Co., Inc. (b)		19,559		631,560
Owens-Illinois, Inc. (a)		30,834		719,666
Sealed Air Corp.		36,058		696,280
				3,308,950
Metals & Mining - 0.8%
Alcoa, Inc.		200,980		2,013,820
Allegheny Technologies, Inc.		20,214		832,210

77

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Materials (Cont.)
Metals & Mining (Cont.)
Cliffs Natural Resources, Inc. (b)		26,814	$	1,857,138
Freeport-McMoRan Copper & Gold, Inc.		178,701		6,797,786
Newmont Mining Corp.		93,333		4,785,183
Nucor Corp. (b)		59,740		2,565,833
Titanium Metals Corp. (b)		15,416		209,041
United States Steel Corp. (b)		27,023		793,665
				19,854,676
Paper & Forest Products - 0.2%
International Paper Co.		82,400		2,892,240
MeadWestvaco Corp.		32,360		1,022,252
				3,914,492
Total Materials				83,020,529
Telecommunication Services - 2.7%
Diversified Telecommunication Services - 2.5%
AT&T, Inc. (b)		1,117,754		34,907,457
CenturyLink, Inc.		116,813		4,514,822
Frontier Communications Corp. (b)		188,663		786,725
Verizon Communications, Inc.		534,583		20,437,108
Windstream Corp. (b)		110,756		1,296,953
				61,943,065
Wireless Telecommunication Services - 0.2%
Crown Castle International Corp. (a)		47,197		2,517,488
MetroPCS Communications, Inc. (a)		54,932		495,487
Sprint Nextel Corp. (a)		565,397		1,611,381
				4,624,356
Total Telecommunication Services				66,567,421
Utilities - 3.3%
Electric Utilities - 1.8%
American Electric Power Co., Inc.		91,137		3,516,066
Duke Energy Corp. (b)		251,839		5,291,137
Edison International (b)		61,422		2,611,049
Entergy Corp.		33,297		2,237,559
Exelon Corp.		160,461		6,291,676
FirstEnergy Corp.		78,843		3,594,452
NextEra Energy, Inc. (b)		78,467		4,792,764
Northeast Utilities (b)		33,512		1,243,966
Pepco Holdings, Inc. (b)		43,151		815,122
Pinnacle West Capital Corp.		20,496		981,758
PPL Corp.		109,199		3,085,964
Progress Energy, Inc.		55,655		2,955,837
Southern Co.		163,373		7,340,349
				44,757,699
Gas Utilities - 0.1%
AGL Resources, Inc.		22,191		870,331
ONEOK, Inc.		19,600		1,600,536
				2,470,867
Independent Power Producers & Energy Traders - 0.1%
The AES Corp. (a)(b)		121,399		1,586,685
NRG Energy, Inc. (a)		42,882		671,961
				2,258,646

78

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Utilities (Cont.)
Multi-Utilities - 1.3%
Ameren Corp.		45,802	$	1,492,229
Centerpoint Energy, Inc.		80,402		1,585,528
CMS Energy Corp. (b)		48,669		1,070,718
Consolidated Edison, Inc.		55,215		3,225,660
Dominion Resources, Inc. (b)		107,484		5,504,256
DTE Energy Co.		31,945		1,757,933
Integrys Energy Group, Inc. (b)		14,661		776,886
NiSource, Inc. (b)		53,312		1,298,147
PG&E Corp.		77,690		3,372,523
Public Service Enterprise Group, Inc. (b)		95,401		2,920,225
SCANA Corp. (b)		21,769		992,884
Sempra Energy (b)		45,357		2,719,606
TECO Energy, Inc.		40,517		711,073
Wisconsin Energy Corp. (b)		43,445		1,528,395
Xcel Energy, Inc.		91,777		2,429,337
				31,385,400
Total Utilities				80,872,612
Total Long-Term Investments
(Cost - $ 1,788,250,854) - 97.1%				2,399,869,172
Short-Term Securities
Money Market Funds - 13.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)(e)		257,702,518		257,702,518
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)(e)		78,052,833		78,052,833
				335,755,351
	Par (000)		Value
U.S. Treasury Obligations - 0.2%
U.S. Treasury Bill, 0.08%, 6/21/12 (f)(g)	$	4,155		4,154,431
Total Short-Term Securities
(Cost - $ 339,909,487) - 13.8 %				339,909,782
Total Investments
(Cost - $2,128,160,341*) - 110.9 %				2,739,778,954
Liabilities in Excess of Other Assets - (10.9)%				(268,931,189	)
Net Assets - 100.0%			$	2,470,847,765

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,128,160,342
Gross unrealized appreciation	$	808,354,131
Gross unrealized depreciation		(196,735,519	)
Net unrealized appreciation	$	611,618,612

(a) Non-income producing security.

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

79

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(c) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2011		Shares Purchased			Shares Sold			Shares Held at March 31, 2012		Value at March 31, 2012		Realized (Loss)			Income
BlackRock Cash Funds: Institutional, SL Agency Shares		170,771,686		86,930,832	1		—			257,702,518	$	257,702,518		—		$	121,300
BlackRock Cash Funds: Prime, SL Agency Shares		53,764,558		24,288,275	1		—			78,052,833	$	78,052,833		—		$	38,939
BlackRock, Inc.		18,408		1,090			(575	)		18,923	$	3,877,323	$	(10,782	)	$	28,032
PNC Financial Services Group, Inc.		96,666		5,820			(3,025	)		99,461	$	6,414,240	$	(38,344	)	$	33,611

¹  Represents net shares purchased.

(d) Represents the current yield as of report date.

(e) All or a portion of this security was purchased with the cash collateral from loaned securities.

(f) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

(g) Rate shown is the yield to maturity as of the date of purchase.

• For Master Portfolio compliance purposes, the Master Portfolio’s sector and industry classifications refer to any one or more of the sector and industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of March 31, 2012 were as follows:

Contracts	Issue		Exchange		Expiration		Notional Value		Unrealized Appreciation
1,001		S&P 500 Index		Chicago		June 2012	$	70,232,663	$	2,009,746

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 Portfolio’s policy

80

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following tables summarize the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1:
Common Stocks	$	2,399,869,172		—		—	$	2,399,869,172
Short-Term Securities:
Money Market Funds		335,755,351		—		—		335,755,351
U.S. Treasury Obligations		—	$	4,154,431		—		4,154,431
Total	$	2,735,624,523	$	4,154,431		—	$	2,739,778,954
1         See above Schedule of Investments for values in each sector and industry. Derivative Financial Instruments2
Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Equity Contracts	$	2,009,746		—		—	$	2,009,746

²  Derivative financial instruments are financial futures contracts. Financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $272,706,526 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

81

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 37.8%
Active Stock Master Portfolio	$	302,009,049	$	302,009,049
ACWI ex-US Index Master Portfolio	$	6,186,094		6,186,094
iShares Cohen & Steers Realty Majors Index Fund		29,014		2,223,633
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		61,659		1,772,080
iShares MSCI Canada Index Fund		488,978		13,857,636
iShares MSCI EAFE Index Fund		1,729,494		94,949,220
iShares MSCI EAFE Small Cap Index Fund (b)		354,938		14,243,662
iShares MSCI Emerging Markets Index Fund		883,753		37,948,354
Master Small Cap Index Series	$	60,230,689		60,230,689
				533,420,417
Fixed Income Funds - 61.6%
CoreAlpha Bond Master Portfolio	$	742,941,203		742,941,203
iShares Barclays TIPS Bond Fund		1,066,484		125,471,843
				868,413,046
Short-Term Securities - 0.8%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)		9,490,105		9,490,105
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)		2,186,672		2,186,672
				11,676,777
Total Affiliated Investment Companies
(Cost - $ 1,135,946,617*) - 100.2 %				1,413,510,240
Liabilities in Excess of Other Assets - (0.2)%				(2,798,286	)
Net Assets - 100.0%			$	1,410,711,954

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Aggregate cost	$	1,138,268,585
Gross unrealized appreciation	$	277,563,623
Gross unrealized depreciation		(2,321,968	)
Net unrealized appreciation	$	275,241,655

82

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(a) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2011		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2012		Value at March 31, 2012		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	298,043,934	$	3,965,115	1		—		$	302,009,049	$	302,009,049	$	7,902,240		$	1,557,659
ACWI ex-US Index Master Portfolio	$	5,548,263	$	637,831	1		—		$	6,186,094	$	6,186,094	$	14,287		$	24,013
BlackRock Cash Funds: Institutional, SL Agency Shares		19,603,098		—			(10,112,993	)2		9,490,105	$	9,490,105		—		$	10,685
BlackRock Cash Funds: Prime, SL Agency Shares		5,266,000		—			(3,079,328	)2		2,186,672	$	2,186,672		—		$	3,660
CoreAlpha Bond Master Portfolio	$	725,793,169	$	17,148,034	1		—		$	742,941,203	$	742,941,203	$	(1,022,845	)	$	5,420,811
iShares Barclays TIPS Bond Fund		1,059,111		10,752			(3,379	)		1,066,484	$	125,471,843	$	36,137			—
iShares Cohen & Steers Realty Majors Index Fund		19,438		9,576			—			29,014	$	2,223,633		—		$	11,565
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		59,926		1,733			—			61,659	$	1,772,080		—		$	12,977
iShares MSCI Canada Index Fund		520,174		—			(31,196	)		488,978	$	13,857,636	$	(118,873	)		—
iShares MSCI EAFE Index Fund		1,903,131		—			(173,637	)		1,729,494	$	94,949,220	$	176,486			—
iShares MSCI EAFE Small Cap Index Fund		354,938		—			—			354,938	$	14,243,662		—			—
iShares MSCI Emerging Markets Index Fund		939,069		—			(55,316	)		883,753	$	37,948,354	$	(273,022	)		—
Master Small Cap Index Series	$	59,483,717	$	746,972	1		—		$	60,230,689	$	60,230,689	$	(491,045	)	$	274,461

¹  Represents net shares/beneficial interest purchased.

²  Represents net shares sold.

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

(c) Represents the current yield as of report date.

(d) All or a portion of this security was purchased with the cash collateral from loaned securities.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

83

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	302,143,205	$	1,111,367,035		—	$	1,413,510,240

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $7,639,950 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

84

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/ Beneficial Interest		Value
Equity Funds - 54.7%
Active Stock Master Portfolio	$	767,597,315	$	767,597,315
ACWI ex-US Index Master Portfolio	$	7,756,021		7,756,021
iShares Cohen & Steers Realty Majors Index Fund (b)		519,993		39,852,264
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		1,556,485		44,733,379
iShares MSCI Canada Index Fund (b)		1,190,355		33,734,661
iShares MSCI EAFE Index Fund (b)		4,277,066		234,810,923
iShares MSCI EAFE Small Cap Index Fund		848,248		34,040,192
iShares MSCI Emerging Markets Index Fund		2,161,543		92,816,656
Master Small Cap Index Series	$	86,612,595		86,612,595
				1,341,954,006
Fixed Income Funds - 44.4%
CoreAlpha Bond Master Portfolio	$	937,420,830		937,420,830
iShares Barclays TIPS Bond Fund (b)		1,289,423		151,700,616
				1,089,121,446
Short-Term Securities - 1.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)		31,857,038		31,857,038
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)		10,558,405		10,558,405
				42,415,443
Total Affiliated Investment Companies
(Cost - $ 2,055,747,260*) - 100.8 %				2,473,490,895
Liabilities in Excess of Other Assets - (0.8)%				(18,755,880	)
Net Assets - 100.0%			$	2,454,735,015

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Aggregate cost	$	2,075,012,239
Gross unrealized appreciation	$	418,572,263
Gross unrealized depreciation		(20,093,607	)
Net unrealized appreciation	$	398,478,656

85

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(a) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2011		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2012		Value at March 31, 2012		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	748,693,513	$	18,903,802	1		—		$	767,597,315	$	767,597,315	$	20,257,878		$	3,967,713
ACWI ex-US Index Master Portfolio	$	5,969,722	$	1,786,299	1		—		$	7,756,021	$	7,756,021	$	17,913		$	30,107
BlackRock Cash Funds: Institutional, SL Agency Shares		101,724,838		—			(69,867,800	)2		31,857,038	$	31,857,038		—		$	27,524
BlackRock Cash Funds: Prime, SL Agency Shares		32,812,403		—			(22,253,998	)2		10,558,405	$	10,558,405		—		$	9,974
CoreAlpha Bond Master Portfolio	$	877,647,887	$	59,772,943	1		—		$	937,420,830	$	937,420,830	$	(1,284,191	)	$	6,695,212
iShares Barclays TIPS Bond Fund		1,219,031		80,364			(9,972	)		1,289,423	$	151,700,616	$	97,486			—
iShares Cohen & Steers Realty Majors Index Fund		513,326		33,686			(27,019	)		519,993	$	39,852,264	$	(66,230	)	$	289,345
iShares FTSE EPRA/ NAREIT Developed Real Estate ex-U.S. Index Fund		1,583,649		27,720			(54,884	)		1,556,485	$	44,733,379	$	(443,379	)	$	331,057
iShares MSCI Canada Index Fund		1,190,355		—			—			1,190,355	$	33,734,661	$	—			—
iShares MSCI EAFE Index Fund		4,619,681		11,401			(354,016	)		4,277,066	$	234,810,923	$	(644,202	)		—
iShares MSCI EAFE Small Cap Index Fund		848,248		—			—			848,248	$	34,040,192		—			—
iShares MSCI Emerging Markets Index Fund		2,251,118		—			(89,575	)		2,161,543	$	92,816,656	$	(638,856	)		—
Master Small Cap Index Series	$	86,267,134	$	345,461	1		—		$	86,612,595	$	86,612,595	$	(706,130	)	$	394,679

¹  Represents net shares/beneficial interest purchased.

²  Represents net shares sold.

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

(c) Represents the current yield as of report date.

(d) All or a portion of this security was purchased with the cash collateral from loaned securities.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

86

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	674,104,134	$	1,799,386,761		—	$	2,473,490,895

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $36,889,705 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

87

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 70.4%
Active Stock Master Portfolio	$	871,069,414	$	871,069,414
ACWI ex-US Index Master Portfolio	$	13,900,508		13,900,508
iShares Cohen & Steers Realty Majors Index Fund		830,503		63,649,750
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		2,485,082		71,421,257
iShares MSCI Canada Index Fund		1,264,401		35,833,124
iShares MSCI EAFE Index Fund (b)		4,658,558		255,754,834
iShares MSCI EAFE Small Cap Index Fund		909,785		36,509,672
iShares MSCI Emerging Markets Index Fund		2,374,861		101,976,532
Master Small Cap Index Series	$	63,918,793		63,918,793
				1,514,033,884
Fixed Income Funds - 28.7%
CoreAlpha Bond Master Portfolio	$	538,454,302		538,454,302
iShares Barclays TIPS Bond Fund		666,230		78,381,959
				616,836,261
Short-Term Securities - 3.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)		47,822,332		47,822,332
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)		17,274,314		17,274,314
				65,096,646
Total Affiliated Investment Companies
(Cost - $ 1,851,676,633*) - 102.1 %				2,195,966,791
Liabilities in Excess of Other Assets - (2.1)%				(45,592,951	)
Net Assets - 100.0%			$	2,150,373,840

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Aggregate cost	$	1,878,447,128
Gross unrealized appreciation	$	344,911,783
Gross unrealized depreciation		(27,392,120	)
Net unrealized appreciation	$	317,519,663

88

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(a) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2011		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2012		Value at March 31, 2012		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	828,107,242	$	42,962,172	1		—		$	871,069,414	$	871,069,414	$	22,714,781		$	4,439,406
ACWI ex-US Index Master Portfolio	$	6,940,554	$	6,959,954	1		—		$	13,900,508	$	13,900,508	$	32,104		$	53,958
BlackRock Cash Funds: Institutional, SL Agency Shares		57,414,496		—			(9,592,164	)2		47,822,332	$	47,822,332		—		$	24,681
BlackRock Cash Funds: Prime, SL Agency Shares		18,184,839		—			(910,525	)2		17,274,314	$	17,274,314		—		$	8,960
CoreAlpha Bond Master Portfolio	$	483,730,118	$	54,724,184	1		—		$	538,454,302	$	538,454,302	$	(767,515	)	$	3,771,338
iShares Barclays TIPS Bond Fund		647,298		20,621			(1,689	)		666,230	$	78,381,959	$	12,406			—
iShares Cohen & Steers Realty Majors Index Fund		779,965		65,390			(14,852	)		830,503	$	63,649,750	$	(94,499	)	$	455,230
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		2,439,821		154,193			(108,932	)		2,485,082	$	71,421,257	$	(1,058,474	)	$	504,759
iShares MSCI Canada Index Fund		1,299,183		—			(34,782	)		1,264,401	$	35,833,124	$	(151,226	)		—
iShares MSCI EAFE Index Fund		4,939,362		35,713			(316,517	)		4,658,558	$	255,754,834	$	(2,463,220	)		—
iShares MSCI EAFE Small Cap Index Fund		909,785		—			—			909,785	$	36,509,672		—			—
iShares MSCI Emerging Markets Index Fund		2,471,377		42,229			(138,745	)		2,374,861	$	101,976,532	$	(1,051,211	)		—
Master Small Cap Index Series	$	62,185,765	$	1,733,028	1		—		$	63,918,793	$	63,918,793	$	(521,113	)	$	291,267

¹  Represents net shares/beneficial interest purchased.

²  Represents net shares sold.

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

(c) Represents the current yield as of report date.

(d) All or a portion of this security was purchased with the cash collateral from loaned securities.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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

89

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	708,623,774	$	1,487,343,017		—	$	2,195,966,791

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $60,354,225 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

90

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 83.5%
Active Stock Master Portfolio	$	790,501,899	$	790,501,899
ACWI ex-US Index Master Portfolio	$	11,680,239		11,680,239
iShares Cohen & Steers Realty Majors Index Fund (b)		862,831		66,127,368
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		2,582,267		74,214,354
iShares MSCI Canada Index Fund		1,113,860		31,566,792
iShares MSCI EAFE Index Fund (b)		4,162,170		228,503,133
iShares MSCI EAFE Small Cap Index Fund		805,247		32,314,562
iShares MSCI Emerging Markets Index Fund		2,106,786		90,465,391
Master Small Cap Index Series	$	42,697,069		42,697,069
				1,368,070,807
Fixed Income Funds - 16.0%
CoreAlpha Bond Master Portfolio	$	238,137,640		238,137,640
iShares Barclays TIPS Bond Fund		199,325		23,450,586
				261,588,226
Short-Term Securities - 2.3%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)		28,720,259		28,720,259
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)		9,645,476		9,645,476
				38,365,735
Total Affiliated Investment Companies
(Cost - $ 1,417,165,179*) - 101.8 %				1,668,024,768
Liabilities in Excess of Other Assets - (1.8)%				(29,859,553	)
Net Assets - 100.0%			$	1,638,165,215

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Aggregate cost	$	1,445,127,708
Gross unrealized appreciation	$	250,934,214
Gross unrealized depreciation		(28,037,154	)
Net unrealized appreciation	$	222,897,060

91

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(a) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2011		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2012		Value at March 31, 2012		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	736,182,388	$	54,319,511	1		—		$	790,501,899	$	790,501,899	$	20,373,131		$	3,968,096
ACWI ex-US Index Master Portfolio	$	6,288,397	$	5,391,842	1		—		$	11,680,239	$	11,680,239	$	26,976		$	45,339
BlackRock Cash Funds: Institutional, SL Agency Shares		46,040,413		—			(17,320,154	)2		28,720,259	$	28,720,259		—		$	14,960
BlackRock Cash Funds: Prime, SL Agency Shares		14,394,378		—			(4,748,902	)2		9,645,476	$	9,645,476		—		$	5,305
CoreAlpha Bond Master Portfolio	$	203,336,372	$	34,801,268	1		—		$	238,137,640	$	238,137,640	$	(335,464	)	$	1,641,243
iShares Barclays TIPS Bond Fund		180,235		19,090			—			199,325	$	23,450,586		—			—
iShares Cohen & Steers Realty Majors Index Fund		795,460		67,371			—			862,831	$	66,127,368		—		$	473,286
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		2,481,690		116,078			(15,501	)		2,582,267	$	74,214,354	$	(127,247	)	$	534,058
iShares MSCI Canada Index Fund		1,113,860		—			—			1,113,860	$	31,566,792		—			—
iShares MSCI EAFE Index Fund		4,317,966		26,362			(182,158	)		4,162,170	$	228,503,133	$	(2,925,338	)		—
iShares MSCI EAFE Small Cap Index Fund		796,836		8,411			—			805,247	$	32,314,562		—			—
iShares MSCI Emerging Markets Index Fund		2,136,980		15,196			(45,390	)		2,106,786	$	90,465,391	$	(260,025	)		—
Master Small Cap Index Series	$	40,190,017	$	2,507,052	1		—		$	42,697,069	$	42,697,069	$	(348,098	)	$	194,563

¹  Represents net shares/beneficial interest purchased.

²  Represents net shares sold.

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

(c) Represents the current yield as of report date.

(d) All or a portion of this security was purchased with the cash collateral from loaned securities.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

92

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	585,007,921	$	1,083,016,847		—	$	1,668,024,768

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $33,700,050 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

93

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 94.3%
Active Stock Master Portfolio	$	115,018,594	$	115,018,594
ACWI ex-US Index Master Portfolio	$	7,200,188		7,200,188
iShares Cohen & Steers Realty Majors Index Fund (b)		137,636		10,548,423
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		411,575		11,828,666
iShares MSCI Canada Index Fund		143,998		4,080,903
iShares MSCI EAFE Index Fund (b)		536,297		29,442,705
iShares MSCI EAFE Small Cap Index Fund		117,868		4,730,043
iShares MSCI Emerging Markets Index Fund		272,152		11,686,207
Master Small Cap Index Series	$	4,614,352		4,614,352
				199,150,081
Fixed Income Funds - 5.0%
CoreAlpha Bond Master Portfolio	$	10,558,687		10,558,687
				10,558,687
Short-Term Securities - 1.5%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)		2,490,550		2,490,550
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)		723,736		723,736
				3,214,286
Total Affiliated Investment Companies
(Cost - $ 188,230,384*) - 100.8 %				212,923,054
Liabilities in Excess of Other Assets - (0.8)%				(1,628,215	)
Net Assets - 100.0%			$	211,294,839

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Aggregate cost	$	189,111,719
Gross unrealized appreciation	$	24,692,670
Gross unrealized depreciation		(881,335	)
Net unrealized appreciation	$	23,811,335

94

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

(a) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2011		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31,2012		Value at March 31, 2012		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	96,212,649	$	18,805,945	1		—		$	115,018,594	$	115,018,594	$	2,874,360		$	552,493
ACWI ex-US Index Master Portfolio	$	2,165,187	$	5,035,001	1		—		$	7,200,188	$	7,200,188	$	16,629		$	27,949
BlackRock Cash Funds: Institutional, SL Agency Shares		6,374,294		—			(3,883,744	)2		2,490,550	$	2,490,550		—		$	3,281
BlackRock Cash Funds: Prime, SL Agency Shares		1,943,189		—			(1,219,453	)2		723,736	$	723,736		—		$	1,186
CoreAlpha Bond Master Portfolio	$	7,200,788	$	3,357,899	1		—		$	10,558,687	$	10,558,687	$	(15,529	)	$	66,102
iShares Cohen & Steers Realty Majors Index Fund		116,706		21,828			(898	)		137,636	$	10,548,423	$	4,158		$	74,420
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		358,521		59,492			(6,438	)		411,575	$	11,828,666	$	(38,891	)	$	81,920
iShares MSCI Canada Index Fund		147,564		4,027			(7,593	)		143,998	$	4,080,903	$	(25,234	)		—
iShares MSCI EAFE Index Fund		541,724		15,157			(20,584	)		536,297	$	29,442,705	$	(145,141	)		—
iShares MSCI EAFE Small Cap Index Fund		109,510		12,731			(4,373	)		117,868	$	4,730,043	$	(19,078	)		—
iShares MSCI Emerging Markets Index Fund		274,352		13,509			(15,709	)		272,152	$	11,686,207	$	(94,125	)		—
Master Small Cap Index Series	$	3,997,168	$	617,184	1		—		$	4,614,352	$	4,614,352	$	(37,620	)	$	21,027

¹ Represents net shares/beneficial interest purchased.

² Represents net shares sold.

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

(c) Represents the current yield as of report date.

(d) All or a portion of this security was purchased with the cash collateral from loaned securities.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its

95

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

annual report. The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	75,531,233	$	137,391,821		—	$	212,923,054

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $2,528,640 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

96

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks	Shares		Value
Consumer Discretionary - 12.4%
Auto Components - 0.3%
Allison Transmission Holdings, Inc. (a)		95,300	$	2,275,764
BorgWarner, Inc. (a)		32,400		2,732,616
Federal-Mogul Corp. (a)		4,652		80,061
Gentex Corp. (b)		34,479		844,736
Johnson Controls, Inc.		74,000		2,403,520
Lear Corp.		27,901		1,297,117
				9,633,814
Automobiles - 0.3%
Ford Motor Co.		134,020		1,673,910
General Motors Co. (a)		75,250		1,930,162
Tesla Motors, Inc. (a)		120,100		4,472,524
				8,076,596
Diversified Consumer Services - 0.4%
Apollo Group, Inc., Class A (a)		144,567		5,586,069
ITT Educational Services, Inc. (a)(b)		81,397		5,383,597
Weight Watchers International, Inc. (a)(b)		1,257		97,028
				11,066,694
Hotels, Restaurants & Leisure - 1.3%
Chipotle Mexican Grill, Inc. (a)		7,000		2,926,000
Choice Hotels International, Inc.		2,731		101,975
Las Vegas Sands Corp.		153,100		8,813,967
Marriott Vacations Worldwide Corp. (a)		15,009		427,907
McDonald’s Corp.		156,789		15,381,001
Starbucks Corp.		166,100		9,283,329
Starwood Hotels & Resorts Worldwide, Inc.		2		113
Wynn Resorts Ltd.		9,091		1,135,284
Yum! Brands, Inc.		8,000		569,440
				38,639,016
Household Durables - 0.5%
Garmin Ltd.		101,000		4,741,950
Newell Rubbermaid, Inc.		4,292		76,441
NVR, Inc. (a)		2,921		2,121,610
Tempur-Pedic International, Inc. (a)		18,864		1,592,687
Tupperware Brands Corp.		70,003		4,445,190
				12,977,878
Internet & Catalog Retail - 1.2%
Amazon.com, Inc. (a)		85,894		17,394,394
Expedia, Inc.		160,000		5,350,400
HSN, Inc.		2,103		79,977
priceline.com, Inc. (a)		14,584		10,464,020
TripAdvisor, Inc. (a)		26,546		946,896
				34,235,687
Leisure Equipment & Products - 0.4%
Mattel, Inc.		86,404		2,908,359
Polaris Industries, Inc.		117,320		8,464,638
				11,372,997

97

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Consumer Discretionary (Cont.)
Media - 4.1%
Cablevision Systems Corp.		271,000	$	3,978,280
CBS Corp., Class B		168,000		5,696,880
Comcast Corp, Class A		234,900		7,049,349
Comcast Corp, Special Class A		575,980		16,997,170
DIRECTV, Class A (a)		204,070		10,068,814
DISH Network Corp.		168,000		5,532,240
Interpublic Group of Cos., Inc.		462,000		5,271,420
John Wiley & Sons, Inc., Class A (b)		34,667		1,649,803
Liberty Media Corp. - Liberty Capital (a)		3,389		298,740
The McGraw-Hill Cos., Inc.		198,147		9,604,185
Scripps Networks Interactive, Inc., Class A (b)		72,385		3,524,426
Time Warner Cable, Inc.		140,285		11,433,228
Time Warner, Inc.		310,910		11,736,852
Viacom, Inc., Class B		276,214		13,109,116
The Walt Disney Co.		212,900		9,320,762
The Washington Post Co., Class B (b)		2,378		888,349
				116,159,614
Multiline Retail - 0.9%
Big Lots, Inc. (a)		54,000		2,323,080
Dollar Tree, Inc. (a)		102,471		9,682,485
Family Dollar Stores, Inc.		3,353		212,178
J.C. Penney Co., Inc. (b)		88,903		3,149,833
Macy’s, Inc.		136,000		5,403,280
Nordstrom, Inc.		106,000		5,906,320
				26,677,176
Specialty Retail - 2.2%
Advance Auto Parts, Inc.		70,118		6,210,351
AutoZone, Inc. (a)		20,085		7,467,603
Bed Bath & Beyond, Inc. (a)		9,110		599,165
Chico’s FAS, Inc.		307,000		4,635,700
The Home Depot, Inc.		377,500		18,992,025
Limited Brands, Inc.		143,200		6,873,600
PetSmart, Inc.		93,000		5,321,460
Ross Stores, Inc.		59,321		3,446,550
Sally Beauty Holdings, Inc. (a)		24,315		603,012
The TJX Cos., Inc.		194,000		7,703,740
				61,853,206
Textiles, Apparel & Luxury Goods - 0.8%
Coach, Inc. (b)		130,332		10,072,057
Michael Kors Holdings Ltd. (a)		81,000		3,773,790
Ralph Lauren Corp. (b)		4,734		825,278
Under Armour Inc, Class A (a)		23,600		2,218,400
VF Corp.		45,500		6,642,090
				23,531,615
Total Consumer Discretionary				354,224,293
Consumer Staples - 9.4%
Beverages - 1.9%
Brown-Forman Corp., Class B		25,270		2,107,265
The Coca-Cola Co.		299,402		22,158,742
Coca-Cola Enterprises, Inc.		183,000		5,233,800
Diageo Plc		234,700		5,634,255
Dr Pepper Snapple Group, Inc.		136,000		5,468,560
Monster Beverage Corp. (a)		64,125		3,981,521
PepsiCo Inc.		164,620		10,922,537
				55,506,680

98

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Consumer Staples (Cont.)
Food & Staples Retailing - 1.7%
Costco Wholesale Corp.		117,626	$	10,680,441
CVS Caremark Corp.		56,570		2,534,336
The Kroger Co.		677,640		16,419,217
Wal-Mart Stores, Inc.		181,275		11,094,030
Walgreen Co.		63,221		2,117,271
Whole Foods Market, Inc.		77,307		6,431,943
				49,277,238
Food Products - 2.6%
Annie’s, Inc. (a)		673		23,447
Archer Daniels Midland Co.		418,650		13,254,459
Campbell Soup Co.		155,000		5,246,750
ConAgra Foods, Inc.		180,000		4,726,800
General Mills, Inc.		180,660		7,127,037
Green Mountain Coffee Roasters, Inc. (a)		58,900		2,758,876
H.J. Heinz Co.		57,700		3,089,835
The Hershey Co.		25,513		1,564,712
Kraft Foods, Inc., Class A		139,900		5,317,599
Mead Johnson Nutrition Co.		106,274		8,765,480
Post Holdings, Inc. (a)		37,694		1,241,263
Ralcorp Holdings, Inc. (a)		1,812		134,251
Tyson Foods, Inc., Class A		26,311		503,856
Unilever NV		596,240		20,290,047
				74,044,412
Household Products - 1.1%
The Clorox Co.		3,663		251,831
Colgate-Palmolive Co.		7,381		721,714
Kimberly-Clark Corp.		162,830		12,031,509
The Procter & Gamble Co.		277,188		18,629,806
				31,634,860
Personal Products - 0.5%
The Estee Lauder Cos., Inc., Class A		39,918		2,472,521
Herbalife Ltd.		165,367		11,380,557
				13,853,078
Tobacco - 1.6%
Altria Group, Inc.		93,300		2,880,171
Lorillard, Inc.		55,169		7,143,282
Philip Morris International, Inc.		389,070		34,475,493
				44,498,946
Total Consumer Staples				268,815,214
Energy - 11.5%
Energy Equipment & Services - 2.5%
Baker Hughes, Inc.		34,261		1,436,906
Dresser-Rand Group, Inc. (a)		2,312		107,254
Ensco International Plc		139,400		7,378,442
Halliburton Co. (b)		456,350		15,146,256
Helmerich & Payne, Inc.		73,000		3,938,350
National Oilwell Varco, Inc.		77,400		6,150,978
Noble Corp. (a)		519,255		19,456,485
Oil States International, Inc. (a)		17,743		1,385,019
Schlumberger Ltd.		155,449		10,870,549
SEACOR Holdings, Inc. (a)		10,180		975,040
Weatherford International Ltd. (a)		380,800		5,746,272
				72,591,551

99

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Energy (Cont.)
Oil, Gas & Consumable Fuels - 9.0%
Alpha Natural Resources, Inc. (a)		159,800	$	2,430,558
Anadarko Petroleum Corp.		132,769		10,401,123
Apache Corp.		81,150		8,150,706
Chevron Corp.		357,452		38,333,153
ConocoPhillips		140,938		10,712,697
CONSOL Energy, Inc.		14,700		501,270
Denbury Resources, Inc. (a)		283,000		5,159,090
Devon Energy Corp.		240,421		17,098,742
El Paso Corp.		21,140		624,687
Enbridge, Inc.		183,700		7,120,454
Energy Transfer Equity LP (b)		303		12,211
EQT Corp.		70,751		3,410,906
Exxon Mobil Corp.		983,459		85,295,399
Hess Corp.		40,660		2,396,907
HollyFrontier Corp.		197,530		6,350,590
Kinder Morgan, Inc.		29,200		1,128,580
Kosmos Energy Ltd. (a)(b)		7,635		101,087
Marathon Oil Corp.		423,853		13,436,140
Marathon Petroleum Corp.		116,467		5,050,009
Murphy Oil Corp.		68,000		3,826,360
Occidental Petroleum Corp.		53,100		5,056,713
Peabody Energy Corp.		313,827		9,088,430
Range Resources Corp.		112,900		6,564,006
Royal Dutch Shell Plc Class A		45,800		1,597,819
Spectra Energy Corp.		80,700		2,546,085
Total SA		152,200		7,780,464
WPX Energy, Inc. (a)		101,317		1,824,719
				255,998,905
Total Energy				328,590,456
Financials - 12.8%
Capital Markets - 0.7%
American Capital Ltd. (a)		14,365		124,544
Ameriprise Financial, Inc.		36,003		2,056,851
The Bank of New York Mellon Corp.		6		145
Franklin Resources, Inc.		5,125		635,654
The Goldman Sachs Group, Inc.		90,151		11,212,080
Jefferies Group, Inc.		288,300		5,431,572
				19,460,846
Commercial Banks - 3.3%
Bank of Nova Scotia		96,300		5,384,205
BOK Financial Corp. (b)		2,693		151,562
First Citizens Bancshares, Inc., Class A		2,488		454,533
First Niagara Financial Group, Inc.		10,006		98,459
First Republic Bank (a)		95,860		3,157,628
M&T Bank Corp. (b)		21,375		1,857,060
National Bank of Canada		79,800		6,337,212
Regions Financial Corp.		62,475		411,710
SunTrust Banks, Inc.		70,756		1,710,173
The Toronto-Dominion Bank		59,400		5,031,571
U.S. Bancorp		635,819		20,142,746
Wells Fargo & Co.		1,430,419		48,834,505
				93,571,364
Consumer Finance - 0.5%
American Express Co.		109,464		6,333,587
Capital One Financial Corp.		50,904		2,837,389
Discover Financial Services		156,000		5,201,040
				14,372,016

100

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Financials (Cont.)
Diversified Financial Services - 3.5%
Bank of America Corp.		294,525	$	2,818,604
Citigroup, Inc.		704,676		25,755,908
CME Group, Inc.		1,406		406,798
JPMorgan Chase & Co.		1,256,605		57,778,698
Moody’s Corp.		137,000		5,767,700
The NASDAQ OMX Group, Inc. (a)		184,491		4,778,317
NYSE Euronext		60,822		1,825,268
				99,131,293
Insurance - 4.2%
ACE Ltd.		245,569		17,975,651
Aflac, Inc.		170,892		7,859,323
Allied World Assurance Co. Holdings Ltd. (b)		20,938		1,437,812
American National Insurance Co.		1,800		130,536
Aspen Insurance Holdings Ltd.		38,821		1,084,659
Axis Capital Holdings Ltd.		29,716		985,680
Berkshire Hathaway, Inc., Class B (a)		3,903		316,728
Brown & Brown, Inc.		7,940		188,813
Chubb Corp.		77,800		5,376,758
CNA Financial Corp.		12,343		362,020
Endurance Specialty Holdings Ltd.		34,236		1,392,036
First American Financial Corp.		5,216		86,742
The Hanover Insurance Group, Inc.		31,931		1,313,003
Hartford Financial Services Group, Inc.		502,855		10,600,183
Kemper Corp.		3		91
Lincoln National Corp.		289,062		7,619,674
MetLife, Inc.		451,376		16,858,894
PartnerRe Ltd.		84,602		5,743,630
Prudential Financial, Inc.		235,690		14,940,389
Reinsurance Group of America, Inc.		4,393		261,252
RenaissanceRe Holdings Ltd.		1		76
The Travelers Cos., Inc.		426,105		25,225,416
Validus Holdings Ltd.		2,833		87,681
Willis Group Holdings Plc		57,016		1,994,420
XL Group Plc		7,006		151,960
				121,993,427
Real Estate Investment Trusts (REITs) - 0.6%
Alexandria Real Estate Equities, Inc.		3,836		280,527
American Tower Corp.		87,500		5,514,250
BRE Properties, Inc.		5,433		274,638
Camden Property Trust		26,354		1,732,775
CommonWealth REIT		15,145		282,000
Home Properties, Inc.		12,240		746,762
Liberty Property Trust		19,594		699,898
National Retail Properties, Inc.		5,908		160,639
Piedmont Office Realty Trust, Inc.		3,066		54,421
Public Storage		10,693		1,477,452
Rayonier, Inc. (b)		68,986		3,041,571
Taubman Centers, Inc.		5,331		388,896
Ventas, Inc.		18,401		1,050,697
Weyerhaeuser Co.		88,200		1,933,344
				17,637,870
Real Estate Management & Development - 0.0%
The Howard Hughes Corp. (a)		5,425		346,495
Thrifts & Mortgage Finance - 0.0%
BankUnited, Inc.		3,415		85,375
Total Financials				366,598,686

101

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Health Care - 11.4%
Biotechnology - 1.6%
Alexion Pharmaceuticals, Inc. (a)		29,537	$	2,742,806
Amgen, Inc.		119,130		8,099,648
Biogen Idec, Inc. (a)		95,305		12,005,571
Celgene Corp. (a)		78,000		6,046,560
Gilead Sciences, Inc. (a)		239,411		11,695,227
Myriad Genetics, Inc. (a)		261,780		6,193,715
				46,783,527
Health Care Equipment & Supplies - 1.4%
Baxter International, Inc.		181,290		10,837,516
The Cooper Cos., Inc.		19,642		1,604,948
Edwards Lifesciences Corp. (a)		1,214		88,294
Intuitive Surgical, Inc. (a)		9,541		5,168,837
Medtronic, Inc.		425,781		16,686,357
ResMed, Inc. (a)		45,000		1,390,950
Sirona Dental Systems, Inc. (a)		30,751		1,584,907
Stryker Corp.		24,305		1,348,442
Thoratec Corp. (a)		16,813		566,766
				39,277,017
Health Care Providers & Services - 2.1%
Aetna, Inc.		200,680		10,066,109
AmerisourceBergen Corp.		342,276		13,581,511
Cardinal Health, Inc.		258,079		11,125,786
HCA Holdings, Inc.		55,824		1,381,086
Humana, Inc.		4,273		395,167
McKesson Corp.		91,284		8,011,997
Medco Health Solutions, Inc. (a)		169,504		11,916,131
Quest Diagnostics Inc.		32,100		1,962,915
WellCare Health Plans, Inc. (a)		12,216		878,086
WellPoint, Inc.		27,031		1,994,888
				61,313,676
Health Care Technology - 0.4%
Cerner Corp. (a)		131,200		9,992,192
SXC Health Solutions Corp. (a)		17,464		1,309,101
				11,301,293
Life Sciences Tools & Services - 0.0%
Bio-Rad Laboratories, Inc., Class A (a)		738		76,523
Illumina, Inc. (a)		3,217		169,247
				245,770
Pharmaceuticals - 5.9%
Abbott Laboratories		303,379		18,594,099
Bristol-Myers Squibb Co.		383,220		12,933,675
Eli Lilly & Co.		380,213		15,311,177
Forest Laboratories, Inc. (a)		40,588		1,407,998
Johnson & Johnson		406,226		26,794,667
Merck & Co., Inc.		879,870		33,787,008
Pfizer, Inc.		2,002,540		45,377,556
Valeant Pharmaceuticals International, Inc. (a)		85,600		4,595,864
Warner Chilcott Plc, Class A (a)		344,738		5,795,046
Watson Pharmaceuticals, Inc. (a)		42,817		2,871,308
				167,468,398
Total Health Care				326,389,681

102

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Industrials - 11.5%
Aerospace & Defense - 3.7%
Alliant Techsystems, Inc. (b)		23,323	$	1,168,949
The Boeing Co.		285,600		21,240,072
Esterline Technologies Corp. (a)		1,992		142,348
Exelis, Inc.		179,487		2,247,177
General Dynamics Corp.		72,165		5,295,468
Goodrich Corp.		3,501		439,165
Honeywell International, Inc.		268,780		16,409,019
L-3 Communications Holdings, Inc.		25,947		1,836,269
Lockheed Martin Corp.		75,000		6,739,500
Northrop Grumman Corp.		110,186		6,730,161
Precision Castparts Corp.		40,601		7,019,913
Raytheon Co.		129,400		6,829,732
Rockwell Collins, Inc.		19,100		1,099,396
Textron, Inc.		189,290		5,267,941
United Technologies Corp.		267,902		22,219,792
				104,684,902
Air Freight & Logistics - 0.4%
C.H. Robinson Worldwide, Inc.		59,831		3,918,332
Expeditors International of Washington, Inc. (b)		37,139		1,727,335
United Parcel Service, Inc., Class B		54,400		4,391,168
				10,036,835
Airlines - 0.5%
Copa Holdings SA		34,000		2,692,800
Delta Air Lines, Inc. (a)		1,299,810		12,881,117
				15,573,917
Building Products - 0.0%
Fortune Brands Home & Security, Inc. (a)		53,547		1,181,782
Commercial Services & Supplies - 0.2%
The Brink’s Co. (b)		7,327		174,895
Iron Mountain, Inc.		159,000		4,579,200
KAR Auction Services, Inc. (a)		6,137		99,481
Rollins, Inc.		2,677		56,967
Waste Connections, Inc. (b)		18,104		588,923
				5,499,466
Construction & Engineering - 0.8%
Chicago Bridge & Iron Co. NV		110,000		4,750,900
Fluor Corp.		88,000		5,283,520
Jacobs Engineering Group, Inc. (a)		300,620		13,338,509
				23,372,929
Electrical Equipment - 0.2%
The Babcock & Wilcox Co. (a)		11,148		287,061
GrafTech International Ltd. (a)		23,665		282,560
Hubbell, Inc. Class B (b)		1,764		138,615
Rockwell Automation, Inc.		21,900		1,745,430
Roper Industries, Inc.		29,200		2,895,472
				5,349,138

103

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Industrials (Cont.)
Industrial Conglomerates - 2.5%
3M Co.		53,800	$	4,799,498
Danaher Corp.		275,400		15,422,400
General Electric Co.		1,659,004		33,296,211
Tyco International Ltd.		341,890		19,207,380
				72,725,489
Machinery - 2.5%
Caterpillar, Inc.		101,300		10,790,476
CNH Global NV (a)(b)		25,824		1,025,213
Cummins, Inc. (b)		77,061		9,250,402
Deere & Co.		113,100		9,149,790
Eaton Corp.		146,600		7,305,078
Gardner Denver, Inc.		12,411		782,141
Ingersoll-Rand Plc		135,000		5,582,250
Joy Global, Inc.		1,471		108,119
PACCAR, Inc.		90,400		4,233,432
Parker Hannifin Corp.		65,000		5,495,750
Stanley Black & Decker, Inc.		85,400		6,572,384
Terex Corp. (a)		196,609		4,423,703
WABCO Holdings, Inc. (a)		39,007		2,359,143
Wabtec Corp. (b)		11,259		848,591
Xylem, Inc.		134,391		3,729,350
				71,655,822
Professional Services - 0.2%
Manpower, Inc.		104,114		4,931,880
Towers Watson & Co., Class A		2,723		179,909
Verisk Analytics, Inc., Class A (a)		9,320		437,760
				5,549,549
Road & Rail - 0.4%
Canadian National Railway Co.		71,600		5,687,188
CSX Corp.		22,271		479,272
Norfolk Southern Corp.		16,546		1,089,223
Union Pacific Corp.		42,228		4,538,666
				11,794,349
Trading Companies & Distributors - 0.1%
Air Lease Corp. (a)		20,416		491,413
MSC Industrial Direct Co., Inc.		11,779		980,955
WESCO International, Inc. (a)(b)		17,647		1,152,526
				2,624,894
Total Industrials				330,049,072
Information Technology - 19.4%
Communications Equipment - 1.6%
Cisco Systems, Inc.		846,114		17,895,311
EchoStar Corp. (a)		11,782		331,546
F5 Networks, Inc. (a)		17,600		2,375,296
Motorola Mobility Holdings, Inc. (a)		5,402		211,974
Polycom, Inc. (a)		94		1,793
QUALCOMM, Inc.		370,557		25,205,287
				46,021,207

104

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Information Technology (Cont.)
Computers & Peripherals - 4.4%
Apple, Inc. (a)		168,664	$	101,109,008
Dell, Inc. (a)		399,000		6,623,400
EMC Corp. (a)		80,192		2,396,137
Fusion-io, Inc. (a)(b)		101,695		2,889,155
NetApp, Inc. (a)		157,700		7,060,229
QLogic Corp. (a)		267,000		4,741,920
				124,819,849
Electronic Equipment, Instruments & Components - 0.9%
Corning, Inc.		1,313,000		18,487,040
Dolby Laboratories, Inc., Class A (a)(b)		53,153		2,023,003
Jabil Circuit, Inc.		212,000		5,325,440
				25,835,483
Internet Software & Services - 1.4%
eBay, Inc. (a)		182,200		6,721,358
ExactTarget, Inc. (a)		823		21,398
Google, Inc., Class A (a)		39,904		25,588,041
IAC/InterActiveCorp (b)		40,800		2,002,872
LinkedIn Corp. (a)		922		94,035
Millennial Media, Inc. (a)		2,336		54,896
Rackspace Hosting, Inc. (a)		80,500		4,652,095
VeriSign, Inc.		26,617		1,020,496
				40,155,191
IT Services - 4.3%
Accenture Plc, Class A		145,902		9,410,679
Alliance Data Systems Corp. (a)		46,000		5,794,160
Amdocs Ltd. (a)		63,110		1,993,014
Automatic Data Processing, Inc.		24,700		1,363,193
DST Systems, Inc.		88,000		4,772,240
Global Payments, Inc.		80,000		3,797,600
International Business Machines Corp.		207,944		43,387,515
Lender Processing Services, Inc.		147,000		3,822,000
MasterCard, Inc., Class A		11,634		4,892,562
NeuStar Inc, Class A (a)		2,395		89,214
SAIC, Inc. (a)		341,000		4,501,200
Total System Services, Inc.		32,626		752,682
VeriFone Systems, Inc. (a)		119,200		6,182,904
Visa, Inc., Class A		103,827		12,251,586
The Western Union Co.		1,163,680		20,480,768
				123,491,317
Semiconductors & Semiconductor Equipment - 2.6%
Altera Corp.		51,496		2,050,571
Avago Technologies Ltd.		177,492		6,916,863
Broadcom Corp., Class A (a)		238,574		9,375,958
Intel Corp.		203,235		5,712,936
LSI Corp. (a)		2,103,050		18,254,474
Marvell Technology Group Ltd. (a)		801,950		12,614,674
Micron Technology, Inc. (a)		1,225,460		9,926,226
NXP Semiconductor NV (a)		210,900		5,612,049
Xilinx, Inc.		120,900		4,404,387
				74,868,138

105

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Information Technology (Cont.)
Software - 4.2%
Autodesk, Inc. (a)		13,074	$	553,292
BMC Software, Inc. (a)		76,896		3,088,143
Check Point Software Technologies (a)		118,000		7,533,120
Citrix Systems, Inc. (a)		1,125		88,774
Intuit, Inc.		17,741		1,066,766
Microsoft Corp.		2,327,589		75,064,745
Oracle Corp.		74,673		2,177,465
Red Hat, Inc. (a)		105,500		6,318,395
Salesforce.com, Inc. (a)		67,093		10,366,539
Solera Holdings, Inc. (b)		16,428		753,881
Symantec Corp. (a)		336,000		6,283,200
VMware, Inc., Class A (a)		51,400		5,775,818
				119,070,138
Total Information Technology				554,261,323
Materials - 4.3%
Chemicals - 2.2%
Airgas, Inc.		2,122		188,794
Albemarle Corp.		16,285		1,040,937
Cabot Corp.		13,847		590,990
Celanese Corp.		144,962		6,694,345
CF Industries Holdings, Inc.		37,255		6,804,626
The Dow Chemical Co.		94,000		3,256,160
E.I. du Pont de Nemours & Co.		428,840		22,685,636
Huntsman Corp.		75,184		1,053,328
LyondellBasell Industries NV, Class A		31,858		1,390,602
Monsanto Co.		85,414		6,812,621
Olin Corp.		96,800		2,105,400
PPG Industries, Inc.		67,000		6,418,600
Praxair, Inc.		35,000		4,012,400
				63,054,439
Containers & Packaging - 0.1%
Crown Holdings, Inc. (a)		29,221		1,076,210
Rock-Tenn Co, Class A		1,668		112,690
Sealed Air Corp.		146,110		2,821,384
				4,010,284
Metals & Mining - 1.6%
Alcoa, Inc.		767,630		7,691,653
Barrick Gold Corp.		53,200		2,307,489
BHP Billiton Ltd.		283,600		10,168,255
Freeport-McMoRan Copper & Gold, Inc.		242,532		9,225,917
Newmont Mining Corp.		1,612		82,647
Nucor Corp.		203,280		8,730,876
Rio Tinto Ltd.		50,100		3,394,330
Southern Copper Corp.		56,902		1,804,372
Walter Energy, Inc.		18,072		1,070,043
				44,475,582
Paper & Forest Products - 0.4%
Domtar Corp. (b)		11,895		1,134,545
International Paper Co.		149,000		5,229,900
MeadWestvaco Corp.		110,400		3,487,536
				9,851,981
Total Materials				121,392,286

106

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Telecommunication Services - 2.6%
Diversified Telecommunication Services - 2.3%
AT&T, Inc.		602,805	$	18,825,600
BCE, Inc.		43,200		1,730,592
CenturyLink, Inc.		192,800		7,451,720
Level 3 Communications, Inc. (a)		56,400		1,451,172
Verizon Communications, Inc.		949,063		36,282,679
Windstream Corp.		122,800		1,437,988
				67,179,751
Wireless Telecommunication Services - 0.3%
MetroPCS Communications, Inc. (a)		524,079		4,727,192
NII Holdings, Inc. (a)		52,202		955,819
Telephone & Data Systems, Inc.		5,479		126,839
Vodafone Group Plc		80,200		2,219,134
				8,028,984
Total Telecommunication Services				75,208,735
Utilities - 2.9%
Electric Utilities - 1.4%
American Electric Power Co., Inc.		83,599		3,225,249
Duke Energy Corp.		93,500		1,964,435
Edison International		43,000		1,827,930
FirstEnergy Corp.		72,715		3,315,077
ITC Holdings Corp.		16,600		1,277,204
NextEra Energy, Inc.		67,800		4,141,224
Northeast Utilities		47,800		1,774,336
PNM Resources, Inc.		5,133		93,934
PPL Corp.		42,400		1,198,224
Southern Co.		443,100		19,908,487
				38,726,100
Gas Utilities - 0.2%
Atmos Energy Corp.		31,596		994,010
ONEOK, Inc.		47,204		3,854,679
UGI Corp. (b)		33,033		900,149
				5,748,838
Independent Power Producers & Energy Traders - 0.2%
International Power Plc		468,400		3,030,965
NRG Energy, Inc. (a)(b)		89,778		1,406,821
				4,437,786
Multi-Utilities - 1.0%
Consolidated Edison, Inc.		21,000		1,226,820
Dominion Resources, Inc.		381,630		19,543,272
DTE Energy Co.		2,419		133,118
NSTAR (b)		3,092		150,364
Public Service Enterprise Group, Inc.		115,073		3,522,384
Sempra Energy		29,400		1,762,824
Wisconsin Energy Corp.		49,900		1,755,482
Xcel Energy, Inc.		40,349		1,068,038
				29,162,302
Water Utilities - 0.1%
American Water Works Co., Inc.		114,479		3,895,720
Total Utilities				81,970,746
Total Long-Term Investments
(Cost - $ 2,451,577,660) - 98.2 %				2,807,500,492

107

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Short-Term Securities
Money Market Funds - 2.1%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (c)(d)(e)		51,987,911	$	51,987,911
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (c)(d)(e)		7,254,412		7,254,412
				59,242,323
	Par (000)		Value
U.S. Treasury Obligations - 0.0%
U.S. Treasury Bill, 0.08%, 6/21/12 (f)(g)	$	890		889,878
Total Short-Term Securities
(Cost - $ 60,132,136) - 2.1 %				60,132,201
Total Investments
(Cost - $ 2,511,709,796*) - 100.3 %				2,867,632,693
Liabilities in Excess of Other Assets - (0.3)%				(7,878,234	)
Net Assets - 100.0%			$	2,859,754,459

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,549,999,178
Gross unrealized appreciation		382,771,534
Gross unrealized depreciation		(65,138,019	)
Net unrealized appreciation	$	317,633,515

(a) Non-income producing security.

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

(c) Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2011		Net Activity			Shares Held at March 31, 2012		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		128,263,976		(76,276,065	)		51,987,911	$	86,667
BlackRock Cash Funds: Prime, SL Agency Shares		20,162,910		(12,908,498	)		7,254,412	$	22,261

(d) Represents the current yield as of report date.

(e) All or a portion of this security was purchased with the cash collateral from securities loaned.

(f) Rate shown is the yield to maturity as of the date of purchase.

(g) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

• For Master Portfolio compliance purposes, the Master Portfolio’s sector and industry classifications refer to any one or more of the sector and industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such sector and industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of March 31, 2012 were as follows:

Contracts	Issue	Exchange		Expiration		Notional Value		Unrealized Appreciation
116	S&P 500 Index		Chicago Mercantile		June 2012	$	8,138,850	$	179,722

108

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following tables summarize the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1:
Common Stocks	$	2,807,500,492		—		—	$	2,807,500,492
Short-Term Securities:
Money Market Funds		59,242,323		—		—		59,242,323
U.S. Treasury Obligations		—	$	889,878		—		889,878
Total	$	2,866,742,815	$	889,878		—	$	2,867,632,693

Valuation Inputs	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments2
Assets:
Interest Rate Contracts	$	179,722		—		—	$	179,722

¹  See above Schedule of Investments for values in each sector and industry.

²  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

109

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Collateral on securities loaned at value of $25,345,979 would be categorized as Level 1 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2012.

110

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SCHEDULE OF INVESTMENTS

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities	Par (000)		Value
ACE Securities Corp., Series 2005-AG1, Class A2D, 0.60%, 8/25/35 (a)	$	3,843	$	3,253,630
AH Mortgage Advance Trust, Series SART-1, Class A1, 2.63%, 5/10/42 (b)		7,400		7,376,875
AmeriCredit Automobile Receivables Trust:
Series 2007-CM, Class A4A, 5.55%, 4/07/14		2,513		2,514,847
Series 2012-1, Class D, 4.72%, 3/08/18		6,600		6,913,868
Ameriquest Mortgage Securities, Inc.:
Series 2005-R6, Class A2, 0.44%, 8/25/35 (a)		667		640,027
Series 2006-R1, Class A2C, 0.43%, 3/25/36 (a)		1,061		1,049,126
Asset Backed Funding Corp. Certificates:
Series 2005-HE2, Class M1, 0.72%, 6/25/35 (a)		799		789,215
Series 2005-OPT1, Class A1SS, 0.48%, 7/25/35 (a)		723		700,299
BNC Mortgage Loan Trust, Series 2007-4, Class A3A, 0.49%, 11/25/37 (a)		1,655		1,615,777
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A1, 0.36%, 2/25/37 (a)		6,157		5,988,369
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-5, Class 1A4, 4.40%, 2/25/30		430		432,488
Chesapeake Funding LLC, Series 2009-1, Class A, 2.24%, 12/15/20 (a)(b)		4,706		4,715,521
CIT Mortgage Loan Trust, Series 2007-1, Class 2A1, 1.24%, 10/25/37 (a)(b)		5,465		5,427,363
Citibank Credit Card Issuance Trust:
Series 2006-C1, Class C1, 0.64%, 2/20/15		5,150		5,136,753
Series 2008-C6, Class C6, 6.30%, 6/20/14		8,700		8,808,750
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2A, 1.14%, 7/25/37 (a)		167		162,048
Countrywide Asset-Backed Certificates:
Series 2005-4, Class MV1, 0.70%, 10/25/35 (a)		3,858		3,742,122
Series 2006-20, Class 2A2, 0.36%, 4/25/47 (a)		2,342		2,243,755
Series 2006-22, Class 2A2, 0.35%, 5/25/47 (a)		2,869		2,775,097
Series 2006-25, Class 2A2, 0.36%, 6/25/47 (a)		4,205		3,757,730
Series 2007-10, Class 2A1, 0.29%, 6/25/47 (a)		851		836,500
Series 2007-12, Class 2A1, 0.59%, 8/25/47		5,828		5,733,918
Series 2007-4, Class A1B, 5.81%, 9/25/37		504		495,902
Series 2007-5, Class 2A1, 0.34%, 9/25/47 (a)		436		431,929
Series 2007-6, Class 2A1, 0.34%, 9/25/37 (a)		611		605,855
Series 2007-7, Class 2A1, 0.32%, 10/25/47 (a)		79		78,583
Series 2007-8, Class 2A1, 0.30%, 11/25/37 (a)		1,704		1,663,142
Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB8, Class A2A, 0.29%, 10/25/36 (a)		55		54,768
Ellington Loan Acquisition Trust, Series 2007-1, Class A2A1, 1.24%, 5/26/37 (b)		2,724		2,632,352
First Franklin Mortgage Loan Asset Backed Certificates:
Series 2004-FF10, Class A3, 0.78%, 9/25/34 (a)		224		211,634
Series 2005-FF10, Class A4, 0.56%, 11/25/35 (a)		1,820		1,468,387
Series 2005-FF4, Class M1, 0.67%, 5/25/35 (a)		2,258		1,964,769
Series 2006-FF13, Class A2B, 0.34%, 10/25/36		608		600,357
Series 2006-FF14, Class A2, 0.30%, 10/25/36		2,517		2,481,331
GE-WMC Mortgage Securities LLC, Series 2005-1, Class A2C, 0.60%, 10/25/35 (a)		1,794		1,486,500
GMAC Mortgage Corp. Loan Trust, Series 2006-HLTV, Class A3, 5.59%, 10/25/29		49		49,025
GSAMP Trust, Series 2007-HE2, Class A2A, 0.36%, 3/25/47 (a)		532		523,064
Helios Finance LP:
Series 2007-S1, Class B1, 0.94%, 10/20/14 (a)(b)		223		223,021
Series 2007-S1, Class B2, 2.59%, 10/20/14 (a)(b)		3,589		3,588,755
JPMorgan Mortgage Acquisition Corp., Series 2006-CH1, Class A3, 0.34%, 7/25/36 (a)		3,264		3,211,938
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 0.79%, 6/25/35 (a)		1,659		1,445,291
MBNA Credit Card Master Note Trust, Series 2002-C3, Class C3, 1.59%, 10/15/14		7,200		7,207,815
Morgan Stanley Capital, Inc., Series 2006, Class A3, 0.43%, 12/25/35 (a)		620		612,710

111

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities (Cont.)	Par (000)		Value
Morgan Stanley Home Equity Loan Trust, Series 2006-1, Class A2B, 0.44%, 12/25/35 (a)	$	114	$	113,454
National Collegiate Student Loan Trust:
Series 2005-1, Class A3, 0.38%, 10/26/26 (a)		7,188		6,997,544
Series 2006-2, Class A2, 0.39%, 7/25/26		5,035		4,520,651
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV2, 0.37%, 9/25/36 (a)		2,275		2,210,347
New Century Home Equity Loan Trust:
Series 2005-3, Class A2D, 0.62%, 7/25/35 (a)		4,628		4,487,034
Series 2005-3, Class M1, 0.72%, 7/25/35 (a)		5,500		5,132,105
Series 2005-3, Class M2, 0.73%, 7/25/35 (a)		1,590		1,087,116
Option One Mortgage Loan Trust, Series 2007-5, Class 2A1, 0.33%, 5/25/37		184		182,094
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 0.62%, 8/25/35 (a)		6,570		6,277,258
Residential Asset Mortgage Products, Inc.:
Series 2005-EFC3, Class M1, 0.69%, 8/25/35 (a)		2,502		2,436,850
Series 2005-RS6, Class M1, 0.74%, 6/25/35 (a)		4,300		3,481,564
Residential Asset Securities Corp.:
Series 2005-AHL1, Class A2, 0.51%, 7/25/35 (a)		263		260,232
Series 2006-EMX6, Class A2, 0.35%, 7/25/36		300		297,768
Series 2007-KS4, Class A1, 0.34%, 5/25/37 (a)		150		148,812
Santander Drive Auto Receivables Trust:
Series 2011-3, Class D, 4.23%, 5/15/17		3,900		3,982,428
Series 2011-S1A, Class D, 3.10%, 5/15/17 (b)		3,728		3,719,044
Series 2012-1, Class A2, 1.25%, 4/15/15		3,600		3,611,394
Series 2012-2, Class A2, 0.91%, 5/15/15		3,600		3,600,984
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR5, Class A1A, 0.53%, 8/25/35 (a)		96		95,816
Soundview Home Equity Loan Trust:
Series 2006-EQ1, Class A2, 0.35%, 10/25/36 (a)		1,269		1,252,921
Series 2007-1, Class 2A1, 0.33%, 3/25/37 (a)		1,261		1,180,792
Series 2007-OPT5, Class 2A1, 1.04%, 10/25/37 (a)		32		32,252
Specialty Underwriting & Residential Finance, Series 2006-BC1, Class A2C, 0.44%, 12/25/36		6,812		6,440,760
Structured Asset Investment Loan Trust, Series 2005-1, Class A5, 0.59%, 2/25/35 (b)		514		509,488
Structured Asset Securities Corp., Series 2006-BC5, Class A2, 0.29%, 12/25/36 (a)		699		688,894
Terwin Mortgage Trust:
Series 2005-12AL, Class AF2, 4.65%, 7/25/36		303		302,658
Series 2005-14HE, Class AF2, 4.85%, 8/25/36		3,483		3,361,544
Wheels SPV LLC, Series 2009-1, Class A, 1.79%, 3/15/18 (a)(b)		2,277		2,281,319
Total Asset-Backed Securities - 6.8%				174,344,329
Corporate Bonds
Aerospace & Defense - 0.6%
BE Aerospace, Inc.:
6.88%, 10/01/20 (c)		1,900		2,080,500
5.25%, 4/01/22		2,100		2,121,000
L-3 Communications Corp.:
3.95%, 11/15/16		1,250		1,316,109
4.75%, 7/15/20		900		929,304
4.95%, 2/15/21		600		627,652
Series B, 6.38%, 10/15/15		2,396		2,452,905
Lockheed Martin Corp.:
3.35%, 9/15/21		1,649		1,651,899
5.50%, 11/15/39		1,900		2,095,061
TransDigm, Inc., 7.75%, 12/15/18		2,200		2,381,500
				15,655,930
Air Freight & Logistics - 0.0%
FedEx Corp., 8.00%, 1/15/19		600		775,611
United Parcel Service, Inc., 4.88%, 11/15/40		400		450,245
				1,225,856

112

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Beverages - 0.3%
Bottling Group LLC, 5.13%, 1/15/19	$	1,100	$	1,285,152
Diageo Finance BV, 3.25%, 1/15/15		2,000		2,121,038
Dr Pepper Snapple Group, Inc.:
2.35%, 12/21/12 (c)		1,000		1,011,497
2.90%, 1/15/16		1,250		1,298,993
PepsiCo, Inc., 4.88%, 11/01/40		1,000		1,095,261
				6,811,941
Biotechnology - 0.7%
Amgen, Inc.:
2.30%, 6/15/16		800		816,678
6.40%, 2/01/39		900		1,041,791
Biogen Idec, Inc., 6.88%, 3/01/18		7,528		9,177,483
Celgene Corp., 3.95%, 10/15/20		4,000		4,073,132
Genentech, Inc., 4.75%, 7/15/15 (c)		625		697,738
Gilead Sciences, Inc., 4.40%, 12/01/21		2,200		2,309,285
				18,116,107
Capital Markets - 0.9%
The Bear Stearns Cos., Inc., 6.40%, 10/02/17 (c)		2,500		2,910,830
The Bear Stearns Cos., Inc./JPMorgan Chase & Co., 5.70%, 11/15/14		800		883,983
Credit Suisse First Boston USA, Inc.:
5.13%, 1/15/14		1,400		1,478,163
4.88%, 1/15/15		900		970,735
The Goldman Sachs Group, Inc.:
5.95%, 1/18/18		1,500		1,615,821
6.15%, 4/01/18		1,500		1,617,945
7.50%, 2/15/19		1,200		1,371,042
5.75%, 1/24/22		3,400		3,497,716
6.75%, 10/01/37		1,650		1,612,171
6.25%, 2/01/41		950		938,268
Merrill Lynch & Co., Inc., 6.88%, 4/25/18		550		611,434
Morgan Stanley:
2.88%, 7/28/14 (c)		3,400		3,384,595
6.00%, 4/28/15		1,400		1,465,355
6.25%, 8/28/17		1,500		1,579,575
				23,937,633
Chemicals - 0.2%
Ecolab, Inc., 4.35%, 12/08/21		500		530,058
LyondellBasell Industries N.V., 6.00%, 11/15/21 (b)(c)		1,800		1,890,000
RPM International, Inc., 6.13%, 10/15/19		2,453		2,685,841
Valspar Corp., 4.20%, 1/15/22		300		307,150
				5,413,049
Commercial Banks - 0.5%
HSBC Bank USA NA, 5.88%, 11/01/34		1,700		1,767,629
HSBC Holdings Plc, 6.50%, 9/15/37		700		785,599
JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17		800		915,369
US Bancorp, 2.20%, 11/15/16		4,000		4,077,664
Wachovia Bank NA, 6.00%, 11/15/17		5,400		6,203,396
				13,749,657
Communications Equipment - 0.1%
Omnicom Group, Inc., 4.45%, 8/15/20		2,700		2,905,189

113

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Consumer Finance - 0.3%
American Express Co., 8.13%, 5/20/19	$	4,800	$	6,275,007
American Express Credit Co., 2.75%, 9/15/15		2,600		2,697,570
				8,972,577
Containers & Packaging - 0.4%
Ball Corp., 5.00%, 3/15/22		2,100		2,105,250
Crown Americas LLC and Crown Americas Capital Corp. II, 7.63%, 5/15/17		3,900		4,197,375
Rock-Tenn Co.:
4.45%, 3/01/19 (b)		1,750		1,757,863
4.90%, 3/01/22 (b)		1,900		1,897,212
Sealed Air Corp., 6.88%, 7/15/33 (b)		1,500		1,432,500
				11,390,200
Diversified Financial Services - 2.0%
American Express Credit Corp., 2.38%, 3/24/17		3,000		3,004,614
Associates Corp. of North America, 6.95%, 11/01/18		1,500		1,697,801
Bank of America Corp.:
4.50%, 4/01/15		4,300		4,453,785
3.70%, 9/01/15		1,000		1,009,362
3.75%, 7/12/16		2,400		2,411,959
5.49%, 3/15/19		1,500		1,503,552
5.70%, 1/24/22		1,500		1,587,876
5.88%, 2/07/42		750		745,958
Citigroup, Inc.:
6.50%, 8/19/13		1,400		1,481,089
6.38%, 8/12/14		1,400		1,519,004
4.45%, 1/10/17		4,200		4,399,525
6.13%, 11/21/17		1,000		1,116,161
8.50%, 5/22/19		1,600		1,972,605
8.13%, 7/15/39		400		518,396
5.88%, 1/30/42		350		362,648
General Electric Capital Corp.:
2.25%, 11/09/15		2,000		2,055,444
4.38%, 9/16/20 (c)		4,000		4,212,736
4.63%, 1/07/21		1,600		1,707,552
6.75%, 3/15/32		500		597,373
6.88%, 1/10/39		1,000		1,234,940
JPMorgan Chase & Co.:
3.45%, 3/01/16		3,300		3,440,775
3.15%, 7/05/16		1,100		1,133,950
5.60%, 7/15/41		2,400		2,622,715
5.40%, 1/06/42		1,100		1,167,993
SLM Corp.:
6.00%, 1/25/17		2,600		2,678,000
7.25%, 1/25/22		1,200		1,253,789
				49,889,602
Diversified Telecommunication Services - 1.8%
AT&T, Inc.:
4.95%, 1/15/13		1,500		1,550,890
2.40%, 8/15/16		1,250		1,291,870
3.00%, 2/15/22 (c)		7,700		7,546,115
6.55%, 2/15/39		2,000		2,433,918
5.35%, 9/01/40		1,231		1,308,935
5.55%, 8/15/41		2,600		2,881,900
BellSouth Corp., 6.55%, 6/15/34		2,400		2,739,670
British Telecommunications Plc, 9.63%, 12/15/30		400		588,529
Embarq Corp., 8.00%, 6/01/36		3,000		3,032,292
Qwest Corp., 8.38%, 5/01/16		3,300		3,943,243
Telefonica Emisiones SAU, 5.86%, 2/04/13		3,600		3,722,054

114

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Diversified Telecommunication Services (Cont.)
Verizon Communications, Inc.:
8.75%, 11/01/18	$	2,000	$	2,714,052
6.90%, 4/15/38		900		1,148,503
8.95%, 3/01/39		500		772,655
7.35%, 4/01/39		1,700		2,281,130
4.75%, 11/01/41		2,100		2,125,704
Windstream Corp., 7.88%, 11/01/17 (c)		5,350		5,898,375
				45,979,835
Electric Utilities - 1.7%
Commonwealth Edison Co.:
4.70%, 4/15/15		1,000		1,098,955
5.88%, 2/01/33		3,500		4,186,728
Duke Energy Corp.:
2.15%, 11/15/16		2,100		2,140,622
5.05%, 9/15/19		2,000		2,276,360
FirstEnergy Solutions Corp., 6.05%, 8/15/21		1,200		1,346,824
Ipalco Enterprises, Inc., 5.00%, 5/01/18		850		845,750
MidAmerican Energy Holdings Co., 5.75%, 4/01/18		6,550		7,699,034
Northern States Power Co, 5.25%, 7/15/35		2,500		2,890,203
Oncor Electric Delivery Co. LLC, 5.95%, 9/01/13		2,750		2,928,720
Pacific Gas & Electric Co.:
5.63%, 11/30/17		1,500		1,782,996
3.25%, 9/15/21 (c)		2,900		2,935,829
PacifiCorp:
5.50%, 1/15/19		1,300		1,526,919
6.25%, 10/15/37		1,000		1,274,240
Progress Energy, Inc.:
4.88%, 12/01/19		3,100		3,457,219
4.40%, 1/15/21		3,700		4,037,976
3.15%, 4/01/22		950		928,569
Southern Co. (The), 4.15%, 5/15/14		900		961,535
				42,318,479
Electrical Equipment - 0.1%
Roper Industries, Inc., 6.25%, 9/01/19		1,500		1,759,820
Electronic Equipment, Instruments & Components - 0.1%
Tyco Electronics Group SA, 6.55%, 10/01/17		2,900		3,433,472
Food Products - 0.7%
ConAgra Foods, Inc., 7.13%, 10/01/26		2,400		2,861,319
General Mills, Inc., 5.65%, 2/15/19		1,400		1,662,147
Hershey Co. (The), 4.13%, 12/01/20		1,550		1,705,888
Kellogg Co.:
4.45%, 5/30/16		100		110,681
3.25%, 5/21/18		1,550		1,636,268
Kraft Foods, Inc., 5.38%, 2/10/20		3,600		4,161,755
Mead Johnson Nutrition Co., 4.90%, 11/01/19		4,500		5,037,219
				17,175,277
Health Care Equipment & Supplies - 0.1%
Covidien International Finance SA, 4.20%, 6/15/20		1,700		1,837,197
Health Care Providers & Services - 1.2%
Aetna, Inc., 6.75%, 12/15/37		900		1,144,417
AmerisourceBergen Corp.:
4.88%, 11/15/19		900		1,009,651
3.50%, 11/15/21		6,250		6,376,294
Cardinal Health, Inc., 4.63%, 12/15/20		4,300		4,738,462
DaVita, Inc., 6.38%, 11/01/18		3,550		3,718,625
Health Net, Inc., 6.38%, 6/01/17		2,300		2,461,000

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(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Health Care Providers & Services (Cont.)
Humana, Inc., 6.45%, 6/01/16	$	4,100	$	4,662,323
UnitedHealth Group, Inc.:
4.70%, 2/15/21 (c)		3,100		3,477,146
6.88%, 2/15/38		1,700		2,230,560
				29,818,478
Hotels, Restaurants & Leisure - 0.7%
McDonald’s Corp.:
6.30%, 10/15/37		1,000		1,334,025
4.88%, 7/15/40		1,600		1,779,659
Wyndham Worldwide Corp.:
6.00%, 12/01/16 (c)		24		26,751
5.75%, 2/01/18		3,400		3,786,145
4.25%, 3/01/22		1,550		1,519,504
Yum! Brands, Inc.:
4.25%, 9/15/15		2,000		2,169,618
6.25%, 3/15/18		2,500		2,978,202
5.30%, 9/15/19		2,241		2,524,041
6.88%, 11/15/37		2,100		2,682,017
				18,799,962
Household Durables - 0.0%
Tupperware Brands Corp., 4.75%, 6/01/21		900		915,467
Household Products - 0.0%
Kimberly-Clark Corp., 2.40%, 3/01/22		1,250		1,208,226
Independent Power Producers & Energy Traders - 0.2%
Constellation Energy Group, Inc., 5.15%, 12/01/20 (c)		3,200		3,523,978
Exelon Generation Co. LLC, 5.75%, 10/01/41		500		558,100
PSEG Power LLC, 4.15%, 9/15/21		1,150		1,184,626
Southern Power Co., 5.15%, 9/15/41		1,000		1,047,872
				6,314,576
Industrial Conglomerates - 0.4%
Tyco International Finance SA, 8.50%, 1/15/19		8,000		10,368,224
Insurance - 0.6%
The Allstate Corp., 5.20%, 1/15/42		1,500		1,569,261
American International Group:
6.40%, 12/15/20		1,200		1,358,075
8.18%, 5/15/68 (a)		500		529,250
Berkshire Hathaway, Inc., 1.90%, 1/31/17		2,400		2,427,458
Markel Corp., 5.35%, 6/01/21		1,300		1,355,530
Marsh & McLennan Cos., Inc.:
5.75%, 9/15/15		400		448,641
9.25%, 4/15/19		200		263,534
4.80%, 7/15/21		1,600		1,748,435
Protective Life Corp., 8.45%, 10/15/39		300		347,334
Willis Group Holdings Plc, 4.13%, 3/15/16		2,600		2,642,866
XL Group Ltd., 5.75%, 10/01/21		1,400		1,526,293
				14,216,677
Internet & Catalog Retail - 0.1%
Export-Import Bank of Korea, 4.00%, 1/29/21		1,446		1,422,915
Internet Software & Services - 0.1%
Digital Realty Trust LP, 5.88%, 2/01/20		2,800		3,049,833
IT Services - 0.6%
International Business Machines Corp.:
2.00%, 1/05/16		8,600		8,828,657

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(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
IT Services (Cont.)
7.63%, 10/15/18	$	2,050	$	2,734,550
5.60%, 11/30/39		1,600		1,957,365
The Western Union Co., 6.20%, 11/17/36		600		629,343
				14,149,915
Leisure Equipment & Products - 0.1%
Mattel, Inc.:
2.50%, 11/01/16		750		767,237
5.45%, 11/01/41		1,800		1,874,479
				2,641,716
Life Sciences Tools & Services - 0.2%
Bio-Rad Laboratories, Inc., 4.88%, 12/15/20		4,100		4,195,153
Thermo Fisher Scientific, Inc., 3.25%, 11/20/14		1,600		1,700,515
				5,895,668
Machinery - 0.3%
Case New Holland, Inc., 7.75%, 9/01/13		3,191		3,398,415
Danaher Corp., 2.30%, 6/23/16		450		466,121
Dover Corp., 4.30%, 3/01/21 (c)		2,400		2,688,473
				6,553,009
Media - 1.1%
CBS Corp., 5.90%, 10/15/40		2,200		2,437,125
Comcast Corp., 5.70%, 5/15/18		2,450		2,891,561
DIRECTV Holdings LLC/DIRECTV Financing Co., 5.15%, 3/15/42 (b)		1,100		1,071,602
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.63%, 5/15/16		4,800		5,028,000
DISH DBS Corp.:
7.88%, 9/01/19 (c)		2,700		3,105,000
6.75%, 6/01/21		1,200		1,293,000
NBCUniversal Media LLC, 6.40%, 4/30/40		500		601,278
News America, Inc., 4.50%, 2/15/21		2,500		2,665,838
Scripps Networks Interactive, Inc., 2.70%, 12/15/16		2,300		2,379,957
Time Warner, Inc.:
8.25%, 4/01/19		2,350		3,005,420
6.25%, 3/29/41		1,100		1,256,918
Viacom, Inc., 4.38%, 9/15/14		1,300		1,401,598
				27,137,297
Metals & Mining - 0.4%
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22		3,400		3,265,421
Kinross Gold Corp., 6.88%, 9/01/41 (b)		700		711,695
Newmont Mining Corp., 6.25%, 10/01/39		3,000		3,333,948
Xstrata Canada Corp., 6.20%, 6/15/35		1,000		1,044,929
Xstrata Canada Financial Corp., 6.00%, 11/15/41 (b)		650		675,492
				9,031,485
Multi-Utilities - 0.4%
Consolidated Edison Co. of New York, Inc., 4.20%, 3/15/42		2,400		2,366,503
Dominion Resources, Inc.:
6.40%, 6/15/18 (c)		4,050		4,958,698
4.45%, 3/15/21		2,100		2,316,899
SCANA Corp., 4.13%, 2/01/22		500		500,252
				10,142,352
Multiline Retail - 0.1%
Nordstrom, Inc.:
4.00%, 10/15/21		1,200		1,276,780
7.00%, 1/15/38		600		802,381
				2,079,161

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March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Oil, Gas & Consumable Fuels - 2.6%
Anadarko Petroleum Corp., 6.45%, 9/15/36	$	1,000	$	1,157,602
BP Capital Markets Plc:
3.13%, 10/01/15		700		739,878
3.20%, 3/11/16		1,500		1,589,304
3.56%, 11/01/21		1,900		1,956,466
Buckeye Partners LP, 4.88%, 2/01/21		550		572,251
ConocoPhillips, 6.50%, 2/01/39		4,500		5,976,522
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		500		588,281
Encana Corp., 6.50%, 5/15/19 (c)		400		472,267
Energy Transfer Partners LP:
9.70%, 3/15/19		842		1,076,491
9.00%, 4/15/19		373		462,570
Enterprise Products Operating LLC:
5.20%, 9/01/20		500		558,426
5.75%, 3/01/35		1,500		1,619,521
5.95%, 2/01/41		900		1,002,637
Husky Energy, Inc.:
3.95%, 4/15/22		5,300		5,335,642
6.80%, 9/15/37		1,000		1,227,097
Kinder Morgan Energy Partners LP, 3.95%, 9/01/22		4,400		4,356,273
Linn Energy LLC/Linn Energy Finance Corp.:
6.50%, 5/15/19 (b)		300		294,000
6.25%, 11/01/19 (b)(c)		3,200		3,104,000
8.63%, 4/15/20		3,200		3,448,000
7.75%, 2/01/21		250		259,375
Marathon Petroleum Corp., 6.50%, 3/01/41		1,830		1,976,839
Noble Energy, Inc., 4.15%, 12/15/21		800		817,691
ONEOK Partners LP, 6.85%, 10/15/37		1,300		1,550,710
Petrobras International Finance Co., 5.38%, 1/27/21		2,200		2,368,826
Petrobras International Finance Co. - Pifco, 6.75%, 1/27/41		500		579,883
Petroleos Mexicanos:
5.50%, 1/21/21		1,100		1,212,750
4.88%, 1/24/22 (b)		2,600		2,730,000
Petronas Capital Ltd., 5.25%, 8/12/19		2,200		2,452,505
Phillips 66, 4.30%, 4/01/22 (b)		3,700		3,763,636
Plains All American Pipeline LP/PAA Finance Corp.:
8.75%, 5/01/19		600		781,496
6.70%, 5/15/36		1,000		1,167,604
5.15%, 6/01/42		700		683,834
TransCanada PipeLines Ltd.:
6.50%, 8/15/18		2,850		3,516,387
3.80%, 10/01/20		4,200		4,502,980
Williams Partners LP:
3.80%, 2/15/15		800		850,082
4.00%, 11/15/21		1,150		1,162,054
				65,913,880
Paper & Forest Products - 0.5%
Domtar Corp.:
10.75%, 6/01/17		1,500		1,938,750
4.40%, 4/01/22		5,600		5,533,797
International Paper Co.:
9.38%, 5/15/19		1,600		2,114,009
7.50%, 8/15/21		2,100		2,647,067
				12,233,623

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March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Pharmaceuticals - 0.7%
Abbott Laboratories:
4.13%, 5/27/20	$	2,000	$	2,235,352
5.30%, 5/27/40		1,400		1,618,870
AstraZeneca Plc, 6.45%, 9/15/37		1,500		1,956,063
Eli Lilly & Co., 5.55%, 3/15/37		1,700		2,016,458
GlaxoSmithKline Capital, Inc.:
5.65%, 5/15/18		1,200		1,449,168
6.38%, 5/15/38		500		660,575
Pfizer, Inc., 6.20%, 3/15/19		1,500		1,877,102
Sanofi-Aventis SA, 2.63%, 3/29/16		2,400		2,512,966
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		2,800		2,834,381
				17,160,935
Professional Services - 0.0%
Dun & Bradstreet Corp. (The), 2.88%, 11/15/15		600		618,081
Real Estate - 0.1%
Simon Property Group LP, 4.75%, 3/15/42		1,900		1,811,566
Real Estate Investment Trusts (REITs) - 0.5%
American Tower Corp.:
4.63%, 4/01/15		4,000		4,260,688
4.70%, 3/15/22		4,400		4,435,363
Health Care REIT, Inc., 5.25%, 1/15/22		2,000		2,092,018
Hospitality Properties Trust, 6.70%, 1/15/18		1,400		1,559,691
Simon Property Group LP, 5.65%, 2/01/20		1,000		1,144,677
				13,492,437
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC, 5.40%, 6/01/41		2,700		2,933,407
CSX Corp., 5.75%, 3/15/13		2,600		2,717,892
Norfolk Southern Corp., 5.75%, 1/15/16		1,100		1,272,401
Union Pacific Corp., 6.13%, 2/15/20		1,300		1,587,948
				8,511,648
Semiconductors & Semiconductor Equipment - 0.1%
Intel Corp., 3.30%, 10/01/21		2,100		2,169,611
Software - 0.3%
BMC Software, Inc., 4.25%, 2/15/22		700		701,759
Oracle Corp.:
5.25%, 1/15/16		1,500		1,721,333
5.75%, 4/15/18		550		668,642
5.38%, 7/15/40		3,100		3,584,434
				6,676,168
Specialty Retail - 1.3%
Advance Auto Parts, Inc., 4.50%, 1/15/22		3,100		3,187,600
AutoZone, Inc., 4.00%, 11/15/20		6,600		6,844,378
The Gap, Inc., 5.95%, 4/12/21		2,135		2,154,529
Limited Brands, Inc.:
6.90%, 7/15/17		2,167		2,410,787
8.50%, 6/15/19		4,000		4,730,000
Macy’s Retail Holdings, Inc.:
7.45%, 7/15/17		1,000		1,214,015
3.88%, 1/15/22		1,950		1,955,684

119

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March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Specialty Retail (Cont.)
McDonald’s Corp., 3.70%, 2/15/42	$	1,800	$	1,664,003
O’Reilly Automotive, Inc., 4.63%, 9/15/21		5,300		5,587,138
The Sherwin-Williams Co., 3.13%, 12/15/14		3,300		3,492,654
				33,240,788
Tobacco - 0.8%
Altria Group, Inc.:
9.70%, 11/10/18		2,750		3,736,772
9.25%, 8/06/19		1,100		1,479,203
9.95%, 11/10/38		200		304,209
Lorillard Tobacco Co., 3.50%, 8/04/16		1,200		1,249,366
Philip Morris International, Inc.:
4.88%, 5/16/13		2,200		2,307,338
5.65%, 5/16/18		4,300		5,125,015
2.90%, 11/15/21		2,700		2,662,430
6.38%, 5/16/38		1,500		1,864,299
4.50%, 3/20/42		1,300		1,282,490
				20,011,122
Transportation Infrastructure - 0.0%
Canadian Pacific Railway Co., 7.13%, 10/15/31		1,000		1,167,472
Wireless Telecommunication Services - 0.4%
America Movil SAB de CV, 5.00%, 3/30/20		2,800		3,113,589
American Tower Corp.:
4.50%, 1/15/18		2,100		2,206,470
5.05%, 9/01/20		2,300		2,376,588
Vodafone Group Plc:
2.88%, 3/16/16 (c)		1,800		1,885,948
5.63%, 2/27/17		950		1,111,225
				10,693,820
Total Corporate Bonds - 24.6%				628,017,933
Foreign Agency Obligations
Brazilian Government International Bond, 5.63%, 1/07/41		1,500		1,728,750
Colombia Government International Bond:
4.38%, 7/12/21		4,300		4,676,250
7.38%, 9/18/37		800		1,122,000
6.13%, 1/18/41		1,400		1,715,000
Mexico Government International Bond, 4.75%, 3/08/44		5,800		5,684,000
Panama Government International Bond, 6.70%, 1/26/36		800		1,052,000
Peruvian Government International Bond, 7.13%, 3/30/19 (c)		3,000		3,825,000
South Africa Government International Bond, 5.50%, 3/09/20		2,000		2,230,000
Total Foreign Agency Obligations - 0.9%				22,033,000
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations - 1.4%
Banc of America Funding Corp.:
Series 2005-8, Class 4A27, 5.75%, 1/25/36		806		813,243
Series 2006-6, Class 1A12, 5.75%, 8/25/36		55		54,555
Citicorp Mortgage Securities, Inc.:
Series 2006-1, Class 2A1, 5.00%, 2/25/21		778		789,674
Series 2007-3, Class 1A7, 6.00%, 4/25/37		774		772,726
Countrywide Alternative Loan Trust:
Series 2005-51, Class 1A2A, 0.53%, 11/20/35 (a)		1,632		1,592,831
Series 2006-HY12, Class A1, 5.52%, 8/25/36 (a)		589		580,943
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 4A3, 4.54%, 6/19/35 (a)		2,851		2,858,007

120

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March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Non-Agency Mortgage-Backed Securities (Cont.)	Par (000)			Value
Collateralized Mortgage Obligations (Cont.)
Greenpoint Mortgage Funding Trust:
Series 2006-AR4, Class A1A, 1.00%, 9/25/46 (a)	$	—	(d)	$	17
Series 2006-AR5, Class A1A, 0.32%, 10/25/46 (a)		731			715,288
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A2, 2.69%, 1/25/36 (a)		2,496			2,443,678
Holmes Master Issuer Plc, Series 2007-2A, Class 4A, 0.67%, 7/15/20		7,200			7,194,902
HSI Asset Securitization Corp. Trust, Series 2005, Class 2A4, 0.63%, 8/25/35 (a)		1,189			1,111,171
JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A2, 0.30%, 12/25/36 (a)		60			59,253
Residential Accredit Loans, Inc., Series 2004-QS9, Class A1, 5.00%, 6/25/19		653			653,212
Thornburg Mortgage Securities Trust:
Series 2007-2, Class A1, 0.38%, 6/25/37 (a)		493			492,619
Series 2007-2, Class A3A, 0.37%, 6/25/37 (a)		7,318			7,313,576
Series 2007-3, Class 4A3, 0.45%, 6/25/47		6,669			6,634,781
Wells Fargo Mortgage Backed Securities Trust:
Series 2003-11, Class 1A13, 4.75%, 10/25/18		643			659,444
Series 2005-7, Class A3, 5.25%, 9/25/35		607			606,130
					35,346,050
Commercial Mortgage-Backed Securities - 2.1%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2004-6, Class A3, 4.51%, 12/10/42		494			503,528
Bear Stearns Commercial Mortgage Securities, Series 2002-TOP8, Class A2, 4.83%, 8/15/38		3,925			3,961,494
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.07%, 12/10/49 (a)		2,500			2,894,377
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class AM, 5.23%, 7/15/44		1,300			1,396,000
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2002-CKN2, Class A3, 6.13%, 4/15/37		207			206,361
Series 2005-C5, Class AM, 5.10%, 8/15/38 (a)		1,500			1,606,926
CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.22%, 8/15/48		3,000			3,292,041
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A2, 5.42%, 12/10/49		1,437			1,436,205
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5, 5.22%, 4/10/37 (a)		3,000			3,269,037
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2002-CIB4, Class A3, 6.16%, 5/12/34		693			692,581
Series 2003-PM1A, Class A4, 5.33%, 8/12/40		6,500			6,803,095
Series 2005-CB12, Class A3A1, 4.82%, 9/12/37		585			584,308
Series 2007-CB19, Class A3, 5.93%, 2/12/49 (a)		4,300			4,590,882
LB-UBS Commercial Mortgage Trust:
Series 2006-C7, Class A2, 5.30%, 11/15/38		3,591			3,594,777
Series 2007-C6, Class A4, 5.86%, 7/15/40 (a)		5,700			6,446,552
Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2006-1, Class A2, 5.44%, 2/12/39 (a)		239			238,607
Merrill Lynch Mortgage Trust:
Series 2002-MW1, Class A4, 5.62%, 7/12/34		2,419			2,417,559
Series 2004-MKB1, Class A3, 4.89%, 2/12/42		396			400,746
Morgan Stanley Dean Witter Capital I, Series 2002-IQ3, Class A4, 5.08%, 9/15/37		1,603			1,626,510
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, 5/15/46		6,000			6,798,912
					52,760,498
Total Non-Agency Mortgage-Backed Securities - 3.5%					88,106,548
Preferred Securities
Capital Trusts
Insurance - 0.2%
Aon Corp., 8.21%, 1/01/27		1,700			1,968,792
Chubb Corp. (The):
6.00%, 5/11/37		800			973,451
6.38%, 3/29/67 (a)		2,550			2,632,875
					5,575,118
Total Capital Trusts - 0.2%					5,575,118

121

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

Preferred Securities (Cont.)	Shares		Value
Trust Preferred - 0.2%
Diversified Financial Services - 0.2%
JPMorgan Chase Capital XXVII, 7.00%, 11/01/39	$	3,500	$	3,547,250
Total Preferred Securities - 0.4%				9,122,368
Preferred Stocks	Par (000)		Value
Diversified Telecommunication Services - 0.2%
Qwest Corp. 7.38%		196,000		5,103,840
Total Preferred Stocks - 0.2%				5,103,840
Taxable Municipal Bonds
Chicago, Illinois Waterworks Revenue, 6.74%, 11/01/40		150		193,251
Massachusetts State Transportation Fund Revenue, 5.73%, 6/01/40		150		188,421
New Jersey State Turnpike Authority Revenue, 7.10%, 1/01/41		700		957,628
New York City Transitional Finance Authority Revenue, 5.57%, 11/01/38		450		534,402
Orange County Local Transportation Authority Sales Tax Revenue, 6.91%, 2/15/41		450		602,631
Port Authority of New York & New Jersey Revenue, 5.65%, 11/01/40		800		943,736
San Diego County Regional Transportation Commission Revenue, 5.91%, 4/01/48		600		763,572
San Francisco City & County Public Utilities Commission Revenue, 6.95%, 11/01/50		900		1,214,775
State of California:
7.55%, 4/01/39		400		518,992
7.63%, 3/01/40		1,150		1,497,829
7.60%, 11/01/40		250		327,585
State of Mississippi, 5.25%, 11/01/34		600		692,034
University of Missouri System Facilities Revenue, 5.79%, 11/01/41		300		386,475
Total Taxable Municipal Bonds - 0.3%				8,821,331
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations - 1.0%
Fannie Mae REMICS:
Series 2007-54, Class PF, 0.46%, 6/25/37 (a)		5,520		5,485,040
Series 2010-35, Class EF, 0.79%, 4/25/40 (a)		6,785		6,791,340
Series 2010-89, Class CF, 0.69%, 2/25/38 (a)		5,739		5,733,245
Freddie Mac Mortgage Backed Securities:
Series 3667, Class FW, 0.79%, 2/15/38 (a)		4,236		4,240,188
Series 3807, Class FN, 0.74%, 2/15/41 (a)		3,923		3,922,884
				26,172,697
Mortgage-Backed Securities - 78.1%
Fannie Mae Mortgage Backed Securities:
2.39%, 8/01/33		2,795		2,935,182
2.46%, 2/01/42		45		46,372
2.46%, 5/01/33 (a)		3,556		3,718,084
2.49%, 1/01/36 (a)		1,728		1,843,501

122

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

U.S. Government Sponsored Agency Securities (Cont.)	Par (000)		Value
Mortgage-Backed Securities (Cont.)
2.52%, 1/01/35 (a)	$	1,603	$	1,708,435
2.75%, 8/01/41 (a)		3,721		3,864,340
2.81%, 1/01/42		1,005		1,043,801
3.00%, 2/01/26 - 4/01/27 (e)		10,848		11,239,426
3.31%, 9/01/41 (a)		2,169		2,276,443
3.36%, 4/01/40 (a)		514		539,068
3.50%, 2/01/26 - 4/01/42 (e)		304,402		313,050,507
3.60%, 5/01/40 (a)		3,520		3,705,915
4.00%, 8/01/25 - 4/01/42 (e)		374,479		393,034,698
4.50%, 10/01/24 - 4/01/42 (e)		275,997		293,676,818
5.00%, 1/01/18 - 4/01/42 (e)		170,410		184,265,153
5.50%, 9/01/19 - 4/01/42 (e)		148,947		162,628,318
6.00%, 11/01/22 - 4/01/42 (e)		127,581		140,732,625
6.50%, 12/01/30 - 12/01/32		16,158		18,464,755
Freddie Mac Mortgage Backed Securities:
2.22%, 10/01/33 (a)		1,573		1,649,684
2.62%, 11/01/36 (a)		1,691		1,787,038
2.66%, 1/01/42		55		56,868
3.00%, 1/01/27 - 4/01/27 (e)		6,954		7,198,494
3.26%, 8/01/41 (a)		2,538		2,657,015
3.34%, 7/01/41 (a)		1,496		1,571,184
3.35%, 2/01/40 (a)		3,546		3,721,151
3.50%, 12/01/25 - 4/01/42 (e)		22,223		23,005,144
4.00%, 3/01/26 - 1/01/42 (e)		40,504		42,539,679
4.50%, 8/01/20 - 4/01/42 (e)		55,248		58,660,178
4.55%, 4/01/38 (a)		4,217		4,516,847
5.00%, 10/01/20 - 4/01/42 (e)		56,802		61,238,191
5.50%, 12/01/27 - 4/01/42 (e)		27,771		30,257,583
6.00%, 12/01/28 - 1/01/38		21,020		23,305,732
6.50%, 5/01/21 - 1/01/36		3,695		4,196,003
Ginnie Mae Mortgage Backed Securities:
3.50%, 12/15/40 - 4/01/42 (e)		8,950		9,330,157
4.00%, 9/15/40 - 4/01/42 (e)		35,962		38,775,365
4.50%, 3/15/39 - 4/01/42 (e)		56,686		61,878,938
5.00%, 9/15/39 - 5/20/41		42,729		47,404,488
5.50%, 6/15/34 - 11/20/39		15,433		17,217,113
6.00%, 9/20/38 - 4/01/42 (e)		8,875		9,999,889
				1,989,740,182
Total U.S. Government Sponsored Agency Securities - 79.1%				2,015,912,879
U.S. Treasury Obligations
U.S. Treasury Bonds:
6.38%, 8/15/27 (c)		24,068		34,721,845
6.25%, 5/15/30		27,228		39,863,187
5.00%, 5/15/37 (c)		23,800		31,200,324
4.38%, 5/15/40 (c)(f)		23,100		27,759,709
3.88%, 8/15/40		20,650		22,840,841
4.25%, 11/15/40		4,640		5,464,324
4.38%, 5/15/41		4,931		5,927,989
U.S. Treasury Inflation Indexed Notes:
1.88%, 7/15/13		35,918		37,801,337
0.13%, 1/15/22		36,253		37,113,857
U.S. Treasury Notes:
1.25%, 2/15/14		61,000		62,031,754
1.75%, 3/31/14		33,000		33,915,222
2.63%, 12/31/14 (c)		61,990		65,568,931
2.75%, 12/31/17 (c)		26,500		28,688,317
1.75%, 10/31/18		1,041		1,057,509
Total U.S. Treasury Obligations - 17.0%				433,955,146
Total Long-Term Investments (Cost - $ 3,291,347,130) - 132.8 %				3,385,417,374
Short-Term Securities

123

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

	Shares		Value
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.25% (g)(h)(i)		635,732,183	$	635,732,183
BlackRock Cash Funds: Prime, SL Agency Shares, 0.24% (g)(h)(i)		55,216,234		55,216,234
				690,948,417
Total Short-Term Securities (Cost - $ 690,948,417) - 27.1 %				690,948,417
Total Investments Before TBA Sale Commitments (Cost - $ 3,982,295,547*) - 159.9 %				4,076,365,791
	Par
TBA Sale Commitments (e)	(000)
Fannie Mae Mortgage Backed Securities:
3.50%, 2/01/26 - 4/01/42	$	505,200		(518,799,093	)
4.00%, 8/01/25 - 4/01/42		583,069		(611,323,607	)
4.50%, 10/01/24 - 4/01/42		194,100		(206,449,797	)
5.00%, 1/01/18 - 4/01/42		176,690		(190,852,808	)
5.50%, 9/01/19 - 4/01/42		99,100		(107,972,547	)
6.00%, 11/01/22 - 4/01/42		85,700		(94,417,297	)
Freddie Mac Mortgage Backed Securities:
3.50%, 12/01/25 - 4/01/42		5,000		(5,120,895	)
Ginnie Mae Mortgage Backed Securities:
4.00%, 9/15/40 - 4/01/42		4,000		(4,350,625	)
4.50%, 3/15/39 - 4/01/42		1,000		(1,087,656	)
5.00%, 9/15/39 - 5/20/41		8,000		(8,836,250	)
Total TBA Sale Commitments (Proceeds - $1,751,827,485) - (68.6)%				(1,749,210,575	)
Total Investments Net of TBA Sale Commitments - 91.3%				2,327,155,216
Other Assets Less Liabilities - 8.7%				221,371,967
Net Assets - 100.0%			$	2,548,527,183

* As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	3,984,263,875
Gross unrealized appreciation	$	99,122,318
Gross unrealized depreciation		(7,020,402	)
Net unrealized appreciation	$	92,101,916

(a) Variable rate security. Rate shown is as of report date.

(b) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

(d) Amount is less than $500.

124

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SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Percentages shown are based on Net Assets)

(Unaudited)

(e) Represents or includes a “to-be-announced” (“TBA”) transaction. Unsettled TBA transactions as of March 31, 2012 were as follows:

Counterparty	Market Value			Unrealized Appreciation (Depreciation)
Bank of America Securities	$	(27,280,261	)	$	71,538
Barclays Capital Inc.	$	(142,731,838	)	$	(30,188	)
BNP Paribas	$	(150,840,578	)	$	(244,758	)
Citigroup Global	$	(61,349,746	)	$	(351,158	)
Credit Suisse Securities LLC	$	(245,909,953	)	$	(1,513,916	)
Deutsche Bank Securities, Inc.	$	161,047,063		$	(267,735	)
Goldman Sachs & Co.	$	258,118,761		$	1,663,890
JPMorgan Securities, Ltd.	$	110,542,538		$	327,357
Morgan Stanley Capital Services, Inc.	$	(189,208,335	)	$	(946,246	)
Nomura Securities	$	3,537,172		$	(67,152	)
R.B.C. Dominion Securities	$	66,153,687		$	220,264
RBS Securities LLC	$	(172,501,484	)	$	119,170
UBS Securities LLC	$	(76,925,458	)	$	(132,251	)
Wells Fargo Securities	$	33,160,250		$	(17,935	)

(f) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

(g) Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2011		Net Activity		Shares Held at March 31, 2012		Income
BlackRock Cash Funds:
Institutional, SL Agency Shares		559,553,070		76,179,112		635,732,182	$	316,845
BlackRock Cash Funds:
Prime, SL Agency Shares		36,989,307		18,226,927		55,216,234	$	13,991

(h) Represents the current yield as of report date.

(i) All or a portion of this security was purchased with the cash collateral from loaned securities.

• For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of March 31, 2012 were as follows:

Contracts	Issue	Exchange		Expiration	Notional Value		Unrealized Appreciation (Depreciation)
262	Euro-Dollar Future		Chicago Mercantile	June 2014	$	64,838,450	$	41,920
3,333	2-Year U.S. Treasury Notes		Chicago Mercantile	June 2012	$	733,728,706		(95,124	)
3,042	5-Year U.S. Treasury Notes		Chicago Mercantile	June 2012	$	372,763,830		149,742
2,512	10-Year U.S. Treasury Notes		Chicago Mercantile	June 2012	$	325,264,750		(869,522	)
49	Ultra Long U.S. Treasury Bonds		Chicago Mercantile	June 2012	$	7,397,469		14,526
Total							$	(758,458	)

• Financial futures contracts sold as of March 31, 2012 were as follows:

125

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

March 31, 2012

(Unaudited)

Contracts	Issue	Exchange		Expiration	Notional Value		Unrealized Depreciation
19	30-Year U.S. Treasury Bonds		Chicago Mercantile	June 2012	$	65,569,000	$	298,305

• Credit default swaps on single-name issues – sold protection outstanding as of March 31, 2012 were as follows:

Issuer	Receive Fixed Rate			Counterparty/ Exchange	Expiration Date	Issuer Credit Rating1		Notional Amount (000)2		Unrealized Appreciation
General Electric Capital Corp.		3.25	%	Deutsche Bank AG	12/20/13		AA+	$	4,000	$	175,919

• Credit default swaps on traded indexes – sold protection outstanding as of March 31, 2012 were as follows:

Index	Receives Fixed Rate			Counterparty/ Exchange		Expiration Date	Issuer Credit Rating1	Notional Amount (000)2		Unrealized Appreciation
Dow Jones CDX North America Investment Grade		1.00	%		Deutsche Bank AG	12/20/16	BBB+	$	65,800	$	372,960
Dow Jones CDX North America Investment Grade		1.00	%		Deutsche Bank AG	12/20/16	BBB+		112,500		652,605
Total										$	1,025,565

¹  Using S&P’s rating.

²  The maximum potential amount the Master Portfolio may pay should a negative event take place as defined under the terms of agreement.

• Interest rate swaps outstanding as of December 31, 2011 were as follows:

Fixed Rate	Floating Rate		Counterparty/ Exchange	Expiration Date	Notional Amount (000)		Unrealized Depreciation
1.71%1		3-month LIBOR	RBS PLC	11/14/18	$	58,000	$	(35,094	)

¹ Pays fixed interest rate and receives floating rate.

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

• Level 1—unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

126

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

March 31, 2012

(Unaudited)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s 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 Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report. The following tables summarize the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolio’s investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	174,344,329			—	$	174,344,329
Corporate Bonds		—		628,017,933			—		628,017,933
Foreign Agency Obligations		—		22,033,000			—		22,033,000
Non-Agency Mortgage- Backed Securities		—		88,106,548			—		88,106,548
Preferred Securities		—		9,122,368			—		9,122,368
Preferred Stocks	$	5,103,840		—			—		5,103,840
Taxable Municipal Bonds		—		8,821,331			—		8,821,331
U.S. Government Sponsored Agency Securities		—		2,015,912,879			—		2,015,912,879
U.S. Treasury Obligations		—		433,955,146			—		433,955,146
Short-Term Securities:
Money Market Funds		690,948,417		—			—		690,948,417
Liabilities:
TBA Sale Commitments		—		(1,749,210,575	)		—		(1,749,210,575	)
Total	$	696,052,257	$	1,631,102,959			—	$	2,327,155,216

Valuation Inputs	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Credit contracts		—		$	1,201,484			—	$	1,201,484
Interest rate contracts	$	298,305			—			—		298,305
Liabilities:
Credit contracts		—			—			—		—
Interest rate contracts		(758,458	)		(35,094	)		—		(793,552	)
Total	$	(460,153	)	$	1,166,390			—	$	706,237

¹  Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Master Portfolio’s liabilities are held at carrying amount which approximates fair value. Such liabilities would be categorized within the disclosure hierarchy as follows:

	Level 1			Level 2		Level 3		Total
Liabilities:
Cash received as collateral for swap contracts	$	(470,000	)		—		—	$	(470,000	)
Collateral on securities loaned		(405,177,263	)		—		—		(405,177,263	)
Total	$	(405,647,263	)		—		—	$	(405,647,263	)

There were no transfers between levels during the period ended March 31, 2012.

127

Pursuant to Securities and Exchange Commission Staff guidance contained in Letter to Chief Financial Officers from Lawrence A. Friend, dated November 7, 1997, “Investment Co. Accounting Guidance,” the foregoing State Farm Mutual Fund Trust Schedules of Investments included as Item 1 on this Form N-Q, includes the schedules of investments and notes to schedules of investments of eight series of Master Investment Portfolio (MIP). MIP is unaffiliated with registrant and neither registrant nor the certifying officers to this Form N-Q have any control over the preparation or content of the information included in MIP’s schedules of investments and notes to schedules of investments included herein.

ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer evaluated the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”) (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of this report (the “Evaluation Date”), and based on their evaluation as of the Evaluation Date of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) (as applicable), concluded that the registrant’s disclosure controls and procedures are effective.

(b) No change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto as EX-99.CERT.

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.

State Farm Mutual Fund Trust

By	/s/ Edward B. Rust, Jr.
	Edward B. Rust, Jr. President

Date May 25, 2012

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/ Edward B. Rust, Jr.
	Edward B. Rust, Jr.
	President

Date May 25, 2012

By	/s/ Michael L. Tipsord
	Michael L. Tipsord
	Senior Vice President and Treasurer

Date May 25, 2012