- Certified semi-annual shareholder report for management investment companies (N-CSRS)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR/S

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number: 811-7852

Exact name of registrant as specified in charter: USAA MUTUAL FUNDS TRUST

Address of principal executive offices and zip code: 9800 FREDERICKSBURG ROAD

SAN ANTONIO, TX 78288

Name and address of agent for service: CHRISTOPHER P. LAIA
 USAA MUTUAL FUNDS TRUST
 9800 FREDERICKSBURG ROAD
 SAN ANTONIO, TX 78288

Registrant's telephone number, including area code: (210) 498-0226

Date of fiscal year end: DECEMBER 31,

Date of reporting period: JUNE 30, 2010

ITEM 1. SEMIANNUAL REPORT TO STOCKHOLDERS.
USAA MUTUAL FUNDS TRUST - SEMIANNUAL REPORT FOR PERIOD ENDED JUNE 30, 2010

[LOGO OF USAA]
USAA (R)

[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]

SEMIANNUAL REPORT
USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2010

FUND OBJECTIVE

SEEKS TO MATCH, BEFORE FEES AND EXPENSES, THE PERFORMANCE OF THE U.S. STOCKS NOT INCLUDED IN THE S&P 500 INDEX AS REPRESENTED BY THE DOW JONES U.S. COMPLETION TOTAL STOCK MARKET INDEX.

TYPES OF INVESTMENTS

Invests all of the Fund's investable assets in the Master Extended Market Index Series of the Quantitative Master Series LLC (Extended Market Portfolio or the Series), which is a separate fund advised by BlackRock Advisors, LLC, with a substantially similar investment objective; normally at least 80% of the Extended Market Portfolio's assets will be invested in stocks of companies or other financial instruments that are included in or correlated with securities in the Dow Jones U.S. Completion Total Stock Market Index.

IRA DISTRIBUTION WITHHOLDING DISCLOSURE

We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's set rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. If you wish to make such an election, please call USAA Investment Management Company at
(800) 531-USAA (8722).

If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.

For more specific information, please consult your tax adviser.

TABLE OF CONTENTS

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PRESIDENT'S MESSAGE 2

MANAGER'S COMMENTARY 4

FUND RECOGNITION 6

INVESTMENT OVERVIEW 7

FINANCIAL INFORMATION

 USAA EXTENDED MARKET INDEX FUND:

 Financial Statements 12

 Financial Highlights 15

 Notes to Financial Statements 16

EXPENSE EXAMPLE 22

ADVISORY AGREEMENT 24

 MASTER EXTENDED MARKET INDEX SERIES:

 Schedule of Investments 31

 Financial Statements 85

 Financial Highlights 88

 Notes to Financial Statements 89

ADVISORY AGREEMENTS 98

THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS AND OTHERS WHO HAVE RECEIVED A COPY OF THE CURRENTLY EFFECTIVE PROSPECTUS OF THE FUND, MANAGED BY USAA INVESTMENT MANAGEMENT COMPANY. IT MAY BE USED AS SALES LITERATURE ONLY WHEN PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS, WHICH PROVIDES FURTHER DETAILS ABOUT THE FUND.

PRESIDENT'S MESSAGE

". . . INVESTORS MAY WANT TO REVIEW THEIR
LONG-TERM INVESTMENT STRATEGY. IT'S VITAL TO [PHOTO OF DANIEL S. McNAMARA]
CONTINUE -- AND EVEN INCREASE -- INVESTING IF YOU WANT TO LIVE THE RETIREMENT LIFESTYLE YOU ENVISION."

JULY 2010

At the beginning of 2010, optimism permeated the financial markets. Stocks had just finished a strong year (the S&P 500 Index was up 26.5% in 2009). Supported by stimulus spending by the federal government, the U.S. economy was showing signs of improvement. The housing market was stabilizing after several years of falling prices. At the same time, corporate earnings, driven by surprisingly strong top-line growth, were better than expected. Unemployment remained high, but renewed job growth was widely expected at any moment.

During the spring, however, the markets were rattled by the European debt crisis and its potential impact on European banks. There was growing investor uncertainty about regulatory changes pending in Washington (related to the health care, financial, and energy industries). Sentiment was further eroded by the still-unexplained April "flash crash" in the U.S. stock market and BP's oil spill in the Gulf of Mexico.

As a result, the outlook for the U.S. economy grew more uncertain as 2010 progressed. The federal government is winding down its stimulus spending and many observers have questioned whether the nation's economic recovery will be self-sustaining. The housing market has suffered more setbacks. In May, just a month after the federal tax subsidy ended, sales of new single-family homes dropped 33% to the lowest seasonally adjusted rate since records began in 1963. Meanwhile, unemployment remains stubbornly high with most of the job growth coming from government hiring of census workers.

Bonds generally provided positive results during the six-month period, but the performance of the stock market was disappointing (the S&P 500 Index returned -6.7% between January 1 and June 30, 2010). Many investors continue to stay on the sidelines, primarily in low-yielding money market funds. But while there is reason for caution, long-term investors should also take into account the improvement in U.S. corporate balance sheets and the favorable outlook for U.S. corporate earnings.

2 | USAA EXTENDED MARKET INDEX FUND

While I find investors' lack of engagement understandable, I grow more concerned about it with every passing day. Americans are not saving enough for their retirements. Two-thirds have less than $50,000 in retirement savings (excluding the value of their home and any traditional pension).

Fortunately, many people still have time to grow their retirement nest egg. Furthermore, a number of catch-up provisions allow those over the age of 50 to increase their contributions to individual retirement accounts (IRAs). Under the circumstances, investors may want to review their long-term investment strategy. It's vital to continue -- and even increase -- investing if you want to live the retirement lifestyle you envision. However, this is based upon what is most suitable for your needs. For assistance, please feel free to call one of our USAA service representatives at 1-800-531-8722. They are available to help you free of charge.

At USAA Investment Management Company, we are proud of the investment team that manages our family of no-load mutual funds. Seasoned professionals all, they understand the markets and are skilled at making the tactical decisions necessary to pursue opportunities during market declines and to help reduce exposure when valuations are rich. This ability can be especially valuable during periods of market turmoil. I would argue that given the economic headwinds it may be more important than ever. Certainly, it makes sense to have some of the industry's top investment talent managing your hard-earned money.

Rest assured that in the months ahead, we will continue working hard on your behalf. From all of us, thank you for your continued confidence in us. We appreciate the opportunity to help you with your investment needs.

Sincerely,

/s/ Daniel S. McNamara

Daniel S. McNamara
President
USAA Investment Management Company

INVESTING IN SECURITIES PRODUCTS INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.

As interest rates rise, bond prices fall. o Past performance is no guarantee of future results. o Mutual fund operating expenses apply and continue throughout the life of the fund.

AN INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND.

Financial advice provided by USAA Financial Planning Services Insurance Agency, Inc. (known as USAA Financial Insurance Agency in California, License # 0E36312), and USAA Financial Advisors, Inc., a registered broker dealer.

PRESIDENT'S MESSAGE | 3

MANAGER'S COMMENTARY ON THE FUND

o PERFORMANCE

For the 6-month period ended June 30, 2010, the USAA Extended Market Index Fund returned -1.08% and the Fund's benchmark, the Dow Jones U.S. Completion Total Stock Market Index, returned (.97%).

O PERFORMANCE ANALYSIS

At the beginning of 2010, we expected to see a modest cyclical recovery that was countered by the structural problems facing most of the developed world. For the first four months of the year, the cyclical recovery did dominate, but over the past two months, structural problems (especially those in Europe) began to win out, and risk assets (including U.S. equities) have been struggling.

Financial markets took a dramatic turn in late April, as investor sentiment became dominated by concerns over the European sovereign debt crisis, some less-positive economic data and uncertainty over financial regulatory reform in the United States. Volatility levels moved noticeably higher over the past several months, and investors embarked on a renewed "flight to quality," abandoning risk assets such as stocks in favor of safer alternatives, most notably U.S. Treasury bonds and gold.

Refer to page 8 for benchmark definitions.

4 | USAA EXTENDED MARKET INDEX FUND

In the United States, the Dow Jones Industrial Average fell 5.0% to 9,774, the S&P 500 Index declined 6.7% to 1,030 and the Nasdaq Composite lost 6.6% to end the period at 2,109.

THIS MATERIAL IS NOT INTENDED TO BE RELIED UPON AS A FORECAST, RESEARCH OR INVESTMENT ADVICE, AND IS NOT A RECOMMENDATION, OFFER OR SOLICITATION TO BUY OR SELL ANY SECURITIES OR TO ADOPT ANY INVESTMENT STRATEGY. THE OPINIONS EXPRESSED ARE AS OF JUNE 30, 2010 AND MAY CHANGE AS SUBSEQUENT CONDITIONS VARY. THE INFORMATION AND OPINIONS CONTAINED IN THIS MATERIAL ARE DERIVED FROM PROPRIETARY AND NON-PROPRIETARY SOURCES DEEMED BY BLACKROCK TO BE RELIABLE, ARE NOT NECESSARILY ALL-INCLUSIVE AND ARE NOT GUARANTEED AS TO ACCURACY. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THERE IS NO GUARANTEE THAT ANY FORECASTS MADE WILL COME TO PASS. ANY INVESTMENTS NAMED WITHIN THIS MATERIAL MAY NOT NECESSARILY BE HELD IN ANY ACCOUNTS MANAGED BY BLACKROCK. RELIANCE UPON INFORMATION IN THIS MATERIAL IS AT THE SOLE DISCRETION OF THE READER.

MANAGER'S COMMENTARY ON THE FUND | 5

FUND RECOGNITION

USAA EXTENDED MARKET INDEX FUND

--------------------------------------------------------------------------------

 LIPPER LEADER (OVERALL)

 [5]
 EXPENSE

The Fund is listed as a Lipper Leader for Expense of 131 funds within the Lipper Mid-Cap Core Funds category for the overall period ended June 30, 2010. The Fund received a Lipper Leader rating for Expense among 131 and 107 funds for the three- and five-year periods, respectively. Lipper ratings for Expense reflect funds' expense minimization relative to peers with similar load structures as of June 30, 2010.

Ratings are subject to change every month and are based on an equal-weighted average of percentile ranks for the Expense metrics over three-, five-, and 10-year periods (if applicable). The highest 20% of funds in each peer group are named Lipper Leaders, the next 20% receive a score of 4, the middle 20% are scored 3, the next 20% are scored 2, and the lowest 20% are scored 1. *Lipper ratings are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. More information is available at WWW.LIPPERLEADERS.COM. Lipper Leader Copyright 2010, Reuters, All Rights Reserved.

6 | USAA EXTENDED MARKET INDEX FUND

INVESTMENT OVERVIEW

USAA EXTENDED MARKET INDEX FUND (Ticker Symbol: USMIX)

--------------------------------------------------------------------------------
 6/30/10 12/31/09
--------------------------------------------------------------------------------
Net Assets $278.4 Million $276.2 Million
Net Asset Value Per Share $10.10 $10.21

--------------------------------------------------------------------------------
 AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/10
--------------------------------------------------------------------------------

12/31/09 to 6/30/10* 1 Year 5 Years Since Inception 10/27/00
 -1.08% 23.72% 1.27% 2.60%

--------------------------------------------------------------------------------
 EXPENSE RATIO**
--------------------------------------------------------------------------------

Before Reimbursement 0.96% After Reimbursement 0.50%

*Total returns for periods of less than one year are not annualized. This six-month return is cumulative.

THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. THE RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, VISIT USAA.COM.

** THE BEFORE REIMBURSEMENT EXPENSE RATIO REPRESENTS THE TOTAL ANNUAL OPERATING EXPENSES, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY, AND INCLUDING EXPENSES OF THE EXTENDED MARKET PORTFOLIO AND IS CALCULATED AS A PERCENTAGE OF AVERAGE NET ASSETS. THE AFTER REIMBURSEMENT EXPENSE RATIO, WHICH INCLUDES EXPENSES OF THE EXTENDED MARKET PORTFOLIO, REPRESENTS TOTAL ANNUAL OPERATING EXPENSES, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY, AFTER REIMBURSEMENT FROM USAA INVESTMENT MANAGEMENT COMPANY (IMCO). BEFORE AND AFTER REIMBURSEMENT EXPENSE RATIOS ARE REPORTED IN THE FUND'S PROSPECTUS DATED MAY 1, 2010. IMCO HAS AGREED, THROUGH MAY 1, 2011, TO MAKE PAYMENTS OR WAIVE MANAGEMENT, ADMINISTRATION, AND OTHER FEES TO LIMIT THE EXPENSES OF THE FUND SO THAT THE TOTAL ANNUAL OPERATING EXPENSES OF THE FUND (EXCLUDING EXTRAORDINARY EXPENSES) DO NOT EXCEED AN ANNUAL RATE OF 0.50% OF THE FUND'S AVERAGE DAILY NET ASSETS. THIS REIMBURSEMENT ARRANGEMENT MAY NOT BE CHANGED OR TERMINATED DURING THIS TIME PERIOD WITHOUT APPROVAL OF THE FUND'S BOARD OF TRUSTEES AND MAY BE CHANGED OR TERMINATED BY IMCO AT ANY TIME AFTER MAY 1, 2011. THE EXPENSE RATIO DIFFERS FROM THE FUND'S ACTUAL EXPENSE RATIO FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2010, BEFORE REIMBURSEMENT, WHICH WAS .82% AS DISCLOSED IN THE FINANCIAL HIGHLIGHTS, AND BEFORE EXPENSES PAID INDIRECTLY.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. generally accepted accounting principles or the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INVESTMENT OVERVIEW | 7

o CUMULATIVE PERFORMANCE COMPARISON o

[CHART OF CUMULATIVE PERFORMANCE COMPARISON]

 DOW JONES U.S.
 USAA EXTENDED COMPLETION TOTAL STOCK
 MARKET INDEX FUND MARKET* INDEX
10/27/00 $10,000.00 $10,000.00
10/31/00 10,400.00 10,323.39
11/30/00 8,840.00 8,564.81
12/31/00 9,360.00 9,107.08
01/31/01 9,750.00 9,602.08
02/28/01 8,670.00 8,435.11
03/31/01 7,960.00 7,661.19
04/30/01 8,750.00 8,471.57
05/31/01 8,940.00 8,671.93
06/30/01 8,980.00 8,742.12
07/31/01 8,600.00 8,335.76
08/31/01 8,200.00 7,930.51
09/30/01 7,160.00 6,910.55
10/31/01 7,520.00 7,272.72
11/30/01 8,100.00 7,838.05
12/31/01 8,515.19 8,257.78
01/31/02 8,362.22 8,101.63
02/28/02 8,127.67 7,872.36
03/31/02 8,678.36 8,405.97
04/30/02 8,576.38 8,323.50
05/31/02 8,372.42 8,139.64
06/30/02 7,801.34 7,582.86
07/31/02 7,036.51 6,845.37
08/31/02 7,077.30 6,885.03
09/30/02 6,598.00 6,420.72
10/31/02 6,822.35 6,631.58
11/30/02 7,281.25 7,086.48
12/31/02 6,965.60 6,788.06
01/31/03 6,811.95 6,641.52
02/28/03 6,648.05 6,472.58
03/31/03 6,750.49 6,568.34
04/30/03 7,313.88 7,115.69
05/31/03 8,020.69 7,791.94
06/30/03 8,194.83 7,977.04
07/31/03 8,563.59 8,349.67
08/31/03 8,922.12 8,699.62
09/30/03 8,799.20 8,591.59
10/31/03 9,475.27 9,245.96
11/30/03 9,792.82 9,564.92
12/31/03 9,991.64 9,763.91
01/31/04 10,331.21 10,113.77
02/29/04 10,516.43 10,290.80
03/31/04 10,567.88 10,334.38
04/30/04 10,125.41 9,919.07
05/31/04 10,279.76 10,068.70
06/30/04 10,557.59 10,345.84
07/31/04 9,971.06 9,772.32
08/31/04 9,971.06 9,773.31
09/30/04 10,362.08 10,149.06
10/31/04 10,578.17 10,336.59
11/30/04 11,298.47 11,058.16
12/31/04 11,782.13 11,530.71
01/31/05 11,384.16 11,140.17
02/28/05 11,593.62 11,355.73
03/31/05 11,405.10 11,138.04
04/30/05 11,017.60 10,731.02
05/31/05 11,666.93 11,370.54
06/30/05 12,033.48 11,741.50
07/31/05 12,682.81 12,402.48
08/31/05 12,536.19 12,260.29
09/30/05 12,609.50 12,353.24
10/31/05 12,337.20 12,063.19
11/30/05 12,934.16 12,625.95
12/31/05 12,973.80 12,687.10
01/31/06 13,788.68 13,520.29
02/28/06 13,670.74 13,386.26
03/31/06 14,185.40 13,896.14
04/30/06 14,239.02 13,953.33
05/31/06 13,638.57 13,350.99
06/30/06 13,660.02 13,389.26
07/31/06 13,274.02 13,011.19
08/31/06 13,552.80 13,290.39
09/30/06 13,702.91 13,411.95
10/31/06 14,378.40 14,079.23
11/30/06 14,903.79 14,588.95
12/31/06 14,960.32 14,626.04
01/31/07 15,454.87 15,097.79
02/28/07 15,364.95 15,060.52
03/31/07 15,522.31 15,223.82
04/30/07 15,870.75 15,601.06
05/31/07 16,533.91 16,272.50
06/30/07 16,320.35 16,033.51
07/31/07 15,612.23 15,314.41
08/31/07 15,758.35 15,468.66
09/30/07 16,252.91 15,937.69
10/31/07 16,769.94 16,409.00
11/30/07 15,792.07 15,488.57
12/31/07 15,665.09 15,414.92
01/31/08 14,641.39 14,463.28
02/29/08 14,343.80 14,150.98
03/31/08 14,058.11 13,900.20
04/30/08 14,831.84 14,658.22
05/31/08 15,498.44 15,356.40
06/30/08 14,331.89 14,204.90
07/31/08 14,189.05 14,071.07
08/31/08 14,474.74 14,344.85
09/30/08 12,915.37 12,786.09
10/31/08 10,248.97 10,147.75
11/30/08 9,082.42 8,991.55
12/31/08 9,501.45 9,398.48
01/31/09 8,769.60 8,696.33
02/28/09 7,911.56 7,845.91
03/31/09 8,592.94 8,522.41
04/30/09 9,879.99 9,799.78
05/31/09 10,283.77 10,206.63
06/30/09 10,359.48 10,292.20
07/31/09 11,293.22 11,219.07
08/31/09 11,722.24 11,638.17
09/30/09 12,391.00 12,314.03
10/31/09 11,697.00 11,647.62
11/30/09 12,163.87 12,110.83
12/31/09 12,956.85 12,916.42
01/31/10 12,639.59 12,607.10
02/28/10 13,248.73 13,215.59
03/31/10 14,213.19 14,184.14
04/30/10 14,885.78 14,859.40
05/31/10 13,769.03 13,742.71
06/30/10 12,817.26 12,790.60

[END CHART]

Data from 10/27/00 to 6/30/10.

*The Dow Jones U.S. Completion Total Stock Market Index is a subset of the Dow Jones U.S. Total Stock Market Index that excludes components of the S&P 500. The Dow Jones U.S. Total Stock Market Index is an all-inclusive measure composed of all U.S. equity securities with readily available prices. This broad index is divided according to stock-size segment, style, and sector to create distinct sub-indexes that track every major segment of the market.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS, AND THE CUMULATIVE PERFORMANCE QUOTED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.

8 | USAA EXTENDED MARKET INDEX FUND

The graph on page 8 illustrates how a $10,000 hypothetical investment in the USAA Extended Market Index Fund closely tracks the Dow Jones U.S. Completion Total Stock Market Index, which is a market-capitalization-weighted index of approximately 4,000 U.S. equity securities. It includes all the stocks in the Dow Jones U.S. Total Stock Market Index except for stocks included in the S&P 500 Index.

Dow Jones U.S. Completion Total Stock Market Index is a service mark of Dow Jones & Company, Inc. Dow Jones does not have any relationship to the Fund other than the licensing and sublicensing of the Dow Jones U.S. Completion Total Stock Market Index and its service marks for use in connection with the Fund.
o Dow Jones does not sponsor, endorse, sell, or promote the Fund; recommend that any person invest in the Fund or any other securities; have any responsibility or liability for or make any decisions about the timing, amount, or pricing of the Fund; have any responsibility or liability for the administration, management, or marketing of the Fund; consider the needs of the Fund or the owners of the Fund in determining, composing, or calculating the Dow Jones U.S. Completion Total Stock Market Index, or have any obligation to do so.

Dow Jones will have no liability in connection with the Fund. Specifically, Dow Jones makes no warranty, express or implied, and Dow Jones disclaims any warranty about: the results to be obtained by the Fund, the owner of the Fund, or any other person in connection with the use of the Dow Jones U.S. Completion Total Stock Market Index and the data included in the Dow Jones U.S. Completion Total Stock Market Index; the accuracy or completeness of the Dow Jones U.S. Completion Total Stock Market Index and any related data; the merchantability and the fitness for a particular purpose or use of the Dow Jones U.S. Completion Total Stock Market Index and/or its related data; Dow Jones will have no liability for any errors, omissions, or interruptions in the Dow Jones U.S. Completion Total Stock Market Index or related data; under no circumstances will Dow Jones be liable for any lost profits or indirect, punitive, special, or consequential damages or losses, even if Dow Jones knows that they might occur.
o The licensing agreement between BlackRock Advisors, LLC (or its predecessor), and Dow Jones, and the sublicensing agreeement between the Fund and BlackRock Advisors, LLC (or its predecessor), are solely for the benefit of the parties to these agreements and not for the benefit of the owners of the USAA Extended Market Index Fund or any other third parties.

INVESTMENT OVERVIEW | 9

TOP 10 HOLDINGS
AS OF 6/30/10
(% of Net Assets)*

Las Vegas Sands Corp. .................................................... 0.4%
Annaly Capital Management, Inc. .......................................... 0.4%
Crown Castle International Corp. ......................................... 0.4%
Delta Air Lines, Inc. .................................................... 0.4%
Marvell Technology Group Ltd. ............................................ 0.4%
Bunge Ltd. ............................................................... 0.3%
Seagate Technology Holdings .............................................. 0.3%
Ultra Petroleum Corp. .................................................... 0.3%
New York Community Bancorp, Inc. ......................................... 0.3%
Vertex Pharmaceuticals, Inc. ............................................. 0.3%

TOP 10 INDUSTRIES
AS OF 6/30/10
(% of Net Assets)*

Real Estate Investment Trusts (REITs) .................................... 7.0%
Technology Hardware & Equipment .......................................... 6.6%
Health Care Equipment & Services ......................................... 6.3%
Banks .................................................................... 5.3%
General Retailers ........................................................ 5.2%
Software & Computer Services ............................................. 4.7%
Pharmaceuticals & Biotechnology .......................................... 4.6%
Support Services ......................................................... 4.3%
Travel & Leisure ......................................................... 4.2%
Nonlife Insurance ........................................................ 4.0%

*Percentages are of the net assets of the Master Extended Market Index Series (the Series), not the net assets of the Fund.

You will find a complete list of securities that the Series owns on pages 31-83.

10 | USAA EXTENDED MARKET INDEX FUND

o ASSET ALLOCATION* -- 6/30/2010 o

[PIE CHART OF ASSET ALLOCATION]

Real Estate Investment Trusts (REITs) 7.0%
Technology Hardware & Equipment 6.6%
Health Care Equipment & Services 6.3%
Banks 5.3%
General Retailers 5.2%
Software & Computer Services 4.7%
Pharmaceuticals & Biotechnology 4.6%
Support Services 4.3%
Travel & Leisure 4.2%
Nonlife Insurance 4.0%
Oil & Gas Producers 3.7%
Electronic & Electrical Equipment 3.4%
Media 3.1%
Industrial Engineering 3.1%
Financial Services 3.0%
Chemicals 2.2%
Construction & Materials 2.2%
Food Producers 2.1%
Electricity 2.1%
Oil Equipment, Services & Distribution 2.0%
Other** 24.9%

[END CHART]

* Percentages are of the net assets of the Series, not the net assets of the Fund.

** Industries with less than 2.0% of the Series' net assets and short-term securities.

INVESTMENT OVERVIEW | 11

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2010 (unaudited)

ASSETS
 Investment in Master Extended Market Index Series, at fair value $278,187,976
 Receivable for redemption in Master Extended Market Index Series 244,615
 Receivable for capital shares sold 177,369
 Receivable due from USAA Investment Management Company (Note 4B) 320,899
 ------------
 Total assets 278,930,859
 ------------
LIABILITIES
 Payable for capital shares redeemed 421,985
 Accrued transfer agency fees 16,501
 Other accrued expenses and payables 52,398
 ------------
 Total liabilities 490,884
 ------------
 Net assets applicable to capital shares outstanding $278,439,975
 ============
NET ASSETS CONSIST OF:
 Paid-in capital $310,044,503
 Accumulated undistributed net investment income 1,364,769
 Accumulated net realized gain from investments and futures transactions 4,620,355
 Net unrealized depreciation on investments and futures contracts (37,589,652)
 ------------
 Net assets applicable to capital shares outstanding $278,439,975
 ============
 Capital shares outstanding 27,578,519
 ============
 Net asset value, redemption price, and offering price per share $ 10.10
 ============

See accompanying notes to financial statements and accompanying financial statements of the Master Extended Market Index Series (the Series) attached.

12 | USAA EXTENDED MARKET INDEX FUND

STATEMENT OF OPERATIONS

Six-month period ended June 30, 2010 (unaudited)

INVESTMENT INCOME
 Allocated from Master Extended Market Index Series:
 Dividends $ 1,548,254
 Foreign taxes withheld (1,373)
 Income - affiliated 7,916
 Securities lending - affiliated 84,811
 -----------
 Total income 1,639,608
 Expenses (Note 4B) (125,621)
 -----------
 Net allocated investment income 1,513,987
 -----------
FUND EXPENSES
 Administration and servicing fees 556,372
 Transfer agent's fees 409,301
 Custody and accounting fees 1,991
 Shareholder reporting fees 18,844
 Postage 16,364
 Trustees' fees 4,959
 Registration fees 19,092
 Professional fees 38,184
 Other 5,951
 -----------
 Total Fund expenses before reimbursement 1,071,058
 Expenses reimbursed (465,248)
 -----------
 Total Fund expenses after reimbursement 605,810
 -----------
NET INVESTMENT INCOME 908,177
 -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS ALLOCATED FROM MASTER
EXTENDED MARKET INDEX SERIES
 Net realized gain from investment transactions 3,141,046
 Net realized loss from futures transactions (450,385)
 Net change in unrealized appreciation/depreciation on
 investments and futures contracts (7,467,744)
 -----------
 Net allocated realized and unrealized gain on investments
 and futures contracts (4,777,083)
 -----------
 Decrease in net assets from operations $(3,868,906)
 ===========

See accompanying notes to financial statements and accompanying financial statements of the Series attached.

FINANCIAL STATEMENTS | 13

STATEMENTS OF CHANGES IN NET ASSETS

Six-month period ended June 30, 2010 (unaudited), and year ended December 31, 2009

 6/30/2010 12/31/2009
-----------------------------------------------------------------------------------------
FROM OPERATIONS
 Net investment income $ 908,177 $ 1,929,644
 Net realized gain from investment transactions 3,141,046 3,036,539
 Net realized gain (loss) from futures transactions (450,385) 3,284,433
 Net change in unrealized appreciation/depreciation
 on investments and futures contracts (7,467,744) 65,157,521
 ---------------------------
 Net increase (decrease) in net assets from
 operations (3,868,906) 73,408,137
 ---------------------------
DISTRIBUTIONS TO SHAREHOLDERS
 Net investment income - (1,592,138)
 Net realized gains - -
 ---------------------------
 Distributions to shareholders - (1,592,138)
 ---------------------------
FROM CAPITAL SHARE TRANSACTIONS
 Proceeds from shares sold 41,556,943 48,579,401
 Reinvested dividends 248 1,559,226
 Cost of shares redeemed (35,492,820) (40,570,219)
 ---------------------------
 Net increase in net assets from capital
 share transactions 6,064,371 9,568,408
 ---------------------------
 Capital contribution from USAA Transfer Agency
 Company - 806
 ---------------------------
 Net increase in net assets 2,195,465 81,385,213

NET ASSETS
 Beginning of period 276,244,510 194,859,297
 ---------------------------
 End of period $278,439,975 $276,244,510
 ===========================
Accumulated undistributed net investment income
 End of period $ 1,364,769 $ 456,592
 ===========================
CHANGE IN SHARES OUTSTANDING
 Shares sold 3,783,393 5,897,233
 Shares issued for reinvested dividends 24 150,941
 Shares redeemed (3,257,854) (4,878,918)
 ---------------------------
 Increase in shares outstanding 525,563 1,169,256
 ===========================

See accompanying notes to financial statements and accompanying financial statements of the Series attached.

14 | USAA EXTENDED MARKET INDEX FUND

FINANCIAL HIGHLIGHTS

Contained below are selected ratios and supplemental data for the periods indicated for the USAA Extended Market Index Fund.

 SIX-MONTH
 PERIOD ENDED
 JUNE 30, YEARS ENDED DECEMBER 31,
 --------------------------------------------------------------------------------------
 2010 2009 2008 2007 2006 2005
 --------------------------------------------------------------------------------------
Net asset value at
 beginning of period $ 10.21 $ 7.53 $ 13.16 $ 13.31 $ 12.10 $ 11.25
 --------------------------------------------------------------------------------------
Income (loss) from
 investment operations:
 Net investment income .03 .07 .11 .12 .14 .08
 Net realized and unrealized
 gain (loss) on investments
 and futures transactions (.14) 2.67 (5.32) .51 1.71 1.06
 --------------------------------------------------------------------------------------
Total from investment
 operations (.11) 2.74 (5.21) .63 1.85 1.14
 --------------------------------------------------------------------------------------
Less distributions:
 From net investment income - (.06) (.11) (.12) (.14) (.08)
 From realized capital gains - - (.31) (.66) (.50) (.21)
 --------------------------------------------------------------------------------------
Total distributions .00 (.06) (.42) (.78) (.64) (.29)
 --------------------------------------------------------------------------------------
Net asset value at
 end of period $ 10.10 $ 10.21 $ 7.53 $ 13.16 $ 13.31 $ 12.10
 ======================================================================================
Total return (%)* (1.08) 36.37 (39.35) 4.71(b) 15.31 10.11
Net assets at
 end of period (000) $278,440 $276,245 $194,859 $310,168 $252,844 $174,199
Ratios to average
 net assets:**
 Expenses, including expenses
 of the Master Extended
 Market Index Series (%)(a) .50 .50 .50 .50(b) .50 .50
 Expenses before
 reimbursements, including
 expenses of the Master
 Extended Market Index
 Series (%)(a) .82 .96 .90 79(b) .82 .76
 Net investment income (%) .71 .86 1.08 .92 1.23 .84
Portfolio turnover (%)*** 10 20 33 33 24 18

* Assumes reinvestment of all net investment income and realized capital gain distributions, if any, during the period. Includes adjustments in accordance with U.S. generally accepted accounting principles and could differ from the Lipper reported return. ** For the year ended December 31, 2009, average net assets were $295,241,747. *** Represents the portfolio turnover of the Master Extended Market Index Series.
(a) Reflects total operating expenses of the Fund before reductions of any expenses paid indirectly. The Fund's expenses paid indirectly decreased the expense ratios by less than 0.01%.
(b) For the year ended December 31, 2007, SAS voluntarily reimbursed the Fund for a portion of the transfer agency fees incurred. The reimbursement had no effect on the Fund's total return or ratio of expenses to average net assets.

See accompanying notes to financial statements and accompanying financial statements of the Series attached.

FINANCIAL HIGHLIGHTS | 15

NOTES TO FINANCIAL STATEMENTS

June 30, 2010 (unaudited)

(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

USAA MUTUAL FUNDS TRUST (the Trust), registered under the Investment Company Act of 1940 (the 1940 Act), as amended, is an open-end management investment company organized as a Delaware statutory trust consisting of 46 separate funds. The information presented in this semiannual report pertains only to the USAA Extended Market Index Fund (the Fund), which is classified as diversified under the 1940 Act. The Fund's primary investment objective is to seek to match, before fees and expenses, the performance of the U.S. stocks not included in the S&P 500 Index as represented by the Dow Jones U.S. Completion Total Stock Market Index.

USAA Investment Management Company (the Manager), an affiliate of the Fund, attempts to achieve this objective by investing all of the Fund's investable assets in the Master Extended Market Index Series of the Quantitative Master Series LLC (the Series), which is a separate open-end investment management company advised by BlackRock Advisors, LLC (BlackRock), with a substantially similar investment objective. At June 30, 2010, the Fund's investment was 95.75% of the Series.

The financial statements of the Series, including the Schedule of Investments, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements.

A. VALUATION OF INVESTMENTS -- The Fund records its investment in the Series at fair value, which reflects its proportionate interest in the net assets of the Series. Valuation of the securities held by the Series is discussed in Note 1 of the Series' financial statements included elsewhere in this report.

16 | USAA EXTENDED MARKET INDEX FUND

B. FAIR VALUE MEASUREMENTS -- Refer to the Schedule of Investments of the Series for a discussion of fair value measurements and a summary of the inputs used to value the Series' assets. The following is a summary of the inputs used to value the Fund's investment in the Series as of June 30, 2010:

 INVESTMENT IN
VALUATION INPUTS THE SERIES
-----------------------------------------------------------------------------
Level 1 - Quoted Prices $ -
Level 2 - Other Significant Observable Inputs 278,187,976
Level 3 - Significant Unobservable Inputs -
-----------------------------------------------------------------------------
Total $278,187,976
-----------------------------------------------------------------------------

C. DERIVATIVE FINANCIAL INSTRUMENTS -- Refer to Note 2 in the Series' Notes to Financial Statements for a discussion of derivative financial instruments and how they are accounted for in the Series' financial statements.

D. INVESTMENT INCOME AND EXPENSES -- The Fund records daily its pro rata share of the Series' income, expenses, and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses.

E. FEDERAL TAXES -- The Fund's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its income to its shareholders. Therefore, no federal income tax provision is required.

F. EXPENSES PAID INDIRECTLY -- Through arrangements with banks utilized by the Fund for cash management purposes, realized credits, if any, generated from cash balances in the Fund's bank accounts are used to reduce the Fund's expenses. For the six-month period ended June 30, 2010, the Fund did not incur any expenses paid indirectly.

G. INDEMNIFICATIONS -- Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future

NOTES TO FINANCIAL STATEMENTS | 17

claims that may be made against the Trust that have not yet occurred. However, the Trust expects the risk of loss to be remote.

H. USE OF ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts in the financial statements.

(2) LINE OF CREDIT

The Fund participates in a joint, short-term, revolving, committed loan agreement of $750 million with USAA Capital Corporation (CAPCO), an affiliate of the Manager. The purpose of the agreement is to meet temporary or emergency cash needs, including redemption requests that might otherwise require the untimely disposition of securities. Subject to availability, the Fund may borrow from CAPCO an amount up to 5% of the Fund's total assets at a rate per annum equal to the rate at which CAPCO obtains funding in the capital markets, with no markup.

The USAA funds that are party to the loan agreement are assessed facility fees by CAPCO based on the funds' assessed proportionate share of CAPCO's operating expenses related to obtaining and maintaining CAPCO's funding programs in total (in no event to exceed 0.13% annually of the amount of the committed loan agreement). The facility fees are allocated among the funds based on their respective average net assets for the period.

For the six-month period ended June 30, 2010, the Fund paid CAPCO facility fees of $586, which represents 0.7% of the total fees paid to CAPCO by the USAA funds. The Fund had no borrowings under this agreement during the six-month period ended June 30, 2010.

(3) DISTRIBUTIONS

The tax basis of distributions and accumulated undistributed net investment income will be determined based upon the Fund's tax year-end of December 31, 2010, in accordance with applicable tax law.

Distributions of net investment income and the Fund's pro rata share of the Series' realized gains from security transactions not offset by capital

18 | USAA EXTENDED MARKET INDEX FUND

losses are made annually in the succeeding fiscal year or as otherwise required to avoid the payment of federal taxes.

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the statement of operations if the tax positions were deemed to not meet the more-likely-than-not threshold. For the six-month period, ended June 30, 2010, the Fund did not incur any income tax, interest, or penalties. As of June 30, 2010, the Manager has reviewed all open tax years and concluded that there was no impact to the Fund's net assets or results of operations. Tax year ended December 31, 2009, and each of the three preceding fiscal years, remain subject to examination by the Internal Revenue Service and state taxing authorities. On an ongoing basis, the Manager will monitor its tax positions to determine if adjustments to this conclusion are necessary.

(4) TRANSACTIONS WITH MANAGER

A. ADMINISTRATION AND SERVICING FEES -- The Manager provides administration and shareholder servicing functions for the Fund. For such services, the Manager receives a fee accrued daily and paid monthly at an annualized rate of 0.38% of the Fund's average net assets for the fiscal year. For the six-month period ended June 30, 2010, the Fund incurred administration and servicing fees, paid or payable to the Manager, of $556,372.

In addition to the services provided under its Administration and Servicing Agreement with the Fund, the Manager also provides certain compliance and legal services for the benefit of the Fund. The Trust's Board of Trustees has approved the reimbursement of a portion of these expenses incurred by the Manager. For the six-month period ended June 30, 2010, the Fund reimbursed the Manager $3,304 for these compliance and legal services. These expenses are included in the professional fees on the Fund's statement of operations.

Out of the administration and servicing fees received from the Fund, the Manager pays BlackRock up to 0.10% for subadministration

NOTES TO FINANCIAL STATEMENTS | 19

services provided on the Manager's behalf. For the six-month period ended June 30, 2010, the Manager incurred subadministration fees, paid or payable to BlackRock, of $16,706.

B. EXPENSE LIMITATION -- The Manager has agreed, through May 1, 2011, to limit the annual expenses of the Fund to 0.50% of the Fund's annual average net assets, excluding extraordinary expenses and before reductions of any expenses paid indirectly, and will reimburse the Fund for all expenses in excess of that amount. This expense limitation arrangement may not be changed or terminated through May 1, 2011, without approval of the Trust's Board of Trustees, and may be changed or terminated by the Manager at any time after that date. For the six-month period ended June 30, 2010, the Fund incurred reimbursable expenses of $465,248, of which $320,899 was receivable from the Manager. Additionally, the expenses allocated to the Fund from the Series included fees waived by BlackRock Advisors, LLC of $4,338. Refer to Note 3 in the Series' Notes to Financial Statements.

C. TRANSFER AGENT'S FEES -- USAA Transfer Agency Company, d/b/a USAA Shareholder Account Services (SAS), an affiliate of the Manager, provides transfer agency services to the Fund based on an annual charge of $26 per shareholder account, plus out-of-pocket expenses. The Fund also pays SAS fees that are related to the administration and servicing of accounts that are traded on an omnibus basis. For the six-month period ended June 30, 2010, the Fund incurred transfer agent's fees paid or payable to SAS, of $409,301.

D. UNDERWRITING AGREEMENT -- The Manager provides exclusive underwriting and distribution of the Fund's shares on a continuing best-efforts basis. The Manager receives no commissions or fees for this service.

E. MANAGEMENT AGREEMENT -- The Manager serves as investment adviser to the Fund and is responsible for monitoring the services provided to the Series by BlackRock. While the Fund maintains its investment in the Series, the Manager receives no fee from the Fund for the monitoring service performed on its behalf.

20 | USAA EXTENDED MARKET INDEX FUND

(5) TRANSACTIONS WITH AFFILIATES

Certain trustees and officers of the Fund are also directors, officers, and/or employees of the Manager. None of the affiliated trustees or Fund officers received any compensation from the Fund.

NOTES TO FINANCIAL STATEMENTS | 21

EXPENSE EXAMPLE

June 30, 2010 (unaudited)

EXAMPLE

As a shareholder of the Fund, you incur two types of costs: direct costs, such as wire fees, redemption fees, and low balance fees; and indirect costs, including administration fees, transfer agency fees, expenses allocated to the Fund by the Master Extended Market Index Series, and other Fund operating expenses. This example is intended to help you understand your indirect costs, also referred to as "ongoing costs" (in dollars), of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period of January 1, 2010, through June 30, 2010.

ACTUAL EXPENSES

The first line of the table on the next page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested at the beginning of the period, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual

22 | USAA EXTENDED MARKET INDEX FUND

ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any direct costs, such as wire fees, redemption fees, or low balance fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these direct costs were included, your costs would have been higher.

 EXPENSES PAID
 BEGINNING ENDING DURING PERIOD*
 ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2010 -
 JANUARY 1, 2010 JUNE 30, 2010 JUNE 30, 2010
---------------------------------------------------------------------------------------------
Actual $1,000.00 $ 989.20 $2.47

Hypothetical
 (5% return before expenses) 1,000.00 1,022.32 2.51

* Expenses are equal to the Fund's annualized expense ratio of 0.50%, which includes expenses of the Master Extended Market Index Series, and is net of any reimbursements and expenses paid indirectly, multiplied by the average account value over the period, multiplied by 181 days/365 days (to reflect the one-half-year period). The Fund's ending account value on the first line in the table is based on its actual total return of -1.08% for the six-month period of January 1, 2010, through June 30, 2010.

EXPENSE EXAMPLE | 23

ADVISORY AGREEMENT

June 30, 2010 (unaudited)

At a meeting of the Board of Trustees (the Board) held on April 9, 2010, the Board, including the Trustees who are not "interested persons" of the Trust (the Independent Trustees), approved the continuance of the Management Agreement between the Trust and the Manager with respect to the Fund.

In advance of the meeting, the Trustees received and considered a variety of information relating to the Management Agreement and the Manager and were given the opportunity to ask questions and request additional information from management. The information provided to the Board included, among other things:
(i) a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable investment companies; (ii) information concerning the services rendered to the Fund, as well as information regarding the Manager's revenues and costs of providing services to the Fund and compensation paid to affiliates of the Manager; and (iii) information about the Manager's operations and personnel.

Prior to voting, the Independent Trustees reviewed the proposed continuance of the Management Agreement with management and with experienced independent counsel and received materials from such counsel discussing the legal standards for their consideration of the proposed continuation of the Management Agreement with respect to the Fund. The Independent Trustees also reviewed the proposed continuation of the Management Agreement with respect to the Fund in private sessions with their counsel at which no representatives of management were present.

At each regularly scheduled meeting of the Board and its committees, the Board receives and reviews, among other things, information concerning the Fund's performance and services provided by the Manager. At the meeting at which renewal of the Management Agreement is considered, particular focus is given to information concerning Fund performance,

24 | USAA EXTENDED MARKET INDEX FUND

comparability of fees and total expenses, and profitability. However, the Board noted that the evaluation process with respect to the Manager is an ongoing one. In this regard, the Board's and its committees' consideration of the Management Agreement included certain information previously received at such meetings.

MANAGEMENT AGREEMENT

After full consideration of a variety of factors, the Board, including the Independent Trustees, voted to approve the Management Agreement. In approving the Management Agreement, the Trustees did not identify any single factor as controlling, and each Trustee may have attributed different weights to various factors. Throughout their deliberations, the Independent Trustees were represented and assisted by independent counsel.

The Trustees took into account the fact that the Fund operates in a master- feeder structure through which the Fund invests all of its investable assets in the Extended Market Index Series (the Master Fund), a separate registered investment company advised by BlackRock Advisors, LLC (the Adviser).

NATURE, EXTENT, AND QUALITY OF SERVICES -- In considering the nature, extent, and quality of the services provided by the Manager under the Management Agreement, the Board reviewed information provided by the Manager relating to its operations and personnel. The Board also took into account its familiarity with the Manager's management through Board meetings, discussions, and reports during the preceding year. The Board considered the services provided to the Fund by the Manager under the Management Agreement, as well as other services provided by the Manager and its affiliates under other agreements, and the personnel who provide these services. The Board noted that the Manager receives no investment advisory fee for serving as the investment adviser to the Fund so long as the Fund is operated in a master-feeder structure. In addition to the investment advisory services provided to the Fund, the Manager and its affiliates provide administrative services, stockholder services, oversight of fund accounting, marketing services, assistance in meeting legal and regulatory requirements, and other services necessary for the operation

ADVISORY AGREEMENT | 25

of the Fund and the Trust. The Board considered the level and depth of knowledge of the Manager, including the professional experience and qualifications of senior personnel, as well as current staffing levels. The Board discussed the Manager's effectiveness in monitoring the performance of the Adviser to the Master Fund. The Manager's role in coordinating the activities of the Fund's other service providers was also considered. The Board considered the Manager's financial condition and that it had the financial wherewithal to continue to provide the same scope and high quality of services under the Management Agreement. In reviewing the Management Agreement, the Board focused on the experience, resources, and strengths of the Manager and its affiliates in managing investment companies, including the Fund.

The Board also reviewed the compliance and administrative services provided to the Fund by the Manager, including oversight of the Master Fund's operations and of the Fund's day-to-day operations and oversight of Fund accounting. The Manager and its affiliates provide compliance and administrative services to the Fund. The Trustees, guided also by information obtained from their experiences as trustees of the Fund and other investment companies managed by the Manager, also focused on the quality of the Manager's compliance and administrative staff.

EXPENSES AND PERFORMANCE -- In connection with its consideration of the Management Agreement, the Board evaluated the Fund's advisory fees and total expense ratio as compared to other open-end investment companies deemed to be comparable to the Fund as determined by the independent third party in its report. The Fund's expenses were compared to a group of investment companies chosen by the independent third party to be comparable to the Fund based upon certain factors, including fund type, comparability of investment objective and classification, sales load type (in this case, investment companies with no sales loads and front-end loads), asset size, and expense components (the "expense group") and (ii) a larger group of investment companies that includes all no-load and front-end load retail open-end investment companies in the same investment classification/objective as the Fund regardless of asset size, excluding outliers (the "expense universe"). Among other data, the Board noted that the Fund's management fee rate -- which reflects the

26 | USAA EXTENDED MARKET INDEX FUND

advisory fee paid by the Master Fund to the Adviser as well as administrative services provided to the Fund by the Manager and its affiliates and the effects of any reimbursements -- was below the median of its expense group and its expense universe. The data indicated that the Fund's total expenses, after reimbursements, were below the median of its expense group and was the median of its expense universe. The Board noted that the Manager does not currently receive an advisory fee from the Fund for the services that it provides under the Management Agreement. The Trustees took into account that the management fee and total expenses reflected both the expenses of the Fund as well as those of the Master Fund and that the Master Fund's advisory fee was below the median of the Fund's expense group. The Trustees also took into account the Manager's current undertakings to maintain expense limitations for the Fund. The Board also took into account the various services provided to the Fund by the Manager and its affiliates. The Trustees also noted the high level of correlation between the Fund and its corresponding index and the relatively low tracking error between the two, and noted that it reviews such information on a quarterly basis.

In considering the Fund's performance, the Board noted that it reviews at its regularly scheduled meetings detailed information about the Fund's and the Master Fund's performance results. The Trustees also reviewed various comparative data provided to them in connection with their consideration of the renewal of the Management Agreement, including, among other information, a comparison of the Fund's average annual total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by the independent third party in its report (the "performance universe"). The Fund's performance universe consisted of the Fund and all retail and institutional open-end investment companies with the same classification/objective as the Fund regardless of asset size or primary channel of distribution. This comparison indicated that, among other data, the Fund's performance was below the average of its performance universe and its Lipper index for the one- and three-year periods ended December 31, 2009 and was above the average of its performance universe and lower than its Lipper index for the five-year period ended December 31, 2009. The Board also noted that the Fund's

ADVISORY AGREEMENT | 27

percentile performance ranking was in the top 50% of its performance universe for the one-year period ended December 31, 2009 and in the bottom 50% of its performance universe for the three- and five-year periods ended December 31, 2009. The Board took into account management's discussion of the Fund's performance, including the Fund's high level of correlation between the Fund's performance and its corresponding index. The Trustees also noted management's discussion of the peer group of the Fund.

COMPENSATION AND PROFITABILITY -- The Board noted that the Manager does not currently receive an advisory fee from the Fund under the Management Agreement. The information considered by the Board included operating profit margin information for the Manager's business as a whole. The Board also received and considered profitability information related to the revenues from the Fund. This consideration included a broad review of the methodology used in the allocation of certain costs to the Fund. The Trustees reviewed the profitability of the Manager's relationship with the Fund before tax expenses. In considering the profitability data with respect to the Fund, the Trustees noted that the Manager reimbursed the Fund for expenses. In reviewing the overall profitability of the Fund to the Manager, the Board also considered the fact that affiliates provide shareholder servicing and administrative services to the Fund for which they receive compensation. The Board also considered the possible direct and indirect benefits to the Manager from its relationship with the Trust, including that the Manager may derive reputational and other benefits from its association with the Fund.

ECONOMIES OF SCALE -- With respect to the consideration of any economies of scale to be realized by the Fund, the Board took into account that the Manager does not receive any advisory fees under the Management Agreement and that the management fee reflects the advisory fee paid at the Master Fund level to the Master Fund's Adviser. The Board took into account Management's discussion of the Fund's current advisory fee structure. The Board determined that the current fee structure was reasonable. The Board also considered the effects of the Fund's growth and size on the Fund's performance and fees, noting that if the Fund's

28 | USAA EXTENDED MARKET INDEX FUND

assets increase over time, the Fund may realize other economies of scale if assets increase proportionally more than some expenses.

CONCLUSIONS -- The Board reached the following conclusions regarding the Fund's Management Agreement with the Manager, among others: (i) the Manager has demonstrated that it possesses the capability and resources to perform the duties required of it under the Management Agreement; (ii) the Manager maintains an appropriate compliance program; (iii) the performance of the Fund is reasonable in relation to the performance of funds with similar investment objectives and to relevant indices; (iv) the Fund's advisory expenses are reasonable in relation to those of similar funds and to the services to be provided by the Manager; and (v) the Manager and its affiliates' level of profitability, if any, from their relationship with the Fund is reasonable. Based on its conclusions, the Board determined that continuation of the Management Agreement would be in the best interests of the Fund and its shareholders.

ADVISORY AGREEMENT | 29

Semiannual report of the
MASTER EXTENDED MARKET INDEX SERIES
in which the USAA EXTENDED MARKET INDEX FUND

invests

SCHEDULE OF INVESTMENTS

June 30, 2010 (Unaudited)

--------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------
COMMON STOCKS

AEROSPACE & DEFENSE - 1.2%
 4,300 AAR Corp.(a) $ 71,982
 200 Aerosonic Corp.(a) 588
 2,900 AeroVironment, Inc.(a) 63,017
 4,562 Alliant Techsystems, Inc.(a) 283,118
 13,400 American Defense Systems, Inc.(a) 3,216
 13,532 Applied Energetics, Inc.(a),(b) 13,938
 3,100 Applied Signal Technology, Inc. 60,915
 2,800 Argon ST, Inc.(a) 96,012
 3,320 Arotech Corp.(a) 4,847
 1,304 Astronics Corp.(a) 21,333
 2,934 Astrotech Corp.(a) 3,638
 1,200 Aviation General, Inc.(a) -
 13,200 BE Aerospace, Inc.(a) 335,676
 4,475 Ceradyne, Inc.(a) 95,631
 1,800 Cubic Corp. 65,484
 5,000 Curtiss-Wright Corp. 145,200
 1,600 Ducommun, Inc. 27,360
 3,700 Esterline Technologies Corp.(a) 175,565
 8,800 Force Protection, Inc.(a) 36,080
 10,600 GenCorp, Inc.(a) 46,428
 800 Hawk Corp., Class A(a) 20,360
 3,328 Heico Corp., Class A 89,690
 1,408 Herley Industries, Inc.(a) 20,078
 11,475 Hexcel Corp.(a) 177,977
 4,000 ICx Technologies, Inc.(a) 29,200
 3,261 Innovative Solutions & Support, Inc.(a) 14,348
 1,563 Kratos Defense & Security Solutions, Inc.(a) 16,412
 2,600 LMI Aerospace, Inc.(a) 41,002
 2,500 Ladish Co., Inc.(a) 56,800
 2,195 Mantech International Corp., Class A(a) 93,441
 4,886 Moog, Inc., Class A(a) 157,476
 7,300 Orbital Sciences Corp.(a) 115,121
 2,400 RBC Bearings, Inc.(a) 69,576
 11,500 Smith & Wesson Holding Corp.(a) 47,035
 12,000 Spirit Aerosystems Holdings, Inc., Class A(a) 228,720
 4,400 Sturm Ruger & Co., Inc. 63,052
 10,930 Taser International, Inc.(a) 42,627
 4,800 Teledyne Technologies,Inc.(a) 185,184
 5,100 TransDigm Group, Inc. 260,253
 2,400 Triumph Group, Inc. 159,912
 1,000 VSE Corp. 31,820
 ------------
 3,470,112
 ------------
ALTERNATIVE ENERGY - 0.1%
 2,600 Akeena Solar, Inc.(a),(b) 1,756
 1,500 Ascent Solar Technologies, Inc.(a) 4,095
 4,600 BioFuel Energy Corp.(a) 5,934
 412 DayStar Technologies, Inc.(a) 416
 8,500 Ener1, Inc.(a),(b) 28,730
 5,758 Energy Conversion Devices, Inc.(a),(b) 23,608
 16,600 Evergreen Solar, Inc.(a),(b) 11,321
 11,800 FuelCell Energy, Inc.(a),(b) 13,924
 6,314 GT Solar International, Inc.(a),(b) 35,358
 1,913 Green Plains Renewable Energy(a) 19,551
 300 GreenHunter Energy, Inc.(a) 276
 2,900 Hoku Corp.(a) 9,686
 2,700 Ocean Power Technologies, Inc.(a) 13,986

SCHEDULE OF INVESTMENTS | 31

--------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------
 15,500 Pacific Ethanol, Inc.(a) $ 9,920
 19,907 Plug Power, Inc.(a) 9,157
 4,700 Raser Technologies, Inc.(a) 2,750
 4,674 STR Holdings, Inc.(a) 87,871
 9,550 SunPower Corp., Class A(a),(b) 115,555
 3,173 SunPower Corp., Class B(a) 34,268
 3,090 Verenium Corp.(a) 7,262
 ------------
 435,424
 ------------
AUTOMOBILES & PARTS - 1.1%
 8,046 American Axle & Manufacturing Holdings, Inc.(a) 58,977
 4,600 Amerigon, Inc.(a) 33,948
 14,700 BorgWarner, Inc.(a) 548,898
 6,900 Cooper Tire & Rubber Co. 134,550
 17,126 Dana Holding Corp.(a) 171,260
 1,519 Dorman Products, Inc.(a) 30,881
 6,887 Exide Technologies(a) 35,812
 3,120 Federal-Mogul Corp., Class A(a) 40,622
 2,160 Fuel Systems Solutions, Inc.(a),(b) 56,052
 18,990 Gentex Corp. 341,440
 18,280 LKQ Corp.(a) 352,439
 5,719 Lear Corp.(a) 378,598
 3,489 LoJack Corp.(a) 12,875
 5,205 Modine Manufacturing Co.(a) 39,974
 31,112 Quantum Fuel Systems Technologies Worldwide, Inc.(a) 16,676
 400 Shiloh Industries, Inc.(a) 3,384
 4,500 Standard Motor Products, Inc. 36,315
 1,700 Stoneridge, Inc.(a) 12,903
 900 Strattec Security Corp.(a) 19,890
 3,110 Superior Industries International, Inc. 41,799
 10,362 TRW Automotive Holdings Corp.(a) 285,680
 8,037 Tenneco, Inc.(a) 169,259
 6,875 Titan International, Inc. 68,544
 3,832 U.S. Auto Parts Network, Inc.(a) 22,992
 600 United Capital Corp.(a) 14,646
 8,600 WABCO Holdings, Inc.(a) 270,728
 ------------
 3,199,142
 ------------
BANKS - 5.3%
 1,510 1st Source Corp. 25,549
 2,518 1st United BanCorp., Inc.(a) 18,532
 2,400 Abington Bancorp, Inc. 20,928
 500 Alliance Financial Corp. 13,900
 200 Ameriana Bancorp 838
 600 American National Bankshares, Inc. 12,834
 2,528 Ameris Bancorp 24,420
 700 Ames National Corp. 13,678
 2,600 Anchor Bancorp Wisconsin, Inc.(a) 1,170
 1,205 Arrow Financial Corp. 27,835
 23,359 Associated Banc-Corp. 286,381
 12,250 Astoria Financial Corp. 168,560
 434 Atlantic Coast Federal Corp.(a) 1,298
 631 BCSB Bancorp, Inc.(a) 6,247
 3,426 BOK Financial Corp. 162,632
 1,000 Bancfirst Corp. 36,490
 3,400 The Bancorp, Inc.(a) 26,622
 1,300 Bancorp of New Jersey, Inc. 15,977
 900 Bancorp Rhode Island, Inc. 23,580
 9,164 BancorpSouth, Inc. 163,852
 3,818 BancTrust Financial Group, Inc.(a) 14,127
 5,900 Bank Mutual Corp. 33,512
 2,778 Bank of Granite Corp.(a) 3,195
 6,700 Bank of Hawaii Corp.(c) 323,945
 500 Bank of Marin Bancorp 15,965
 2,500 Bank of the Ozarks, Inc.(c) 88,675
 7,368 BankAtlantic Bancorp, Inc.(a) 10,315

32 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,200 BankFinancial Corp. $ 18,282
 2,500 Banner Corp. 4,950
 500 Bar Harbor Bankshares 12,485
 4,000 Beneficial Mutual Bancorp, Inc.(a) 39,520
 300 Berkshire Bancorp, Inc.(a) 1,500
 1,700 Berkshire Hills Bancorp, Inc. 33,116
 2,300 BofI Holding, Inc.(a) 32,476
 11,400 Boston Private Financial Holdings, Inc. 73,302
 1,100 Bridge Bancorp, Inc. 26,708
 10,299 Brookline Bancorp, Inc. 91,455
 700 Bryn Mawr Bank Corp. 11,746
 2,640 CFS Bancorp, Inc. 12,830
 15,275 CVB Financial Corp.(b) 145,112
 600 California First National Bancorp 7,404
 894 Camco Financial Corp.(a) 2,244
 800 Camden National Corp. 21,976
 200 Cape Bancorp, Inc.(a) 1,430
 3,637 Capital Bank Corp. 11,820
 1,745 Capital City Bank Group, Inc. 21,603
 1,820 Capitol Bancorp Ltd.(a) 2,311
 2,767 Capitol Federal Financial 91,754
 36,416 CapitalSource, Inc. 173,340
 4,200 Cardinal Financial Corp. 38,808
 210 Carrollton Bancorp 1,138
 2,975 Cascade Bancorp(a) 1,428
 2,391 Cascade Financial Corp.(a) 1,136
 10,522 Cathay General Bancorp 108,692
 3,015 Center Bancorp, Inc. 22,854
 4,612 Center Financial Corp.(a) 23,752
 2,705 Centerstate Banks, Inc. 27,293
 4,555 Central Pacific Financial Corp.(a),(b) 6,833
 900 Century Bancorp, Inc., Class A 19,836
 500 Charter Financial Corp. 4,950
 2,947 Chemical Financial Corp. 64,186
 600 Chicopee Bancorp, Inc.(a) 7,026
 1,629 Citizens & Northern Corp. 17,430
 69,785 Citizens Banking Corp.(a) 59,317
 2,496 Citizens South Banking Corp. 12,979
 2,900 City Holding Co. 80,852
 5,735 City National Corp. 293,804
 980 Clifton Savings Bancorp, Inc. 8,477
 4,417 CoBiz Financial, Inc. 29,108
 750 Colony Bankcorp, Inc.(a) 4,500
 4,630 Columbia Banking System, Inc. 84,544
 100 Comm Bancorp, Inc. 1,750
 9,324 Commerce Bancshares, Inc. 335,571
 5,500 Community Bank System, Inc. 121,165
 1,580 Community Trust Bancorp, Inc. 39,658
 7,540 Cullen/Frost Bankers, Inc. 387,556
 3,700 Danvers Bancorp, Inc. 53,465
 3,900 Dime Community Bancshares, Inc. 48,087
 677 Doral Financial Corp.(a) 1,652
 629 ESB Financial Corp. 8,208
 2,400 ESSA Bancorp, Inc. 29,544
 1,991 Eagle Bancorp, Inc.(a) 23,454
 18,169 East-West Bancorp, Inc. 277,077
 300 Eastern Virginia Bankshares, Inc. 1,953
 100 Emclaire Financial Corp. 1,555
 1,700 Encore Bancshares, Inc.(a) 16,813
 2,700 Enterprise Financial Services Corp. 26,028
 12,873 F.N.B. Corp. 103,370
 2,022 FNB United Corp.(a) 1,618
 1,981 Farmers Capital Bank Corp. 10,004
 1,900 Financial Institutions, Inc. 33,744
 1,187 First Bancorp, Inc. 15,585

SCHEDULE OF INVESTMENTS | 33

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,800 First Bancorp, North Carolina $ 26,082
 16,800 First BanCorp, Puerto Rico(a),(b) 8,904
 7,921 First Busey Corp. 35,882
 800 First Chester County Corp. 6,912
 1,258 First Citizens Banc Corp 5,661
 683 First Citizens BancShares, Inc., Class A 131,361
 9,100 First Commonwealth Financial Corp. 47,775
 1,828 First Community Bancshares, Inc. 26,853
 1,300 First Defiance Financial Corp. 11,622
 1,515 First Federal Bancshares of Arkansas, Inc. 3,939
 8,810 First Financial Bancorp 131,709
 2,166 First Financial Bankshares, Inc. 104,163
 1,288 First Financial Corp. 33,243
 1,400 First Financial Holdings, Inc. 16,030
 3,100 First Financial Northwest, Inc. 12,276
 358 First Financial Service Corp. 2,592
 1,106 First M&F Corp. 4,358
 3,244 First Merchants Corp. 27,509
 10,375 First Midwest Bancorp, Inc. 126,160
 27,592 First Niagara Financial Group, Inc. 345,728
 400 The First of Long Island Corp. 10,284
 2,994 First Place Financial Corp. 8,982
 1,076 First Security Group, Inc. 2,066
 1,000 First South Bancorp, Inc. 10,610
 3,300 First State Bancorp.(a),(b) 1,023
 700 First United Corp. 2,730
 12,639 FirstMerit Corp. 216,506
 4,279 Flagstar BanCorp, Inc.(a) 13,436
 2,950 Flushing Financial Corp. 36,078
 1,711 Fox Chase BanCorp, Inc.(a) 16,372
 25,411 Fulton Financial Corp. 245,216
 1,094 HMN Financial, Inc.(a) 5,011
 1,061 German American Bancorp, Inc. 16,233
 9,856 Glacier Bancorp, Inc. 144,588
 1,100 Great Southern Bancorp, Inc. 22,341
 2,027 Greene County Bancshares, Inc.(a) 25,885
 5,400 Guaranty Bancorp(a) 5,724
 4,404 Hampton Roads Bankshares, Inc.(a) 3,303
 4,200 Hancock Holding Co. 140,112
 14,356 Hanmi Financial Corp.(a),(b) 18,089
 270 Hawthorn Bancshares, Inc. 3,231
 1,700 Heartland Financial USA, Inc. 29,376
 2,744 Heritage Commerce Corp.(a) 9,741
 960 Heritage Financial Corp.(a) 14,371
 1,000 Home Bancorp, Inc.(a) 12,910
 2,808 Home Bancshares, Inc. 64,050
 1,800 Home Federal Bancorp,Inc. 22,734
 1,549 Hudson Valley Holding Corp. 35,813
 3,200 IBERIABANK Corp. 164,736
 2,313 Independent Bank Corp./MA 57,085
 6,490 Independent Bank Corp./MI 2,460
 1,100 Indiana Community Bancorp 13,145
 5,814 Integra Bank Corp.(a),(b) 4,419
 6,434 International Bancshares Corp. 107,383
 2,439 Intervest Bancshares Corp.(a) 13,293
 5,678 Investors Bancorp, Inc.(a) 74,495
 2,346 Jefferson Bancshares, Inc. 9,314

34 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,300 Kearny Financial Corp. $ 21,068
 2,600 Lakeland Bancorp, Inc. 22,152
 3,200 Lakeland Financial Corp. 63,936
 1,700 Legacy Bancorp, Inc./MA 14,994
 600 Louisiana Bancorp, Inc.(a) 8,406
 7,530 MB Financial, Inc. 138,477
 3,239 Macatawa Bank Corp.(a) 3,887
 2,301 MainSource Financial Group, Inc. 16,498
 1,200 Malvern Federal Bancorp, Inc. 10,032
 3,570 Mercantile Bank Corp. 19,171
 550 Merchants Bancshares, Inc. 12,221
 1,518 Metro Bancorp, Inc.(a) 18,732
 115 Mid Penn Bancorp, Inc. 1,035
 900 MidwestOne Financial Group, Inc. 13,932
 300 MutualFirst Financial, Inc. 2,010
 400 NASB Financial, Inc. 6,060
 3,990 NBT Bancorp, Inc. 81,476
 6,000 Nara Bancorp, Inc.(a) 50,580
 572 National Bankshares, Inc. 13,860
 20,227 National Penn Bancshares, Inc. 121,564
 56,041 New York Community Bancorp, Inc.(b) 855,746
 13,500 NewAlliance Bancshares, Inc. 151,335
 4,304 Newbridge Bancorp(a) 15,107
 3,289 North Valley Bancorp(a) 7,236
 300 Northern States Financial Corp.(a) 675
 2,200 Northfield Bancorp, Inc. 28,556
 7,900 Northwest Bancshares, Inc. 90,613
 157 Norwood Financial Corp. 3,964
 4,400 OceanFirst Financial Corp. 53,108
 875 Ohio Valley Banc Corp. 14,411
 12,721 Old National Bancorp 131,790
 4,286 Old Second Bancorp, Inc. 8,572
 3,894 Oriental Financial Group 49,298
 2,100 Oritani Financial Corp. 21,000
 688 Orrstown Financial Service, Inc. 15,225
 1,688 PAB Bankshares, Inc.(a) 1,587
 5,166 PVF Capital Corp.(a) 9,712
 12,210 Pacific Capital Bancorp(a) 8,791
 1,953 Pacific Continental Corp. 18,495
 4,561 PacWest Bancorp 83,512
 1,000 Pamrapo Bancorp, Inc.(a) 7,050
 1,364 Park National Corp.(b) 88,715
 500 Parkvale Financial Corp. 4,190
 906 Peapack-Gladstone Financial Corp. 10,600
 800 Penns Woods Bancorp, Inc. 24,336
 1,095 Peoples Bancorp, Inc. 15,877
 363 Peoples Bancorp of North Carolina, Inc. 1,753
 1,000 Peoples Financial Corp. 10,600
 5,842 Pinnacle Financial Partners, Inc.(a) 75,070
 91,739 Popular, Inc.(a) 245,861
 1,035 Porter Bancorp, Inc. 13,062
 4,683 Preferred Bank(a) 9,787
 840 Premierwest Bancorp(a) 336
 8,727 PrivateBancorp, Inc. 96,695
 6,700 Prosperity Bancshares, Inc. 232,825
 500 Provident Financial Holdings, Inc. 2,400
 9,789 Provident Financial Services, Inc. 114,433
 4,803 Provident New York Bancorp 42,507
 1,400 Prudential Bancorp, Inc. of Pennsylvania 8,344
 1,000 Pulaski Financial Corp. 6,450
 2,475 Renasant Corp. 35,516
 1,448 Republic Bancorp, Inc., Class A 32,435
 1,946 Republic First Bancorp, Inc.(a) 3,795
 1,650 Riverview Bancorp, Inc.(a) 4,043

SCHEDULE OF INVESTMENTS | 35

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,300 Rockville Financial, Inc. $ 15,483
 5,100 Rodman & Renshaw Capital Group, Inc.(a) 14,586
 900 Roma Financial Corp. 9,774
 2,000 Rome Bancorp, Inc. 18,040
 1,265 Royal Bancshares of Pennsylvania, Class A(a) 3,795
 3,000 S&T Bancorp, Inc.(b) 59,280
 1,399 SCBT Financial Corp. 49,273
 5,805 SVB Financial Group(a) 239,340
 1,310 SY Bancorp, Inc. 30,104
 2,910 Sandy Spring Bancorp,Inc. 40,769
 703 Santander BanCorp(a) 8,886
 188 Savannah Bancorp, Inc. 1,835
 13,205 Seacoast Banking Corp. of Florida(a),(b) 17,563
 850 Shore Bancshares, Inc. 10,124
 1,388 Sierra Bancorp 15,962
 6,000 Signature Bank(a) 228,060
 2,800 Simmons First National Corp., Class A 73,528
 5,200 Smithtown Bancorp, Inc. 15,496
 49,735 The South Financial Group, Inc.(a) 13,553
 1,822 Southside Bancshares, Inc. 35,784
 4,200 Southwest Bancorp, Inc. 55,818
 132 Southwest Georgia Financial Corp. 1,320
 1,425 State Bancorp, Inc. 13,537
 2,425 StellarOne Corp. 30,967
 2,605 Sterling Bancorp 23,445
 14,925 Sterling Bancshares, Inc. 70,297
 12,643 Sterling Financial Corp.(a) 6,954
 1,200 Suffolk Bancorp 37,128
 785 Summit Financial Group, Inc.(a) 1,892
 2,109 Sun Bancorp, Inc.(a) 7,930
 2,362 Superior Bancorp(a) 4,559
 15,590 Susquehanna Bancshares, Inc. 129,865
 56,427 Synovus Financial Corp.(b) 143,325
 17,090 TCF Financial Corp. 283,865
 100 TF Financial Corp. 2,180
 10,500 TFS Financial Corp. 130,305
 200 Teche Holding Co. 5,620
 6,200 Texas Capital Bancshares, Inc.(a) 101,680
 915 Tompkins Trustco, Inc. 34,541
 600 Tower Bancorp, Inc. 13,134
 3,457 Towne Bank(b) 50,196
 1,600 Trico Bancshares 27,088
 8,360 TrustCo Bank Corp. NY 46,816
 8,200 Trustmark Corp. 170,724
 3,920 UMB Financial Corp. 139,395
 13,466 Umpqua Holdings Corp. 154,590
 2,099 Union First Market Bankshares Corp. 25,734
 336 United Bancorp, Inc. 2,792
 6,700 United Bankshares, Inc.(b) 160,398
 15,380 United Community Banks, Inc.(a) 60,751
 3,252 United Community Financial Corp.(a) 5,431
 1,100 United Financial Bancorp, Inc. 15,015
 1,119 United Security Bancshares(a) 4,073
 2,860 United Western Bancorp, Inc. 2,288
 1,928 Univest Corp. of Pennsylvania 33,393
 21,023 Valley National Bancorp(b) 286,333
 2,100 ViewPoint Financial Group 29,085
 4,570 Virginia Commerce Bancorp(a) 28,562
 1,800 WSFS Financial Corp. 64,674
 200 WVS Financial Corp. 2,172
 4,000 Washington Banking Co. 51,160
 15,721 Washington Federal, Inc. 254,366
 1,708 Washington Trust Bancorp, Inc. 29,104
 600 Waterstone Financial, Inc.(a) 2,046

36 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 151 Wayne Savings Bancshares, Inc. $ 1,131
 8,973 Webster Financial Corp. 160,976
 2,789 WesBanco, Inc. 46,995
 1,691 West Bancorp, Inc.(a) 11,516
 10,384 West Coast Bancorp(a) 26,479
 4,200 Westamerica Bancorp 220,584
 8,095 Western Alliance Bancorp(a) 58,041
 4,000 Westfield Financial, Inc. 33,320
 14,125 Whitney Holding Corp. 130,656
 9,969 Wilmington Trust Corp. 110,556
 4,000 Wilshire Bancorp, Inc. 35,000
 3,850 Wintrust Financial Corp. 128,359
 1,200 Yardkin Valley Financial Corp.(a) 4,056
 ------------
 15,436,081
 ------------
BEVERAGES - 0.2%
 1,300 Boston Beer Co., Inc., Class A(a) 87,685
 7,493 Central European Distribution Corp.(a) 160,200
 400 Coca-Cola Bottling Co. Consolidated 19,168
 8,628 Hansen Natural Corp.(a) 337,441
 6,000 Jamba, Inc.(a) 12,780
 4,200 Jones Soda Co.(a) 4,956
 2,160 National Beverage Corp. 26,525
 5,200 Reddy Ice Holdings, Inc.(a) 16,796
 971 Willamette Valley Vineyards, Inc.(a) 3,399
 ------------
 668,950
 ------------
CHEMICALS - 2.2%
 7,425 Aceto Corp. 42,545
 12,400 Albemarle Corp. 492,404
 2,044 American Vanguard Corp. 16,209
 2,700 Arch Chemicals, Inc. 82,998
 8,700 Ashland, Inc. 403,854
 3,000 Balchem Corp. 75,000
 7,300 Cabot Corp. 176,003
 8,000 Calgon Carbon Corp.(a) 105,920
 3,100 Cambrex Corp.(a) 9,765
 19,356 Celanese Corp., Series A 482,158
 6,900 Cytec Industries, Inc. 275,931
 10,950 Ferro Corp.(a) 80,701
 256 Georgia Gulf Corp.(a) 3,415
 5,300 H.B. Fuller Co. 100,647
 2,400 Hawkins, Inc. 57,792
 23,256 Huntsman Corp. 201,629
 3,200 Innophos Holdings, Inc. 83,456
 1,950 KMG Chemicals, Inc. 28,002
 2,200 Koppers Holdings, Inc. 49,456
 482 Kronos Worldwide, Inc.(a) 9,399
 3,500 LSB Industries, Inc.(a) 46,585
 8,915 Lubrizol Corp. 715,964
 1,580 Material Sciences Corp.(a) 4,756
 2,500 Metabolix, Inc.(a) 35,775
 2,900 Minerals Technologies, Inc. 137,866
 19,200 The Mosaic Co. 748,416
 900 NL Industries, Inc. 5,490
 3,000 Nanophase Technologies Corp.(a) 3,480
 1,520 NewMarket Corp. 132,726
 4,200 OM Group, Inc.(a) 100,212
 8,792 Olin Corp. 159,047
 3,966 Omnova Solutions, Inc.(a) 30,974
 2,100 Penford Corp.(a) 13,608
 9,500 PolyOne Corp.(a) 79,990
 2,594 Polypore International, Inc.(a) 58,988
 2,100 Quaker Chemical Corp. 56,889
 17,900 RPM International, Inc. 319,336
 30,300 Rentech, Inc.(a) 29,997
 5,927 Rockwood Holdings, Inc.(a) 134,484
 5,018 Schulman A, Inc. 95,141
 3,400 Senomyx, Inc.(a) 12,886
 5,200 Sensient Technologies Corp. 134,836
 15,097 Solutia, Inc.(a) 197,771
 3,400 Spartech Corp.(a) 34,850
 1,300 Stepan Co. 88,959

SCHEDULE OF INVESTMENTS | 37

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 429 TOR Minerals International, Inc.(a) $ 2,926
 2,500 Tredegar Corp. 40,800
 1,338 Valhi, Inc. 16,511
 7,200 W.R. Grace & Co.(a) 151,488
 2,100 Westlake Chemical Corp. 38,997
 2,018 Zagg, Inc.(a) 5,792
 2,279 Zep, Inc. 39,746
 5,700 Zoltek Cos., Inc.(a) 48,279
 ------------
 6,500,849
 ------------
CONSTRUCTION & MATERIALS - 2.2%
 3,500 A.O. Smith Corp. 168,665
 1,550 Aaon, Inc. 36,130
 4,900 Acuity Brands, Inc. 178,262
 10,166 Advanced Environmental Recycling Technologies, Inc.,
 Class A(a) 3,965
 200 American Biltrite, Inc.(a) 740
 2,000 American DG Energy, Inc.(a) 6,220
 1,000 American Woodmark Corp. 17,100
 1,500 Ameron International Corp. 90,495
 5,200 Apogee Enterprises, Inc. 56,316
 900 Argan, Inc.(a) 9,387
 2,098 Armstrong World Industries, Inc.(a) 63,318
 102 Baran Group Ltd.(a) 617
 2,000 BlueLinx Holdings, Inc.(a) 5,260
 5,290 Builders FirstSource, Inc.(a) 12,696
 9,300 EMCOR Group, Inc.(a) 215,481
 5,020 Eagle Materials, Inc. 130,169
 3,400 Generac Holdings, Inc.(a) 47,634
 3,400 Gibraltar Industries, Inc.(a) 34,340
 4,650 Granite Construction, Inc. 109,647
 6,000 Great Lakes Dredge & Dock Corp. 36,000
 5,628 Griffon Corp.(a) 62,246
 7,500 Headwaters, Inc.(a) 21,300
 3,400 Hill International, Inc.(a) 13,804
 4,606 Insituform Technologies, Inc., Class A(a) 94,331
 1,900 Insteel Industries, Inc. 22,078
 1,500 Integrated Electrical Services, Inc.(a) 5,235
 20,053 KBR, Inc. 407,878
 1,400 L.B. Foster Co., Class A(a) 36,288
 2,291 Layne Christensen Co.(a) 55,602
 7,300 Lennox International, Inc. 303,461
 17,041 Louisiana-Pacific Corp.(a) 114,004
 22,186 MDU Resources Group, Inc. 400,014
 3,600 MYR Group, Inc.(a) 60,084
 6,000 Martin Marietta Materials, Inc. 508,860
 29,033 McDermott International, Inc.(a) 628,855
 17,622 Mueller Water Products, Inc., Series A 65,378
 1,240 NCI Building Systems, Inc.(a) 10,379
 1,200 Northwest Pipe Co.(a) 22,800
 500 Omega Flex, Inc. 7,290
 4,600 Orion Marine Group, Inc.(a) 65,320
 14,154 Owens Corning, Inc.(a) 423,346
 3,299 PGT, Inc.(a) 8,478
 2,700 Pike Electric Corp.(a) 25,434
 6,250 Quanex Building Products Corp. 108,062
 11,300 Shaw Group, Inc.(a) 386,686
 4,283 Simpson Manufacturing Co., Inc. 105,148
 2,600 Sterling Construction Co., Inc.(a) 33,644
 1,273 TRC Cos., Inc.(a) 3,933
 3,400 Texas Industries, Inc. 100,436
 1,800 Trex Co., Inc.(a),(b) 36,162
 3,200 Tutor Perini Corp.(a) 52,736
 8,098 USG Corp.(a),(b) 97,824
 3,200 Universal Forest Products, Inc. 96,992
 3,100 Valmont Industries, Inc. 225,246
 11,300 Valspar Corp. 340,356

38 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 3,700 Watsco, Inc. $ 214,304
 3,200 Watts Water Technologies, Inc., Class A 91,712
 ------------
 6,478,148
 ------------
ELECTRICITY - 2.1%
 3,100 Allete, Inc. 106,144
 15,000 Alliant Energy Corp. 476,100
 4,000 Black Hills Corp. 113,880
 1,700 CH Energy Group, Inc. 66,708
 48,100 Calpine Corp.(a) 611,832
 1,600 Central Vermont Public Service Corp. 31,584
 6,700 Cleco Corp. 176,947
 18,580 Covanta Holding Corp.(a) 308,242
 15,635 DPL, Inc. 373,677
 10,980 Dynegy, Inc.(a) 42,273
 5,500 El Paso Electric Co.(a) 106,425
 5,800 The Empire District Electric Co. 108,866
 18,812 Great Plains Energy, Inc. 320,180
 12,120 Hawaiian Electric Industries, Inc. 276,094
 6,800 IDACORP, Inc. 226,236
 6,800 ITC Holdings Corp. 359,788
 2,400 MGE Energy, Inc. 86,496
 18,700 Mirant Corp.(a) 197,472
 14,100 NSTAR 493,500
 32,400 NV Energy, Inc. 382,644
 4,200 NorthWestern Corp. 110,040
 2,000 Ormat Technologies, Inc. 56,580
 11,200 Portland General Electric Co. 205,296
 46,600 RRI Energy, Inc.(a) 176,614
 2,933 UIL Holdings Corp. 73,413
 17,000 US Geothermal, Inc.(a) 13,486
 5,100 Unisource Energy Corp. 153,918
 900 Unitil Corp. 18,819
 15,125 Westar Energy, Inc. 326,851
 ------------
 6,000,105
 ------------
ELECTRONIC & ELECTRICAL EQUIPMENT - 3.4%
 8,886 A123 Systems, Inc.(a),(b) 83,795
 6,863 AVX Corp. 87,984
 2,300 AZZ, Inc. 84,571
 13,477 Active Power, Inc.(a) 10,513
 3,700 ActivIdentity Corp.(a) 7,067
 1,342 Adept Technology, Inc.(a) 6,764
 10,600 Advanced Battery Technologies, Inc.(a) 34,768
 458 Allied Motion Technologies, Inc.(a) 2,079
 8,900 Altair Nanotechnologies, Inc.(a),(b) 2,848
 1,500 American Science & Engineering, Inc. 114,315
 5,900 American Superconductor Corp.(a),(b) 157,471
 13,315 Ametek, Inc. 534,597
 1,700 Anaren, Inc.(a) 25,398
 4,500 Anixter International, Inc.(a) 191,700
 14,891 Arrow Electronics, Inc.(a) 332,814
 18,924 Avnet, Inc.(a) 456,258
 2,400 Badger Meter, Inc. 92,856
 4,925 Baldor Electric Co. 177,694
 11,511 Beacon Power Corp.(a) 3,753
 1,188 Bel Fuse, Inc. 19,614
 5,304 Belden, Inc. 116,688
 7,184 Benchmark Electronics, Inc.(a) 113,866
 5,300 Brady Corp. 132,076
 2,800 C&D Technologies, Inc.(a),(b) 2,467
 6,800 CTS Corp. 62,832
 37,000 Capstone Turbine Corp.(a),(b) 36,260
 4,300 Checkpoint Systems, Inc.(a) 74,648
 7,100 Cogent, Inc.(a) 63,971
 4,085 Cognex Corp. 71,814
 3,800 Coherent, Inc.(a) 130,340
 2,892 Coleman Cable, Inc.(a) 16,311
 11,564 CommScope, Inc.(a) 274,876
 4,500 Comverge, Inc.(a) 40,320
 1,100 Cyberoptics Corp.(a) 10,637
 3,627 DDi Corp. 27,311

SCHEDULE OF INVESTMENTS | 39

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 4,200 Daktronics, Inc. $ 31,500
 588 Digital Angel Corp.(a) 295
 2,069 Dionex Corp.(a) 154,058
 2,987 ESCO Technologies, Inc. 76,915
 3,800 Echelon Corp.(a) 27,854
 1,531 Electro Rent Corp. 19,582
 3,400 Electro Scientific Industries, Inc.(a) 45,424
 2,301 eMagin Corp.(a) 8,284
 2,527 Encore Wire Corp. 45,966
 2,800 EnerNOC, Inc.(a),(b) 88,032
 6,400 EnerSys(a) 136,768
 6,000 FEI Co.(a) 118,260
 2,200 Faro Technologies, Inc.(a) 41,162
 7,000 General Cable Corp.(a) 186,550
 14,495 GrafTech International Ltd.(a) 211,917
 2,800 Greatbatch, Inc.(a) 62,468
 2,400 Houston Wire & Cable Co. 26,040
 6,871 Hubbell, Inc., Class B 272,710
 2,956 II-VI, Inc.(a) 87,586
 3,000 IPG Photonics Corp.(a) 45,690
 3,600 Intevac, Inc.(a) 38,412
 747 IntriCon Corp.(a) 3,817
 5,300 Itron, Inc.(a) 327,646
 1,895 Keithley Instruments, Inc. 16,733
 9,611 L-1 Identity Solutions, Inc.(a) 78,714
 2,950 LSI Industries, Inc. 14,396
 1,100 LaBarge, Inc.(a) 12,551
 1,000 Landauer, Inc. 60,880
 2,456 LeCroy Corp.(a) 11,764
 1,548 Lightpath Technologies, Inc., Class A(a) 2,461
 1,658 Lime Energy Co.(a) 5,687
 2,554 Littelfuse, Inc.(a) 80,732
 1,900 MTS Systems Corp. 55,100
 450 Mace Security International, Inc.(a) 252
 3,162 Magnetek, Inc.(a) 2,909
 2,900 Maxwell Technologies, Inc.(a) 33,060
 1,500 Measurement Specialties, Inc.(a) 20,550
 4,300 Methode Electronics, Inc. 41,882
 4,175 Mettler Toledo International, Inc.(a) 466,055
 9,392 Microvision, Inc.(a),(b) 27,800
 2,100 Multi-Fineline Electronix, Inc.(a) 52,416
 2,900 NU Horizons Electronics Corp.(a) 8,874
 918 NVE Corp.(a) 39,961
 3,700 Napco Security Technologies, Inc.(a) 6,327
 7,258 National Instruments Corp. 230,659
 4,700 Newport Corp.(a) 42,582
 2,800 OSI Systems, Inc.(a) 77,756
 2,600 Orion Energy Systems, Inc.(a) 8,190
 2,050 Park Electrochemical Corp. 50,041
 3,093 Planar Systems, Inc.(a) 5,289
 5,800 Plexus Corp.(a) 155,092
 1,800 Powell Industries, Inc.(a) 49,212
 14,300 Power-One, Inc.(a),(b) 96,525
 14,400 Powerwave Technologies, Inc.(a) 22,176
 4,505 Regal-Beloit Corp. 251,289
 3,696 Research Frontiers, Inc.(a),(b) 16,336
 3,800 Richardson Electronics Ltd. 34,200
 5,000 Rofin-Sinar Technologies, Inc.(a) 104,100
 2,000 Rogers Corp.(a) 55,540
 1,600 Rubicon Technology, Inc.(a) 47,664
 11,233 Sanmina-SCI Corp.(a) 152,881
 15,400 SatCon Technology Corp.(a) 44,044
 400 Servotronics, Inc. 3,600

40 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,200 Sigmatron International, Inc.(a) $ 6,360
 1,000 Spectrum Control, Inc.(a) 13,980
 7,068 Synthesis Energy Systems, Inc.(a) 7,775
 6,900 TTM Technologies, Inc.(a) 65,550
 4,500 Technitrol, Inc. 14,220
 2,013 Technology Research Corp. 10,206
 6,265 Thomas & Betts Corp.(a) 217,396
 800 Tollgrade Communications, Inc.(a) 5,040
 16,434 Trimble Navigation Ltd.(a) 460,152
 2,957 UQM Technologies Inc(a) 10,024
 2,200 Ultralife Batteries, Inc.(a) 9,460
 3,928 Universal Display Corp.(a),(b) 70,625
 10,100 Valence Technology, Inc.(a),(b) 7,272
 5,453 Veeco Instruments, Inc.(a) 186,929
 615 Viasystems Group, Inc.(a) 9,084
 3,800 Vicor Corp.(a) 47,462
 20,323 Vishay Intertechnology, Inc.(a) 157,300
 6,100 WESCO International, Inc.(a) 205,387
 4,942 X-Rite, Inc.(a) 18,236
 7,054 Zebra Technologies Corp., Class A(a) 178,960
 1,700 Zygo Corp.(a) 13,787
 ------------
 9,859,697
 ------------
FINANCIAL SERVICES - 3.0%
 5,500 Advance America, Cash Advance Centers, Inc. 22,715
 5,700 Affiliated Managers Group, Inc.(a) 346,389
 800 American Physicians Service Group, Inc. 19,560
 7,924 AmeriCredit Corp.(a) 144,375
 2,168 Ampal-American Israel Corp., Class A(a) 3,382
 4,400 Artio Global Investors, Inc. 69,256
 2,100 Asset Acceptance Capital Corp.(a) 8,694
 1,600 Asta Funding, Inc. 15,792
 4,100 BGC Partners, Inc. 20,951
 5,500 BlackRock, Inc.(d) 788,700
 24,400 CIT Group, Inc.(a) 826,184
 2,200 Calamos Asset Management, Inc., Class A 20,416
 4,000 Cash America International, Inc. 137,080
 2,929 Cohen & Co.,Inc.(a) 14,645
 2,110 Cohen & Steers, Inc. 43,761
 5,400 CompuCredit Hldgs Corp.(b) 21,384
 4,002 Cowen Group, Inc., Class A(a) 16,408
 577 Credit Acceptance Corp.(a) 28,140
 890 Deerfield Capital Corp.(a) 4,886
 300 Diamond Hill Investments Group 17,007
 2,600 Dollar Financial Corp.(a) 51,454
 2,000 Duff & Phelps Corp. 25,260
 14,799 Eaton Vance Corp. 408,600
 2,700 Encore Capital Group, Inc.(a) 55,647
 2,300 Epoch Holding Corp. 28,221
 1,500 Evercore Partners, Inc., Class A 35,025
 7,000 Ezcorp, Inc.(a) 129,850
 5,647 FBR Capital Markets Corp.(a) 18,805
 139,800 Fannie Mae(a),(b) 47,882
 2,627 Federal Agricultural Mortgage Corp., Class B 36,857
 31,064 Fidelity National Title Group, Inc., Class A 403,521
 4,300 First Cash Financial Services, Inc.(a) 93,740
 6,200 The First Marblehead Corp.(a) 14,570
 82,701 Freddie Mac(a) 34,156

SCHEDULE OF INVESTMENTS | 41

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 700 GAMCO Investors, Inc., Class A $ 26,040
 7,258 GFI Group, Inc. 40,500
 21,859 GLG Partners, Inc.(a),(b) 95,742
 8,073 Gleacher & Co, Inc.(a) 20,586
 3,600 Greenhill & Co., Inc. 220,068
 6,800 Interactive Brokers Group, Inc., Class A(a) 112,880
 2,330 International Assets Holding Corp., Inc.(a) 37,280
 1,876 Intersections, Inc.(a) 7,785
 6,400 Investment Technology Group, Inc.(a) 102,784
 3,400 JMP Group, Inc. 21,046
 13,920 Jefferies Group, Inc. New Shares(b) 293,434
 4,048 KBW, Inc.(a) 86,789
 13,700 Knight Capital Group, Inc., Class A(a) 188,923
 11,909 Ladenburg Thalmann Financial Services, Inc.(a) 14,886
 15,700 MF Global Holdings Ltd.(a) 89,647
 23,773 MGIC Investment Corp.(a) 163,796
 14,269 MSCI, Inc.(a) 390,971
 2,952 MarketAxess Holdings, Inc. 40,708
 2,800 Marlin Business Services, Inc.(a) 33,852
 2,800 Medallion Financial Corp. 18,480
 2,107 Merriman Curhan Ford Group, Inc.(a) 1,159
 1,203 MicroFinancial, Inc. 4,198
 8,010 MoneyGram International, Inc.(a) 19,625
 4,639 National Financial Partners Corp.(a) 45,323
 3,500 Nelnet, Inc., Class A 67,480
 2,900 NewStar Financial, Inc.(a) 18,444
 10,000 Ocwen Financial Corp.(a) 101,900
 5,400 optionsXpress Holdings, Inc.(a) 84,996
 16,062 The PMI Group, Inc.(a) 46,419
 2,700 Penson Worldwide, Inc.(a) 15,228
 2,175 Pico Holdings, Inc.(a) 65,185
 2,845 Piper Jaffray Cos.(a) 91,666
 1,896 Portfolio Recovery Associates, Inc.(a) 126,615
 3,200 Primus Guaranty Ltd.(a) 11,808
 870 Pzena Investment Management, Inc., Class A 5,542
 15,816 Radian Group, Inc. 114,508
 12,171 Raymond James Financial, Inc. 300,502
 1,000 Resource America, Inc., Class A 3,850
 966 Rewards Network, Inc. 13,205
 19,533 SEI Investments Co. 397,692
 6,065 SWS Group, Inc. 57,617
 2,233 Safeguard Scientifics, Inc.(a) 23,580
 3,800 Sanders Morris Harris Group, Inc. 21,090
 3,300 Siebert Financial Corp.(a) 6,930
 3,600 Stewart Information Services Corp. 32,472
 3,500 Stifel Financial Corp.(a) 151,865
 420 Student Loan Corp. 10,114
 31,530 TD Ameritrade Holding Corp.(a) 482,409
 2,800 Thomas Weisel Partners Group, Inc.(a) 16,492
 8,000 TradeStation Group, Inc.(a) 54,000
 1,743 Tree.com, Inc.(a) 11,016
 2,900 Triad Guaranty, Inc.(a),(b) 667
 1,600 U.S. Global Investors, Inc. 8,880
 435 Virtus Investment Partners, Inc.(a) 8,143
 10,500 Waddell & Reed Financial, Inc., Class A 229,740

42 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 700 Westwood Holdings Group, Inc. $ 24,605
 200 Wilhelmina International, Inc.(a) 24
 2,400 World Acceptance Corp.(a),(b) 91,944
 ------------
 8,726,443
 ------------
FIXED LINE TELECOMMUNICATIONS - 0.7%
 7,300 8x8, Inc.(a) 9,125
 2,900 AboveNet, Inc.(a) 136,822
 9,000 Alaska Communications Systems Group, Inc. 76,410
 1,175 Arbinet Corp.(a) 9,106
 4,800 Cbeyond Communications, Inc.(a) 60,000
 22,800 Cincinnati Bell, Inc.(a) 68,628
 4,584 Consolidated Communications Holdings, Inc. 77,974
 3,400 General Communication, Inc., Class A(a) 25,806
 2,752 Global Crossing Ltd.(a) 29,089
 4,600 HickoryTech Corp. 31,050
 5,333 IDT Corp., Class B(a) 67,996
 206,694 Level 3 Communications, Inc.(a),(b) 225,297
 300 NET2000 Communications, Inc.(a) -
 18,000 PAETEC Holding Corp.(a) 61,380
 29,100 Primus Telecommunications Escrow(a) -
 4,500 RCN Corp.(a) 66,645
 800 SureWest Communications(a) 5,072
 19,200 TW Telecom, Inc.(a) 320,256
 39,655 Virgin Media, Inc. 661,842
 11,578 Vonage Holdings Corp.(a) 26,629
 1,500 Warwick Valley Telephone Co. 21,105
 ------------
 1,980,232
 ------------
FOOD & DRUG RETAILERS - 0.5%
 200 Arden Group, Inc., Class A 17,574
 7,500 Casey's General Stores, Inc. 261,750
 1,200 Core-Mark Holdings Co., Inc.(a) 32,880
 500 Dairy Mart Convenience Stores, Inc.(a) -
 5,280 drugstore.com, Inc.(a) 16,262
 4,820 The Great Atlantic & Pacific Tea Co., Inc.(a),(b) 18,798
 3,300 Ingles Markets, Inc., Class A 49,665
 1,520 Nash Finch Co. 51,923
 14,200 Omnicare, Inc. 336,540
 4,500 The Pantry, Inc.(a) 63,495
 4,215 PetMed Express, Inc.(b) 75,027
 69,100 Rite Aid Corp.(a),(b) 67,718
 6,300 Ruddick Corp. 195,237
 4,800 Spartan Stores, Inc. 65,856
 4,451 United Natural Foods, Inc.(a) 132,996
 100 Village Super Market, Inc., Class A 2,625
 1,100 Vitamin Shoppe, Inc.(a) 28,215
 1,200 Weis Markets, Inc. 39,492
 5,700 Winn-Dixie Stores, Inc.(a) 54,948
 ------------
 1,511,001
 ------------
FOOD PRODUCERS - 2.1%
 400 Alico, Inc. 9,192
 3,400 American Italian Pasta Co., Class A(a) 179,758
 3,000 The Andersons, Inc. 97,770
 5,500 B&G Foods, Inc., Class A 59,290
 500 Bridgford Foods Corp. 7,000
 17,992 Bunge Ltd. 885,026
 336 Cagle's, Inc., Class A(a) 1,630
 1,500 Cal-Maine Foods, Inc. 47,895
 1,300 Calavo Growers, Inc. 23,348

SCHEDULE OF INVESTMENTS | 43

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 4,902 Chiquita Brands International, Inc.(a) $ 59,559
 10,300 Corn Products International, Inc. 312,090
 8,900 Darling International, Inc.(a) 66,839
 25,300 Del Monte Foods Co. 364,067
 2,800 Diamond Foods, Inc. 115,080
 4,300 Dole Food Co., Inc.(a) 44,849
 700 Farmer Bros. Co. 10,563
 12,018 Flowers Foods, Inc. 293,600
 4,700 Fresh Del Monte Produce, Inc.(a) 95,128
 941 Golden Enterprises, Inc. 2,823
 15,600 Green Mountain Coffee Roasters, Inc.(a) 400,920
 600 Griffin Land & Nurseries, Inc. 15,240
 4,100 HQ Sustainable Maritime Industries, Inc.(a) 20,500
 6,839 Hain Celestial Group, Inc.(a) 137,943
 800 Harbinger Group, Inc.(a) 5,024
 8,200 Herbalife Ltd. 377,610
 2,712 Imperial Sugar Co., New Shares 27,391
 1,900 J&J Snack Foods Corp. 79,990
 700 John B. Sanfilippo & Son, Inc.(a) 10,129
 3,100 Lancaster Colony Corp. 165,416
 3,500 Lance, Inc. 57,715
 1,500 Lifeway Foods, Inc.(a) 14,610
 2,900 MGP Ingredients, Inc.(a) 19,227
 3,100 Mannatech, Inc.(a) 6,169
 5,500 Martek Biosciences Corp.(a) 130,405
 1,611 Medifast, Inc.(a) 41,741
 6,600 NBTY, Inc.(a) 224,466
 900 Natures Sunshine Prods, Inc.(a) 7,533
 6,400 Nu Skin Enterprises, Inc., Class A 159,552
 1,400 Nutraceutical International Corp.(a) 21,364
 4,700 NutriSystem, Inc.(b) 107,818
 1,400 Omega Protein Corp.(a) 5,614
 5,880 Pilgrims Pride Corp.(a) 38,632
 6,832 Ralcorp Holdings, Inc.(a) 374,394
 1,819 Reliv International, Inc. 4,402
 1,495 Rocky Mountain Chocolate Factory, Inc. 13,903
 2,850 Sanderson Farms, Inc. 144,609
 3,700 Schiff Nutrition International, Inc. 26,344
 40 Seaboard Corp. 60,400
 2,000 Seneca Foods Corp.(a) 64,520
 11,700 Smart Balance, Inc.(a) 47,853
 18,858 Smithfield Foods, Inc.(a) 280,984
 400 Tasty Baking Co. 2,888
 2,281 Tootsie Roll Industries, Inc. 53,946
 3,732 TreeHouse Foods, Inc.(a) 170,403
 1,100 USANA Health Sciences, Inc.(a) 40,183
 ------------
 6,035,345
 ------------
FORESTRY & PAPER - 0.2%
 8,874 Boise, Inc.(a) 48,719
 4,300 Buckeye Technologies, Inc.(a) 42,785
 1,774 Clearwater Paper Corp.(a) 97,144
 1,400 Deltic Timber Corp. 58,520
 5,208 Domtar Corp. 255,973
 4,600 Kapstone Paper and Packaging Corp.(a) 51,244
 3 MAXXAM, Inc.(a) 8,175
 2,900 Neenah Paper, Inc. 53,070
 4,900 P.H. Glatfelter Co. 53,165
 2,900 Verso Paper Corp.(a) 6,699
 5,400 Wausau Paper Corp.(a) 36,558
 ------------
 712,052
 ------------
GAS, WATER & MULTI-UTILITIES - 1.6%
 9,100 AGL Resources, Inc.(c) 325,962
 1,950 American States Water Co. 64,623

44 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 20,361 American Water Works Co, Inc. $ 419,437
 17,317 Aqua America, Inc. 306,165
 225 Artesian Resources Corp., Class A 4,153
 10,800 Atmos Energy Corp. 292,032
 6,000 Avista Corp. 117,180
 3,000 Cadiz, Inc.(a) 36,210
 3,200 California Water Service Group 114,240
 1,280 Chesapeake Utilities Corp. 40,192
 1,000 Connecticut Water Service, Inc. 21,020
 100 Delta Natural Gas Co., Inc. 2,850
 300 Energy, Inc. 3,258
 3,100 The Laclede Group, Inc. 102,703
 1,366 Middlesex Water Co. 21,651
 8,434 National Fuel Gas Co. 386,952
 6,260 New Jersey Resources Corp. 220,352
 2,900 Northwest Natural Gas Co. 126,353
 11,000 PNM Resources, Inc. 122,980
 1,777 Pennichuck Corp. 39,147
 10,000 Piedmont Natural Gas Co. 253,000
 22,600 Questar Corp.(a) 364,990
 100 RGC Resources, Inc. 3,100
 1,400 SJW Corp. 32,816
 4,600 South Jersey Industries, Inc. 197,616
 4,900 Southwest Gas Corp. 144,550
 6,771 Southwest Water Co. 70,960
 14,860 UGI Corp. 378,038
 9,300 Vectren Corp. 220,038
 7,100 WGL Holdings, Inc. 241,613
 ------------
 4,674,181
 ------------
GENERAL INDUSTRIALS - 1.2%
 1,300 AEP Industries, Inc.(a) 31,044
 7,688 Actuant Corp., Class A 144,765
 5,673 American International Industries, Inc.(a) 5,559
 7,667 AptarGroup, Inc. 289,966
 7,275 Carlisle Cos., Inc. 262,846
 21,500 Crown Holdings, Inc.(a) 538,360
 2,700 Graham Packaging Co., Inc.(a) 32,319
 9,032 Graphic Packaging Holding Co.(a) 28,451
 4,226 Greif, Inc. 234,712
 9,776 Harsco Corp. 229,736
 3,800 Landec Corp.(a) 22,382
 1,300 Multi-Color Corp. 13,312
 2,935 Myers Industries, Inc. 23,744
 4,200 Otter Tail Corp. 81,186
 12,369 Packaging Corp. of America 272,365
 1,900 Raven Industries, Inc. 64,049
 4,900 Rock-Tenn Co., Class A 243,383
 7,400 Silgan Holdings, Inc. 210,012
 12,416 Sonoco Products Co. 378,440
 14,300 Temple-Inland, Inc. 295,581
 3,600 Trimas Corp.(a) 40,716
 ------------
 3,442,928
 ------------
GENERAL RETAILERS - 5.2%
 4,470 1-800-FLOWERS.COM, Inc., Class A(a) 9,208
 4,266 99 Cents Only Stores(a) 63,137
 3,100 A.C. Moore Arts & Crafts, Inc.(a) 7,037
 8,062 Aaron's, Inc. 137,618
 12,800 Advance Auto Parts, Inc.(c) 642,304
 13,115 Aeropostale, Inc.(a) 375,614
 800 Amerco, Inc.(a) 44,040
 1,650 America's Car Mart, Inc.(a) 37,340
 21,165 American Eagle Outfitters, Inc. 248,689
 3,000 American Public Education, Inc.(a) 131,100
 1,731 Ancestry.com, Inc.(a) 30,500
 7,333 AnnTaylor Stores Corp.(a) 119,308

SCHEDULE OF INVESTMENTS | 45

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 4,600 Asbury Automotive Group, Inc.(a) $ 48,484
 8,000 Autobytel, Inc.(a) 9,120
 7,477 BJ's Wholesale Club, Inc.(a) 276,724
 4,871 Barnes & Noble, Inc.(b) 62,836
 7,300 Beacon Roofing Supply, Inc.(a) 131,546
 3,150 bebe Stores, Inc. 20,160
 700 Bidz.com, Inc.(a) 1,050
 3,700 Big 5 Sporting Goods Corp. 48,618
 42,600 Blockbuster, Inc., Class A(a),(b) 10,143
 2,300 Blue Nile, Inc.(a),(b) 108,284
 3,400 The Bon-Ton Stores, Inc.(a) 33,150
 1,200 Books-A-Million, Inc. 7,224
 6,200 Borders Group, Inc.(a) 8,246
 1,765 Bridgepoint Education, Inc.(a) 27,905
 4,700 Brown Shoe Co., Inc. 71,346
 3,725 The Buckle, Inc.(b) 120,764
 1,500 Build-A-Bear Workshop, Inc.(a) 10,170
 1,200 CPI Corp. 26,904
 6,400 Cabela's, Inc., Class A(a) 90,496
 2,300 Cache, Inc.(a) 13,064
 2,800 Cambium Learning Group, Inc.(a) 10,080
 2,300 Capella Education Co.(a) 187,105
 8,668 Career Education Corp.(a) 199,537
 3,522 Casual Male Retail Group, Inc.(a) 12,045
 4,150 The Cato Corp., Class A 91,383
 13,855 Charming Shoppes, Inc.(a) 51,956
 2,500 Chemed Corp. 136,600
 21,200 Chico's FAS, Inc. 209,456
 2,844 The Children's Place Retail Stores, Inc.(a) 125,193
 3,410 Christopher & Banks Corp. 21,108
 1,600 Citi Trends, Inc.(a) 52,704
 5,900 Clean Energy Fuels Corp.(a),(b) 88,146
 7,470 Coldwater Creek, Inc.(a) 25,099
 7,300 Collective Brands, Inc.(a) 115,340
 1,870 Collectors Universe, Inc. 25,095
 800 Conn's, Inc.(a) 4,704
 9,346 Copart, Inc.(a) 334,680
 11,635 Corinthian Colleges, Inc.(a),(b) 114,605
 4,700 Cost Plus, Inc.(a) 16,779
 1,988 DSW, Inc., Class A(a) 44,650
 5,199 dELiA*s, Inc.(a) 7,643
 1,200 Destination Maternity Corp.(a) 30,360
 9,900 Dick's Sporting Goods, Inc.(a) 246,411
 7,700 Dillard's, Inc., Class A(b) 165,550
 4,100 Dollar General Corp.(a) 112,955
 18,158 Dollar Tree, Inc.(a) 755,897
 9,221 Dress Barn, Inc.(a) 219,552
 600 Ediets.Com, Inc.(a),(b) 454
 2,800 Education Management Corp.(a) 42,700
 5,963 The Finish Line, Inc., Class A 83,065
 21,500 Foot Locker, Inc. 271,330
 7,450 Fred's, Inc. 82,397
 7,900 GSI Commerce, Inc.(a) 227,520
 2,460 Gaiam, Inc. 14,932
 10,897 Geeknet, Inc.(a) 13,512
 2,470 Genesco, Inc.(a) 64,986
 1,300 Grand Canyon Education, Inc.(a) 30,459
 3,201 Group 1 Automotive, Inc.(a) 75,320
 7,000 Guess?, Inc. 218,680
 4,400 Gymboree Corp.(a) 187,924
 4,623 HSN, Inc.(a) 110,952
 2,100 Haverty Furniture Cos., Inc. 25,809
 4,618 Hibbett Sports, Inc.(a) 110,647

46 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 6,945 Hillenbrand, Inc. $ 148,554
 8,365 Hot Topic, Inc. 42,494
 4,994 ITT Educational Services, Inc.(a) 414,602
 2,469 Internet Brands, Inc., Class A(a) 25,505
 6,200 J. Crew Group, Inc.(a) 228,222
 3,915 Jackson Hewitt Tax Service, Inc.(a) 4,424
 3,766 Jo-Ann Stores, Inc.(a) 141,263
 2,656 Jos. A. Bank Clothiers, Inc.(a) 143,397
 3,161 K12, Inc.(a) 70,111
 1,300 KAR Auction Services, Inc.(a) 16,081
 2,500 Kirkland's, Inc.(a) 42,188
 300 Lazare Kaplan International, Inc.(a) 750
 1,800 Learning Tree International, Inc.(a) 19,530
 2,900 Liquidity Services, Inc.(a) 37,584
 3,900 Lithia Motors, Inc., Class A 24,102
 2,200 Lumber Liquidators Holdings, Inc.(a) 51,326
 668 Mac-Gray Corp. 7,442
 4,200 MarineMax, Inc.(a) 29,148
 3,200 Matthews International Corp., Class A 93,696
 5,100 Men's Wearhouse, Inc. 93,636
 2,200 Midas, Inc.(a) 16,874
 3,125 Monro Muffler, Inc. 123,531
 5,600 Navarre Corp.(a) 12,208
 6,420 NetFlix, Inc.(a) 697,533
 2,600 New York & Co.(a) 5,954
 100 Nobel Learning Communities, Inc.(a) 590
 9,849 OfficeMax, Inc.(a) 128,628
 1,500 OpenTable, Inc.(a) 62,205
 1,300 Overstock.com, Inc.(a) 23,491
 2,100 PC Mall, Inc.(a) 8,400
 11,081 Pacific Sunwear of California, Inc.(a) 35,459
 7,100 Penske Auto Group, Inc.(a) 80,656
 5,000 The Pep Boys - Manny, Moe & Jack 44,300
 4,900 Pet DRx Corp.(a) 1,627
 17,300 PetSmart, Inc. 521,941
 11,318 Pier 1 Imports, Inc.(a) 72,548
 1,430 Pre-Paid Legal Services, Inc.(a) 65,051
 1,950 PriceSmart, Inc. 45,299
 3,739 The Princeton Review, Inc.(a) 8,674
 2,600 The Providence Service Corp.(a) 36,400
 9,800 RealNetworks, Inc.(a) 32,340
 5,700 Regis Corp. 88,749
 9,600 Rent-A-Center, Inc.(a) 194,496
 2,200 Retail Ventures, Inc.(a) 17,204
 5,350 Rollins, Inc. 110,691
 1,574 Rue21, Inc.(a) 47,755
 3,850 Rush Enterprises, Inc., Class A(a) 51,436
 17,824 Saks, Inc.(a),(b) 135,284
 9,572 Sally Beauty Co., Inc.(a) 78,490
 28,900 Service Corp. International 213,860
 1,800 Shoe Carnival, Inc.(a) 36,918
 3,166 Shutterfly, Inc.(a) 75,857
 9,884 Signet Jewelers Ltd.(a) 271,810
 3,900 Sonic Automotive, Inc.(a) 33,384
 7,700 Sotheby's Holdings, Inc., Class A 176,099
 3,400 Stage Stores, Inc. 36,312
 2,650 Stamps.com, Inc.(a) 27,163
 2,600 Standard Parking Corp.(a) 41,158
 4,100 Stein Mart, Inc.(a) 25,543
 10,200 Stewart Enterprises, Inc., Class A 55,182
 1,900 Strayer Education, Inc.(b) 394,991
 1,700 Susser Holdings Corp.(a) 20,043
 3,512 The Talbots, Inc.(a) 36,209
 3,500 Titan Machinery, Inc.(a) 45,955
 5,200 Tractor Supply Co. 317,044

SCHEDULE OF INVESTMENTS | 47

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,400 Trans World Entertainment Corp.(a) $ 4,080
 6,452 Tuesday Morning Corp.(a) 25,743
 3,857 Ulta Salon Cosmetics & Fragrance, Inc.(a) 91,257
 11,940 VCA Antech, Inc.(a) 295,634
 7,300 ValueVision Media, Inc., Class A(a) 12,921
 3,750 Weight Watchers International, Inc. 96,337
 1,600 West Marine, Inc.(a) 17,408
 12,975 The Wet Seal, Inc., Class A(a) 47,359
 12,757 Williams-Sonoma, Inc. 316,629
 600 Winmark Corp. 20,082
 1,984 Zale Corp.(a) 3,135
 2,600 Zumiez, Inc.(a) 41,886
 ------------
 15,099,317
 ------------
HEALTH CARE EQUIPMENT & SERVICES - 6.3%
 1,600 AGA Medical Holdings, Inc.(a) 20,304
 7,200 AMERIGROUP Corp.(a) 233,856
 5,400 ATS Medical, Inc.(a) 21,438
 2,800 Abaxis, Inc.(a) 60,004
 3,700 Abiomed, Inc.(a) 35,816
 5,523 Accuray, Inc.(a) 36,617
 600 Addus HomeCare Corp.(a) 3,594
 1,476 AdvanSource Biomaterials Corp.(a) 413
 1,600 Air Methods Corp.(a) 47,600
 8,725 Align Technology, Inc.(a) 129,741
 3,300 Alliance Healthcare Services, Inc.(a) 13,332
 3,100 Allied Healthcare International, Inc.(a) 7,192
 1,500 Almost Family, Inc.(a) 52,395
 6,857 Alphatec Holdings, Inc.(a) 31,816
 3,867 Amedisys, Inc.(a),(b) 170,032
 1,200 America Service Group, Inc. 20,640
 1,000 American Caresource Holdings, Inc.(a) 1,700
 10,600 American Medical Systems Holdings, Inc.(a) 234,472
 3,500 Amsurg Corp.(a) 62,370
 1,500 Analogic Corp. 68,265
 2,590 AngioDynamics, Inc.(a) 38,203
 1,400 Anika Therapeutics, Inc.(a) 8,246
 3,100 Animal Health International, Inc.(a) 7,688
 2,265 ArthroCare Corp.(a) 69,422
 1,760 Assisted Living Concepts, Inc.(a) 52,078
 200 Atrion Corp. 27,010
 8,500 Beckman Coulter, Inc. 512,465
 2,345 Bio-Rad Laboratories, Inc., Class A(a) 202,819
 4,400 Bio-Reference Labs, Inc.(a) 97,548
 3,435 Biolase Technology, Inc.(a) 5,084
 6,596 Bioscript, Inc.(a) 34,563
 2,825 BioSphere Medical, Inc.(a) 12,204
 1,600 Bovie Medical Corp.(a) 4,768
 6,300 Brookdale Senior Living, Inc.(a) 94,500
 8,333 Bruker BioSciences Corp.(a) 101,329
 3,150 CONMED Corp.(a) 58,685
 2,600 Cantel Medical Corp. 43,420
 3,210 Cardiac Science Corp.(a) 3,146
 2,700 Cardica, Inc.(a) 4,401
 4,315 CardioNet, Inc.(a) 23,646
 5,600 Catalyst Health Solutions, Inc.(a) 193,200
 6,500 Centene Corp.(a) 139,750
 8,600 Cepheid, Inc.(a) 137,772
 1,450 Chindex International, Inc.(a) 18,169
 6,800 Clarient, Inc.(a) 20,944
 1,329 Clinical Data, Inc.(a) 16,533
 12,600 Community Health Systems, Inc.(a) 426,006

48 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 4,300 Conceptus, Inc.(a) $ 66,994
 7,800 Contiucare Corp.(a) 26,130
 5,943 The Cooper Cos., Inc. 236,472
 1,200 Corvel Corp.(a) 40,548
 8,600 Covance, Inc.(a) 441,352
 2,826 Cryo-Cell International, Inc.(a) 3,533
 5,100 CryoLife, Inc.(a) 27,489
 900 Cutera, Inc.(a) 8,289
 4,000 Cyberonics, Inc.(a) 94,720
 2,200 Cynosure, Inc., Class A(a) 23,694
 700 Daxor Corp. 7,042
 7,300 Delcath Systems, Inc.(a),(b) 46,282
 7,900 DexCom, Inc.(a) 91,324
 460 Dynacq Healthcare, Inc.(a) 1,076
 13,936 Edwards Lifesciences Corp.(a) 780,695
 3,004 Emergency Medical Services Corp.(a) 147,286
 2,200 Emeritus Corp.(a),(b) 35,882
 6,200 Endologix, Inc.(a) 28,086
 500 The Ensign Group, Inc. 8,260
 4,775 eResearch Technology, Inc.(a) 37,627
 1,399 Escalon Medical Corp.(a) 2,210
 8,209 ev3, Inc.(a) 183,964
 1,000 Exactech, Inc.(a) 17,080
 308 Five Star Quality Care, Inc.(a) 930
 692 Fonar Corp.(a) 1,080
 2,900 Genoptix, Inc.(a) 49,880
 3,200 Gentiva Health Services, Inc.(a) 86,432
 100 Gliatech, Inc.(a) -
 3,900 HMS Holdings Corp.(a) 211,458
 3,500 Haemonetics Corp.(a) 187,320
 5,400 Hanger Orthopedic Group, Inc.(a) 96,984
 8,900 Hansen Medical, Inc.(a) 18,957
 5,100 Health Grades, Inc.(a) 30,600
 33,780 Health Management Associates, Inc., Class A(a) 262,471
 13,080 Health Net, Inc.(a) 318,760
 3,877 Healthcare Services Group, Inc. 73,469
 10,900 HealthSouth Corp.(a) 203,939
 5,800 HealthSpring, Inc.(a) 89,958
 2,954 HealthTronics, Inc.(a) 14,268
 3,700 Healthways, Inc.(a) 44,104
 12,000 Henry Schein, Inc.(a) 658,800
 7,045 Hill-Rom Holdings, Inc. 214,379
 34,336 Hologic, Inc.(a) 478,300
 9,589 Hooper Holmes, Inc.(a) 5,466
 2,900 Hydron Technologies, Inc.(a) 8
 10,400 Hythiam, Inc.(a) 1,664
 2,500 ICU Medical, Inc.(a) 80,425
 2,300 IPC The Hospitalist Co., Inc.(a) 57,730
 2,500 IRIS International, Inc.(a) 25,350
 7,432 Idexx Laboratories, Inc.(a),(b) 452,609
 7,887 Immucor, Inc.(a) 150,247
 5,000 Insulet Corp.(a) 75,250
 2,300 Integra LifeSciences Holdings Corp.(a) 85,100
 5,100 Invacare Corp. 105,774
 10,375 Inverness Medical Innovations, Inc.(a) 276,597
 2,800 Kendle International, Inc.(a) 32,256
 2,400 Kensey Nash Corp.(a) 56,904
 3,890 Kindred Healthcare, Inc.(a) 49,948
 7,715 Kinetic Concepts, Inc.(a) 281,675
 4,084 LCA-Vision, Inc.(a) 22,625
 2,600 LHC Group, Inc.(a) 72,150
 1,088 Lectec Corp. 3,253
 7,845 LifePoint Hospitals, Inc.(a) 246,333
 13,950 Lincare Holdings, Inc. 453,514
 4,800 MAKO Surgical Corp.(a),(b) 59,760

SCHEDULE OF INVESTMENTS | 49

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,600 MEDTOX Scientific, Inc.(a) $ 19,680
 4,500 MELA Sciences, Inc.(a) 33,480
 4,179 Magellan Health Services, Inc.(a) 151,781
 6,090 Masimo Corp. 145,003
 1,800 MedCath Corp.(a) 14,148
 1,800 Medical Action Industries, Inc.(a) 21,582
 5,600 Mednax, Inc.(a) 311,416
 6,525 Meridian Bioscience, Inc. 110,925
 3,068 Merit Medical Systems, Inc.(a) 49,303
 300 Metropolitan Health Networks, Inc.(a) 1,119
 2,700 Micrus Endovascular Corp.(a) 56,133
 1,800 Molina Healthcare, Inc.(a) 51,840
 2,154 NMT Medical, Inc.(a) 1,130
 1,218 Nanosphere, Inc.(a) 5,310
 448 National Dentex Corp.(a) 7,549
 600 National Healthcare Corp. 20,676
 3,100 Natus Medical, Inc.(a) 50,499
 2,418 Neogen Corp.(a) 62,989
 3,931 Neurometrix, Inc.(a) 4,481
 2,700 Nighthawk Radiology Holdings, Inc.(a) 6,993
 5,600 NuVasive, Inc.(a) 198,576
 4,900 NxStage Medical, Inc.(a) 72,716
 1,299 OTIX Global, Inc.(a) 5,196
 5,650 Odyssey HealthCare, Inc.(a) 150,968
 3,800 Omnicell, Inc.(a) 44,422
 5,764 OraSure Technologies, Inc.(a) 26,687
 2,300 Orthofix International NV(a) 73,715
 8,420 Orthovita, Inc.(a) 17,093
 3,300 Osteotech, Inc.(a) 10,461
 8,100 Owens & Minor, Inc. 229,878
 300 PC Group, Inc.(a) 120
 9,000 PSS World Medical, Inc.(a) 190,350
 2,000 Palomar Medical Technologies, Inc.(a) 22,380
 8,500 Parexel International Corp.(a) 184,280
 15,300 Pharmaceutical Product Development, Inc. 388,773
 3,423 PharMerica Corp.(a) 50,181
 125 Psychemedics Corp. 1,018
 7,732 Psychiatric Solutions, Inc.(a) 252,991
 4,800 Quidel Corp.(a) 60,912
 5,160 RTI Biologics, Inc.(a) 15,119
 6,500 RadNet, Inc.(a) 15,405
 3,500 RehabCare Group, Inc.(a) 76,230
 2,496 Res-Care, Inc.(a) 24,111
 9,300 ResMed, Inc.(a) 565,533
 1,898 Retractable Technologies, Inc.(a) 3,056
 1,700 Rochester Medical Corp.(a) 16,065
 3,200 Rockwell Medical Technologies, Inc.(a) 17,248
 4,100 Rural/Metro Corp.(a) 33,374
 1,655 SRI/Surgical Express, Inc.(a) 6,339
 5,148 Select Medical Holdings Corp.(a) 34,903
 1,006 SenoRx, Inc.(a) 11,046
 4,691 Sirona Dental Systems, Inc.(a) 163,434
 5,900 Skilled Healthcare Group, Inc., Class A(a) 40,061
 2,500 Somanetics Corp.(a) 62,375
 3,000 SonoSite, Inc.(a) 81,330
 1,900 Sparta Surgical Corp.(a) -
 3,800 Spectranetic Corp.(a) 19,684
 2,400 Staar Surgical Co.(a) 13,728
 3,935 Stereotaxis, Inc.(a) 13,025
 7,700 Steris Corp. 239,316

50 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 6,300 Sun Healthcare Group, Inc.(a) $ 50,904
 5,907 Sunrise Senior Living, Inc.(a) 16,421
 1,800 SurModics, Inc.(a) 29,538
 3,600 Symmetry Medical, Inc.(a) 37,944
 3,465 Synergetics USA, Inc.(a) 9,217
 3,100 Synovis Life Technologies, Inc.(a) 47,368
 8,500 SyntheMed, Inc.(a) 935
 1,700 Team Health Holdings, Inc.(a) 21,964
 4,700 Teleflex, Inc. 255,116
 4,533 Theragenics Corp.(a) 5,213
 8,000 ThermoGenesis Corp.(a) 3,920
 8,000 Thoratec Corp.(a) 341,840
 5,200 Tomotherapy, Inc.(a) 16,536
 1,100 Trans1, Inc.(a) 2,871
 200 Transcend Services, Inc.(a) 2,700
 1,400 Triple-S Management Corp.(a) 25,970
 1,600 US Physical Therapy, Inc.(a) 27,008
 400 Uluru, Inc.(a) 55
 4,400 Universal American Financial Corp.(a) 63,360
 12,600 Universal Health Services, Inc., Class B 480,690
 2,686 Urologix, Inc.(a) 2,901
 800 Utah Medical Products, Inc. 19,952
 1,500 Vascular Solutions, Inc.(a) 18,750
 1,600 Virtual Radiologic Corp.(a) 27,456
 6,400 Volcano Corp.(a) 139,648
 4,900 WellCare Health Plans, Inc.(a) 116,326
 3,600 West Pharmaceutical Services, Inc. 131,364
 6,200 Wright Medical Group, Inc.(a) 102,982
 3,510 Zoll Medical Corp.(a) 95,121
 ------------
 18,250,164
 ------------

HOUSEHOLD GOODS & HOME CONSTRUCTION - 1.8%
 5,615 ACCO Brands Corp.(a) 28,019
 2,349 Bassett Furniture Industries, Inc.(a) 10,054
 7,979 Beazer Homes USA, Inc.(a),(b) 28,964
 3,896 Blount International, Inc.(a) 40,012
 675 Blyth, Inc. 22,997
 8,000 Briggs & Stratton Corp. 136,160
 1,876 Brookfield Homes Corp.(a),(b) 12,644
 710 Cavco Industries, Inc.(a) 24,978
 7,058 Central Garden & Pet Co., Class A(a) 63,310
 9,400 Church & Dwight Co., Inc. 589,474
 1,600 Compx International, Inc. 15,760
 4,512 Comstock Homebuilding Cos., Inc., Class A(a) 6,317
 3,186 Dixie Group, Inc.(a) 11,724
 8,516 Energizer Holdings, Inc.(a) 428,185
 4,622 Ethan Allen Interiors, Inc. 64,662
 367 Flexsteel Industries, Inc. 4,037
 1,100 Forward Industries, Inc.(a) 3,421
 4,400 Furniture Brands International, Inc.(a) 22,968
 4,220 HNI Corp. 116,430
 8,590 Herman Miller, Inc. 162,093
 1,900 hhgregg, Inc.(a) 44,308
 1,700 Hooker Furniture Corp. 18,122
 6,399 Hovnanian Enterprises, Inc., Class A(a),(b) 23,548
 6,074 Interface, Inc., Class A 65,235
 2,100 iRobot Corp.(a) 39,459
 11,235 Jarden Corp. 301,884
 10,134 KB Home 111,474
 1,813 Kid Brands, Inc.(a) 12,745
 5,200 Knoll, Inc. 69,108
 700 L.S. Starrett Co., Class A 6,671
 5,700 La-Z-Boy, Inc.(a) 42,351
 1,856 Libbey, Inc.(a) 24,091
 2,500 Lifetime Brands, Inc.(a) 36,550

SCHEDULE OF INVESTMENTS | 51

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 3,600 M/I Homes, Inc.(a) $ 34,704
 5,316 MDC Holdings, Inc. 143,266
 4,200 Meritage Homes Corp.(a) 68,376
 2,211 Middleby Corp.(a) 117,603
 6,864 Mohawk Industries, Inc.(a) 314,097
 750 NVR, Inc.(a) 491,273
 500 National Presto Industries, Inc. 46,430
 700 Oil-Dri Corp. of America 16,065
 3,989 Palm Harbor Homes, Inc.(a) 7,100
 5,756 Ryland Group, Inc. 91,060
 5,200 The Scotts Miracle-Gro Co. 230,932
 6,100 Sealy Corp.(a),(b) 16,287
 6,304 Select Comfort Corp.(a) 55,160
 1,000 Skyline Corp. 18,010
 16,331 Standard-Pacific Corp.(a) 54,382
 2,400 Stanley Furniture Co., Inc.(a) 9,744
 7,404 Steelcase, Inc., Class A 57,381
 9,900 Tempur-Pedic International, Inc.(a) 304,425
 18,000 Toll Brothers, Inc.(a) 294,480
 7,655 Tupperware Corp. 305,052
 2,505 Virco Manufacturing Corp. 7,515
 1,900 WD-40 Co. 63,460
 ------------
 5,334,557
 ------------
INDUSTRIAL ENGINEERING - 3.1%
 11,601 AGCO Corp.(a) 312,879
 1,400 Alamo Group, Inc. 30,380
 3,070 Albany International Corp., Class A 49,703
 4,300 Altra Holdings, Inc.(a) 55,986
 1,800 American Railcar Industries, Inc.(a) 21,744
 11,100 ArvinMeritor, Inc.(a) 145,410
 2,342 Astec Industries, Inc.(a) 64,944
 5,684 Broadwind Energy, Inc.(a) 15,915
 2,800 Brush Engineered Materials, Inc.(a) 55,944
 9,900 Bucyrus International, Inc. 469,755
 3,000 CIRCOR International, Inc. 76,740
 1,200 Cascade Corp. 42,732
 3,417 Ceco Environmental Corp.(a) 15,992
 100 Chicago Rivet & Machine Co. 1,415
 5,800 Clarcor, Inc. 206,016
 2,330 Colfax Corp.(a) 24,255
 2,433 Columbus McKinnon Corp.(a) 33,989
 2,985 Commercial Vehicle Group, Inc.(a) 30,477
 5,813 Crane Co. 175,611
 8,919 Donaldson Co., Inc. 380,395
 1,400 Dynamic Materials Corp. 22,456
 300 The Eastern Co. 4,398
 7,000 Energy Recovery, Inc.(a) 28,000
 2,200 EnPro Industries, Inc.(a) 61,930
 5,335 Federal Signal Corp. 32,223
 4,500 Flow International Corp.(a) 10,620
 2,200 Franklin Electric Co., Inc. 63,404
 2,500 Freightcar America, Inc. 56,550
 6,200 GATX Corp. 165,416
 6,800 Gardner Denver, Inc. 303,212
 1,870 The Gorman-Rupp Co. 46,844
 7,068 Graco, Inc. 199,247
 2,100 Graham Corp. 31,479
 2,800 Greenbrier Cos., Inc.(a) 31,360
 2,900 H&E Equipment Services, Inc.(a) 21,721
 1,900 Hardinge, Inc. 16,188
 1,300 Hurco Companies, Inc.(a) 19,305
 10,086 IDEX Corp. 288,157
 3,105 John Bean Technologies Corp. 47,351
 12,955 Joy Global, Inc. 648,916
 1,121 Kadant, Inc.(a) 19,528
 3,800 Kaydon Corp. 124,868
 11,300 Kennametal, Inc. 287,359

52 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,100 Key Technology, Inc.(a) $ 14,850
 2,800 Kimball International, Inc., Class B 15,484
 5,695 Lincoln Electric Holdings, Inc. 290,388
 2,000 Lindsay Manufacturing Co.(b) 63,380
 1,800 Lydall, Inc.(a) 13,752
 1,400 MFRI, Inc.(a) 8,400
 16,600 Manitowoc Co. 151,724
 1,700 Met-Pro Corp. 18,292
 3,300 Mine Safety Appliances Co. 81,774
 4,308 Mueller Industries, Inc. 105,977
 649 NACCO Industries, Inc., Class A 57,605
 3,590 NN, Inc.(a) 17,950
 7,400 Navistar International Corp.(a) 364,080
 3,705 Nordson Corp. 207,776
 11,133 Oshkosh Corp.(a) 346,904
 1,583 PMFG, Inc.(a) 23,983
 12,145 Pentair, Inc. 391,069
 3,200 Robbins & Myers, Inc. 69,568
 6,748 SPX Corp. 356,362
 1,100 Sauer-Danfoss, Inc.(a) 13,442
 3,324 Spartan Motors, Inc. 13,961
 2,500 Standex International Corp. 63,375
 1,650 Sun Hydraulics, Inc. 38,709
 2,109 Sypris Solutions, Inc.(a) 8,457
 1,800 Tecumseh Products Co., Class A(a) 20,016
 2,088 Tennant Co. 70,616
 13,314 Terex Corp.(a) 249,504
 10,900 Timken Co. 283,291
 4,890 Toro Co. 240,197
 9,452 Trinity Industries, Inc. 167,489
 1,600 Twin Disc, Inc. 18,176
 6,050 Wabash National Corp.(a) 43,016
 5,733 Westinghouse Air Brake Technologies Corp. 228,689
 500 Williams Controls, Inc.(a) 4,525
 6,879 Woodward Governor Co. 175,621
 ------------
 8,979,216
 ------------
INDUSTRIAL METALS & MINING - 0.8%
 1,000 Ampco-Pittsburgh Corp. 20,830
 5,041 Carpenter Technology Corp. 165,496
 8,440 Century Aluminum Co.(a) 74,525
 1,400 Cold Metal Products, Inc.(a) -
 14,400 Commercial Metals Co. 190,368
 600 Friedman Industries, Inc. 3,342
 1,465 Haynes International, Inc. 45,166
 5,200 Horsehead Holding Corp.(a) 39,312
 6,100 Intrepid Potash, Inc.(a) 119,377
 1,534 Kaiser Aluminum Corp. 53,184
 1,905 Olympic Steel, Inc. 43,758
 4,200 RTI International Metals, Inc.(a) 101,262
 7,738 Reliance Steel & Aluminum Co. 279,729
 27,432 Southern Copper Corp. 728,045
 26,466 Steel Dynamics, Inc. 349,086
 1,300 Synalloy Corp. 10,868
 12,200 USEC, Inc.(a) 58,072
 700 Universal Stainless & Alloy Products, Inc.(a) 11,193
 8,800 Uranium Energy Corp.(a),(b) 20,768
 7,012 Uranium Resources, Inc.(a) 2,784
 1,819 WHX Corp.(a) 7,749
 7,167 Worthington Industries, Inc. 92,168
 ------------
 2,417,082
 ------------
INDUSTRIAL TRANSPORTATION - 1.5%
 2,205 ATC Technology Corp.(a) 35,545
 7,785 Air Transport Services Group, Inc.(a) 37,057
 5,600 Aircastle Ltd. 43,960
 4,928 Alexander & Baldwin, Inc. 146,756
 1,125 American Commercial Lines, Inc.(a) 25,324
 3,800 Arkansas Best Corp. 78,850

SCHEDULE OF INVESTMENTS | 53

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,600 Atlas Air Worldwide Holdings, Inc.(a) $ 123,500
 2,314 Celadon Group, Inc.(a) 32,720
 6,540 Con-way, Inc. 196,331
 3,019 Covenant Transport Group, Class A(a) 20,378
 5,500 DHT Holdings, Inc. 21,175
 900 Dynamex, Inc.(a) 10,980
 10,861 Eagle Bulk Shipping, Inc.(a),(b) 45,833
 3,800 Excel Maritime Carriers Ltd.(a),(b) 19,456
 3,409 Forward Air Corp. 92,895
 5,389 Frozen Food Express Industries, Inc.(a) 18,861
 3,878 Genco Shipping & Trading Ltd.(a),(b) 58,131
 9,252 General Maritime Corp. 55,882
 4,616 Genesee & Wyoming, Inc., Class A(a) 172,223
 4,575 HUB Group, Inc., Class A(a) 137,296
 7,008 Heartland Express, Inc. 101,756
 3,300 Horizon Lines, Inc., Class A 13,959
 600 International Shipholding Corp. 13,278
 13,000 J.B. Hunt Transport Services, Inc. 424,710
 12,774 Kansas City Southern(a) 464,335
 6,646 Kirby Corp.(a) 254,209
 6,200 Knight Transportation, Inc. 125,488
 6,500 Landstar System, Inc. 253,435
 1,637 Marten Transport Ltd.(a) 34,017
 4,762 Old Dominion Freight Line, Inc.(a) 167,337
 3,600 Overseas Shipholding Group, Inc. 133,344
 600 P.A.M. Transportation Services, Inc.(a) 9,018
 5,900 PHH Corp.(a) 112,336
 7,000 Pacer International, Inc.(a) 48,930
 193 Patriot Transportation Holding, Inc.(a) 15,616
 3,097 Quality Distribution, Inc.(a) 16,011
 2,600 Railamerica, Inc.(a) 25,792
 134 SMF Energy Corp.(a) 164
 3,200 Saia, Inc.(a) 48,000
 5,019 Ship Finance International Ltd. 89,740
 1,400 TAL International Group, Inc. 31,458
 5,247 Teekay Corp. 137,314
 1,900 Textainer Group Holdings Ltd. 45,866
 1,082 USA Truck, Inc.(a) 17,442
 12,662 UTI Worldwide, Inc. 156,755
 900 Universal Truckload Services, Inc.(a) 12,537
 7,800 Werner Enterprises, Inc. 170,742
 200 Willis Lease Finance Corp.(a) 1,844
 7,600 World Fuel Services Corp. 197,144
 10,214 YRC Worldwide, Inc.(a) 1,532
 ------------
 4,497,262
 ------------
LEISURE GOODS - 0.9%
 72,188 Activision Blizzard, Inc.(c) 757,252
 1,300 Arctic Cat, Inc.(a) 11,843
 11,400 Brunswick Corp. 141,702
 11,400 Callaway Golf Co. 68,856
 3,100 DTS, Inc.(a) 101,897
 2,200 Drew Industries, Inc.(a) 44,440
 2,998 Emerson Radio Corp. 5,097
 1,740 Escalade, Inc.(a) 8,543
 15,500 Garmin Ltd.(b) 452,290
 4,200 Glu Mobile, Inc.(a) 5,586
 5,313 Jakks Pacific, Inc.(a) 76,401
 400 Koss Corp. 2,104
 7,653 Leapfrog Enterprises, Inc.(a) 30,765
 1,500 Majesco Entertainment Co.(a) 1,065
 700 Marine Products Corp.(a) 3,962

54 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 433 Meade Instruments Corp.(a) $ 1,407
 2,400 Nautilus, Inc.(a) 3,648
 3,700 Polaris Industries, Inc. 202,094
 5,350 Pool Corp. 117,272
 1,970 RC2 Corp.(a) 31,737
 2,100 Sport Supply Group, Inc. 28,266
 1,310 Steinway Musical Instruments, Inc.(a) 23,305
 10,326 THQ, Inc.(a) 44,608
 10,674 Take-Two Interactive Software, Inc.(a) 96,066
 4,185 Thor Industries, Inc. 99,394
 12,683 TiVo, Inc.(a) 93,601
 1,700 Universal Electronics, Inc.(a) 28,271
 4,500 Winnebago Industries, Inc.(a) 44,730
 ------------
 2,526,202
 ------------
LIFE INSURANCE - 0.5%
 6,100 American Equity Investment Life Holding Co. 62,952
 313 American Independence Corp.(a) 1,596
 3,900 Amerisafe, Inc.(a) 68,445
 1,107 Atlantic American Corp.(a) 1,428
 32,800 CNO Financial Group, Inc.(a) 162,360
 3,604 Citizens, Inc.(a) 24,003
 7,250 Delphi Financial Group, Inc., Class A 176,973
 4,100 eHealth, Inc.(a) 46,617
 5,500 Employers Holdings, Inc. 81,015
 1,700 FBL Financial Group,Inc., Class A 35,700
 720 Independence Holding Co. 4,298
 700 Kansas City Life Insurance Co. 20,699
 307 National Western Life Insurance Co., Class A 46,897
 11,427 The Phoenix Cos., Inc.(a) 24,111
 3,100 Presidential Life Corp. 28,210
 10,439 Protective Life Corp. 223,290
 6,900 Stancorp Financial Group, Inc. 279,726
 3,110 Symetra Financial Corp. 37,320
 ------------
 1,325,640
 ------------
MEDIA - 3.1%
 1,296 AH Belo Corp.(a) 8,605
 11,400 Acxiom Corp.(a) 167,466
 1,300 Alloy, Inc.(a) 12,194
 5,200 American Greetings Corp., Class A 97,552
 4,200 Arbitron, Inc. 107,646
 1,406 Ascent Media Corp., Class A(a) 35,516
 3,356 Avid Technology, Inc.(a) 42,722
 4,100 Beasley Broadcasting Group, Inc., Class A(a) 19,967
 9,980 Belo Corp., Class A(a) 56,786
 7,612 CKX, Inc.(a) 37,984
 904 CSS Industries, Inc. 14,916
 50 CTN Media Group, Inc.(a) -
 29,998 Cablevision Systems Corp., Class A 720,252
 6,200 Clear Channel Outdoor Holdings, Inc., Class A(a) 53,816
 2,450 ComScore, Inc.(a) 40,351
 4,236 Constant Contact, Inc.(a) 90,354
 2,237 Courier Corp. 27,314
 1,500 Crown Media Holdings, Inc., Class A(a) 2,640
 6,165 Cumulus Media, Inc., Class A(a) 16,461
 2,938 DG FastChannel, Inc.(a) 95,720
 26,665 DISH Network Corp. 483,970
 5,918 Dex One Corp.(a) 112,442
 4,000 The Dolan Co.(a) 44,480
 6,700 Dolby Laboratories, Inc., Class A(a) 420,023

SCHEDULE OF INVESTMENTS | 55

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 9,500 DreamWorks Animation SKG, Inc., Class A(a) $ 271,225
 2,044 EDCI Holdings, Inc. 7,338
 3,233 EW Scripps Co.(a) 24,021
 6,400 Emmis Communications Corp., Class A(a) 14,080
 3,000 Entercom Communications Corp.(a) 26,460
 6,500 Entravision Communications Corp., Class A(a) 13,715
 5,750 Factset Research Systems, Inc. 385,192
 700 Fisher Communications, Inc.(a) 11,788
 2,090 Global Traffic Network, Inc.(a) 11,244
 10,300 Gray Television, Inc.(a) 24,823
 40 HSW International, Inc.(a) 82
 4,300 Harte-Hanks, Inc. 44,935
 4,300 Hollywood Media Corp.(a) 5,074
 80 iBEAM Broadcasting Corp.(a) -
 5,600 IHS, Inc., Class A(a) 327,152
 3,200 infoGROUP, Inc.(a) 25,536
 3,838 Interactive Data Corp. 128,112
 2,000 interCLICK, Inc.(a) 7,360
 4,180 inVentiv Health, Inc.(a) 107,008
 5,800 John Wiley & Sons, Inc., Class A 224,286
 4,500 Journal Communications, Inc., Class A(a) 17,865
 3,500 Knology, Inc.(a) 38,255
 3,100 The Knot, Inc.(a) 24,118
 8,207 Lamar Advertising Co., Class A(a) 201,236
 5,300 Lee Enterprises, Inc.(a) 13,621
 29,841 Liberty Global, Inc.(a) 775,568
 3,922 Liberty Global, Inc., Series C(a) 101,933
 6,932 Liberty Media Corp. - Starz, Series A(a) 359,355
 10,770 Liberty Media Holding Corp. - Capital(a) 451,371
 79,436 Liberty Media Holding Corp. - Interactive(a) 834,078
 3,200 Lin TV Corp., Class A(a) 17,312
 500 Local.com Corp.(a) 3,420
 3,600 LodgeNet Interactive Corp.(a) 13,356
 3,200 Marchex, Inc., Class B 12,320
 4,241 Martha Stewart Living Omnimedia, Inc., Class A(a) 20,866
 8,231 McClatchy Co., Class A(a),(b) 29,961
 2,100 Media General, Inc., Class A(a) 20,496
 5,900 Mediacom Communications Corp., Class A(a) 39,648
 2,415 Morningstar, Inc.(a) 102,686
 5,100 National CineMedia, Inc. 84,966
 5,400 New Frontier Media, Inc.(a) 8,694
 4,500 Nexstar Broadcasting Group, Inc., Class A(a) 19,710
 400 Outdoor Channel Holdings, Inc.(a) 1,868
 1,330 PDI, Inc.(a) 11,012
 6,168 Playboy Enterprises, Inc., Class B(a) 25,906
 3,905 Primedia, Inc. 11,442
 4,021 Radio One, Inc., Class D(a) 5,147
 1,400 SPAR Group, Inc.(a) 714
 357 Saga Communications, Inc.(a) 8,525
 1,600 Salem Communications Corp., Class A(a) 5,936
 30 Salon Media Group, Inc.(a) 6
 2,100 Schawk, Inc. 31,395
 3,810 Scholastic Corp. 91,897

56 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 8,400 Sinclair Broadcast Group, Inc., Class A(a) $ 48,972
 491,750 Sirius XM Radio, Inc.(a),(b) 466,917
 6,546 Spanish Broadcasting System, Inc., Class A(a) 7,462
 2,560 SuperMedia, Inc.(a),(b) 46,822
 1,100 TechTarget, Inc.(a) 5,918
 2,600 TheStreet.com, Inc. 7,488
 6,699 Valassis Communications, Inc.(a) 212,492
 100 Value Line, Inc. 1,814
 12,408 ValueClick, Inc.(a) 132,641
 4,400 Vertro, Inc.(a) 2,178
 7,700 Warner Music Group Corp.(a) 37,422
 5,784 WebMD Health Corp., Class A(a) 268,551
 1,900 WebMediaBrands, Inc.(a) 1,710
 18 Westwood One, Inc.(a) 178
 ------------
 8,993,856
 ------------
MINING - 1.1%
 3,042 AMCOL International Corp. 71,487
 8,517 Allied Nevada Gold Corp.(a) 167,614
 15,401 Alpha Natural Resources, Inc.(a) 521,632
 21,631 Arch Coal, Inc. 428,510
 6,889 Capital Gold Corp.(a) 27,556
 5,200 Cloud Peak Energy, Inc.(a) 68,952
 9,692 Coeur d'Alene Mines Corp.(a) 152,940
 4,600 Compass Minerals International, Inc. 323,288
 8,200 Evergreen Energy, Inc.(a) 869
 6,700 General Moly, Inc.(a) 20,636
 29,585 Hecla Mining Co.(a),(b) 154,434
 15,656 International Coal Group, Inc.(a) 60,276
 4,305 James River Coal Co.(a) 68,535
 1,050 National Coal Corp.(a) 630
 10,192 Patriot Coal Corp.(a) 119,756
 7,635 Royal Gold, Inc. 366,480
 6,600 Solitario Exploration & Royalty Corp.(a) 14,058
 7,184 Stillwater Mining Co.(a) 83,478
 6,000 Timberline Resources Corp.(a) 5,638
 5,200 US Energy Corp. Wyoming(a) 24,700
 16,300 US Gold Corp.(a) 81,663
 3,800 Vista Gold Corp.(a) 6,460
 7,028 Walter Industries, Inc. 427,654
 1,600 Westmoreland Coal Co.(a) 12,992
 ------------
 3,210,238
 ------------
MOBILE TELECOMMUNICATIONS - 1.1%
 1,100 Atlantic Tele-Network, Inc. 45,430
 31,790 Crown Castle International Corp.(a) 1,184,495
 6,288 FiberTower Corp.(a) 29,679
 7,142 Globalstar, Inc.(a) 10,999
 7,486 Leap Wireless International, Inc.(a) 97,168
 22,000 NII Holdings, Inc.(a) 715,440
 5,300 NTELOS Holdings Corp. 91,160
 1,800 ORBCOMM, Inc.(a) 3,276
 16,100 SBA Communications Corp., Class A(a),(b) 547,561
 2,000 Shenandoah Telecom Co. 35,480
 8,800 Telephone & Data Systems, Inc. 267,432
 2,900 Telephone & Data Systems, Inc., Special Shares 76,966
 5,100 TerreStar Corp.(a) 2,525
 1,600 U.S. Cellular Corp.(a) 65,840
 5,300 USA Mobility, Inc. 68,476
 ------------
 3,241,927
 ------------
NONLIFE INSURANCE - 4.0%
 2,379 21st Century Holding Co. 8,969
 33,212 AMBAC Financial Group, Inc.(a),(b) 22,252

SCHEDULE OF INVESTMENTS | 57

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 3,097 Affirmative Insurance Holdings, Inc.(a) $ 12,357
 831 Alleghany Corp.(a) 243,732
 5,900 Allied World Assurance Holdings Ltd. 267,742
 9,218 American Financial Group, Inc. 251,836
 2,222 American National Insurance Co. 179,915
 1,933 American Physicians Capital, Inc. 59,633
 3,100 American Safety Insurance Holdings Ltd.(a) 48,732
 4,300 AmTrust Financial Services, Inc. 51,772
 6,587 Arch Capital Group Ltd.(a) 490,732
 4,739 Argo Group International Holdings Ltd. 144,966
 11,700 Arthur J. Gallagher & Co. 285,246
 10,800 Aspen Insurance Holdings Ltd. 267,192
 20,319 Assured Guaranty Ltd. 269,633
 19,600 Axis Capital Holdings Ltd. 582,512
 950 Baldwin & Lyons, Inc., Class B 19,960
 15,700 Brown & Brown, Inc. 300,498
 4,034 CNA Financial Corp.(a) 103,109
 1,900 CNA Surety Corp.(a) 30,533
 500 Donegal Group, Inc., Class A 6,145
 1,100 EMC Insurance Group, Inc. 24,123
 1,900 Eastern Insurance Holdings, Inc. 20,178
 7,000 Endurance Specialty Holdings Ltd. 262,710
 600 Enstar Group Ltd.(a) 39,864
 4,388 Erie Indemnity Co., Class A 199,654
 7,300 Everest Re Group Ltd. 516,256
 2,400 FPIC Insurance Group, Inc.(a) 61,560
 1,327 First Acceptance Corp.(a) 2,269
 16,289 First American Financial Corp. 206,545
 2,400 First Mercury Financial Corp. 25,392
 4,500 Flagstone Reinsurance Holdings SA 48,690
 3,700 Greenlight Capital Re Ltd.(a) 93,203
 13,450 HCC Insurance Holdings, Inc. 333,022
 6,700 The Hanover Insurance Group, Inc. 291,450
 1,400 Harleysville Group, Inc. 43,442
 4,300 Horace Mann Educators Corp. 65,790
 1,800 Infinity Property & Casualty Corp. 83,124
 662 InsWeb Corp.(a) 3,118
 1,831 Life Partners Holdings, Inc. 37,462
 366 Life Quotes, Inc.(a) 1,449
 20,546 MBIA, Inc.(a) 115,263
 5,278 Maiden Holdings Ltd. 34,676
 1,240 Markel Corp.(a) 421,600
 4,400 Meadowbrook Insurance Group, Inc. 37,972
 1,400 Mercer Insurance Group, Inc. 23,688
 2,961 Mercury General Corp. 122,704
 9,300 Montpelier Re Holdings Ltd. 138,849
 600 NYMAGIC, Inc. 11,574
 600 National Interstate Corp. 11,892
 120 National Security Group, Inc. 1,495
 1,700 Navigators Group, Inc.(a) 69,921
 29,613 Old Republic International Corp. 359,206
 4,600 OneBeacon Insurance Group Ltd. 65,872

58 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 4,695 PMA Capital Corp., Class A(a) $ 30,752
 9,112 PartnerRe Ltd. 639,116
 7,200 Platinum Underwriters Holdings Ltd. 261,288
 4,400 ProAssurance Corp.(a) 249,744
 2,100 RLI Corp. 110,271
 9,095 Reinsurance Group of America, Inc. 415,732
 7,700 RenaissanceRe Holdings Ltd. 433,279
 1,800 Safety Insurance Group, Inc. 66,636
 4,700 SeaBright Holdings, Inc. 44,556
 5,800 Selective Insurance Group, Inc. 86,188
 1,425 State Auto Financial Corp. 22,102
 6,270 Tower Group, Inc. 134,993
 8,162 Transatlantic Holdings, Inc. 391,450
 300 Unico American Corp. 2,820
 2,700 United America Indemnity, Ltd.(a) 19,872
 2,253 United Fire & Casualty Co. 44,655
 5,170 Unitrin, Inc. 132,352
 6,100 Universal Insurance Holdings, Inc. 25,498
 11,455 Validus Holdings Ltd. 279,731
 17,090 W.R. Berkley Corp. 452,201
 168 Wesco Financial Corp. 54,298
 932 White Mountains Insurance Group, Inc. 302,154
 ------------
 11,621,167
 ------------
OIL & GAS PRODUCERS - 3.7%
 6,400 ATP Oil & Gas Corp.(a),(b) 67,776
 9,427 Abraxas Petroleum Corp.(a) 26,396
 800 Adams Resources & Energy, Inc. 14,400
 1,500 Alon USA Energy, Inc. 9,540
 9,900 American Oil & Gas, Inc.(a) 62,172
 1,241 Apco Oil and Gas International, Inc. 29,176
 1,926 Approach Resources, Inc.(a) 13,251
 5,000 Arena Resources, Inc.(a) 159,500
 9,921 Atlas Energy, Inc.(a) 268,561
 12,853 BPZ Resources, Inc.(a),(b) 53,340
 2,673 Barnwell Industries, Inc.(a) 7,484
 6,400 Berry Petroleum Co., Class A 164,608
 4,585 Bill Barrett Corp.(a) 141,080
 14,371 Brigham Exploration Co.(a) 221,026
 1,700 CREDO Petroleum Corp.(a) 12,512
 5,854 CVR Energy, Inc.(a) 44,022
 2,686 Callon Petroleum Co.(a) 16,922
 4,300 Carrizo Oil & Gas, Inc.(a) 66,779
 9,500 Cheniere Energy, Inc.(a) 26,790
 10,644 Cimarex Energy Co. 761,897
 1,197 Clayton Williams Energy, Inc.(a) 50,418
 9,300 Cobalt International Energy, Inc.(a) 69,285
 6,600 Comstock Resources, Inc.(a) 182,952
 9,751 Concho Resources, Inc.(a) 539,523
 1,500 Contango Oil & Gas Co.(a) 67,125
 4,019 Continental Resources, Inc.(a) 179,328
 1,600 Delek US Holdings, Inc. 11,680
 24,435 Delta Petroleum Corp.(a),(b) 21,014
 4,983 Double Eagle Pete & Mining Co.(a) 21,178
 1,560 Dune Energy, Inc.(a) 174
 22,100 EXCO Resources, Inc. 322,881
 20,400 Endeavour International Corp.(a) 21,624
 8,996 Energen Corp. 398,793

SCHEDULE OF INVESTMENTS | 59

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 5,900 FX Energy, Inc.(a) $ 21,358
 13,978 Forest Oil Corp.(a) 382,438
 13,398 Frontier Oil Corp. 180,203
 4,923 GMX Resources Inc.(a) 31,950
 5,700 Gasco Energy, Inc.(a) 2,029
 7,532 GeoMet, Inc.(a) 8,586
 9,626 GeoPetro Resources Co.(a) 4,428
 1,532 GeoResources, Inc.(a) 21,341
 4,098 Goodrich Petroleum Corp.(a) 49,176
 3,900 Gulfport Energy Corp.(a) 46,254
 7,300 Harvest Natural Resources, Inc.(a) 53,801
 5,700 Holly Corp. 151,506
 2,100 Houston American Energy Corp. 20,706
 6,000 John D. Oil & Gas Co.(a) 270
 10,000 Magnum Hunter Resources Corp.(a) 43,600
 12,399 Mariner Energy, Inc.(a) 266,331
 11,026 McMoRan Exploration Co.(a) 122,499
 16,970 Newfield Exploration Co.(a) 829,154
 5,286 Northern Oil And Gas,Inc.(a) 67,872
 900 Panhandle Oil & Gas, Inc. 23,787
 6,800 Penn Virginia Corp. 136,748
 38,501 PetroHawk Energy Corp.(a) 653,362
 3,280 Petroleum Development Corp.(a) 84,034
 8,675 Petroquest Energy, Inc.(a) 58,643
 18,019 Plains Exploration & Production Co.(a) 371,372
 2,589 PostRock Energy Corp.(a) 12,427
 15,260 Quicksilver Resources, Inc.(a) 167,860
 7,700 Ram Energy Resources, Inc.(a) 15,939
 5,404 Resolute Energy Corp.(a) 66,145
 5,500 Rex Energy Corp.(a) 55,550
 7,900 Rosetta Resources, Inc.(a) 156,499
 8,400 SM Energy Co. 337,344
 24,626 SandRidge Energy, Inc.(a),(b) 143,570
 14,454 Southern Union Co. 315,964
 5,609 Stone Energy Corp.(a) 62,596
 4,400 Swift Energy Co.(a) 118,404
 9,000 Syntroleum Corp.(a) 14,760
 4,100 Toreador Resources Corp.(a) 22,550
 9,954 Tri-Valley Corp.(a) 10,054
 19,400 Ultra Petroleum Corp.(a) 858,450
 6,500 Vaalco Energy, Inc. 36,400
 2,700 Venoco, Inc.(a) 44,469
 3,838 W&T Offshore, Inc. 36,307
 16,300 Warren Resources, Inc.(a) 47,270
 5,927 Western Refining, Inc.(a),(b) 29,813
 6,600 Whiting Petroleum Corp.(a) 517,572
 4,585 Zion Oil & Gas, Inc.(a),(b) 23,017
 ------------
 10,777,615
 ------------
OIL EQUIPMENT, SERVICE & DISTRIBUTION - 2.0%
 4,641 Allis-Chalmers Energy, Inc.(a) 9,560
 7,600 Atwood Oceanics, Inc.(a) 193,952
 2,600 Basic Energy Services, Inc.(a) 20,020
 1,300 Bolt Technology Corp.(a) 11,375
 6,900 Boots & Coots, Inc.(a) 20,355
 3,896 Bristow Group, Inc.(a) 114,542
 6,500 Bronco Drilling Co., Inc.(a) 21,775
 2,850 CARBO Ceramics, Inc. 205,742
 10,891 Cal Dive International, Inc.(a) 63,712
 4,700 Chart Industries, Inc.(a) 73,226
 9,200 Complete Production Services, Inc.(a) 131,560
 8,100 Crosstex Energy, Inc.(a) 51,921
 1,900 Dawson Geophysical Co.(a) 40,413

60 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 10,271 Dresser-Rand Group, Inc.(a) $ 324,050
 3,500 Dril-Quip, Inc.(a) 154,070
 8,863 Exterran Holdings, Inc.(a) 228,754
 2,400 Flotek Industries, Inc.(a) 2,904
 1,500 Geokinetics, Inc.(a) 5,745
 12,174 Global Industries Ltd.(a) 54,661
 1,630 Gulf Island Fabrication, Inc. 25,298
 3,006 Gulfmark Offshore, Inc., Class A(a) 78,757
 11,004 Helix Energy Solutions Group, Inc.(a) 118,513
 18,700 Hercules Offshore, Inc.(a) 45,441
 3,100 Hornbeck Offshore Services, Inc.(a) 45,260
 12,542 ION Geophysical Corp.(a) 43,646
 14,934 Key Energy Services, Inc.(a) 137,094
 4,600 Lufkin Industries, Inc. 179,354
 5,200 Matrix Service Co.(a) 48,412
 1,700 Mitcham Industries, Inc.(a) 11,475
 4,700 NGAS Resources, Inc.(a) 4,935
 2,200 Natural Gas Services Group(a) 33,286
 10,364 Newpark Resources, Inc.(a) 62,702
 11,899 OGE Energy Corp. 435,027
 1,000 OYO Geospace Corp.(a) 48,480
 6,800 Oceaneering International, Inc.(a) 305,320
 5,914 Oil States International, Inc.(a) 234,076
 4,113 Omni Energy Services Corp.(a) 10,982
 1,900 PHI, Inc.(a) 26,771
 12,500 Parker Drilling Co.(a) 49,375
 21,410 Patterson-UTI Energy, Inc. 275,547
 5,500 Pioneer Drilling Co.(a) 31,185
 19,572 Pride International, Inc.(a) 437,238
 4,112 RPC, Inc. 56,129
 2,677 SEACOR Holdings, Inc.(a) 189,157
 1,773 Seahawk Drilling, Inc.(a) 17,234
 12,700 Sulphco, Inc.(a) 3,454
 9,185 Superior Energy Services, Inc.(a) 171,484
 4,500 Superior Well Services, Inc.(a) 75,240
 2,200 T-3 Energy Services, Inc.(a) 61,380
 4,077 Tesco Corp.(a) 50,066
 8,745 Tetra Technologies, Inc.(a) 79,405
 7,155 Tidewater, Inc. 277,042
 4,500 Trico Marine Services, Inc.(a),(b) 2,250
 2,700 Union Drilling, Inc.(a) 14,877
 6,600 Unit Corp.(a) 267,894
 ------------
 5,682,123
 ------------
PERSONAL GOODS - 1.3%
 10,645 Alberto-Culver Co. 288,373
 3,100 American Apparel, Inc.(a) 5,673
 6,810 Carter's, Inc.(a) 178,762
 4,480 Charles & Colvard Ltd.(a) 12,499
 2,400 Cherokee, Inc. 41,040
 1,600 Columbia Sportswear Co. 74,672
 11,935 Crocs, Inc.(a) 126,272
 2,100 Culp, Inc.(a) 23,016
 1,756 Deckers Outdoor Corp.(a) 250,880
 4,500 Elizabeth Arden, Inc.(a) 65,340
 6,117 Fossil, Inc.(a) 212,260
 1,726 G-III Apparel Group, Ltd.(a) 39,508
 11,709 Hanesbrands, Inc.(a) 281,719
 3,956 Heelys, Inc.(a) 9,613
 4,500 Helen of Troy Ltd.(a) 99,270
 10,781 Iconix Brand Group, Inc.(a) 154,923
 2,450 Inter Parfums, Inc. 34,863
 11,900 Joe's Jeans, Inc.(a) 23,562
 10,100 Jones Apparel Group, Inc. 160,085
 3,200 K-Swiss, Inc., Class A(a) 35,936

SCHEDULE OF INVESTMENTS | 61

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,900 Kenneth Cole Productions, Inc., Class A(a) $ 31,929
 500 Lacrosse Footwear, Inc. 8,420
 1,210 Lakeland Industries, Inc.(a) 11,084
 12,689 Liz Claiborne, Inc.(a),(b) 53,548
 2,354 Maidenform Brands, Inc.(a) 47,927
 2,600 Movado Group, Inc.(a) 27,768
 1,900 Orchids Paper Products Co.(a) 24,700
 1,900 Oxford Industries, Inc. 39,767
 3,918 Parlux Fragrances, Inc.(a) 7,013
 2,100 Perry Ellis International, Inc.(a) 42,420
 6,295 Phillips-Van Heusen Corp. 291,270
 1,000 Phoenix Footwear Group, Inc.(a) 380
 3,138 Physicians Formula Holdings, Inc.(a) 10,355
 14,934 Quiksilver, Inc.(a) 55,256
 2,189 Revlon, Inc., Class A(a) 24,429
 1,000 Rocky Brands, Inc.(a) 6,390
 4,500 Skechers U.S.A., Inc., Class A(a) 164,340
 4,050 Steven Madden Ltd.(a) 127,656
 1,500 Superior Uniform Group, Inc. 14,625
 1,401 Tandy Brands Accessories, Inc.(a) 5,044
 4,972 Timberland Co., Class A(a) 80,298
 4,200 True Religion Apparel, Inc.(a) 92,694
 4,137 Under Armour, Inc., Class A(a),(b) 137,059
 4,272 Unifi, Inc.(a) 16,319
 2,200 Volcom, Inc.(a) 40,854
 6,400 The Warnaco Group, Inc.(a) 231,296
 700 Weyco Group, Inc. 15,946
 5,400 Wolverine World Wide, Inc. 136,188
 ------------
 3,863,241
 ------------
PHARMACEUTICALS & BIOTECHNOLOGY - 4.6%
 3,200 AMAG Pharmaceuticals, Inc.(a) 109,920
 511 ARCA Biopharma, Inc.(a) 1,732
 2,900 ARYx Therapeutics, Inc.(a) 1,218
 19,500 AVI BioPharma, Inc.(a) 31,395
 7,528 Aastrom Biosciences, Inc.(a) 11,217
 693 The Abraxis Bioscience,Inc.(a) 51,421
 4,500 Acadia Pharmaceuticals, Inc.(a) 4,905
 9,800 Achillion Pharmaceuticals, Inc.(a) 21,560
 5,500 Acorda Therapeutics, Inc.(a) 171,105
 2,600 Acura Pharmaceuticals, Inc.(a),(b) 6,526
 7,200 Adolor Corp.(a) 7,848
 1,300 Affymax, Inc.(a) 7,774
 10,960 Affymetrix, Inc.(a) 64,664
 8,100 Akorn, Inc.(a) 24,057
 2,000 Albany Molecular Research, Inc.(a) 10,340
 11,350 Alexion Pharmaceuticals, Inc.(a) 581,007
 3,600 Alexza Pharmaceuticals, Inc.(a) 9,792
 14,200 Alkermes, Inc.(a) 176,790
 13,000 Allos Therapeutics, Inc.(a) 79,690
 4,223 Alnylam Pharmaceuticals, Inc.(a) 63,429
 1,700 Amicus Therapeutics, Inc.(a) 3,808
 17,715 Amylin Pharmaceuticals, Inc.(a) 333,042
 10,400 Anadys Pharmaceuticals, Inc.(a) 19,968
 12,100 Antigenics, Inc.(a) 9,813

62 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,900 Ardea Biosciences, Inc.(a) $ 39,064
 15,357 Arena Pharmaceuticals, Inc.(a),(b) 47,146
 18,624 Ariad Pharmaceuticals, Inc.(a) 52,520
 5,130 Arqule, Inc.(a) 22,059
 10,600 Array Biopharma, Inc.(a) 32,330
 1,794 AspenBio Pharma, Inc.(a) 1,758
 6,200 Auxilium Pharmaceuticals, Inc.(a) 145,700
 7,050 Avanir Pharmaceuticals, Inc.(a) 18,119
 3,937 BioCryst Pharmaceuticals, Inc.(a) 23,268
 600 Biodel, Inc.(a) 2,268
 14,300 BioMarin Pharmaceuticals, Inc.(a) 271,128
 1,750 BioMimetic Therapeutics, Inc.(a) 19,460
 9,451 Biosante Pharmaceuticals, Inc.(a),(b) 16,634
 90 CPEX Pharmaceuticals, Inc.(a) 2,385
 2,985 Cadence Pharmaceuticals, Inc.(a),(b) 20,925
 4,957 Caliper Life Sciences, Inc.(a) 21,166
 4,100 Capstone Therapeutics Corp.(a) 2,710
 1,400 Caraco Pharmaceutical Laboratories Ltd.(a) 6,608
 23,000 Cel-Sci Corp.(a) 11,270
 8,800 Celera Corp.(a) 57,640
 79,042 Cell Therapeutics, Inc.(a) 29,649
 7,466 Celldex Therapeutics, Inc.(a) 34,045
 10,900 Cerus Corp.(a),(b) 34,444
 7,792 Charles River Laboratories International, Inc.(a) 266,564
 7,185 Chelsea Therapeutics International, Inc.(a) 21,052
 7,400 Columbia Laboratories, Inc.(a) 7,844
 8,200 Cubist Pharmaceuticals, Inc.(a) 168,920
 600 Cumberland Pharmaceuticals, Inc.(a) 3,852
 14,000 Curis, Inc.(a) 19,460
 7,500 Cypress Bioscience, Inc.(a) 17,250
 4,200 Cytokinetics, Inc.(a) 9,954
 6,000 Cytori Therapeutics, Inc.(a) 20,880
 24,700 CytRx Corp.(a) 19,019
 17,064 Dendreon Corp.(a) 551,679
 7,300 Depomed, Inc.(a) 20,440
 26,500 Discovery Laboratories, Inc.(a) 5,035
 7,200 Durect Corp.(a) 17,496
 4,249 Dusa Pharmaceuticals, Inc.(a) 9,135
 11,394 Dyax Corp.(a) 25,864
 8,211 Dynavax Technologies Corp.(a) 15,272
 2,500 Emergent Biosolutions, Inc.(a) 40,850
 4,800 Emisphere Technologies, Inc.(a) 15,072
 14,600 Endo Pharmaceuticals Holdings, Inc.(a) 318,572
 8,889 Entremed, Inc.(a) 3,586
 3,973 Enzo Biochem, Inc.(a) 16,170
 7,400 Enzon Pharmaceuticals, Inc.(a) 78,810
 4,465 EpiCept Corp.(a) 4,554
 3,653 Exact Sciences Corp.(a) 16,073
 12,569 Exelixis, Inc.(a) 43,614
 1,275 Furiex Pharmaceuticals, Inc.(a) 12,954
 900 GTC Biotherapeutics, Inc.(a) 432
 2,400 GTx, Inc.(a) 7,320
 6,300 Gen-Probe, Inc.(a) 286,146
 21,538 GenVec, Inc.(a) 9,910
 566 General Liquidating Trust Certificates(a) 1

SCHEDULE OF INVESTMENTS | 63

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,100 Genomic Health, Inc.(a) $ 27,153
 26 Genta, Inc.(a) 1
 14,100 Geron Corp.(a),(b) 70,782
 9,281 Halozyme Therapeutics, Inc.(a) 65,338
 2,300 Harbor BioSciences, Inc.(a) 621
 1,520 Harvard Bioscience, Inc.(a) 5,411
 500 Helicos BioSciences Corp.(a) 222
 9,683 Hemispherx Biopharma, Inc.(a) 4,537
 1,706 Hi-Tech Pharmacal Co., Inc.(a) 39,084
 23,754 Human Genome Sciences, Inc.(a) 538,266
 5,014 Idenix Pharmaceuticals, Inc.(a) 25,070
 2,100 Idera Pharmaceuticals, Inc.(a) 7,560
 15,992 Illumina, Inc.(a),(b) 696,132
 10,000 ImmunoGen, Inc.(a) 92,700
 13,200 Immunomedics, Inc.(a),(b) 40,788
 7,500 Impax Laboratories, Inc.(a) 142,950
 15,691 Incyte Corp.(a) 173,699
 2,563 Infinity Pharmaceuticals, Inc.(a) 15,147
 13,600 Inovio Pharmaceuticals, Inc.(a) 13,872
 13,600 Insmed, Inc.(a) 9,147
 7,623 Inspire Pharmaceuticals, Inc.(a) 38,039
 6,584 InterMune, Inc.(a) 61,560
 1,136 Ironwood Pharmaceuticals, Inc.(a) 13,541
 10,970 Isis Pharmaceuticals, Inc.(a) 104,983
 5,300 Ista Pharmaceuticals, Inc.(a) 11,607
 6,200 Javelin Pharmaceuticals, Inc.(a) 13,640
 2,709 Jazz Pharmaceuticals, Inc.(a) 21,211
 4,100 K-V Pharmaceutical Co., Class A(a) 3,444
 8,751 Keryx Biopharmaceuticals, Inc.(a),(b) 32,029
 26,191 Lexicon Genetics, Inc.(a) 33,525
 19,022 Ligand Pharmaceuticals, Inc., Class B(a) 27,772
 5,300 Luminex Corp.(a) 85,966
 1,638 MAP Pharmaceuticals, Inc.(a) 21,491
 3,390 MDRNA, Inc.(a),(b) 3,054
 9,700 MannKind Corp.(a),(b) 61,983
 654 Matrixx Initiatives, Inc.(a) 3,008
 6,900 Maxygen, Inc.(a) 38,157
 7,470 Medicines Co.(a) 56,847
 7,500 Medicis Pharmaceutical Corp., Class A 164,100
 4,800 Medivation, Inc.(a) 42,432
 9,545 Micromet, Inc.(a) 59,561
 3,700 Molecular Insight Pharmaceuticals, Inc.(a) 6,105
 4,634 Momenta Pharmaceuticals, Inc.(a) 56,813
 6,400 Myrexis, Inc.(a) 24,064
 12,700 Myriad Genetics, Inc.(a) 189,865
 7,075 NPS Pharmaceuticals, Inc.(a) 45,563
 5,700 Nabi Biopharmaceuticals(a) 31,008
 10,885 Nektar Therapeutics(a) 131,709
 6,273 Neurocrine Biosciences, Inc.(a) 35,129
 4,900 Nile Therapeutics, Inc.(a) 1,519
 11,006 Novavax, Inc.(a),(b) 23,883
 2,700 Obagi Medical Products, Inc.(a) 31,914
 876 OncoGenex Pharmaceutical, Inc.(a) 11,782
 8,200 Onyx Pharmaceuticals, Inc.(a) 177,038
 16,308 Opko Health, Inc.(a) 36,856
 3,700 Optimer Pharmaceuticals, Inc.(a) 34,299

64 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 3,008 Orchid Cellmark, Inc.(a) $ 5,084
 6,800 Orexigen Therapeutics, Inc.(a) 28,560
 2,000 Osiris Therapeutics, Inc.(a) 11,620
 2,000 OxiGene, Inc.(a) 760
 18,700 PDL BioPharma, Inc. 105,094
 4,500 Pain Therapeutics, Inc.(a) 25,020
 10,600 Palatin Technologies, Inc.(a) 1,908
 5,000 Par Pharmaceutical Cos., Inc.(a) 129,800
 4,600 Penwest Pharmaceuticals Co.(a) 15,180
 5,773 Peregrine Pharmaceuticals, Inc.(a) 12,412
 11,100 Perrigo Co. 655,677
 3,849 Pharmacyclics, Inc.(a) 25,634
 3,148 Pharmasset, Inc.(a) 86,066
 933 Poniard Pharmaceuticals, Inc.(a) 560
 3,300 Pozen, Inc.(a) 23,133
 3,900 Prestige Brands Holdings, Inc.(a) 27,612
 3,200 Progenics Pharmaceuticals, Inc.(a) 17,536
 6,900 Questcor Pharmaceuticals, Inc.(a) 70,449
 2,727 RXi Pharmaceuticals Corp.(a) 7,090
 3,969 Raptor Pharmaceutical Corp.(a) 11,113
 7,923 Regeneron Pharmaceuticals, Inc.(a) 176,841
 3,300 Repligen Corp.(a) 10,593
 1,300 Repros Therapeutics, Inc.(a) 468
 5,000 Rexahn Pharmaceuticals, Inc.(a) 7,150
 5,589 Rigel Pharmaceuticals, Inc.(a) 40,241
 5,935 SIGA Technologies, Inc.(a),(b) 45,700
 7,753 Salix Pharmaceuticals Ltd.(a) 302,600
 4,200 Sangamo Biosciences, Inc.(a),(b) 15,582
 9,200 Santarus, Inc.(a) 22,816
 9,384 Savient Pharmaceuticals, Inc.(a) 118,238
 9,654 Sciclone Pharmaceuticals, Inc.(a) 25,680
 9,757 Seattle Genetics, Inc.(a) 116,986
 6,120 Sequenom, Inc.(a) 36,169
 3,000 Somaxon Pharmaceuticals, Inc.(a) 10,800
 7,416 Spectrum Pharmaceuticals, Inc.(a) 29,071
 18,475 StemCells, Inc.(a),(b) 17,367
 5,000 Strategic Diagnostics, Inc.(a) 9,050
 900 Sucampo Pharmaceuticals, Inc., Class A(a) 3,177
 5,416 SuperGen, Inc.(a) 10,940
 2,100 Synta Pharmaceuticals Corp.(a) 5,670
 7,577 Talecris Biotherapeutics Holdings Corp.(a) 159,875
 2,166 Targacept, Inc.(a) 41,869
 4,568 Techne Corp. 262,432
 8,430 Telik, Inc.(a) 6,575
 7,705 Theravance, Inc.(a) 96,852
 7,650 Threshold Pharmaceuticals, Inc.(a) 9,563
 800 Transcept Pharmaceuticals, Inc.(a) 6,664
 3,735 Transgenomic, Inc.(a) 1,830
 6,486 Trimeris, Inc.(a) 14,010
 3,113 Trubion Pharmaceuticals, Inc.(a) 9,681
 10,700 Unigene Laboratories, Inc.(a) 8,453
 6,400 United Therapeutics Corp.(a) 312,384
 9,500 Valeant Pharmaceuticals International(a) 496,755

SCHEDULE OF INVESTMENTS | 65

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 3,911 Vanda Pharmaceuticals, Inc.(a) $ 25,852
 25,811 Vertex Pharmaceuticals, Inc.(a) 849,182
 7,500 Vical, Inc.(a) 23,250
 9,004 ViroPharma, Inc.(a) 100,935
 11,289 Vivus, Inc.(a),(b) 108,374
 63,404 XOMA Ltd.(a) 26,249
 3,000 Xenoport, Inc.(a) 29,430
 5,900 ZymoGenetics, Inc.(a) 24,898
 ------------
 13,353,634
 ------------
REAL ESTATE INVESTMENT & SERVICES - 0.6%
 500 American Realty Investors, Inc.(a) 4,050
 1,025 Avatar Holdings, Inc.(a) 19,660
 32,601 Brookfield Properties Corp. 457,718
 554 Consolidated-Tomoka Land Co. 15,789
 15,055 Forest City Enterprises, Inc., Class A(a) 170,423
 5,133 Forestar Group, Inc.(a) 92,189
 6,291 Grubb & Ellis Co. 6,165
 2,700 HFF, Inc., Class A(a) 19,089
 5,680 Hilltop Holdings, Inc.(a) 56,857
 5,025 Jones Lang LaSalle, Inc. 329,841
 4,000 LoopNet, Inc.(a) 49,320
 2,578 Market Leader, Inc.(a) 5,079
 2,116 Maui Land & Pineapple Co., Inc.(a) 7,893
 17,315 Move, Inc.(a) 35,496
 2,000 Reis, Inc.(a) 13,000
 11,502 The St. Joe Co.(a) 266,386
 353 Stratus Properties, Inc.(a) 3,498
 1,617 Tejon Ranch Co.(a) 37,320
 5,227 Thomas Properties Group, Inc. 17,301
 393 Transcontinental Realty Investors, Inc.(a) 3,627
 1,958 ZipRealty, Inc.(a) 5,110
 ------------
 1,615,811
 ------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 7.0%
 20,750 AMB Property Corp. 491,982
 200 ARMOUR Residential REIT, Inc. 1,272
 4,200 Acadia Realty Trust 70,644
 2,200 Agree Realty Corp. 51,304
 483 Alexander's, Inc. 146,310
 5,273 Alexandria Real Estate Equities, Inc.(c) 334,150
 7,275 American Campus Communities, Inc. 198,535
 3,490 American Capital Agency Corp. 92,206
 71,000 Annaly Capital Management, Inc. 1,217,650
 17,800 Anworth Mortgage Asset Corp. 126,736
 2,700 Apollo Commercial Real Estate Finance, Inc. 44,442
 4,611 Arbor Realty Trust, Inc.(a) 23,839
 485 Arlington Asset Investment Corp. 9,133
 10,700 Ashford Hospitality Trust, Inc.(a) 78,431
 4,700 Associated Estates Realty Corp. 60,865
 7,735 BRE Properties 285,654
 2,375 BRT Realty Trust(a) 14,013
 12,986 BioMed Realty Trust, Inc. 208,945
 15,284 Brandywine Realty Trust 164,303
 16,791 CBL & Associates Properties, Inc. 208,880
 8,957 Camden Property Trust 365,893
 2,100 Capital Trust, Inc.(a) 3,465
 7,022 CapLease, Inc. 32,371
 10,600 Capstead Mortgage Corp. 117,236
 4,800 Care Investment Trust, Inc. 41,664
 6,477 Cedar Shopping Centers, Inc. 38,992
 85,640 Chimera Investment Corp. 309,160

66 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 6,700 Cogdell Spencer, Inc. $ 45,292
 7,247 Colonial Properties Trust 105,299
 2,800 Colony Financial, Inc. 47,320
 8,200 Corporate Office Properties Trust 309,632
 10,366 Cousins Properties, Inc. 69,867
 2,500 Cypress Sharpridge Investments, Inc. 31,650
 23,226 DCT Industrial Trust, Inc. 104,982
 22,551 Developers Diversified Realty Corp. 223,255
 16,755 DiamondRock Hospitality Co. 137,726
 10,319 Digital Realty Trust, Inc. 595,200
 13,263 Douglas Emmett, Inc. 188,600
 27,638 Duke Realty Corp. 313,691
 6,589 Dupont Fabros Technology, Inc. 161,826
 4,100 Eastgroup Properties, Inc. 145,878
 11,390 Education Realty Trust, Inc. 68,682
 5,317 Entertainment Properties Trust 202,418
 3,400 Equity Lifestyle Properties, Inc. 163,982
 5,254 Equity One, Inc. 81,962
 3,900 Essex Property Trust, Inc. 380,406
 12,160 Extra Space Storage, Inc. 169,024
 7,440 Federal Realty Investment Trust 522,809
 7,710 FelCor Lodging Trust, Inc.(a) 38,473
 6,700 First Industrial Realty Trust, Inc.(a) 32,294
 4,016 First Potomac Realty Trust 57,710
 9,131 Franklin Street Properties Corp. 107,837
 2,304 Getty Realty Corp. 51,633
 3,000 Gladstone Commercial Corp. 49,020
 8,100 Glimcher Realty Trust 48,438
 2,300 Government Properties Income Trust 58,696
 9,039 Gramercy Capital Corp.(a) 11,389
 30,612 HRPT Properties Trust 190,101
 5,700 Hatteras Financial Corp. 158,574
 9,000 Healthcare Realty Trust, Inc. 197,730
 18,100 Hersha Hospitality Trust 81,812
 9,950 Highwoods Properties, Inc. 276,212
 4,900 Home Properties, Inc. 220,843
 15,357 Hospitality Properties Trust 324,033
 9,292 Inland Real Estate Corp. 73,593
 3,300 InvesCo. Mortgage Capital, Inc. 66,033
 12,068 Investors Real Estate Trust 106,560
 16,400 iStar Financial, Inc.(a),(b) 73,144
 6,600 Kilroy Realty Corp. 196,218
 8,152 Kite Realty Group Trust 34,075
 4,400 LTC-Amerivest Liquidating Trust(a) -
 2,316 LTC Properties, Inc. 56,209
 8,400 LaSalle Hotel Properties 172,788
 13,049 Lexington Corporate Properties Trust 78,424
 14,110 Liberty Property Trust 407,073
 39,200 MFA Financial, Inc. 290,080
 8,442 MPG Office Trust, Inc.(a) 24,735
 16,325 The Macerich Co. 609,249
 9,900 Mack-Cali Realty Corp. 294,327
 11,211 Medical Properties Trust, Inc. 105,832
 4,300 Mid-America Apartment Communities, Inc. 221,321
 5,252 Mission West Properties, Inc. 35,819
 6,574 Monmouth Real Estate Investment Corp., Class A 48,582
 2,757 National Health Investors, Inc. 106,310

SCHEDULE OF INVESTMENTS | 67

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 11,991 National Retail Properties, Inc. $ 257,087
 14,524 Nationwide Health Properties, Inc. 519,523
 3,300 New York Mortgage Trust, Inc. 21,714
 10,985 NorthStar Realty Finance Corp. 29,330
 12,300 Omega Healthcare Investors, Inc. 245,139
 1,237 One Liberty Properties, Inc. 18,444
 3,677 PMC Commercial Trust 30,078
 2,200 PS Business Parks, Inc. 122,716
 2,900 Parkway Properties, Inc. 42,253
 1,476 Pebblebrook Hotel Trust(a) 27,823
 6,047 Pennsylvania Real Estate Investment Trust 73,894
 1,950 PennyMac Mortgage Investment Trust(a),(d) 31,005
 8,900 Piedmont Office Realty Trust, Inc. 166,697
 4,900 Post Properties, Inc. 111,377
 5,359 Potlatch Corp. 191,477
 8,800 RAIT Investment Trust(a) 16,456
 3,615 Ramco-Gershenson Properties Trust 36,512
 9,771 Rayonier, Inc. 430,119
 12,918 Realty Income Corp. 391,803
 11,000 Redwood Trust, Inc.(b) 161,040
 12,100 Regency Centers Corp. 416,240
 7,200 Resource Capital Corp. 40,896
 1,339 Roberts Realty Investors, Inc.(a) 2,169
 10,382 SL Green Realty Corp. 571,425
 1,300 Saul Centers, Inc. 52,819
 17,500 Senior Housing Properties Trust 351,925
 2,913 Sovran Self Storage, Inc. 100,295
 5,231 Starwood Property Trust, Inc. 88,665
 15,995 Strategic Hotel Capital, Inc.(a) 70,218
 3,600 Sun Communities, Inc. 93,456
 11,465 Sunstone Hotel Investors, Inc.(a) 113,847
 7,277 Supertel Hospitality, Inc.(a) 10,188
 5,800 Tanger Factory Outlet Centers, Inc. 240,004
 7,200 Taubman Centers, Inc. 270,936
 2,300 Terreno Realty Corp.(a) 40,733
 8,319 U-Store-It Trust 62,060
 21,264 UDR, Inc. 406,780
 2,648 UMH Properties, Inc. 26,665
 1,541 Universal Health Realty Income Trust 49,512
 1,300 Urstadt Biddle Properties, Inc. 18,148
 900 Urstadt Biddle Properties, Inc., Class A 14,517
 3,118 Walter Investment Management Corp. 50,979
 6,800 Washington Real Estate Investment Trust 187,612
 15,011 Weingarten Realty Investors 285,960
 4,248 Winthrop Realty Trust 54,417
 ------------
 20,257,696
 ------------
SOFTWARE & COMPUTER SERVICES - 4.7%
 3,600 ACI Worldwide, Inc.(a) 70,092
 14,500 AOL, Inc.(a) 301,455
 3,000 Accelrys, Inc.(a) 19,350
 9,500 Actuate Corp.(a) 42,275
 1,900 Advent Software, Inc.(a) 89,224
 4,300 American Software, Class A 19,866
 683 Analysts International Corp.(a) 1,687
 800 Answers Corp.(a) 5,856
 11,192 Ansys, Inc.(a) 454,059
 4,300 ArcSight, Inc.(a) 96,277
 12,054 Ariba, Inc.(a) 192,020
 24,282 Art Technology Group, Inc.(a) 83,044

68 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 6,606 Aspen Technology, Inc.(a) $ 71,939
 4,600 athenahealth, Inc.(a),(b) 120,198
 2,231 Atrinsic, Inc.(a) 2,030
 2,000 Authentidate Holding Corp.(a) 1,265
 1,150 BSQUARE Corp.(a) 2,438
 11,400 BigBand Networks, Inc.(a) 34,428
 4,748 Blackbaud, Inc. 103,364
 4,500 Blackboard, Inc.(a) 167,985
 4,600 Bottomline Technologies, Inc.(a) 59,938
 4,500 CACI International, Inc., Class A(a) 191,160
 5,665 CSG Systems International, Inc.(a) 103,839
 37,900 Cadence Design Systems, Inc.(a) 219,441
 1,900 Callidus Software, Inc.(a) 6,289
 3,800 Ciber, Inc.(a) 10,526
 1 Cicero, Inc.(a) -
 10,393 Clearwire Corp., Class A(a),(b) 75,661
 6,200 Cogent Communications Group, Inc.(a) 46,996
 700 Communication Intelligence Corp.(a) 49
 6,100 CommVault Systems, Inc.(a) 137,250
 2,100 Computer Programs & Systems, Inc. 85,932
 5,100 Concur Technologies, Inc.(a) 217,668
 5,800 DST Systems, Inc. 209,612
 4,200 DealerTrack Holdings, Inc.(a) 69,090
 3,209 Delrek, Inc.(a) 26,763
 100 Deltathree, Inc., Class A(a) 20
 2,500 DemandTec, Inc.(a) 16,875
 3,000 Diamond Management & Technology Consultants, Inc. 30,930
 1,700 Digimarc Corp.(a) 31,875
 5,056 Digital River, Inc.(a) 120,889
 4,500 DivX, Inc.(a) 34,470
 4,900 Double-Take Software, Inc.(a) 51,401
 1,400 Dynamics Research Corp.(a) 14,154
 3,400 EPIQ Systems, Inc.(a) 43,962
 16,900 EarthLink, Inc. 134,524
 4,638 Ebix, Inc.(a),(b) 72,724
 6,000 Eclipsys Corp.(a) 107,040
 20 Egain Communications Corp.(a) 11
 5,700 Epicor Software Corp.(a) 45,543
 5,534 Equinix, Inc.(a) 449,471
 2 Evolve Software, Inc.(a) -
 1,600 Evolving Systems, Inc. 11,520
 5,151 Fair Isaac Corp. 112,240
 5,800 FalconStor Software, Inc.(a) 15,312
 2,000 Forrester Research, Inc.(a) 60,520
 4,012 Fortinet, Inc.(a) 65,957
 1,203 GSE Systems, Inc.(a) 4,884
 7,439 Gartner, Inc., Class A(a) 172,957
 3,000 Guidance Software, Inc.(a) 15,660
 7,300 The Hackett Group, Inc.(a) 20,513
 13,750 IAC/InterActiveCorp.(a) 302,088
 4,600 iGate Corp. 58,972
 1,800 Imergent, Inc. 6,516
 4,800 Immersion Corp.(a) 24,288
 12,400 Informatica Corp.(a) 296,112
 6,140 Infospace, Inc.(a) 46,173
 4,300 Innodata Corp.(a) 11,051
 8,945 Inter Allscripts - Misys Healthcare Solutions, Inc.(a) 144,015
 2,100 Interactive Intelligence, Inc.(a) 34,503
 9,610 Internap Network Services Corp.(a) 40,074
 4,275 Internet Capital Group, Inc.(a) 32,490
 5,900 Ipass, Inc. 6,313
 5,100 Isilon Systems, Inc.(a) 65,484

SCHEDULE OF INVESTMENTS | 69

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 7,000 j2 Global Communications, Inc.(a) $ 152,880
 6,066 JDA Software Group, Inc.(a) 133,331
 4,000 Kenexa Corp.(a) 48,000
 3,600 Keynote Systems, Inc. 32,472
 15,970 Lawson Software, Inc.(a) 116,581
 7,100 Limelight Networks, Inc.(a) 31,169
 5,600 LivePerson, Inc.(a) 38,416
 1,344 LogMeIn, Inc.(a) 35,253
 1,342 LookSmart, Ltd.(a) 1,584
 11,071 Magma Design Automation, Inc.(a),(b) 31,442
 4,000 Manhattan Associates, Inc.(a) 110,200
 688 Mastech Holdings, Inc.(a) 2,105
 4,700 MedAssets, Inc.(a) 108,476
 3,800 Medidata Solutions, Inc.(a) 58,862
 11,218 Mentor Graphics Corp.(a) 99,279
 5,319 Merge Healthcare, Inc.(a) 15,585
 1,490 MicroStrategy, Inc., Class A(a) 111,884
 1,100 Monotype Imaging Holdings, Inc.(a) 9,911
 1,800 NCI, Inc., Class A(a) 40,644
 4,000 NIC, Inc. 25,640
 3,902 NaviSite, Inc.(a) 10,262
 2,900 NetScout Systems, Inc.(a) 41,238
 20 NetSol Technologies, Inc.(a) 15
 2,578 NetSuite, Inc.(a) 32,586
 30,249 Nuance Communications, Inc.(a) 452,223
 6,061 Openwave Systems, Inc.(a) 12,304
 3,600 Opnet Technologies, Inc. 52,884
 2,300 PC-Tel, Inc.(a) 11,592
 2,280 PDF Solutions, Inc.(a) 10,944
 1,800 PROS Holdings, Inc.(a) 11,700
 16,300 Parametric Technology Corp.(a) 255,421
 2,400 Pegasystems, Inc. 77,064
 3,400 Perficient, Inc.(a) 30,294
 7,500 Phase Forward, Inc.(a) 125,100
 3,200 Phoenix Technologies Ltd.(a) 9,248
 6,777 Premiere Global Services, Inc.(a) 42,966
 4,585 Progress Software Corp.(a) 137,688
 1,700 QAD, Inc. 7,021
 2,800 Quality Systems, Inc.(b) 162,372
 9,600 Quest Software, Inc.(a) 173,184
 12,164 Rackspace Hosting, Inc.(a) 223,088
 1,700 Renaissance Learning, Inc. 24,973
 4,100 RightNow Technologies, Inc.(a) 64,329
 1,200 Rosetta Stone, Inc.(a) 27,552
 13,599 Rovi Corp.(a) 515,538
 6,000 S1 Corp.(a) 36,060
 4,392 SAVVIS, Inc.(a) 64,782
 4,300 SRA International, Inc., Class A(a) 84,581
 2,800 SRS Labs, Inc.(a) 25,620
 3,529 Saba Software, Inc.(a) 18,174
 10,120 Sapient Corp. 102,617
 100 Scientific Learning Corp.(a) 526
 570 Selectica, Inc.(a) 3,135
 3,200 Smith Micro Software, Inc.(a) 30,432
 4,800 SolarWinds, Inc.(a) 76,992
 8,100 Solera Holdings, Inc. 293,220
 4,826 Sonic Solutions, Inc.(a),(b) 40,297
 3,600 Sourcefire, Inc.(a) 68,400
 1,900 Stanley, Inc.(a) 71,022
 6,431 SuccessFactors, Inc.(a) 133,700
 5,000 Support.com, Inc.(a) 20,800
 10,725 Sybase, Inc.(a) 693,479
 2,400 Synchronoss Technologies, Inc.(a) 45,528
 19,905 Synopsys, Inc.(a) 415,417
 2,400 Syntel, Inc. 81,480
 24,667 TIBCO Software, Inc.(a) 297,484
 4,800 Taleo Corp., Class A(a) 116,592
 2,300 TechTeam Global, Inc.(a) 13,777

70 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 7,900 TeleCommunication Systems, Inc., Class A(a) $ 32,706
 4,490 Terremark Worldwide, Inc.(a) 35,067
 4,000 Tyler Technologies, Inc.(a) 62,080
 3,100 Ultimate Software Group, Inc.(a) 101,866
 590 Unica Corp.(a) 5,652
 4,550 Unisys Corp.(a) 84,130
 8,974 United Online, Inc. 51,690
 3,300 VASCO Data Security International, Inc.(a) 20,361
 7,796 VMware, Inc.(a) 487,952
 4,400 VirnetX Holding Corp. 26,048
 2,700 Virtusa Corp.(a) 25,191
 3,400 Vital Images, Inc.(a) 43,350
 2,300 Vocus, Inc.(a) 35,144
 8,671 Wave Systems Corp., Class A(a) 28,094
 5,723 Web.Com Group, Inc.(a) 20,546
 4,700 Websense, Inc.(a) 88,830
 125 Zanett, Inc.(a) 206
 15,000 Zix Corp.(a),(b) 33,900
 ------------
 13,672,825
 ------------
SUPPORT SERVICES - 4.3%
 5,000 ABM Industries, Inc. 104,750
 2,000 A.M. Castle & Co.(a) 27,780
 4,420 AMN Healthcare Services, Inc.(a) 33,062
 500 AMREP Corp.(a) 6,290
 3,400 APAC Customer Services, Inc.(a) 19,380
 1,100 ATG, Inc.(a) -
 3,870 Acacia Research - Acacia Technologies(a) 55,070
 2,500 Administaff, Inc. 60,400
 2,800 The Advisory Board Co.(a) 120,288
 12,473 Aecom Technology Corp.(a) 287,627
 7,113 Alliance Data Systems Corp.(a),(b) 423,366
 1,500 American Dental Partners, Inc.(a) 18,165
 4,200 American Reprographics Co.(a) 36,666
 4,300 Applied Industrial Technologies, Inc. 108,876
 18,770 Arcadia Resources, Inc.(a) 9,948
 4,472 Barnes Group, Inc. 73,296
 800 Barrett Business Services, Inc. 9,920
 1,900 Black Box Corp. 52,991
 3,109 Bowne & Co., Inc. 34,883
 6,600 The Brink's Co. 125,598
 17,000 Broadridge Financial Solutions LLC 323,850
 6,545 CBIZ, Inc.(a) 41,626
 1,500 CDI Corp. 23,295
 1,400 CRA International, Inc.(a) 26,362
 2,592 Cardtronics, Inc.(a) 33,592
 6,600 Casella Waste Systems, Inc.(a) 25,212
 500 Cass Information Systems, Inc. 17,125
 5,463 Cenveo, Inc.(a) 29,937
 1,641 Champion Industries, Inc.(a) 2,921
 3,100 Clean Harbors, Inc.(a) 205,871
 4,600 Coinstar, Inc.(a),(b) 197,662
 4,400 Comfort Systems USA, Inc. 42,504
 1,700 Consolidated Graphics, Inc.(a) 73,508
 16,900 Convergys Corp.(a) 165,789
 16,289 CoreLogic, Inc.(a) 287,664
 2,800 Cornell Cos., Inc.(a) 75,236
 5,500 Corporate Executive Board Co. 144,485
 15,800 Corrections Corp. of America(a) 301,464
 2,400 CoStar Group, Inc.(a) 93,120
 3,200 Crawford & Co., Class B(a) 10,112
 3,600 Cross Country Healthcare, Inc.(a) 32,364
 9,150 CyberSource Corp.(a) 233,600
 1,600 DXP Enterprises, Inc.(a) 25,040

SCHEDULE OF INVESTMENTS | 71

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 5,300 Deluxe Corp. $ 99,375
 3,100 Dice Holdings, Inc.(a) 21,452
 2,800 DigitalGlobe, Inc.(a) 73,640
 2,500 Document Security Systems, Inc.(a) 7,875
 2,600 DynCorp. International, Inc.(a) 45,552
 700 ENGlobal Corp.(a) 1,442
 40 eLoyalty Corp.(a) 237
 4,259 Emdeon, Inc., Class A(a) 53,365
 8,400 EnergySolutions, Inc. 42,756
 2,300 Ennis, Inc. 34,523
 5,245 Euronet Worldwide, Inc.(a) 67,084
 2,300 ExlService Holdings, Inc.(a) 39,491
 1,700 Exponent, Inc.(a) 55,624
 7,150 FTI Consulting, Inc.(a) 311,669
 3,300 Franklin Covey Co.(a) 21,450
 300 Frontline Capital Group(a) -
 4,100 Fuel Tech, Inc.(a) 25,912
 3,973 Furmamite Corp.(a) 15,773
 3,500 G&K Services, Inc., Class A 72,275
 3,400 GP Strategies Corp.(a) 24,684
 11,887 Genpact Ltd.(a) 184,605
 7,800 The Geo Group, Inc.(a) 161,850
 2,457 GeoEye, Inc.(a) 76,511
 4,400 Global Cash Access, Inc.(a) 31,724
 10,920 Global Payments, Inc. 399,017
 5,558 Harris Interactive, Inc.(a) 5,891
 3,700 Heartland Payment Systems, Inc. 54,908
 2,800 Heidrick & Struggles International, Inc. 63,896
 11,346 Hewitt Associates, Inc., Class A(a) 390,983
 3,213 Hudson Highland Group, Inc.(a) 14,137
 3,400 Huron Consulting Group, Inc.(a) 65,994
 2,100 ICF International, Inc.(a) 50,253
 4,400 Innerworkings, Inc.(a) 30,052
 3,600 Interline Brands, Inc.(a) 62,244
 11,800 Jack Henry & Associates, Inc. 281,784
 2,895 Kaman Corp., Class A 64,037
 4,900 Kelly Services, Inc., Class A(a) 72,863
 4,070 Kforce, Inc.(a) 51,893
 6,600 Korn/Ferry International(a) 91,740
 6,922 LECG Corp.(a) 17,997
 534 Lawson Products, Inc. 9,067
 12,400 Lender Processing Services, Inc. 388,244
 1,482 Lincoln Educational Services Corp.(a) 30,514
 9,400 Lionbridge Technologies, Inc.(a) 42,958
 1,600 M&F Worldwide Corp.(a) 43,360
 2,700 MAXIMUS, Inc. 156,249
 5,000 MSC Industrial Direct Co., Class A 253,300
 1,400 MWI Veterinary Supply, Inc.(a) 70,364
 780 Management Network Group, Inc.(a) 2,098
 10,941 Manpower, Inc. 472,432
 2,455 McGrath RentCorp 55,925
 7,500 Metalico, Inc.(a) 29,850
 900 Michael Baker Corp.(a) 31,410
 2,500 Mistras Group, Inc.(a) 26,800
 3,953 Mobile Mini, Inc.(a) 64,355
 5,070 Moduslink Global Solutions, Inc.(a) 30,572
 18,300 Nalco Holding Co. 374,418
 5,200 Navigant Consulting, Inc.(a) 53,976
 8,400 NeuStar, Inc., Class A(a) 173,208
 8,828 Odyssey Marine Exploration, Inc.(a) 8,828
 3,217 On Assignment, Inc.(a) 16,182
 1,900 Online Resources Corp.(a) 7,885
 60 Onvia, Inc.(a) 226
 4,070 PRGX Global, Inc.(a) 16,891

72 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 1,500 Park-Ohio Holdings Corp.(a) $ 21,585
 700 Perma-Fix Environmental Services(a) 1,127
 25 Pfsweb, Inc.(a) 72
 4,300 PowerSecure International, Inc.(a) 39,087
 1,400 RINO International Corp.(a) 17,514
 4,900 RSC Holdings, Inc.(a) 30,233
 565 Rentrak Corp.(a) 13,746
 4,900 Resources Connection, Inc.(a) 66,640
 5,700 SFN Group, Inc.(a) 31,122
 6,153 SYKES Enterprises, Inc.(a) 87,557
 3,150 Schnitzer Steel Industries, Inc., Class A 123,480
 3,300 School Specialty, Inc.(a) 59,631
 3,400 Sharps Compliance Corp.(a) 15,640
 1,800 The Standard Register Co. 5,652
 800 Startek, Inc.(a) 3,120
 2,400 Symyx Technologies, Inc.(a) 12,024
 2,100 Team, Inc.(a) 27,405
 4,000 TeleTech Holdings, Inc.(a) 51,560
 9,025 Tetra Tech, Inc.(a) 176,980
 2,000 Thomas Group, Inc.(a) 1,280
 2,000 Tier Technologies, Inc., Class B(a) 12,160
 5,440 Towers Watson & Co. 211,344
 5,100 TrueBlue, Inc.(a) 57,069
 10,440 URS Corp.(a) 410,814
 2,360 US Ecology, Inc. 34,385
 2,200 Unifirst Corp. 96,844
 9,860 United Rentals, Inc.(a) 91,895
 2,780 United Stationers, Inc.(a) 151,427
 2,655 Universal Technical Institute, Inc.(a) 62,764
 12,561 Verisk Analytics, Inc.(a) 375,574
 2,250 Viad Corp. 39,713
 1,600 Volt Information Sciences, Inc.(a) 13,440
 10,125 Waste Connections, Inc.(a) 353,261
 4,300 Wright Express Corp.(a) 127,710
 ------------
 12,390,220
 ------------
TECHNOLOGY HARDWARE & EQUIPMENT - 6.6%
 2,200 3D Systems Corp.(a) 27,610
 6,000 3PAR, Inc.(a) 55,860
 14,307 ADC Telecommunications, Inc.(a) 106,015
 19,400 ADPT Corp.(a) 56,066
 3,500 ATMI, Inc.(a) 51,240
 3,201 AXT, Inc.(a) 14,437
 5,500 Acme Packet, Inc.(a) 147,840
 2,900 Actel Corp.(a) 37,178
 9,080 Adtran, Inc. 247,612
 5,000 Advanced Analogic Technologies, Inc.(a) 15,950
 3,944 Advanced Energy Industries, Inc.(a) 48,472
 3,300 Agilysys, Inc. 22,077
 7,677 Alliance Fiber Optic Products, Inc. 10,748
 13,257 Amkor Technology, Inc.(a) 73,046
 2,800 Amtech Systems, Inc.(a) 23,380
 11,700 Anadigics, Inc.(a) 51,012
 10,875 Applied Micro Circuits Corp.(a) 113,970
 14,756 Arris Group, Inc.(a) 150,364
 7,631 Aruba Networks, Inc.(a) 108,665
 8,172 Atheros Communications, Inc.(a) 225,057
 56,800 Atmel Corp.(a) 272,640
 2,200 Audiovox Corp., Class A(a) 16,170
 3,100 AuthenTec, Inc.(a) 7,781
 8,900 Aviat Networks, Inc.(a) 32,307
 900 Aware, Inc.(a) 2,106
 19,500 Axcelis Technologies, Inc.(a) 30,225
 4,948 Bell Microproducts, Inc.(a) 34,537

SCHEDULE OF INVESTMENTS | 73

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 5,840 Blue Coat Systems, Inc.(a) $ 119,311
 10,759 Brightpoint, Inc.(a) 75,313
 57,757 Brocade Communications Systems, Inc.(a) 298,026
 6,782 Brooks Automation, Inc.(a) 52,425
 2,600 Cabot Microelectronics Corp.(a) 89,934
 4,958 CalAmp Corp.(a) 10,561
 5,300 Cavium Networks, Inc.(a) 138,807
 2,103 Ceva, Inc.(a) 26,498
 11,843 Ciena Corp.(a) 150,169
 10,600 Cirrus Logic, Inc.(a) 167,586
 2,400 Cohu, Inc. 29,112
 2,800 Compellent Technologies, Inc.(a) 33,936
 4,100 Comtech Telecommunications Corp.(a) 122,713
 1,102 Concurrent Computer Corp.(a) 5,091
 6,159 Conexant Systems, Inc.(a) 13,796
 3,675 Cray, Inc.(a) 20,506
 12,334 Cree, Inc.(a) 740,410
 4,505 Cymer, Inc.(a) 135,330
 20,153 Cypress Semiconductor Corp.(a) 202,336
 3,900 DSP Group, Inc.(a) 24,921
 100 Dataram Corp.(a) 149
 7,894 Diebold, Inc. 215,111
 2,800 Digi International, Inc.(a) 23,156
 3,712 Diodes, Inc.(a) 58,909
 5,500 Ditech Networks, Inc.(a) 6,985
 6,865 Dot Hill Systems Corp.(a) 8,169
 4,133 Dycom Industries, Inc.(a) 35,337
 12,229 EF Johnson Technologies, Inc.(a) 17,487
 2,000 EMS Technologies, Inc.(a) 30,040
 4,673 EchoStar Holding Corp.(a) 89,161
 5,600 Electronics for Imaging, Inc.(a) 54,600
 8,600 Emcore Corp.(a) 7,654
 11,000 Emulex Corp.(a) 100,980
 1,606 EndWare Corp.(a) 5,300
 14,951 Entegris, Inc.(a) 59,355
 5,700 Entropic Communications, Inc.(a) 36,138
 5,457 Exar Corp.(a) 37,817
 13,000 Extreme Networks, Inc.(a) 35,100
 10,500 F5 Networks, Inc.(a) 719,985
 9,000 FSI International, Inc.(a) 37,710
 16,602 Fairchild Semiconductor International, Inc.(a) 139,623
 9,016 Finisar Corp.(a) 134,338
 7,600 Formfactor, Inc.(a) 82,080
 4,500 Fusion Telecommunications International, Inc.(a) 720
 2,700 GSI Technology, Inc.(a) 15,444
 1,700 GTSI Corp.(a) 9,282
 3,800 Gerber Scientific, Inc.(a) 20,330
 2,300 Globecomm Systems, Inc.(a) 18,975
 10,500 Harmonic, Inc.(a) 57,120
 2,100 Hittite Microwave Corp.(a) 93,954
 900 Hughes Communications, Inc.(a) 21,897
 5,295 Hutchinson Technology, Inc.(a) 22,927
 4,587 Hypercom Corp.(a) 21,284
 18,205 ICO Global Communications Holdings Ltd.(a) 29,310
 1,600 ID Systems, Inc.(a) 4,240
 4,128 iGO, Inc.(a) 6,192
 2,700 IXYS Corp.(a) 23,868
 1,712 Identive Group, Inc.(a) 2,739
 5,800 Ikanos Communications, Inc.(a) 9,338
 3,300 Imation Corp.(a) 30,327
 11,592 Infinera Corp.(a) 74,537
 3,600 Infosonics Corp.(a) 2,088
 22,230 Ingram Micro, Inc., Class A(a) 337,674
 4,500 Insight Enterprises, Inc.(a) 59,220
 4,380 Integral Systems, Inc.(a) 27,813

74 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 25,670 Integrated Device Technology, Inc.(a) $ 127,066
 5,470 Integrated Silicon Solutions, Inc.(a) 41,244
 6,100 InterDigital, Inc.(a) 150,609
 5,000 Intermec, Inc.(a) 51,250
 7,900 International Rectifier Corp.(a) 147,019
 17,515 Intersil Corp., Class A 212,107
 3,729 Ixia(a) 32,032
 3,100 KVH Industries, Inc.(a) 38,502
 6,675 Kopin Corp.(a) 22,628
 11,200 Kulicke & Soffa Industries, Inc.(a) 78,624
 4,968 LRAD Corp.(a) 6,210
 22,835 LTX-Credence Corp.(a) 64,623
 15,778 Lam Research Corp.(a) 600,511
 1,124 Lantronix, Inc.(a) 4,552
 2,995 LaserCard Corp.(a) 13,358
 22,370 Lattice Semiconductor Corp.(a) 97,086
 1,400 Loral Space & Communications Ltd.(a) 59,808
 10,300 MIPS Technologies, Inc.(a) 52,633
 6,953 MKS Instruments, Inc.(a) 130,160
 63,959 Marvell Technology Group Ltd.(a) 1,007,994
 5,100 Mastec, Inc.(a) 47,940
 5,200 Mattson Technology, Inc.(a) 19,708
 41,400 Maxim Integrated Products, Inc. 692,622
 2,538 Mercury Computer Systems, Inc.(a) 29,771
 7,660 Micrel, Inc. 77,979
 9,759 Micros Systems, Inc.(a) 311,019
 9,457 Microsemi Corp.(a) 138,356
 2,000 Microtune, Inc.(a) 4,260
 5,593 Mindspeed Technologies, Inc.(a) 41,892
 1,855 MoSys, Inc.(a) 8,199
 5,700 Monolithic Power Systems, Inc.(a) 101,802
 21,674 NCR Corp.(a) 262,689
 4,500 NETGEAR, Inc.(a) 80,280
 3,600 Nanometrics, Inc.(a) 36,324
 1,850 NetList, Inc.(a) 4,162
 6,581 Netlogic Microsystems, Inc.(a) 179,003
 7,500 Network Engines, Inc.(a) 20,325
 3,138 Network Equipment Technologies, Inc.(a) 10,952
 4,771 Neutral Tandem, Inc.(a) 53,674
 3,800 Nextwave Wireless, Inc.(a) 4,066
 5,930 Novatel Wireless, Inc.(a) 34,038
 52,581 ON Semiconductor Corp.(a) 335,467
 600 Occam Networks, Inc.(a) 3,336
 5,817 Oclaro, Inc.(a) 64,511
 7,672 Omnivision Technologies, Inc.(a) 164,488
 2,200 Oplink Communications, Inc.(a) 31,526
 3,400 OpNext, Inc.(a) 5,610
 589 Optical Cable Corp.(a) 1,679
 1,956 Overland Storage, Inc.(a) 3,951
 1,000 PAR Technology Corp.(a) 5,140
 3,000 PC Connection, Inc.(a) 18,180
 2,900 PLX Technology, Inc.(a) 12,151
 27,100 PMC-Sierra, Inc.(a) 203,792
 20,608 Palm, Inc.(a) 117,260
 4,428 ParkerVision, Inc.(a) 5,624
 1,109 Performance Technologies, Inc.(a) 2,750
 3,200 Pericom Semiconductor Corp.(a) 30,720
 8,900 Photronics, Inc.(a) 40,228
 1,100 Pixelworks, Inc.(a) 3,278
 5,591 Plantronics, Inc. 159,903
 11,629 Polycom, Inc.(a) 346,428
 4,300 Power Integrations, Inc. 138,438
 400 Preformed Line Products Co. 11,180
 4,011 Presstek, Inc.(a) 14,159
 23,556 Quantum Corp.(a) 44,285
 4,828 QuickLogic Corp.(a) 14,146
 30,886 RF Micro Devices, Inc.(a) 120,764
 3,100 Radiant Systems, Inc.(a) 44,826

SCHEDULE OF INVESTMENTS | 75

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 2,800 Radisys Corp.(a) $ 26,656
 13,800 Rambus, Inc.(a) 241,776
 1,600 Rimage Corp.(a) 25,328
 7,600 Riverbed Technology, Inc.(a) 209,912
 5,828 Rudolph Technologies, Inc.(a) 44,001
 4,492 STEC, Inc.(a),(b) 56,420
 2,340 SYNNEX Corp.(a) 59,951
 2,900 ScanSource, Inc.(a) 72,297
 3,100 SeaChange International, Inc.(a) 25,513
 66,332 Seagate Technology Holdings(a) 864,969
 6,300 Semtech Corp.(a) 103,131
 1,700 Shoretel, Inc.(a) 7,888
 5,100 Sigma Designs, Inc.(a) 51,051
 5,400 Silicon Graphics International Corp.(a) 38,232
 8,200 Silicon Image, Inc.(a) 28,782
 5,700 Silicon Laboratories, Inc.(a) 231,192
 23,664 Skyworks Solutions, Inc.(a) 397,319
 4,239 Smart Modular Technologies WWH, Inc.(a) 24,798
 650 Sonic Foundry, Inc.(a) 4,751
 9,600 SonicWALL, Inc.(a) 112,800
 26,675 Sonus Networks, Inc.(a) 72,289
 2,400 Standard Microsystems Corp.(a) 55,872
 3,240 Stratasys, Inc.(a) 79,574
 3,900 Super Micro Computer, Inc.(a) 52,650
 1,818 Superconductor Technologies, Inc.(a) 4,400
 2,400 Supertex, Inc.(a) 59,184
 2,030 Sycamore Networks, Inc. 33,739
 4,876 Symmetricom, Inc.(a) 24,819
 4,844 Synaptics, Inc.(a),(b) 133,210
 7,300 Syniverse Holdings, Inc.(a) 149,285
 1,200 Systemax, Inc. 18,084
 2,800 TNS, Inc.(a) 48,832
 7,100 Tech Data Corp.(a) 252,902
 2,046 Tegal Corp.(a) 1,473
 10,100 Tekelec(a) 133,724
 4,030 Telular Corp.(a) 12,130
 5,776 Tessera Technologies, Inc.(a) 92,705
 1,140 Transact Technologies, Inc.(a) 8,322
 2,816 Transwitch Corp.(a) 6,068
 6,900 Trident Microsystems, Inc.(a) 9,798
 22,470 TriQuint Semiconductor, Inc.(a) 137,292
 13,746 UTStarcom, Inc.(a),(b) 25,293
 3,700 Ultra Clean Holdings, Inc.(a) 31,524
 3,900 Ultratech, Inc.(a) 63,453
 9,350 Varian Semiconductor Equipment Associates, Inc.(a) 267,971
 3,300 Veraz Networks, Inc.(a) 2,904
 9,000 VeriFone Systems, Inc.(a) 170,370
 4,900 Viasat, Inc.(a) 159,544
 2,300 Virage Logic Corp.(a) 27,347
 4,200 Volterra Semiconductor Corp.(a) 96,852
 9,681 Westell Technologies, Inc., Class A(a) 15,102
 200 WorldGate Communications, Inc.(a) 110
 4,204 Zhone Technologies, Inc.(a) 6,264
 5,661 Zoran Corp.(a) 54,006
 ------------
 19,238,365
 ------------
TOBACCO - 0.2%
 13,500 Alliance One International, Inc.(a) 48,060
 2,400 Schweitzer-Mauduit International, Inc. 121,080
 12,395 Star Scientific, Inc.(a),(b) 20,328
 3,645 Universal Corp. 144,634
 6,336 Vector Group Ltd. 106,571
 ------------
 440,673
 ------------

76 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
TRAVEL & LEISURE - 4.2%
 2,800 AFC Enterprises, Inc.(a) $ 25,480
 42,193 AMR Corp.(a) 286,069
 17,453 AirTran Holdings, Inc.(a) 84,647
 3,900 Alaska Air Group, Inc.(a) 175,305
 4,038 All-American SportPark, Inc.(a) 242
 2,200 Allegiant Travel Co.(b) 93,918
 2,500 Ambassadors Group, Inc. 28,225
 1,800 Ambassadors International, Inc.(a) 846
 100 American Classic Voyages Co.(a) -
 2,600 Ameristar Casinos, Inc. 39,156
 13,773 Avis Budget Group, Inc.(a) 135,251
 3,800 BJ's Restaurants, Inc.(a) 89,680
 6,700 Bally Technologies, Inc.(a) 217,013
 615 Benihana, Inc.(a) 3,911
 2,630 Benihana, Inc., Class A(a) 15,570
 245 Biglari Holdings, Inc.(a) 70,291
 1,100 Bluegreen Corp.(a) 3,311
 3,300 Bob Evans Farms, Inc. 81,246
 210 Bowl America, Inc., Class A 2,961
 6,100 Boyd Gaming Corp.(a) 51,789
 12,600 Brinker International, Inc. 182,196
 2,900 Buffalo Wild Wings, Inc.(a) 106,082
 12,000 Burger King Holdings, Inc. 202,080
 2,650 CEC Entertainment, Inc.(a) 93,439
 5,600 CKE Restaurants, Inc. 70,168
 4,900 California Pizza Kitchen, Inc.(a) 74,235
 2,500 Carmike Cinemas, Inc.(a) 15,150
 5,916 Century Casinos, Inc.(a) 12,779
 8,317 The Cheesecake Factory, Inc.(a) 185,136
 3,800 Chipotle Mexican Grill, Inc., Class A(a) 519,878
 3,819 Choice Hotels International, Inc. 115,372
 1,238 Churchill Downs, Inc. 40,606
 6,067 Cinemark Holdings, Inc. 79,781
 18,216 Continental Airlines, Inc., Class B(a) 400,752
 6,845 Cosi, Inc.(a),(b) 4,963
 3,315 Cracker Barrel Old Country Store, Inc. 154,346
 100,396 Delta Air Lines, Inc.(a) 1,179,653
 10,600 Denny's Corp.(a) 27,560
 5,943 Diamondhead Casino Corp.(a) 3,506
 1,700 DineEquity, Inc.(a) 47,464
 3,409 Dollar Thrifty Automotive Group, Inc.(a) 145,257
 4,800 Domino's Pizza, Inc.(a) 54,240
 3,116 Dover Downs Gaming & Entertainment, Inc. 9,005
 4,712 Dover Motorsports, Inc.(a) 8,576
 1,100 Einstein Noah Restaurant Group, Inc.(a) 11,869
 7,758 Elixir Gaming Technologies, Inc.(a) 1,893
 5,300 Empire Resorts, Inc.(a) 8,639
 714 ExpressJet Holdings, Inc.(a) 1,856
 2,500 Famous Dave's of America, Inc.(a) 20,800
 200 Flanigan's Enterprises, Inc.(a) 1,320
 3,662 Full House Resorts, Inc.(a) 11,352
 1,400 Gaming Partners International Corp. 8,932
 3,820 Gaylord Entertainment Co.(a) 84,384
 700 Great Lakes Aviation Ltd.(a) 952
 4,000 Great Wolf Resorts, Inc.(a) 8,320
 6,302 Hawaiian Holdings, Inc.(a) 32,581

SCHEDULE OF INVESTMENTS | 77

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 22,913 Hertz Global Holdings, Inc.(a) $ 216,757
 5,100 Hyatt Hotels Corp.(a) 189,159
 800 InnSuites Hospitality Trust 1,056
 3,200 International Speedway Corp., Class A 82,432
 4,089 Interval Leisure Group, Inc.(a) 50,908
 2,900 Isle of Capri Casinos, Inc.(a) 26,854
 6,200 Jack in the Box, Inc.(a) 120,590
 35,175 JetBlue Airways Corp.(a) 193,111
 6,400 Krispy Kreme Doughnuts, Inc.(a) 21,568
 1,200 Landry's Restaurants, Inc.(a) 29,352
 55,900 Las Vegas Sands Corp.(a) 1,237,626
 4,695 Life Time Fitness, Inc.(a) 149,254
 17,191 Live Nation, Inc.(a) 179,646
 1,700 Luby's, Inc.(a) 6,545
 31,511 MGM Resorts International(a),(b) 303,766
 4,068 MTR Gaming Group, Inc.(a) 6,590
 8,800 Madison Square Garden, Inc.(a) 173,096
 1,500 Marcus Corp. 14,190
 1,700 McCormick & Schmick's Seafood Restaurants, Inc.(a) 12,682
 1,900 Monarch Casino & Resort, Inc.(a) 19,247
 3,800 Morgans Hotel Group Co.(a) 23,408
 1,900 Multimedia Games, Inc.(a) 8,550
 2,105 O'Charleys, Inc.(a) 11,157
 4,800 Orbitz Worldwide, Inc.(a) 18,288
 12,400 Orient Express Hotels Ltd., Class A(a) 91,760
 3,495 P.F. Chang's China Bistro, Inc. 138,577
 4,300 Panera Bread Co., Class A(a) 323,747
 2,900 Papa John's International, Inc.(a) 67,048
 2,400 Peet's Coffee & Tea, Inc.(a) 94,248
 9,700 Penn National Gaming, Inc.(a) 224,070
 4,300 Pinnacle Airlines Corp.(a) 23,392
 6,600 Pinnacle Entertainment, Inc.(a) 62,436
 7,136 Premier Exhibitions, Inc.(a) 9,134
 1,300 Reading International, Inc., Class A(a) 5,161
 500 Red Lion Hotels Corp.(a) 2,985
 3,014 Red Robin Gourmet Burgers, Inc.(a) 51,720
 12,000 Regal Entertainment Group, Series A 156,480
 7,300 Republic Airways Holdings, Inc.(a) 44,603
 2,300 Rick's Cabaret International, Inc.(a) 18,147
 18,028 Royal Caribbean Cruises Ltd.(a) 410,498
 5,700 Ruby Tuesday, Inc.(a) 48,450
 7,209 Ruth's Hospitality Group, Inc.(a) 30,134
 8,174 Scientific Games Corp., Class A(a) 75,201
 9,143 Shuffle Master, Inc.(a) 73,235
 7,123 Silverleaf Resorts, Inc.(a) 7,408
 11,700 Six Flags, Inc.(a) -
 6,000 SkyWest, Inc. 73,320
 200 Sonesta International Hotels Corp., Class A 2,814
 6,737 Sonic Corp.(a) 52,212
 1,500 Speedway Motorsports, Inc. 20,340
 1,600 Steiner Leisure Ltd.(a) 61,504
 8,800 Texas Roadhouse, Inc., Class A(a) 111,056

78 | MASTER EXTENDED MARKET INDEX SERIES

-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 700 Town Sports International Holdings, Inc.(a) $ 1,610
 1,100 Travelzoo, Inc.(a) 13,618
 21,640 UAL Corp.(a),(b) 444,918
 20,775 US Airways Group, Inc.(a) 178,873
 3,341 VCG Holding Corp.(a) 5,346
 5,400 Vail Resorts, Inc.(a) 188,514
 200 Vanguard Airlines, Inc.(a) -
 7,200 WMS Industries, Inc.(a) 282,600
 45,600 Wendys 182,400
 5,100 World Wrestling Entertainment, Inc. 79,356
 ------------
 12,082,780
 ------------

 Total Common Stocks - 95.7% 278,002,301
 ------------


-----------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
-----------------------------------------------------------------------------------
 OTHER INTERESTS(e)

 CHEMICALS - 0.0%
 $-(f) Eden Bioscience Liquidating Trust 380
 ------------
 INDUSTRIAL ENGINEERING - 0.0%
 -(f) Soft Branos Inc. 2
 ------------
 Total Other Interests - 0.0% 382
 ------------


-----------------------------------------------------------------------------------
SHARES
HELD
-----------------------------------------------------------------------------------
 RIGHTS

 BANKS - 0.0%
 2,410 BankAtlantic Bancorp, Inc. (Expires 7/20/10) -
 14,356 Hanmi Financial Corp. (Expires 7/12/10) 861
 ------------
 861
 ------------
 HEALTH CARE EQUIPMENT & SERVICES - 0.0%
 2,600 H3 Contingent Value (Non-Expiring) -
 2,600 Merk Contingent Value (Non-Expiring) -
 ------------
 -
 ------------
 PHARMACEUTICALS & BIOTECHNOLOGY - 0.0%
 1,000 Avigen, Inc. Contingent Value (Expires 7/21/11) 41
 4,000 Ligand Pharmaceuticals, Inc. (Expires 12/31/11) -
 ------------
 41
 ------------
 Total Rights - 0.0% 902
 ------------
 WARRANTS(g)

 ALTERNATIVE ENERGY - 0.0%
 30 GreenHunter Energy, Inc. (Expires 8/27/11)(h) -
 ------------
 AUTOMOBILES & PARTS - 0.0%
 249 Federal-Mogul Corp., Class A (Expires 12/27/14) 87
 ------------
 COMMUNICATIONS TECHNOLOGY - 0.0%
 2 Lantronix, Inc. (Expires 2/09/11) -
 ------------
 Total Warrants - 0.0% 87
 ------------
 Total Long-Term Investments (Cost - $283,785,711) - 95.7% 278,003,672
 ------------

SCHEDULE OF INVESTMENTS | 79

-----------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)/SHARES INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
 SHORT-TERM SECURITIES
13,018,732 BlackRock Liquidity Funds, TempCash, Institutional Class,
 0.20%(d),(i) $ 13,018,732
 $11,061 BlackRock Liquidity Series, LLC Money Market Series,
 0.27%(d),(i),(j) 11,060,923
 ------------
 Total Short-Term Securities (Cost - $24,079,655) - 8.3% 24,079,655
 ------------
 TOTAL INVESTMENTS (Cost - $307,865,366*) - 104.0% 302,083,327
 ------------
 LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)% (11,544,935)
 ------------
 NET ASSETS - 100.0% $290,538,392
 ============

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2010, as computed for federal income tax purposes were as follows:

Aggregate cost $311,030,811
 ============
Gross unrealized appreciation $ 42,204,270
Gross unrealized depreciation (51,151,754)
 ------------
Net unrealized depreciation $ (8,947,484)
 ============

(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.
(d) Investments in companies considered to be an affiliate of the Series during the period, 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 AT BENEFICIAL BENEFICIAL INTEREST
 DECEMBER 31, INTEREST INTEREST HELD AT VALUE AT
 2009 PURCHASED SOLD JUNE 30, 2010 JUNE 30, 2010 INCOME
--------------------------------------------------------------------------------------------------------------------------
BlackRock, Inc. 5,200 300 - 5,500 $ 788,700 $11,000
BlackRock Liquidity
 Funds, TempCash,
 Institutional Class 9,511,703 3,507,029(1) - 13,018,732 13,018,732 8,677
BlackRock Liquidity
 Series, LLC Money
 Market Series $13,887,630 - $(2,826,707)(2) $11,060,923 11,060,923 88,449
PennyMac Mortgage
 Investment Trust 1,950 - - 1,950 31,005 -

--------------------------------------------------------------------------------------------------------------------------

(1) Represents net shares/beneficial interest purchased.
(2) Represents net shares/beneficial interest sold.
(e) Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.
(f) Amount is less than $1,000.
(g) 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.

80 | MASTER EXTENDED MARKET INDEX SERIES

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

 ACQUISITION
ISSUE DATES COST VALUE
--------------------------------------------------------------------------------
GreenHunter Energy, Inc. 4/18/08-5/16/08 $6,515 $276

(i) Represents the current yield as of report date.
(j) Security was purchased with the cash collateral from loaned securities.
o For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
o Financial futures contracts purchased as of June 30, 2010 were as follows:

 EXPIRATION NOTIONAL UNREALIZED
CONTRACTS ISSUE DATE VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------------
 98 Russell 2000 ICE EMINI September 2010 $6,055,424 $ (98,984)
 94 S&P 400 Midcap EMINI September 2010 7,029,639 (355,639)
 ---------
TOTAL $(454,623)
 =========

o Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivatives, which are as follows:
o Level 1 - price quotations in active markets/exchanges for identical assets and liabilities
o Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
o Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series' own assumptions used in determining the fair value of investments and 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 other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

SCHEDULE OF INVESTMENTS | 81

The following tables summarize the inputs used as of June 30, 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:
 Aerospace & Defense $ 3,470,112 $ - $ - $ 3,470,112
 Alternative Energy 435,424 - - 435,424
 Automobiles & Parts 3,199,142 - - 3,199,142
 Banks 15,436,081 - - 15,436,081
 Beverages 668,950 - - 668,950
 Chemicals 6,500,849 - - 6,500,849
 Construction & Materials 6,478,148 - - 6,478,148
 Electricity 6,000,105 - - 6,000,105
 Electronic & Electrical Equipment 9,859,697 - - 9,859,697
 Financial Services 8,726,443 - - 8,726,443
 Fixed Line Telecommunications 1,980,232 - - 1,980,232
 Food & Drug Retailers 1,511,001 - - 1,511,001
 Food Producers 6,035,345 - - 6,035,345
 Forestry & Paper 703,877 - 8,175 712,052
 Gas, Water & Multi-Utilities 4,674,181 - - 4,674,181
 General Industrials 3,442,928 - - 3,442,928
 General Retailers 15,099,317 - - 15,099,317
 Health Care Equipment & Services 18,250,164 - - 18,250,164
 Household Goods & Home Construction 5,334,557 - - 5,334,557
 Industrial Engineering 8,979,216 - - 8,979,216
 Industrial Metals & Mining 2,417,082 - - 2,417,082
 Industrial Transportation 4,497,262 - - 4,497,262
 Leisure Goods 2,526,202 - - 2,526,202
 Life Insurance 1,325,640 - - 1,325,640
 Media 8,993,856 - - 8,993,856
 Mining 3,210,238 - - 3,210,238
 Mobile Telecommunications 3,241,927 - - 3,241,927
 Nonlife Insurance 11,621,167 - - 11,621,167
 Oil & Gas Producers 10,777,615 - - 10,777,615
 Oil Equipment, Services & Distribution 5,682,123 - - 5,682,123
 Personal Goods 3,863,241 - - 3,863,241
 Pharmaceuticals & Biotechnology 13,353,634 - - 13,353,634
 Real Estate Investment & Services 1,615,811 - - 1,615,811
 Real Estate Investment Trusts (REITs) 20,257,696 - - 20,257,696
 Software & Computer Services 13,672,825 - - 13,672,825
 Support Services 12,390,220 - - 12,390,220
 Technology Hardware & Equipment 19,238,365 - - 19,238,365
 Tobacco 440,673 - - 440,673
 Travel & Leisure 12,082,780 - - 12,082,780
 Other Interests:
 Chemicals - 380 380
 Industrial Engineering - 2 2
 Rights:
 Banks - 861 - 861
 Pharmaceuticals & Biotechnology - - 41 41
 Warrants:
 Automobiles & Parts 87 - - 87
 Short-Term Securities 13,018,732 11,060,923 - 24,079,655
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Total $291,012,945 $11,061,784 $8,598 $302,083,327
=======================================================================================================

82 | MASTER EXTENDED MARKET INDEX SERIES

 Derivative Financial Instruments(1)
VALUATION INPUTS LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------------------------------------------------------------------------------------------------
ASSETS:
 Equity contracts $(454,623) $- $- $(454,623)
-------------------------------------------------------------------------------------------------------
Total $(454,623) $- $- $(454,623)
=======================================================================================================

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

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

 INVESTMENTS IN SECURITIES
------------------------------------------------------------------------------------------------------------------
 INDUSTRIAL PHARMACEUTICALS &
 CHEMICALS ENGINEERING BIOTECHNOLOGY TOTAL
------------------------------------------------------------------------------------------------------------------
ASSETS:
Balance, as of December 31, 2009 $ - $382 $41 $ 423
Accrued discounts/premiums - - - -
Net realized gain (loss) (2,333) - - (2,333)
Net change in unrealized appreciation/depreciation(2) 2,333 - - 2,333
Purchases - - - -
Sales - - - -
Transfers in(3) 8,175 - - 8,175
Transfers out(3) - - - -
------------------------------------------------------------------------------------------------------------------
Balance, as of June 30, 2010 $ 8,175 $382 $41 $ 8,598
==================================================================================================================

(2) The change in the unrealized appreciation/depreciation on the securities still held on June 30, 2010 was $(1,635).
(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.