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About American Beacon Advisors

Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.

Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.

Contents


President’s Message		1
Market and Performance Overview		2
Schedule of Investments		8
Financial Highlights		18
Additional Information	Back Cover

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.


American Beacon Funds			December 31, 2010

Fellow Shareholders,

The past year has told us once again that economic volatility and investment opportunity often go hand in hand. As investors contend with the possibility of rising inflation in the years ahead, they may wish to turn to an investment approach that incorporates a more defensive posture in this regard.

The American Beacon Treasury Inflation Protected Securities (TIPS) Fund is designed to help investors address the inevitable fluctuation in the rate of inflation. Like so many of our funds, the TIPS Fund is conservatively managed for the long term; it invests primarily in high-quality inflation-protected government securities.

Over the 12-month period ended December 31, 2010, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) generated a return of 5.03%.

As always, we appreciate the opportunity to assist you in the pursuit of your financial goals. We trust the enclosed market overview, portfolio listings, and financial data will provide you with valuable insight into the past year’s performance of your fund.

We thank you for your continued investment in the American Beacon Funds, and we remain focused on providing the type of responsive service and expert investment management that will sustain your confidence and earn your trust for many years to come. If you’d like to access your account information or obtain further details about the American Beacon Funds, please contact your investment advisor or visit our website at www.americanbeaconfunds.com.


		Best Regards,

		Gene L. Needles, Jr.
		President
		American Beacon Funds

Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates.

Market Overview
December 31, 2010 (Unaudited)

The economic recovery that began in 2009 continued throughout 2010, as fiscal and monetary policies appeared to have succeeded in jump-starting the economy. Accommodative monetary policies, fiscal stimulus measures and strong economic growth overseas also contributed to maintaining the moderate pace of U.S. growth.

The Economy in Review

In the first quarter, the economy was able to build on the strong momentum it gained during the fourth quarter of 2009. However, by the secondquarter, the momentum slowed noticeably, and investors once again began questioning the sustainability of the U.S. economic recovery. Real Gross Domestic Product growth pulled back to just 1.7% in the second quarter. This, along with falling inflation measures and persistently high unemployment, ultimately led the Federal Reserve to undertake a second round of the securities purchases that began in November. By year end, the stimulative financial conditions in the U.S., along with the continued strength in oversees economic growth — particularly from Asia — led to a period of above-trend economic growth. In the end, the U.S. economy expanded at nearly a 3.0% pace in 2010.

Treasury Performance

Yields on U.S. Treasury securities followed this roller coaster of growth expectations throughout the year. Notwithstanding the apparent economic recovery, Treasury yields ended 2010 lower than where they began the year. Early in 2010, yields meandered within a relatively narrow range. A strong rally in U.S. Treasury yields began early in April as heightened economic expectations failed to materialize and the European financial crises spread from Greece, threatening the stability of the overall European financial system. The increased appetite for Treasury securities caused Treasury yields to decline sharply. Then, expectations for a second round of Large Scale Asset Purchases by the Federal Reserve helped push yields still lower through early October. In the fourth quarter, expectations of an improving economy drove rates higher. According to Barclays Capital, the Treasury sector returned 5.87% for the year.

Real yields peaked in late March as investors began extrapolating the strong growth of the previous quarters into the future, and concerns grew regarding the high levels of U.S. Treasury debt issuance. A 1.30% rally in 10-year Treasury Inflation Protected Securities (TIPS) ensued over the next 6 months and concluded in October with the Federal Reserve’s formal announcement of their intention to purchase an additional $600 billion worth of U.S. Treasury securities, including TIPS. Following that announcement, U.S. Treasury yields rose sharply amid renewed optimism on economic growth and on the heightened risks of inflation being driven by the weakening U.S. dollar. Yields on 10-year TIPS ended the year just below 1%, approximately 0.40% lower than where they began the year.

Inflation’s Impact

Perhaps not surprisingly, given the improving economic outlook and continued monetary accommodation, risk-based assets and commodity prices rose in 2010. For the year, for example, both the S&P 500 and front-month crude oil futures prices rose approximately 15%.

Even given sharply increasing commodity prices, inflation as measured by the Consumer Price Index (CPI) was relatively benign in 2010. For example, in December, the CPI increased at a 1.5% year-over-year pace, higher than June’s 1.1% pace but still lower than the December 2009 level of 2.7%. And, the core CPI year-over-year (CPI excluding food and energy) increased at a 0.8% pace in December, compared to 0.9% and 1.8% in June and December 2009, respectively.

Breakeven inflation rates for 10-year TIPS peaked early in the year at 2.46% before falling to their low of 1.51% in August. Following the Fed announcement, breakevens rose dramatically, ending the year at 2.32%, just below where they began. The issuance of TIPS securities increased to $85 million in 2010 as the Treasury ramped up supply in an effort to improve liquidity in the sector and to show ongoing support for the asset class.

Declining real Treasury interest rates contributed to positive total returns for TIPS. The Barclays Capital U.S. TIPS Index returned 6.31% in 2010, while the Intermediate (1 — 10 Year maturity) TIPS Index returned 5.22%. Perhaps most interestingly, real rates exhibited unusual volatility from September through December, as expectations regarding potential additional

Market Overview
December 31, 2010 (Unaudited)

quantitative easing (QE2), and then the reality of the actual QE2 announcement, first caused rates to fall sharply and then rise nearly as sharply. First, the market’s perception that the Fed wanted to drive real rates lower — and inflation expectations higher — led to a strong period for TIPS. Quickly, though, as the Fed formally announced that it would engage in additional Treasury purchases, and as reasonably strong economic data were released, real rates rose, effectively reversing the QE2-induced rally. For example, according to Bloomberg, the yield on the TIPS 1.875% 7/15/15 fell from 0.41% on September 9 to a negative 0.53% on November 8, before rising to 0.23% on December 14.

Inflation expectations as reflected in breakeven inflation rates (the spread between similar maturity nominal and inflation-protected securities) varied in 2010. For example, while the breakeven inflation rate at the 5-year part of the curve began 2010 at approximately 1.95% and ended 2010 at approximately 1.75%, this rate rose to 2.05% in April and fell to nearly 1.10% in late August. Concerns over the potential for falling prices led to the decrease in breakevens from April to August, while apparent investor comfort with the prospect that QE2 would preclude falling prices that led to the rise in breakevens.

The Treasury Department remains committed to the TIPS program, and in 2011, auctions are anticipated at the 5-, 10-, and 30-year maturities. At the end of 2010, the total outstanding market value of the Barclays Capital U.S. TIPS Index was approximately $588 billion.

Performance Overview
American Beacon Treasury Inflation Protected Securities Fund^SM
December 31, 2010 (Unaudited)

The Institutional Class of the Fund returned 5.03% for the twelve months ended December 31, 2010, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 5.22% and the Lipper TIPS Index return of 6.52%.

Comparison of Change in Value
of a $10,000 Investment
For the Period From 6/30/04 through 12/31/10


	Annualized Total Returns									Value of
	Periods Ended 12/31/2010									$10,000
							Since Inception			6/30/04-
	1 Year			5 Years			6/30/04			12/31/10
Institutional Class(1,7,8)		5.03	%		5.11	%		4.82	%	$	13,583
Y Class (1,2,7,8)		4.81	%		5.06	%		4.79	%		13,553
Investor Class (1,3,7,8)		4.62	%		4.96	%		4.71	%		13,487
A Class without sales charge (1,4,7,8)		4.45	%		4.93	%		4.68	%		13,464
A Class with sales charge (1,4,7,8)		-0.56	%		3.90	%		3.90	%		12,823
C Class without sales charge (1,5,7,8)		4.16	%		4.87	%		4.64	%		13,427
C Class with sales charge (1,5,7,8)		3.16	%		4.87	%		4.64	%		13,427
Barclays Capital 1-10 Yr. U.S. TIPS Index(6)		5.22	%		5.41	%		5.22	%		13,920
Barclays Capital U.S. TIPS Index(6)		6.31	%		5.33	%		5.53	%		14,192
Lipper TIPS Funds Index(6)		6.52	%		4.75	%		5.13	%		13,846


1.		Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2.		Fund performance represents the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/04.

3.		Fund performance represents the total returns achieved by the Institutional Class up to 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04.

4.		Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%.

5.		Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase.

6.		The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. The Lipper TIPS Funds Index tracks the results of the 30 largest mutual funds in the Lipper TIPS Fund category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index.

7.		A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. Performance prior to waiving fees was lower than the actual returns shown.

8.		The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.36%, 0.46%, 0.68%, 0.86%, and 1.61%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

Performance Overview
American Beacon Treasury Inflation Protected Securities Fund^SM
December 31, 2010 (Unaudited)

The Fund produced strong absolute returns for the twelve-month time period. TIPS rallied during much of 2010, amid downgraded global growth expectations, increased risk aversion and uncertainty surrounding the European financial environment, and the anticipation of a second round of quantitative easing in the United States. Late in 2010, TIPS began to decline amid upward revisions in growth forecasts for the United States.

From a yield curve positioning standpoint, the Fund benefited from an underweight position in 1-3 year maturity TIPS, but an underweight allocation to 7-9 year maturity TIPS detracted from relative performance for the year. Individual security selections within the 1-3 year and 5-7 year maturity ranges and Fund expenses also contributed to the Fund’s underperformance during the period. The Fund’s average modified duration was in-line with the Index for the twelve-month period.

The Fund remains focused on investing in TIPS to provide inflation protection and income to its shareholders.

Top Ten Holdings


	% of
	Net Assets
U.S. Treasury Note, 2.375%, Due 1/15/2017		9.5	%
U.S. Treasury Note, 3.000%, Due 7/15/2012		9.0	%
U.S. Treasury Note, 1.250%, Due 7/15/2020		7.9	%
U.S. Treasury Note, 1.250%, Due 4/15/2014		7.2	%
U.S. Treasury Note, 0.500%, Due 4/15/2015		7.1	%
U.S. Treasury Note, 2.000%, Due 1/15/2014		6.9	%
U.S. Treasury Note, 2.000%, Due 7/15/2014		6.4	%
U.S. Treasury Note, 1.375%, Due 7/15/2018		5.6	%
U.S. Treasury Note, 1.625%, Due 1/15/2015		5.6	%
U.S. Treasury Note, 2.125%, Due 1/15/2019		5.4	%

Portfolio Diversification


	% of
	Fixed Income
A		0.0	%
AA		0.0	%
AAA		0.0	%
Treasury		100.0	%

Fund Expenses
American Beacon Treasury Inflation Protected Securities Fund^SM
December 31, 2010 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.

Actual Expenses

The “Actual” line of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Hypothetical Example for Comparison Purposes

The “Hypothetical” line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.


	Beginning				Expenses Paid
	Account Value		Ending Account		During Period*
	7/1/10		Value 12/31/10		7/1/10-12/31/10
Institutional Class
Actual	$	1,000.00	$	1,022.93	$	1.27
Hypothetical **	$	1,000.00	$	1,023.95	$	1.28
Y Class
Actual	$	1,000.00	$	1,029.07	$	3.07
Hypothetical **	$	1,000.00	$	1,022.18	$	3.06
Investor Class
Actual	$	1,000.00	$	1,021.02	$	3.26
Hypothetical **	$	1,000.00	$	1,021.98	$	3.26
A Class
Actual	$	1,000.00	$	1,027.14	$	5.06
Hypothetical **	$	1,000.00	$	1,020.21	$	5.04
C Class
Actual	$	1,000.00	$	1,007.71	$	5.95
Hypothetical **	$	1,000.00	$	1,010.79	$	5.96


*		Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.25%, 0.60%, 0.64%, 0.99% and 1.77% for the Institutional, Y, Investor, A and C Class, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half year period except for C Class. Beginning account value for C Class is the inception date of 9/1/10 and the days in the period were 122.

**		5% return before expenses.

American Beacon Treasury Inflation Protected Securities Fund^SM
Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of
American Beacon Treasury Inflation Protected Securities Fund:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the American Beacon Treasury Inflation Protected Securities Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Treasury Inflation Protected Securities Fund at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas
March 1, 2011

American Beacon Treasury Inflation Protected Securities Fund

Schedule of Investments
December 31, 2010


	Par Amount		Value
	($000)		($000)
U.S. TREASURY OBLIGATIONS - 99.10%
2.00%, Due 4/15/2012^A		6,025		6,244
3.00%, Due 7/15/2012^A		14,754		15,672
0.625%, Due 4/15/2013^A		1,030		1,061
1.875%, Due 7/15/2013^A		6,508		6,939
2.00%, Due 1/15/2014^A		11,100		11,917
1.25%, Due 4/15/2014^A		11,827		12,438
2.00%, Due 7/15/2014^A		10,207		11,032
1.625%, Due 1/15/2015^A		9,135		9,741
0.50%, Due 4/15/2015^A		12,085		12,353
1.875%, Due 7/15/2015^A		8,433		9,135
2.00%, Due 1/15/2016^A		5,306		5,777
2.375%, Due 1/15/2017^A		14,749		16,437
2.625%, Due 7/15/2017^A		4,764		5,422
1.625%, Due 1/15/2018^A		3,231		3,457
1.375%, Due 7/15/2018^A		9,184		9,678
2.125%, Due 1/15/2019^A		8,526		9,435
1.875%, Due 7/15/2019^A		7,913		8,603
1.375%, Due 1/15/2020^A		2,478		2,575
1.25%, Due 7/15/2020^A		13,333		13,651

Total U.S. Treasury Obligations (Cost $169,811)				171,567


	Shares
SHORT-TERM INVESTMENTS - 0.24% (Cost $421)
JPMorgan U.S. Government Money Market Fund		421,350		421

TOTAL INVESTMENTS - 99.34% (Cost $170,232)				171,988
OTHER ASSETS, NET OF LIABILITIES - 0.66%				1,142

TOTAL NET ASSETS - 100.00%			$	173,130

Percentages are stated as a percent of net assets.


^A		Inflation-Indexed Note.

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)


Assets:
Investments in securities, at value ^A	$	171,988
Dividends and interest receivable		1,267
Receivable for fund shares sold		243
Receivable for expense reimbursement (Note 2)		15
Prepaid expenses		59

Total assets		173,572

Liabilities:
Payable for fund shares redeemed		347
Management and investment advisory fees payable (Note 2)		40
Administrative service and service fees payable (Note 2)		26
Professional fees payable		19
Other liabilities		10

Total liabilities		442

Net assets	$	173,130


Analysis of Net Assets:
Paid-in-capital		183,640
Undistributed net investment income		182
Accumulated net realized loss		(12,448	)
Unrealized appreciation of investments		1,756

Net assets	$	173,130


Shares outstanding (no par value):
Institutional Class		14,952,129

Y Class		34,479

Investor Class		1,456,370

A Class		14,705

C Class		14,575


Net asset value, offering and redemption price per share:
Institutional Class	$	10.51

Y Class	$	10.60

Investor Class	$	10.48

A Class (net asset value and redemption price)	$	10.54

A Class (offering price)	$	11.07

C Class	$	10.46


^A Cost of investments in securities		$	170,232

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.

American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc., and was organized in 1986 to provide business management, advisor, administration and asset management consulting services to the Trust and other investors.

Class Disclosure

The inception dates of the Y, A, and C Classes are March 1, May 17, and September 1, 2010, respectively.

The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:


Class:		Offered to:
Institutional Class		Investors making an initial investment of $250,000
Y Class		Investors making an initial investment of $100,000
Investor Class		General public and investors investing through an intermediary
A Class		General public and investors investing through an intermediary with applicable sales charges
C Class		General public and investors investing through an intermediary with applicable sales charges

Administrative service fees, service fees and distribution fees vary amongst the classes as described more fully in footnote 2.

Security Valuation

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business.

Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.

Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.

Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).

Valuation Inputs

Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.

Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

The Fund’s investments are summarized by level based on the inputs used to determine their values. During the period there were no significant transfers between levels. As of December 31, 2010, the Fund’s investments were classified as follows: (in thousands)


	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	171,567		—	$	171,567
Short term investments		421		—		—		421

Total	$	421	$	171,567		—	$	171,988

Security Transactions and Investment Income

Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The value of the security may vary with market fluctuations.

Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.

Dividends to Shareholders

Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

Other

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the year ended December 31, 2010 were as follows:


		Amount paid to
Management Fee		Investment	Net Amount Retained
Rate	Management Fee	Sub-Advisor	by Manager
0.15%-0.19%	$229,529	$132,034	$97,495

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the average daily net assets of the Institutional Class and 0.30% of the average daily net assets of the Y and Investor Classes and 0.40% of the average daily net assets of the A and C Classes of the Fund. Administrative Service fees for the Y, A, and C Classes for the period ended December 31, 2010 were less than $500.

Distribution Plans

The Fund, except for the A and C Classes of the Fund, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares.

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expense incurred in a particular month by the Manager for distribution assistance. Distribution fees for the A and C Classes for the period ended December 31, 2010 were less than $500.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

Service Plan

The Manager and the Fund entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y, A, and C Classes for the period ended December 31, 2010 were less than $500.

Interfund Lending Program

Pursuant to an exemptive order by the Securities Exchange Commission (the “SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the year ended December 31, 2010, the Fund did not utilize the credit facility.

Reimbursement of Expenses

The Manager voluntarily agreed to reimburse a portion of its Administrative Service fee for the Institutional Class and other expenses of the Investor Class. For the year ended December 31, 2010 the Manager reimbursed expenses of $180,583 and $15,368 expiring in 2013 for the Institutional and Investor Classes, respectively. Of these amounts $15,000 was receivable from the Manager at December 31, 2010.

The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. Reimbursed expenses subject to potential recovery totaling $135,078, $131,280, and $195,951 will expire in 2011, 2012, and 2013 respectively. The Fund has not recorded a liability for these potential reimbursements due to the current assessment that reimbursements are unlikely.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset expenses that the Manager pays to Foreside. Since May 17^th (the inception date of the A Class) there has been $422 in sales commissions from the sale of A Class shares that were received by Foreside.

3. Federal Income Taxes

It is the policy of the Fund to qualify as a regulated investment company, by complying with all applicable provisions of the Code, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.

The Fund does not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.

The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns on income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.

The tax character of distributions paid during the fiscal years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):

Distributions paid from:


	Ordinary Income*
	Year Ended		Year Ended
	December 31,		December 31,
	2010		2009
Institutional Class*	$	2,717	$	789
Y Class		1		N/A
Investor Class		166		28
A Class		—		N/A
C Class		—		N/A

Total taxable distributions	$	2,884	$	817


*		For tax purposes, short-term capital gains distributions are considered ordinary income distributions.

As of December 31, 2010, the components of distributable earnings on a tax basis were as follows (in thousands):


Cost basis of investments for federal income tax purposes	$	170,887

Unrealized appreciation		1,861
Unrealized depreciation		(760	)


Net unrealized appreciation/(depreciation)		1,101

Undistributed ordinary income		183
Accumulated long-term gain/(loss)		(11,794	)


Distributable earnings	$	(10,510	)

Accordingly, the following amounts represent current year permanent differences derived from foreign currency transactions and return of capital that have been reclassified as of December 31, 2010 (in thousands):


Paid-in-capital	$	(1	)
Undistributed net investment income		—
Accumulated net realized gain (loss)		—
Unrealized appreciation (depreciation) of investments		1

At December 31, 2010, the capital loss carry forward positions for federal income tax purposes were (in thousands) $6,426, and $5,368 expiring in 2016 and 2017 respectively. The Fund utilized $8,814 of net capital loss carryovers for the year ended December 31, 2010.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010

4. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments for the year ended December 31, 2010, excluding short-term investments, were $417,735,765 and $412,900,371, respectively. These amounts also represent purchases and sales of U.S. Government securities.

5. Capital Share Transactions

The tables below summarize the activity in capital shares (dollars and shares in thousands):

Year Ended December 31, 2010


	Institutional Class						Y Class				Investor Class
	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold.		11,655		$	121,423			34	$	359		1,349		$	13,851
Reinvestment of dividends		200			2,077			—		1		16			164
Shares redeemed.		(12,245	)		(129,823	)		—		—		(488	)		(5,050	)

Net increase (decrease) in shares outstanding.		(390	)	$	(6,323	)		34	$	360		877		$	8,965


	A Class				C Class
	Shares		Amount		Shares		Amount
Shares sold		15	$	155		15	$	151
Reinvestment of dividends		—		—		—		—
Shares redeemed		—		—		—		—

Net increase (decrease) in shares outstanding		15	$	155		15	$	151

Year Ended December 31, 2009


	Institutional Class						Investor Class
	Shares			Amount			Shares			Amount
Shares sold		7,637		$	75,743			709		$	6,981
Reinvestment of dividends		58			587			3			28
Shares redeemed		(7,594	)		(72,804	)		(132	)		(1,330	)

Net increase in shares outstanding		101		$	3,526			580		$	5,679

American Beacon Treasury Inflation Protected Securities Fund
Financial Highlights
(for a share outstanding throughout the period)


																Y Class
	Institutional Class															March 01 to
	Year Ended December 31,															December 31,
	2010			2009^A			2008			2007^B			2006			2010
Net asset value, beginning of period	$	10.16		$	9.20		$	10.18		$	9.53		$	9.75		$	10.25

Income from investment operations:
Net investment income		0.16			0.06			0.80			0.45			0.29			0.05
Net gains (losses) on securities (both realized and unrealized)		0.35			0.95			(0.98	)		0.59			(0.19	)		0.35

Total income (loss) from investment operations		0.51			1.01			(0.18	)		1.04			0.10			0.40

Less distributions:
Dividends from net investment income		(0.16	)		(0.05	)		(0.80	)		(0.39	)		(0.29	)		(0.05	)
Distributions from net realized gains on securities		—			—			—			—			—			—
Tax return of capital		—			—			—		0.00		^C,D	(0.03		)^C		—

Total distributions		(0.16	)		(0.05	)		(0.80	)		(0.39	)		(0.32	)		(0.05	)

Net asset value, end of period	$	10.51		$	10.16		$	9.20		$	10.18		$	9.53		$	10.60

Total return ^E		5.03	%		11.00	%		(2.09	)%		11.22	%		1.05	%	3.89		%^F

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	157,195		$	155,833		$	140,189		$	223,697		$	33,792		$	365
Ratios to average net assets (annualized):
Expenses, after expense reimbursements (recoupments)		0.25	%		0.26	%		0.25	%		0.43	%		0.49	%	0.60		%^G
Expenses, before expense reimbursements (recoupments)		0.35	%		0.36	%		0.29	%		0.43	%		0.49	%	0.60		%^G
Net investment income (loss), after expense reimbursements (recoupements)		1.50	%		0.69	%		5.19	%		4.74	%		2.94	%	0.85		%^G
Net investment income (loss), before expense reimbursements (recoupments)		1.40	%		0.59	%		5.15	%		4.74	%		2.94	%	0.85		%^G
Portfolio turnover rate		214	%		180	%		128	%		139	%		259	%	214		%^H


^A		Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009.

^B		Brown Brothers Harriman & Co. was removed as an investment advisor to the Treasury Inflation Protected Securities Fund on November 30, 2007.

^C		The tax return of capital is calculated based on outstanding shares at the time of distribution.

^D		Amount represents less than $0.01 per share. ^E Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

^F		Not annualized.

^G		Annualized.

^H		Portfolio turnover rate is for the period from January 1 through December 31, 2010.

^I		Portfolio turnover rate is for the period from January 1 through December 31, 2009.

American Beacon Treasury Inflation Protected Securities Fund
Privacy Policy & Federal Tax Information
(Unaudited)

Privacy Policy

The American Beacon Funds recognizes and respects the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

	•		information we receive from you on applications or other forms;

	•		information about your transactions with us or our service providers; and

	•		information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those in other areas of this report because of differences between tax and financial reporting requirements.

The Fund’s distributions to shareholders did not include any short-term capital gains.

Of the ordinary dividends paid to shareholders during the tax year ended December 31, 2010, 98.8% were derived from U.S. Treasury Obligations.

Trustees and Officers of the American Beacon Funds
(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees 23 funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Funds, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
INTERESTED TRUSTEES
	Term

	Lifetime of Trust until removal, resignation or retirement*

Alan D. Feld** (73)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present)

NON-INTERESTED TRUSTEES	Term

W. Humphrey Bogart (66)	Trustee since 2004	Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

Brenda A. Cline (49)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

Eugene J. Duffy (56)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Trustee and Officers of the American Beacon Funds
(Unaudited)


		Position, Term of
		Office and Length
		of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address		with the Trust	and Current Directorships
NON-INTERESTED TRUSTEES (CONT.)
Thomas M. Dunning (68)		Trustee since 2008	Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Richard A. Massman (67)		Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present), Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

R. Gerald Turner (64)		Trustee since 2001	President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee, American Beacon Mileage Funds (2001-Present); Trustee, American Beacon Select Funds (2001-Present)

Paul J. Zucconi,CPA (70)		Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- present); Director, Torchmark Corporation (life and health insurance products) (2002-present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

OFFICERS
	Term

One Year

William F. Quinn (62)		Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 Trustee from 1987 to 2008	Executive Chairman (2009-Present), Chairman (2006-2009) CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Manager Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-Present), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-Present) American Beacon Select Funds; Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009)

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
Gene L. Needles, Jr. (55)	President since 2009 Executive Vice President 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors

Rosemary K. Behan (51)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004)

Brian E. Brett (50)	VP since 2004	Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004)

Wyatt L. Crumpler (44)	VP since 2007	Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc.

Michael W. Fields (56)	VP since 1989	Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009)

Melinda G. Heika (49)	Treasurer since 2010	Vice President, Finance & Accounting (2010-Present), Controller (2005-2009), Assistant Controller (1998-2004), American Beacon Advisors, Inc.

Terri L. McKinney (47)	VP since 2010	Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) Down Syndrome Guild of Dallas

Jeffrey K. Ringdahl (35)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007)

Christina E. Sears (39)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.


*		The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement.

**		Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s s sub-advisors.

Delivery of Documents

eDelivery is NOW AVAILABLE — Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at www.americanbeaconfunds.com

To reduce expenses, your financial institution may mail only one copy of the Summary Prospectus, Annual Report and Semi-Annual Report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution. Delivery of individual copies will commence thirty days after receiving your request.

To obtain more information about the Fund:


7		8
By E-mail:		On the Internet:
american_beacon.funds@ambeacon.com		Visit our website at www.americanbeaconfunds.com

(		-
By Telephone:		By Mail:
Call (800) 658-5811		American Beacon Funds
		P.O. Box 219643
		Kansas City, MO 64121-9643


Availability of Quarterly Portfolio Schedules		Availability of Proxy Voting Policy and Records

In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available on the Funds’ website (www.americanbeaconfunds.com) approximately twenty days after the end of each month.		A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:


Custodian State Street Bank and Trust Boston, Massachusetts		Transfer Agent Boston Financial Data Services Kansas City, Missouri		Independent Registered Public Accounting Firm Ernst & Young LLP Dallas, Texas		Distributor Foreside Fund Services, LLC Portland, Maine

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds and the American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.

AR 12/10

About American Beacon Advisors

Contents


President’s Message			1
Performance Overviews			2

American Beacon Funds
Statements of Assets and Liabilities			10
Statements of Operations			11
Statements of Changes in Net Assets			12
Notes to Financial Statements			13
Financial Highlights			20

State Street Equity 500 Index Portfolio
Portfolio of Investments			28
Statement of Assets and Liabilities			34
Statement of Operations			35
Statements of Changes in Net Assets			36
Financial Highlights			37
Notes to Financial Statements			38

Master Small Cap Index Series
Summary Schedule of Investments			49
Statement of Assets and Liabilities			72
Statement of Operations			73
Statements of Changes in Net Assets			74
Financial Highlights			74
Notes to Financial Statements			75

Master International Index Series
Summary Schedule of Investments			82
Statement of Assets and Liabilities			93
Statement of Operations			94
Statements of Changes in Net Assets			95
Financial Highlights			95
Notes to Financial Statements			96

Additional Information			Back Cover

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.


American Beacon Funds		December 31, 2010

Fellow Shareholders,

Over the last 12 months, domestic and international markets were provided a welcome upswing for investors. While there was some volatility during the year, this confirmed our belief that investments managed with patience and a disciplined investment process can still provide favorable performance over varied market cycles.

For the 12-month period ended December 31, 2010, the American Beacon S&P 500 Index Fund (Institutional Class) returned 14.96%, the American Beacon Small Cap Index Fund (Institutional Class) returned 27.05%, and the American Beacon International Equity Index Fund (Institutional Class) finished the reporting period returning 7.57%. Please note that the recent growth rate in the stock market has helped to produce short-term increases that are not typical and may not continue in the future.

As always, we appreciate the opportunity to assist you in the long-term pursuit of your financial goals. We trust the enclosed market overview, portfolio listings, and financial data will provide you with valuable insight into the past year’s performance of your fund.


		Best regards,

		Gene L. Needles, Jr.
		President American Beacon Funds

Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards.

Performance Overview
American Beacon S&P 500 Index Fund†

December 31, 2010 (Unaudited)

For the twelve months ended December 31, 2010, the total return of the Institutional Class of the American Beacon S&P 500 Index Fund was 14.96%, slightly less than the S&P 500 Index (the “Index”) return of 15.06%, but ahead of the Lipper S&P 500 Objective Funds Index return of 14.70%.

Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10


										Value of
	Annualized Total Returns									$10,000
	Periods Ended 12/31/10									12/31/00-
	1 Year			5 Years			10 Years			12/31/10
Institutional Class(1,4)		14.96	%		2.25	%		1.28	%	$	11,357
Investor Class(1,2,4)		14.43	%		1.78	%		0.83	%	$	10,863
Lipper S&P 500 Objective Funds Index (3)		14.70	%		2.08	%		1.16	%	$	11,220
S&P 500 Index (3)		15.06	%		2.29	%		1.41	%	$	11,505


1.		Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2.		A portion of the fees charged to the Investor Class of the Fund was waived through 2002. Performance prior to waiving fees was lower than the actual returns shown for periods prior to 2002.

3.		The Lipper S&P 500 Objective Funds Index tracks the results of the 30 largest mutual funds in the Lipper S&P 500 Objective Funds category. Lipper is an independent mutual fund research and ranking service. The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the U.S. One cannot invest directly in an index.

4.		The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional and Investor Class shares was 0.15% and 0.60%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that is based on expenses incurred during the period covered by this report.

For the year ended December 31, 2010, all ten sectors experienced positive returns. The three top contributing sectors were Consumer Discretionary (up 27.6%), Industrials (up 26.8%) and Energy (up 20.5%). Ford Motor Co. (up 67.9%) had the greatest positive impact on the Consumer Discretionary sector. The Ford Fiesta 2011 model made the top of Kelly Blue Book’s Back-to-School list for 2010. Other notable stocks were McDonald’s Corp. (up 26.9%) and Amazon.com, Inc. (up 33.8%). McDonald’s performance may be attributed to its issuing of a Yuan bond, which makes it the first nonfinancial company to offer these bonds, while Amazon.com’s performance may be attributed to the well known Amazon Kindle. Two top performing securities within the Industrials sector were General Electric Co. (up 24.3%) and Caterpillar Inc. (up 68.6%). General Electric’s many accomplishments contributed to its success in 2010, including healthcare advancements and clean energy initiatives. Caterpillar Inc. had quite a few new machine and engine releases in 2010, most likely contributing to its success.

The two least positive contributing sectors were the Health Care (up 3.0%) and Utilities (up 6.0%) sectors. The poor relative performance of the Health Care sector may have been due to the continued uncertainty surrounding major health care legislation signed into law at the beginning of 2010. In the Utilities sector, detractors that contributed negatively to the Fund’s performance were First Energy Corp. (down 15.6%) and Exelon Corp. (down 10.4%). Operational changes made during 2010 at First Energy Corp. may have been a factor in its negative performance. Exelon Corp.’s reorganization of its senior executive team in 2009 may have had an impact on its performance.

The investment manager continues to utilize a replication strategy, owning all 500 names in the S&P 500 Index in approximately the same weightings as the Index. Therefore, the Fund is expected to continue to meet its objective of closely tracking, before expenses, the return of its benchmark, the S&P 500 Index.

Performance Overview
American Beacon Small Cap Index Fund^SM

December 31, 2010 (Unaudited)

For the twelve months ended December 31, 2010, the total return of the Institutional Class of the American Beacon Small Cap Index Fund was 27.05%. The Fund’s performance was slightly ahead of the Russell 2000^â Index (the “Index”) return of 26.85% and also ahead of the Lipper Small-Cap Core Funds Index return of 25.71% which consists primarily of actively managed funds.

Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10


	Annualized Total Returns
	Periods Ended 12/31/10									Value of $10,000
	1 Year			5 Years			10 Years			12/31/00-12/31/10
Institutional Class(1,3)		27.05	%		4.47	%		6.24	%	$	18,311
Lipper Small-Cap Core Funds Index(2)		25.71	%		4.76	%		6.95	%	$	19,582
Russell 2000 Index(2)		26.85	%		4.47	%		6.33	%	$	18,476


1.		Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2.		The Lipper Small-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Core Funds category. Lipper is an independent mutual fund research and ranking service. The Russell 2000 Index is an unmanaged index comprised of approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index.

3.		The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.23%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report.

Performance Summary provided by Blackrock Investments, LLC

In 2010, US stocks posted double-digit percentage gains for the second consecutive year. The Dow Jones Industrial Average gained 14.1% to close at 11,577, a level not seen since before the collapse of Lehman Brothers in late 2008. The S&P 500 Index advanced 15.1% to 1,257, while the Nasdaq Composite moved up 18.2% to 2,662. Small cap stocks experienced even stronger gains for the year as investors began to move into higher risk assets.

During the twelve month period, the Russell 2000 Growth (up 29.1%) outperformed the Russell 2000 Value index (up 24.5%) and all sectors contributed double digit returns. Information Technology and Materials were the strongest sectors over the period (up 34.0% each), followed by Energy (up 33.4%). Telecommunication Services, while positive, contributed the least (up 12.7%), followed by Utilities (up 16.5%) and Health Care (up 17.1%).

Over the period, Isilon Systems (Information Technology) was the top performer (up 393.4%) while Great Atlantic & Pacific Tea Co. (Consumer Staples) was the top detractor (down 96.4%).

Portfolio Strategy

The Fund will continue to strive to meet its objective of closely replicating, before expenses, the return of its benchmark, the Russell 2000 Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index

Performance Overview
American Beacon International Equity Index Fund^SM

December 31, 2010 (Unaudited)

For the twelve months ended December 31, 2010, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 7.57%, underperforming the MSCI EAFE Index (the “Index”) return of 7.75% and the Lipper International Funds Index return of 11.03%.

Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10


	Annualized Total Returns									Value of
	Periods Ended 12/31/10									$10,000
	1 Year			5 Years			10 Years			12/31/00-12/31/10
Institutional Class(1,3)		7.57	%		2.43	%		3.44	%	$	14,029
Lipper International Funds Index(2)		11.03	%		4.02	%		4.68	%	$	15,794
MSCI EAFE Index(2)		7.75	%		2.46	%		3.50	%	$	14,133


1.		Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2.		The Lipper International Funds Index tracks the results of the 30 largest mutual funds in the Lipper International Funds category. Lipper is an independent mutual fund research and ranking service. The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. Performance is that of the MSCI EAFE Index through 9/30/01, the MSCI Provisional EAFE Index from 10/1/01 through 5/31/02, and the MSCI EAFE Index thereafter. One cannot invest directly in an index.

3.		The total annual Fund operating expense ratio in the most recent prospectus for the Fund was 0.23%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report.

Performance Summary provided by Blackrock Investments, LLC

Over the course of 2010, cyclical stimulus beat out structural problems and stocks continued the choppy advance they began in 2009. The early months of 2010 saw risk assets move higher on the continuation of the 2009 asset recovery story, aided by preliminary signs of improvement in the employment situation and strong corporate earnings reported for fourth quarter 2009 and first quarter 2010. The middle months of 2010 saw a double-digit percentage correction on the back of the Greek sovereign debt crisis and a stalling in jobs growth, leading to fears of a double-dip recession. Investors were also unnerved by the May “flash crash” and the uncertainty surrounding the financial reform bill in the United States. Nevertheless, after touching a late summer low, equity markets experienced a strong finish to the year as double-dip fears receded, jobs growth resumed and the US midterm elections results were perceived to be capital markets friendly. Additionally, in the United States, Federal Reserve President Ben Bernanke delivered his famous Jackson Hole speech, leading to a second round of quantitative easing measures (informally known as “QE2”) and, perhaps most importantly, the Bush-era tax cuts were extended and supplemented with some fiscal sweeteners.

International equities, as represented by the Index, gained 7.8% for the year. Among developed markets, Sweden posted the largest annual gain (up 33.8%), followed by Denmark (up 30.7%), Hong Kong (up 23.2%) and Singapore (up 22.1%), while Greece experienced the most significant loss (down 44.9%), followed by Spain (down 22.0%) and Ireland (down 18.1%).

On a sector basis, Industrials (up 20.6%) was the leading sector in the Index followed by Consumer Discretionary (up 19.8%) and Materials (up 17.7%), while the Utilities and Financials

Performance Overview
American Beacon International Equity Index Fund^SM December 31, 2010 (unaudited)

sectors (down 4.9% and 1.6%, respectively) were the leading detractors.

Over the period, Isuzu Motors Ltd. (up 148.4%) was the top performer while Japan Airlines (down 97.0%) was the top detractor for the time the Fund owned the security.

Portfolio Strategy

The Fund continues to pursue its objective of closely replicating, before expenses, the return of its benchmark, the MSCI EAFE Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index.

Top Ten Holdings


	% of
	Equities*
HSBC Holdings plc		2.3	%
Sanofi-Aventis S.A.		2.2	%
Novartis AG		2.0	%
Siemens AG		2.0	%
Royal Dutch Shell plc		1.9	%
DBS Group Holdings Ltd.		1.8	%
GlaxoSmithKline plc		1.5	%
UBS AG		1.5	%
Vodafone Group plc		1.5	%
Roche Holding Ltd.		1.6	%


*		Percent of Master International Index Series

Sector Allocation


	% of Equities*
Financials		22.6	%
Industrials		16.1	%
Consumer Discretionary		12.8	%
Materials		9.7	%
Health Care		9.2	%
Energy		8.5	%
Information Technology		6.5	%
Telecommunication Services		6.2	%
Consumer Staples		5.6	%
Utilities		2.8	%


*		Percent of equity portion of Master International Index Series

Country Allocation


	% of
	Equities*
United Kingdom		22.4	%
Japan		17.5	%
France		11.2	%
Switzerland		8.9	%
Germany		8.7	%
Netherlands		6.0	%
Singapore		3.1	%
Spain		3.1	%
Italy		2.9	%
Hong Kong/China		2.7	%
South Korea		2.4	%
Norway		2.1	%
Sweden		1.8	%
Australia		1.7	%
Canada		1.3	%
Finland		0.9	%
Israel		0.7	%
Ireland		0.7	%
Portugal		0.6	%
Belgium		0.5	%
Greece		0.4	%
Denmark		0.2	%
Austria		0.2	%


*		Percent of equity portion of Master International Index Series

Fund Expenses
December 31, 2010 (Unaudited)

Fund Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Actual


							International
Institutional Class	S&P 500 Index			Small Cap Index			Equity Index
Beginning Account Value 7/1/10	$	1,000.00		$	1,000.00		$	1,000.00
Ending Account Value 12/31/10	$	1,231.77		$	1,294.96		$	1,251.80
Expenses Paid During Period* 7/1/10 — 12/31/10	$	0.73		$	1.04		$	1.02
Annualized Expense Ratio		0.13	%		0.18	%		0.18	%


Investor Class	S&P 500 Index
Beginning Account Value 7/1/10	$	1,000.00
Ending Account Value 12/31/10	$	1,229.24
Expenses Paid During Period* 7/1/10 — 12/31/10	$	3.37
Annualized Expense Ratio		0.60	%

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

Hypothetical


							International
Institutional Class	S&P 500 Index			Small Cap Index			Equity Index
Beginning Account Value 7/1/10	$	1,000.00		$	1,000.00		$	1,000.00
Ending Account Value 12/31/10	$	1,024.55		$	1,024.30		$	1,024.30
Expenses Paid During Period* 7/1/10 — 12/31/10	$	0.66		$	0.92		$	0.92
Annualized Expense Ratio		0.13	%		0.18	%		0.18	%


Investor Class	S&P 500 Index
Beginning Account Value 7/1/10	$	1,000.00
Ending Account Value 12/31/10	$	1,022.18
Expenses Paid During Period* 7/1/10 — 12/31/10	$	3.06
Annualized Expense Ratio		0.60	%


*		Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period.

American Beacon Funds
Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of
American Beacon International Equity Index Fund, American Beacon S&P 500 Index Fund, and American
Beacon Small Cap Index Fund:

We have audited the accompanying statements of assets and liabilities of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund (three of the funds constituting the American Beacon Funds) (collectively, the “Funds”) as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the Master Portfolios. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas
March 1, 2011

American Beacon Funds

Statements of Assets and Liabilities

December 31, 2010 (in thousands, except share and per share amounts)


							International
	S&P 500 Index Fund			Small Cap Index Fund			Equity Index Fund
Assets:
Investment in Portfolio, at value	$	398,510		$	92,573		$	325,555
Receivable for fund shares sold		786			568			564
Prepaid expenses		48			15			26

Total assets		399,344			93,156			326,145


Liabilities:
Payable for fund shares redeemed		4			1			2
Administrative service and service fees payable (Note 2)		23			3			12
Printing fees payable		—			—			12
Professional fees payable		10			11			12
Sub-administration fees payable		—			2			39
Transfer agent fees payable		6			—			5
Trustee fees payable		2			—			1
Other liabilities		—			1			7

Total liabilities		45			18			90

Net Assets	$	399,299		$	93,138		$	326,055


Analysis of Net Assets:
Paid-in-capital		381,859			112,791			373,056
Undistributed net investment income (expense)		325			(3	)		(82	)
Accumulated net realized gain (loss)		(76,076	)		(19,386	)		(37,933	)
Unrealized net appreciation (depreciation) of investments and futures contracts		93,191			(264	)		(8,986	)

Net assets	$	399,299		$	93,138		$	326,055


Shares outstanding (no par value):
Institutional Class		22,352,477			7,370,209			33,041,398

Investor Class		1,049,102			—			—


Net asset value, offering and redemption price per share:
Institutional Class	$	17.07		$	12.64		$	9.87

Investor Class	$	16.88		$	—		$	—

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

American Beacon Funds

Statements of Operations

Year ended December 31, 2010 (in thousands)


							International
	S&P 500 Index Fund			Small Cap Index Fund			Equity Index Fund
Investment Income (expense)Allocated From Portfolio:
Dividend income	$	7,116		$	971		$	7,799
Interest income		13			4			2
Securities lending income		—			40			—
Portfolio expenses		(158	)		(56	)		(272	)
Other income		—			—			2

Net investment income allocated from Portfolio		6,971			959			7,531

Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		165			36			136
Investor Class		51			—			—
Sub-administrative service fees (Note 2):
Institutional Class		—			3			48
Transfer agent fees:
Institutional Class		18			4			19
Investor Class		4			—			—
Custody and accounting fees		8			9			13
Professional fees		31			17			30
Registration fees		32			—			1
Service fees — Investor Class (Note 2)		51			—			—
Printing		1			—			15
Trustee fees		24			4			21
Insurance		10			1			7
Other expenses		13			3			10

Total fund expenses		408			77			300

Net investment income		6,563			882			7,231


Realized and Unrealized Gain (Loss) Allocated From Master Portfolio
Net realized gain (loss) from:
Investments		3,849			(2,732	)		(6,814	)
Foreign currency transactions		—			14			(233	)
Futures contracts		1,052			(146	)		(512	)
Change in net unrealized appreciation or depreciation of:
Investments		39,250			3,734			20,512
Foreign currency transactions		—			—			(1,070	)
Futures contracts		(11	)		10			3,673

Net gain on investments		44,140			880			15,556

Net increase in net assets resulting from operations	$	50,703		$	1,762		$	22,787

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

American Beacon Funds

Statements of Changes in Net Assets (in thousands)


													International Equity Index
	S&P 500 Index Fund						Small Cap Index Fund						Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2010			2009			2010			2009			2010			2009
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	6,563		$	6,450		$	882		$	396		$	7,231		$	6,171
Net realized gain (loss) on investments, foreign currency, and futures contracts		4,901			(14,452	)		(2,864	)		(1,771	)		(7,559	)		6,591
Change in net unrealized appreciation or depreciation of investments and futures contracts		39,239			78,871			3,744			9,739			23,115			45,505

Net increase in net assets resulting from operations		50,703			70,869			1,762			8,364			22,787			58,267

Distributions to Shareholders:
Net investment income:
Institutional Class		(6,796	)		(5,395	)		(894	)		(397	)		(7,040	)		(6,410	)
Investor Class		(318	)		(325	)		—			—			—			—
Tax return of Capital:
Institutional Class		—			—			(104	)		(54	)		—			—

Total distributions to shareholders		(7,114	)		(5,720	)		(998	)		(451	)		(7,040	)		(6,410	)

Capital Share Transactions:
Proceeds from sales of shares		63,163			71,955			132,393			10,774			83,813			180,859
Reinvestment of dividends and distributions		7,107			5,714			998			451			7,040			6,409
Cost of shares redeemed		(53,796	)		(41,080	)		(80,975	)		(10,732	)		(60,655	)		(144,875	)

Net increase in net assets from capital share transactions		16,474			36,589			52,416			493			30,198			42,393

Net increase in net assets		60,063			101,738			53,180			8,406			45,945			94,250

Net Assets:
Beginning of period		339,236			237,498			39,958			31,552			280,110			185,860

End of Period *	$	399,299		$	339,236		$	93,138		$	39,958		$	326,055		$	280,110

*Includes undistributed net investment income (loss) of	$	325		$	888		$	(3	)	$	—		$	(82	)	$	(84	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

American Beacon Funds

Notes to Financial Statements
December 31, 2010

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index Fund and the American Beacon International Equity Index Fund (each a “Fund” and collectively, the “Funds”), each a series of the Trust.

American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.

Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.


		% of Portfolio
		Held by Fund at
American Beacon:	Portfolios:	December 31, 2010
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		19.0	%
Small Cap Index Fund	Master Small Cap Index Series		27.5	%
International Equity Index Fund	Master International Index Series		35.3	%

The financial statements of the Portfolios are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.

The following is a summary of the significant accounting policies followed by the Funds.

Class Disclosure

The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:


Class:		Offered to:
Institutional Class		Investors making an initial investment of $250,000
Investor Class		General public and investors investing through an intermediary

Administrative service fees and service fees vary amongst the classes as described more fully in footnote 2.

Security Valuation and Valuation Inputs

Various inputs may be used to determine the fair value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value the securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others.

American Beacon Funds
Notes to Financial Statements
December 31, 2010

Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Portfolio’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

At December 31, 2010, the Funds’ investments in the Portfolios were classified as Level 2. Valuation of securities by each Portfolio as well as the inputs used to value the Portfolios’ net assets is discussed in the Portfolios’ Notes to Financial Statements, which are included elsewhere in this report.

Investment Income

Each Fund records its share of net investment income and realized and unrealized gains and losses from the security transactions of its corresponding Portfolio each day. All net investment income and realized and unrealized gains (losses) of each Portfolio are allocated pro rata among the investors in that Portfolio at the time of such determination.

Dividends to Shareholders

Dividends from net investment income of the Small Cap Index and International Equity Index Funds normally will be declared and paid annually. The S&P 500 Index Fund normally will declare and pay dividends quarterly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date. Dividends are determined in accordance with income tax principles that may treat certain transactions differently than generally accepted accounting principles.

Allocation of Income, Expenses, Gains and Losses

Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Valuation of Shares

The price per share is calculated on each day on which shares are offered for sale. Net asset value per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.

Use of Estimates

Other

American Beacon Funds
Notes to Financial Statements
December 31, 2010

2. Fees and Transactions with Affiliates

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to each Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.05% of the average daily net assets of the Institutional Class of the S&P 500 Index Fund, International Equity Index Fund and the Small Cap Index Fund and an annualized fee of 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Service Plans

The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of S&P 500 Index Fund. As compensation for performing the duties required under the Service Plan, the Manager receives up to 0.375% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Sub-administration Agreement

The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Sub-administration Agreement that obligates BlackRock to provide certain other administrative services to the Small Cap Index Fund and the International Equity Index Fund. As compensation for performing these services, BlackRock receives an annualized fee of 0.08% of the average daily net assets of the Small Cap Index Fund and 0.12% of the average daily net assets of the International Equity Index Fund; however, the fee of each is reduced by the total expense ratio of its corresponding Portfolio, net of any fee waivers.

3. Federal Income and Excise Taxes

It is the policy of each Fund to qualify as a regulated investment company, by complying with all applicable provisions of the Code, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.

The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.

The International Equity Index Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.

The tax character of distributions paid during the years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):

American Beacon Funds
Notes to Financial Statements
December 31, 2010


	S&P 500 Index				Small Cap Index				International Equity Index
	Year		Year		Year		Year		Year		Year
	Ended December 31,		Ended December 31,		Ended December 31,		Ended December 31,		Ended December 31,		Ended December 31,
	2010		2009		2010		2009		2010		2009
Distributions paid from:
Ordinary income:
Institutional Class	$	6,796	$	5,395	$	894	$	397	$	7,040	$	6,410
Investor Class		318		325		—		—		—		—
Return of Capital:
Institutional Class		—		—		104		54		—		—


Total taxable distributions	$	7,114	$	5,720	$	998	$	451	$	7,040	$	6,410

As of December 31, 2010, the components of distributable earnings on a tax basis we as follows (in thousands):


	S&P 500 Index			Small Cap			Int’l Equity Index
	Fund			Index Fund			Fund
Cost basis of investments for federal income tax purposes	$	330,913		$	93,991		$	343,306

Unrealized appreciation		103,704			128			35,589
Unrealized depreciation		(36,107	)		(1,546	)		(53,340	)

Net unrealized depreciation		67,597			(1,418	)		(17,751	)

Undistributed ordinary income		230			—			437
Capital and other accumulated losses		(50,296	)		(18,235	)		(29,674	)
Other temporary differences		(91	)		—			(13	)

Distributable earnings	$	17,440		$	(19,653	)	$	(47,001	)

Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/ (depreciation) are attributable primarily to the tax deferral of wash sales, the realization for tax purposes of unrealized gains/ (losses) on certain derivative instruments, reclassifications of income from real estate investment securities, and the realization for tax purposes on unrealized gains/ (losses) on investments in passive foreign investment companies.

Due to the inherent differences in the recognition of income, expenses and realized gains/(losses) under the U.S. generally accepted accounting principles and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.

Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, futures, foreign currency, sales of investments in passive foreign investment companies, dividend reclassifications and partnership transactions that have been reclassified as of December 31, 2010 (in thousands):


	S&P 500 Index			Small Cap			Int’l Equity Index
	Fund			Index Fund			Fund
Paid-in-capital	$	(5,735	)	$	5,342		$	(1,903	)
Undistributed net investment income		(12	)		113			(189	)
Accumulated net realized gain/(loss)		5,746			(5,455	)		2,091
Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency		1			—			1

At December 31, 2010 capital loss carry forward positions for federal income tax purposes were as follows (in thousands):

American Beacon Funds
Notes to Financial Statements
December 31, 2010


Fund	2011		2012		2013		2014		2015		2016		2017		2018		Total
S&P 500 Index Fund	$	635	$	1,060	$	2,311	$	286	$	—	$	11,180	$	28,055	$	4,954	$	48,481
Small Cap Index Fund		—		—		—		—		—		—	$	9,383	$	8,852	$	18,235
International Equity Index Fund		—		—		—		—		—	$	9,746	$	13,890	$	5,040	$	28,676

The S&P 500 Index Fund had $7,852 of expired capital loss carryovers (in thousands) for the year ended December 31, 2010.

Net capital and foreign currency losses incurred after October 31, 2010 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the period ended December 31, 2010 (in thousands), the S&P 500 Index Fund deferred $1,814 of capital losses and the International Equity Index Fund deferred $42 of foreign currency losses and $778 of capital losses to January 1, 2011.

4. Capital Share Transactions

The tables below summarize the activity in capital shares for each Class of the Funds (shares and dollars in thousands):

Year ended December 31, 2010


	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		3,124		$	48,883			950		$	14,280
Reinvestment of dividends		431			6,796			20			311
Shares redeemed		(2,126	)		(32,615	)		(1,405	)		(21,181	)

Net increase (decrease) in shares outstanding		1,429		$	23,064			(435	)	$	(6,590	)


	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		11,348		$	132,393
Reinvestment of dividends		78			998
Shares redeemed		(8,030	)		(80,975	)

Net increase in shares outstanding		3,396		$	52,416


	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		8,974		$	83,813
Reinvestment of dividends		718			7,040
Shares redeemed		(6,519	)		(60,655	)

Net increase in shares outstanding		3,173		$	30,198

Year ended December 31, 2009


	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		4,250		$	54,132			1,580		$	17,823
Reinvestment of dividends		416			5,395			26			319
Shares redeemed		(2,132	)		(26,685	)		(1,193	)		(14,395	)

Net increase in shares outstanding		2,534		$	32,842			413		$	3,747

American Beacon S&P 500 Index Fund^SM

Financial Highlights
(For a share outstanding throughout each period)


	Institutional Class
	Year Ended December 31,
	2010			2009			2008			2007			2006
Net asset value, beginning of period	$	15.15		$	12.21		$	19.85		$	19.19		$	16.90

Income from investment operations:
Net investment income:^A		0.29			0.30			0.35			0.39			0.34	^B
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		1.95			2.91			(7.64	)		0.65			2.29


Total income (loss) from investment operations		2.24			3.21			(7.29	)		1.04			2.63

Less distributions:
Dividends from net investment income		(0.32	)		(0.27	)		(0.35	)		(0.38	)		(0.34	)

Total distributions		(0.32	)		(0.27	)		(0.35	)		(0.38	)		(0.34	)

Net asset value, end of period	$	17.07		$	15.15		$	12.21		$	19.85		$	19.19

Total return^C		14.96	%		26.70	%		(37.08	)%		5.39	%		15.69	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	381,592		$	316,975		$	224,583		$	271,746		$	223,008
Ratios to average net assets (annualized):^A
Net investment income		1.90	%		2.39	%		2.23	%		1.89	%		1.85	%
Expenses, including expenses allocated from the master portfolio		0.13	%		0.15	%		0.13	%		0.13	%		0.14	%


^A		The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the State Street Equity 500 Index Portfolio.

^B		Based on average shares outstanding.

^C		May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions.

American Beacon Small Cap Index Fund^SM
Financial Highlights
(For a share outstanding throughout each period)


	Institutional Class
	Year Ended December 31,
	2010			2009			2008			2007			2006
Net asset value, beginning of period	$	10.06		$	8.00		$	13.51		$	14.89		$	12.78

Income from investment operations:
Net investment income^A		0.13			0.10			0.18			0.32			0.17
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		2.59			2.08			(4.78	)		(0.53	)		2.11

Total income (loss) from investment operations		2.72			2.18			(4.60	)		(0.21	)		2.28

Less distributions:
Dividends from net investment income		(0.13	)		(0.11	)		(0.17	)		(0.31	)		(0.17	)
Distributions from net realized gains on investments		—			—			(0.61	)		(0.80	)		—
Tax return of capital		(0.01	)^B		(0.01	)^B		(0.13	)^B		(0.06	)^B		—

Total distributions		(0.14	)		(0.12	)		(0.91	)		(1.17	)		(0.17	)

Net asset value, end of period	$	12.64		$	10.06		$	8.00		$	13.51		$	14.89

Total return^C		27.05	%		27.21	%		(33.58	)%		(1.63	)%		17.85	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	93,138		$	39,958		$	31,552		$	52,325		$	151,878
Ratios to average net assets (annualized):^A
Net investment income		1.21	%		1.18	%		1.54	%		1.49	%		1.49	%
Expenses, including expenses allocated from the master portfolio		0.18	%		0.23	%		0.20	%		0.20	%		0.18	%


^A		The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Small Cap Index Series.

^B		The tax return of capital is calculated based upon outstanding shares at the time of distribution.

^C		May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions.

American Beacon International Equity Index Fund^SM
Financial Highlights
(For a share outstanding throughout each period)


	Institutional Class
	Year Ended December 31,
	2010			2009			2008			2007			2006
Net asset value, beginning of period	$	9.38		$	7.46		$	13.37		$	12.76		$	10.33

Income from investment operations:
Net investment income^A		0.22			0.21			0.39			0.51			0.23
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		0.49			1.93			(6.00	)		0.86			2.50

Total income (loss) from investment operations		0.71			2.14			(5.61	)		1.37			2.73

Less distributions:
Dividends from net investment income		(0.22	)		(0.22	)		(0.30	)		(0.53	)		(0.23	)
Distributions from net realized gains on investments		—			—			—			(0.22	)		(0.07	)
Tax return of capital		—			—			—			(0.01	)^B		—

Total distributions		(0.22	)		(0.22	)		(0.30	)		(0.76	)		(0.30	)

Net asset value, end of period	$	9.87		$	9.38		$	7.46		$	13.37		$	12.76

Total return^C		7.57	%		28.72	%		(41.85	)%		10.68	%		26.52	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	326,055		$	280,110		$	185,860		$	267,293		$	162,113
Ratios to average net assets (annualized):^A
Net investment income		2.66	%		2.66	%		3.58	%		2.96	%		2.44	%
Expenses, including expenses allocated from the master portfolio		0.21	%		0.23	%		0.19	%		0.19	%		0.22	%


^A		The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master International Index Series.

^B		The tax return of capital is calculated based upon outstanding shares at the time of distribution.

^C		May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions.

American Beacon Funds
Privacy Policy and Federal Tax Information
For the Year Ended December 31, 2010 (Unaudited)

Privacy Policy

The American Beacon Funds recognizes and respects the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

•

information we receive from you on applications or other forms;

•

information about your transactions with us or our service providers; and

•

information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

Federal Tax Information

For corporate shareholders in the Funds, the percentage of ordinary dividend income distributed for the year ended December 31, 2010, which is designated as qualifying for the dividends-received deduction, is as follows:


S&P 500 Index Fund	97.84	%
Small Cap Index Fund	85.75	%
International Equity Index Fund	0.00	%

For shareholders in the Funds, the percentage of dividend income distributed for the year ended December 31, 2010, which designated as qualified dividend income under the Jobs and Growth Tax Relief Act of 2003, is as follows:


S&P 500 Index Fund	100.00	%
Small Cap Index Fund	91.48	%
International Equity Index Fund	100.00	%

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
INTERESTED TRUSTEES
	Term
	Lifetime of Trust until removal, resignation or retirement*

Alan D. Feld** (73)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present)

NON-INTERESTED TRUSTEES	Term
W. Humphrey Bogart (66)	Trustee since 2004	Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

Brenda A. Cline (49)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Fund (2004-Present); Trustee, American Beacon Select Fund (2004-Present)

Eugene J. Duffy (56)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Thomas M. Dunning (68)	Trustee since 2008	Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
NON-INTERESTED TRUSTEES (CONT.)
Richard A. Massman (67)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds, (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

R. Gerald Turner (64)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee American Beacon Mileage Funds (2001-Present); Trustee American Beacon Select Funds (2001-Present)

Paul J. Zucconi,CPA (70)	Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- Present); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

OFFICERS
	Term
	One Year

William F. Quinn (62)	Executive Vice President from 2007 to 2008 and 2009-Present President from 1987 to 2007 Trustee from 1987 to 2008	Executive Chairman (2009-Present), Chairman (2006-2009), CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Managers Advisory Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-2009), American Beacon Mileage Funds; Trustee (1999-2008) and President(1999-2007, 2008-2009), American Beacon Select Funds; Director, American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009)

Gene L. Needles, Jr. (55)	President since 2009 Executive Vice President 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors

Rosemary K. Behan (51)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004)

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
Brian E. Brett (50)	VP since 2004	Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004).

Wyatt L. Crumpler (44)	VP since 2007	Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc.

Michael W. Fields (56)	VP since 1989	Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director, American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009)

Melinda G. Heika (49)	Treasurer since 2010	Vice President, Finance & Accounting (2010-Present); Controller (2005-2009); Assistant Controller (1998-2004), American Beacon Advisors, Inc.

Terri L. McKinney (47)	VP since 2010	Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) The Down Syndrome Guild of Dallas

Jeffrey K. Ringdahl (35)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007)

Christina E. Sears (39)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer, American Beacon Advisors, Inc. (2004-Present); Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.


*		The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement.

**		Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

State Street Equity 500 Index

Portfolio Portfolio of Investments

December 31, 2010


			Market
			Value
	Shares		(000)
COMMON STOCKS — 93.1%
Consumer Discretionary — 10.3%
Abercrombie & Fitch Co. Class A		15,046	$	867
Amazon.Com, Inc.^(a)		60,592		10,907
Apollo Group, Inc. Class A^(a)		21,729		858
AutoNation, Inc.^(a)		9,763		275
AutoZone, Inc.^(a)		4,664		1,271
Bed Bath & Beyond, Inc.^(a)		44,245		2,175
Best Buy Co., Inc.		56,419		1,935
Big Lots, Inc.^(a)		12,727		388
Cablevision Systems Corp.		41,000		1,387
CarMax, Inc.^(a)		38,400		1,224
Carnival Corp.		73,550		3,391
CBS Corp. Class B		116,303		2,216
Coach, Inc.		50,628		2,800
Comcast Corp. Class A		476,748		10,474
D.R. Horton, Inc.		47,976		572
Darden Restaurants, Inc.		24,588		1,142
DeVry, Inc.		10,400		499
Direct TV. Class A^(a)		142,477		5,689
Discovery Communications, Inc. Class A^(a)		48,600		2,027
eBay, Inc.^(a)		196,003		5,455
Expedia, Inc.		34,515		866
Family Dollar Stores, Inc.		21,658		1,077
Ford Motor Co.^(a)		640,198		10,749
Fortune Brands, Inc.		26,045		1,569
GameStop Corp. Class A^(a)		26,800		613
Gannett Co., Inc.		42,074		635
Gap, Inc.		75,098		1,663
Genuine Parts Co.		26,909		1,381
Goodyear Tire & Rubber Co.^(a)		42,357		502
H&R Block, Inc.		52,715		628
Harley-Davidson, Inc.		40,201		1,394
Harman International Industries, Inc.^(a)		12,621		584
Hasbro, Inc.		23,225		1,096
Home Depot, Inc.		280,012		9,817
Host Hotels & Resorts, Inc.		113,821		2,034
International Game Technology		53,619		948
Interpublic Group of Cos., Inc.^(a)		83,894		891
JC Penney Co., Inc.		40,010		1,293
Johnson Controls, Inc.		115,186		4,400
Kohl’s Corp.^(a)		49,933		2,713
Lennar Corp. Class A		25,931		486
Limited Brands		46,067		1,416
Lowe’s Cos., Inc.		235,762		5,913
Macy’s, Inc.		72,323		1,830
Marriot International, Inc. Class A		49,150		2,042
Mattel, Inc.		61,276		1,558
McDonald’s Corp.		180,525		13,857
McGraw-Hill, Inc.		52,466		1,910
Meredith Corp.		6,189		214
NetFlix, Inc.^(a)		7,400		1,300
Newell Rubbermaid, Inc.		50,693		922
News Corp. Class A		390,209		5,681
NIKE, Inc. Class B		65,352		5,582
Nordstrom, Inc.		29,533		1,252
O’Reilly Automotive, Inc.^(a)		24,600		1,486
Omnicom Group, Inc.		51,441		2,356
Polo Ralph Lauren Corp.		11,115		1,233
Priceline.com, Inc.^(a)		8,390		3,352
Pulte Homes, Inc.^(a)		54,705		411
Radioshack Corp.		20,103		372
Ross Stores, Inc.		20,600		1,303
Scripps Networks Interactive, Inc. Class A		15,435		799
Sears Holdings Corp.^(a)		7,474		551
Snap-On, Inc.		9,212		521
Stanley Black & Decker, Inc.		28,307		1,893
Staples, Inc.		123,533		2,813
Starbucks Corp.		126,661		4,070
Starwood Hotels & Resorts Worldwide, Inc.		32,547		1,978
Target Corp.		121,016		7,277
Tiffany & Co.		21,580		1,344
Time Warner Cable, Inc.		60,771		4,013
Time Warner, Inc.		189,591		6,099
TJX Cos., Inc.		67,606		3,001
Urban Outfitters, Inc.^(a)		22,000		788
V.F. Corp.		14,793		1,275
Viacom, Inc. Class B		103,322		4,093
Walt Disney Co.		323,545		12,136
Washington Post Co. Class B		960		422
Whirlpool Corp.		12,961		1,151
Wyndham Worldwide Corp.		29,699		890
Wynn Resorts, Ltd.		12,900		1,340
Yum! Brands, Inc.		80,092		3,928

				215,263

Consumer Staples — 9.8%
Altria Group, Inc.		356,799		8,784
Archer-Daniels-Midland Co.		109,124		3,282
Avon Products, Inc.		73,360		2,132
Brown-Forman Corp. Class B		17,755		1,236
Campbell Soup Co.		34,065		1,184
Clorox Co.		23,843		1,509
Coca-Cola Co.		396,811		26,098
Coca-Cola Enterprises, Inc.		57,901		1,449
Colgate-Palmolive Co.		82,501		6,631
ConAgra Foods, Inc.		75,175		1,697
Constellation Brands, Inc. Class A^(a)		29,326		650
Costco Wholesale Corp.		73,889		5,335
CVS Caremark Corp.		232,232		8,075
Dean Foods Co.^(a)		33,458		296
Dr Pepper Snapple Group, Inc.		38,800		1,364
Estee Lauder Cos., Inc. Class A		19,452		1,570
General Mills, Inc.		109,364		3,892
H.J. Heinz Co.		54,769		2,709
Hormel Foods Corp.		11,800		605
Kellogg Co.		43,435		2,219
Kimberly-Clark Corp.		69,700		4,394
Kraft Foods, Inc. Class A		298,509		9,406
Kroger Co.		108,976		2,437
Lorillard, Inc.		25,561		2,097
McCormick & Co., Inc.		22,753		1,059
Molson Coors Brewing Co., Class B		27,062		1,358
PepsiCo, Inc.		270,854		17,695
Philip Morris International, Inc.		309,999		18,144
Procter & Gamble Co.		478,319		30,770
Reynolds American, Inc.		57,774		1,885
Safeway, Inc.		64,364		1,448
Sara Lee Corp.		109,234		1,913
SuperValu, Inc.		34,848		336

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2010


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Consumer Staples — (continued)
Sysco Corp.		100,009	$	2,940
The Hershey Company		27,282		1,286
The J.M. Smucker Co.		20,460		1,343
Tyson Foods, Inc., Class A		51,235		882
Wal-Mart Stores, Inc.		334,802		18,056
Walgreen Co.		158,218		6,164
Whole Foods Market, Inc.^(a)		25,533		1,292

				205,622

Energy — 11.2%
Anadarko Petroleum Corp.		84,726		6,453
Apache Corp.		65,325		7,789
Baker Hughes, Inc.		73,673		4,212
Cabot Oil & Gas Corp.		17,300		655
Cameron International Corp.^(a)		41,400		2,100
Chesapeake Energy Corp.		111,782		2,896
Chevron Corp.^(b)		343,846		31,376
ConocoPhillips		251,030		17,095
Consol Energy, Inc.		38,573		1,880
Denbury Resources, Inc.^(a)		69,800		1,332
Devon Energy Corp.		73,851		5,798
Diamond Offshore Drilling, Inc.		11,900		796
El Paso Corp.		120,292		1,655
EOG Resources, Inc.		43,417		3,969
EQT Corp.		25,500		1,143
ExxonMobil Corp.^(b)		861,647		63,004
FMC Technologies, Inc.^(a)		20,500		1,823
Halliburton Co.		155,434		6,346
Helmerich & Payne, Inc.		18,600		902
Hess Corp.		51,301		3,926
Marathon Oil Corp.		121,277		4,491
Massey Energy Co.		17,500		939
Murphy Oil Corp.		33,441		2,493
Nabors Industries, Ltd.^(a)		48,204		1,131
National Oilwell Varco, Inc.		71,657		4,819
Newfield Exploration Co.^(a)		22,900		1,651
Noble Energy, Inc.		29,910		2,575
Occidental Petroleum Corp.		138,844		13,620
Peabody Energy Corp.		46,124		2,951
Pioneer Natural Resources Co.		19,800		1,719
QEP Resources, Inc.		29,968		1,088
Range Resources Corp.		27,400		1,232
Rowan Cos., Inc.^(a)		19,620		685
Schlumberger, Ltd.		233,158		19,469
Southwestern Energy Co.^(a)		59,300		2,220
Spectra Energy Corp.		110,798		2,769
Sunoco, Inc.		20,384		822
Tesoro Corp.^(a)		26,365		489
Valero Energy Corp.		96,709		2,236
Williams Cos., Inc.		99,968		2,471

				235,020

Financials — 15.3%
ACE Ltd.		58,000		3,611
AFLAC, Inc.		80,490		4,542
Allstate Corp.		92,006		2,933
American Express Co.		178,964		7,681
American International Group, Inc.^(a)		24,133		1,391

Ameriprise Financial, Inc.		42,407		2,441
AON Corp.		56,347		2,593
Apartment Investment & Management Co. Class A		21,052		544
Assurant, Inc.		18,231		702
AvalonBay Communities, Inc.		14,598		1,643
Bank of America Corp.		1,723,371		22,990
Bank of New York Mellon Corp.		211,985		6,402
BB&T Corp.		118,570		3,117
Berkshire Hathaway, Inc. Class B^(a)		295,703		23,689
Boston Properties, Inc.		23,967		2,064
Capital One Financial Corp.		78,063		3,322
CB Richard Ellis Group, Inc. Class A^(a)		47,275		968
Charles Schwab Corp.		169,493		2,900
Chubb Corp.		52,075		3,106
Cincinnati Financial Corp.		27,114		859
Citigroup, Inc.^(a)(b)		4,964,002		23,480
CME Group, Inc.		11,491		3,697
Comerica, Inc.		30,144		1,273
Developers Diversified Realty Corp.		1,532		22
Discover Financial Services		93,105		1,725
E*Trade Financial Corp.^(a)		33,931		543
Equity Residential		48,557		2,523
Federated Investors, Inc. Class B		14,870		389
Fifth Third Bancorp		136,116		1,998
First Horizon National Corp.^(a)		46,056		543
Franklin Resources, Inc.		24,880		2,767
Genworth Financial, Inc. Class A^(a)		83,951		1,103
Goldman Sachs Group, Inc.		87,334		14,686
Hartford Financial Services Group, Inc.		75,997		2,013
HCP, Inc.		55,100		2,027
Health Care REIT, Inc.		20,800		991
Hudson City Bancorp, Inc.		89,992		1,146
Huntington Bancshares, Inc.		118,556		814
IntercontinentalExchange, Inc.^(a)		12,480		1,487
Invesco Ltd.		79,000		1,901
J.P. Morgan Chase & Co.		668,015		28,337
Janus Capital Group, Inc.		31,407		407
KeyCorp		150,475		1,332
Kimco Realty Corp.		71,369		1,287
Legg Mason, Inc.		26,842		974
Leucadia National Corp.		33,636		981
Lincoln National Corp.		54,092		1,504
Loews Corp.		54,031		2,102
M & T Bank Corp.		20,437		1,779
Marsh & McLennan Cos., Inc.		92,853		2,539
Marshall & Ilsley Corp.		86,593		599
Mastercard, Inc. Class A		16,500		3,698
MetLife, Inc.		154,896		6,884
Moody’s Corp.		34,766		923
Morgan Stanley		258,530		7,035
NASDAQ OMX Group, Inc.^(a)		25,400		602
Northern Trust Corp.		41,406		2,294
NYSE Euronext		44,600		1,337
Paychex, Inc.		55,738		1,723
People’s United Financial, Inc.		63,000		883
PNC Financial Services Group, Inc.		89,817		5,454
Principal Financial Group, Inc.		54,791		1,784

See Notes to Financial Statements.

State Street Equity 500 Index
Portfolio Portfolio of Investments — (continued)
December 31, 2010


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Financials — (continued)
Progressive Corp.		113,401	$	2,253
ProLogis		88,691		1,281
Prudential Financial, Inc.		82,939		4,869
Public Storage, Inc.		23,887		2,423
Regions Financial Corp.		214,589		1,502
Simon Property Group, Inc.		50,015		4,976
SLM Corp.^(a)		82,954		1,044
State Street Corp.^(c)		85,825		3,977
SunTrust Banks, Inc.		85,418		2,521
T. Rowe Price Group, Inc.		43,775		2,825
Torchmark Corp.		13,721		820
Total System Services, Inc.		27,675		426
Travelers Cos., Inc.		78,404		4,368
U.S. Bancorp		327,752		8,839
Unum Group		54,229		1,313
Ventas, Inc.		26,800		1,406
Visa, Inc.		83,300		5,863
Vornado Realty Trust		27,814		2,318
Wells Fargo Co.		896,849		27,793
Western Union Co.		112,085		2,081
XL Capital, Ltd. Class A		55,268		1,206
Zions Bancorp		30,453		738

				321,926

Health Care — 9.9%
Abbott Laboratories		264,106		12,653
Aetna, Inc.		68,350		2,085
Allergan, Inc.		52,592		3,612
AmerisourceBergen Corp.		47,186		1,610
Amgen, Inc.^(a)		161,436		8,863
Baxter International, Inc.		99,561		5,040
Becton, Dickinson & Co.		39,297		3,321
Biogen Idec, Inc.^(a)		40,731		2,731
Boston Scientific Corp.^(a)		259,734		1,966
Bristol-Myers Squibb Co.		292,516		7,746
C.R. Bard, Inc.		15,897		1,459
Cardinal Health, Inc.		59,657		2,285
CareFusion Corp.^(a)		31,178		801
Celgene Corp.^(a)		80,418		4,756
Cephalon, Inc.^(a)		13,300		821
Cerner Corp.^(a)		11,700		1,108
CIGNA Corp.		47,096		1,727
Coventry Health Care, Inc.^(a)		26,203		692
DaVita, Inc.^(a)		16,600		1,154
Dentsply International, Inc.		24,300		830
Eli Lilly & Co.		173,375		6,075
Express Scripts, Inc.^(a)		90,098		4,870
Forest Laboratories, Inc.^(a)		48,802		1,561
Genzyme Corp.^(a)		44,292		3,154
Gilead Sciences, Inc.^(a)		138,699		5,026
Hospira, Inc.^(a)		29,203		1,626
Humana, Inc.^(a)		28,807		1,577
Intuitive Surgical, Inc.^(a)		6,700		1,727
Johnson & Johnson		469,249		29,023
Laboratory Corp. of America Holdings^(a)		17,422		1,532
Life Technologies Corp.^(a)		31,887		1,770
McKesson Corp.		43,255		3,044
Mead Johnson Nutrition Co.		34,918		2,174
Medco Health Solutions, Inc.^(a)		72,568		4,446
Medtronic, Inc.		184,578		6,846
Merck & Co., Inc.		526,470		18,974
Mylan, Inc.^(a)		74,409		1,572
Patterson Cos., Inc.		16,494		505
Pfizer, Inc.		1,368,711		23,966
Quest Diagnostics, Inc.		24,200		1,306
St. Jude Medical, Inc.^(a)		59,626		2,549
Stryker Corp.		58,389		3,135
Tenet Healthcare Corp.^(a)		73,370		491
UnitedHealth Group, Inc.		187,996		6,789
Varian Medical Systems, Inc.^(a)		20,560		1,424
Watson Pharmaceuticals, Inc.^(a)		21,446		1,108
Wellpoint, Inc.^(a)		67,238		3,823
Zimmer Holdings, Inc.^(a)		33,752		1,812

				207,165

Industrials — 10.5%
3M Co.		122,172		10,543
Amphenol Corp. Class A		29,800		1,573
Avery Dennison Corp.		18,488		783
Boeing Co.		125,388		8,183
Caterpillar, Inc.		108,479		10,160
CH Robinson Worldwide, Inc.		28,361		2,274
Cintas Corp.		21,588		604
CSX Corp.		63,938		4,131
Cummins, Inc.		33,758		3,714
Danaher Corp.		91,672		4,324
Deere & Co.		72,437		6,016
Dover Corp.		31,895		1,864
Eaton Corp.		28,795		2,923
Emerson Electric Co.		128,648		7,355
Equifax, Inc.		22,083		786
Expeditors International Washington, Inc.		36,320		1,983
Fastenal Co.		25,200		1,510
FedEx Corp.		53,800		5,004
First Solar, Inc.^(a)		9,270		1,206
Flir Systems, Inc.^(a)		27,100		806
Flowserve Corp.		9,500		1,133
Fluor Corp.		30,560		2,025
General Dynamics Corp.		64,561		4,581
General Electric Co.^(b)		1,820,633		33,299
Goodrich Co.		21,445		1,889
Honeywell International, Inc.		133,281		7,085
Illinois Tool Works, Inc.		84,771		4,527
Ingersoll-Rand PLC		55,400		2,609
Iron Mountain, Inc.		32,200		805
ITT Industries, Inc.		31,392		1,636
Jacobs Engineering Group, Inc.^(a)		22,300		1,023
L-3 Communications Holdings, Inc.		19,303		1,361
Leggett & Platt, Inc.		24,998		569
Lockheed Martin Corp.		50,452		3,527
Masco Corp.		64,323		814
Monster Worldwide, Inc.^(a)		22,609		534
Norfolk Southern Corp.		62,055		3,898
Northrop Grumman Corp.		49,911		3,233
PACCAR, Inc.		62,274		3,576
Pall Corp.		19,709		977

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Industrials — (continued)
Parker-Hannifin Corp.		27,603	$	2,382
Pitney Bowes, Inc.		34,927		845
Precision Castparts Corp.		24,407		3,398
Quanta Services, Inc.^(a)		36,800		733
R.R. Donnelley & Sons Co.		36,109		631
Raytheon Co.		62,282		2,886
Republic Services, Inc.		52,503		1,568
Robert Half International, Inc.		26,540		812
Rockwell Automation, Inc.		24,705		1,772
Rockwell Collins, Inc.		26,831		1,563
Roper Industries, Inc.		16,200		1,238
Ryder Systems, Inc.		7,921		417
Southwest Airlines Co.		127,686		1,657
Stericycle, Inc.^(a)		14,800		1,198
Textron, Inc.		46,939		1,110
Thermo Fisher Scientific, Inc.^(a)		67,924		3,760
Tyco International Ltd.		83,600		3,464
Union Pacific Corp.		84,268		7,808
United Parcel Service, Inc. Class B		168,946		12,262
United Technologies Corp.		157,778		12,420
W.W. Grainger, Inc.		9,969		1,377
Waste Management, Inc.		81,339		2,999

				221,143

Information Technology — 16.5%
Adobe Systems, Inc.^(a)		86,957		2,677
Advanced Micro Devices, Inc.^(a)		99,186		811
Agilent Technologies, Inc.^(a)		59,168		2,451
Akamai Technologies, Inc.^(a)		31,124		1,464
Altera Corp.		52,854		1,881
Analog Devices, Inc.		51,069		1,924
AOL, Inc.^(a)(d)		1		—
Apple, Inc.^(a)		156,784		50,572
Applied Materials, Inc.		228,307		3,208
Autodesk, Inc.^(a)		38,876		1,485
Automatic Data Processing, Inc.		84,317		3,902
BMC Software, Inc.^(a)		31,221		1,472
Broadcom Corp. Class A		77,859		3,391
CA, Inc.		67,099		1,640
Cisco Systems, Inc.^(a)		947,119		19,160
Citrix Systems, Inc.^(a)		32,067		2,194
Cognizant Technology Solutions Corp. Class A^(a)		51,884		3,803
Computer Sciences Corp.		26,444		1,312
Compuware Corp.^(a)		37,450		437
Corning, Inc.		267,076		5,160
Dell, Inc.^(a)		286,950		3,888
Dun & Bradstreet Corp.		8,500		698
Electronic Arts, Inc.^(a)		56,700		929
EMC Corp.^(a)		352,084		8,063
F5 Networks, Inc.^(a)		13,800		1,796
Fidelity National Information Services, Inc.		46,577		1,276
Fiserv, Inc.^(a)		25,452		1,490
Google, Inc. Class A^(a)		42,590		25,297
Harris Corp.		21,900		992
Hewlett-Packard Co.		387,516		16,314
Intel Corp.		953,156		20,045
International Business Machines Corp.		212,242		31,149
Intuit, Inc.^(a)		47,763		2,355
Jabil Circuit, Inc.		31,651		636
Juniper Networks, Inc.^(a)		89,393		3,300
KLA-Tencor Corp.		28,505		1,101
Lexmark International Group, Inc. Class A^(a)		12,642		440
Linear Technology Corp.		39,863		1,379
LSI Corp.^(a)		105,362		631
McAfee, Inc.^(a)		26,300		1,218
MEMC Electronic Materials, Inc.^(a)		36,378		410
Microchip Technology, Inc.		32,489		1,111
Micron Technology, Inc.^(a)		146,362		1,174
Microsoft Corp.^(b)		1,286,535		35,920
Molex, Inc.		23,305		530
Motorola, Inc.^(a)		401,465		3,641
National Semiconductor Corp.		42,096		579
NetApp, Inc.^(a)		61,757		3,394
Novell, Inc.^(a)		60,120		356
Novellus Systems, Inc.^(a)		15,230		492
NVIDIA Corp.^(a)		99,256		1,529
Oracle Corp.		661,462		20,704
PerkinElmer, Inc.		21,118		545
QLogic Corp.^(a)		17,922		305
QUALCOMM, Inc.		276,411		13,680
Red Hat, Inc.^(a)		33,300		1,520
SAIC, Inc.^(a)		50,200		796
Salesforce.com, Inc.^(a)		20,200		2,666
SanDisk Corp.^(a)		40,667		2,028
Symantec Corp.^(a)		132,663		2,221
Tellabs, Inc.		63,030		427
Teradata Corp.^(a)		28,920		1,190
Teradyne, Inc.^(a)		28,149		395
Texas Instruments, Inc.		200,599		6,519
VeriSign, Inc.		29,421		961
Waters Corp.^(a)		15,565		1,210
Western Digital Corp.^(a)		39,300		1,332
Xerox Corp.		237,001		2,730
Xilinx, Inc.		45,602		1,322
Yahoo!, Inc.^(a)		222,719		3,704

				345,332

Materials — 3.6%
Air Products & Chemicals, Inc.		36,609		3,330
Airgas, Inc.		14,300		893
AK Steel Holding Corp.		20,000		327
Alcoa, Inc.		174,549		2,686
Allegheny Technologies, Inc.		17,228		951
Ball Corp.		15,062		1,025
Bemis Co., Inc.		18,462		603
CF Industries Holdings, Inc.		12,150		1,642
Cliffs Natural Resources, Inc.		23,400		1,825
Dow Chemical Co.		198,328		6,771
E.I. Du Pont de Nemours & Co.		156,012		7,782
Eastman Chemical Co.		12,204		1,026
Ecolab, Inc.		39,666		2,000
FMC Corp.		12,600		1,007
Freeport-McMoRan Copper & Gold, Inc. Class B		80,452		9,661

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Materials — (continued)
International Flavors & Fragrances, Inc.		13,031	$	724
International Paper Co.		74,711		2,035
MeadWestvaco Corp.		30,320		793
Monsanto Co.		91,655		6,383
Newmont Mining Corp.		84,206		5,173
Nucor Corp.		53,954		2,364
Owens-Illinois, Inc.^(a)		28,000		860
Plum Creek Timber Co., Inc.		27,611		1,034
PPG Industries, Inc.		27,871		2,343
Praxair, Inc.		52,311		4,994
Sealed Air Corp.		27,292		695
Sherwin-Williams Co.		15,296		1,281
Sigma-Aldrich Corp.		20,934		1,393
Titanium Metals Corp.^(a)		16,600		285
United States Steel Corp.		24,578		1,436
Vulcan Materials Co.		22,561		1,001
Weyerhaeuser Co.		91,574		1,734

				76,057

Telecommunication Services — 2.9%
American Tower Corp. Class A^(a)		68,200		3,522
AT&T, Inc.		1,009,850		29,669
CenturyTel, Inc.		51,773		2,390
Frontier Communications Corp.		169,844		1,653
JDS Uniphase Corp.^(a)		38,023		550
MetroPCS Communications, Inc.^(a)		44,800		566
Qwest Communications International, Inc.		297,790		2,266
Sprint Nextel Corp.^(a)		510,465		2,159
Verizon Communications, Inc.		483,066		17,284
Windstream Corp.		82,613		1,153

				61,212

Utilities — 3.1%
AES Corp.^(a)		115,195		1,403
Allegheny Energy, Inc.		28,359		687
Ameren Corp.		40,960		1,155
American Electric Power Co., Inc.		82,052		2,952
CenterPoint Energy, Inc.		72,311		1,137
CMS Energy Corp.		37,956		706
Consolidated Edison, Inc.		49,652		2,461
Constellation Energy Group, Inc.		34,214		1,048
Dominion Resources, Inc.		99,162		4,236
DTE Energy Co.		29,884		1,354
Duke Energy Corp.		226,320		4,031
Edison International		55,719		2,151
Entergy Corp.		30,898		2,188
Exelon Corp.		113,021		4,706
FirstEnergy Corp.		52,107		1,929
Integrys Energy Group, Inc.		13,216		641
NextEra Energy, Inc.		71,021		3,692
Nicor, Inc.		7,800		389
NiSource, Inc.		48,582		856
Northeast Utilities		30,100		960
NRG Energy, Inc.^(a)		42,200		825
Oneok, Inc.		18,600		1,032
Pepco Holdings, Inc.		38,400		701
PG&E Corp.		67,026		3,207
Pinnacle West Capital Corp.		18,560		769
PPL Corp.		82,575		2,173
Progress Energy, Inc.		50,081		2,178
Public Service Enterprise Group, Inc.		86,424		2,749
SCANA Corp.		19,300		784
Sempra Energy		40,986		2,151
Southern Co.		143,343		5,480
TECO Energy, Inc.		34,951		622
Wisconsin Energy Corp.		20,100		1,183
Xcel Energy, Inc.		78,651		1,852

				64,388

TOTAL COMMON STOCKS
(Cost $1,230,336)				1,953,128


	Par
	Amount
	(000)
U.S. GOVERNMENT SECURITIES — 0.2%
United States Treasury Bill^(b)(e)(f)
0.08% due 01/20/11	$	3,765	3,765
United States Treasury Bill^(b)(e)(f)
0.11% due 03/10/11		350	350

TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115)			4,115


	Shares
	(000)
MONEY MARKET FUNDS — 1.6%
AIM Short Term Investment Prime Portfolio		33,049		33,049
Federated Money Market Obligations Trust		576		576

TOTAL MONEY MARKET FUNDS (Cost $33,625)				33,625

TOTAL INVESTMENTS^(g)† — 94.9%
(Identified cost $1,268,076)				1,990,868
Other Assets in Excess of Liabilities — 5.1%				107,269

NET ASSETS — 100.0%			$	2,098,137


(a)		Non-income producing security.

(b)		All or part of this security has been designated as collateral for futures contracts.

(c)		Affiliated issuer. See table that follows for more information.

(d)		Amount is less than $1,000.

(e)		Rate represents annualized yield at date of purchase.

(f)		Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010

(g)

Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures.
(Note 2)

†

See Note 2 of the Notes to Financial Statements.

Notional

Unrealized

Number of

Value

Appreciation

Contracts

(000)

Schedule of Futures

Contracts S&P 500

Financial Futures

Contracts (long)

Expiration

Date 03/2011

637

39,366

542

Total unrealized

appreciation on

open futures

contracts purchased

542

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.

Income earned

Shares purchased

for the twelve

Shares sold for

Value at

months ended

Realized loss

Security

Number of shares

months ended

the twelve months

Number of shares

12/31/2010

on shares sold

Description

held at 12/31/09

12/31/2010

ended 12/31/2010

held at 12/31/2010

(000)

State Street

Corp.

90,925

6,300

11,400

85,825

3,977

(225

)

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Notes to Financial Statements
December 31, 2010

1. Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2010, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation — The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010

accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

	•		Level 1 — quoted prices in active markets for identical securities

	•		Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

	•		Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	1,953,128	$	—	$	—	$	1,953,128
U.S. Government Securities		—		4,115		—		4,115
Money Market Funds		33,625		—		—		33,625
OTHER ASSETS:
Futures contracts		542		—		—		542

TOTAL ASSETS	$	1,987,295	$	4,115	$	—	$	1,991,410

The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Securities transactions, investment income and expenses — Securities transactions are recorded on a trade date basis for financial statement purposes. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010

accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.

Federal income taxes: The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2010, the book cost of investments was $1,268,075,887 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $791,849,304 and $69,056,837 respectively, resulting in net appreciation of $722,792,467 for all securities as computed on a federal income tax basis.

Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010

underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2010:

Asset Derivatives⁽¹⁾(amounts in thousands)


			Foreign
	Interest Rate		Exchange		Credit		Equity		Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk*		Contracts Risk		Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	542	$	—	$	—	$	542


⁽¹⁾		Portfolio of Investments: Unrealized appreciation of futures contracts.

*		Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments during the year ended December 31, 2010, were as follows:

Realized Gain (Loss)⁽¹⁾(amounts in thousands)


			Foreign
	Interest Rate		Exchange		Credit		Equity		Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	5,708	$	—	$	—	$	5,708

Change in Appreciation (Depreciation)⁽²⁾(amounts in thousands)


			Foreign
	Interest Rate		Exchange		Credit		Equity			Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk			Contracts Risk		Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	(5	)	$	—	$	—	$	(5	)


⁽¹⁾		Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽²⁾		Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding during the year ended December 31, 2010, was $51,379,065.

Use of estimates: The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010

3. Securities Transactions

For the year ended December 31, 2010, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $217,471,983 and $339,764,058 respectively.

4. Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500@ Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.

5. Trustees’ Fees

Pursuant to certain agreements with State Street and its affiliates, each Independent Trustee receives for his or her services a $30,000 retainer in addition to $2,500 for each in-person meeting and $500 for each telephonic meeting from State Street or its affiliates. These fees are paid through a unitary fee.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

State Street Equity 500 Index Portfolio
Report of Independent Registered Public Accounting Firm

To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, a portfolio of State Street Master Funds, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts
February 22, 2011

State Street Equity 500 Index Portfolio
General Information
December 31, 2010 (Unaudited)

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials

State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)

provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of index products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Portfolio was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

The Trustees noted that, in view of the investment objective of the Portfolio and the available data, the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that the performance of the Portfolio was acceptable.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolio and, indirectly, by the feeder fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services

State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)

satisfactorily accounted for differences in the fees. The Board determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.

Trustees and Executive Officers (Unaudited)

The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:

	•		business addresses and ages;

	•		principal occupations during the past five years; and

	•		other directorships of publicly traded companies or funds.

Number of

Funds in Fund

Name, Address,

Position(s)

Term of Office

Principal

Complex

and Date of Birth

Held with

and Length of

Occupation During

Overseen by

Other Directorships

(“DOB”)

Trust

Time Served

Past Five Years

Trustee*

Held by Trustee

Independent Trustees

Michael F. Holland

Trustee and

Term: Indefinite

Chairman, Holland &

Trustee, State Street

Holland & Company,

Chairman

Elected: 7/99

Company L.L.C.

Institutional Investment

LLC

of the

(investment adviser)

Trust; Director, the

375 Park Avenue

Board

(1995 — present).

Holland Series Fund,

New York, NY 10152

Inc.; Director, The China

Fund, Inc.; Director, The

DOB: 1944

Taiwan Fund, Inc.; and

Director, Reaves Utility

Income Fund

William L. Boyan

Trustee

Term: Indefinite

President and Chief

Trustee, State Street

State Street Master

Elected: 7/99

Operations Officer, John

Institutional Investment

Funds

Hancock Financial

Trust; Former Trustee of

P.O. Box 5049

Services (1959 — 1999)

Old Mutual South Africa

Boston, MA 02206

Mr. Boyan retired in

Master Trust; Trustee,

1999. Chairman

Children’s Hospital,

DOB: 1937

Emeritus, Children’s

Boston, MA; and

Hospital, Boston, MA

Trustee, Florida Stage.

(1984 — present); Former

Trustee of Old Mutual

South Africa Master

Trust (investments)

(1995 — 2008); Former

Chairman, Boston Plan

For Excellence, Boston

Public Schools (1994 —

2008).

Rina K. Spence

Trustee

Term: Indefinite

President of SpenceCare

Trustee, State Street

State Street Master

Elected: 7/99

International LLC

Institutional Investment

Funds

(international healthcare

Trust; Director,

P.O. Box 5049

consulting) (1998 —

Berkshire Life Insurance

Boston, MA 02206

present); Chief

Company of America

Executive Officer,

1993 — 2009; Director,

DOB: 1948

IEmily.com (internet

IEmily.com, Inc. 2000 —

company) (2000 — 2001);

present; and Trustee,

Chief Executive Officer

National Osteoporosis

of Consensus

Foundation 2005 — 2008

Pharmaceutical, Inc.

(1998 — 1999); Founder,

President and Chief

Executive Officer of

Spence Center for

Women’s Health (1994 —

1998); President and

CEO Emerson Hospital

(1984 — 1994); Trustee,

Eastern Enterprise

(utilities) (1988 — 2000).

Douglas T. Williams

Trustee

Term: Indefinite

Executive Vice President

Trustee, State Street

State Street Master

Elected: 7/99

of Chase Manhattan

Institutional Investment

Funds

Bank (1987 — 1999).

Trust; Treasurer,

P.O. Box 5049

Mr. Williams retired in

Nantucket Educational

Boston, MA 02206

1999.

Trust, 2002-2007

DOB: 1940


*		The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.

Number of

Funds in Fund

Name, Address,

Position(s)

Term of Office

Principal

Complex

and Date of Birth

Held with

and Length of

Occupation During

Overseen by

Other Directorships

(“DOB”)

Trust

Time Served

Past Five Years

Trustee*

Held by Trustee

Interested Trustees⁽¹⁾

James E. Ross

Trustee

Term: Indefinite

President, SSgA Funds

Trustee, State Street

SSgA Funds

President

Elected Trustee: 2/07

Management Inc.

Institutional Investment

Management, Inc.

Elected President: 4/05

(2005 — present);

Trust;Trustee, SPDR@

State Street Financial

Principal, SSgA Funds

Series Trust; Trustee,

Center

Management, Inc.

SPDR@ Index Shares

One Lincoln Street

(2001 — 2005); Senior

Trust and Trustee,

Boston, MA 02111-2900

Managing Director,

Select Sector SPDR@

State Street Global

Trust

DOB: 1965

Advisors (2006 —

present); Principal, State

Street Global Advisors

(2000 — 2006).

Officers:

Ellen M. Needham

Vice

Term: Indefinite

Vice President, SSgA

—

SSgA Funds

President

Elected: 09/09

Funds Management, Inc.

Management, Inc.

(investment adviser);

State Street Financial
Center

July 2007 to Present,

Managing Director

One Lincoln Street

(June 2006 to July 2007,

Boston, MA 02111-2900

Vice President; 2000 to

June 2006, Principal),

DOB: 1967

State Street Global

Advisors.

Laura F. Healy

Treasurer

Term: Indefinite

Vice President of State

—

State Street Bank and

Elected: 11/10

Street Bank and Trust

Trust Company

Company (prior to

4 Copley Place

Assistant

11/08-11/10

July 2, 2008, Investors

5th floor

Treasurer

Financial Corporation)

Boston, MA 02116

since 2002.

DOB: 1964

Brian D. O’Sullivan

Assistant

Term: Indefinite

Vice President of State

—

State Street Bank and

Treasurer

Elected: 11/08

Street Bank and Trust

Trust Company

Company (2007 —

801 Pennsylvania

present) with which he

Avenue

has been affiliated with

Kansas City, MO 64105

since 1997.

DOB: 1975

Peter T. Sattelmair

Assistant

Term: Indefinite

Director of Fund

—

State Street Bank and

Treasurer

Elected: 11/08

Administration of State

Trust Company

Street Bank and Trust

801 Pennsylvania

Company (2007 —

Avenue

present) with which he

Kansas City, MO 64105

has been affiliated with

since 1999.

DOB: 1977


*		The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.

⁽¹⁾		Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust.


Schedule of Investments December 31, 2010		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Advertising Agencies — 0.7%
Arbitron, Inc.		7,513	$	311,940
Constant Contact, Inc. (a)(b)		8,097		250,926
DG FastChannel, Inc. (a)		7,091		204,788
Dex One Corp. (a)		14,899		111,146
Harte-Hanks, Inc.		10,630		135,745
Marchex, Inc., Class B		5,365		51,182
National CineMedia, Inc.		14,960		297,853
QuinStreet, Inc. (a)		3,194		61,357
SuperMedia, Inc. (a)		3,269		28,473
Travelzoo, Inc. (a)		1,535		63,273
Valassis Communications, Inc. (a)		13,914		450,118
ValueClick, Inc. (a)		23,023		369,059
Viad Corp.		5,643		143,727

				2,479,587

Aerospace — 1.4%
AAR Corp. (a)		11,002		302,225
AeroVironment, Inc. (a)		4,483		120,279
Applied Energetics, Inc. (a)		19,880		16,916
Astronics Corp. (a)		2,803		58,863
Ceradyne, Inc. (a)		7,101		223,895
Cubic Corp.		4,314		203,405
Curtiss-Wright Corp.		12,650		419,980
Ducommun, Inc.		2,779		60,527
Esterline Technologies Corp. (a)		8,237		564,976
GenCorp, Inc. (a)		17,241		89,136
Heico Corp.		8,126		414,670
Herley Industries, Inc. (a)		3,601		62,369
Kaman Corp., Class A		7,307		212,414
Kratos Defense & Security Solutions, Inc. (a)		5,735		75,530
LMI Aerospace, Inc. (a)		2,864		45,795
Ladish Co., Inc. (a)		4,397		213,738
Moog, Inc., Class A (a)		12,575		500,485
Orbital Sciences Corp. (a)		16,177		277,112
Teledyne Technologies, Inc. (a)		9,978		438,733
Triumph Group, Inc.		4,544		406,279

				4,707,327

Agriculture, Fishing & Ranching — 0.4%
The Andersons, Inc.		5,228		190,038
Cadiz, Inc. (a)		4,456		55,433
Cal-Maine Foods, Inc.		3,927		124,015
Calavo Growers, Inc.		3,311		76,318
Fresh Del Monte Produce, Inc.		10,928		272,654
Limoneira Co.		2,283		65,522
Pilgrims Pride Corp. (a)		14,134		100,210
Sanderson Farms, Inc.		6,201		242,769
Seaboard Corp.		91		181,181

				1,308,140

Air Transport — 1.0%
Air Transport Services Group, Inc. (a)		15,195		120,040
AirTran Holdings, Inc. (a)		38,092		281,500
Alaska Air Group, Inc. (a)		9,872		559,644
Allegiant Travel Co.		4,241		208,827
Atlas Air Worldwide Holdings, Inc. (a)		7,189		401,362
Bristow Group, Inc. (a)		10,014		474,163
Hawaiian Holdings, Inc. (a)		14,090		110,465
JetBlue Airways Corp. (a)		68,311		451,536
PHI, Inc. (a)		4,094		77,131
Pinnacle Airlines Corp. (a)		5,107		40,345
Republic Airways Holdings, Inc. (a)		11,165		81,728
SkyWest, Inc.		15,379		240,220
US Airways Group, Inc. (a)(b)		44,916		449,609

				3,496,570

Alternative Energy — 0.2%
Ameresco Inc. (a)		2,197		31,549
Comverge, Inc. (a)		7,712		53,290
EnerNOC, Inc. (a)(b)		5,401		129,138
Green Plains Renewable Energy (a)		5,005		56,356
Rex American Resources Corp. (a)		1,997		30,674
Syntroleum Corp. (a)		19,188		35,498
USEC, Inc. (a)		32,263		194,223

				530,728

Aluminum — 0.2%
Century Aluminum Co. (a)		17,538		272,365
Kaiser Aluminum Corp.		4,291		214,936
Noranda Aluminum Holding Corp. (a)		3,773		55,086

				542,387

Asset Management & Custodian — 0.9%
American Capital Ltd. (a)		94,558		714,859
Apollo Investment Corp.		54,856		607,256
Arlington Asset Investment Corp.		1,873		44,933
Artio Global Investors, Inc.		7,719		113,855
Calamos Asset Management, Inc., Class A		5,728		80,192
Capital Southwest Corp.		756		78,473
Cohen & Steers, Inc.		5,021		131,048
Cowen Group, Inc., Class A (a)		11,601		54,061
Diamond Hill Investments Group		641		46,370
Epoch Holding Corp.		3,651		56,700
Fifth Street Finance Corp.		15,310		185,863
Financial Engines, Inc. (a)		3,875		76,841
GAMCO Investors, Inc., Class A		2,015		96,740
Golub Capital BDC, Inc.		1,924		32,939
Harris & Harris Group, Inc. (a)		8,451		37,015
JMP Group, Inc.		3,753		28,635
MCG Capital Corp.		21,011		146,447
MVC Capital, Inc.		7,075		103,295
NGP Capital Resources Co.		6,745		62,054
National Financial Partners Corp. (a)		12,254		164,204
Oppenheimer Holdings, Inc.		3,115		81,644
THL Credit, Inc.		3,221		41,905
TICC Capital Corp.		8,093		90,723
Virtus Investment Partners, Inc. (a)		1,484		67,329
Westwood Holdings Group, Inc.		1,777		71,009

				3,214,390

Auto Parts — 0.9%
American Axle & Manufacturing Holdings, Inc. (a)		16,725		215,084
Amerigon, Inc. (a)		6,524		70,981
ArvinMeritor, Inc. (a)		26,179		537,193
Dana Holding Corp. (a)		39,026		671,638
Dorman Products, Inc. (a)		3,071		111,293
Exide Technologies (a)		20,978		197,403
Fuel Systems Solutions, Inc. (a)		4,164		122,338
Standard Motor Products, Inc.		5,702		78,117

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Auto Parts (concluded)
Stoneridge, Inc. (a)		4,113	$	64,944
Superior Industries International, Inc.		6,596		139,967
Tenneco, Inc. (a)		16,623		684,203
U.S. Auto Parts Network, Inc. (a)		4,614		38,758

				2,931,919

Auto Services — 0.1%
Cooper Tire & Rubber Co.		17,075		402,629

Back Office Support, HR & Consulting — 1.4%
APAC Customer Services, Inc. (a)		9,849		59,783
Administaff, Inc.		6,161		180,517
The Advisory Board Co. (a)		4,373		208,286
Barrett Business Services, Inc.		2,009		31,240
CBIZ, Inc. (a)		12,599		78,618
CDI Corp.		3,841		71,404
CRA International, Inc. (a)		3,524		82,849
Compass Diversified Holdings		8,945		158,237
Corporate Executive Board Co.		9,581		359,767
CoStar Group, Inc. (a)		5,837		335,978
Dice Holdings, Inc. (a)		4,311		61,863
ExlService Holdings, Inc. (a)		4,519		97,068
Forrester Research, Inc.		3,965		139,925
GP Strategies Corp. (a)		4,255		43,571
Heidrick & Struggles International, Inc.		5,160		147,834
Hudson Highland Group, Inc. (a)		8,669		50,540
Huron Consulting Group, Inc. (a)		6,044		159,864
ICF International, Inc. (a)		4,738		121,861
Kelly Services, Inc., Class A (a)		7,463		140,304
Kforce, Inc. (a)		8,450		136,721
Korn/Ferry International (a)		12,668		292,758
LECG Corp. (a)		9,818		13,549
Liquidity Services, Inc. (a)		4,302		60,443
LoopNet, Inc. (a)		5,965		66,271
MAXIMUS, Inc.		4,877		319,834
Navigant Consulting, Inc. (a)		13,829		127,227
On Assignment, Inc. (a)		11,218		91,427
Resources Connection, Inc.		13,167		244,775
SFN Group, Inc. (a)		14,612		142,613
SYKES Enterprises, Inc. (a)		11,714		237,326
TeleTech Holdings, Inc. (a)		8,626		177,609
TrueBlue, Inc. (a)		12,456		224,083
Volt Information Sciences, Inc. (a)		4,122		35,655

				4,699,800

Banks: Diversified — 5.7%
1st Source Corp.		4,534		91,768
1st United BanCorp., Inc. (a)		5,635		38,938
Alliance Financial Corp.		1,273		41,182
American National Bankshares, Inc.		1,631		38,410
Ameris Bancorp (a)		7,512		79,176
Ames National Corp.		2,078		45,030
Arrow Financial Corp.		2,576		70,866
Bancfirst Corp.		1,916		78,920
Banco Latinoamericana De Comercio Exterior SA		7,907		145,963
The Bancorp, Inc. (a)		7,011		71,302
Bancorp Rhode Island, Inc.		941		27,374
Bank of Marin Bancorp		1,409		49,315
Bank of the Ozarks, Inc.		3,448		149,471
Boston Private Financial Holdings, Inc.		21,149		138,526
Bridge Bancorp, Inc.		1,661		40,944
Bryn Mawr Bank Corp.		2,485		43,363
CNB Financial Corp.		3,286		48,666
CVB Financial Corp. (b)		25,322		219,542
Camden National Corp.		2,338		84,706
Capital City Bank Group, Inc. (b)		4,028		50,753
Cardinal Financial Corp.		8,760		101,879
Cathay General Bancorp		22,030		367,901
Center Financial Corp. (a)		11,411		86,495
Centerstate Banks, Inc.		6,720		53,222
Chemical Financial Corp.		6,973		154,452
Citizens & Northern Corp.		3,883		57,701
Citizens Banking Corp. (a)		119,962		73,777
City Holding Co.		4,426		160,354
CoBiz Financial, Inc.		8,417		51,175
Columbia Banking System, Inc.		11,079		233,324
Community Bank System, Inc.		9,024		250,596
Community Trust Bancorp, Inc.		3,810		110,338
Danvers Bancorp, Inc.		5,535		97,803
Eagle Bancorp, Inc. (a)		4,253		61,371
Enterprise Financial Services Corp.		5,009		52,394
F.N.B. Corp.		32,065		314,878
Financial Institutions, Inc.		3,012		57,138
First Bancorp, Inc.		2,554		40,328
First Bancorp, North Carolina		4,541		69,523
First Busey Corp. (b)		16,782		78,875
First Commonwealth Financial Corp.		29,581		209,433
First Community Bancshares, Inc.		4,244		63,405
First Financial Bancorp		16,288		301,002
First Financial Bankshares, Inc.		5,711		292,289
First Financial Corp.		3,157		110,937
First Merchants Corp.		6,818		60,407
First Midwest Bancorp, Inc.		21,086		242,911
The First of Long Island Corp.		1,762		50,939
First South Bancorp, Inc.		2,370		15,334
FirstMerit Corp.		29,779		589,326
German American Bancorp, Inc.		2,966		54,619
Glacier Bancorp, Inc.		20,151		304,482
Greene County Bancshares, Inc. (a)		2,897		9,270
Hancock Holding Co.		7,954		277,276
Heartland Financial USA, Inc.		4,147		72,407
Home Bancshares, Inc.		6,370		140,331
Hudson Valley Holding Corp.		3,941		97,569
IBERIABANK Corp.		7,356		434,960
International Bancshares Corp.		14,921		298,868
Investors Bancorp, Inc. (a)		13,630		178,826
Lakeland Bancorp, Inc.		6,402		70,230
Lakeland Financial Corp.		4,784		102,665
MA Independent Bank Corp.		5,778		156,295
MB Financial, Inc.		15,086		261,290
MT First Interstate Bancsystem, Inc.		4,065		61,951
MainSource Financial Group, Inc.		6,639		69,112
Merchants Bancshares, Inc.		1,312		36,159
Meridian Interstate Bancorp, Inc. (a)		2,629		30,996
Metro Bancorp, Inc. (a)		3,702		40,759
Midsouth Bancorp, Inc.		2,164		33,239
NBT Bancorp, Inc.		9,661		233,313
Nara Bancorp, Inc. (a)		10,670		104,779
National Bankshares, Inc.		1,803		56,776
National Penn Bancshares, Inc.		35,969		288,831
Old National Bancorp		24,002		285,384
Oriental Financial Group		13,280		165,867
Orrstown Financial Service, Inc.		1,867		51,174
Pacific Continental Corp.		6,216		62,533
PacWest Bancorp		8,404		179,678

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Banks: Diversified (concluded)
Park National Corp. (b)		3,457	$	251,220
Peapack-Gladstone Financial Corp.		2,357		30,759
Penns Woods Bancorp, Inc.		1,114		44,337
Peoples Bancorp, Inc.		2,840		44,446
Pinnacle Financial Partners, Inc. (a)		9,935		134,917
PrivateBancorp, Inc.		14,856		213,629
Prosperity Bancshares, Inc.		12,899		506,673
Provident Financial Services, Inc.		16,891		255,561
Renasant Corp.		7,002		118,404
Republic Bancorp, Inc., Class A		3,034		72,057
Rockville Financial, Inc.		2,246		27,446
Roma Financial Corp.		2,249		23,839
S&T Bancorp, Inc. (b)		6,761		152,731
SCBT Financial Corp.		3,549		116,230
SVB Financial Group (a)		11,524		611,348
SY Bancorp, Inc.		3,578		87,840
Sandy Spring Bancorp, Inc.		6,732		124,071
Sierra Bancorp		3,790		40,667
Signature Bank (a)		11,244		562,200
Simmons First National Corp., Class A		4,661		132,838
Southside Bancshares, Inc.		4,240		89,337
Southwest Bancorp, Inc. (a)		6,006		74,474
State Bancorp, Inc.		5,482		50,708
StellarOne Corp.		6,915		100,544
Sterling Bancorp		7,118		74,525
Sterling Bancshares, Inc.		24,928		174,995
Suffolk Bancorp		2,560		63,181
Susquehanna Bancshares, Inc.		35,570		344,318
Taylor Capital Group, Inc. (a)		2,613		34,361
Texas Capital Bancshares, Inc. (a)		10,251		218,039
Tompkins Trustco, Inc.		2,287		89,559
Tower Bancorp, Inc.		2,586		56,995
Towne Bank (b)		6,578		104,524
Trico Bancshares		3,626		58,560
TrustCo Bank Corp. NY		21,337		135,277
Trustmark Corp.		17,528		435,396
UMB Financial Corp.		8,668		359,029
Umpqua Holdings Corp.		31,483		383,463
Union First Market Bankshares Corp.		5,403		79,856
United Bankshares, Inc.		10,919		318,835
United Community Banks, Inc. (a)		31,060		60,567
Univest Corp. of Pennsylvania		4,951		94,911
Virginia Commerce Bancorp (a)		5,599		34,602
Washington Banking Co.		3,981		54,579
Washington Trust Bancorp, Inc.		4,328		94,697
Webster Financial Corp.		18,376		362,007
WesBanco, Inc.		6,580		124,757
West Bancorp., Inc.		4,227		32,928
West Coast Bancorp (a)		24,788		69,902
Westamerica Bancorp. (b)		7,958		441,430
Western Alliance Bancorp (a)		18,035		132,738
Whitney Holding Corp.		27,199		384,866
Wilshire Bancorp, Inc.		5,264		40,112
Wintrust Financial Corp.		8,503		280,854

				19,129,500

Banks: Savings, Thrift & Mortgage Lending — 1.0%
Abington Bancorp, Inc.		5,676		67,715
Astoria Financial Corp.		24,131		335,662
Bank Mutual Corp.		12,544		59,960
BankFinancial Corp.		5,050		49,238
Beneficial Mutual Bancorp, Inc. (a)		10,634		93,898
Berkshire Hills Bancorp, Inc.		4,256		94,058
BofI Holding, Inc. (a)		1,803		27,965
Brookline Bancorp, Inc.		15,960		173,166
Dime Community Bancshares, Inc.		7,846		114,473
ESB Financial Corp.		2,554		41,477
ESSA Bancorp, Inc.		4,575		60,482
First Financial Holdings, Inc.		5,653		65,066
Flagstar BanCorp., Inc. (a)		11,589		18,890
Flushing Financial Corp.		9,115		127,610
Great Southern Bancorp, Inc.		2,691		63,481
Heritage Financial Corp. (a)		2,621		36,484
Home Bancorp, Inc. (a)		2,132		29,464
Home Federal Bancorp, Inc.		4,516		55,411
Kearny Financial Corp.		3,744		32,198
NewAlliance Bancshares, Inc.		29,184		437,176
Northfield Bancorp, Inc.		5,634		75,045
Northwest Bancshares, Inc.		30,938		363,831
OceanFirst Financial Corp.		5,261		67,709
Ocwen Financial Corp. (a)		20,860		199,004
OmniAmerican Bancorp, Inc. (a)		4,232		57,344
Oritani Financial Corp.		15,172		185,705
Provident New York Bancorp		11,601		121,694
Territorial BanCorp., Inc.		3,203		63,772
United Financial Bancorp, Inc.		5,324		81,297
ViewPoint Financial Group		3,964		46,339
WSFS Financial Corp.		1,549		73,485
Westfield Financial, Inc.		8,079		74,731

				3,393,830

Beverage: Brewers & Distillers — 0.1%
Boston Beer Co., Inc., Class A (a)		2,361		224,507

Beverage: Soft Drinks — 0.1%
Coca-Cola Bottling Co. Consolidated		1,262		70,142
Farmer Bros. Co.		2,052		36,526
Heckmann Corp. (a)		24,875		125,121
National Beverage Corp.		3,583		47,081
Peet’s Coffee & Tea, Inc. (a)		3,198		133,484

				412,354

Biotechnology — 3.4%
AMAG Pharmaceuticals, Inc. (a)		5,804		105,052
AVEO Pharmaceuticals Inc. (a)		3,059		44,723
AVI BioPharma, Inc. (a)		29,393		62,313
Accelrys, Inc. (a)		15,873		131,746
Acorda Therapeutics, Inc. (a)		10,646		290,210
Affymax, Inc. (a)		5,315		35,345
Albany Molecular Research, Inc. (a)		5,877		33,029
Allos Therapeutics, Inc. (a)		23,553		108,579
Alnylam Pharmaceuticals, Inc. (a)		10,297		101,528
Arena Pharmaceuticals, Inc. (a)(b)		34,831		59,909
Ariad Pharmaceuticals, Inc. (a)		35,601		181,565
Arqule, Inc. (a)		11,067		64,963
Array Biopharma, Inc. (a)		17,537		52,436
BioMimetic Therapeutics, Inc. (a)		5,479		69,583
Biosante Pharmaceuticals, Inc. (a)		25,188		41,308
Biotime, Inc. (a)		7,035		58,602
Celera Corp. (a)		22,818		143,753
Celldex Therapeutics, Inc. (a)		8,602		35,440

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Biotechnology (continued)
Cepheid, Inc. (a)		16,669	$	379,220
Chelsea Therapeutics International, Inc. (a)		11,224		84,180
Clinical Data, Inc. (a)		3,426		54,508
Codexis Inc. (a)		3,408		36,130
Cubist Pharmaceuticals, Inc. (a)		15,967		341,694
Curis, Inc. (a)		25,136		49,769
Cypress Bioscience, Inc. (a)		12,458		80,728
Cytokinetics, Inc. (a)		12,738		26,622
Cytori Therapeutics, Inc. (a)		13,585		70,506
CytRx Corp. (a)		37,640		38,016
Dyax Corp. (a)		29,631		63,410
Dynavax Technologies Corp. (a)		26,944		86,221
Emergent Biosolutions, Inc. (a)		5,490		128,795
Enzo Biochem, Inc. (a)		9,003		47,536
Enzon Pharmaceuticals, Inc. (a)		13,516		164,490
Exact Sciences Corp. (a)		12,583		75,246
Exelixis, Inc. (a)		31,077		255,142
Furiex Pharmaceuticals, Inc. (a)		3,523		50,907
Genomic Health, Inc. (a)		4,274		91,421
Geron Corp. (a)(b)		32,882		170,000
Halozyme Therapeutics, Inc. (a)		21,215		168,023
Idenix Pharmaceuticals, Inc. (a)		10,319		52,008
ImmunoGen, Inc. (a)		18,480		171,125
Immunomedics, Inc. (a)		18,022		64,519
Incyte Corp. (a)		24,787		410,473
Inhibitex, Inc. (a)		12,947		33,662
Inovio Pharmaceuticals Inc. (a)		21,433		24,648
InterMune, Inc. (a)		13,045		474,838
Kensey Nash Corp. (a)		1,854		51,597
Keryx Biopharmaceuticals, Inc. (a)		14,942		68,434
Lexicon Genetics, Inc. (a)		59,551		85,753
Ligand Pharmaceuticals, Inc. (a)		6,858		61,173
MannKind Corp. (a)(b)		18,293		147,442
Martek Biosciences Corp. (a)		9,345		292,498
Maxygen, Inc.		10,364		40,731
Medivation, Inc. (a)		10,059		152,595
Metabolix, Inc. (a)		7,956		96,825
Micromet, Inc. (a)		24,767		201,108
Momenta Pharmaceuticals, Inc. (a)		12,174		182,245
NPS Pharmaceuticals, Inc. (a)		18,637		147,232
Nabi Biopharmaceuticals (a)		11,908		68,947
Nektar Therapeutics (a)		26,237		337,145
Neuralstem, Inc. (a)		15,917		33,744
Neurocrine Biosciences, Inc. (a)		13,998		106,945
Neurogesx, Inc. (a)		4,216		26,814
Novavax, Inc. (a)		28,284		68,730
Omeros Corp. (a)		6,567		54,112
Onyx Pharmaceuticals, Inc. (a)		17,542		646,774
Opko Health, Inc. (a)		26,181		96,084
Orexigen Therapeutics, Inc. (a)		9,144		73,884
Osiris Therapeutics, Inc. (a)		4,623		36,013
PDL BioPharma, Inc.		39,526		246,247
Pacific Biosciences of California, Inc. (a)		4,226		67,236
Peregrine Pharmaceuticals, Inc. (a)		20,894		48,056
Pharmasset, Inc. (a)		8,256		358,393
Progenics Pharmaceuticals, Inc. (a)		7,728		42,195
Pure Bioscience (a)		9,330		20,713
RTI Biologics, Inc. (a)		14,802		39,521
Rigel Pharmaceuticals, Inc. (a)		14,492		109,125
Sangamo Biosciences, Inc. (a)		12,393		82,290
Savient Pharmaceuticals, Inc. (a)		19,100		212,774
Seattle Genetics, Inc. (a)		23,588		352,641
Sequenom, Inc. (a)		25,712		206,210
StemCells, Inc. (a)		39,100		42,228
Targacept, Inc. (a)		6,499		172,224
Theravance, Inc. (a)		17,611		441,508
Vanda Pharmaceuticals, Inc. (a)		8,530		80,694
ViroPharma, Inc. (a)		21,748		376,675
ZIOPHARM Oncology, Inc. (a)		15,452		72,006
Zalicus, Inc. (a)		17,912		28,301

				11,389,783

Building Materials — 0.9%
Acuity Brands, Inc.		11,956		689,503
Ameron International Corp.		2,573		196,500
Builders FirstSource, Inc. (a)		12,175		23,985
Gibraltar Industries, Inc. (a)		8,715		118,263
Griffon Corp. (a)		12,864		163,887
Headwaters, Inc. (a)		18,899		86,557
LSI Industries, Inc.		5,533		46,809
Louisiana-Pacific Corp. (a)		35,850		339,141
NCI Building Systems, Inc. (a)		6,307		88,235
Quanex Building Products Corp.		10,811		205,085
Simpson Manufacturing Co., Inc.		11,098		343,039
Texas Industries, Inc.		5,750		263,235
Trex Co., Inc. (a)		4,563		109,329
Watsco, Inc.		7,647		482,373

				3,155,941

Building: Climate Control — 0.1%
Aaon, Inc.		3,611		101,867
Comfort Systems USA, Inc.		10,901		143,566
Interline Brands, Inc. (a)		9,343		212,740

				458,173

Building: Roofing, Wallboard & Plumbing — 0.1%
Beacon Roofing Supply, Inc. (a)		12,821		229,111

Cable Television Services — 0.1%
Knology, Inc. (a)		8,440		131,917
Mediacom Communications Corp., Class A (a)		11,599		98,128

				230,045

Casinos & Gambling — 0.3%
Ameristar Casinos, Inc.		8,159		127,525
Boyd Gaming Corp. (a)		15,602		165,381
Isle of Capri Casinos, Inc. (a)		4,441		45,387
Monarch Casino & Resort, Inc. (a)		2,571		32,137
Multimedia Games, Inc. (a)		7,612		42,475
Pinnacle Entertainment, Inc. (a)		15,194		213,020
Scientific Games Corp., Class A (a)		17,953		178,812
Shuffle Master, Inc. (a)		15,457		176,983

				981,720

Chemicals: Diversified — 1.5%
Aceto Corp.		8,227		74,043
American Vanguard Corp.		5,145		43,938
Arch Chemicals, Inc.		6,189		234,749
Georgia Gulf Corp. (a)		9,588		230,687
Hawkins, Inc.		2,452		108,869
Innophos Holdings, Inc.		6,064		218,789
KMG Chemicals, Inc.		1,598		26,479
LSB Industries, Inc. (a)		4,636		112,469
Landec Corp. (a)		6,860		41,023
OM Group, Inc. (a)		8,613		331,687
Olin Corp.		21,795		447,233

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Chemicals: Diversified (concluded)
Omnova Solutions, Inc. (a)		12,713	$	106,281
PolyOne Corp. (a)		25,994		324,665
Rockwood Holdings, Inc. (a)		14,506		567,475
Sensient Technologies Corp.		13,600		499,528
Solutia, Inc. (a)		33,774		779,504
TPC Group, Inc. (a)		2,307		69,948
W.R. Grace & Co. (a)		20,151		707,905
Westlake Chemical Corp.		5,382		233,955

				5,159,227

Chemicals: Specialty — 0.5%
Balchem Corp.		7,734		261,487
Calgon Carbon Corp. (a)		15,390		232,697
Kraton Performance Polymers, Inc. (a)		3,215		99,504
NewMarket Corp.		2,831		349,260
Polypore International, Inc. (a)		6,115		249,064
Quaker Chemical Corp.		3,013		125,552
Senomyx, Inc. (a)		11,804		84,162
Stepan Co.		2,108		160,777
Zep, Inc.		5,992		119,121

				1,681,624

Coal — 0.3%
Cloud Peak Energy, Inc. (a)		8,872		206,097
International Coal Group, Inc. (a)		37,154		287,572
James River Coal Co. (a)		7,416		187,847
L&L Energy, Inc. (a)		5,371		58,007
Patriot Coal Corp. (a)		21,831		422,866

				1,162,389

Commercial Finance & Mortgage Companies — 0.1%
Asta Funding, Inc.		4,159		33,688
Federal Agricultural Mortgage Corp., Class B		2,525		41,208
Medallion Financial Corp.		5,747		47,126
NewStar Financial, Inc. (a)		8,462		89,443

				211,465

Commercial Services: Rental & Leasing — 0.6%
Aircastle Ltd.		13,828		144,503
CAI International, Inc. (a)		3,024		59,270
Electro Rent Corp.		5,052		81,640
H&E Equipment Services, Inc. (a)		8,394		97,119
Marlin Business Services, Inc. (a)		2,283		28,880
McGrath RentCorp		6,835		179,214
Mobile Mini, Inc. (a)		10,363		204,048
PHH Corp. (a)		15,575		360,561
RSC Holdings, Inc. (a)		13,484		131,334
SeaCube Container Leasing Ltd.		3,037		42,700
TAL International Group, Inc.		4,828		149,040
United Rentals, Inc. (a)		16,903		384,543

				1,862,852

Commercial Vehicles & Parts — 0.3%
Commercial Vehicle Group, Inc. (a)		7,113		115,586
Force Protection, Inc. (a)		19,673		108,398
Miller Industries, Inc.		2,710		38,564
Modine Manufacturing Co. (a)		13,116		203,298
Rush Enterprises, Inc., Class A (a)		9,230		188,661
Spartan Motors, Inc.		10,280		62,605
Wabash National Corp. (a)		18,952		224,581

				941,693

Communications Technology — 3.2%
AboveNet, Inc.		6,173		360,874
Acme Packet, Inc. (a)		12,197		648,393
Adtran, Inc.		17,264		625,129
Anaren, Inc. (a)		4,408		91,907
Anixter International, Inc.		7,796		465,655
Aruba Networks, Inc. (a)		21,591		450,820
Aviat Networks, Inc. (a)		18,839		95,514
Bel Fuse, Inc.		3,256		77,818
BigBand Networks, Inc. (a)		13,752		38,506
Black Box Corp.		4,852		185,783
Comtech Telecommunications Corp.		8,044		223,060
Digi International, Inc. (a)		7,948		88,223
DigitalGlobe, Inc. (a)		7,687		243,755
EMS Technologies, Inc. (a)		4,405		87,131
Echelon Corp. (a)		10,004		101,941
Emulex Corp. (a)		23,243		271,013
Extreme Networks, Inc. (a)		27,561		85,163
Finisar Corp. (a)		21,060		625,271
GSI Technology, Inc. (a)		4,937		39,990
GeoEye, Inc. (a)		6,114		259,172
Globecomm Systems, Inc. (a)		6,651		66,510
Harmonic, Inc. (a)		27,452		235,264
Hughes Communications, Inc. (a)		2,650		107,166
Infinera Corp. (a)		24,897		257,186
InterDigital, Inc. (a)(b)		12,235		509,465
Ixia (a)		8,980		150,684
KVH Industries, Inc. (a)		4,532		54,157
Loral Space & Communications Ltd. (a)		3,024		231,336
NETGEAR, Inc. (a)		9,928		334,375
Network Equipment Technologies, Inc. (a)		8,165		37,804
Novatel Wireless, Inc. (a)		8,850		84,518
Oclaro, Inc. (a)		14,280		187,782
Oplink Communications, Inc. (a)		5,696		105,205
PC-Tel, Inc. (a)		4,815		28,890
Plantronics, Inc.		13,418		499,418
Riverbed Technology, Inc. (a)		35,147		1,236,120
SeaChange International, Inc. (a)		8,576		73,325
Shoretel, Inc. (a)		13,394		104,607
Sonus Networks, Inc. (a)		58,419		155,979
Sycamore Networks, Inc.		5,573		114,748
Syniverse Holdings, Inc. (a)		19,166		591,271
Tekelec (a)		18,982		226,076
Viasat, Inc. (a)		9,276		411,947

				10,868,951

Computer Services Software & Systems — 6.7%
ACI Worldwide, Inc. (a)(c)		9,391		252,336
Actuate Corp. (a)		13,455		76,694
Acxiom Corp. (a)		19,178		328,903
American Reprographics Co. (a)		11,101		84,257
American Software, Class A		7,492		50,721
Ariba, Inc. (a)		25,118		590,022
Art Technology Group, Inc. (a)		44,418		265,620
Aspen Technology, Inc. (a)		17,836		226,517
Avid Technology, Inc. (a)		8,148		142,264
Blackbaud, Inc.		12,651		327,661
Blackboard, Inc. (a)		9,618		397,223
Blue Coat Systems, Inc. (a)		11,468		342,549
Bottomline Technologies, Inc. (a)		9,065		196,801
BroadSoft, Inc. (a)		2,081		49,694
CACI International, Inc., Class A (a)		8,409		449,041
CDC Corp. (a)		7,453		26,160
CSG Systems International, Inc. (a)		9,715		184,002

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Computer Services Software & Systems (continued)
Ciber, Inc. (a)		19,400	$	90,792
CommVault Systems, Inc. (a)		12,126		347,046
Compellent Technologies, Inc. (a)		6,600		182,094
Computer Task Group, Inc. (a)		4,095		44,554
ComScore, Inc. (a)		6,275		139,995
Concur Technologies, Inc. (a)		11,198		581,512
Deltek, Inc. (a)		5,271		38,267
DealerTrack Holdings, Inc. (a)		11,426		229,320
DemandTec, Inc. (a)		5,233		56,726
Digimarc Corp. (a)		2,156		64,702
Digital River, Inc. (a)		11,096		381,924
DynaVox, Inc., Class A (a)		2,910		14,928
EPIQ Systems, Inc.		9,048		124,229
EarthLink, Inc.		30,934		266,032
Ebix, Inc. (a)(b)		7,644		180,933
Epicor Software Corp. (a)		13,337		134,704
Fortinet, Inc. (a)		11,700		378,495
Hypercom Corp. (a)		13,204		110,517
iGate Corp.		6,883		135,664
Infospace, Inc. (a)		11,166		92,678
Integral Systems, Inc. (a)		5,890		58,370
Interactive Intelligence, Inc. (a)		3,737		97,760
Internap Network Services Corp. (a)		15,693		95,413
Internet Capital Group, Inc. (a)		10,158		144,447
IntraLinks Holdings, Inc. (a)		3,288		61,518
JDA Software Group, Inc. (a)		11,783		329,924
KIT Digital, Inc. (a)		7,970		127,839
Kenexa Corp. (a)		6,263		136,471
Keynote Systems, Inc.		4,265		62,354
Lawson Software, Inc. (a)		38,987		360,630
Limelight Networks, Inc. (a)		13,693		79,556
Lionbridge Technologies, Inc. (a)		18,197		67,147
LivePerson, Inc. (a)		13,020		147,126
LogMeIn, Inc. (a)		4,233		187,691
Magma Design Automation, Inc. (a)		17,304		86,693
Manhattan Associates, Inc. (a)		6,447		196,891
Mantech International Corp., Class A (a)		6,298		260,296
Mentor Graphics Corp. (a)		30,075		360,900
Mercury Computer Systems, Inc. (a)		6,749		124,047
MicroStrategy, Inc., Class A (a)		2,484		212,307
Moduslink Global Solutions, Inc. (a)		13,785		92,359
Monotype Imaging Holdings, Inc. (a)		6,643		73,737
NCI, Inc., Class A (a)		1,829		42,049
NIC, Inc.		15,822		153,632
NetScout Systems, Inc. (a)		8,614		198,208
NetSuite, Inc. (a)		5,365		134,125
OpenTable, Inc. (a)		4,446		313,354
Openwave Systems, Inc. (a)		26,472		56,121
Opnet Technologies, Inc.		3,910		104,671
PDF Solutions, Inc. (a)		6,099		29,397
PROS Holdings, Inc. (a)		5,951		67,782
Parametric Technology Corp. (a)		32,264		726,908
Pegasystems, Inc.		4,662		170,769
Perficient, Inc. (a)		6,938		86,725
Progress Software Corp. (a)		11,739		496,794
QLIK Technologies, Inc. (a)		3,794		97,923
Quest Software, Inc. (a)		16,628		461,261
Rackspace Hosting, Inc. (a)		27,028		848,949
Radiant Systems, Inc. (a)		9,361		183,195
RealNetworks, Inc. (a)		25,684		107,873
RealPage, Inc. (a)		4,286		132,566
RightNow Technologies, Inc. (a)		6,264		148,269
SAVVIS, Inc. (a)		10,340		263,877
SRA International, Inc., Class A (a)		11,801		241,330
SS&C Technologies Holdings, Inc. (a)		3,576		73,344
SYNNEX Corp. (a)		6,350		198,120
Saba Software, Inc. (a)		9,438		57,761
Sapient Corp.		28,831		348,855
Smith Micro Software, Inc. (a)		8,650		136,151
SolarWinds, Inc. (a)		9,916		190,883
Sonic Solutions, Inc. (a)		11,983		179,745
Sourcefire, Inc. (a)		7,788		201,943
SuccessFactors, Inc. (a)		17,608		509,928
Support.com, Inc. (a)		13,677		88,627
Synchronoss Technologies, Inc. (a)		5,863		156,601
Syntel, Inc.		3,723		177,922
TIBCO Software, Inc. (a)		46,168		909,971
TNS, Inc. (a)		7,144		148,595
Taleo Corp., Class A (a)		11,227		310,427
TeleCommunication Systems, Inc., Class A (a)		12,196		56,955
Terremark Worldwide, Inc. (a)		16,771		217,184
Tier Technologies, Inc., Class B (a)		3,808		22,810
Tyler Technologies, Inc. (a)		8,776		182,190
Ultimate Software Group, Inc. (a)		7,017		341,237
Unisys Corp. (a)		11,764		304,570
United Online, Inc.		25,722		169,765
VASCO Data Security International, Inc. (a)		7,887		64,121
VeriFone Systems, Inc. (a)		23,839		919,232
VirnetX Holding Corp.		10,248		152,183
Virtusa Corp. (a)		4,160		68,058
Wave Systems Corp., Class A (a)		21,971		86,566
Websense, Inc. (a)		11,904		241,056
Zix Corp. (a)		17,043		72,774

				22,602,405

Computer Technology — 0.6%
Cray, Inc. (a)		10,787		77,127
Hutchinson Technology, Inc. (a)		6,167		22,880
Imation Corp. (a)		8,846		91,202
Immersion Corp. (a)		9,143		61,350
Insight Enterprises, Inc. (a)		13,317		175,252
Intermec, Inc. (a)		14,173		179,430
Quantum Corp. (a)		59,610		221,749
Radisys Corp. (a)		6,507		57,912
Rimage Corp. (a)		3,339		49,784
STEC, Inc. (a)		11,398		201,175
Safeguard Scientifics, Inc. (a)		6,132		104,735
Silicon Graphics International Corp. (a)		9,555		86,282
Stratasys, Inc. (a)		5,828		190,226
Super Micro Computer, Inc. (a)		7,145		82,453
Synaptics, Inc. (a)		9,314		273,645
Xyratex Ltd. (a)		8,251		134,574

				2,009,776

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Construction — 0.5%
EMCOR Group, Inc. (a)		18,337	$	531,406
Granite Construction, Inc.		9,570		262,505
Great Lakes Dredge & Dock Corp.		16,695		123,042
Insituform Technologies, Inc., Class A (a)		10,968		290,762
Orion Marine Group, Inc. (a)		7,892		91,547
Primoris Services Corp.		6,863		65,473
Sterling Construction Co., Inc. (a)		5,135		66,961
Tutor Perini Corp.		7,332		156,978

				1,588,674

Consumer Electronics — 0.2%
Audiovox Corp., Class A (a)		4,450		38,403
RealD Inc. (a)		4,079		105,728
TiVo, Inc. (a)		31,997		276,134
Universal Electronics, Inc. (a)		3,743		106,189

				526,454

Consumer Lending — 0.9%
Advance America, Cash Advance Centers, Inc.		16,629		93,787
Cash America International, Inc.		8,288		306,076
Credit Acceptance Corp. (a)		1,510		94,783
Dollar Financial Corp. (a)		6,982		199,895
Encore Capital Group, Inc. (a)		4,108		96,333
Ezcorp, Inc. (a)		12,908		350,194
First Cash Financial Services, Inc. (a)		8,403		260,409
The First Marblehead Corp. (a)		18,710		40,601
MGIC Investment Corp. (a)		56,003		570,670
MoneyGram International, Inc. (a)		26,653		72,230
Nelnet, Inc., Class A		7,528		178,338
Netspend Holdings, Inc. (a)		8,431		108,085
Portfolio Recovery Associates, Inc. (a)		4,751		357,275
Student Loan Corp.		1,040		33,738
World Acceptance Corp. (a)		4,585		242,088

				3,004,502

Consumer Services: Miscellaneous — 0.7%
Ancestry.com, Inc. (a)		5,484		155,307
Coinstar, Inc. (a)		8,825		498,083
Core-Mark Holdings Co., Inc. (a)		3,107		110,578
The Knot, Inc. (a)		8,783		86,776
Move, Inc. (a)		44,535		114,455
NutriSystem, Inc. (b)		7,652		160,922
Pre-Paid Legal Services, Inc. (a)		2,044		123,151
Sotheby’s Holdings, Inc., Class A		18,618		837,810
Steiner Leisure Ltd. (a)		4,315		201,510

				2,288,592

Containers & Packaging — 0.4%
AEP Industries, Inc. (a)		1,150		29,843
Graham Packaging Co., Inc. (a)		5,139		67,013
Graphic Packaging Holding Co. (a)		31,761		123,550
Myers Industries, Inc.		10,282		100,147
Rock-Tenn Co., Class A		10,754		580,178
Silgan Holdings, Inc.		14,840		531,420

				1,432,151

Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)		6,725		154,742
Inter Parfums, Inc.		4,215		79,453
Revlon, Inc., Class A (a)		3,695		36,359

				270,554

Diversified Financial Services — 0.4%
Duff & Phelps Corp.		8,086		136,330
Evercore Partners, Inc., Class A		4,505		153,170
FBR Capital Markets Corp. (a)		14,655		55,982
Gleacher & Co, Inc. (a)		23,750		56,288
Main Street Capital Corp.		4,434		80,654
MidwestOne Financial Group, Inc.		1,865		28,180
Piper Jaffray Cos. (a)		4,213		147,497
Sanders Morris Harris Group, Inc.		5,727		41,521
Stifel Financial Corp. (a)		9,417		584,231
Triangle Capital Corp.		4,316		82,004

				1,365,857

Diversified Manufacturing Operations — 0.3%
A.M. Castle & Co. (a)		4,762		87,669
Barnes Group, Inc.		13,810		285,453
Federal Signal Corp.		17,890		122,725
Lydall, Inc. (a)		4,646		37,400
OSI Systems, Inc. (a)		4,609		167,583
Raven Industries, Inc.		4,607		219,708
Standex International Corp.		3,548		106,121
Trimas Corp. (a)		4,407		90,167

				1,116,826

Diversified Materials & Processing — 0.8%
Belden, Inc.		13,241		487,534
Cabot Microelectronics Corp. (a)		6,637		275,104
Clarcor, Inc.		13,889		595,699
Encore Wire Corp.		5,047		126,579
Hexcel Corp. (a)		26,888		486,404
Insteel Industries, Inc.		4,853		60,614
Koppers Holdings, Inc.		5,904		211,245
Rogers Corp. (a)		4,522		172,966
Tredegar Corp.		6,809		131,958
Uranium Energy Corp. (a)(b)		16,751		101,176

				2,649,279

Diversified Media — 0.1%
Belo Corp., Class A (a)		26,829		189,949
EW Scripps Co. (a)		9,726		98,719
Playboy Enterprises, Inc., Class B (a)		7,669		40,032

				328,700

Diversified Retail — 0.7%
99 Cents Only Stores (a)		12,612		201,035
The Bon-Ton Stores, Inc. (a)		3,782		47,880
Dillard’s, Inc., Class A		11,211		425,345
Fred’s, Inc.		10,754		147,975
GSI Commerce, Inc. (a)		18,657		432,843
Gaiam, Inc.		4,379		33,718
HSN, Inc. (a)		10,902		334,037
Overstock.com, Inc.		4,575		75,396
PriceSmart, Inc.		4,549		172,999
Saks, Inc. (a)		37,767		404,107
Tuesday Morning Corp. (a)		7,728		40,804

				2,316,139

Drug & Grocery Store Chains — 0.7%
Arden Group, Inc., Class A		556		45,870
Casey’s General Stores, Inc.		10,841		460,851
drugstore.com, Inc. (a)		24,853		54,925

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Drug & Grocery Store Chains (concluded)
The Fresh Market, Inc. (a)		4,210	$	173,452
Ingles Markets, Inc., Class A		4,294		82,445
Nash Finch Co.		3,603		153,163
The Pantry, Inc. (a)		7,076		140,529
PetMed Express, Inc. (b)		6,312		112,417
Rite Aid Corp. (a)		147,313		130,107
Ruddick Corp.		12,199		449,411
Spartan Stores, Inc.		6,686		113,328
Village Super Market, Inc., Class A		2,539		83,787
Weis Markets, Inc.		3,843		154,988
Winn-Dixie Stores, Inc. (a)		15,711		112,648

				2,267,921

Education Services — 0.5%
Ambassadors Group, Inc.		6,426		73,899
American Public Education, Inc. (a)		5,243		195,249
Archipelago Learning, Inc. (a)		3,223		31,618
Bridgepoint Education, Inc. (a)		5,635		107,065
Capella Education Co. (a)		4,619		307,533
Corinthian Colleges, Inc. (a)(b)		24,036		125,228
Franklin Covey Co. (a)		3,631		31,190
Grand Canyon Education, Inc. (a)		8,882		173,998
K12, Inc. (a)		7,103		203,572
Lincoln Educational Services Corp.		4,710		73,052
Renaissance Learning, Inc.		3,534		41,843
Rosetta Stone, Inc. (a)		3,247		68,901
School Specialty, Inc. (a)		5,959		83,009
Universal Technical Institute, Inc.		6,007		132,274

				1,648,431

Electronic Components — 0.7%
3D Systems Corp. (a)		5,226		164,567
Acacia Research — Acacia Technologies (a)		9,518		246,897
Checkpoint Systems, Inc. (a)		11,234		230,859
DDi Corp.		4,437		52,179
Methode Electronics, Inc.		10,475		135,861
Microvision, Inc. (a)(b)		28,837		53,637
Multi-Fineline Electronix, Inc. (a)		3,100		82,119
NVE Corp. (a)		1,420		82,118
Park Electrochemical Corp.		5,596		167,880
Pulse Electronics Corp.		11,258		59,892
ScanSource, Inc. (a)		7,682		245,056
Smart Modular Technologies WWH, Inc. (a)		15,215		87,638
TTM Technologies, Inc. (a)		22,744		339,113
Universal Display Corp. (a)(b)		8,555		262,211

				2,210,027

Electronic Entertainment — 0.2%
DTS, Inc. (a)		4,900		240,345
THQ, Inc. (a)		17,766		107,662
Take-Two Interactive Software, Inc. (a)		19,580		239,659

				587,666

Electronics — 0.6%
Agilysys, Inc. (a)		4,728		26,619
American Science & Engineering, Inc.		2,530		215,632
CPI International, Inc. (a)		2,027		39,222
Coherent, Inc. (a)		7,111		320,991
Daktronics, Inc.		9,319		148,358
II-VI, Inc. (a)		7,044		326,560
IPG Photonics Corp. (a)		7,327		231,680
iRobot Corp. (a)		5,743		142,886
Newport Corp. (a)		10,058		174,707
Richardson Electronics Ltd.		4,813		56,264
Rofin-Sinar Technologies, Inc. (a)		7,968		282,386
SRS Labs Inc. (a)		2,855		25,153
Spectrum Control, Inc. (a)		3,858		57,831

				2,048,289

Energy Equipment — 0.2%
Capstone Turbine Corp. (a)		74,225		71,241
Energy Conversion Devices, Inc. (a)		13,908		63,977
Evergreen Solar, Inc. (a)(b)		60,516		35,281
FuelCell Energy, Inc. (a)		31,215		72,106
GT Solar International, Inc. (a)		16,949		154,575
PowerSecure International, Inc. (a)		4,805		37,383
STR Holdings, Inc. (a)		8,135		162,700

				597,263

Engineering & Contracting Services — 0.5%
Dycom Industries, Inc. (a)		10,628		156,763
Exponent, Inc. (a)		3,921		147,155
Furmamite Corp. (a)		10,777		74,469
Hill International, Inc. (a)		7,044		45,575
Layne Christensen Co. (a)		5,598		192,683
MYR Group, Inc. (a)		5,845		122,745
Mastec, Inc. (a)		14,840		216,516
Michael Baker Corp. (a)		2,393		74,422
Mistras Group, Inc. (a)		4,735		63,828
Tetra Tech, Inc. (a)		17,187		430,706
VSE Corp.		1,173		38,732

				1,563,594

Entertainment — 0.4%
Ascent Media Corp., Class A (a)		4,280		165,893
CKx, Inc. (a)		15,485		62,405
Cinemark Holdings, Inc.		16,272		280,529
Lions Gate Entertainment Corp. (a)		19,947		129,855
Live Nation Entertainment, Inc. (a)		39,468		450,725
LodgeNet Interactive Corp. (a)		8,242		35,028
Rentrak Corp. (a)		2,896		87,343
Warner Music Group Corp. (a)		13,332		75,059
World Wrestling Entertainment, Inc.		7,119		101,375

				1,388,212

Environmental, Maintenance, & Security Service — 0.7%
ABM Industries, Inc.		14,481		380,850
The Brink’s Co.		13,331		358,337
G&K Services, Inc., Class A		5,185		160,268
The Geo Group, Inc. (a)		16,971		418,505
Healthcare Services Group, Inc.		18,539		301,630
Mac-Gray Corp.		3,791		56,675
Rollins, Inc.		17,166		339,029
Standard Parking Corp. (a)		4,544		85,836
Unifirst Corp.		3,889		214,090

				2,315,220

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Fertilizers — 0.0%
Rentech, Inc. (a)		64,661	$	78,886

Financial Data & Systems — 0.8%
Advent Software, Inc. (a)		4,325		250,504
Cardtronics, Inc. (a)		7,404		131,051
Cass Information Systems, Inc.		2,384		90,449
Euronet Worldwide, Inc. (a)		14,020		244,509
Fair Isaac Corp.		11,427		267,049
Global Cash Access, Inc. (a)		16,150		51,519
Heartland Payment Systems, Inc.		10,871		167,631
Higher One Holdings, Inc. (a)		3,197		64,675
Jack Henry & Associates, Inc.		23,682		690,330
Online Resources Corp. (a)		7,311		33,996
S1 Corp. (a)		15,357		105,963
Wright Express Corp. (a)		10,793		496,478

				2,594,154

Foods — 1.0%
B&G Foods, Inc., Class A		13,669		187,675
Chiquita Brands International, Inc. (a)		12,202		171,072
Diamond Foods, Inc.		6,091		323,919
Dole Food Co.,Inc. (a)		10,876		146,935
Hain Celestial Group, Inc. (a)		11,456		309,999
J&J Snack Foods Corp.		3,993		192,622
John B. Sanfilippo & Son, Inc. (a)		2,400		29,856
Lancaster Colony Corp.		5,319		304,247
Medifast, Inc. (a)		3,726		107,607
Natures Sunshine Prods, Inc. (a)		1,998		17,942
Nutraceutical International Corp. (a)		2,499		35,461
Seneca Foods Corp. (a)		2,214		59,734
Smart Balance, Inc. (a)		19,827		85,851
Snyders-Lance, Inc.		7,361		172,542
Synutra International, Inc. (a)		5,592		75,212
Tootsie Roll Industries, Inc. (b)		6,510		188,595
TreeHouse Foods, Inc. (a)		9,559		488,369
United Natural Foods, Inc. (a)		13,305		488,028

				3,385,666

Forest Products — 0.1%
Deltic Timber Corp.		3,070		172,964
Universal Forest Products, Inc.		5,542		215,584

				388,548

Forms & Bulk Printing Services — 0.2%
Consolidated Graphics, Inc. (a)		2,559		123,932
Deluxe Corp.		14,525		334,365
Ennis, Inc.		7,538		128,900
Innerworkings, Inc. (a)		6,187		40,525
M&F Worldwide Corp. (a)		3,188		73,643
Multi-Color Corp.		3,463		67,390
Schawk, Inc.		3,365		69,252

				838,007

Fruit & Grain Processing — 0.0%
MGP Ingredients, Inc.		3,933		43,420

Funeral Parlors & Cemeteries — 0.1%
Matthews International Corp., Class A		8,281		289,669
Stewart Enterprises, Inc., Class A		22,211		148,592

				438,261

Gas Pipeline — 0.0%
Crosstex Energy, Inc.		11,553		102,360

Glass — 0.0%
Apogee Enterprises, Inc.		8,299		111,788

Gold — 0.6%
Allied Nevada Gold Corp. (a)		20,807		547,432
Capital Gold Corp. (a)		17,576		89,110
Coeur d’Alene Mines Corp. (a)		24,393		666,417
Golden Star Resources Ltd. (a)		72,556		333,032
Jaguar Mining, Inc. (a)		24,168		172,318
US Gold Corp. (a)		25,079		202,388

				2,010,697

Health Care Facilities — 0.6%
Amsurg Corp. (a)		8,820		184,779
Assisted Living Concepts, Inc. (a)		2,928		95,248
Capital Senior Living Corp. (a)		8,621		57,761
Contiucare Corp. (a)		8,969		41,975
Emeritus Corp. (a)		6,319		124,547
The Ensign Group, Inc.		4,084		101,569
Five Star Quality Care, Inc. (a)		9,511		67,243
Hanger Orthopedic Group, Inc. (a)		7,373		156,234
HealthSouth Corp. (a)		26,167		541,919
Kindred Healthcare, Inc. (a)		11,204		205,817
LCA-Vision, Inc. (a)		4,820		27,715
MedCath Corp. (a)		6,149		85,778
National Healthcare Corp.		2,595		120,071
Select Medical Holdings Corp. (a)		13,893		101,558
Skilled Healthcare Group, Inc., Class A (a)		6,242		56,053
Sunrise Senior Living, Inc. (a)		16,340		89,053
US Physical Therapy, Inc. (a)		3,213		63,682

				2,121,002

Health Care Management Services — 1.0%
AMERIGROUP Corp. (a)		14,235		625,201
American Dental Partners, Inc. (a)		5,099		68,887
Bioscript, Inc. (a)		12,427		64,993
Catalyst Health Solutions, Inc. (a)		10,553		490,609
Centene Corp. (a)		13,736		348,070
Computer Programs & Systems, Inc.		2,708		126,843
HealthSpring, Inc. (a)		16,101		427,160
Magellan Health Services, Inc. (a)		9,129		431,619
MedQuist Inc.		3,203		27,706
Metropolitan Health Networks, Inc. (a)		10,827		48,397
Molina Healthcare, Inc. (a)		4,133		115,104
Triple-S Management Corp. (a)		5,696		108,680
Universal American Financial Corp.		8,747		178,876
WellCare Health Plans, Inc. (a)		11,883		359,104

				3,421,249

Health Care Services — 1.3%
AMN Healthcare Services, Inc. (a)		11,567		71,021
Accretive Health, Inc. (a)		3,635		59,069
Air Methods Corp. (a)		3,041		171,117
Alliance Healthcare Services, Inc. (a)		7,266		30,808
Allied Healthcare International, Inc. (a)		12,096		30,361
Almost Family, Inc. (a)		2,370		91,055
Amedisys, Inc. (a)		7,896		264,516
athenahealth, Inc. (a)(b)		9,331		382,384

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Health Care Services (concluded)
CardioNet, Inc. (a)		6,020	$	28,174
Chemed Corp.		6,277		398,652
Chindex International, Inc. (a)		4,132		68,137
Corvel Corp. (a)		2,010		97,183
Cross Country Healthcare, Inc. (a)		8,368		70,877
ExamWorks Group, Inc. (a)		3,291		60,818
Gentiva Health Services, Inc. (a)		8,396		223,334
HMS Holdings Corp. (a)		7,521		487,135
Healthways, Inc. (a)		9,598		107,114
IPC The Hospitalist Co., Inc. (a)		4,653		181,513
LHC Group, Inc. (a)		4,227		126,810
MWI Veterinary Supply, Inc. (a)		3,513		221,846
Medidata Solutions, Inc. (a)		5,179		123,674
Omnicell, Inc. (a)		8,995		129,978
PharMerica Corp. (a)		8,626		98,768
Quality Systems, Inc. (b)		5,269		367,882
RehabCare Group, Inc. (a)		7,132		169,028
Rural/Metro Corp. (a)		5,805		84,637
Sun Healthcare Group Inc. (a)		7,668		97,077
Team Health Holdings, Inc. (a)		4,741		73,675
Transcend Services, Inc. (a)		2,798		54,813

				4,371,456

Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		12,070		243,693
The Providence Service Corp. (a)		4,028		64,730

				308,423

Home Building — 0.2%
Beazer Homes USA, Inc. (a)(b)		19,013		102,480
Hovnanian Enterprises, Inc., Class A (a)(b)		16,382		67,002
M/I Homes, Inc. (a)		6,002		92,311
Meritage Homes Corp. (a)		9,116		202,375
Ryland Group, Inc.		12,494		212,773
Standard-Pacific Corp. (a)		29,587		136,100

				813,041

Hotel/Motel — 0.3%
Gaylord Entertainment Co. (a)(b)		9,822		353,003
Marcus Corp.		6,181		82,022
Morgans Hotel Group Co. (a)		6,954		63,073
Orient Express Hotels Ltd., Class A (a)		27,882		362,187

				860,285

Household Appliances — 0.1%
National Presto Industries, Inc.		1,310		170,313

Household Equipment & Products — 0.2%
American Greetings Corp., Class A		11,160		247,306
Blyth, Inc.		1,589		54,789
CSS Industries, Inc.		2,155		44,414
Central Garden & Pet Co., Class A (a)		15,543		153,565
Helen of Troy Ltd. (a)		8,684		258,262
Libbey, Inc. (a)		4,923		76,159

				834,495

Household Furnishings — 0.2%
American Woodmark Corp.		2,821		69,227
Ethan Allen Interiors, Inc.		6,721		134,487
Furniture Brands International, Inc. (a)		13,612		69,966
Hooker Furniture Corp.		3,616		51,094
Kid Brands, Inc. (a)		3,219		27,522
Kirkland’s, Inc. (a)		5,129		71,960
La-Z-Boy, Inc. (a)		14,172		127,831
Lifetime Brands, Inc. (a)		3,057		42,920
Sealy Corp. (a)(b)		13,256		38,708
Select Comfort Corp. (a)		15,196		138,740

				772,455

Insurance: Life — 0.5%
American Equity Investment Life Holding Co.		16,358		205,293
CNO Financial Group, Inc. (a)		61,894		419,641
Citizens, Inc. (a)		11,072		82,486
Delphi Financial Group, Inc., Class A		13,193		380,486
FBL Financial Group, Inc., Class A		3,792		108,717
Kansas City Life Insurance Co.		1,186		39,174
Life Partners Holdings, Inc.		2,272		43,463
National Western Life Insurance Co., Class A		616		102,700
The Phoenix Cos., Inc. (a)		35,222		89,464
Presidential Life Corp.		6,613		65,667
Primerica, Inc.		6,401		155,224

				1,692,315

Insurance: Multi-Line — 0.6%
Alterra Capital Holdings Ltd.		26,686		577,485
Crawford & Co., Class B (a)		8,394		28,540
eHealth, Inc. (a)		6,702		95,101
Flagstone Reinsurance Holdings SA		14,819		186,719
Horace Mann Educators Corp.		10,981		198,097
Maiden Holdings Ltd.		14,600		114,756
Pico Holdings, Inc. (a)		6,453		205,206
Platinum Underwriters Holdings Ltd.		11,251		505,958

				1,911,862

Insurance: Property-Casualty — 1.7%
American Safety Insurance Holdings Ltd. (a)		2,775		59,330
Amerisafe, Inc. (a)		4,659		81,533
AmTrust Financial Services, Inc.		6,124		107,170
Argo Group International Holdings Ltd.		8,550		320,198
Baldwin & Lyons, Inc., Class B		2,672		62,872
CNA Surety Corp. (a)		4,978		117,879
Donegal Group, Inc., Class A		3,801		55,039
EMC Insurance Group, Inc.		1,220		27,621
Employers Holdings, Inc.		10,651		186,180
Enstar Group Ltd. (a)		2,000		169,160
FPIC Insurance Group, Inc. (a)		2,797		103,377
First American Financial Corp.		28,911		431,930
First Mercury Financial Corp.		4,283		70,241
Global Indemnity Plc (a)		4,063		83,088
Greenlight Capital Re Ltd. (a)		7,991		214,239
Hallmark Financial Services, Inc. (a)		3,125		28,438
Harleysville Group, Inc.		3,337		122,601
Hilltop Holdings, Inc. (a)		11,058		109,695
Infinity Property & Casualty Corp.		3,698		228,536
Meadowbrook Insurance Group, Inc.		15,729		161,222
Montpelier Re Holdings Ltd.		19,863		396,068
National Interstate Corp.		1,701		36,401
Navigators Group, Inc. (a)		3,393		170,838
The PMI Group, Inc. (a)		41,267		136,181

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Insurance: Property-Casualty (concluded)
ProAssurance Corp. (a)		8,824	$	534,734
RLI Corp.		4,986		262,114
Radian Group, Inc.		37,759		304,715
Safety Insurance Group, Inc.		3,560		169,349
SeaBright Holdings, Inc.		7,002		64,559
Selective Insurance Group, Inc.		14,954		271,415
State Auto Financial Corp.		4,480		78,042
Stewart Information Services Corp.		4,621		53,280
Tower Group, Inc.		11,064		283,017
United Fire & Casualty Co.		6,351		141,754

				5,642,816

International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		6,515		62,023

Leisure Time — 0.6%
Callaway Golf Co.		17,662		142,532
Churchill Downs, Inc.		3,137		136,146
Interval Leisure Group, Inc. (a)		11,392		183,867
Life Time Fitness, Inc. (a)		11,638		477,042
Pool Corp.		14,068		317,093
Smith & Wesson Holding Corp. (a)		15,851		59,283
Speedway Motorsports, Inc.		3,970		60,820
Steinway Musical Instruments, Inc. (a)		1,615		32,058
Sturm Ruger & Co., Inc.		5,038		77,031
Vail Resorts, Inc. (a)		10,137		527,529
West Marine, Inc. (a)		4,954		52,413

				2,065,814

Luxury Items — 0.0%
Movado Group, Inc. (a)		4,897		79,038

Machinery: Agricultural — 0.2%
Alamo Group, Inc.		1,915		53,275
Lindsay Manufacturing Co. (b)		3,448		204,915
Titan International, Inc. (b)		10,040		196,181
Titan Machinery, Inc. (a)		3,589		69,268

				523,639

Machinery: Construction & Handling — 0.1%
Astec Industries, Inc. (a)		5,569		180,491
Douglas Dynamics, Inc.		2,729		41,345
NACCO Industries, Inc., Class A		1,665		180,436

				402,272

Machinery: Engines — 0.1%
Briggs & Stratton Corp. (b)		13,749		270,718

Machinery: Industrial — 1.4%
Actuant Corp., Class A		18,814		500,829
Altra Holdings, Inc. (a)		7,410		147,163
Applied Industrial Technologies, Inc.		11,742		381,380
Chart Industries, Inc. (a)		8,083		273,044
Colfax Corp. (a)		6,529		120,199
Columbus McKinnon Corp. (a)		5,464		111,028
DXP Enterprises, Inc. (a)		2,538		60,912
EnPro Industries, Inc. (a)		5,683		236,185
Flow International Corp. (a)		12,968		53,039
Gerber Scientific, Inc. (a)		7,871		61,945
Graham Corp.		2,580		51,600
John Bean Technologies Corp.		8,120		163,456
Kadant, Inc. (a)		3,757		88,552
MTS Systems Corp.		4,474		167,596
Middleby Corp. (a)		4,614		389,514
Nordson Corp.		9,462		869,369
Sauer-Danfoss, Inc. (a)		3,362		94,976
Tecumseh Products Co., Class A (a)		5,555		72,493
Tennant Co.		5,299		203,535
Twin Disc, Inc.		2,412		72,022
Woodward Governor Co.		17,057		640,661

				4,759,498

Machinery: Specialty — 0.1%
Albany International Corp., Class A		7,840		185,730
Cascade Corp.		2,468		116,687
Presstek, Inc. (a)		8,791		19,516
Xerium Technologies, Inc. (a)		1,921		30,640

				352,573

Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		1,766		82,455
Skyline Corp.		2,564		66,869

				149,324

Medical & Dental Instruments & Supplies — 2.3%
Abiomed, Inc. (a)		8,678		83,396
Align Technology, Inc. (a)(b)		16,705		326,416
Alphatec Holdings, Inc. (a)		13,198		35,635
American Medical Systems Holdings, Inc. (a)		21,017		396,381
AngioDynamics, Inc. (a)		6,834		105,039
Antares Pharma Inc. (a)		26,215		44,566
Atrion Corp.		464		83,269
CONMED Corp. (a)		8,263		218,391
Cantel Medical Corp.		3,843		89,926
Cerus Corp. (a)		14,472		35,601
Conceptus, Inc. (a)		8,485		117,093
CryoLife, Inc. (a)		9,367		50,769
Cutera, Inc. (a)		3,601		29,852
Delcath Systems Inc. (a)(b)		12,269		120,236
Endologix, Inc. (a)		14,633		104,626
Exactech, Inc. (a)		2,225		41,875
Hansen Medical, Inc. (a)		13,638		20,048
Heartware International, Inc. (a)		2,571		225,142
ICU Medical, Inc. (a)		3,309		120,778
Immucor, Inc. (a)		19,543		387,538
Insulet Corp. (a)		12,279		190,324
Integra LifeSciences Holdings Corp. (a)		5,887		278,455
Invacare Corp.		8,189		246,980
Landauer, Inc.		2,693		161,499
MAKO Surgical Corp. (a)(b)		8,659		131,790
Medical Action Industries, Inc. (a)		3,794		36,347
Meridian Bioscience, Inc.		11,442		264,997
Merit Medical Systems, Inc. (a)		7,666		121,353
Neogen Corp. (a)		6,405		262,797
NuVasive, Inc. (a)		10,853		278,379
OraSure Technologies, Inc. (a)		12,424		71,438
Orthofix International NV (a)		4,802		139,258
Orthovita, Inc. (a)		17,416		35,006

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Medical & Dental Instruments & Supplies (concluded)
Owens & Minor, Inc.		17,336	$	510,198
PSS World Medical, Inc. (a)		15,966		360,832
Quidel Corp. (a)		6,370		92,046
Rochester Medical Corp. (a)		2,911		31,788
Staar Surgical Co. (a)		10,971		66,923
Steris Corp.		16,245		592,293
SurModics, Inc. (a)		5,440		64,573
Symmetry Medical, Inc. (a)		10,591		97,967
Synovis Life Technologies, Inc. (a)		3,647		58,753
Unilife Corp. (a)		14,799		78,435
Vascular Solutions, Inc. (a)		4,400		51,568
Volcano Corp. (a)		14,036		383,323
West Pharmaceutical Services, Inc.		9,216		379,699
Wright Medical Group, Inc. (a)		10,460		162,444
Young Innovations, Inc.		1,422		45,518

				7,831,560

Medical Equipment — 1.5%
Abaxis, Inc. (a)		6,311		169,450
Accuray, Inc. (a)		15,114		102,019
Affymetrix, Inc. (a)		21,861		109,961
Analogic Corp.		3,431		169,869
ArthroCare Corp. (a)		7,616		236,553
Bruker BioSciences Corp. (a)		20,059		332,979
Caliper Life Sciences, Inc. (a)		13,459		85,330
Cyberonics, Inc. (a)		7,867		244,034
Cynosure, Inc., Class A (a)		2,515		25,728
DexCom, Inc. (a)		17,344		236,746
Dionex Corp. (a)		4,902		578,485
Greatbatch, Inc. (a)		6,591		159,173
Haemonetics Corp. (a)		6,876		434,426
IRIS International, Inc. (a)		4,373		44,736
Luminex Corp. (a)		10,705		195,687
MELA Sciences, Inc. (a)(b)		9,363		31,366
Masimo Corp.		14,437		419,684
Merge Healthcare, Inc. (a)		15,972		59,576
Natus Medical, Inc. (a)		7,848		111,285
NxStage Medical, Inc. (a)		7,201		179,161
Palomar Medical Technologies, Inc. (a)		4,943		70,240
Sirona Dental Systems, Inc. (a)		9,262		386,966
Solta Medical, Inc. (a)		15,700		47,885
SonoSite, Inc. (a)		3,951		124,852
Spectranetic Corp. (a)		10,944		56,471
Stereotaxis, Inc. (a)		10,106		38,706
Syneron Medical Ltd. (a)		10,776		109,807
Tomotherapy, Inc. (a)		15,964		57,630
Vital Images, Inc. (a)		4,790		66,964
Zoll Medical Corp. (a)		5,912		220,104

				5,105,873

Medical Services — 0.2%
America Service Group, Inc.		2,456		37,184
Bio-Reference Labs, Inc. (a)		6,873		152,443
eResearch Technology, Inc. (a)		13,873		101,967
Genoptix, Inc. (a)		5,155		98,048
Kendle International, Inc. (a)		4,053		44,137
Parexel International Corp. (a)		16,422		348,639

				782,418

Metal Fabricating — 0.6%
Ampco-Pittsburgh Corp.		2,707		75,931
Dynamic Materials Corp.		3,530		79,672
Haynes International, Inc.		3,332		139,378
Kaydon Corp.		9,302		378,777
L.B. Foster Co., Class A (a)		2,924		119,709
Metals USA Holdings Corp. (a)		3,643		55,519
Mueller Industries, Inc.		10,528		344,266
Mueller Water Products, Inc., Series A		44,725		186,503
Northwest Pipe Co. (a)		2,527		60,724
RBC Bearings, Inc. (a)		6,016		235,105
RTI International Metals, Inc. (a)		8,234		222,153
Worthington Industries, Inc.		15,892		292,413

				2,190,150

Metals & Minerals: Diversified — 0.9%
AMCOL International Corp.		6,762		209,622
Brush Engineered Materials, Inc. (a)		5,627		217,427
Contango ORE Inc. (a)		278		2,920
General Moly, Inc. (a)		18,514		119,971
Globe Specialty Metals, Inc.		17,292		295,520
Hecla Mining Co. (a)		71,080		800,361
Minerals Technologies, Inc.		5,227		341,898
Molycorp, Inc. (a)		7,154		356,985
Oil-Dri Corp. of America		1,497		32,170
Thompson Creek Metals Co., Inc. (a)		45,097		663,828
US Energy Corp. Wyoming (a)		7,411		45,059
United States Lime & Minerals, Inc. (a)		728		30,671

				3,116,432

Miscellaneous Consumer Staples — 0.0%
Spectrum Brands Holdings, Inc. (a)		5,218		162,645

Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		15,757		134,250
Electronics for Imaging, Inc. (a)		13,161		188,334
HNI Corp.		12,699		396,209
Herman Miller, Inc.		15,980		404,294
Kimball International, Inc., Class B		8,306		57,311
Knoll, Inc.		13,332		223,044
Steelcase, Inc., Class A		21,566		227,953
United Stationers, Inc. (a)		6,769		431,930

				2,063,325

Offshore Drilling & Other Services — 0.1%
Hercules Offshore, Inc. (a)		34,953		120,937
Vantage Drilling Co. (a)		46,103		93,589

				214,526

Oil Well Equipment & Services — 1.8%
Allis-Chalmers Energy, Inc. (a)		9,963		70,638
Basic Energy Services, Inc. (a)		6,663		109,806
CARBO Ceramics, Inc.		5,248		543,378
Cal Dive International, Inc. (a)		25,994		147,386
Complete Production Services, Inc. (a)		21,680		640,644
Dawson Geophysical Co. (a)		2,470		78,793
Dril-Quip, Inc. (a)		9,416		731,812
Global Industries Ltd. (a)		29,256		202,744
Golar LNG Ltd.		10,033		150,595
Gulf Island Fabrication, Inc.		4,117		116,017
Helix Energy Solutions Group, Inc. (a)		29,289		355,568
Hornbeck Offshore Services, Inc. (a)		6,679		139,458

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Oil Well Equipment & Services (concluded)
ION Geophysical Corp. (a)		35,056	$	297,275
Key Energy Services, Inc. (a)		35,088		455,442
Lufkin Industries, Inc.		8,318		518,960
Matrix Service Co. (a)		7,862		95,759
Natural Gas Services Group (a)		3,749		70,894
Newpark Resources, Inc. (a)		25,550		157,388
OYO Geospace Corp. (a)		1,184		117,346
Parker Drilling Co. (a)		32,126		146,816
Pioneer Drilling Co. (a)		15,841		139,559
RPC, Inc.		11,931		216,190
Seahawk Drilling, Inc. (a)		4,013		35,916
T-3 Energy Services, Inc. (a)		3,636		144,822
Tesco Corp. (a)		8,657		137,473
Tetra Technologies, Inc. (a)		21,356		253,496
Union Drilling, Inc. (a)		5,000		36,400
Willbros Group, Inc. (a)		13,595		133,503

				6,244,078

Oil: Crude Producers — 2.8%
ATP Oil & Gas Corp. (a)		12,572		210,455
Abraxas Petroleum Corp. (a)		19,363		88,489
Apco Oil and Gas International, Inc.		2,582		148,465
Approach Resources, Inc. (a)		4,530		104,643
BPZ Resources, Inc. (a)(b)		27,350		130,186
Berry Petroleum Co., Class A		14,151		618,399
Bill Barrett Corp. (a)		12,617		518,937
Brigham Exploration Co. (a)		32,390		882,304
CAMAC Energy, Inc. (a)		12,646		25,166
Callon Petroleum Co. (a)		9,307		55,097
Carrizo Oil & Gas, Inc. (a)		8,579		295,890
Cheniere Energy, Inc. (a)		17,673		97,555
Clayton Williams Energy, Inc. (a)		1,716		144,093
Contango Oil & Gas Co. (a)		3,259		188,794
Delta Petroleum Corp. (a)(b)		57,892		43,998
Endeavour International Corp. (a)		6,259		86,374
Energy Partners Ltd. (a)		7,980		118,583
Energy XXI Bermuda Ltd. (a)		18,882		522,465
FX Energy, Inc. (a)(b)		13,204		81,205
GMX Resources Inc. (a)		9,582		52,893
Gastar Exploration Ltd. (a)		15,491		66,611
GeoResources, Inc. (a)		3,475		77,180
Goodrich Petroleum Corp. (a)		6,772		119,458
Gulfport Energy Corp. (a)		7,748		167,744
Harvest Natural Resources, Inc. (a)		9,106		110,820
Houston American Energy Corp.		5,116		92,548
Kodiak Oil & Gas Corp. (a)		48,935		322,971
Magnum Hunter Resources Corp. (a)		15,421		111,031
McMoRan Exploration Co. (a)(b)		26,600		455,924
Miller Petroleum, Inc. (a)		4,608		23,962
Northern Oil And Gas, Inc. (a)		14,942		406,572
Oasis Petroleum, Inc. (a)		13,493		365,930
Panhandle Oil & Gas, Inc.		2,254		61,805
Penn Virginia Corp.		12,871		216,490
Petroleum Development Corp. (a)		6,241		263,433
Petroquest Energy, Inc. (a)		14,924		112,378
Ram Energy Resources, Inc. (a)		20,867		38,395
Resolute Energy Corp. (a)		10,965		161,843
Rex Energy Corp. (a)		9,156		124,979
Rosetta Resources, Inc. (a)		14,738		554,738
Stone Energy Corp. (a)		11,897		265,184
Swift Energy Co. (a)		11,320		443,178
TransAtlantic Petroleum Ltd. (a)		41,201		137,199
Vaalco Energy, Inc. (a)		14,252		102,044
Venoco, Inc. (a)		5,644		104,132
W&T Offshore, Inc.		9,928		177,413
Warren Resources, Inc. (a)		20,216		91,376

				9,589,329

Oil: Refining & Marketing — 0.3%
CVR Energy, Inc. (a)		8,639		131,140
Clean Energy Fuels Corp. (a)(b)		13,108		181,415
Delek US Holdings, Inc.		3,617		26,332
Western Refining, Inc. (a)(b)		13,882		146,871
World Fuel Services Corp.		19,149		692,428

				1,178,186

Paints & Coatings — 0.2%
Ferro Corp. (a)		24,133		353,307
H.B. Fuller Co.		13,730		281,740

				635,047

Paper — 0.4%
Boise, Inc.		20,055		159,036
Buckeye Technologies, Inc.		10,853		228,021
Clearwater Paper Corp. (a)		3,233		253,144
Kapstone Paper and Packaging Corp. (a)		10,431		159,594
Neenah Paper, Inc.		4,231		83,266
P.H. Glatfelter Co.		13,091		160,627
Schweitzer-Mauduit International, Inc.		5,102		321,018
Wausau Paper Corp.		14,144		121,780

				1,486,486

Personal Care — 0.1%
Female Health Co.		4,865		27,682
USANA Health Sciences, Inc. (a)		1,811		78,688
WD-40 Co.		4,670		188,107

				294,477

Pharmaceuticals — 1.7%
Akorn, Inc. (a)		16,579		100,635
Alexza Pharmaceuticals, Inc. (a)		20,109		25,136
Alkermes, Inc. (a)		26,192		321,638
Ardea Biosciences, Inc. (a)		4,096		106,496
Auxilium Pharmaceuticals, Inc. (a)		11,884		250,752
Avanir Pharmaceuticals, Inc. (a)		25,426		103,738
BMP Sunstone Corp. (a)		7,474		74,067
BioCryst Pharmaceuticals, Inc. (a)		7,346		37,979
Biospecifics Technologies (a)		941		24,090
Cadence Pharmaceuticals, Inc. (a)(b)		8,926		67,391
Cambrex Corp. (a)		7,802		40,336
Corcept Therapeutics Inc. (a)		8,329		32,150
Depomed, Inc. (a)		15,975		101,601
Durect Corp. (a)		26,387		91,035
Eurand NV (a)		6,048		71,548
Hi-Tech Pharmacal Co., Inc. (a)		2,944		73,453
Impax Laboratories, Inc. (a)		17,716		356,269

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Pharmaceuticals (concluded)
Inspire Pharmaceuticals, Inc. (a)		17,578	$	147,655
Ironwood Pharmaceuticals, Inc. (a)		6,233		64,512
Isis Pharmaceuticals, Inc. (a)		26,819		271,408
Jazz Pharmaceuticals, Inc. (a)		4,518		88,914
MAP Pharmaceuticals, Inc. (a)		4,555		76,251
Medicines Co. (a)		15,244		215,398
Medicis Pharmaceutical Corp., Class A		16,868		451,894
Obagi Medical Products, Inc. (a)		4,854		56,064
Optimer Pharmaceuticals, Inc. (a)(b)		10,164		114,955
Pain Therapeutics, Inc.		9,856		66,528
Par Pharmaceutical Cos., Inc. (a)		9,642		371,313
Pharmacyclics, Inc. (a)		12,579		76,480
Pozen, Inc. (a)		7,391		49,150
Prestige Brands Holdings, Inc. (a)		11,461		136,959
Questcor Pharmaceuticals, Inc. (a)		15,416		227,078
SIGA Technologies, Inc. (a)		9,807		137,298
Salix Pharmaceuticals Ltd. (a)		15,916		747,415
Santarus, Inc. (a)		16,883		55,207
Sciclone Pharmaceuticals, Inc. (a)		9,599		40,124
Somaxon Pharmaceuticals, Inc. (a)(b)		10,881		34,275
Spectrum Pharmaceuticals, Inc. (a)		16,168		111,074
SuperGen, Inc. (a)		15,322		40,144
Vical, Inc. (a)		23,203		46,870
Vivus, Inc. (a)(b)		23,017		215,669
Xenoport, Inc. (a)		9,474		80,719

				5,801,668

Photography — 0.1%
CPI Corp.		1,364		30,758
Eastman Kodak Co. (a)		75,595		405,189

				435,947

Plastics — 0.1%
A Schulman, Inc.		8,955		204,980
Spartech Corp. (a)		8,818		82,536

				287,516

Power Transmission Equipment — 0.2%
Advanced Energy Industries, Inc. (a)		9,933		135,486
Generac Holdings, Inc. (a)		5,700		92,169
Maxwell Technologies, Inc. (a)		7,390		139,597
Powell Industries, Inc. (a)		2,486		81,740
Power-One, Inc. (a)		19,602		199,940
Vicor Corp.		5,552		91,053

				739,985

Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)		11,875		154,850
Stillwater Mining Co. (a)		12,542		267,772

				422,622

Printing & Copying Services — 0.0%
Casella Waste Systems, Inc. (a)		6,770		47,999
Cenveo, Inc. (a)		16,875		90,113

				138,112

Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		13,521		213,091
Park-Ohio Holdings Corp. (a)		2,083		43,555

				256,646

Production Technology Equipment — 1.2%
ATMI, Inc. (a)(c)		8,945		178,363
Axcelis Technologies, Inc. (a)		29,688		102,721
Brooks Automation, Inc. (a)		17,785		161,310
Cognex Corp.		11,186		329,092
Cohu, Inc.		6,543		108,483
Cymer, Inc. (a)		8,378		377,597
Electro Scientific Industries, Inc. (a)		7,947		127,390
Entegris, Inc. (a)		37,073		276,935
FEI Co. (a)		10,786		284,858
FSI International, Inc. (a)		11,682		51,634
Intevac, Inc. (a)		6,716		94,091
Kulicke & Soffa Industries, Inc. (a)		19,073		137,326
LTX-Credence Corp. (a)		13,925		103,045
MKS Instruments, Inc. (a)		13,799		337,938
Mattson Technology, Inc. (a)		13,255		39,765
Nanometrics, Inc. (a)		5,369		68,884
Photronics, Inc. (a)		14,837		87,687
Rudolph Technologies, Inc. (a)		9,575		78,802
Tessera Technologies, Inc. (a)		13,833		306,401
Ultra Clean Holdings, Inc. (a)		5,622		52,341
Ultratech, Inc. (a)		6,599		131,188
Veeco Instruments, Inc. (a)(b)		11,281		484,632

				3,920,483

Publishing — 0.2%
AH Belo Corp. (a)		5,824		50,669
Courier Corp.		2,809		43,596
The Dolan Co. (a)		8,415		117,137
Journal Communications, Inc., Class A (a)		13,672		69,044
Lee Enterprises, Inc. (a)		12,130		29,840
Martha Stewart Living Omnimedia, Inc., Class A (a)		9,097		40,209
McClatchy Co., Class A (a)		18,259		85,269
Media General, Inc., Class A (a)		6,190		35,778
Scholastic Corp.		8,601		254,073

				725,615

Radio & TV Broadcasters — 0.1%
Entercom Communications Corp. (a)		7,400		85,692
Entravision Communications Corp., Class A (a)		13,536		34,787
Fisher Communications, Inc. (a)		1,917		41,791
Gray Television, Inc. (a)		12,942		24,202
Lin TV Corp., Class A (a)		9,820		52,046
Sinclair Broadcast Group, Inc., Class A		13,411		109,702

				348,220

Railroad Equipment — 0.1%
American Railcar Industries, Inc. (a)		2,946		65,195
Freightcar America, Inc.		3,600		104,184
Greenbrier Cos., Inc. (a)		5,227		109,715

				279,094

Railroads — 0.2%
Genesee & Wyoming, Inc., Class A (a)		10,695		566,300
Railamerica, Inc. (a)		6,557		84,913

				651,213

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Real Estate — 0.2%
Avatar Holdings, Inc. (a)		3,071	$	60,867
Consolidated-Tomoka Land Co.		1,421		41,067
Forestar Group, Inc. (a)		10,343		199,620
HFF, Inc., Class A (a)		5,892		56,917
Kennedy-Wilson Holdings, Inc. (a)		5,704		56,983
Tejon Ranch Co. (a)		3,901		107,472
Thomas Properties Group, Inc.		10,000		42,200

				565,126

Real Estate Investment Trusts (REITs) — 7.1%
Acadia Realty Trust		11,565		210,946
Agree Realty Corp.		2,415		63,249
Alexander’s, Inc.		584		240,772
American Campus Communities, Inc.		18,057		573,490
American Capital Agency Corp.		14,016		402,820
Anworth Mortgage Asset Corp.		32,285		225,995
Apollo Commercial Real Estate Finance, Inc.		6,006		98,198
Ashford Hospitality Trust, Inc. (a)		11,735		113,243
Associated Estates Realty Corp.		11,693		178,786
BioMed Realty Trust, Inc.		36,167		674,515
CBL & Associates Properties, Inc.		38,540		674,450
Campus Crest Communities Inc.		8,499		119,156
CapLease, Inc.		18,681		108,723
Capstead Mortgage Corp.		19,086		240,293
Cedar Shopping Centers, Inc.		17,380		109,320
Chatham Lodging Trust		3,147		54,286
Chesapeake Lodging Trust		5,022		94,464
Cogdell Spencer, Inc.		14,062		81,560
Colonial Properties Trust		21,729		392,208
Colony Financial, Inc.		4,051		81,101
Coresite Realty Corp.		5,462		74,502
Cousins Properties, Inc.		25,146		209,717
CreXus Investment Corp.		5,325		69,758
Cypress Sharpridge Investments, Inc.		13,900		179,449
DCT Industrial Trust, Inc.		60,489		321,197
DiamondRock Hospitality Co.		43,067		516,804
Dupont Fabros Technology, Inc.		11,415		242,797
Dynex Capital Corp.		7,178		78,384
Eastgroup Properties, Inc.		7,421		314,057
Education Realty Trust, Inc.		17,042		132,416
Entertainment Properties Trust		12,733		588,901
Equity Lifestyle Properties, Inc.		7,259		405,996
Equity One, Inc.		10,012		182,018
Excel Trust, Inc.		6,109		73,919
Extra Space Storage, Inc.		24,351		423,707
FelCor Lodging Trust, Inc. (a)		28,167		198,296
First Industrial Realty Trust, Inc. (a)		18,205		159,476
First Potomac Realty Trust		13,877		233,411
Franklin Street Properties Corp.		19,776		281,808
Getty Realty Corp.		5,991		187,398
Gladstone Commercial Corp.		2,799		52,705
Glimcher Realty Trust		24,338		204,439
Government Properties Income Trust		7,670		205,479
Hatteras Financial Corp. (b)		12,201		369,324
Healthcare Realty Trust, Inc.		17,187		363,849
Hersha Hospitality Trust		38,342		253,057
Highwoods Properties, Inc.		17,419		554,795
Home Properties, Inc.		10,247		568,606
Hudson Pacific Properties Inc.		4,548		68,447
Inland Real Estate Corp.		20,639		181,623
InvesCo. Mortgage Capital, Inc.		10,710		233,906
Investors Real Estate Trust		20,938		187,814
iStar Financial, Inc. (a)		26,319		205,815
Kilroy Realty Corp.		14,937		544,752
Kite Realty Group Trust		15,363		83,114
LTC Properties, Inc.		7,265		204,001
LaSalle Hotel Properties		19,447		513,401
Lexington Corporate Properties Trust		28,061		223,085
MFA Financial, Inc.		74,984		611,869
MPG Office Trust, Inc. (a)		15,904		43,736
Medical Properties Trust, Inc.		30,546		330,813
Mid-America Apartment Communities, Inc.		8,951		568,299
Mission West Properties, Inc.		6,057		40,521
Monmouth Real Estate Investment Corp., Class A		8,155		69,318
National Health Investors, Inc.		6,729		302,940
National Retail Properties, Inc.		22,612		599,218
Newcastle Investment Corp.		16,873		113,049
NorthStar Realty Finance Corp. (b)		23,413		111,212
Omega Healthcare Investors, Inc.		27,382		614,452
One Liberty Properties, Inc.		2,480		41,416
PS Business Parks, Inc.		5,213		290,468
Parkway Properties, Inc.		6,641		116,350
Pebblebrook Hotel Trust		10,710		217,627
Pennsylvania Real Estate Investment Trust		15,958		231,870
PennyMac Mortgage Investment Trust (d)		5,329		96,721
Post Properties, Inc.		13,498		489,977
Potlatch Corp.		11,042		359,417
RAIT Investment Trust (a)		29,403		64,393
Ramco-Gershenson Properties Trust		11,025		137,261
Redwood Trust, Inc.		22,240		332,043
Resource Capital Corp.		13,297		98,132
Retail Opportunity Investments Corp.		11,819		117,126
Sabra Healthcare REIT Inc.		6,848		126,003
Saul Centers, Inc.		1,979		93,706
Sovran Self Storage, Inc.		7,612		280,198
Starwood Property Trust, Inc.		13,525		290,517
Strategic Hotel Capital, Inc. (a)		40,432		213,885
Sun Communities, Inc.		5,660		188,535
Sunstone Hotel Investors, Inc. (a)		31,316		323,494
Tanger Factory Outlet Centers, Inc.		10,974		561,759
Terreno Realty Corp. (a)		3,767		67,542
Two Harbors Investment Corp.		7,240		70,880
UMH Properties, Inc.		3,019		30,794
U-Store-It Trust		26,625		253,736
Universal Health Realty Income Trust		2,771		101,225
Urstadt Biddle Properties, Inc., Class A		5,100		99,195
Walter Investment Management Corp.		6,623		118,817
Washington Real Estate Investment Trust		16,642		515,736
Winthrop Realty Trust		7,107		90,899

				24,054,947

Recreational Vehicles & Boats — 0.4%
Arctic Cat, Inc. (a)		3,278		47,990
Brunswick Corp.		24,883		466,308
Drew Industries, Inc.		5,231		118,848
Polaris Industries, Inc.		8,607		671,518
Winnebago Industries, Inc. (a)		8,586		130,507

				1,435,171

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Rental & Leasing Services: Consumer — 0.5%
Amerco, Inc. (a)		2,429	$	233,281
Avis Budget Group, Inc. (a)		28,726		446,977
Dollar Thrifty Automotive Group, Inc. (a)		7,963		376,331
Rent-A-Center, Inc.		18,264		589,562

				1,646,151

Restaurants — 1.4%
AFC Enterprises, Inc. (a)		7,532		104,695
BJ’s Restaurants, Inc. (a)		6,232		220,800
Biglari Holdings, Inc. (a)		412		169,007
Bob Evans Farms, Inc.		8,669		285,730
Bravo Brio Restaurant Group, Inc. (a)		3,196		61,267
Buffalo Wild Wings, Inc. (a)		5,161		226,310
CEC Entertainment, Inc. (a)		6,276		243,697
California Pizza Kitchen, Inc. (a)		5,592		96,630
The Cheesecake Factory, Inc. (a)		16,690		511,715
Cracker Barrel Old Country Store, Inc.		6,582		360,496
Denny’s Corp. (a)		29,129		104,282
DineEquity, Inc. (a)		5,112		252,431
Domino’s Pizza, Inc. (a)		10,453		166,725
Jack in the Box, Inc. (a)		15,432		326,078
Jamba, Inc. (a)		15,119		34,320
Krispy Kreme Doughnuts, Inc. (a)		16,537		115,428
McCormick & Schmick’s Seafood Restaurants, Inc. (a)		4,210		38,269
O’Charleys, Inc. (a)		6,021		43,351
P.F. Chang’s China Bistro, Inc.		6,435		311,840
Papa John’s International, Inc. (a)		6,071		168,167
Red Robin Gourmet Burgers, Inc. (a)		4,602		98,805
Ruby Tuesday, Inc. (a)		17,861		233,265
Ruth’s Hospitality Group, Inc. (a)		8,052		37,281
Sonic Corp. (a)		17,568		177,788
Texas Roadhouse, Inc., Class A (a)		16,259		279,167

				4,667,544

Scientific Instruments: Control & Filter — 0.7%
Brady Corp.		13,574		442,648
CIRCOR International, Inc.		4,835		204,424
ESCO Technologies, Inc.		7,294		276,005
Energy Recovery, Inc. (a)		10,937		40,029
The Gorman-Rupp Co.		3,373		109,015
L-1 Identity Solutions, Inc. (a)		21,034		250,515
Mine Safety Appliances Co.		7,211		224,478
PMFG, Inc. (a)		4,319		70,832
Robbins & Myers, Inc.		7,551		270,175
Sun Hydraulics, Inc.		3,477		131,431
Watts Water Technologies, Inc., Class A		8,220		300,770
X-Rite, Inc. (a)		8,486		38,781

				2,359,103

Scientific Instruments: Electrical — 1.2%
A123 Systems, Inc. (a)(b)		20,773		198,174
A.O. Smith Corp.		10,085		384,037
AZZ, Inc.		3,350		134,034
Advanced Battery Technologies, Inc. (a)		17,782		68,461
American Superconductor Corp. (a)(b)		13,836		395,571
Baldor Electric Co.		13,059		823,239
Ballantyne Strong, Inc. (a)		4,911		38,159
Broadwind Energy, Inc. (a)		24,807		57,304
Ener1, Inc. (a)		18,435		69,869
EnerSys (a)		13,437		431,596
Franklin Electric Co., Inc.		6,375		248,115
GrafTech International Ltd. (a)		33,612		666,862
Houston Wire & Cable Co.		4,860		65,318
Littelfuse, Inc.		6,014		283,019
SatCon Technology Corp. (a)		31,620		142,290
Taser International, Inc. (a)		19,241		90,433
UQM Technologies Inc. (a)		9,407		21,542

				4,118,023

Scientific Instruments: Gauges & Meters — 0.2%
Badger Meter, Inc.		4,217		186,476
Faro Technologies, Inc. (a)		4,657		152,936
Measurement Specialties, Inc. (a)		4,213		123,651
Zygo Corp. (a)		4,827		59,034

				522,097

Scientific Instruments: Pollution Control — 0.4%
Clean Harbors, Inc. (a)		6,286		528,527
Darling International, Inc. (a)		23,347		310,048
EnergySolutions, Inc.		24,218		134,894
Fuel Tech, Inc. (a)		4,784		46,453
Met-Pro Corp.		4,635		54,739
Metalico, Inc. (a)		10,052		59,106
Team, Inc. (a)		5,437		131,575
US Ecology, Inc.		5,386		93,609

				1,358,951

Securities Brokerage & Services — 0.6%
BGC Partners, Inc.		16,478		136,932
GFI Group, Inc.		19,254		90,301
Gladstone Investment Corp.		7,015		53,665
International Assets Holding Corp., Inc. (a)		3,747		88,429
Investment Technology Group, Inc. (a)		12,215		199,960
KBW, Inc.		9,961		278,111
Knight Capital Group, Inc., Class A (a)		25,731		354,830
LaBranche & Co., Inc. (a)		9,314		33,530
Ladenburg Thalmann Financial Services, Inc. (a)		23,642		27,661
MF Global Holdings Ltd. (a)		30,532		255,248
MarketAxess Holdings, Inc.		7,864		163,650
optionsXpress Holdings, Inc.		11,713		183,543
Penson Worldwide, Inc. (a)		7,129		34,861
SWS Group, Inc.		7,577		38,264
TradeStation Group, Inc. (a)		12,076		81,513

				2,020,498

Semiconductors & Components — 2.5%
AXT, Inc. (a)		9,186		95,902
Advanced Analogic Technologies, Inc. (a)		11,443		45,886
Amkor Technology, Inc. (a)		29,076		214,872
Anadigics, Inc. (a)		18,245		126,438
Applied Micro Circuits Corp. (a)		18,579		198,424
Cavium Networks, Inc. (a)		12,355		465,536
Ceva, Inc. (a)		5,769		118,265
Cirrus Logic, Inc. (a)		19,249		307,599
Conexant Systems, Inc. (a)		21,512		35,065
DSP Group, Inc. (a)		7,463		60,749
Diodes, Inc. (a)		9,303		251,088
Entropic Communications, Inc. (a)		18,306		221,137

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Semiconductors & Components (concluded)
Exar Corp. (a)		9,676	$	67,539
Formfactor, Inc. (a)		13,608		120,839
Hittite Microwave Corp. (a)		7,560		461,462
IXYS Corp. (a)		6,681		77,633
Integrated Device Technology, Inc. (a)		44,708		297,755
Integrated Silicon Solutions, Inc. (a)		7,810		62,714
Kopin Corp. (a)		20,001		83,204
Lattice Semiconductor Corp. (a)		32,983		199,877
MIPS Technologies, Inc. (a)		13,638		206,752
MaxLinear, Inc., Class A (a)		2,353		25,318
Micrel, Inc.		14,234		184,900
Microsemi Corp. (a)		23,096		528,898
Mindspeed Technologies, Inc. (a)		9,656		58,902
Monolithic Power Systems, Inc. (a)		9,247		152,761
MoSys, Inc. (a)		9,143		52,024
Netlogic Microsystems, Inc. (a)		17,439		547,759
Omnivision Technologies, Inc. (a)		14,804		438,347
PLX Technology, Inc. (a)		9,602		34,663
Pericom Semiconductor Corp. (a)		6,681		73,357
Power Integrations, Inc.		6,719		269,701
RF Micro Devices, Inc. (a)		74,875		550,331
Rubicon Technology, Inc. (a)(b)		4,365		92,014
Semtech Corp. (a)		17,250		390,540
Sigma Designs, Inc. (a)		8,958		126,935
Silicon Image, Inc. (a)		21,221		155,974
Spansion, Inc., Class A (a)		3,756		77,749
Standard Microsystems Corp. (a)		6,383		184,022
Supertex, Inc. (a)		2,706		65,431
Trident Microsystems, Inc. (a)		23,713		42,209
TriQuint Semiconductor, Inc. (a)		43,132		504,213
Volterra Semiconductor Corp. (a)		6,995		162,004
Zoran Corp. (a)		14,988		131,894

				8,568,682

Shipping — 0.6%
Baltic Trading Ltd.		4,253		43,423
DHT Holdings, Inc.		15,477		71,968
Eagle Bulk Shipping, Inc. (a)		18,333		91,298
Excel Maritime Carriers Ltd. (a)		11,924		67,132
Genco Shipping & Trading Ltd. (a)		7,599		109,426
General Maritime Corp.		21,897		71,165
Gulfmark Offshore, Inc., Class A (a)		6,658		202,403
Horizon Lines, Inc., Class A		7,957		34,772
International Shipholding Corp.		1,487		37,770
Knightsbridge Tankers Ltd.		6,671		148,563
Nordic American Tanker Shipping Ltd. (b)		12,946		336,855
Overseas Shipholding Group, Inc.		7,082		250,845
Scorpio Tankers, Inc. (a)		4,931		49,852
Ship Finance International Ltd.		12,673		272,723
Teekay Tankers Ltd., Class A		8,631		106,507
Ultrapetrol Bahamas Ltd. (a)		7,456		47,942

				1,942,644

Specialty Retail — 3.4%
America’s Car Mart, Inc. (a)		2,818		76,311
AnnTaylor Stores Corp. (a)		16,340		447,553
Asbury Automotive Group, Inc. (a)		8,005		147,932
Barnes & Noble, Inc. (b)		11,041		156,230
bebe Stores, Inc.		10,016		59,695
Big 5 Sporting Goods Corp.		6,616		101,026
Blue Nile, Inc. (a)		3,564		203,362
Brown Shoe Co., Inc.		12,396		172,676
The Buckle, Inc.		7,332		276,930
Build-A-Bear Workshop, Inc. (a)		4,575		34,953
Cabela’s, Inc., Class A (a)(b)		11,404		248,037
Casual Male Retail Group, Inc. (a)		12,980		61,525
The Cato Corp., Class A		7,687		210,701
Charming Shoppes, Inc. (a)		31,854		113,082
The Children’s Place Retail Stores, Inc. (a)		7,699		382,178
Christopher & Banks Corp.		11,047		67,939
Citi Trends, Inc. (a)		4,073		99,992
Coldwater Creek, Inc. (a)		15,822		50,156
Collective Brands, Inc. (a)		18,225		384,547
DSW, Inc., Class A (a)		3,966		155,071
Destination Maternity Corp. (a)		1,529		57,995
Dress Barn, Inc. (a)		16,482		435,454
Express, Inc.		4,703		88,416
The Finish Line, Inc., Class A		14,003		240,712
Genesco, Inc. (a)		6,594		247,209
Group 1 Automotive, Inc.		6,947		290,107
Haverty Furniture Cos., Inc.		5,412		70,248
hhgregg, Inc. (a)		3,708		77,683
Hibbett Sports, Inc. (a)		8,175		301,658
Hot Topic, Inc.		13,385		83,924
Jo-Ann Stores, Inc. (a)		7,609		458,214
Jos. A. Bank Clothiers, Inc. (a)		7,714		311,028
Lithia Motors, Inc., Class A		5,802		82,911
Lumber Liquidators Holdings, Inc. (a)		6,357		158,353
MarineMax, Inc. (a)		7,200		67,320
Men’s Wearhouse, Inc.		14,674		366,557
Midas, Inc. (a)		5,279		42,813
Monro Muffler, Inc.		8,388		290,141
Nu Skin Enterprises, Inc., Class A		13,495		408,359
OfficeMax, Inc. (a)		23,668		418,924
Pacific Sunwear of California, Inc. (a)		18,106		98,135
Penske Auto Group, Inc. (a)		12,565		218,882
The Pep Boys — Manny, Moe & Jack.		14,932		200,537
Pier 1 Imports, Inc. (a)		29,399		308,689
Regis Corp.		16,175		268,505
Retail Ventures, Inc. (a)		6,397		104,271
Rue21, Inc. (a)		4,317		126,531
Sally Beauty Co., Inc. (a)		26,406		383,679
Shoe Carnival, Inc. (a)		2,651		71,577
Shutterfly, Inc. (a)		7,503		262,830
Sonic Automotive, Inc.		11,572		153,213
Stage Stores, Inc.		11,100		192,474
Stamps.com, Inc.		3,109		41,194
Stein Mart, Inc.		8,185		75,711
Systemax, Inc.		3,543		49,956
The Talbots, Inc. (a)		19,271		164,189
Ulta Salon Cosmetics & Fragrance, Inc. (a)		8,830		300,220
Vitacost.com, Inc. (a)		3,712		15,869
Vitamin Shoppe, Inc. (a)		4,353		146,435
The Wet Seal, Inc., Class A (a)		28,686		106,138
Zumiez, Inc. (a)		5,812		156,168

				11,393,125

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Steel — 0.0%
Olympic Steel, Inc.		2,838	$	81,394
Universal Stainless & Alloy Products, Inc. (a)		2,055		64,280

				145,674

Sugar — 0.0%
Imperial Sugar Co., New Shares		3,829		51,194

Synthetic Fibers & Chemicals — 0.0%
Zoltek Cos., Inc. (a)		7,893		91,164

Technology: Miscellaneous — 0.4%
Benchmark Electronics, Inc. (a)		17,445		316,801
CTS Corp.		10,129		112,027
Fabrinet (a)		2,967		63,790
LaBarge, Inc. (a)		3,842		60,358
Plexus Corp. (a)		11,426		353,520
Sanmina-SCI Corp. (a)		22,595		259,391
Vocus, Inc. (a)		4,824		133,432

				1,299,319

Telecommunications Equipment — 0.3%
Applied Signal Technology, Inc.		3,684		139,587
Arris Group, Inc. (a)		35,704		400,599
Brightpoint, Inc. (a)		19,082		166,586
Powerwave Technologies, Inc. (a)		37,889		96,238
Symmetricom, Inc. (a)		11,826		83,846
UTStarcom, Inc. (a)		36,206		74,584

				961,440

Textile Products — 0.1%
Culp, Inc. (a)		2,338		24,222
Interface, Inc., Class A		13,980		218,787
Unifi Inc. (a)		3,594		60,846

				303,855

Textiles, Apparel & Shoes — 2.0%
Carter’s, Inc. (a)		16,474		486,148
Cherokee, Inc.		2,626		49,395
Columbia Sportswear Co. (b)		3,184		191,995
Crocs, Inc. (a)		23,934		409,750
Deckers Outdoor Corp. (a)		10,738		856,248
G-III Apparel Group, Ltd. (a)		4,319		151,813
Iconix Brand Group, Inc. (a)		20,160		389,290
Joe’s Jeans, Inc. (a)		11,104		17,322
The Jones Group, Inc.		24,603		382,331
K-Swiss, Inc., Class A (a)		7,948		99,112
Kenneth Cole Productions, Inc., Class A (a)		1,973		24,643
Lacrosse Footwear, Inc.		1,607		26,355
Liz Claiborne, Inc. (a)		26,788		191,802
Maidenform Brands, Inc. (a)		6,451		153,340
Oxford Industries, Inc.		4,150		106,282
Perry Ellis International, Inc. (a)		2,958		81,256
Quiksilver, Inc. (a)		36,863		186,895
R.G. Barry Corp.		2,469		27,455
Skechers U.S.A., Inc., Class A (a)		9,505		190,100
Steven Madden Ltd. (a)		6,876		286,867
Timberland Co., Class A (a)		11,721		288,219
True Religion Apparel, Inc. (a)		7,295		162,387
Under Armour, Inc., Class A (a)		9,754		534,909
Vera Bradley, Inc. (a)		3,515		115,995
Volcom, Inc.		5,636		106,351
The Warnaco Group, Inc. (a)		12,297		677,196
Weyco Group, Inc.		2,288		56,033
Wolverine World Wide, Inc.		13,723		437,489

				6,686,978

Tobacco — 0.2%
Alliance One International, Inc. (a)		25,723		109,066
Star Scientific, Inc. (a)(b)		25,890		50,486
Universal Corp.		6,546		266,422
Vector Group Ltd.		12,814		221,938

				647,912

Toys — 0.1%
Jakks Pacific, Inc. (a)		7,617		138,782
Leapfrog Enterprises, Inc. (a)		10,348		57,431
RC2 Corp. (a)		6,130		133,450

				329,663

Transportation Miscellaneous — 0.2%
Dynamex, Inc. (a)		2,925		72,423
Echo Global Logistics, Inc. (a)		3,566		42,935
HUB Group, Inc., Class A (a)		10,486		368,478
Pacer International, Inc. (a)		10,668		72,969
Textainer Group Holdings Ltd.		2,701		76,951

				633,756

Truckers — 0.6%
Arkansas Best Corp.		7,215		197,835
Celadon Group, Inc. (a)		5,989		88,577
Forward Air Corp.		8,130		230,729
Heartland Express, Inc.		13,822		221,429
Knight Transportation, Inc.		16,549		314,431
Marten Transport Ltd.		4,439		94,906
Old Dominion Freight Line, Inc. (a)		11,594		370,892
Patriot Transportation Holding, Inc. (a)		419		38,950
Roadrunner Transportation Systems, Inc. (a)		2,926		42,310
Saia, Inc. (a)		4,815		79,881
USA Truck, Inc. (a)		2,058		27,227
Werner Enterprises, Inc.		11,976		270,658

				1,977,825

Utilities: Electrical — 1.6%
Allete, Inc.		8,705		324,348
Avista Corp.		15,368		346,087
Black Hills Corp.		10,960		328,800
CH Energy Group, Inc.		4,373		213,796
Central Vermont Public Service Corp.		3,495		76,401
Cleco Corp.		16,476		506,802
Dynegy, Inc. (a)		29,783		167,380
El Paso Electric Co. (a)		12,274		337,903
The Empire District Electric Co.		11,333		251,593
IDACORP, Inc.		13,081		483,735
MGE Energy, Inc.		6,476		276,914
NorthWestern Corp.		9,886		285,013
Otter Tail Corp.		10,421		234,889
PNM Resources, Inc.		25,030		325,891
Pike Electric Corp. (a)		4,459		38,258
Portland General Electric Co.		21,080		457,436
UIL Holdings Corp.		13,829		414,317
Unisource Energy Corp.		9,990		358,042
Unitil Corp.		3,936		89,505

				5,517,110

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Utilities: Gas Distributors — 1.1%
Chesapeake Utilities Corp.		3,046	$	126,470
The Laclede Group, Inc.		5,938		216,975
New Jersey Resources Corp.		11,122		479,469
Nicor, Inc.		12,256		611,819
Northwest Natural Gas Co.		7,202		334,677
Piedmont Natural Gas Co.		19,260		538,510
South Jersey Industries, Inc.		7,981		421,556
Southwest Gas Corp.		12,308		451,334
WGL Holdings, Inc.		13,680		489,334

				3,670,144

Utilities: Telecommunications — 0.8%
Alaska Communications Systems Group, Inc.		12,137		134,721
Atlantic Tele-Network, Inc.		2,692		103,211
Cbeyond Communications, Inc. (a)		7,617		116,388
Cincinnati Bell, Inc. (a)		58,060		162,568
Cogent Communications Group, Inc. (a)		13,188		186,478
Consolidated Communications Holdings, Inc.		6,966		134,444
FiberTower Corp. (a)		14,944		66,650
General Communication, Inc., Class A (a)		13,704		173,493
Global Crossing Ltd. (a)		8,617		111,332
Globalstar, Inc. (a)		18,513		26,844
ICO Global Communications Holdings Ltd. (a)		25,018		37,527
IDT Corp., Class B		4,028		103,318
Iridium Communications, Inc. (a)		10,005		82,541
j2 Global Communications, Inc. (a)		12,718		368,186
NTELOS Holdings Corp.		8,491		161,753
Neutral Tandem, Inc. (a)		9,548		137,873
PAETEC Holding Corp. (a)		34,431		128,772
Premiere Global Services, Inc. (a)		16,448		111,846
Shenandoah Telecom Co.		6,908		129,387
USA Mobility, Inc.		6,187		109,943
Vonage Holdings Corp. (a)		31,678		70,959

				2,658,234

Utilities: Water — 0.2%
American States Water Co.		4,969		171,281
Artesian Resources Corp., Class A		1,997		37,843
California Water Service Group		5,402		201,332
Connecticut Water Service, Inc.		2,503		69,784
Consolidated Water Co., Inc.		4,169		38,230
Middlesex Water Co.		4,270		78,354
SJW Corp.		3,863		102,254
York Water Co.		4,375		75,644

				774,722

Total Common Stocks — 97.2%				328,812,277


	Par
Corporate Bonds	(000)

Asset Management & Custodian — 0.0%
GAMCO Investors, Inc., 0.00% 12/31/15 (a)	$	6	6,448

Total Corporate Bonds — 0.0%			6,448

BlackRock Kelso Capital Corp. (d)		20,122	222,549
Gladstone Capital Corp.		6,364	73,313
Hercules Technology Growth Capital, Inc.		9,946	103,041
Kayne Anderson Energy Development Co.		3,186	57,380
Pennantpark Investment Corp.		10,729	131,323
Prospect Capital Corp.		21,298	230,018

Total Investment Companies — 0.3%			817,624


Warrants (e)

Alternative Energy — 0.0%
GreenHunter Energy, Inc. (Expires 8/27/11) (b)(f)		180	—

Technology Hardware & Equipment — 0.0%
Lantronix, Inc. (Expires 2/09/11)		138	—

Total Warrants — 0.0%			—

Total Long-Term Investments (Cost — $234,628,095) — 97.5%			329,636,349


Short-Term Securities

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.17%, (d)(g)		7,181,244	7,181,244


	Beneficial
	Interest
	(000)

BlackRock Liquidity Series, LLC Money Market Series, 0.44% (d)(g)(h)	$	8,153		8,152,630

Total Short-Term Securities (Cost — $15,333,874) — 4.5%				15,333,874

*Total Investments (Cost — $249,961,969) — 102.0%**				344,970,223

Liabilities in Excess of Other Assets — (2.0)%				(6,798,242	)


Net Assets — 100.0%			$	338,171,981


*		The cost and unrealized appreciation (depreciation) of investments as of December 31, 2010, as computed for federal income tax purposes were as follows:


Aggregate cost	$	262,243,337

Gross unrealized appreciation	$	92,244,989
Gross unrealized depreciation		(9,518,103	)

Net unrealized appreciation	$	82,726,886


(a)		Non-income producing security.

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

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

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series

(d)

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


	Shares/							Shares/
	Beneficial		Shares/		Shares/			Beneficial
	Interest Held		Beneficial		Beneficial			Interest Held		Value		Realized
	at December 31,		Interest		Interest			at December 31,		at December 31,		Gain
Affiliate	2009		Purchased		Sold			2010		2010		(Loss)			Income

BlackRock Kelso Capital Corp.		3,100		21,457		(4,435	)		20,122	$	222,549	$	3,137		$	13,911
BlackRock Liquidity Funds, TempFund, Institutional Class		9,452,117		—		(2,270,873	)¹		7,181,244	$	7,181,244		—		$	13,732
BlackRock Liquidity Series, LLC
Money Market Series	$	17,386,620		—	$	(9,233,990	)¹	$	8,152,630	$	8,152,630		—		$	148,068
PennyMac Mortgage Investment Trust		3,500		2,915		(1,086	)		5,329	$	96,721	$	(2,435	)	$	3,689


¹		Represents net shares/beneficial interest sold.

(e)		Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

(f)		Restricted security as to resale, representing 0.0% of net assets was as follows:

Acquisition

Issue

Date

Cost

Value

GreenHunter Energy, Inc.

6/27/08

—

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

(h)		Security was purchased with the cash collateral from loaned securities.

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

•		Financial futures contracts purchased as of December 31,2010 were as follows:

Notional

Unrealized

Contracts

Issue

Exchange

Expiration

Value

Depreciation

108

Russell

ICE Futures

March 2011

8,449,217

(377

)

2000 EMINI

US Indices

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows:


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

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

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

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Series’ Notes to Financial Statements.

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series

The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives:


Valuation Inputs	Level 1		Level 2		Level 3		Total

Assets:
Investments in Securities:
Long-Term Investments²:
Common Stocks:
Advertising Agencies	$	2,479,587		—		—	$	2,479,587
Aerospace		4,707,327		—		—		4,707,327
Agriculture, Fishing & Ranching		1,308,140		—		—		1,308,140
Air Transport		3,496,570		—		—		3,496,570
Alternative Energy		530,728		—		—		530,728
Aluminum		542,387		—		—		542,387
Asset Management & Custodian		3,214,390		—		—		3,214,390
Auto Parts		2,931,919		—		—		2,931,919
Auto Services		402,629		—		—		402,629
Back Office Support, HR & Consulting		4,699,800		—		—		4,699,800
Banks: Diversified		19,129,500		—		—		19,129,500
Banks: Savings, Thrift & Mortgage Lending		3,393,830		—		—		3,393,830
Beverage: Brewers & Distillers		224,507		—		—		224,507
Beverage: Soft Drinks		412,354		—		—		412,354
Biotechnology		11,389,783		—		—		11,389,783
Building Materials		3,155,941		—		—		3,155,941
Building: Climate Control		458,173		—		—		458,173
Building: Roofing, Wallboard & Plumbing		229,111		—		—		229,111
Cable Television Services		230,045		—		—		230,045
Casinos & Gambling		981,720		—		—		981,720
Chemicals: Diversified		5,159,227		—		—		5,159,227
Chemicals: Specialty		1,681,624		—		—		1,681,624
Coal		1,162,389		—		—		1,162,389
Commercial Finance & Mortgage Companies		211,465		—		—		211,465
Commercial Services: Rental & Leasing		1,862,852		—		—		1,862,852
Commercial Vehicles & Parts		941,693		—		—		941,693
Communications Technology		10,868,951		—		—		10,868,951
Computer Services Software & Systems		22,602,405		—		—		22,602,405
Computer Technology		2,009,776		—		—		2,009,776
Construction		1,588,674		—		—		1,588,674
Consumer Electronics		526,454		—		—		526,454
Consumer Lending		3,004,502		—		—		3,004,502
Consumer Services: Miscellaneous		2,288,592		—		—		2,288,592
Containers & Packaging		1,432,151		—		—		1,432,151
Cosmetics		270,554		—		—		270,554
Diversified Financial Services		1,365,857		—		—		1,365,857
Diversified Manufacturing Operations		1,116,826		—		—		1,116,826
Diversified Materials & Processing		2,649,279		—		—		2,649,279
Diversified Media		328,700		—		—		328,700
Diversified Retail		2,316,139		—		—		2,316,139
Drug & Grocery Store Chains		2,267,921		—		—		2,267,921
Education Services		1,648,431		—		—		1,648,431
Electronic Components		2,210,027		—		—		2,210,027
Electronic Entertainment		587,666		—		—		587,666
Electronics		2,048,289		—		—		2,048,289
Energy Equipment		597,263		—		—		597,263
Engineering & Contracting Services		1,563,594		—		—		1,563,594
Entertainment		1,388,212		—		—		1,388,212
Environmental, Maintenance, & Security Service		2,315,220		—		—		2,315,220
Fertilizers		78,886		—		—		78,886
Financial Data & Systems		2,594,154		—		—		2,594,154
Foods		3,385,666		—		—		3,385,666
Forest Products		388,548		—		—		388,548
Forms & Bulk Printing Services		838,007		—		—		838,007

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master Small Cap Index Series

The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (continued):


Valuation Inputs	Level 1		Level 2		Level 3		Total

Assets:
Investments in Securities:
Long-Term Investments²:
Common Stocks:
Fruit & Grain Processing	$	43,420		—		—	$	43,420
Funeral Parlors & Cemeteries		438,261		—		—		438,261
Gas Pipeline		102,360		—		—		102,360
Glass		111,788		—		—		111,788
Gold		2,010,697		—		—		2,010,697
Health Care Facilities		2,121,002		—		—		2,121,002
Health Care Management Services		3,421,249		—		—		3,421,249
Health Care Services		4,371,456		—		—		4,371,456
Health Care: Miscellaneous		308,423		—		—		308,423
Home Building		813,041		—		—		813,041
Hotel/Motel		860,285		—		—		860,285
Household Appliances		170,313		—		—		170,313
Household Equipment & Products		834,495		—		—		834,495
Household Furnishings		772,455		—		—		772,455
Insurance: Life		1,692,315		—		—		1,692,315
Insurance: Multi-Line		1,911,862		—		—		1,911,862
Insurance: Property-Casualty		5,642,816		—		—		5,642,816
International Trade & Diversified Logistic		62,023		—		—		62,023
Leisure Time		2,065,814		—		—		2,065,814
Luxury Items		79,038		—		—		79,038
Machinery: Agricultural		523,639		—		—		523,639
Machinery: Construction & Handling		402,272		—		—		402,272
Machinery: Engines		270,718		—		—		270,718
Machinery: Industrial		4,759,498		—		—		4,759,498
Machinery: Specialty		352,573		—		—		352,573
Manufactured Housing		149,324		—		—		149,324
Medical & Dental Instruments & Supplies		7,831,560		—		—		7,831,560
Medical Equipment		5,105,873		—		—		5,105,873
Medical Services		782,418		—		—		782,418
Metal Fabricating		2,190,150		—		—		2,190,150
Metals & Minerals: Diversified		3,116,432		—		—		3,116,432
Miscellaneous Consumer Staples		162,645		—		—		162,645
Office Supplies & Equipment		2,063,325		—		—		2,063,325
Offshore Drilling & Other Services		214,526		—		—		214,526
Oil Well Equipment & Services		6,244,078		—		—		6,244,078
Oil: Crude Producers		9,589,329		—		—		9,589,329
Oil: Refining & Marketing		1,178,186		—		—		1,178,186
Paints & Coatings		635,047		—		—		635,047
Paper		1,486,486		—		—		1,486,486
Personal Care		294,477		—		—		294,477
Pharmaceuticals		5,801,668		—		—		5,801,668
Photography		435,947		—		—		435,947
Plastics		287,516		—		—		287,516
Power Transmission Equipment		739,985		—		—		739,985
Precious Metals & Minerals		422,622		—		—		422,622
Printing & Copying Services		138,112		—		—		138,112
Producer Durables: Miscellaneous		256,646		—		—		256,646
Production Technology Equipment		3,920,483		—		—		3,920,483
Publishing		725,615		—		—		725,615
Radio & TV Broadcasters		348,220		—		—		348,220
Railroad Equipment		279,094		—		—		279,094
Railroads		651,213		—		—		651,213
Real Estate		565,126		—		—		565,126
Real Estate Investment Trusts (REITs)		24,054,947		—		—		24,054,947
Recreational Vehicles & Boats		1,435,171		—		—		1,435,171
Rental & Leasing Services: Consumer		1,646,151		—		—		1,646,151

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (concluded)		Master Small Cap Index Series

The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (concluded):


Valuation Inputs	Level 1		Level 2		Level 3		Total

Assets:
Investments in Securities:
Long-Term Investments²:
Common Stocks:
Restaurants	$	4,667,544		—		—	$	4,667,544
Scientific Instruments: Control & Filter		2,359,103		—		—		2,359,103
Scientific Instruments: Electrical		4,118,023		—		—		4,118,023
Scientific Instruments: Gauges & Meters		522,097		—		—		522,097
Scientific Instruments: Pollution Control		1,358,951		—		—		1,358,951
Securities Brokerage & Services		2,020,498		—		—		2,020,498
Semiconductors & Components		8,568,682		—		—		8,568,682
Shipping		1,942,644		—		—		1,942,644
Specialty Retail		11,377,256			$	15,869		11,393,125
Steel		145,674		—		—		145,674
Sugar		51,194		—		—		51,194
Synthetic Fibers & Chemicals		91,164		—		—		91,164
Technology: Miscellaneous		1,299,319		—		—		1,299,319
Telecommunications Equipment		961,440		—		—		961,440
Textile Products		303,855		—		—		303,855
Textiles, Apparel & Shoes		6,686,978		—		—		6,686,978
Tobacco		647,912		—		—		647,912
Toys		329,663		—		—		329,663
Transportation Miscellaneous		633,756		—		—		633,756
Truckers		1,977,825		—		—		1,977,825
Utilities: Electrical		5,517,110		—		—		5,517,110
Utilities: Gas Distributors		3,670,144		—		—		3,670,144
Utilities: Telecommunications		2,658,234		—		—		2,658,234
Utilities: Water		774,722		—		—		774,722
Corporate Bonds		—	$	6,448		—		6,448
Investment Companies		817,624		—		—		817,624
Short-Term Securities		7,181,244		8,152,630		—		15,333,874

Total	$	336,795,276	$	8,159,078	$	15,869	$	344,970,223


²		See above Schedule of Investments for values in each industry.


Derivative Financial Instruments³
Valuation Inputs	Level 1			Level 2		Level 3		Total

Liabilities:
Equity contracts	$	(377	)		—		—	$	(377	)


³		Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/ depreciation on the instrument.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:


	Common Stocks
Balance as of December 31, 2009 —		—
Accrued discounts/premium		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁴		—
Purchases		—
Sales		—
Transfers in⁵	$	15,869
Transfers out⁵		—

Balance, as of December 31, 2010	$	15,869


⁴		Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The net change in unrealized appreciation/depreciation on securities still held at December 31, 2010 was $0.

⁵		The Series’ policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Statements of Changes in Net Assets		Master Small Cap Index Series


	Year Ended
	December 31,
Increase (Decrease) in Net Assets:	2010			2009

Operations

Net investment income	$	3,501,724		$	4,243,420
Net realized loss		(9,889,317	)		(30,867,280	)
Net change in unrealized appreciation/depreciation		60,704,760			124,588,792
Net increase in net assets resulting from operations		54,317,167			97,964,932


Capital Transactions

Proceeds from contributions		226,075,632			171,416,855
Value of withdrawals		(171,857,514	)		(384,465,211	)
Net increase (decrease) in net assets derived from capital transactions		54,218,118			(213,048,356	)


Net Assets

Total increase (decrease) in net assets		108,535,285			(115,083,424	)
Beginning of year		229,636,696			344,720,120
End of year	$	338,171,981		$	229,636,696



Financial Highlights		Master Small Cap Index Series


	Year Ended December 31,
	2010			2009			2008			2007			2006

Total Investment Return

Total investment return		27.19	%		27.37	%		(33.57	)%		(1.46	)%		18.13	%



Ratios to Average Net Assets

Total expenses		0.12	%		0.09	%		0.08	%		0.06	%		0.07	%

Total expenses after fees waived and/or reimbursed and fees paid indirectly		0.08	%		0.07	%		0.07	%		0.06	%		0.07	%

Net investment income		1.27	%		1.27	%		1.60	%		1.69	%		1.55	%




Supplemental Data

Net assets, end of year (000)	$	338,172		$	229,637		$	344,720		$	630,394		$	561,373

Portfolio turnover		42	%		43	%		42	%		26	%		40	%

See Notes to Financial Statements.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements		Master Small Cap Index Series

1. Organization and Significant Accounting Policies:

Master Small Cap Index Series (the “Series”), a non-diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company.The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: The Series’ policy is to fair value its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

The Series values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the net assets of the underlying fund. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 promulgated by the Securities and Exchange Commission (the “SEC”) under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the SEC require that the Series either delivers collateral or segregates assets in connection with certain investments (e.g., financial futures contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Securities Lending: The Series may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend and interest on the securities loaned. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (continued)		Master Small Cap Index Series

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Series files US federal and various state and local tax returns. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the return of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures transactions involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Derivative Instruments Categorized by Risk Exposure:

Fair Values of Derivative Instruments as of December 31, 2010


	Liability Derivatives
	Statement of
	Assets and
	Liabilities
	Location	Value

	Net
	unrealized
	appreciation/
Equity contracts	depreciation*	$	377


*		Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Instruments on the Statement of Operations
Year Ended December 31, 2010


	Net Realized Gain From
	Financial Futures Contracts
Equity contracts	$	248,961


	Net Change in Unrealized
	Appreciation/Depreciation on
	Financial Futures Contracts
Equity contracts	$	(88,950	)

For the year ended December 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:




Financial futures contracts:
Average number of contracts purchased		104
Average notional value of contracts purchased	$	7,098,137

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Series for 1940 Act purposes, but BAC and Barclays are not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (continued)		Master Small Cap Index Series

provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master LLC. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.

The Manager contractually agreed to waive and/or reimburse fees and/or expenses to ensure that the management fee of the Series, when combined with the administration fee of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc., would not exceed 0.30%. This agreement was terminated on December 1, 2010. For the year ended December 31, 2010 no fees were waived and/or reimbursed for the Series.

The Manager entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series (excluding dividend expense, interest expense, acquired fund fees and certain other Series expenses) will not exceed 0.08% of the average daily value of the Series’ net assets. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement before May 1, 2012 unless approved by the Board, including a majority of the non-interested directors. For the year ended December 31, 2010, the Series waived and/or reimbursed $106,243, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2010, the Manager waived advisory fees in the amount of $5,721, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager.The Manager pays BIM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the year ended December 31, 2010, the Series reimbursed the Manager $5,038 for certain accounting services, which are included in accounting services in the Statement of Operations.

The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The market value of securities on loan and the value of the related collateral, if applicable are shown in the Statement of Assets and Liabilities as securities loaned and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2010, BIM received $36,692 in securities lending agent fees related to securities lending activities for the Series.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2010, were $169,021,756 and $113,962,091, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2010. The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to the Master LLC based on its net assets as of Octo-ber 31, 2009, a commitment fee of 0.10% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. The Series did not borrow under the credit agreement during the year ended December 31, 2010.

6. Concentration, Market and Credit Risk:


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (concluded)		Master Small Cap Index Series

in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counter-party credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterpar-ties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.

As of December 31, 2010, the Series invested a significant portion of its assets in securities in the financial services sector. Changes in economic conditions affecting the financial services sector would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such securities.

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.


Report of Independent Registered Public Accounting Firm		Master Small Cap Index Series

To the Investors and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Small Cap Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
February 24, 2011


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Officers and Directors		Master Small Cap Index Series


				Number of BlackRock-
				Advised Registered
		Length		Investment Companies
	Position(s)	of Time		(“RICs”) Consisting of
Name, Address	Held with	Served as		Investment Portfolios	Public
and Year of Birth	Master LLC	a Director²	Principal Occupation(s) During Past Five Years	(“Portfolios”)Overseen	Directorships

Non-Interested Directors¹

Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chair of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	36 RICs consisting of 95 Portfolios	None

Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chair of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006.	36 RICs consisting of 95 Portfolios	None

David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	36 RICs consisting of 95 Portfolios	None

Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	36 RICs consisting of 95 Portfolios	NSTAR (electric and gas utility)

Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director and Member of the Audit Committee	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005.	36 RICs consisting of 95 Portfolios	AIMS Worldwide, Inc.(marketing)

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005.	36 RICs consisting of 95 Portfolios	Newell Rubbermaid, Inc. (manufacturing)

Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	36 RICs consisting of 95 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit)

Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	36 RICs consisting of 95 Portfolios	None

Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	36 RICs consisting of 95 Portfolios	A.P. Pharma, Inc. (specialty pharmaceuticals)


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Officers and Directors (continued)		Master Small Cap Index Series


				Number of BlackRock-
				Advised Registered
		Length		Investment Companies
		of Time		(“RICs”) Consisting of
	Position(s)	Served as		Investment Portfolios
Name, Address	Held with	a		(“Portfolios”)	Public
and Year of Birth	Master LLC	Director²	Principal Occupation(s) During Past Five Years	Overseen	Directorships

Non-Interested Directors¹ (concluded)


Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Chair of the Audit Committee and Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committe Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	36 RICs consisting of 95 Portfolios	None

Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director and Member of the Audit Committee	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	36 RICs consisting of 95 Portfolios	None


¹		Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013.

²		Date shown is the earliest date a person has served as a director for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Master LLC board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.


\| \| \| \| \|
Interested Directors³

Richard S. Davis 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005.	169 RICs consisting of 289 Portfolios	None

Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	169 RICs consisting of 289 Portfolios	None


³		Mr. Davis is an “interested person” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Officers and Directors (concluded)		Master Small Cap Index Series


	Position(s)	Length
Name, Address	Held with	of Time
and Year of Birth	Master LLC	Served	Principal Occupation(s) During Past Five Years

Officers¹

John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009.

Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.

Brian Schmidt 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003.

Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005.

Ira Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principle thereof from 2004 to 2008.


¹		Officers of the Master LLC serve at the pleasure of the Board of Directors.

Further information about the Master LLC’s Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.


Investment Advisor	Sub-Advisor	Custodian	Accounting Agent	Independent Registered	Legal Counsel
BlackRock Advisors, LLC Wilmington, DE 19809	BlackRock Investment Management, LLC Plainsboro, NJ 08536	State Street Bank and Trust Company Boston, MA 02111	State Street Bank and Trust Company Princeton, NJ 08540	Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540	Sidley Austin LLP New York, NY 10019

Effective September 24, 2010, John M. Perlowski became President and Chief Executive Officer of the Master LLC.

Effective November 16, 2010, Ira Shapiro became Secretary of the Master LLC.


MASTER SMALL CAP INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments December 31, 2010		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Australia — 8.6%
AGL Energy Ltd.		36,852	$	574,488
AMP Ltd.		169,535		917,366
AXA Asia Pacific Holdings Ltd.		84,379		544,899
Alumina Ltd.		197,274		501,487
Amcor Ltd.		100,121		691,329
Asciano Group (a)		237,702		388,047
Australia & New Zealand Banking Group Ltd.		209,425		5,002,133
Australian Stock Exchange Ltd.		14,178		546,524
BGP Holdings Plc (a)		783,183		—
BHP Billiton Ltd.		274,798		12,778,392
Bendigo and Adelaide Bank Ltd.		29,862		304,111
Billabong International Ltd.		16,993		141,704
BlueScope Steel Ltd.		149,481		343,550
Boral Ltd.		57,533		284,608
Brambles Ltd.		116,064		845,421
CFS Retail Property Trust		173,084		311,462
CSL Ltd.		44,993		1,670,237
CSR Ltd.		121,841		209,299
Caltex Australia Ltd.		11,046		162,321
Coca-Cola Amatil Ltd.		46,125		512,902
Cochlear Ltd.		4,588		377,682
Commonwealth Bank of Australia Ltd.		126,733		6,585,102
Computershare Ltd.		36,181		398,787
Crown Ltd.		36,450		307,842
DB RREEF Trust		388,898		316,138
Fairfax Media Ltd.		171,024		245,237
Fortescue Metals Group Ltd. (a)		102,597		687,744
Foster’s Group Ltd.		158,076		918,941
General Property Trust		144,930		436,397
Goodman Fielder Ltd.		116,560		160,408
Goodman Group		521,205		346,384
Harvey Norman Holdings Ltd.		43,462		130,715
Incitec Pivot Ltd.		132,340		536,504
Insurance Australia Group Ltd.		170,369		676,636
Leighton Holdings Ltd.		10,946		345,004
Lend Lease Group		43,397		383,179
MacArthur Coal Ltd.		14,359		188,537
Macquarie Group Ltd.		28,257		1,069,260
Map Group		31,261		95,552
Metcash Ltd.		61,185		257,065
Mirvac Group		265,085		332,600
National Australia Bank Ltd.		174,226		4,226,987
Newcrest Mining Ltd.		62,551		2,594,523
OZ Mineral Ltd.		255,778		451,746
OneSteel Ltd.		107,501		284,787
Orica Ltd.		29,518		752,784
Origin Energy Ltd.		71,896		1,225,857
Paladin Resources Ltd. (a)		54,836		276,381
QBE Insurance Group Ltd.		85,035		1,579,190
QR National Ltd. (a)		139,757		393,094
Qantas Airways Ltd. (a)		88,991		231,196
Ramsay Health Care Ltd.		10,748		195,769
Rio Tinto Ltd.		35,707		3,126,751
SP AusNet		112,442		100,035
Santos Ltd.		68,600		923,604
Sims Metal Management Ltd.		13,095		288,034
Sonic Healthcare Ltd.		29,853		354,878
Stockland		195,033		718,405
Suncorp Group Ltd.		104,322		918,690
Tabcorp Holdings Ltd.		55,212		401,465
Tatts Group Ltd.		102,272		270,056
Telstra Corp. Ltd.		356,354		1,016,648
Toll Holdings Ltd.		54,447		319,501
Transurban Group		105,377		553,214
Wesfarmers Ltd., Ordinary Shares		82,305		2,696,246
Wesfarmers Ltd., Partially Protected Shares		12,351		408,546
Westfield Group		179,392		1,757,196
Westfield Retail Trust (a)		179,392		471,548
Westpac Banking Corp.		244,595		5,556,680
Woodside Petroleum Ltd.		51,068		2,224,550
Woolworths Ltd.		100,744		2,782,028
WorleyParsons Ltd.		15,599		427,235

				79,053,618

Austria — 0.3%
Erste Bank der Oesterreichischen Sparkassen AG		15,540		733,441
IMMOFINANZ Immobilien Anlagen AG (a)		80,227		342,901
Immoeast AG NPV (a)		30,710		—
OMV AG		12,288		512,111
Raiffeisen International Bank Holding AG		3,999		220,285
Telekom Austria AG		27,364		385,694
Verbund — Oesterreichische Elektrizitaetswirtschafts AG		6,175		230,731
Vienna Insurance Group		3,349		174,551
Voestalpine AG		8,818		421,772

				3,021,486

Belgium — 0.9%
Anheuser-Busch InBev NV		59,259		3,386,011
Anheuser-Busch InBev NV WPR Strip (a)		24,368		130
Bekaert SA		3,181		365,031
Belgacom SA		12,482		419,359
Colruyt SA		6,100		310,205
Delhaize Group		8,175		604,569
Dexia NV (a)		44,011		152,903
Fortis		183,167		418,648
Groupe Bruxelles Lambert SA		6,597		555,062
KBC Bancassurance Holding (a)		13,262		451,875
Mobistar SA		2,338		151,708
Nationale A Portefeuille		2,247		109,953

Portfolio Abbreviation

ADR

American Depositary Receipts



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Belgium (concluded)
Solvay SA		4,872	$	519,493
UCB SA		8,119		278,791
Umicore SA		9,429		490,914

				8,214,652

Bermuda — 0.1%
SeaDrill Ltd.		22,670		773,346

China — 0.0%
Foxconn International Holdings Ltd. (a)		179,313		125,168

Denmark — 1.0%
A.P.Moller — Maersk A/S, Class A		45		396,447
A.P. Moller — Maersk A/S, Class B		108		977,794
Carlsberg A/S		8,753		878,587
Coloplast A/S, Class B		1,866		253,576
DSV A/S		17,009		377,037
Danske Bank A/S (a)		37,247		955,213
Novo-Nordisk A/S, Class B		34,255		3,859,324
Novozymes A/S, Class B		3,779		527,294
TrygVesta A/S		2,275		104,913
Vestas Wind Systems A/S (a)		17,032		539,408
William Demant Holding (a)		1,985		146,741

				9,016,334

Finland — 1.1%
Elisa Corp.		10,661		232,112
Fortum Oyj		36,243		1,093,214
Kesko Oyj, Class B		5,511		257,531
Kone Oyj, Class B		12,667		703,556
Metso Oyj		10,528		588,943
Neste Oil Oyj		10,756		171,989
Nokia Oyj		307,149		3,181,702
Nokian Renkaat Oyj		8,836		324,661
Orion Oyj		7,586		166,077
Outokumpu Oyj		10,321		191,318
Pohjola Bank Plc		11,663		139,922
Rautaruukki Oyj		7,372		173,106
Sampo Oyj		34,259		916,072
Sanoma Oyj		6,877		149,153
Stora Enso Oyj, Class R		47,872		492,656
UPM-Kymmene Oyj		42,587		754,977
Wartsila Oyj		6,476		493,498

				10,030,487

France — 8.9%
AXA SA		140,585		2,340,099
Accor SA		12,098		539,178
Aeroports de Paris		2,495		197,192
Air France-KLM (a)		11,270		205,730
Air Liquide		23,182		2,935,176
Alcatel SA (a)		189,255		553,670
Alstom		16,850		807,641
Atos Origin SA (a)		3,692		196,886
BNP Paribas SA		78,431		4,995,004
BioMerieux		1,006		99,280
Bouygues		18,786		810,777
Bureau Veritas SA		3,936		298,695
CNP Assurances		12,028		217,094
Cap Gemini SA		11,914		556,975
Carrefour SA		49,057		2,022,745
Casino Guichard Perrachon SA		4,524		441,426
Christian Dior SA		5,228		747,782
Cie de Saint-Gobain SA		32,575		1,677,794
Cie Générale d’Optique Essilor International SA		16,634		1,071,745
Compagnie Généralé de Géophysique SA (a)		11,558		352,834
Compagnie Généralé des Etablissements Michelin		14,233		1,021,726
Credit Agricole SA		78,606		999,533
Dassault Systémes SA		4,808		362,961
EDP Renovaveis SA (a)		19,120		110,875
Edenred (a)		12,396		293,447
Eiffage		3,323		146,724
Electricité de France SA		21,047		864,350
Eramet		468		160,599
Eurazeo		2,412		178,976
European Aeronautic Defense and Space Co. (a)		33,345		778,107
Eutelsat Communications		8,009		293,316
Fonciére Des Regions		2,189		211,858
France Telecom SA		152,160		3,184,079
GDF Suez		101,225		3,635,513
Gecina SA		1,623		178,679
Groupe Danone		47,796		3,005,276
Groupe Eurotunnel SA		39,103		344,116
Hermes International		864		181,166
ICADE		1,913		195,340
Iliad SA		1,331		144,833
Imerys SA		3,106		207,317
JC Decaux SA (a)		5,627		173,259
Klepierre		7,759		280,237
L’Oreal SA		19,601		2,179,470
LVMH Moët Hennessy Louis Vuitton SA		20,075		3,306,446
Lafarge SA		16,407		1,029,977
Lagardere S.C.A.		9,607		396,092
Legrand Promesses		12,920		527,007
M6-Metropole Television SA		5,646		136,775
Natixis (a)		71,265		333,361
Neopost SA		2,501		218,109
PagesJaunes Groupe SA		10,867		98,817
Pernod-Ricard SA		16,216		1,526,400
Peugeot SA (a)		12,545		476,671
Pinault-Printemps-Redoute		6,210		988,705
Publicis Groupe		10,110		527,553
Renault SA (a)		15,773		918,182
Safran SA		13,534		479,759
Sanofi-Aventis		85,807		5,501,155
Schneider Electric SA		19,890		2,982,228
Scor SE		13,510		343,335
Société BIC SA		2,183		187,671
Société Générale SA		51,546		2,773,527
Société Télévision Française 1		9,864		171,478
Sodexho Alliance SA		7,683		530,163
Suez Environnement SA		21,938		453,220
Technip SA		8,110		749,636
Thales SA		7,174		251,285
Total SA		172,944		9,211,435
Unibail-Rodamco SE		7,482		1,481,422
Vallourec SA		8,896		935,316



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010



Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

France (concluded)
Veolia Environnement SA		28,237	$	826,535
Vinci SA		36,048		1,961,650
Vivendi SA		100,725		2,721,756

				82,245,146

Germany — 8.1%
Adidas-Salomon AG		17,134		1,114,552
Allianz AG, Registered Shares		37,140		4,412,815
Axel Springer AG		1,214		197,918
BASF SE		75,155		5,997,593
Bayer AG		67,665		5,015,827
Bayerische Motoren Werke AG		27,092		2,134,498
Bayerische Motoren Werke AG, Preference Shares		4,252		218,622
Beiersdorf AG		8,201		455,075
Brenntag AG (a)		2,318		236,344
Celesio AG		6,290		156,750
Commerzbank AG (a)		58,084		432,425
Continental AG (a)		4,014		318,853
Daimler AG (a)		73,823		4,995,226
Deutsche Bank AG, Registered Shares		76,203		3,985,111
Deutsche Boerse AG		15,887		1,097,650
Deutsche Lufthansa AG (a)		18,793		408,799
Deutsche Post AG		69,113		1,172,516
Deutsche Telekom AG		232,525		2,997,529
E.ON AG		147,359		4,500,174
Fraport AG		3,007		189,851
Fresenius AG		2,292		192,332
Fresenius AG, Preference Shares		6,590		564,599
Fresenius Medical Care AG		15,901		914,197
GEA Group AG		13,334		385,331
Hannover Rueckversicherung AG, Registered Shares		4,935		264,737
HeidelbergCement AG		11,425		717,067
Henkel KGaA		10,588		545,909
Henkel KGaA, Preference Shares		14,575		903,675
Hochtief AG		3,665		310,690
Infineon Technologies AG (a)		88,518		825,102
K+S AG		11,763		886,603
Kabel Deutschland Holding AG (a)		4,419		207,223
Lanxess		6,808		535,296
Linde AG		13,835		2,092,950
MAN SE		8,631		1,028,003
Merck KGaA		5,316		425,601
Metro AG		10,594		764,641
Muenchener Rueckversicherungs AG, Registered Shares		15,420		2,335,432
Porsche Automobil Holding SE, Preference Shares		7,095		566,725
ProSieben SAT.1 Media AG, Preference Shares		6,266		188,077
Puma AG Rudolf Dassler Sport		420		139,190
Qiagen NV (a)		18,745		367,907
RWE AG		34,262		2,288,354
RWE AG, Preference Shares		3,102		198,960
SAP AG		70,432		3,592,220
Salzgitter AG		3,386		261,785
Siemens AG		67,324		8,339,736
Suedzucker AG		5,874		156,874
TUI AG (a)		12,274		172,180
ThyssenKrupp AG		27,366		1,136,917
United Internet AG		9,819		159,764
Volkswagen AG		2,425		343,964
Volkswagen AG, Preference Shares		13,904		2,260,633
Wacker Chemie AG		1,309		228,219

				74,339,021

Greece - 0.2%
Alpha Bank AE (a)		40,797		207,399
Bank of Cyprus Public Co. Ltd.		69,678		240,485
Coca-Cola Hellenic Bottling Co. SA		14,949		387,286
EFG Eurobank Ergasias SA (a)		27,241		136,739
Hellenic Telecommunications Organization SA		21,160		173,677
National Bank of Greece SA (a)		78,954		642,397
OPAP SA		17,926		310,154
Public Power Corp.		9,559		137,470

				2,235,607

Hong Kong — 2.8%
AIA Group Ltd. (a)		641,400		1,803,030
ASM Pacific Technology Ltd.		16,504		208,435
BOC Hong Kong Holdings Ltd.		303,900		1,033,419
Bank of East Asia Ltd.		124,332		520,275
CLP Holdings Ltd.		157,687		1,280,377
Cathay Pacific Airways Ltd.		99,263		273,819
Cheung Kong Holdings Ltd.		113,835		1,754,365
Cheung Kong Infrastructure Holdings Ltd.		37,500		171,687
Esprit Holdings Ltd.		94,887		451,368
Hang Lung Group Ltd.		66,000		433,631
Hang Lung Properties Ltd.		201,000		939,479
Hang Seng Bank Ltd.		62,753		1,031,053
Henderson Land Development Co., Ltd.		87,491		595,956
The Hong Kong & China Gas Ltd.		353,319		832,532
Hong Kong Exchanges and Clearing Ltd.		83,827		1,900,582
HongKong Electric Holdings Ltd.		113,000		712,356
Hopewell Holdings Ltd.		46,849		147,015
Hutchison Whampoa Ltd.		174,176		1,791,800
Hysan Development Co. Ltd.		48,791		229,583
Kerry Properties Ltd.		58,000		301,966
Li & Fung Ltd.		187,990		1,090,723
Lifestyle International Holdings Ltd.		52,466		129,102
The Link Real Estate Investment Trust		179,914		558,623
MTR Corp.		117,000		425,766
Mongolia Energy Co. Ltd. (a)		277,140		82,667
NWS Holdings Ltd.		109,500		166,186
New World Development Ltd.		207,484		389,281
Orient Overseas International Ltd.		18,057		175,036
PCCW Ltd.		321,000		141,978
SJM Holdings Ltd.		129,000		204,639
Sands China Ltd. (a)		202,600		445,381
Shangri-La Asia Ltd.		106,990		290,242
Sino Land Co.		138,421		258,644
Sun Hung Kai Properties Ltd.		116,324		1,930,002
Swire Pacific Ltd., Class A		63,077		1,036,357
Wharf Holdings Ltd.		112,870		867,795
Wheelock and Co., Ltd.		76,000		307,316
Wing Hang Bank Ltd.		14,500		200,430
Wynn Macau Ltd.		124,000		277,528
Yue Yuen Industrial Holdings Ltd.		59,285		213,261

				25,603,685



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Ireland — 0.2%
Anglo Irish Bank Corp. Plc (a)		62,641		—
Bank of Ireland (a)		276,647	$	137,608
CRH Plc		57,632		1,198,544
Elan Corp. Plc (a)		40,603		228,928
James Hardie Industries SE, Chess Depository Interest(a)		34,963		242,440
Kerry Group Plc		11,530		384,729
Ryanair Holdings Plc		29,444		148,243

				2,340,492

Israel — 0.8%
Bank Hapoalim Ltd. (a)		80,458		418,888
Bank Leumi Le-Israel BM		96,283		493,534
Bezeq Israeli Telecommunication Corp. Ltd.		141,076		429,494
Cellcom Israel Ltd.		4,310		139,860
Delek Group Ltd.		304		78,382
Elbit Systems Ltd.		2,059		109,884
Israel Chemicals Ltd.		36,231		620,519
The Israel Corp. Ltd. (a)		197		239,017
Israel Discount Bank Ltd. (a)		52,473		119,457
Makhteshim-Agan Industries Ltd. (a)		18,550		95,270
Nice Systems Ltd. (a)		5,144		179,208
Partner Communications Co. Ltd.		7,239		146,548
Teva Pharmaceutical Industries Ltd.		76,618		3,987,845
United Mizrahi Bank Ltd.		10,047		110,491

				7,168,397

Italy — 2.4%
A2A SpA		94,579		130,176
Assicurazioni Generali SpA		95,543		1,819,104
Autogrill SpA (a)		9,990		141,436
Autostrade SpA		19,629		400,847
Banca Carige SpA		49,397		103,610
Banca Monte dei Paschi di Siena SpA (a)		180,685		206,292
Banco Popolare SpA		51,827		235,248
Enel Green Power SpA (a)		123,095		260,063
Enel SpA		539,599		2,703,957
Eni SpA		213,030		4,669,067
Exor SpA		5,439		179,519
Fiat SpA		62,899		1,300,823
Finmeccanica SpA		32,962		375,018
Intesa Sanpaolo SpA		629,648		1,711,787
Intesa Sanpaolo SpA, Non-Convertible Savings Shares		76,292		181,947
Luxottica Group SpA		9,379		286,715
Mediaset SpA		57,906		350,690
Mediobanca SpA		38,712		345,299
Parmalat SpA		140,429		385,207
Pirelli & C. SpA		20,321		164,443
Prysmian SpA		14,654		249,743
Saipem SpA		21,688		1,070,806
Snam Rete Gas SpA		117,430		584,772
Telecom Italia SpA		765,587		993,315
Telecom Italia SpA, Non-Convertible Savings Shares		493,132		536,721
Terna SpA		106,204		448,863
Unicredit SpA		1,105,400		2,291,679
Unione Di Banche Italiane ScpA		49,809		437,035

				22,564,182

Japan — 21.6%
The 77 Bank Ltd.		29,000		153,201
ABC-Mart, Inc.		2,200		78,361
Advantest Corp.		12,900		290,033
Aeon Co., Ltd.		48,800		608,941
Aeon Credit Service Co., Ltd.		6,100		85,833
Aeon Mall Co. Ltd.		6,900		184,579
Air Water Inc.		12,000		152,835
Aisin Seiki Co., Ltd.		15,600		549,689
Ajinomoto Co., Inc.		54,000		560,956
Alfresa Holdings Corp.		3,200		141,806
All Nippon Airways Co., Ltd. (a)		68,000		253,060
Amada Co., Ltd.		29,000		235,019
Aozora Bank Ltd.		46,000		94,879
Asahi Breweries Ltd.		31,500		607,970
Asahi Glass Co., Ltd.		83,100		966,439
Asahi Kasei Corp.		102,000		663,475
Asics Corp.		13,000		166,394
Astellas Pharma, Inc.		36,600		1,390,999
The Bank of Kyoto Ltd.		26,000		245,764
The Bank of Yokohama Ltd.		98,000		505,345
Benesse Holdings, Inc.		5,600		257,657
Bridgestone Corp.		52,900		1,018,271
Brother Industries Ltd.		19,100		281,895
Canon, Inc.		92,800		4,766,698
Canon Marketing Japan Inc.		5,700		80,966
Casio Computer Co., Ltd.		20,100		161,328
Central Japan Railway Co.		123		1,028,210
The Chiba Bank Ltd.		62,000		402,021
Chiyoda Corp.		13,000		128,758
Chubu Electric Power Co., Inc.		53,500		1,313,334
Chugai Pharmaceutical Co., Ltd.		18,200		333,251
The Chugoku Bank Ltd.		14,000		168,935
Chugoku Electric Power Co.		24,100		489,140
Chuo Mitsui Trust Holdings, Inc.		81,000		334,605
Citizens Holding Co., Ltd.		19,500		133,798
Coca-Cola West Holdings Co., Ltd.		4,500		81,456
Cosmo Oil Co., Ltd.		50,000		163,288
Credit Saison Co., Ltd.		12,100		197,468
Dai Nippon Printing Co., Ltd.		46,000		623,911
Dai-ichi Life Insurance Co.		655		1,060,034
Daicel Chemical Industries Ltd.		22,000		160,093
Daido Steel Co., Ltd.		25,000		146,372
Daihatsu Motor Co., Ltd.		16,000		244,780
Daiichi Sankyo Co., Ltd.		54,900		1,199,070
Daikin Industries Ltd.		19,100		674,719
Dainippon Pharma Co., Ltd.		13,400		121,544
Daito Trust Construction Co., Ltd.		6,400		437,392
Daiwa House Industry Co., Ltd.		40,000		489,987
Daiwa Securities Group, Inc.		135,000		692,497
Dena Co. Ltd.		6,500		232,874
Denki Kagaku Kogyo Kabushiki Kaisha		38,000		179,918
Denso Corp.		39,800		1,368,279
Dentsu, Inc.		13,313		411,335
Diamond Lease Co., Ltd.		4,690		185,117
Dowa Mining Co., Ltd.		21,350		139,482
East Japan Railway Co.		27,849		1,807,100
Eisai Co., Ltd.		20,400		736,997



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (continued)
Electric Power Development Co.		9,400	$	294,387
Elpida Memory, Inc. (a)		15,000		173,489
FamilyMart Co., Ltd.		5,200		195,637
Fanuc Ltd.		15,700		2,399,844
Fast Retailing Co., Ltd.		4,300		682,072
Fuji Electric Holdings Co., Ltd.		48,800		151,229
Fuji Heavy Industries Ltd.		48,000		370,166
Fuji Media Holdings, Inc.		44		69,314
Fuji Photo Film Co., Ltd.		37,900		1,365,108
Fujitsu Ltd.		153,000		1,060,037
Fukuoka Financial Group, Inc.		62,000		268,369
Furukawa Electric Co., Ltd.		51,000		228,235
GS Yuasa Corp.		30,000		206,849
Gree Inc.		7,400		93,854
The Gunma Bank Ltd.		32,000		175,160
The Hachijuni Bank Ltd.		35,000		195,011
Hakuhodo DY Holdings, Inc.		2,070		118,213
Hamamatsu Photonics KK		5,600		204,139
Hankyu Hanshin Holdings, Inc.		94,000		435,659
Hino Motors Ltd.		23,000		123,993
Hirose Electric Co., Ltd.		2,600		292,168
The Hiroshima Bank Ltd.		41,000		172,433
Hisamitsu Pharmaceutical Co., Ltd.		5,300		222,756
Hitachi Chemical Co., Ltd.		8,500		175,181
Hitachi Construction Machinery Co., Ltd.		7,800		186,166
Hitachi High-Technologies Corp.		5,900		137,474
Hitachi Ltd.		370,000		1,964,393
Hitachi Metals Ltd.		14,000		167,362
Hokkaido Electric Power Co., Inc.		14,800		302,227
Hokuhoku Financial Group, Inc.		104,100		211,039
Hokuriku Electric Power		14,300		351,127
Honda Motor Co., Ltd.		133,400		5,265,136
Hoya Corp.		35,300		853,526
IHI Corp.		106,000		235,338
Ibiden Co., Ltd.		10,400		326,231
Idemitsu Kosan Co., Ltd.		1,800		190,739
Inpex Corp.		175		1,021,893
Isetan Mitsukoshi Holdings Ltd.		30,305		351,234
Isuzu Motors Ltd.		97,000		438,315
Ito En, Ltd.		4,300		71,397
Itochu Corp.		123,200		1,241,331
Itochu Techno-Science Corp.		2,600		97,268
The Iyo Bank Ltd.		20,000		159,562
J Front Retailing Co. Ltd.		38,600		210,352
JFE Holdings, Inc.		37,700		1,307,147
JGC Corp.		17,000		368,452
JS Group Corp.		20,300		445,296
JSR Corp.		14,400		267,279
JTEKT Corp.		18,200		213,551
JX Holdings, Inc.		182,860		1,237,419
Japan Petroleum Explora		2,400		91,013
Japan Prime Realty Investment Corp.		58		178,352
Japan Real Estate Investment Corp.		40		414,384
Japan Retail Fund Investment Corp.		133		254,342
The Japan Steel Works, Ltd.		25,000		260,378
Japan Tobacco, Inc.		368		1,358,866
The Joyo Bank Ltd.		53,000		232,317
Jupiter Telecommunications Co., Ltd.		196		205,621
KDDI Corp.		238		1,372,484
Kajima Corp.		69,800		185,079
Kamigumi Co., Ltd.		21,000		175,757
Kaneka Corp.		25,000		172,728
The Kansai Electric Power Co., Inc.		61,400		1,514,051
Kansai Paint Co., Ltd.		18,000		173,802
Kao Corp.		44,000		1,182,504
Kawasaki Heavy Industries Ltd.		115,000		385,415
Kawasaki Kisen Kaisha Ltd.		55,000		239,456
Keihin Electric Express Railway Co., Ltd.		39,000		343,984
Keio Electric Railway Co., Ltd.		47,000		320,127
Keisei Electric Railway Co., Ltd.		24,000		159,747
Keyence Corp.		3,420		986,790
Kikkoman Corp.		13,000		145,269
Kinden Corp.		12,000		110,581
Kintetsu Corp.		133,000		415,585
Kirin Holdings Co., Ltd.		68,000		951,052
Kobe Steel Ltd.		204,000		515,454
Koito Manufacturing Co., Ltd.		8,000		124,370
Komatsu Ltd.		77,600		2,335,517
Konami Corp.		7,400		156,569
Konica Minolta Holdings, Inc.		39,000		403,079
Kubota Corp.		94,000		885,584
Kuraray Co., Ltd.		28,000		399,698
Kurita Water Industries Ltd.		9,100		285,668
Kyocera Corp.		13,300		1,351,246
Kyowa Hakko Kirin Co. Ltd.		21,000		215,669
Kyushu Electric Power Co., Inc.		30,800		689,550
Lawson, Inc.		4,900		241,897
MS&AD Insurance Group Holdings, Inc.		43,870		1,095,113
Mabuchi Motor Co., Ltd.		2,100		107,948
Makita Corp.		9,000		366,227
Marubeni Corp.		135,000		945,107
Marui Group Co. Ltd.		18,800		152,644
Maruichi Steel Tube Ltd.		3,700		78,456
Matsui Securities Co., Ltd.		9,400		66,582
Mazda Motor Corp.		122,400		349,140
McDonald’s Holdings Co. Japan Ltd.		5,500		137,810
Medipal Holdings Corp.		12,200		134,245
Meiji Holdings Co., Ltd.		5,493		247,880
Minebea Co., Ltd.		28,000		175,649
Miraca Holdings, Inc.		4,500		180,642
Mitsubishi Chemical Holdings Corp.		105,000		709,261
Mitsubishi Corp.		111,100		2,994,338
Mitsubishi Electric Corp.		158,000		1,650,985
Mitsubishi Estate Co., Ltd.		96,000		1,774,196
Mitsubishi Gas Chemical Co., Inc.		32,000		226,336
Mitsubishi Heavy Industries Ltd.		247,200		925,391
Mitsubishi Logistics Corp.		9,000		119,258
Mitsubishi Materials Corp. (a)		90,000		286,001
Mitsubishi Motors Corp. (a)		316,000		457,855
Mitsubishi Tanabe Pharma Corp.		18,000		303,433
Mitsubishi UFJ Financial Group, Inc.		1,042,074		5,618,989
Mitsui & Co., Ltd.		142,100		2,338,101
Mitsui Chemicals, Inc.		71,000		253,130
Mitsui Engineering & Shipbuilding Co., Ltd.		59,000		155,567
Mitsui Fudosan Co., Ltd.		68,000		1,351,404
Mitsui Mining & Smelting Co., Ltd.		47,000		154,578
Mitsui OSK Lines Ltd.		93,000		630,181



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (continued)
Mitsumi Electric Co., Ltd.		6,800	$	124,270
Mizuho Financial Group, Inc.		1,672,740		3,137,851
Murata Manufacturing Co., Ltd.		16,500		1,151,793
NEC Corp.		212,000		634,304
NGK Insulators Ltd.		21,000		341,125
NGK Spark Plug Co., Ltd.		13,000		198,662
NHK Spring Co., Ltd.		12,000		130,062
NKSJ Holdings, Inc. (a)		115,100		844,341
NOK Corp.		8,400		174,118
NSK Ltd.		36,000		323,761
NTN Corp.		41,000		216,373
NTT Data Corp.		101		348,309
NTT DoCoMo, Inc.		1,253		2,182,233
NTT Urban Development Co.		89		87,369
Nabtesco Corp.		7,800		165,844
Namco Bandai Holdings, Inc.		15,200		162,927
Nidec Corp.		8,800		887,340
Nikon Corp.		26,000		524,855
Nintendo Co., Ltd.		8,100		2,364,809
Nippon Building Fund, Inc.		42		430,430
Nippon Electric Glass Co.		28,500		409,086
Nippon Express Co., Ltd.		69,000		309,871
Nippon Meat Packers, Inc.		15,000		195,451
Nippon Paper Group, Inc.		7,894		206,640
Nippon Sanso Corp.		22,000		193,663
Nippon Sheet Glass Co., Ltd.		73,000		195,804
Nippon Steel Corp.		418,000		1,497,467
Nippon Telegraph & Telephone Corp.		42,476		1,934,264
Nippon Yusen Kabushiki Kaisha		125,000		550,321
The Nishi-Nippon City Bank Ltd.		56,000		169,378
Nissan Chemical Industries Ltd.		11,000		141,927
Nissan Motor Co., Ltd.		203,400		1,924,134
Nisshin Seifun Group, Inc.		15,500		196,213
Nisshin Steel Co., Ltd.		62,000		137,610
Nisshinbo Industries, Inc.		10,000		109,153
Nissin Foods Holdings Co., Ltd.		5,400		193,260
Nitori Co., Ltd.		3,000		262,153
Nitto Denko Corp.		13,410		628,939
Nomura Holdings, Inc.		289,100		1,834,361
Nomura Real Estate Holdings, Inc.		8,300		150,605
Nomura Real Estate Office Fund, Inc.		22		158,721
Nomura Research Institute Ltd.		8,100		179,943
OJI Paper Co., Ltd.		68,000		328,169
ORIX Corp.		8,550		837,688
Obayashi Corp.		53,000		243,307
Obic Co., Ltd.		600		123,221
Odakyu Electric Railway Co., Ltd.		51,000		474,040
Olympus Corp.		17,700		532,949
Omron Corp.		16,500		434,835
Ono Pharmaceutical Co., Ltd.		6,800		317,096
Oracle Corp. Japan		3,200		156,864
Oriental Land Co., Ltd.		4,100		379,218
Osaka Gas Co., Ltd.		158,000		612,477
Otsuka Holdings Co., Ltd.		20,500		504,988
Otsuka Shokai Co., Ltd.		1,300		88,455
Panasonic Corp.		160,400		2,264,655
Rakuten, Inc.		585		489,558
Resona Holdings, Inc.		51,256		305,521
Ricoh Co., Ltd.		55,000		801,956
Rinnai Corp.		3,000		182,884
Rohm Co., Ltd.		7,800		507,255
SBI Holdings, Inc.		1,670		251,839
SMC Corp.		4,400		750,844
Sankyo Co., Ltd.		4,500		253,545
Santen Pharmaceutical Co., Ltd.		5,900		204,554
Sapporo Hokuyo Holdings, Inc.		28,289		132,187
Sapporo Holdings Ltd.		23,000		103,888
Secom Co., Ltd.		17,100		807,989
Sega Sammy Holdings, Inc.		16,232		307,851
Seiko Epson Corp.		10,600		192,437
Sekisui Chemical Co., Ltd.		35,000		250,401
Sekisui House Ltd.		47,000		473,596
Senshu Ikeda Holdings, Inc.		49,470		70,458
Seven & I Holdings Co., Ltd.		61,700		1,641,476
Seven Bank Ltd.		56		118,416
Sharp Corp.		82,000		841,473
Shikoku Electric Power Co., Inc.		14,300		420,036
Shimadzu Corp.		20,000		154,913
Shimamura Co., Ltd.		1,900		175,863
Shimano, Inc.		5,400		273,750
Shimizu Corp.		48,000		204,474
Shin-Etsu Chemical Co., Ltd.		33,600		1,810,925
Shinko Electric Industries		6,200		69,172
Shinko Securities Co., Ltd.		48,300		137,728
Shinsei Bank Ltd.		81,000		105,421
Shionogi & Co., Ltd.		24,200		476,907
Shiseido Co., Ltd.		27,800		605,382
The Shizuoka Bank Ltd.		49,000		450,551
Showa Denko KK		116,000		260,238
Showa Shell Sekiyu KK		15,100		137,964
Softbank Corp.		66,400		2,289,502
Sojitz Corp.		102,000		223,034
Sony Corp.		82,200		2,939,855
Sony Financial Holdings, Inc.		71		285,941
Square Enix Holdings Co., Ltd.		5,300		93,746
Stanley Electric Co., Ltd.		11,900		221,285
Sumco Corp. (a)		9,400		133,851
Sumitomo Chemical Co., Ltd.		128,000		628,352
Sumitomo Corp.		91,800		1,292,293
Sumitomo Electric Industries Ltd.		61,300		847,116
Sumitomo Heavy Industries Ltd.		44,000		281,438
Sumitomo Metal Industries Ltd.		274,000		671,713
Sumitomo Metal Mining Co., Ltd.		42,000		731,562
Sumitomo Mitsui Financial Group, Inc.		110,050		3,896,555
Sumitomo Realty & Development Co., Ltd.		29,000		689,899
Sumitomo Rubber Industries, Ltd.		14,400		149,781
The Sumitomo Trust & Banking Co., Ltd.		116,000		726,699
Suruga Bank Ltd.		17,000		157,747
Suzuken Co., Ltd.		5,200		158,550
Suzuki Motor Corp.		27,700		680,002
Sysmex Corp.		2,800		193,658
T&D Holdings, Inc.		22,100		557,492



See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010



Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (concluded)
TDK Corp.		9,900	$	685,440
THK Co., Ltd.		9,700		221,866
Taisei Corp.		83,000		193,533
Taisho Pharmaceutical Co., Ltd.		11,000		240,416
Takashimaya Co., Ltd.		22,000		187,901
Takeda Pharmaceutical Co., Ltd.		61,400		3,016,326
Teijin Ltd.		77,000		327,827
Terumo Corp.		13,700		768,396
Tobu Railway Co., Ltd.		67,000		375,755
Toho Co., Ltd.		8,600		137,892
Toho Gas Co., Ltd.		35,000		174,718
Tohoku Electric Power Co., Inc.		34,600		770,344
Tokio Marine Holdings, Inc.		59,200		1,758,681
Tokuyama Corp.		25,000		128,856
The Tokyo Electric Power Co., Inc.		116,400		2,838,129
Tokyo Electron Ltd.		14,000		881,457
Tokyo Gas Co., Ltd.		209,000		925,507
Tokyo Steel Manufacturing Co., Ltd.		9,200		99,950
Tokyo Tatemono Co., Ltd.		32,000		147,490
Tokyu Corp.		92,000		420,857
Tokyu Land Corp.		38,000		190,158
TonenGeneral Sekiyu KK		23,000		250,958
Toppan Printing Co., Ltd.		44,000		400,415
Toray Industries, Inc.		116,700		695,710
Toshiba Corp.		329,000		1,785,577
Tosoh Corp.		45,000		145,726
Toto Ltd.		24,000		173,445
Toyo Seikan Kaisha Ltd.		12,200		231,120
Toyo Suisan Kaisha, Ltd.		8,000		177,622
Toyoda Gosei Co., Ltd.		5,700		133,360
Toyota Boshoku Corp.		5,100		89,665
Toyota Industries Corp.		14,500		448,620
Toyota Motor Corp.		225,700		8,885,458
Toyota Tsusho Corp.		17,100		299,444
Trend Micro, Inc.		7,900		259,530
Tsumura & Co.		5,000		161,542
UNY Co., Ltd.		16,100		162,141
USS Co., Ltd.		1,940		158,313
Ube Industries Ltd.		79,000		236,559
Uni-Charm Corp.		10,200		405,036
Ushio, Inc.		8,700		165,196
West Japan Railway Co.		138		515,085
Yahoo! Japan Corp.		1,166		450,691
Yakult Honsha Co., Ltd.		8,000		230,007
Yamada Denki Co., Ltd.		6,650		452,408
Yamaguchi Financial Group, Inc.		17,000		171,211
Yamaha Corp.		13,300		164,199
Yamaha Motor Co., Ltd. (a)		21,000		340,783
Yamato Kogyo Co. Ltd.		3,800		114,249
Yamato Transport Co., Ltd.		32,100		455,359
Yamazaki Baking Co., Ltd.		10,000		120,411
Yaskawa Electric Corp.		19,000		178,903
The Yasuda Trust & Banking Co., Ltd. (a)		136,000		140,090
Yokogawa Electric Corp.		17,700		140,158

				199,262,862

Kazakhstan — 0.0%
Eurasian Natural Resources Corp.		20,964		344,740

Luxembourg — 0.5%
ArcelorMittal		70,185		2,671,009
SES Global		24,468		582,647
Tenaris SA		38,580		946,160

				4,199,816

Netherlands — 2.5%
ASML Holding NV		35,290		1,353,449
Aegon NV (a)		127,549		780,819
Akzo Nobel NV		18,868		1,173,917
Corio NV		4,778		306,790
Delta Lloyd NV		6,510		131,287
Fugro NV		5,592		460,421
Heineken Holding NV		9,628		418,716
Heineken NV		21,292		1,044,303
ING Groep NV CVA (a)		314,184		3,065,099
Koninklijke Ahold NV		97,526		1,288,342
Koninklijke Boskalis Westminster NV		5,548		264,899
Koninklijke DSM NV		12,704		724,166
Koninklijke KPN NV		128,679		1,879,474
Koninklijke Philips Electronics NV		80,676		2,473,311
Koninklijke Vopak NV		5,668		267,969
Randstad Holdings NV (a)		8,980		474,585
Reed Elsevier NV		56,237		696,233
SBM Offshore NV		13,278		297,913
STMicroelectronics NV		51,528		535,862
TNT NV		31,190		824,845
Unilever NV		133,292		4,158,390
Wolters Kluwer NV		24,438		535,946

				23,156,736

New Zealand — 0.1%
Auckland International Airport Ltd.		81,425		138,214
Contact Energy Ltd.		26,924		130,807
Fletcher Building Ltd.		48,760		290,657
Sky City Ltd.		51,491		130,013
Telecom Corp. of New Zealand Ltd.		156,365		262,857

				952,548

Norway — 0.7%
Aker Solutions ASA		13,242		225,917
DnB NOR ASA		80,460		1,131,915
Norsk Hydro ASA		72,408		533,341
Orkla ASA		63,881		623,123
Renewable Energy Corp. ASA (a)		39,887		122,498
Statoil ASA		91,319		2,175,040
Telenor ASA		65,303		1,064,135
Telenor ASA — ADR		839		41,027
Yara International ASA		15,711		914,519

				6,831,515

Portugal — 0.2%
Banco Comercial Portugues SA, Registered Shares		228,344		177,574
Banco Espirito Santo SA, Registered Shares		44,077		169,506
Brisa-Auto Estradas de Portugal SA, Private Shares		15,277		106,562
Cimpor Cimentos de Portugal SA		16,593		112,431
Energias de Portugal SA		156,167		519,974
Galp Energia SGPS SA		18,699		358,609
Jeronimo Martins SGPS SA		18,022		274,789
Portugal Telecom SGPS SA, Registered Shares		47,680		544,271

				2,263,716

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010



Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Singapore — 1.7%
Ascendas Real Estate Investment Trust		126,962	$	204,875
CapitaLand Ltd.		208,749		603,809
CapitaMall Trust		179,700		273,312
CapitaMalls Asia Ltd.		110,000		166,346
City Developments Ltd.		44,535		436,475
ComfortDelgro Corp. Ltd.		153,816		185,756
Cosco Corp. (Singapore) Ltd.		79,002		131,858
DBS Group Holdings Ltd.		141,407		1,578,323
Fraser and Neave Ltd.		80,096		399,846
Genting Singapore Plc (a)		504,227		862,585
Global Logistic Properties Ltd. (a)		130,000		218,802
Golden Agri-Resources Ltd.		540,251		337,315
Jardine Cycle & Carriage Ltd.		8,721		248,665
Keppel Corp. Ltd.		103,616		914,263
Keppel Land Ltd.		59,000		220,914
Neptune Orient Lines Ltd. (a)		73,350		124,682
Noble Group Ltd.		241,840		408,766
Olam International Ltd.		102,900		252,016
Oversea-Chinese Banking Corp.		200,914		1,546,828
SembCorp Industries Ltd.		78,590		314,598
Sembcorp Marine Ltd.		69,197		289,478
Singapore Airlines Ltd.		44,009		525,137
Singapore Exchange Ltd.		70,000		459,081
Singapore Press Holdings Ltd.		127,316		395,261
Singapore Technologies Engineering Ltd.		135,213		360,294
Singapore Telecommunications Ltd.		652,132		1,549,689
StarHub Ltd.		52,157		107,108
UOL Group Ltd.		38,457		142,492
United Overseas Bank Ltd.		100,572		1,427,214
Wilmar International Ltd.		156,670		688,753
Yangzijiang Shipbuilding Holdings Ltd.		126,183		187,908

				15,562,449

Spain — 3.2%
ACS Actividades de Construccion y Servicios SA		11,628		545,016
Abertis Infraestructuras SA		24,189		436,695
Acciona SA		2,167		153,817
Acerinox SA		7,858		138,341
Amadeus IT Holding SA, Class A (a)		16,481		346,353
Banco Bilbao Vizcaya Argentaria SA		350,714		3,574,224
Banco de Sabadell SA		84,681		333,821
Banco de Valencia SA		16,986		74,660
Banco Popular Espanol SA		72,772		375,238
Banco Santander SA		673,324		7,174,823
Bankinter SA		24,950		138,886
Corp. Mapfre SA		62,698		174,780
Criteria Caixacorp. SA		68,975		368,395
Enagas		14,444		288,886
Ferrovial SA		35,567		355,190
Fomento de Construcciones y Contratas SA		4,167		109,741
Gas Natural SDG SA		26,398		406,660
Gestevision Telecinco SA		10,971		120,849
Grifols SA		11,816		161,501
Iberdrola Renovables		69,262		246,156
Iberdrola SA		330,654		2,563,763
Iberia Lineas Aereas de Espana (a)		38,994	$	167,321
Inditex SA		17,993		1,346,840
Indra Sistemas SA		7,647		131,072
Red Electrica de Espana		8,893		419,231
Repsol YPF SA		59,938		1,678,481
Telefonica SA		336,104		7,673,269
Zardoya Otis SA		11,840		167,001

				29,671,010

Sweden — 3.2%
Alfa Laval AB		27,893		588,905
Assa Abloy AB, Series B		25,592		721,917
Atlas Copco AB, Class A		54,951		1,387,154
Atlas Copco AB, Class B		32,080		726,204
Boliden AB		22,397		456,314
CDON Group AB (a)		4,108		18,996
Electrolux AB		19,478		552,742
Getinge AB, Class B		16,450		344,375
Hennes & Mauritz AB, B Shares		83,777		2,790,198
Hexagon AB		21,252		456,432
Holmen AB, Class B		4,661		153,437
Husqvarna AB		33,227		277,640
Industrivarden AB		9,633		169,006
Investor AB		37,325		798,689
Kinnevik Investment AB		17,606		358,550
Millicom International Cellular SA — ADR		6,219		596,936
Modern Times Group AB		4,108		272,162
Nordea Bank AB		265,000		2,881,304
Ratos AB		8,157		301,584
SKB AB		31,930		911,177
SSAB AB, Series A		14,628		246,542
Sandvik AB		82,522		1,610,166
Scania AB		26,383		607,312
Securitas AB		25,233		295,478
Skandinaviska Enskilda Banken AB, Class A		116,620		973,687
Skanska AB, Class B		32,777		649,795
Svenska Cellulosa AB		46,921		740,829
Svenska Handelsbanken, Class A		40,158		1,283,671
Swedbank AB, A Shares (a)		58,427		817,003
Swedish Match AB		18,902		547,747
Tele2 AB		25,727		533,773
Telefonaktiebolaget LM Ericsson		246,614		2,857,965
TeliaSonera AB		183,716		1,458,457
Volvo AB, B Shares (a)		112,778		1,986,674

				29,372,821

Switzerland — 7.9%
ABB Ltd.		179,305		4,003,505
Actelion Ltd. (a)		8,296		454,284
Adecco SA, Registered Shares		10,018		656,974
Aryzta AG		7,164		330,924
Baloise Holding AG		4,101		398,927
Compagnie Financiéré Richemont SA		42,713		2,511,688
Crédit Suisse Group AG		92,456		3,723,660
GAM Holdings Ltd. (a)		16,634		274,955
Geberit AG		3,178		734,825
Givaudan SA		674		727,586

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010



Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Switzerland (concluded)
Holcim Ltd.		20,073	$	1,518,973
Julius Baer Group Ltd.		17,001		796,039
Kuehne & Nagel International AG		4,421		615,088
Lindt & Spruengli AG		72		217,350
Lindt & Spruengli AG ‘R’		9		289,648
Logitech International SA (a)		15,054		286,251
Lonza Group AG, Registered Shares		3,676		294,650
Nestle SA, Registered Shares		283,524		16,609,877
Novartis AG, Registered Shares		172,659		10,163,677
Pargesa Holding SA		2,175		184,481
Roche Holding AG		57,487		8,427,183
SGS SA		448		751,910
Schindler Holding AG		4,002		473,419
Schindler Holding AG, Registered Shares		1,762		210,895
Sika AG		166		364,409
Sonova Holding AG		3,721		479,661
Straumann Holding AG, Registered Shares		656		150,227
The Swatch Group Ltd., Bearer Shares		2,524		1,125,377
The Swatch Group Ltd., Registered Shares		3,649		294,433
Swiss Life Holding		2,475		356,976
Swiss Reinsurance Co., Registered Shares		28,816		1,545,887
Swisscom AG		1,905		837,412
Syngenta AG		7,731		2,266,218
Synthes, Inc.		4,823		650,995
Transocean Ltd. (a)		26,179		1,803,439
UBS AG (a)		297,783		4,889,198
Zurich Financial Services AG		11,917		3,086,106

				72,507,107

United Kingdom — 21.0%
3i Group Plc		79,229		407,023
ARM Holdings Plc		109,009		744,009
Admiral Group Plc		16,401		387,923
Aggreko Plc		21,377		494,653
Amec Plc		27,184		488,875
Anglo American Plc		107,948		5,647,034
Antofagasta Plc		31,934		808,026
Associated British Foods Plc		29,225		539,535
AstraZeneca Plc		117,271		5,344,552
Autonomy Corp. Plc (a)		17,668		415,660
Aviva Plc		231,255		1,421,489
BAE Systems Plc		278,825		1,436,167
BG Group Plc		276,736		5,613,647
BHP Billiton Plc		180,589		7,265,398
BP Plc		1,537,565		11,333,288
BT Group Plc		634,926		1,803,318
Babcock International Group Plc		30,277		269,812
Balfour Beatty Plc		55,595		271,850
Barclays Plc		936,461		3,870,282
British Airways Plc (a)		48,900		208,437
British American Tobacco Plc		163,386		6,284,800
British Land Co. Plc		71,159		584,106
British Sky Broadcasting Plc		93,199		1,069,449
Bunzl Plc		26,664		299,392
Burberry Group Plc		35,919		631,273
Cable & Wireless Worldwide		209,855		214,959
Cairn Energy Plc (a)		114,919		754,457
Capita Group Plc		50,969		554,314
Capital Shopping Centers Group Plc		38,691		252,365
Carnival Plc		14,373		668,522
Centrica Plc		420,626		2,179,388
Cobham Plc		93,617		297,675
Compass Group Plc		155,384		1,410,251
Diageo Plc		205,017		3,798,555
Essar Energy Plc (a)		26,663		242,008
Experian Group Ltd.		84,087		1,047,319
Firstgroup Plc		39,467		245,562
Fresnillo Plc		14,480		378,904
G4S Plc		115,198		456,989
GlaxoSmithKline Plc		424,901		8,240,024
HSBC Holdings Plc		1,440,801		14,725,149
Hammerson Plc		57,667		375,807
Home Retail Group		71,142		210,228
ICAP Plc		45,159		377,598
ITV Plc (a)		296,490		325,098
Imperial Tobacco Group Plc		83,375		2,562,914
Inmarsat Plc		35,635		374,774
Intercontinental Hotels Group Plc		24,198		472,681
International Power Plc		125,206		857,459
Intertek Group Plc		13,369		369,647
Invensys Plc		65,422		361,571
Investec Plc		38,518		317,322
J Sainsbury Plc		99,485		584,460
Johnson Matthey Plc		17,633		561,785
Kazakhmys Plc		17,543		445,319
Kingfisher Plc		193,160		795,764
Land Securities Group Plc		62,184		655,948
Legal & General Group Plc		482,689		731,051
Lloyds TSB Group Plc (a)		3,351,766		3,460,026
London Stock Exchange Group Plc		12,623		165,501
Lonmin Plc		13,242		407,619
Man Group Plc		145,808		676,095
Marks & Spencer Group Plc		129,556		747,083
National Grid Plc		286,041		2,472,320
Next Plc		15,002		463,333
Old Mutual Plc		446,307		859,456
Pearson Plc		66,529		1,048,438
Petrofac Ltd.		21,216		527,153
Prudential Plc		207,771		2,170,623
Rangold Resources Ltd.		7,336		604,943
Reckitt Benckiser Plc		50,475		2,776,867
Reed Elsevier Plc		99,546		840,864
Resolution Ltd.		117,583		430,191
Rexam Plc		71,587		371,777
Rio Tinto Plc, Registered Shares		118,619		8,455,322
Rolls-Royce Group Plc		151,718		1,478,223
Rolls-Royce Group Plc (a)		9,817,536		15,306
Royal & Sun Alliance Insurance Group		280,584		548,546
Royal Bank of Scotland Group Plc (a)		1,428,612		877,333
Royal Dutch Shell Plc		290,124		9,686,771
Royal Dutch Shell Plc, Class B		220,585		7,304,569
SABMiller Plc		77,733		2,738,462

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010



Schedule of Investments (continued)		Master International Index Series (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

United Kingdom (concluded)
Sage Group Plc		107,732	$	460,172
Schroders Plc		9,304		269,801
Scottish & Southern Energy Plc		75,535		1,442,884
Sego Plc		59,362		265,805
Serco Group Plc		40,080		347,934
Severn Trent Plc		19,368		447,783
Shire Ltd.		45,931		1,107,493
Smith & Nephew Plc		72,092		761,208
Smiths Group Plc		32,111		624,226
Standard Chartered Plc		190,865		5,152,512
Standard Life Plc		185,169		625,382
TUI Travel Plc		47,505		183,070
Tesco Plc		656,748		4,354,907
Thomas Cook Group Plc		68,661		203,245
Tullow Oil Plc		72,763		1,436,886
Unilever Plc		105,193		3,231,120
United Utilities Group Plc		55,994		518,038
Vedanta Resources Plc		9,950		392,542
Vodafone Group Plc		4,316,073		11,330,291
The Weir Group Plc		17,245		479,112
WPP Plc		102,548		1,267,756
Whitbread Plc		14,314		400,534
William Morrison Supermarkets Plc		173,666		725,584
Wolseley Plc (a)		23,393		748,859
Xstrata Plc		168,709		3,997,754

				193,387,584

Total Common Stocks — 98.0%				904,244,525

Total Long-Term Investments
(Cost — $815,717,744) — 98.0%				904,244,525


Short-Term Securities

BlackRock Liquidity Funds,TempCash, Institutional Class,0.18% (b)(c)		2,576,868		2,576,868

Total Short-Term Securities
(Cost — $2,576,868) — 0.3%				2,576,868

*Total Investments (Cost — $818,294,612) — 98.3%**				906,821,393
Other Assets Less Liabilities — 1.7%				15,878,962

Net Assets — 100.0%			$	922,700,355


*		The cost and unrealized appreciation (depreciation) of investments as of December 31, 2010, as computed for federal income tax purposes, were as follows:


Aggregate cost	$	858,176,885

Gross unrealized appreciation.	$	145,966,648
Gross unrealized depreciation.		(97,322,140	)

Net unrealized appreciation	$	48,644,508

(a)		Non-income producing security.

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

Shares

Held at

December 31,

Net

December 31,

Affiliate

2009

Activity

2010

Income

BlackRock Liquidity Funds, TempCash, Institutional Class

6,620,218

(4,043,350

)

2,576,868

6,442

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

•		Financial futures contracts purchased as of December 31,2010 were as follows:


						Unrealized
				Notional		Appreciation
Contracts	Issue	Exchange	Expiration	Value		(Depreciation)
95	DJ Euro
	Stoxx 50	Eurex	March 2011	$	3,617,151	$	(70,186	)
10	Emini	Chicago
	MSCI EAFE	Mercantile	March 2011	$	816,785		13,715
35	FTSE 100 Index	LIFFE	March 2011	$	3,182,925		32,775
11	SPI 200 Index	Sydney	March 2011	$	1,342,541		(12,136	)
25	TOPIXIndex	Tokyo	March 2011	$	2,718,205		40,764

Total						$	4,932

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows:

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

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

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

The inputs or methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Schedule of Investments (concluded)		Master International Index Series

The following tables summarize the inputs used as of December 31,2010 in determining the fair valuation of the Series’ investments and derivatives:


Valuation Inputs	Level 1		Level 2		Level 3		Total

Assets:
Investments in Securities:
Long-Term Investments:
Common Stocks:
Australia	$	1,783,333	$	77,270,285		—	$	79,053,618
Austria		—		3,021,486		—		3,021,486
Belgium		130		8,214,522		—		8,214,652
Bermuda		—		773,346		—		773,346
China		—		125,168		—		125,168
Denmark		—		9,016,334		—		9,016,334
Finland		—		10,030,487		—		10,030,487
France		293,447		81,951,699		—		82,245,146
Germany		1,028,527		73,310,494		—		74,339,021
Greece		—		2,235,607		—		2,235,607
Hong Kong		2,515,386		23,088,299		—		25,603,685
Ireland		384,729		1,955,763		—		2,340,492
Israel		—		7,168,397		—		7,168,397
Italy		260,063		22,304,119		—		22,564,182
Japan		504,988		198,757,874		—		199,262,862
Kazakhstan		—		344,740		—		344,740
Luxembourg		—		4,199,816		—		4,199,816
Netherlands		—		23,156,736		—		23,156,736
New Zealand		—		952,548		—		952,548
Norway		41,027		6,790,488		—		6,831,515
Portugal		—		2,263,716		—		2,263,716
Singapore		218,802		15,343,647		—		15,562,449
Spain		545,016		29,125,994		—		29,671,010
Sweden		18,996		29,353,825		—		29,372,821
Switzerland		454,284		72,052,823		—		72,507,107
United Kingdom		1,284,408		192,103,176		—		193,387,584
Short-Term Securities		2,576,868		—		—		2,576,868

Total	$	11,910,004	$	894,911,389		—	$	906,821,393


	Derivative Financial Instruments¹
Valuation Inputs	Level 1			Level 2		Level 3		Total

Assets:
Equity contracts	$	87,254			—		—	$	87,254
Liabilities:
Equity contracts		(82,322	)		—		—		(82,322	)

Total	$	4,932			—		—	$	4,932


¹		Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


Common Stocks
Assets:
Balance, as of December 31,2009	$	15
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation²		—
Purchases		—
Sales		—
Transfers in³		—
Transfers out³		(15	)

Balance, as of December 31,2010	$	—


²		The change in unrealized appreciation/depreciation securities still held on December 31,2010 was $0.

³		The Series’ policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.



See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Statements of Changes in Net Assets		Master International Index Series


	Year Ended
	December 31,
Increase (Decrease) in Net Assets:	2010			2009

Operations
Net investment income	$	21,715,802		$	22,305,320
Net realized gain (loss)		(21,606,488	)		520,540
Net change in unrealized appreciation/depreciation		84,313,481			184,128,794

Net increase in net assets resulting from operations		84,422,795			206,954,654


Capital Transactions
Proceeds from contributions		325,133,239			359,210,927
Value of withdrawals		(236,135,595	)		(523,005,063	)

Net increase (decrease) in net assets derived from capital transactions		88,997,644			(163,794,136	)


Net Assets
Total increase in net assets		173,420,439			43,160,518
Beginning of year		749,279,916			706,119,398

End of year	$	922,700,355		$	749,279,916



Financial Highlights		Master International Index Series


	Year Ended December 31,
	2010			2009			2008			2007			2006

Total Investment Return
Total investment return		7.66	%		28.99	%		(41.94	)%		10.80	%			26.61	%


Ratios to Average Net Assets
Total expenses		0.11	%		0.09	%		0.11	%		0.10	%			0.11	%

Total expenses after fees waived and paid indirectly		0.10	%		0.09	%		0.10	%		0.09	%			0.10	%

Net investment income		2.73	%		2.98	%		3.54	%		2.86	%			2.70	%


Supplemental Data
Net assets, end of year (000)	$	922,700		$	749,280		$	706,119		$	1,143,172			$	829,986

Portfolio turnover		8	%		30	%		30	%		30	%			23	%



See Notes to Financial Statements.

MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements		Master International Index Series

1. Organization and Significant Accounting Policies:

Master International Index Series (the “Series”), a non-diversified open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”).The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors (the “Board”) to issue non-transferable interests, subject to certain limitations.The Series’financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosure in the financial statements.Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: The Series fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”).When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant.The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Series’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair values, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board. Each business day, the Series uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

Foreign Currency Transactions: The Series’ books and records are maintained in US dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the date the transactions are entered into. Generally, when the US dollar rises in value against a foreign currency, the Series’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Series reports foreign currency related transactions as components of realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either delivers collateral or segregates assets in connection with certain investments (e.g., financial futures contracts and foreign currency exchange contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (continued)		Master International Index Series

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series has determined the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest.

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31,2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statement of Opera-tions. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Series’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Series may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement implemented between the Series and each of its respective counterparties. The ISDA Master Agreement allows the Series to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Series from its counterparties are not fully collateralized contractually or otherwise, the Series bears the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Series manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Series’ net assets decline by a stated percentage or the Series fails to meet the terms of its ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the values of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures transactions involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (continued)		Master International Index Series

Foreign Currency Exchange Contracts: The Series enters into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Series, help to manage the overall exposure to the currency backing some of the investments held by the Series.The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss.When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed.The use of foreign currency exchange contracts involves the risk that the value of a foreign currency contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform it obligations under the agreement.

Derivative Instruments Categorized by Risk Exposure:

Fair Values of Derivative Instruments as of December 31,2010

Asset Derivatives

Liability Derivatives

Statement of

Assets and

Liabilities

Location

Value

Location

Value

Equity contracts

Net unrealized

appreciation/

depreciation*

87,254

depreciation*

82,322


*		Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Instruments on the Statement of Operations
Year Ended December 31, 2010


	Net Realized Gain (Loss) from
	Financial			Foreign
	Futures			Currency
	Contracts			Transactions

Foreign currency exchange contracts		—		$	258,055
Equity contracts	$	(1,497,079	)		—


	Net Change in Unrealized
	Appreciation/Depreciation on
	Financial			Foreign
	Futures			Currency
	Contracts			Transactions

Foreign currency exchange contracts		—		$	147,613
Equity contracts	$	(501,842	)		—

For the year ended December 31,2010, the average quarterly balances of outstanding derivative financial instruments were as follows:


Financial futures contracts:
Average number of contracts purchased		225
Average notional value of contracts purchased	$	13,412,825
Foreign currency exchange contracts:
Average number of contracts — US dollars purchased		2
Average number of contracts — US dollars sold		2
Average US dollar amounts purchased	$	348,679
Average US dollar amounts sold	$	181,414

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the average daily value of the Series’ net assets.

The Manager entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series excluding interest expense, dividend expense, acquired fund fees and expenses and certain other Series’ expenses will not exceed 0.12% of the average daily value of the Series’ net assets.The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1,2012 unless approved by the Board, including a majority of non-interested Directors. For the year ended December 31,2010, the Series waived $46,646, which is included in fees waived by advisor in the Statement of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds, however, the Manager does not waive its advisory fees by the amount of investment advisory fees paid through its investment in other affiliated investment companies, if any. For the year ended December 31,2010, the Series waived $3,020, which is included in fees waived by advisor in the Statement of Operations.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Notes to Financial Statements (concluded)		Master International Index Series

For the year ended December 31, 2010, the Series reimbursed the Manager $14,269 for certain accounting services, which are included in accounting services in the Statement of Operations.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments, excluding short-term securities for the year ended December 31, 2010, were $175,951,778 and $57,569,320, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2010.The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount, which was allocated to the Series based on its net assets as of October 31, 2009, a commitment fee of 0.10% per annum based on the Series’ pro rata share of the unused portion of the credit agreement, and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010.The Series did not borrow under the credit agreement during the year ended December 31, 2010.

6. Concentration, Market and Credit Risk:

In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk).The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments.The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties.The extent of the Series’exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’Statement of Assets and Liabilities, less any collateral held by the Series.

The Series invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Series concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Please see the Schedule of Investments for concentrations in specific countries.

As of December 31, 2010, the Series had the following industry classifications:


	Percent of
	Long-Term
Industry	Investments
Commercial Banks		13	%
Oil, Gas & Consumable Fuels		7
Pharmaceuticals		7
Metals & Mining		6
Other*		67


*		All other industries held were each less than 5% of long-term investments.

7. Subsequent Events:



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010


Report of Independent Registered Public Accounting Firm		Master International Index Series

To the Investors and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master International Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures.We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche llp
Princeton, New Jersey
February 25, 2011



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010

100


Officers and Directors		Master International Index Series


				Number of BlackRock-
				Advised Registered
		Length		Investment Companies
	Position(s)	of Time		(“RICs”) Consisting of
Name, Address	Held with	Served as		Investment Portfolios	Public
and Year of Birth	Master LLC	a Director²	Principal Occupation(s) During Past Five Years	("Portfolios") Overseen	Directorships
Non-Interested Directors¹

Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chair of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	36 RICs consisting of 95 Portfolios	None

Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chair of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director,The Committee of Seventy (civic) since 2006.	36 RICs consisting of 95 Portfolios	None

David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman,Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	36 RICs consisting of 95 Portfolios	None

Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	36 RICs consisting of 95 Portfolios	NSTAR (electric and gas utility)

Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director and Member of the Audit Committee	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005.	36 RICs consisting of 95 Portfolios	AIMS Worldwide, Inc. (marketing)

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005.	36 RICs consisting of 95 Portfolios	Newell Rubbermaid, Inc. (manufacturing)

Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director,The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner,Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	36 RICs consisting of 95 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit)

Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	36 RICs consisting of 95 Portfolios	None

Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	36 RICs consisting of 95 Portfolios	A.P. Pharma, Inc. (specialty pharmaceuticals)



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010

101


Officers and Directors (continued)		Master International Index Series


				Number of BlackRock-
				Advised Registered
		Length		Investment Companies
	Position(s)	of Time		(“RICs”) Consisting of
Name, Address	Held with	Served as		Investment Portfolios	Public
and Year of Birth	Master LLC	a Director²	Principal Occupation(s) During Past Five Years	(“Portfolios”) Overseen	Directorships
Non-Interested Directors¹ (concluded)

Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Chair of the Audit Committee and Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	36 RICs consisting of 95 Portfolios	None

Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director and Member of the Audit Committee	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director,Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	36 RICs consisting of 95Portfolios	None


¹		Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31,2013.

²		Date shown is the earliest date a person has served as a director for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new Fund boards in 2007.As a result, although the chart shows directors as joining the Master LLC Board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.


Interested Directors³

Richard S. Davis 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005.	169 RICs consisting of 289 Portfolios	None

Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	169 RICs consisting of 289 Portfolios	None


³		Mr. Davis is an “interested person” as defined in the Investment Company Act of 1940, of the Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010

102


Officers and Directors (concluded)		Master International Index Series


Name, Address	Position(s)	Length of Time
and Year of Birth	Held with Master LLC	Served	Principal Occupation(s) During Past Five Years
Officers¹

John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009.

Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.

Brian Schmidt 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003.

Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005.

Ira Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.


¹		Officers of the Master LLC serve at the pleasure of the Board of Directors.

		Further information about the Master LLC’s Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.


Investment Advisor	Sub-Advisor	Custodian	Accounting Agent	Independent Registered	Legal Counsel
BlackRock Advisors, LLC	BlackRock Investment	JPMorgan Chase Bank, N.A.	State Street Bank and	Public Accounting Firm	Sidley Austin LLP
Wilmington, DE 19809	Management, LLC	Brooklyn,NY 11245	Trust Company	Deloitte & Touche LLP	New York,NY
	Plainsboro, NJ 08536		Princeton, NJ 08540	Princeton, NJ 08540	10019

Effective September 24,2010, John M. Perlowski
became President and Chief Executive Officer
of the Master LLC.

Effective November 16,2010, Ira Shapiro became Secretary of the Master
LLC.



MASTER INTERNATIONAL INDEX SERIES		DECEMBER 31, 2010

103

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Institutional and Investor Classes		American Beacon Funds
Call (800) 658-5811		P.O. Box 219643 Kansas City, MO 64121


Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, each Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.		Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:


Custodian State Street Bank and Trust Boston, Massachusetts	Transfer Agent Boston Financial Data Services Kansas City, Missouri	Independent Registered Public Accounting Firm Ernst & Young LLP Dallas, Texas	Distributor Foreside Fund Services, LLC Portland, Maine

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.

AR 12/10

About American Beacon Advisors

Contents


Message from American Beacon		1
Market and Performance Overview		2
Schedule of Investments		7
Additional Information	Back Cover

There is no guarantee that the investment objectives will be met of the American Beacon Global Real Estate Fund. Investing in a global fund concentrating in real estate securities involves special risks, such as declines in the value of real estate as well as increased susceptibility to adverse economic, political, or regulatory developments affecting the industry. Investing in one economic sector, such as real estate, may result in greater price fluctuations than owning a portfolio of diversified investments. Changes in interest rates may also affect the value of the Fund’s investments in real estate securities. The real estate industry tends to be cyclical and therefore such cycles may adversely affect the value of the Fund’s portfolio. The Fund may invest in smaller and mid-size companies. Certain real estate securities have a relatively small market capitalization, which may tend to increase the volatility of the market price of their securities. Investing in the securities of small and mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards. The risks of investing in foreign equities are heightened when investing in emerging markets. By itself, the Fund does not constitute a complete investment plan and should be considered a long term investment for investors who can afford to weather changes in the value of their investments. Some of the Fund’s investments may be considered speculative and are not appropriate for individuals who require safety of principal or stable income from their investments.



American Beacon Funds		December 31, 2010

Fellow Shareholders,

The market conditions we have experienced over the last 12 months were not without challenges, but they also confirmed our belief that investments managed with patience and a disciplined investment process can still provide favorable results over varied market cycles.

For the 12 months ended December 31, 2010, the American Beacon Global Real Estate Fund (Y Class) returned 17.60%. Please note that the recent growth rate in the stock market has helped to produce short-term increases that are not typical and may not continue in the future.


	Sincerely,

	Gene L. Needles, Jr.
	President American Beacon Funds

Market Overview
December 31, 2010 (Unaudited)

Global real estate investment trusts (“REITS”) staged another strong year of absolute returns, thanks to improving economic and real estate markets.

The outlook had appeared less positive in the summer of 2010, during our last report. At the time, the risk of an economic double-dip seemed plausible, especially given the stagnant economic conditions in the U.S. The aggressive monetary policy moves by the U.S. Federal Reserve along with those of other central banks around the world appeared to have worked in reigniting the global economic recovery.

Real estate transaction activity accelerated in the third and fourth quarters of 2010 as confidence in the economic recovery began to take hold and debt capital markets continued to reopen to borrowers. Global REITs were at the forefront of this debt market activity. They took advantage of their access to attractively priced capital to acquire assets at a spread to their cost of capital.

Despite the generally cheery year-end results, 2010 was not without its bumps. A series of negative shocks and headlines led to volatile and divergent performance among the major regions. The primary factors were:

Negative Global Factors:

	•		Rising house prices in Asia and S.E. Asia, most notably China, Hong Kong and Singapore, led to restrictive government policy and rising interest rates.

	•		Sovereign debt issues continued to weigh on the peripheral countries in Europe, although perhaps to the benefit of the core Eurozone countries (namely Germany and France).

	•		Inflationary pressures in emerging markets presented a destabilizing offset to their anticipated growth potential.

	•		Weak labor markets in most developed markets persisted as the gains in the economy appeared to be benefitting larger corporations versus smaller businesses.

Positive Global Factors:

	•		Stimulus efforts in Europe, the U.S. and Japan seemed to have had a positive impact on the near-term economic outlook.

	•		Persistent low interest rates in the developed economies pushed investors towards real assets that offered an attractive income return, namely real estate.

	•		Earnings results from property companies continued to surprise on the upside, leading to higher expectations of growth.

	•		REIT dividend growth resumed in 2010.

	•		REITs retained significant access to capital, which offered a distinct advantage relative to the private market.

Performance Overview
American Beacon Global Real Estate Fund^SM
December 31, 2010 (Unaudited)

The Y Class of the Global Real Estate Fund returned 17.60% for the twelve months ended December 31, 2010. The Fund underperformed the FTSE EPRA/NAREIT Developed Index (“Index”) return of 20.41% and the Lipper Global Real Estate Funds Index return of 18.33% for the period.

Comparison of Change in Value
of a $10,000 Investment
For the Period from 10/26/07 through 12/31/10


	Annualized Total Returns
	Periods Ended 12/31/10									Value of
							Since Inception			$10,000
	1 Year			3 Years			10/26/07			10/26/07-12/31/10
Institutional Class (1,2,6)		17.43	%		-4.14	%		-7.94	%	$	7,686
Y Class(1,6,7)		17.60	%		-4.10	%		-7.90	%		7,697
Investor Class(1,6,7)		17.33	%		-4.38	%		-8.17	%		7,626
A Class excluding sales charge (1,3,6)		17.33	%		-4.38	%		-8.17	%		7,626
A Class with sales charge (1,3,6)		10.65	%		-6.26	%		-9.86	%		7,188
C Class excluding sales charge (1,4,6)		16.98	%		-4.47	%		-8.25	%		7,603
C Class with sales charge (1,4,6)		15.98	%		-4.47	%		-8.25	%		7,603
FTSE EPRA/NAREIT Developed Index (5)		20.41	%		-4.53	%		-7.64	%		6,758
Lipper Global Real Estate Index(5)		18.33	%		-4.08	%		-8.04	%		6,910


*		Not annualized

1.		Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Please note that the recent growth rate in the stock market helped to produce short-term returns that are not typical and may not continue in the future.

2.		Fund performance represents the total returns achieved by the Y Class up to 9/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than that of the Y Class. As a result, returns shown may be lower than they would have been had the Institutional Class been in existence since 10/26/07.

3.		Fund performance represents the total returns achieved by the Investor Class up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since inception. A Class has a maximum sales charge of 5.75%.

4.		Fund performance represents the total returns achieved by the Investor Class up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since inception. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase.

5.		The FTSE EPRA/NAREIT Developed Index is a market-capitalization weighted index of approximately 330 stocks designed to track listed real estate companies in North America, Europe and Asia-Pacific that meet the size, liquidity and revenue minimums of the index. The Lipper Global Real Estate Index tracks the results of the 10 largest mutual funds in the Lipper Global Real Estate category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index.

6.		The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.17%, 1.27%, 1.55%, 1.67%, and 2.42%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

7.		A portion of the fees charged to the Y and Investor Classes of the Fund were waived from their inception to March 1, 2010. Performance prior to waiving fees was lower than the actual returns shown.

The Fund underperformed the Index by 2.81% over the twelve-month period due to stock selection and country/regional allocation.

From a country/regional perspective, overweighting the United Kingdom (up 1.7%) and Singapore (up 13.5%) led to the Fund’s relative underperformance in the period, despite value added from underweighting Continental Europe (up

Performance Overview
American Beacon Global Real Estate Fund^SM
December 31, 2010 (Unaudited)

14.0%) and Hong Kong/China (up 12.2%). Security selections in Hong Kong/China (Henderson Land Development Co. Ltd. — down 7.7%, China Resources Land Ltd. — down 18.3%), the United States (Coresite Realty Corp. — down 16.0%, Pebblebrook Hotel Trust — down 14.9% for the period the Fund owned the security) and Singapore (Global Logistic Properties Ltd. — down 5.9%, Yanlord Land Group Ltd. — down 14.3%) detracted for the period, but selections in Japan (Kenedix — up 82.4%, NTT Urban Development Corp. — up 51.5%) benefited the Fund’s relative performance for the year.

The Fund is designed with a total return perspective. It is expected to provide ongoing income through the payment of dividends while seeking to generate long-term capital appreciation through the underlying properties held.

Top Ten Holdings


	% of
	Net Assets
Sun Hung Kai Properties Ltd.		4.7	%
Simon Property Group, Inc.		3.9	%
Westfield Group		3.8	%
Mitsubishi Estate Co. Ltd.		3.8	%
Vornado Realty Trust		3.4	%
Stockland		3.2	%
Global Logistic Properties Ltd.		3.0	%
CapitaLand Ltd.		2.7	%
Digital Realty Trust, Inc.		2.5	%
British Land Co. Plc		2.5	%

Regional Allocation


Asia	43.3	%
North America	40.6	%
Europe	14.9	%
South America	1.2	%

Fund Expenses
American Beacon Global Real Estate Fund^SM
December 31, 2010 (Unaudited)

Fund Expense Example

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Beginning				Expenses Paid
	Account Value		Ending Account		During Period*
	7/1/10		Value 12/31/10		7/1/10-12/31/10
Institutional Class
Actual	$	1,000.00	$	1,097.45	$	4.07
Hypothetical **	$	1,000.00	$	1,019.31	$	5.96
Y Class
Actual	$	1,000.00	$	1,244.95	$	6.51
Hypothetical **	$	1,000.00	$	1,019.41	$	5.85
Investor Class
Actual	$	1,000.00	$	1,244.32	$	7.98
Hypothetical **	$	1,000.00	$	1,018.10	$	7.17
A Class
Actual	$	1,000.00	$	1,244.39	$	8.77
Hypothetical **	$	1,000.00	$	1,017.39	$	7.88
C Class
Actual	$	1,000.00	$	1,094.77	$	7.85
Hypothetical **	$	1,000.00	$	1,009.17	$	7.58


*		Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.17%, 1.15%, 1.41%, 1.55% and 2.26% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half year period except for Institutional and C Classes. Beginning account value for Institutional and C Classes is the inception date of 9/1/10 and the days in the period were 122.

**		5% return before expenses.

American Beacon Global Real Estate Fund
Report of Independent Registered Public Accounting Firm

To the Shareholders of and the Board of Trustees of American Beacon Global Real Estate Fund:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the American Beacon Global Real Estate Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2010, and the related statement of operations, statement of changes in net assets, and financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009, and the financial highlights for each of the three years in the period then ended were audited by other auditors whose report dated February 25, 2010, expressed an unqualified opinion on those statements and financial highlights.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Global Real Estate Fund at December 31, 2010, and the results of its operations, the changes in its net assets, and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas
March 1, 2011

American Beacon Global Real Estate Fund

Schedule of Investments
December 31, 2010


	Shares		Value
			($000)
AUSTRALIA — 10.86%
COMMON STOCKS — 10.86% (Cost $1,685)
Dexus Property Group^A		308,583		251
ING Office Fund		458,316		260
Stockland^A		171,827		633
Westfield Group^A		78,356		768
Westfield Retail Trust^{A B}		95,156		250

Total Australia				2,162

AUSTRIA — 0.52%
COMMON STOCKS — 0.52% (Cost $94)
Atrium European Real Estate Ltd.		17,892		104


BRAZIL — 1.20%
COMMON STOCKS — 1.20% (Cost $227)
Gafisa S.A., ADR^C		16,407		238


CANADA — 3.93%
COMMON STOCKS — 3.93% (Cost $596)
Allied Properties Real Estate Investment Trust^A		5,666		123
Boardwalk Real Estate Investment Trust^A		2,744		114
Brookfield Properties Corp.		14,970		262
First Capital Realty, Inc.		5,173		79
RioCan Real Estate Investment Trust^D		2,000		44
RioCan Real Estate Investment Trust^A		7,302		161


Total Canada				783

FRANCE — 5.10%
COMMON STOCKS — 5.10% (Cost $907)
Icade^A		2,900		296
Klepierre^A		6,332		228
Unibail-Rodamco^A		2,478		490

Total France				1,014

GERMANY — 0.59%
COMMON STOCKS — 0.59% (Cost $99)
Alstria Office REIT-AG^A		8,377		118


HONG KONG/CHINA — 12.74%
COMMON STOCKS — 12.74% (Cost $1,715)
China Resources Land Ltd.		105,503		192
Hang Lung Properties Ltd.		79,132		368
Henderson Land Development Co. Ltd.		13,748		94
Kerry Properties Ltd.		72,000		373
Longfor Properties Co. Ltd.		131,690		183
Poly Hong Kong Investments Ltd.		116,000		114
Sun Hung Kai Properties Ltd.		56,641		936
The Link REIT^A		88,714		276

Total Hong Kong/China				2,536

JAPAN — 8.03%
COMMON STOCKS — 8.03% (Cost $1,438)
Frontier Real Estate Investment Corp.^A		18		172
Japan Prime Realty Investment Corp.^A		66		203
Mitsubishi Estate Co. Ltd.		40,698		755
Mori Trust Sogo REIT, Inc.^A		20		196
NTT Urban Development Corp.		276		272

Total Japan				1,598

NETHERLANDS — 0.96%
COMMON STOCKS — 0.96% (Cost $170)
Eurocommercial Properties NV^A		4,153		191


NORWAY — 0.97%
COMMON STOCKS — 0.97% (Cost $214)
Norwegian Property ASA^B		109,270		194


SINGAPORE — 10.84%
COMMON STOCKS — 10.84% (Cost $1,584)
Allgreen Properties Ltd.		129,095		119
CapitaCommercial Trust^A		141,372		165
CapitaLand Ltd.		188,161		544
CapitaMall Trust^A		197,726		300
Global Logistic Properties Ltd.^B		352,226		593
Overseas Union Enterprise Ltd.		54,000		138
Suntec Real Estate Investment Trust^A		117,000		137
Yanlord Land Group Ltd.		122,895		161

Total Singapore				2,157

UNITED KINGDOM — 6.46%
COMMON STOCKS — 6.46% (Cost $888)
Big Yellow Group Plc^A		23,253		127
British Land Co. Plc^A		61,505		504
Derwent London plc^A		9,226		224
Great Portland Estates Plc^A		29,140		164
Helical Bar Plc		29,957		133
St. Modwen Properties plc		52,074		134

Total United Kingdom				1,286

UNITED STATES — 35.85%
COMMON STOCKS — 35.85% (Cost $5,010)
Alexandria Real Estate Equities, Inc.^A		4,688		343
American Campus Communities, Inc.^A		10,416		331
AvalonBay Communities, Inc.		3,996		449
Brookdale Senior Living, Inc.^B		10,298		221
Coresite Realty Corp.^A		9,165		125
Corporate Office Properties Trust^A		7,661		268
DiamondRock Hospitality Co.^A		18,899		227
Digital Realty Trust, Inc.^A		9,814		506
Douglas Emmett, Inc.^A		14,443		240
Duke Realty Corp.^A		22,265		277
Equity One, Inc.^A		7,568		138
Federal Realty Investment Trust^A		3,830		298
General Growth Properties, Inc.^A		11,290		175
Health Care REIT, Inc.^A		7,597		362
Hersha Hospitality Trust^A		27,728		183
Hyatt Hotels Corp.^B		3,186		146
Kite Realty Group Trust^A		23,776		129
Marriott International, Inc.		3,257		135
ProLogis^A		20,709		299
Public Storage, Inc.^A		4,855		492
Simon Property Group, Inc.^A		7,845		781
UDR, Inc.^A		14,240		335
Vornado Realty Trust^A		8,134		678

Total United States				7,138


SHORT-TERM INVESTMENTS — 0.90% (Cost $178)
JPMorgan U.S. Government Money Market Fund		178,167		178

See accompanying notes

American Beacon Global Real Estate Fund
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)


Assets:
Investments in securities, at value ^A	$	19,697
Foreign currency, at value ^B		9
Deposit with brokers for futures contracts		12
Receivable for investments sold		134
Dividends and interest receivable		65
Receivable for fund shares sold		22
Receivable for tax reclaims		4
Receivable for expense reimbursement (Note 2)		28
Prepaid expenses		50

Total assets		20,021

Liabilities:
Payable for fund shares redeemed		58
Management and investment advisory fees payable (Note 2)		35
Administrative service and service fees payable (Note 2)		8
Professional fees payable		4
Other liabilities		9

Total liabilities		114

Net assets	$	19,907


Analysis of Net Assets:
Paid-in-capital		30,673
Undistributed (distributions in excess of) net investment income		(855	)
Accumulated net realized loss		(14,804	)
Unrealized appreciation of investments, futures contracts, and foreign currency		4,893

Net assets	$	19,907


Shares outstanding (no par value):
Institutional Class		156

Y Class		2,754,008

Investor Class		184,739

A Class		33,876

C Class		3,730


Net asset value, offering and redemption price per share:
Institutional Class	$	7.07

Y Class	$	6.68

Investor Class	$	6.77

A Class (net asset value and redemption price)	$	7.16

A Class (offering price)	$	7.60

C Class	$	7.15


^A Cost of investments in securities	$	14,805
^B Cost of foreign currency	$	9

See accompanying notes

American Beacon Global Real Estate Fund
Statement of Changes of Net Assets (in thousands)


	Year Ended			Year Ended
	December 31, 2010			December 31, 2009
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	600		$	517
Net realized gain (loss) on investments, futures contracts, and foreign currency transactions		2,472			(11,884	)
Change in net unrealized appreciation of investments, futures contracts, and foreign currency translations		658			17,570

Net increase in net assets resulting from operations		3,730			6,203


Distributions to Shareholders:
Net investment income:
Y Class		(1,236	)		(842	)
Investor Class		(61	)		(100	)
Return of Capital:
Y Class		(224	)		—
Investor Class		(11	)		—

Net distributions to shareholders		(1,532	)		(942	)


Capital Share Transactions:
Proceeds from sales of shares		24,996			3,294
Reinvestment of dividends and distributions		1,530			364
Cost of shares redeemed		(36,314	)		(9,556	)
Redemption fees (Note 1)		1			12

Net decrease in net assets from capital share transactions		(9,787	)		(5,886	)

Net decrease in net assets		(7,589	)		(625	)

Net Assets:
Beginning of period		27,496			28,121

End of Period *	$	19,907		$	27,496

*Includes undistributed (distributions in excess of) net investment loss of	$	(855	)	$	(582	)

See accompanying notes

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Global Real Estate Fund (the “Fund”), a series of the Trust.

Reorganization

The Fund is the accounting and performance successor to the CNL Global Real Estate Fund (the “Predecessor Fund”). On March 1, 2010, the Fund acquired all the net assets of the Predecessor Fund pursuant to a plan of reorganization, in exchange for Y and Investor Class shares of the Fund. The acquisition was accounted for as a tax-free exchange of 3,881,253 Y Class shares and 193,564 Investor Class shares of the Fund for the net assets of the Predecessor Fund, which amounted to $24,238,869 including $3,297,338 of unrealized appreciation, after the close of business on February 28, 2010. Accounting and performance history of the Institutional and A Shares of the Predecessor Fund were redesignated as that of the Y and Investor Class Shares of the Fund, respectively.

For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Predecessor Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The Predecessor Fund had a distribution plan pursuant to Rule 12b-1 for the Class A shares. Under this plan, the Fund collected 0.25% of the average daily net assets for distribution or service activity conducted on behalf of the Fund. Class A shares were converted to Investor Shares on March 1, and this distribution plan was terminated. Prior to the reorganization the distributor for the Fund received $0 in sales commissions from the sale of Class A shares.

Class Disclosure

May 17, 2010 is the inception date of the A Class and September 1, 2010 is the inception date of the Institutional and C Classes.

The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:


Class:		Offered to:
Institutional Class		Investors making an initial investment of $250,000
Y Class		Investors making an initial investment of $100,000
Investor Class		General public and investors investing through an intermediary
A Class		General public and Investors investing through an intermediary with applicable sales charges
C Class		General public and Investors investing through an intermediary with a contingent deferred sales charge if sold within 12 months

Administrative service fees, service fees and distribution fees vary amongst the classes as described more fully in footnote 2.

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

Security Valuation

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price of official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.

Futures are valued based upon the last sale price at the close of market on the principal exchange on which they are traded.

Most foreign markets close before the Exchange. Developments that could affect the values of securities that occur between the close of a foreign market and the close of the Exchange normally will not be reflected in security valuations. If such developments are so significant that they will, in the judgment of the pricing committee of the Fund, clearly and materially affect the value of securities, the foreign market closing prices may be adjusted to reflect the fair value of the securities as of the close of the Exchange, as determined in good faith and pursuant to procedures approved by the Board. Adjustments to the closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.

Valuation Inputs

		Level 1 — Quoted prices in active markets for identical securities.

		Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others.

		Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

The Fund’s investments are summarized by level based on the inputs used to determine their values. As of December 31, 2010, the Fund’s investments were classified as follows (in thousands):

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010


	Level 1			Level 2		Level 3		Total
Asset Description:
Common Stock	$	19,519		$	—	$	—	$	19,519
Short-Term Investments		178			—		—		178

Total Investments	$	19,697		$	—	$	—	$	19,697
Futures Contracts		(1	)		—		—		(1	)

For the period January 1, 2010 through December 31, 2010, common stock with a value of $16,694,000 was transferred from Level 2 to Level 1 as of the end of the period in accordance with fair value procedures established by the Board at December 31, 2010.

Security Transactions and Investment Income

Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the net asset value. The value of the security may vary with market fluctuations.

Dividend income, net of foreign taxes, is recorded on the ex-dividend date except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

Currency Translations

All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses and purchases and sales of investments are translated into U.S. dollars at the rate of exchange prevailing on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.

Forward Foreign Currency Exchange Contracts

The Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of Fund securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Fund bears the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Fund also bears the credit risk if the counterparty fails to perform under the contract.

Futures Contracts

Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as a Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.

Values of Derivative Instruments not accounted for as hedging instruments as of December 31, 2010 (in thousands)


Statement of Assets and Liabilities	Liability Derivatives	Total
Unrealized appreciation of investments, futures contracts, and foreign currency	Equity Contracts*	$	(1	)

Effect of derivative instruments not accounted for as hedging instruments during the year ended December 31, 2010 (in thousands)


Statement of Operations	Derivative	Total
Net realized gain (loss) from futures contracts	Equity Contracts	$	108
Change in net unrealized appreciation or depreciation of futures contracts	Equity Contracts		(1	)


*		Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

Dividends to Shareholders

Dividends from net investment income of the Fund normally will be declared and paid at least quarterly. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Use of Estimates

Redemption Fees

The Fund imposes a 2% redemption fee on shares held for less than 90 days. The fee is deducted from the redemption proceeds and is intended to offset the trading costs, market impact and other costs associated with short-term trading activities in the Fund. The “first-in, first-out” method is used to determine the holding period. The fee is allocated to all classes of the Fund pro-rata based on the respective net assets. Prior to March 1, 2010 the Fund had a redemption fee of 1% for shares redeemed within 75 days of purchase.

Other

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.

2. Transactions with Affiliates

Management Agreement

Prior to March 1, 2010, the manager of the Predecessor Fund received an annual rate of 1.00% of the average daily net assets. Since March 1, the Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisor hired by the Manager to direct investment activities of the Fund. Management fees paid including amounts paid by the Predecessor Fund during the year ended December 31, 2010 were as follows: (in thousands)


		Amounts paid to	Net Amounts
Management Fee Rate	Management Fee	Investment Advisors	Retained by Manager
0.35% — 1.00%	$149	$139	$10

Administrative Services Agreement

As of March 1, the Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes and 0.40% of the average daily net assets of the A and C Classes of the Fund. Administrative Service Fees for the Institutional, A, and C Classes for the period ended December 31, 2010 were less than $500.

Distribution Plans

The Fund, except for the A and C Classes of the Fund, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class, and 1.00% of the average daily net assets of the C Class of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Distribution fees for the A and C Classes for the period ended December 31, 2010 were less than $500.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”), may receive a portion of A Class sales charges from broker dealers and it may be used to offset expenses that the Manager pays to Foreside. Since May 17^th (the inception date of the A Class), there has not been any sales commissions received by Foreside from the sale of Class A shares.

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

Services Plan

The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the A and C Classes for the period ended December 31, 2010 were less than $500.

Investment in Affiliated Funds

The Fund may invest in the American Beacon Money Market Select Fund and the American Beacon US Government Money Market Select Fund (the “USG Select Fund”) and (collectively the “Select Funds”). The Fund and the Select Funds have the same investment advisor and, therefore, are considered to be affiliated. The Manager serves as investment advisor to the Select Funds and receives from the Select Funds an annualized fee equal to 0.09% of the Select Funds’ average daily net assets. During the year ended December 31, 2010, the Fund did not invest in the Select Funds.

Interfund Lending Program

Reimbursement of Expenses

Prior to March 1, the Predecessor Fund contractually agreed to reimburse operating expenses to the extent that total annual fund expenses exceeded 1.80% for Class A (now Investor Class) and 1.55% for Institutional Class (now Class Y). At the time of reorganization the Predecessor Fund had reimbursed the Fund $5,332 and $95,230 for the A and Institutional Classes, respectively.

After the reorganization the Manager agreed to reimburse operating expenses to the extent that total annual fund operating expenses exceed the Fund’s expense caps. For the period ended December 31, 2010, the Predecessor Fund and the Manager reimbursed the following:


									Total reimbursed
	Expense Cap			Reimbursed		Expense Cap			for the period
Class:	1/1/10-2/28/10			prior to 3/1/10		3/1/10-12/31/10			ended 12/31/10
Institutional		1.55	%	$	N/A		1.17	%*	$	3
Y		1.55	%		95,230		1.27	%		121,433
Investor		1.80	%		5,332		1.55	%		7,101
A		N/A			N/A		1.55	%*		143
C		N/A			N/A		2.30	%*		23


*		From the inception date of each Class.

The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The Fund has not recorded a liability for potential reimbursements. At December 31, 2010, $27,772 was receivable from the Manager.

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

3. Federal Income and Excise Taxes

The Fund does not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010, remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statement of Operations.

The tax character of distributions paid during the fiscal years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):


	Year Ended		Year Ended
	December 31,		December 31,
	2010		2009
Distributions paid from:
Y Class	$	1,236	$	842
Investor Class		61		100
Return of Capital:
Y Class		224		—
Investor Class		11		—

Total taxable distributions	$	1,532	$	942

As of December 31, 2010, the components of distributable earnings on a tax basis were as follows (in thousands):


Cost basis of investments for federal income tax purposes	$	17,272
Unrealized appreciation		3,296
Unrealized depreciation		(871	)

Net unrealized appreciation/(depreciation)		2,425
Undistributed ordinary income		—
Accumulated long-term gain/(loss)		(13,126	)
Other temporary differences		(65	)

Distributable earnings	$	(10,766	)

American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010

Due to inherent differences in the recognition of income, expenses and realized gains/(losses) under U.S. generally accepted accounting principles and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.

Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate. Investment securities, foreign currency, investments in passive foreign investment companies and partnership transactions that have been reclassified as of December 31, 2010 (in thousands):


Paid in capital	$	(224	)
Undistributed net investment income		659
Accumulated net realized gain (loss)		(435	)
Unrealized appreciation (depreciation) of investments and foreign currency		—

At December 31, 2010, the capital loss carry forward positions for federal income tax purposes were $6 and $13,121 expiring in 2016 and 2017, respectively (in thousands). The Fund utilized $1,164 (in thousands) of net capital loss carryovers for the year ended December 31, 2010.

4. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2010, were $12,221,832 and $22,915,607, respectively.

5. Capital Share Transactions

The tables below summarize the activity in capital shares (dollars and shares in thousands):

Year Ended December 31, 2010


	Institutional Class				Y Class						Investor Class
	Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		—	$	1		3,905		$	23,237			246		$	1,489
Reinvestment of dividends		—		—		220			1,460			10			70
Shares redeemed		—		—		(5,299	)		(32,492	)^*		(622	)		(3,821	)^*
Net increase (decrease) in shares outstanding		—	$	1		(1,174	)	$	(7,795	)		(366	)	$	(2,262	)


	A Class				C Class
	Shares		Amount		Shares		Amount
Shares sold		34	$	243		4	$	26
Reinvestment of dividends		—		—		—		—
Shares redeemed		—		—		—		—
Net increase (decrease) in shares outstanding		34	$	243		4	$	26

Year Ended December 31, 2009


	Y Class						Investor Class
	Shares			Amount			Shares			Amount
Shares sold		346		$	1,482			376		$	1,812
Reinvestment of dividends		49			266			17			98
Shares redeemed		(2,290	)		(8,941	)		(111	)		(603	)
Net increase (decrease) in shares outstanding		(1,896	)	$	(7,193	)		282		$	1,307


^*		Net of Redemption Fees

American Beacon Global Real Estate Fund
Financial Highlights
(For a share outstanding throughout the period)


	Institutional Class			Y Class^D
	September 01												October 26			Investor Class^D
	to December			Year Ended December 31									to December			Year Ended December 31
	31, 2010			2010			2009			2008			31, 2007			2010			2009			2008
Net asset value, beginning of period	$	6.57		$	6.14		$	4.62		$	8.64		$	10.00		$	6.13		$	4.61		$	8.64

Income from investment operations:
Net investment income (loss)		0.08			0.14			0.11	^E		0.13	^E		0.04	^E		(0.04	)		0.09	^E		0.10	^E
Net gains (losses) on securities (both realized and unrealized)		0.57			0.93			1.62			(4.06	)		(1.31	)		1.09			1.63			(4.06	)

Total income (loss) from investment operations		0.65			1.07			1.73			(3.93	)		(1.27	)		1.05			1.72			(3.96	)

Less distributions:
Dividends from net investment income		(0.15	)		(0.45	)		(0.21	)		(0.09	)		(0.09	)		(0.35	)		(0.20	)		(0.07	)
Distributions from net realized gains on securities		—			—			—			—			—			—			—			—
Tax return of capital		—	^F,G		(0.08	)^F		—			—			—			(0.06	)^F		—			—

Total distributions		(0.15	)		(0.53	)		(0.21	)		(0.09	)		(0.09	)		(0.41	)		(0.20	)		(0.07	)

Net asset value, end of period	$	7.07		$	6.68		$	6.14		$	4.62		$	8.64		$	6.77		$	6.13		$	4.61

Total return		9.90	%^A		17.60	%		38.03	%		(45.66	)%		(12.73	)%^A		17.33	%		37.77	%		(45.91	)%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1		$	18,386		$	24,119		$	26,880		$	4,517		$	1,250		$	3,378		$	1,241
Ratios to average net assets (annualized):
Expenses, after expense reimbursements (recoupments)		1.17	%^B		1.35	%		1.55	%		1.55	%		1.55	%^B		1.62	%		1.80	%		1.80	%
Expenses, before expense reimbursements (recoupments)		2.07	%^B		1.93	%		4.05	%		5.49	%		28.94	%^B		2.22	%		4.24	%		4.99	%
Net investment income, after expense reimbursements (recoupements)		3.35	%^B		2.71	%		2.19	%		2.09	%		2.45	%^B		2.40	%		1.72	%		1.69	%
Net investment income (loss), before expense reimbursements (recoupments)		2.45	%^B		2.13	%		(0.31	)%		(1.85	)%		(24.94	)%^B		1.80	%		(0.72	)%		(1.50	)%
Portfolio turnover rate		55	%^C		55	%		62	%		25	%		6	%		55	%		62	%		25	%


^A		Not annualized.
^B		Annualized.
^C		Portfolio turnover rate is for the period from January 1 to December 31, 2010.
^D		Prior to the reorganization on March 1, 2010, the Y Class was known as the Institutional Class and the Investor Class was known as the A Class.
^E		Per share numbers have been calculated using average shares method.
^F		The tax return of capital is calculated based upon outstanding shares at the time of distribution.
^G		Amount represents less than $0.01 per share.

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
INTERESTED TRUSTEES
	Term
	Lifetime of Trust until removal, resignation or retirement*

Alan D. Feld** (73)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University ; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present)

NON-INTERESTED TRUSTEES	Term
W. Humphrey Bogart (66)	Trustee since 2004	Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

Brenda A. Cline (49)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

Eugene J. Duffy (56)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
NON-INTERESTED TRUSTEES (CONT.)

Thomas M. Dunning (68)	Trustee since 2008	Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)

Richard A. Massman (67)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present), Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian
		Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present)

R. Gerald Turner (64)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee, American Beacon Mileage Funds (2001-Present); Trustee, American Beacon Select Funds (2001-Present)

Paul J. Zucconi,CPA (70)	Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- present); Director, Torchmark Corporation (life and health insurance products) (2002-present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present)
OFFICERS
	Term
	One Year

William F. Quinn (62)	Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 Trustee from 1987 to 2008	Executive Chairman (2009-Present), Chairman (2006-2009) CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Manager Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-Present), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-Present) American Beacon Select Funds; Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009)

Trustees and Officers of the American Beacon Funds
(Unaudited)


	Position, Term of
	Office and Length
	of Time Served	Principal Occupation(s) During Past 5 Years
Name, Age and Address	with the Trust	and Current Directorships
Gene L. Needles, Jr. (55)	President since 2009 Executive Vice President 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors

Rosemary K. Behan (51)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004)

Brian E. Brett (50)	VP since 2004	Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004)

Wyatt L. Crumpler (44)	VP since 2007	Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc.

Michael W. Fields (56)	VP since 1989	Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009)

Melinda G. Heika (49)	Treasurer since 2010	Vice President, Finance & Accounting (2010-Present), Controller (2005-2009), Assistant Controller (1998-2004), American Beacon Advisors, Inc.

Terri L. McKinney (47)	VP since 2010	Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) Down Syndrome Guild of Dallas

Jeffrey K. Ringdahl (35)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007)

Christina E. Sears (39)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.


*		The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement.

**		Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s s sub-advisors.

Delivery of Documents

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shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com

If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.

To obtain more information about the Fund:


7		8
By E-mail:		On the Internet:
american_beacon.funds@ambeacon.com		Visit our website at www.americanbeaconfunds.com

(		-
By Telephone:		By Mail:
Call (800) 658-5811		American Beacon Funds
		P.O. Box 219643
		Kansas City, MO 64121-9643

Availability of Quarterly Portfolio Schedules		Availability of Proxy Voting Policy and Records

In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available on the Funds’ website (www.americanbeaconfunds.com) approximately twenty days after the end of each month.		A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:


Custodian	Transfer Agent	Independent	Distributor
State Street	Boston Financial Data	Registered	Foreside Fund
Bank and Trust	Services	Public	Services, LLC
Boston, Massachusetts	Kansas City, Missouri	Accounting	Portland, Maine
		Firm
		Ernst & Young LLP
		Dallas, Texas

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds and American Beacon Global Real Estate Fund are service marks of American Beacon Advisors, Inc

AR 12/10

ITEM 2. CODE OF ETHICS.

The Trust has adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code February 16, 2010 to disclose a change in the Principal Financial Office. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Trust’s Board of Trustees has determined that Mr. Paul Zucconi, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined in Form N-CSR. Mr. Paul Zucconi is “independent” as defined in Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)


Audit Fees		Fiscal Year Ended
$	298,018	10/31/2009
$	72,414	12/31/2009
$	37,869	8/31/2010
$	318,158	10/31/2010
$	95,455	12/31/2010

(b)


Audit-Related
Fees			Fiscal Year Ended
$	13,750	*	10/31/2009
$	0		12/31/2009
$	0		8/31/2010
$	12,375	*	10/31/2010
$	3,875	*	12/31/2010


*		Review of N-1A filings

(c)


Tax Fees		Fiscal Year Ended
$	11,628	10/31/2009
$	1,704	12/31/2009
$	3,426	8/31/2010
$	40,277	10/31/2010
$	5,129	12/31/2010

(d)


All Other Fees		Fiscal Year Ended
$	0	10/31/2009
$	0	12/31/2009
$	0	8/31/2010
$	0	10/31/2010
$	0	12/31/2010

(e)(1) Pursuant to its charter, the Trust’s Audit and Compliance Committee shall have the following duties and powers pertaining to pre-approval of audit and non-audit services provided by the Trust’s principal accountant:

- to approve, prior to appointment, the engagement of auditors to annually audit and provide their opinion on the Trusts’ financial statements, and, in connection therewith, reviewing and evaluating matters potentially affecting the independence and capabilities of the auditors;

- to approve, prior to appointment, the engagement of the auditors to provide non-audit services to the Trusts, an investment adviser to any series of the Trusts or any entity controlling, controlled by, or under common control with an investment adviser (“adviser affiliate”) that provides ongoing services to the Trusts, if the engagement relates directly to the operations and financial reporting of the Trusts;

- to consider whether the non-audit services provided by a Trust’s auditor to an investment adviser or any adviser affiliate that provides ongoing services to a series of the Trusts, which services were not pre-approved by the Committee, are compatible with maintaining the auditor’s independence;

- to review the arrangements for and scope of the annual audit and any special audits; and

- to review and approving the fees proposed to be charged to the Trusts by the auditors for each audit and non-audit service.

The Audit and Compliance Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to a subcommittee of one or more members. Any decisions of the subcommittee to grant pre-approvals shall be presented to the full audit committee at its next regularly scheduled meeting.

(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) Aggregate Non-Audit Fees for Services Rendered to the:


		Adviser’s Affiliates Providing
Registrant	Adviser	Ongoing Services to Registrant	Fiscal Year Ended
$25,378	$0	N/A	10/31/2009
$ 1,704	$0	N/A	12/31/2009
$ 3,246	$0	N/A	8/31/2010
$52,652	$0	N/A	10/31/2010
$ 9,004	$0	N/A	12/31/2010

(h) Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.

(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Filed herewith as EX-99.CODE ETH.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.

(a)(3) Not applicable.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.


Investment Income:
Dividend income	$	1
Interest income		3,429

Total investment income		3,430

Expenses:
Management and investment advisory fees (Note 2)		230
Administrative service fees (Note 2):
Institutional Class		271
Investor Class		43
Transfer agent fees:
Institutional Class		15
Investor Class		1
Custody and fund accounting fees		36
Professional fees		42
Registration fees and expenses		25
Service fees (Note 2):
Investor Class		36
Prospectus and shareholder reports		15
Trustee fees		13
Other expenses		14

Total expenses		741

Net fees waived and expenses reimbursed by Manager (Note 2)		(196	)

Net expenses		545

Net investment income		2,885

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) from:
Investments		8,451
Change in net unrealized appreciation or depreciation of:
Investments		(331	)

Net gain on investments		8,120

Net increase in net assets resulting from operations	$	11,005


	% of
	Equities*
Exxon Mobil Corp.		3.2	%
Apple, Inc.		2.6	%
Microsoft Corp.		1.8	%
General Electric Co.		1.7	%
Chevron Corp.		1.6	%
International Business Machines Corp.		1.6	%
Procter & Gamble Co.		1.6	%
AT&T, Inc.		1.5	%
Johnson & Johnson		1.5	%
JPMorgan Chase & Co.		1.5	%


*		Percent of the equities of State Street Equity 500 Index Portfolio


	% of Equities*
Information Technology		18.7	%
Financials		16.0	%
Energy		12.0	%
Industrials		11.0	%
Health Care		10.9	%
Consumer Staples		10.6	%
Consumer Discretionary		10.6	%
Materials		3.8	%
Utilities		3.3	%
Telecommunication Services		3.1	%


	% of
	Equities*
Riverbed Technology Inc		0.4	%
Tibco Software, Inc		0.3	%
Verifone Systems Inc		0.3	%
Brigham Exploration Co		0.3	%
Deckers Outdoor Corp		0.3	%
Sothebys		0.3	%
Rackspace Hosting Inc		0.3	%
Nordson Corp		0.3	%
Baldor Electric Co		0.2	%
Hecla Mining Co		0.2	%


*		Percent of equity portion of Master Small Cap Index Series


	% of Equities*
Financials		20.6	%
Information Technology		18.5	%
Industrials		15.8	%
Consumer Discretionary		13.7	%
Health Care		12.5	%
Energy		6.4	%
Materials		5.7	%
Utilities		3.0	%
Consumer Staples		3.0	%
Telecommunications		1.0	%


Assets
Investments in unaffiliated issuers at market value (identified cost $1,265,072)	$	1,986,891
Investments in non-controlled affiliates at market value (identified cost $3,004) (Note 4)		3,977

Total investments at market value (identified cost $1,268,076)		1,990,868
Cash		2
Receivable for Investment securities sold		104,961
Dividends and interest receivable		2,433

Total assets		2,098,264
Liabilities
Daily variation margin on futures contracts		47
Management fees (Note 4)		80

Total liabilities		127

Net Assets	$	2,098,137


Investment Income
Interest	$	67
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2)		38,450
Dividend income — non-controlled affiliated issuer		4

Total investment income		38,521

Expenses
Management fees (Note 4)		853

Total expenses		853

Net Investment Income	$	37,668


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments — unaffiliated issuers	$	20,628
Investments — non-controlled affiliated issuer		(225	)
Futures contracts		5,708

		26,111

Net change in net unrealized appreciation (depreciation) on:
Investments		214,090
Futures contracts		(5	)

		214,085

Net realized and unrealized gain		240,196

Net Increase in Net Assets Resulting from Operations	$	277,864


	For The Year Ended			For The Year Ended
	December 31, 2010			December 31, 2009
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	37,668		$	38,199
Net realized gain (loss) on investments and futures contracts		26,111			(88,220	)
Net change in net unrealized appreciation on investments and futures contracts		214,085			473,395

Net increase in net assets from operations		277,864			423,374

Capital Transactions:
Contributions		241,838			267,641
Withdrawals		(314,951	)		(319,837	)

Net decrease in net assets from capital transactions		(73,113	)		(52,196	)

Net Increase in Net Assets		204,751			371,178
Net Assets
Beginning of year		1,893,386			1,522,208

End of year	$	2,098,137		$	1,893,386


(a)		The portfolio turnover rate excludes in-kind security transactions.

(b)		Results represent past performance and are not indicative of future results.


December 31, 2010

Assets

Investments at value — unaffiliated (including securities loaned of $7,765,924) (cost — $234,327,179)	$	329,317,079
Investments at value — affiliated (cost — $15,634,790)		15,653,144
Cash pledged as collateral for financial futures contracts		952,000
Cash		1,258
Dividends receivable		347,807
Contributions receivable from investors		118,507
Receivable from advisor		39,379
Securities lending income receivable — affiliated		12,105
Investments sold receivable		96
Prepaid expenses		9,447

Total assets		346,450,822



Liabilities

Collateral on securities loaned at value		8,152,630
Margin variation payable		55,037
Other affiliates payable		1,362
Directors’ fees payable		125
Other accrued expenses payable		69,687

Total liabilities		8,278,841

Net Assets	$	338,171,981



Net Assets Consist of

Investors’ capital	$	243,164,104
Net unrealized appreciation/depreciation		95,007,877

Net Assets	$	338,171,981


Year Ended December 31, 2010

Investment Income

Dividends — unaffiliated	$	3,540,861
Foreign taxes withheld		(3,110	)
Securities lending — affiliated		148,068
Dividends — affiliated		31,332

Total income		3,717,151



Expenses

Investment advisory		27,646
Custodian		126,874
Professional		84,100
Accounting services		68,403
Directors		9,377
Printing		836
Miscellaneous		10,155

Total expenses		327,391
Less fees waived and/or reimbursed by advisor		(111,964	)

Total expenses after fees waived and/or reimbursed		215,427

Net investment income		3,501,724



Realized and Unrealized Gain (Loss)

Net realized gain (loss) from:
Investments — unaffiliated		(10,138,980	)
Investments — affiliated		702
Financial futures contracts		248,961

		(9,889,317	)


Net change in unrealized appreciation/depreciation on:
Investments		60,793,710
Financial futures contracts		(88,950	)

		60,704,760


Total realized and unrealized gain		50,815,443

Net Increase in Net Assets Resulting from Operations	$	54,317,167


December 31, 2010

Assets
Investments at value — unaffiliated (cost — $815,717,744)	$	904,244,525
Investments at value — affiliated (cost — $2,576,868)		2,576,868
Foreign currency at value (cost — $10,204,882)		10,303,607
Cash pledged as collateral for financial futures contracts		962,000
Dividends receivable		4,139,504
Contributions receivable from investors		2,292,185
Receivable from advisor		6,270
Prepaid expenses		19,524

Total assets		924,544,483


Liabilities
Bank overdraft		769,758
Investments purchased payable		520,775
Margin variation payable		125,494
Other affiliates payable		4,040
Directors’fees payable		318
Other accrued expenses payable		257,293
Other liabilities		166,450

Total liabilities		1,844,128

Net Assets	$	922,700,355


Net Assets Consist of
Investors’ capital	$	833,852,476
Net unrealized appreciation/depreciation		88,847,879

Net Assets	$	922,700,355


Year Ended December 31,2010

Investment Income
Dividends- unaffiliated	$	24,643,163
Foreign taxes withheld		(2,145,389	)
Dividends — affiliated		6,442

Total income		22,504,216


Expenses
Investment advisory		79,568
Custodian		362,621
Accounting services		153,218
Pricing		116,507
Professional		78,830
Directors		22,052
Printing		1,967
Miscellaneous		24,085

Total expenses		838,848
Less fees waived by advisor		(49,666	)
Less fees paid indirectly		(768	)

Total expenses after fees waived and paid indirectly		788,414

Net investment income		21,715,802


Realized and Unrealized Gain (Loss)
Net realized loss from:
Investments		(19,541,760	)
Financial futures contracts		(1,497,079	)
Foreign currency transactions		(567,649	)

		(21,606,488	)

Net change in unrealized appreciation/depreciation on:
Investments		84,455,663
Financial futures contracts		(501,842	)
Foreign currency transactions		359,660

		84,313,481

Total realized and unrealized gain		62,706,993

Net Increase in Net Assets Resulting from Operations	$	84,422,795


^A		REIT

^B		Non-income producing security.

^C		ADR — American Depository Receipt

^D		Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $205 or 1.03% of net assets. The Fund has no right to demand registration of these securities


						Unrealized
						Appreciation/
	Number of Contracts		Expiration Date	Value		(Depreciation)
S&P Midcap 400 Mini E Index Future		200	March, 2011	$	181	$	(1	)

				$	181	$	(1	)


	Percent of Net Assets
Diversified		33.8	%
Retail		19.3	%
Office		14.2	%
Not Classified		9.6	%
Residential		7.3	%
Industrial		4.6	%
Self Storage		3.2	%
Specialty		2.6	%
Lodging/Resorts		2.1	%
Health Care		1.9	%
Industrial/Office Mixed		1.4	%


Investment Income:
Dividend income (net of foreign taxes)*	$	904

Total investment income		904

Expenses:
Management and investment advisory fees (Note 2)		149
Administrative service fees (Note 2):
Y Class		75
Investor Class		4
Transfer agent fees:
Investor Class		1
Y Class		20
Custody and fund accounting fees		19
Professional fees		42
Registration fees and expenses		46
Service fees (Note 2):
Y Class		18
Investor Class		4
Prospectus and shareholder reports		5
Insurance fees		12
Trustee fees		10
Other expenses		28

Total expenses		433

Net (fees waived and expenses reimbursed) (Note 2)		(129	)

Net expenses		304

Net investment income		600


Realized and unrealized gain (loss) on investments:
Net realized gain (loss) from:
Investments		2,231
Foreign currency transactions		133
Futures contracts		108
Change in net unrealized appreciation or depreciation of:
Investments		164
Foreign currency translations		495
Futures contracts		(1	)

Net gain on investments		3,130

Net increase in net assets resulting from operations	$	3,730

* Foreign taxes	$	27