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

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

FORM N-CSR

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: DECEMBER 31, 2009

ITEM 1. REPORT TO STOCKHOLDERS.
USAA MUTUAL FUNDS TRUST - ANNUAL REPORT FOR PERIOD ENDING DECEMBER 31, 2009

[LOGO OF USAA]
USAA(R)

[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]

ANNUAL REPORT
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2009

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(SM)*.

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.

*On March 31, 2009, the Dow Jones Wilshire Indexes were discontinued. As a result, the Dow Jones Wilshire 4500 Completion Index now is referred to as the Dow Jones U.S. Completion Total Stock Market Index. There is no change in the calculation of the Index as a result of the change.

TABLE OF CONTENTS

PRESIDENT'S MESSAGE 2

MANAGER'S COMMENTARY 4

FUND RECOGNITION 6

INVESTMENT OVERVIEW 7

FINANCIAL INFORMATION

 USAA EXTENDED MARKET INDEX FUND:

 Distributions to Shareholders 12

 Report of Independent Registered Public Accounting Firm 13

 Financial Statements 14

 Financial Highlights 17

 Notes to Financial Statements 18

EXPENSE EXAMPLE 25

TRUSTEES' AND OFFICERS' INFORMATION 27

 MASTER EXTENDED MARKET INDEX SERIES:

 Report of Independent Registered Public Accounting Firm 34

 Schedule of Investments 35

 Financial Statements 90

 Financial Highlights 93

 Notes to Financial Statements 94

OFFICERS' AND DIRECTORS' INFORMATION 103

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

"LOOKING BACK AT THE MARKET DECLINE,
MANY INVESTORS WERE NOT APPROPRIATELY [PHOTO OF DANIEL S. McNAMARA]
POSITIONED RELATIVE TO THEIR RISK TOLERANCE."

JANUARY 2010

Equities had a remarkable run during 2009. Between March 9, 2009, when the market reached a bottom and the end of the year, stock prices steadily climbed. Although the rally did not completely erase the declines of 2008, the market has established a beachhead and is moving in the right direction. Likewise, the worst of the Great Recession appears to be over. After three quarters of negative growth, the gross domestic product (GDP) -- the broadest measure of U.S. economic activity -- rose by 2.2% in the third quarter of 2009. Other important measures of economic activity have also trended higher, including industrial production, retail sales, and residential real estate sales.

Will the recovery be swift? Or will there be a "double dip?" I say "no" to both questions. Significant assets -- including vast amounts of U.S. government stimulus -- have been thrown into the breach. As a result, I don't expect the economy to fall back into a recession. But I don't expect a quick recovery either. Instead, I anticipate a slow and steady slog with lower economic growth than the United States has enjoyed in recent decades. Access to credit is likely to remain tight until the securitization markets heal and banks relax lending standards. Most consumers and businesses will continue rebuilding their balance sheets by increasing their savings rate and reducing their spending and borrowing. While the outlook for job growth has improved, unemployment is likely to persist at an uncomfortably high level for most of 2010.

2 | USAA EXTENDED MARKET INDEX FUND

I also think the equity market is expecting a strong cyclical recovery. Although many stocks seemed to trade at appropriate levels at the end of 2009, we see support for some growth in prices over the near term. Meanwhile, consensus forecasts (which are based on individual company estimates) call for corporate earnings growth of 30% or more during 2010. Meeting these expectations will require significant top-line revenue growth, not just more cost cutting. USAA's expectations are more in line with top-down earnings forecasts in the 8% to 15% range.

Of course, no one really knows what will happen. That's why it is important to revisit your investment plan. A new year is an opportune time to stop and take stock. Looking back at the market decline, many investors were not appropriately positioned relative to their risk tolerance. With this in mind, I have undertaken a review of my own investment portfolio. The process gives me the opportunity to reflect on my goals, re-evaluate my risk tolerance, consider changes in my investment strategy, and reposition my portfolio accordingly. I urge you to do the same. Our trained service representatives are standing ready to assist you -- free of charge.

At USAA Investment Management Company, we appreciate the trust you have placed in us. We will continue to offer what we consider an excellent value -- some of the industry's top investment talent, first-class service, and no-load mutual funds. Thank you for the opportunity to help you with your investment needs.

Sincerely,

/S/ DANIEL S. MCNAMARA

Daniel S. McNamara
President
USAA Investment Management Company

Mutual fund operating expenses apply and continue throughout the life of the fund.

PRESIDENT'S MESSAGE | 3

MANAGER'S COMMENTARY ON THE FUND

o PERFORMANCE

As of May 31, 2009, the Fund changed its performance benchmark from the Dow Jones Wilshire 4500 Index to the Dow Jones U.S. Completion Total Stock Market Index, which is a subset of the Dow Jones U.S. Total Stock Market Index that excludes components of the S&P 500(R) Index. This change resulted from the discontinuation of the Dow Jones Wilshire Indexes, as Dow Jones Indexes elected to allow its business relationship with Wilshire Associates to expire on March 31, 2009. The Dow Jones Total Stock Market Index family is identical in all aspects to the former Dow Jones Wilshire index family, including methodology, composition and historical data back to 1987.

For the 12-month period ended December 31, 2009, the USAA Extended Market Index Fund returned 36.37% and the Fund's benchmark, the Dow Jones U.S. Completion Total Stock Market Index, returned 37.43%.

o PERFORMANCE ANALYSIS

Following a very difficult 2008, during which the world experienced an unprecedented global financial and economic downturn; stocks entered 2009 by falling another 35% in the United States as fears of depression and financial system nationalization gripped investors. From the March 2009 lows, stocks galloped higher as those fears dissipated and as massive global monetary and fiscal stimuli began to reflate economic activity. We have described it as a tug-of-war between the forces of debt-induced deflation and those of policy-induced reflation.

Refer to page 8 for benchmark definitions.

4 | USAA EXTENDED MARKET INDEX FUND

While deleveraging and other deflationary forces did leave the scene, consistent and aggressive policy ignited the reflationary process. In 2009, there was negative real economic growth, weak nominal growth, and significant earnings declines. Despite that backdrop, "risk" assets outperformed "safe" assets as cash on the sidelines (which was producing near-zero returns) moved back into the markets. Emerging markets handily beat developed markets. Inflation fell in most countries and widespread deflation was avoided. U.S. Treasury rates moved modestly higher as the yield curve steepened. Quality spreads narrowed and, while equity markets remained volatile, they ended the year with sharp gains. Financial stocks and other low-quality securities led the way back. Government spending reached record proportions, and the year ended with cyclical stimulus leading the way while at the same time masking structural problems that remain.

INFORMATION IS AS OF DECEMBER 31, 2009. HOLDINGS ARE PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE DEEMED AS A RECOMMENDATION TO BUY OR SELL THE SECURITIES MENTIONED OR SECURITIES IN THE INDUSTRIES SHOWN ABOVE. 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 MENTIONED OR TO ADOPT ANY INVESTMENT STRATEGY. THE OPINIONS EXPRESSED ARE AS OF DECEMBER 31, 2009, 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.

PREPARED BY BLACKROCK INVESTMENTS, LLC, MEMBER FINRA.

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 121 funds within the Lipper Mid-Cap Core Funds category for the overall period ended December 31, 2009. The Fund received a Lipper Leader rating for Expense among 121 and 98 funds for the three- and five-year periods, respectively, for the period ended December 31, 2009. Lipper ratings for Expense reflect funds' expense minimization relative to peers with similar load structures as of December 31, 2009.

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)

--------------------------------------------------------------------------------
 12/31/09 12/31/08
--------------------------------------------------------------------------------
Net Assets $276.2 Million $194.9 Million
Net Asset Value Per Share $10.21 $7.53

--------------------------------------------------------------------------------
 AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/09
--------------------------------------------------------------------------------
 1 YEAR 5 YEARS SINCE INCEPTION 10/27/00
 36.37% 1.92% 2.86%

EXPENSE RATIO*

Before Reimbursement 0.90% After Reimbursement 0.50%

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

* 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, AS REPORTED IN THE FUND'S PROSPECTUS DATED MAY 1, 2009, 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) AS REPORTED IN THE FUND'S PROSPECTUS DATED MAY 1, 2009. IMCO HAS VOLUNTARILY AGREED TO LIMIT THE FUND'S TOTAL ANNUAL OPERATING EXPENSES TO 0.50%, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY, AND TO REIMBURSE THE FUND FOR EXPENSES IN EXCESS OF THIS AMOUNT. IMCO CAN MODIFY OR TERMINATE THIS ARRANGEMENT AT ANY TIME. THE EXPENSE RATIO DIFFERS FROM THE FUND'S ACTUAL EXPENSE RATIO FOR THE YEAR ENDED DECEMBER 31, 2009, BEFORE REIMBURSEMENT, WHICH WAS 0.96% 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. DOW JONES U.S.
 COMPLETION TOTAL STOCK USAA EXTENDED MARKET COMPLETION TOTAL STOCK
 MARKET INDEX (LINKED)* INDEX FUND MARKET** INDEX
10/27/00 $10,000.00 $10,000.00 $10,000.00
10/31/00 10,323.39 10,400.00 10,323.39
11/30/00 8,564.81 8,840.00 8,564.81
12/31/00 9,107.08 9,360.00 9,107.08
01/31/01 9,602.08 9,750.00 9,602.08
02/28/01 8,435.11 8,670.00 8,435.11
03/31/01 7,661.19 7,960.00 7,661.19
04/30/01 8,471.57 8,750.00 8,471.57
05/31/01 8,671.93 8,940.00 8,671.93
06/30/01 8,742.12 8,980.00 8,742.12
07/31/01 8,335.76 8,600.00 8,335.76
08/31/01 7,930.51 8,200.00 7,930.51
09/30/01 6,910.55 7,160.00 6,910.55
10/31/01 7,272.72 7,520.00 7,272.72
11/30/01 7,838.05 8,100.00 7,838.05
12/31/01 8,257.78 8,515.19 8,257.78
01/31/02 8,101.63 8,362.22 8,101.63
02/28/02 7,872.36 8,127.67 7,872.36
03/31/02 8,405.97 8,678.36 8,405.97
04/30/02 8,323.50 8,576.38 8,323.50
05/31/02 8,139.64 8,372.42 8,139.64
06/30/02 7,582.86 7,801.34 7,582.86
07/31/02 6,845.37 7,036.51 6,845.37
08/31/02 6,885.03 7,077.30 6,885.03
09/30/02 6,420.72 6,598.00 6,420.72
10/31/02 6,631.58 6,822.35 6,631.58
11/30/02 7,086.48 7,281.25 7,086.48
12/31/02 6,788.06 6,965.60 6,788.06
01/31/03 6,641.52 6,811.95 6,641.52
02/28/03 6,472.58 6,648.05 6,472.58
03/31/03 6,568.34 6,750.49 6,568.34
04/30/03 7,115.69 7,313.88 7,115.69
05/31/03 7,791.94 8,020.69 7,791.94
06/30/03 7,977.04 8,194.83 7,977.04
07/31/03 8,349.67 8,563.59 8,349.67
08/31/03 8,699.62 8,922.12 8,699.62
09/30/03 8,591.59 8,799.20 8,591.59
10/31/03 9,245.96 9,475.27 9,245.96
11/30/03 9,564.92 9,792.82 9,564.92
12/31/03 9,763.91 9,991.64 9,763.91
01/31/04 10,113.77 10,331.21 10,113.77
02/29/04 10,290.80 10,516.43 10,290.80
03/31/04 10,334.38 10,567.88 10,334.38
04/30/04 9,919.07 10,125.41 9,919.07
05/31/04 10,069.92 10,279.76 10,068.70
06/30/04 10,332.42 10,557.59 10,345.84
07/31/04 9,757.06 9,971.06 9,772.32
08/31/04 9,760.49 9,971.06 9,773.31
09/30/04 10,158.66 10,362.08 10,149.06
10/31/04 10,386.81 10,578.17 10,336.59
11/30/04 11,093.01 11,298.47 11,058.16
12/31/04 11,576.89 11,782.13 11,530.71
01/31/05 11,196.93 11,384.16 11,140.17
02/28/05 11,399.78 11,593.62 11,355.73
03/31/05 11,197.94 11,405.10 11,138.04
04/30/05 10,818.89 11,017.60 10,731.02
05/31/05 11,460.55 11,666.93 11,370.54
06/30/05 11,829.85 12,033.48 11,741.50
07/31/05 12,480.80 12,682.81 12,402.48
08/31/05 12,334.00 12,536.19 12,260.29
09/30/05 12,410.46 12,609.50 12,353.24
10/31/05 12,143.24 12,337.20 12,063.19
11/30/05 12,711.46 12,934.16 12,625.95
12/31/05 12,766.48 12,973.80 12,687.10
01/31/06 13,569.69 13,788.68 13,520.29
02/28/06 13,445.93 13,670.74 13,386.26
03/31/06 13,949.36 14,185.40 13,896.14
04/30/06 14,014.88 14,239.02 13,953.33
05/31/06 13,448.73 13,638.57 13,350.99
06/30/06 13,470.55 13,660.02 13,389.26
07/31/06 13,092.72 13,274.02 13,011.19
08/31/06 13,382.46 13,552.80 13,290.39
09/30/06 13,535.54 13,702.91 13,411.95
10/31/06 14,209.09 14,378.40 14,079.23
11/30/06 14,742.65 14,903.79 14,588.95
12/31/06 14,817.78 14,960.32 14,626.04
01/31/07 15,310.94 15,454.87 15,097.79
02/28/07 15,233.31 15,364.95 15,060.52
03/31/07 15,397.60 15,522.31 15,223.82
04/30/07 15,753.83 15,870.75 15,601.06
05/31/07 16,403.72 16,533.91 16,272.50
06/30/07 16,209.60 16,320.35 16,033.51
07/31/07 15,529.10 15,612.23 15,314.41
08/31/07 15,670.25 15,758.35 15,468.66
09/30/07 16,174.43 16,252.91 15,937.69
10/31/07 16,713.75 16,769.94 16,409.00
11/30/07 15,740.44 15,792.07 15,488.57
12/31/07 15,672.13 15,665.09 15,414.92
01/31/08 14,646.59 14,641.39 14,463.28
02/29/08 14,380.22 14,343.80 14,150.98
03/31/08 14,084.36 14,058.11 13,900.20
04/30/08 14,853.76 14,831.84 14,658.22
05/31/08 15,526.79 15,498.44 15,356.40
06/30/08 14,342.35 14,331.89 14,204.90
07/31/08 14,207.23 14,189.05 14,071.07
08/31/08 14,483.65 14,474.74 14,344.85
09/30/08 12,909.81 12,915.37 12,786.09
10/31/08 10,245.94 10,248.97 10,147.75
11/30/08 9,078.55 9,082.42 8,991.55
12/31/08 9,489.42 9,501.45 9,398.48
01/31/09 8,780.48 8,769.60 8,696.33
02/28/09 7,921.82 7,911.56 7,845.91
03/31/09 8,604.87 8,592.94 8,522.41
04/30/09 9,898.08 9,879.99 9,803.22
05/31/09 10,309.84 10,283.77 10,211.04
06/30/09 10,394.89 10,359.48 10,295.27
07/31/09 11,318.07 11,293.22 11,209.60
08/31/09 11,733.77 11,722.24 11,621.33
09/30/09 12,410.76 12,391.00 12,291.83
10/31/09 11,714.98 11,697.00 11,602.71
11/30/09 12,177.50 12,163.87 12,060.80
12/31/09 12,999.98 12,956.85 12,875.40

[END CHART]

Data from 10/27/00 to 12/31/09.

*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.

**On June 30, 2008, Dow Jones Indexes and Wilshire Associates finalized a conversion of the Dow Jones Wilshire 4500 Completion Index from a full-cap weighting to a float-adjusted weighting. Subsequently, on March 31, 2009, the Dow Jones Wilshire Indexes were discontinued. As a result, the Dow Jones Wilshire 4500 Completion Index now is referred to as the Dow Jones U.S. Completion Total Stock Market Index (the Index). There is no change in the calculation of the Index.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS, AND THE CUMULATIVE PERFORMANCE QUOTED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON 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 12/31/09

 (% of Net Assets)*

Berkshire Hathaway, Inc. Class A .............................. 5.0%
Marvell Technology Group Ltd. ................................. 0.4%
BlackRock, Inc. ............................................... 0.4%
Crown Castle International Corp. .............................. 0.4%
Annaly Capital Management, Inc. ............................... 0.4%
Seagate Technology ............................................ 0.4%
The Mosaic Co. ................................................ 0.4%
Discovery Communications, Inc. Class A ........................ 0.4%
Delta Air Lines, Inc. ......................................... 0.4%
Bunge Ltd. .................................................... 0.3%

 TOP 10 INDUSTRIES
 AS OF 12/31/09
 (% of Net Assets)*

Nonlife Insurance ............................................. 8.9%
Technology Hardware & Equipment ............................... 7.3%
Real Estate Investment Trusts (REITs) ......................... 6.0%
Health Care Equipment & Services .............................. 5.5%
General Retailers ............................................. 5.0%
Banks ......................................................... 4.5%
Software & Computer Services .................................. 4.5%
Pharmaceuticals & Biotechnology ............................... 4.3%
Support Services .............................................. 4.2%
Oil & Gas Producers ........................................... 3.8%

*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 35--88.

10 | USAA EXTENDED MARKET INDEX FUND

 o ASSET ALLOCATION* -- 12/31/2009 o

 [PIE CHART OF ASSET ALLOCATION]

Nonlife Insurance 8.9%
Technology Hardware & Equipment 7.3%
Real Estate Investment Trusts (REITs) 6.0%
Health Care Equipment & Services 5.5%
General Retailers 5.0%
Banks 4.5%
Software & Computer Services 4.5%
Pharmaceuticals & Biotechnology 4.3%
Support Services 4.2%
Oil & Gas Producers 3.8%
Travel & Leisure 3.6%
Electronic & Electrical Equipment 3.2%
Financial Services 3.2%
Media 3.1%
Industrial Engineering 2.8%
Chemicals 2.4%
Electricity 2.3%
Oil Equipment, Services & Distribution 2.2%
Construction & Materials 2.1%
Food Producers 2.0%
Other** 24.0%
 [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

DISTRIBUTIONS TO SHAREHOLDERS

The following federal tax information related to the Fund's fiscal year ended December 31, 2009, is provided for information purposes only and should not be used for reporting to federal or state revenue agencies. Federal tax information for the calendar year will be reported to you on Form 1099-DIV in January 2010.

Pursuant to Section 852 of the Internal Revenue Code, as amended, the Fund hereby designates $4,449,002 as long-term capital gains for the fiscal year ended December 31, 2009.

100% of ordinary income distributions qualify for the dividends-received deductions eligible to corporations.

For the tax year ended December 31, 2009, the Fund hereby designates 100%, or the maximum amount allowable, of its net taxable income as qualified dividends taxed at individual net capital gains rates.

For the fiscal year ended December 31, 2009, certain dividends paid by the Fund qualify as interest-related dividends. The Fund designates $32,490 as qualifying interest income.

12 | USAA EXTENDED MARKET INDEX FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE SHAREHOLDERS AND BOARD OF TRUSTEES OF USAA EXTENDED MARKET INDEX FUND:

We have audited the accompanying statements of assets and liabilities, including the portfolio of investments, of the USAA Extended Market Index Fund (one of the portfolios constituting USAA Mutual Funds Trust) (the "Fund") as of December 31, 2009, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatements. We were not engaged to perform an audit of the Fund's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and with the Master Extended Market Index Series. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the USAA Extended Market Index Fund at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

 /S/ ERNST & YOUNG LLP

San Antonio, Texas
February 24, 2010

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 13

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2009

ASSETS
 Investment in Master Extended Market Index Series, at fair value $276,164,111
 Receivable for redemption in Master Extended Market Index Series 4,871
 Receivable for capital shares sold 186,909
 Receivable due from USAA Investment Management Company (Note 4B) 158,872
 Receivable due from USAA Transfer Agency Company (Note 4C) 806
 ------------
 Total assets 276,515,569
 ------------
LIABILITIES
 Payable for capital shares redeemed 191,780
 Accrued transfer agency fees 16,093
 Other accrued expenses and payables 63,186
 ------------
 Total liabilities 271,059
 ------------
 Net assets applicable to capital shares outstanding $276,244,510
 ============
NET ASSETS CONSIST OF:
 Paid-in capital $303,980,132
 Accumulated undistributed net investment income 456,592
 Accumulated net realized gain from investments and
 futures transactions 1,929,694
 Net unrealized depreciation on investments and futures contracts (30,121,908)
 ------------
 Net assets applicable to capital shares outstanding $276,244,510
 ============
 Capital shares outstanding 27,052,956
 ============
 Net asset value, redemption price, and offering price per share $ 10.21
 ============

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

14 | USAA EXTENDED MARKET INDEX FUND

STATEMENT OF OPERATIONS

Year ended December 31, 2009

INVESTMENT INCOME

 Allocated from Master Extended Market Index Series:
 Dividends $ 2,856,983
 Foreign taxes withheld (1,902)
 Income - affiliated 38,861
 Securities lending - affiliated 159,220
 -----------
 Total income 3,053,162
 Expenses (Note 4B) (233,118)
 -----------
 Net allocated investment income 2,820,044
 -----------
FUND EXPENSES
 Administration and servicing fees 853,444
 Transfer agent's fees 862,283
 Custody and accounting fees 4,433
 Shareholder reporting fees 38,000
 Postage 33,000
 Trustees' fees 10,000
 Registration fees 36,377
 Professional fees 67,000
 Other 12,000
 -----------
 Total Fund expenses before reimbursement 1,916,537
 Expenses reimbursed (1,026,137)
 -----------
 Total Fund expenses after reimbursement 890,400
 -----------
NET INVESTMENT INCOME 1,929,644
 -----------

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS ALLOCATED FROM MASTER EXTENDED MARKET INDEX SERIES

Net realized gain from investment transactions 3,036,539
Net realized gain from futures transactions 3,284,433
Net change in unrealized appreciation/depreciation on
 investments and futures contracts 65,157,521
 -----------
 Net allocated realized and unrealized gain
 on investments and futures contracts 71,478,493
 -----------
Increase in net assets from operations $73,408,137
 ===========

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

FINANCIAL STATEMENTS | 15

STATEMENTS OF CHANGES IN NET ASSETS

Years ended December 31,

 2009 2008
----------------------------------------------------------------------------------------

FROM OPERATIONS
 Net investment income $ 1,929,644 $ 2,878,206
 Net realized gain from investment transactions 3,036,539 10,218,690
 Net realized gain (loss) from futures transactions 3,284,433 (6,763,214)
 Net change in unrealized appreciation/depreciation
 on investments and futures contracts 65,157,521 (132,543,070)
 ----------------------------
 Net increase (decrease) in net assets from
 operations 73,408,137 (126,209,388)
 ----------------------------
DISTRIBUTIONS TO SHAREHOLDERS
 Net investment income (1,592,138) (2,707,034)
 Net realized gains - (7,669,466)
 ----------------------------
 Distributions to shareholders (1,592,138) (10,376,500)
 ----------------------------
FROM CAPITAL SHARE TRANSACTIONS
 Proceeds from shares sold 48,579,401 76,468,585
 Reinvested dividends 1,559,226 10,204,785
 Cost of shares redeemed (40,570,219) (65,417,713)
 ----------------------------
 Net increase in net assets from capital
 share transactions 9,568,408 21,255,657
 ----------------------------
 Capital contribution from USAA Transfer Agency
 Company (Note 4C) 806 21,469
 ----------------------------
 Net increase (decrease) in net assets 81,385,213 (115,308,762)
NET ASSETS
 Beginning of period 194,859,297 310,168,059
 ----------------------------
 End of period $276,244,510 $ 194,859,297
 ============================
Accumulated undistributed net investment income
 End of period $ 456,592 $ 119,049
 ============================
CHANGE IN SHARES OUTSTANDING
 Shares sold 5,897,233 7,018,237
 Shares issued for reinvested dividends 150,941 1,446,354
 Shares redeemed (4,878,918) (6,142,971)
 ----------------------------
 Increase in shares outstanding 1,169,256 2,321,620
 ============================

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

16 | 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.

 YEARS ENDED DECEMBER 31,
 ----------------------------------------------------------------
 2009 2008 2007 2006 2005
 ----------------------------------------------------------------

Net asset value at beginning of period $ 7.53 $ 13.16 $ 13.31 $ 12.10 $ 11.25
 ----------------------------------------------------------------
Income (loss) from investment
 operations:
 Net investment income .07 .11 .12 .14 .08
 Net realized and unrealized gain (loss)
 on investments and futures
 transactions 2.67 (5.32) .51 1.71 1.06
 ----------------------------------------------------------------
Total from investment operations 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 (.06) (.42) (.78) (.64) (.29)
 ----------------------------------------------------------------
Net asset value at end of period $ 10.21 $ 7.53 $ 13.16 $ 13.31 $ 12.10
 ================================================================
Total return(%)* 36.37 (39.35) 4.71(b) 15.31 10.11
Net assets at end of period (000) $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(b) .50 .50
 Expenses before reimbursements,
 including expenses of the Master
 Extended Market Index Series (%)(a) .96 .90 .79(b) .82 .76
 Net investment income (%) .86 1.08 .92 1.23 .84
Portfolio turnover (%)*** 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 $224,582,132. *** 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 | 17

NOTES TO FINANCIAL STATEMENTS

December 31, 2009

(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 annual 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 December 31, 2009, the Fund's investment was 96.49% of the Series.

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

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

B. FAIR VALUE MEASUREMENTS -- Refer to the Schedule of Investments of the Series for a discussion of fair value measurements and a summary

18 | USAA EXTENDED MARKET INDEX FUND

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 December 31, 2009:

VALUATION INPUTS INVESTMENT IN THE SERIES
----------------------------------------------------------------------------
Level 1 - Quoted Prices $ -
Level 2 - Other Significant Observable Inputs 276,164,111
Level 3 - Significant Unobservable Inputs -
----------------------------------------------------------------------------
Total $276,164,111
----------------------------------------------------------------------------

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 year ended December 31, 2009, the Fund did not incur any expenses paid indirectly.

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

NOTES TO FINANCIAL STATEMENTS | 19

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). Prior to September 25, 2009, the maximum annual facility fee was 0.07% 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 year ended December 31, 2009, the Fund paid CAPCO facility fees of $1,209, which represents 0.6% of the total fees paid to CAPCO by the USAA funds. The Fund had no borrowings under this agreement during the year ended December 31, 2009.

(3) DISTRIBUTIONS

The character of any distributions made during the year from net investment income or net realized gains is determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. generally accepted accounting principles. Also, due

20 | USAA EXTENDED MARKET INDEX FUND

to the timing of distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains were recorded by the Fund.

During the current fiscal year, permanent differences between book-basis and tax-basis accounting related to partnership accounting for master-feeder funds resulted in reclassifications made to the statement of assets and liabilities to decrease paid-in capital by $71,983, increase undistributed net investment income by $37, and increase accumulated net realized gain on investments by $71,946. These reclassifications had no effect on net assets.

The tax character of distributions paid during the years ended December 31, 2009, and 2008, was as follows:

 2009 2008
 ------------------------
Ordinary income* $1,592,138 $2,759,022
Long-term capital gains - 7,669,466

*Includes distribution of short-term realized capital gains, if any, which are taxable as ordinary income.

As of December 31, 2009, the components of net assets representing distributable earnings on a tax basis were as follows:

Undistributed ordinary income $ 456,734
Accumulated long-term capital gains 4,449,002
Unrealized depreciation (32,156,333)

The difference between book-basis and tax-basis unrealized appreciation of investments is attributable to the tax deferral of losses on wash sales.

Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income and the Fund's pro rata share of the Series' realized gains from security transactions not offset by capital losses are made annually in the succeeding fiscal year or as otherwise required to avoid the payment of federal taxes.

The Fund is 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

NOTES TO FINANCIAL STATEMENTS | 21

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 year ended December 31, 2009, the Fund did not incur any income tax, interest, or penalties. As of December 31, 2009, 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 years ended December 31, 2006, through December 31, 2009, 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 year ended December 31, 2009, the Fund incurred administration and servicing fees, paid or payable to the Manager, of $853,444.

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 year ended December 31, 2009, the Fund reimbursed the Manager $8,981 for these compliance and legal services. These expenses are included in the professional fees on the Fund's statement of operations.

Out of the administration and servicing fees received from the Fund, the Manager pays BlackRock up to 0.10% for subadministration services provided on the Manager's behalf. For the year ended December 31, 2009, the Manager incurred subadministration fees, paid or payable to BlackRock, of $1,726.

22 | USAA EXTENDED MARKET INDEX FUND

B. EXPENSE LIMITATION -- The Manager has voluntarily agreed 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. The Manager may modify or terminate this voluntary agreement at any time. For the year ended December 31, 2009, the Fund incurred reimbursable expenses of $1,026,137, of which $158,872 was receivable from the Manager. Additionally, the expenses allocated to the Fund from the Series included fees waived by BlackRock Advisors, LLC of $12,751. 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 year ended December 31, 2009, the Fund incurred transfer agent's fees paid or payable to SAS, of $862,283. Additionally, for the year ended December 31, 2009, the Fund recorded a receivable from SAS for a capital contribution of $806 for adjustments related to corrections to shareholder accounts.

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.

NOTES TO FINANCIAL STATEMENTS | 23

(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.

(6) SUBSEQUENT EVENTS

Events or transactions that occur after the balance sheet date but before the financial statements are issued are categorized as recognized or non-recognized for financial statement purposes. The Manager has evaluated subsequent events through February 24, 2010, the date the financial statements were issued, and has determined there were no events that required recognition or disclosure in the Fund's financial statements.

(7) NEW ACCOUNTING PRONOUNCEMENTS

In January 2010, the Financial Accounting Standards Board issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Level 1 and 2 and separate disclosures about purchases, sales, issuances, and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation of fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009, except for disclosure about purchases, sales, issuances, and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The Manager is in the process of evaluating the impact of this guidance on the Fund's financial statement disclosures.

24 | USAA EXTENDED MARKET INDEX FUND

EXPENSE EXAMPLE

December 31, 2009 (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 July 1, 2009, through December 31, 2009.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

EXPENSE EXAMPLE | 25

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 JULY 1, 2009 -
 JULY 1, 2009 DECEMBER 31, 2009 DECEMBER 31, 2009
 --------------------------------------------------------

Actual $1,000.00 $1,250.70 $2.84
Hypothetical
 (5% return before expenses) 1,000.00 1,022.68 2.55

* 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 184 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 25.07% for the six-month period of July 1, 2009, through December 31, 2009.

26 | USAA EXTENDED MARKET INDEX FUND

TRUSTEES' AND OFFICERS' INFORMATION

TRUSTEES AND OFFICERS OF THE TRUST

The Board of Trustees of the Trust consists of six Trustees. These Trustees and the Trust's Officers supervise the business affairs of the USAA family of funds. The Board of Trustees is responsible for the general oversight of the funds' business and for assuring that the funds are managed in the best interests of each fund's respective shareholders. The Board of Trustees periodically reviews the funds' investment performance as well as the quality of other services provided to the funds and their shareholders by each of the fund's service providers, including USAA Investment Management Company (IMCO) and its affiliates. The term of office for each Trustee shall be 20 years or until the Trustee reaches age 70. All members of the Board of Trustees shall be presented to shareholders for election or re-election, as the case may be, at least once every five years. Vacancies on the Board of Trustees can be filled by the action of a majority of the Trustees, provided that at least two-thirds of the Trustees have been elected by the shareholders.

Set forth below are the Trustees and Officers of the Trust, their respective offices and principal occupations during the last five years, length of time served, and information relating to any other directorships held. Each serves on the Board of Trustees of the USAA family of funds consisting of one registered investment company offering 46 individual funds as of December 31, 2009. Unless otherwise indicated, the business address of each is 9800 Fredericksburg Road, San Antonio, TX 78288.

If you would like more information about the funds' Trustees, you may call (800) 531-USAA (8722) to request a free copy of the funds' statement of additional information (SAI).

TRUSTEES' AND OFFICERS' INFORMATION | 27

INTERESTED TRUSTEE(1)

CHRISTOPHER W. CLAUS(2, 4)
Trustee
Born: December 1960
Year of Election or Appointment: 2001

Chair of the Board of Directors, IMCO (11/04-present); President, IMCO (2/01-10/09); Chief Investment Officer, IMCO (2/07-2/08); Chief Executive Officer, IMCO (2/01-2/07); Chair of the Board of Directors, USAA Financial Advisors, Inc. (FAI) (1/07-present); President, FAI (12/07-10/09); President, Financial Advice and Solutions Group (FASG) USAA (9/09-present); President, Financial Services Group, USAA (1/07-9/09). Mr. Claus serves as Chair of the Board of Directors of USAA Investment Corporation, USAA Shareholder Account Services (SAS), USAA Financial Planning Services Insurance Agency, Inc. (FPS), and FAI. He also is Vice Chair for USAA Life Insurance Company (USAA Life).

NON-INTERESTED (INDEPENDENT) TRUSTEES

BARBARA B. DREEBEN(3, 4, 5, 6)
Trustee
Born: June 1945
Year of Election or Appointment: 1994

President, Postal Addvantage (7/92-present), a postal mail list management service. Mrs. Dreeben holds no other directorships of any publicly held corporations or other investment companies outside the USAA family of funds.

28 | USAA EXTENDED MARKET INDEX FUND

ROBERT L. MASON, PH.D.(3, 4, 5, 6)
Trustee
Born: June 1946
Year of Election or Appointment: 1997

Institute Analyst, Southwest Research Institute (3/02-present), which focuses in the fields of technological research. Dr. Mason holds no other directorships of any publicly held corporations or other investment companies outside the USAA family of funds.

BARBARA B. OSTDIEK, PH.D.(3, 4, 5, 6, 7) Trustee
Born: March 1964
Year of Election or Appointment: 2007

Academic Director of the El Paso Corporation Finance Center at Jesse H. Jones Graduate School of Management at Rice University (7/02-present); Associate Professor of Finance at Jesse H. Jones Graduate School of Management at Rice University (7/01-present). Dr. Ostdiek holds no other directorships of any publicly held corporations or other investment companies outside the USAA family of funds.

MICHAEL F. REIMHERR(3, 4, 5, 6)
Trustee
Born: August 1945
Year of Election or Appointment: 2000

President of Reimherr Business Consulting (5/95-present), an organization that performs business valuations of large companies to include the development of annual business plans, budgets, and internal financial reporting. Mr. Reimherr holds no other directorships of any publicly held corporations or other investment companies outside the USAA family of funds.

TRUSTEES' AND OFFICERS' INFORMATION | 29

RICHARD A. ZUCKER(2, 3, 4, 5, 6)
Trustee and Chair of the Board of Trustees Born: July 1943
Year of Election or Appointment: 1992(+)

Vice President, Beldon Roofing Company (7/85-present). Mr. Zucker holds no other directorships of any publicly held corporations or other investment companies outside the USAA family of funds.

(1) Indicates the Trustee is an employee of IMCO or affiliated companies and is considered an "interested person" under the Investment Company Act of 1940.
(2) Member of Executive Committee
(3) Member of Audit Committee
(4) Member of Pricing and Investment Committee
(5) Member of Corporate Governance Committee (6) The address for all non-interested trustees is that of the USAA Funds, P.O. Box 659430, San Antonio, TX 78265-9430.
(7) Dr. Ostdiek was appointed the Audit Committee Financial Expert for the Funds' Board in November 2008. (+) Mr. Zucker was elected as Chair of the Board in 2005.

30 | USAA EXTENDED MARKET INDEX FUND

INTERESTED OFFICERS(1)

DANIEL S. McNAMARA
Vice President
Born: June 1966
Year of Appointment: 2009

President and Director, IMCO, FAI, FPS, and SAS (10/09-present); President, Banc of America Investment Advisors (9/07-9/09); Managing Director, Planning and Financial Products Group, Bank of America (9/01-9/09).

CLIFFORD A. GLADSON
Vice President
Born: November 1950
Year of Appointment: 2002

Senior Vice President, Fixed Income Investments, IMCO (9/02-present). Mr. Gladson also serves as a Director for SAS.

JOHN P. TOOHEY
Vice President
Born: March 1968
Year of Appointment: 2009

Vice President, Equity Investments, IMCO (2/09-present); Managing Director, AIG Investments (12/00-1/09).

MARK S. HOWARD
Secretary
Born: October 1963
Year of Appointment: 2002

Senior Vice President and Deputy General Counsel, Business & Regulatory Services, USAA (10/08-present); Senior Vice President, USAA Life/IMCO/ FPS General Counsel, USAA (10/03-10/08). Mr. Howard also holds the Officer positions of Senior Vice President, Secretary, and Counsel for USAA Life, FAI, and FPS, and is an Assistant Secretary of USAA, IMCO, and SAS.

TRUSTEES' AND OFFICERS' INFORMATION | 31

ROBERTO GALINDO, JR.
Treasurer
Born: November 1960
Year of Appointment: 2000

Assistant Vice President, Portfolio Accounting/Financial Administration, USAA (12/02-present); Assistant Treasurer, USAA family of funds (7/00-2/08).

CHRISTOPHER P. LAIA
Assistant Secretary
Born: January 1960
Year of Appointment: 2008

Vice President, FASG General Counsel, USAA (10/08-present); Vice President, Securities Counsel, USAA (6/07-10/08); General Counsel, Secretary, and Partner, Brown Advisory (6/02-6/07). Mr. Laia also holds the Officer positions of Vice President and Secretary, IMCO and SAS, and Vice President and Assistant Secretary, FAI and FPS.

WILLIAM A. SMITH
Assistant Treasurer
Born: June 1948
Year of Appointment: 2009

Vice President, Senior Financial Officer, and Treasurer, FASG, FAI, and SAS (2/09-present); Senior Financial Officer, USAA Life (2/07-present); consultant, Robert Half/Accounttemps (8/06-1/07); Chief Financial Officer, California State Automobile Association (8/04-12/05).

JEFFREY D. HILL
Chief Compliance Officer
Born: December 1967
Year of Appointment: 2004

Assistant Vice President, Mutual Funds Compliance, USAA (9/04-present).

(1) Indicates those Officers who are employees of IMCO or affiliated companies and are considered "interested persons" under the Investment Company Act of 1940.

32 | USAA EXTENDED MARKET INDEX FUND

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

invests

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE INVESTORS AND BOARD OF DIRECTORS OF QUANTITATIVE MASTER SERIES LLC

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Extended Market Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the "Master LLC") as of December 31, 2009, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Extended Market Index Series of Quantitative Master Series LLC as of December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
February 24, 2010

34 | MASTER EXTENDED MARKET INDEX SERIES

SCHEDULE OF INVESTMENTS

December 31, 2009

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

COMMON STOCKS

AEROSPACE & DEFENSE - 1.1%
 4,300 AAR Corp.(a) $ 98,814
 200 Aerosonic Corp.(a) 880
 1,800 AeroVironment, Inc.(a) 52,344
 4,062 Alliant Techsystems, Inc.(a) 358,553
 1,000 The Allied Defense Group, Inc.(a) 4,750
 13,400 American Defense Systems, Inc.(a) 5,092
 3,765 Applied Energetics, Inc.(a),(b) 1,242
 2,800 Applied Signal Technology, Inc. 54,012
 2,800 Argon ST, Inc.(a) 60,816
 14 Arotech Corp.(a) 23
 1,000 Astronics Corp.(a) 8,550
 50 Astrotech Corp.(a) 95
 1,200 Aviation General, Inc.(a) -
 11,200 BE Aerospace, Inc.(a) 263,200
 2,875 Ceradyne, Inc.(a) 55,229
 1,800 Cubic Corp. 67,140
 4,900 Curtiss-Wright Corp. 153,468
 1,600 Ducommun, Inc. 29,936
 3,700 Esterline Technologies Corp.(a) 150,849
 8,800 Force Protection, Inc.(a) 45,848
 8,900 GenCorp, Inc.(a) 62,300
 800 Hawk Corp., Class A(a) 14,088
 1,792 Heico Corp., Class A 64,440
 975 Herley Industries, Inc.(a) 13,543
 9,800 Hexcel Corp.(a) 127,204
 200 ICx Technologies, Inc.(a) 1,904
 1,593 Innovative Solutions & Support, Inc.(a) 7,312
 540 Kratos Defense & Security Solutions, Inc.(a) 5,697
 1,500 LMI Aerospace, Inc.(a) 19,950
 2,500 Ladish Co., Inc.(a) 37,700
 2,195 Mantech International Corp., Class A(a) 105,975
 4,025 Moog, Inc., Class A(a) 117,651
 6,400 Orbital Sciences Corp.(a) 97,664
 2,400 RBC Bearings, Inc.(a) 58,392
 11,400 Smith & Wesson Holding Corp.(a) 46,626
 11,600 Spirit Aerosystems Holdings, Inc., Class A(a) 230,376
 4,500 Sturm Ruger & Co., Inc. 43,650
 6,930 Taser International, Inc.(a) 30,353
 4,800 Teledyne Technologies, Inc.(a) 184,128
 5,100 TransDigm Group, Inc. 242,199
 2,400 Triumph Group, Inc. 115,800
 1,000 VSE Corp. 45,080
 ------------
 3,082,873
 ------------
ALTERNATIVE ENERGY - 0.2%
 2,600 Akeena Solar, Inc.(a),(b) 3,250
 1,500 Ascent Solar Technologies, Inc.(a) 7,950
 4,600 BioFuel Energy Corp.(a) 12,650
 3,700 Daystar Technologies, Inc.(a) 1,518
 4,100 Ener1, Inc.(a),(b) 25,994
 6,500 Energy Conversion Devices, Inc.(a),(b) 68,705
 16,600 Evergreen Solar, Inc.(a),(b) 25,066
 11,800 FuelCell Energy, Inc.(a),(b) 44,368
 3,300 GT Solar International, Inc.(a),(b) 18,348
 200 Green Plains Renewable Energy(a) 2,974
 300 GreenHunter Energy, Inc.(a) 345
 2,900 Hoku Scientific, Inc.(a),(b) 7,888

SCHEDULE OF INVESTMENTS | 35

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,700 Ocean Power Technologies, Inc.(a) $ 24,327
 2,900 Pacific Ethanol, Inc.(a) 2,088
 19,907 Plug Power, Inc.(a) 14,134
 4,700 Raser Technologies, Inc.(a),(b) 5,828
 1,500 STR Holdings, Inc.(a) 23,565
 8,550 SunPower Corp., Class A(a) 202,464
 3,949 SunPower Corp., Class B(a) 82,732
 441 Verenium Corp.(a) 1,985
 ------------
 576,179
 ------------
AUTOMOBILES & PARTS - 1.0%
 7,800 American Axle & Manufacturing Holdings, Inc.(b) 62,556
 4,300 Amerigon, Inc.(a) 34,142
 8,100 ArvinMeritor, Inc.(a) 90,558
 14,000 BorgWarner, Inc. 465,080
 6,500 Cooper Tire & Rubber Co. 130,325
 15,300 Dana Holding Corp.(a) 165,852
 1,300 Dorman Products, Inc.(a) 20,358
 6,887 Exide Technologies(a) 48,967
 2,600 Federal-Mogul Corp., Class A(a) 44,980
 1,950 Fuel Systems Solutions, Inc.(a) 80,418
 14,890 Gentex Corp. 265,787
 14,900 LKQ Corp.(a) 291,891
 4,500 Lear Corp.(a) 304,380
 3,000 LoJack Corp.(a) 12,120
 4,200 Modine Manufacturing Co. 49,728
 25,812 Quantum Fuel Systems Technologies Worldwide, Inc.(a),(b) 28,652
 400 Shiloh Industries, Inc.(a) 2,120
 1,300 Standard Motor Products, Inc. 11,076
 1,700 Stoneridge, Inc.(a) 15,317
 900 Strattec Security Corp. 16,650
 3,110 Superior Industries International, Inc. 47,583
 7,920 TRW Automotive Holdings Corp.(a) 189,130
 8,130 Tenneco, Inc.(a) 144,145
 3,775 Titan International, Inc. 30,615
 3,900 U.S. Auto Parts Network, Inc.(a) 20,280
 600 United Capital Corp.(a) 14,292
 8,600 WABCO Holdings, Inc. 221,794
 ------------
 2,808,796
 ------------
BANKS - 4.5%
 1,510 1st Source Corp. 24,296
 2,400 Abington Bancorp, Inc. 16,536
 500 Alliance Financial Corp. 13,575
 3,170 Amcore Financial, Inc.(a) 3,931
 200 Ameriana Bancorp 532
 600 American National Bankshares, Inc. 13,140
 2,200 AmericanWest Bancorp(a) 891
 1,543 Ameris Bancorp 11,046
 700 Ames National Corp. 14,777
 2,600 Anchor Bancorp Wisconsin, Inc. 1,638
 1,205 Arrow Financial Corp. 30,125
 15,859 Associated Banc-Corp. 174,608
 12,250 Astoria Financial Corp. 152,267
 74 Atlantic Coast Federal Corp. 112
 631 BCSB Bancorp, Inc.(a) 5,149
 2,501 BOK Financial Corp.(b) 118,847
 1,000 Bancfirst Corp. 37,040
 3,400 The Bancorp, Inc.(a) 23,324
 1,300 Bancorp of New Jersey, Inc. 13,780
 900 Bancorp Rhode Island, Inc. 23,112
 8,200 BancorpSouth, Inc. 192,372
 1,988 BancTrust Financial Group, Inc. 5,705
 5,900 Bank Mutual Corp. 40,828
 781 Bank of Granite Corp.(a) 398
 6,100 Bank of Hawaii Corp.(c) 287,066
 500 Bank of Marin Bancorp 16,280

36 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,700 Bank of the Ozarks, Inc.(c) $ 49,759
 7,368 BankAtlantic Bancorp, Inc. 9,578
 2,200 BankFinancial Corp. 21,780
 2,500 Banner Corp. 6,700
 500 Bar Harbor Bankshares 13,725
 4,000 Beneficial Mutual Bancorp, Inc.(a) 39,360
 300 Berkshire Bancorp, Inc. 1,800
 1,700 Berkshire Hills Bancorp, Inc. 35,156
 11,100 Boston Private Financial Holdings, Inc. 64,047
 1,100 Bridge Bancorp, Inc. 26,444
 6,599 Brookline Bancorp, Inc. 65,396
 700 Bryn Mawr Bank Corp. 10,563
 2,100 CFS Bancorp, Inc. 6,783
 14,375 CVB Financial Corp.(b) 124,200
 600 California First National Bancorp 7,836
 500 Camco Financial Corp. 950
 800 Camden National Corp. 26,160
 200 Cape Bancorp, Inc.(a) 1,344
 1,800 Capital Bank Corp. 6,930
 1,325 Capital City Bank Group, Inc. 18,338
 1,820 Capitol Bancorp Ltd. 3,567
 2,340 Capitol Federal Financial 73,616
 28,041 CapitalSource, Inc. 111,323
 4,200 Cardinal Financial Corp. 36,708
 210 Carrollton Bancorp 1,000
 2,975 Cascade Bancorp 2,053
 515 Cascade Financial Corp. 1,143
 8,222 Cathay General Bancorp(b) 62,076
 3,015 Center Bancorp, Inc. 26,894
 1,800 Center Financial Corp. 8,280
 1,300 Centerstate Banks, Inc. 13,117
 9,176 Central Pacific Financial Corp.(b) 12,020
 900 Century Bancorp, Inc., Class A 19,827
 500 Charter Financial Corp. 5,000
 2,713 Chemical Financial Corp. 63,972
 600 Chicopee Bancorp, Inc.(a) 7,488
 1,012 Citizens & Northern Corp. 9,654
 69,385 Citizens Banking Corp.(a) 47,876
 1,600 Citizens First Bancorp, Inc.(a) 624
 2,328 Citizens South Banking Corp. 10,685
 1,800 City Holding Co. 58,194
 5,500 City National Corp. 250,800
 2,050 CityBank(b) 3,567
 980 Clifton Savings Bancorp, Inc. 9,183
 2,250 CoBiz Financial, Inc. 10,688
 500 Colony Bankcorp, Inc. 2,265
 4,230 Columbia Banking System, Inc. 68,441
 100 Comm Bancorp, Inc. 2,184
 8,272 Commerce Bancshares, Inc. 320,292
 3,600 Community Bank System, Inc. 69,516
 1,580 Community Trust Bancorp, Inc. 38,631
 4,800 Corus Bankshares, Inc.(a) 168
 7,040 Cullen/Frost Bankers, Inc. 352,000
 3,700 Danvers Bancorp, Inc. 48,063
 3,700 Dime Community Bancshares, Inc. 43,364
 677 Doral Financial Corp.(a) 2,457
 629 ESB Financial Corp. 8,315
 2,400 ESSA Bancorp, Inc. 28,080
 9,497 East-West Bancorp, Inc. 150,053
 300 Eastern Virginia Bankshares, Inc. 2,130
 100 Emclaire Financial Corp. 1,404
 1,700 Encore Bancshares, Inc.(a) 13,515
 2,700 Enterprise Financial Services Corp. 20,817
 1,400 EuroBancshares, Inc.(a) 686
 12,236 F.N.B. Corp. 83,082
 300 FNB United Corp. 375

SCHEDULE OF INVESTMENTS | 37

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 300 Farmers Capital Bank Corp. $ 3,066
 1,900 Financial Institutions, Inc. 22,382
 400 First Bancorp, Inc. 6,168
 1,800 First Bancorp, North Carolina 25,146
 15,300 First BanCorp., Puerto Rico 35,190
 3,050 First Busey Corp. 11,865
 800 First Chester County Corp. 7,320
 1,000 First Citizens Banc Corp. 4,650
 651 First Citizens BancShares, Inc., Class A 106,770
 9,100 First Commonwealth Financial Corp. 42,315
 1,200 First Community Bancshares, Inc. 14,460
 1,300 First Defiance Financial Corp. 14,677
 1,200 First Federal Bancshares of Arkansas, Inc. 2,748
 4,710 First Financial Bancorp 68,578
 2,066 First Financial Bankshares, Inc. 112,039
 1,100 First Financial Corp. 33,572
 1,400 First Financial Holdings, Inc. 18,186
 3,100 First Financial Northwest, Inc. 20,305
 358 First Financial Service Corp. 3,243
 600 First M&F Corp. 1,326
 2,533 First Merchants Corp. 15,046
 6,175 First Midwest Bancorp, Inc. 67,246
 23,280 First Niagara Financial Group, Inc. 323,825
 400 The First of Long Island Corp. 10,100
 1,915 First Place Financial Corp. 5,305
 600 First Regional Bancorp(a) 210
 200 First Security Group, Inc. 476
 1,000 First South Bancorp, Inc. 10,300
 3,300 First State Bancorp(a) 1,313
 700 First United Corp. 4,200
 11,129 FirstMerit Corp. 224,138
 7,800 Flagstar Bancorp, Inc.(a) 4,680
 2,950 Flushing Financial Corp. 33,217
 1,600 Fox Chase Bancorp, Inc.(a) 15,232
 540 Frontier Financial Corp.(a),(b) 1,895
 18,411 Fulton Financial Corp. 160,544
 661 German American Bancorp, Inc. 10,741
 6,556 Glacier Bancorp, Inc. 89,948
 1,100 Great Southern Bancorp, Inc. 23,496
 1,816 Greene County Bancshares, Inc. 6,447
 5,400 Guaranty Bancorp(a) 7,128
 900 HMN Financial, Inc.(a) 3,780
 4,404 Hampton Roads Bankshares, Inc.(b) 7,619
 3,200 Hancock Holding Co. 140,128
 7,356 Hanmi Financial Corp.(a) 8,827
 4,668 Harleysville National Corp. 30,062
 260 Hawthorn Bancshares, Inc. 2,480
 1,700 Heartland Financial USA, Inc. 24,395
 1,900 Heritage Commerce Corp. 7,638
 420 Heritage Financial Corp. 5,788
 1,000 Home Bancorp, Inc.(a) 12,190
 1,716 Home Bancshares, Inc. 41,304
 1,800 Home Federal Bancorp, Inc. 23,958
 625 Horizon Financial Corp.(a) 141
 520 Hudson Valley Holding Corp. 12,823
 2,800 IBERIABANK Corp. 150,668

38 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,313 Independent Bank Corp./MA $ 48,319
 2,524 Independent Bank Corp./MI 1,817
 1,100 Indiana Community Bancorp 8,470
 2,200 Integra Bank Corp. 1,628
 6,141 International Bancshares Corp.(b) 116,249
 2,100 Intervest Bancshares Corp. 6,888
 5,678 Investors Bancorp, Inc.(a) 62,117
 1,900 Jefferson Bancshares, Inc. 8,531
 2,300 Kearny Financial Corp. 23,184
 2,600 Lakeland Bancorp, Inc. 16,614
 3,200 Lakeland Financial Corp. 55,200
 1,700 Legacy Bancorp, Inc./MA 16,762
 600 Louisiana Bancorp, Inc.(a) 8,670
 6,530 MB Financial, Inc. 128,772
 787 Macatawa Bank Corp.(a) 1,708
 2,301 MainSource Financial Group, Inc. 10,999
 1,200 Malvern Federal Bancorp, Inc. 10,800
 2,070 Mercantile Bank Corp. 6,210
 550 Merchants Bancshares, Inc. 12,452
 700 Metro Bancorp, Inc.(a) 8,799
 115 Mid Penn Bancorp, Inc. 1,121
 1,000 Midwest Banc Holdings, Inc.(a) 360
 900 MidwestOne Financial Group, Inc. 7,875
 300 MutualFirst Financial, Inc. 1,734
 400 NASB Financial, Inc. 9,316
 3,560 NBT Bancorp, Inc. 72,517
 3,100 Nara Bancorp, Inc. 35,154
 100 National Bankshares, Inc. 2,829
 17,027 National Penn Bancshares, Inc. 98,586
 51,141 New York Community Bancorp, Inc.(b) 742,056
 13,500 NewAlliance Bancshares, Inc. 162,135
 2,004 Newbridge Bancorp(a) 4,449
 2,200 North Valley Bancorp 4,598
 300 Northern States Financial Corp.(a) 1,080
 2,200 Northfield Bancorp, Inc. 29,744
 5,900 Northwest Bancshares, Inc. 66,788
 157 Norwood Financial Corp. 4,489
 4,100 OceanFirst Financial Corp. 46,330
 875 Ohio Valley Banc Corp. 19,276
 12,721 Old National Bancorp 158,122
 1,886 Old Second Bancorp, Inc.(b) 12,995
 3,894 Oriental Financial Group 42,055
 1,400 Oritani Financial Corp. 19,222
 200 Orrstown Financial Service, Inc. 6,976
 612 PAB Bankshares, Inc.(a) 1,346
 321 PVF Capital Corp. 594
 12,210 Pacific Capital Bancorp 11,722
 1,300 Pacific Continental Corp. 14,872
 4,061 PacWest Bancorp 81,829
 1,000 Pamrapo Bancorp, Inc. 7,870
 1,230 Park National Corp.(b) 72,422
 500 Parkvale Financial Corp. 3,475
 906 Peapack-Gladstone Financial Corp. 11,488
 800 Penns Woods Bancorp, Inc. 25,952
 1,095 Peoples Bancorp, Inc. 10,600
 363 Peoples Bancorp of North Carolina, Inc. 1,851
 1,000 Peoples Financial Corp. 20,320
 5,342 Pinnacle Financial Partners, Inc.(a) 75,963
 71,839 Popular, Inc. 162,356
 1,035 Porter Bancorp, Inc. 15,566
 2,494 Preferred Bank 4,489
 840 Premierwest Bancorp 1,193

SCHEDULE OF INVESTMENTS | 39

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 7,400 PrivateBancorp, Inc. $ 66,378
 6,200 Prosperity Bancshares, Inc. 250,914
 500 Provident Financial Holdings, Inc. 1,380
 6,689 Provident Financial Services, Inc. 71,238
 4,803 Provident New York Bancorp 40,537
 1,400 Prudential Bancorp, Inc. of Pennsylvania 13,328
 1,000 Pulaski Financial Corp. 6,700
 2,475 Renasant Corp. 33,660
 1,448 Republic Bancorp, Inc., Class A 29,829
 1,946 Republic First Bancorp, Inc.(a) 8,309
 200 Riverview Bancorp, Inc.(a) 446
 1,300 Rockville Financial, Inc. 13,650
 5,100 Rodman & Renshaw Capital Group, Inc.(a) 20,910
 900 Roma Financial Corp. 11,124
 2,000 Rome Bancorp, Inc. 15,920
 785 Royal Bancshares of Pennsylvania, Class A(a) 1,021
 3,000 S&T Bancorp, Inc.(b) 51,030
 1,200 SCBT Financial Corp. 33,228
 5,205 SVB Financial Group(a) 216,996
 1,310 SY Bancorp, Inc. 27,969
 2,050 Sandy Spring Bancorp, Inc. 18,225
 703 Santander BanCorp(a) 8,633
 188 Savannah Bancorp, Inc. 1,504
 2,970 Seacoast Banking Corp. of Florida 4,841
 850 Shore Bancshares, Inc. 12,291
 800 Sierra Bancorp 6,104
 5,600 Signature Bank(a) 178,640
 2,800 Simmons First National Corp., Class A 77,840
 1,100 Smithtown Bancorp, Inc. 6,545
 47,455 The South Financial Group, Inc. 30,594
 1,735 Southside Bancshares, Inc. 34,041
 2,200 Southwest Bancorp, Inc. 15,268
 132 Southwest Georgia Financial Corp. 1,167
 1,425 State Bancorp, Inc. 10,132
 2,425 StellarOne Corp. 24,153
 2,605 Sterling Bancorp 18,600
 14,125 Sterling Bancshares, Inc. 72,461
 12,643 Sterling Financial Corp.(a),(b) 7,839
 1,200 Suffolk Bancorp 35,640
 500 Summit Financial Group, Inc. 1,925
 2,109 Sun Bancorp, Inc.(a) 7,909
 250 Superior Bancorp(a) 823
 14,200 Susquehanna Bancshares, Inc. 83,638
 56,890 Synovus Financial Corp.(b) 116,625
 16,090 TCF Financial Corp. 219,146
 100 TF Financial Corp. 1,897
 10,500 TFS Financial Corp. 127,470
 200 Teche Holding Co. 6,342
 5,600 Texas Capital Bancshares, Inc.(a) 78,176
 1,100 TierOne Corp.(a) 770
 832 Tompkins Trustco, Inc. 33,696
 600 Tower Bancorp, Inc. 13,710
 2,600 Towne Bank(b) 30,368
 1,600 Trico Bancshares 26,640
 8,360 TrustCo Bank Corp. NY 52,668
 7,500 Trustmark Corp. 169,050
 3,420 UMB Financial Corp. 134,577
 12,566 Umpqua Holdings Corp. 168,510
 1,450 Union Bankshares Corp. 17,966
 336 United Bancorp, Inc. 2,866
 6,500 United Bankshares, Inc.(b) 129,805
 10,080 United Community Banks, Inc.(a) 34,171
 1,678 United Community Financial Corp.(a) 2,433

40 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,100 United Financial Bancorp, Inc. $ 14,421
 208 United Security Bancshares(a) 911
 1,600 United Western Bancorp, Inc. 4,416
 1,400 Univest Corp. of Pennsylvania 24,542
 17,922 Valley National Bancorp(b) 253,238
 2,100 ViewPoint Financial Group 30,261
 3,080 Virginia Commerce Bancorp(a) 11,488
 205 W Holding Co., Inc.(b) 4,695
 900 WSFS Financial Corp. 23,067
 200 WVS Financial Corp. 2,850
 4,100 Washington Banking Co. 48,954
 14,421 Washington Federal, Inc. 278,902
 1,300 Washington Trust Bancorp, Inc. 20,254
 600 Waterstone Financial, Inc.(a) 1,230
 151 Wayne Savings Bancshares, Inc. 877
 8,973 Webster Financial Corp. 106,510
 2,789 WesBanco, Inc. 34,416
 840 West Bancorp., Inc. 4,141
 2,200 West Coast Bancorp 4,620
 3,800 Westamerica Bancorp. 210,406
 6,400 Western Alliance Bancorp(a) 24,192
 4,000 Westfield Financial, Inc. 33,000
 13,925 Whitney Holding Corp. 126,857
 9,200 Wilmington Trust Corp. 113,528
 4,000 Wilshire Bancorp, Inc. 32,760
 3,550 Wintrust Financial Corp. 109,305
 1,200 Yardkin Valley Financial Corp. 4,392
 ------------
 12,997,114
 ------------
BEVERAGES - 0.3%
 1,300 Boston Beer Co., Inc., Class A(a) 60,580
 7,293 Central European Distribution Corp.(a) 207,194
 400 Coca-Cola Bottling Co. Consolidated 21,608
 8,800 Hansen Natural Corp.(a) 337,920
 6,000 Jamba, Inc.(a) 10,080
 4,200 Jones Soda Co.(a) 1,806
 2,160 National Beverage Corp. 29,938
 6,427 PepsiAmericas, Inc. 188,054
 1,000 Reddy Ice Holdings, Inc.(a) 4,290
 800 Willamette Valley Vineyards, Inc.(a) 2,600
 ------------
 864,070
 ------------
CHEMICALS - 2.4%
 7,025 Aceto Corp. 36,179
 11,000 Albemarle Corp. 400,070
 1,300 American Vanguard Corp. 10,790
 2,700 Arch Chemicals, Inc. 83,376
 8,100 Ashland, Inc. 320,922
 2,000 Balchem Corp. 67,020
 5,300 Cabot Corp. 139,019
 8,000 Calgon Carbon Corp.(a) 111,200
 3,100 Cambrex Corp.(a) 17,298
 17,000 Celanese Corp., Series A 545,700
 5,100 Cytec Industries, Inc. 185,742
 10,950 Ferro Corp. 90,228
 256 Georgia Gulf Corp.(a) 4,449
 5,300 H.B. Fuller Co. 120,575
 6,800 Hammond Industries, Inc.(a) 374
 1,900 Hawkins, Inc. 41,477
 22,000 Huntsman Corp. 248,380
 5,700 ICO, Inc. 41,667
 1,300 Innophos Holdings, Inc. 29,887
 1,850 KMG Chemicals, Inc. 27,658
 2,200 Koppers Holdings, Inc. 66,968
 482 Kronos Worldwide, Inc. 7,833
 3,500 LSB Industries, Inc.(a) 49,350

SCHEDULE OF INVESTMENTS | 41

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 8,215 Lubrizol Corp. $ 599,284
 900 Material Sciences Corp.(a) 1,593
 2,500 Metabolix, Inc.(a) 27,675
 2,100 Minerals Technologies, Inc. 114,387
 17,900 The Mosaic Co. 1,069,167
 900 NL Industries, Inc. 6,246
 3,000 Nanophase Technologies Corp.(a) 2,613
 1,520 NewMarket Corp. 174,450
 3,800 OM Group, Inc.(a) 119,282
 8,792 Olin Corp. 154,036
 3,000 Omnova Solutions, Inc.(a) 18,390
 2,100 Penford Corp. 18,249
 9,500 PolyOne Corp.(a) 70,965
 2,100 Polypore International, Inc.(a) 24,990
 2,100 Quaker Chemical Corp. 43,344
 13,700 RPM International, Inc. 278,521
 30,300 Rentech, Inc.(a) 37,269
 5,200 Rockwood Holdings, Inc.(a) 122,512
 4,000 Schulman A, Inc. 80,720
 3,400 Senomyx, Inc.(a) 12,818
 5,000 Sensient Technologies Corp. 131,500
 15,097 Solutia, Inc.(a) 191,732
 3,400 Spartech Corp. 34,884
 1,300 Stepan Co. 84,253
 1,300 TOR Minerals International, Inc.(a) 722
 10,900 Terra Industries, Inc. 350,871
 2,500 Tredegar Corp. 39,550
 1,240 Valhi, Inc. 17,323
 6,500 W.R. Grace & Co.(a) 164,775
 2,100 Westlake Chemical Corp. 52,353
 1,600 Zagg, Inc.(a) 6,272
 1,500 Zep, Inc. 25,980
 3,100 Zoltek Cos., Inc.(a),(b) 29,450
 ------------
 6,752,338
 ------------
CONSTRUCTION & MATERIALS - 2.1%
 3,500 A.O. Smith Corp. 151,865
 1,550 Aaon, Inc. 30,209
 4,500 Acuity Brands, Inc. 160,380
 7,600 Advanced Environmental Recycling Technologies, Inc., Class A(a) 2,432
 200 American Biltrite, Inc.(a) 360
 2,000 American DG Energy, Inc.(a) 5,880
 1,000 American Woodmark Corp. 19,680
 1,400 Ameron International Corp. 88,844
 3,100 Apogee Enterprises, Inc. 43,400
 900 Argan, Inc.(a) 12,951
 1,800 Armstrong World Industries, Inc.(a) 70,074
 102 Baran Group Ltd.(a) 816
 2,000 BlueLinx Holdings, Inc.(a) 5,540
 1,900 Builders FirstSource, Inc.(a) 7,315
 7,200 EMCOR Group, Inc.(a) 193,680
 5,020 Eagle Materials, Inc. 130,771
 3,400 Gibraltar Industries, Inc. 53,482
 4,650 Granite Construction, Inc. 156,519
 6,000 Great Lakes Dredge & Dock Corp. 38,880
 5,628 Griffon Corp.(a) 68,774
 7,500 Headwaters, Inc.(a) 48,900
 3,400 Hill International, Inc.(a) 21,216
 3,900 Insituform Technologies, Inc., Class A(a) 88,608
 1,900 Insteel Industries, Inc. 24,700
 1,500 Integrated Electrical Services, Inc.(a) 8,775
 19,200 KBR, Inc. 364,800
 1,400 L.B. Foster Co., Class A(a) 41,734
 2,100 Layne Christensen Co.(a) 60,291
 6,200 Lennox International, Inc. 242,048
 15,541 Louisiana-Pacific Corp.(a) 108,476

42 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 19,025 MDU Resources Group, Inc. $ 448,990
 3,200 MYR Group, Inc.(a) 57,856
 4,900 Martin Marietta Materials, Inc. 438,109
 27,500 McDermott International, Inc.(a) 660,275
 14,400 Mueller Water Products, Inc., Series A 74,880
 6,200 NCI Building Systems, Inc.(a) 11,222
 1,200 Northwest Pipe Co.(a) 32,232
 500 Omega Flex, Inc. 7,000
 2,400 Orion Marine Group, Inc.(a) 50,544
 11,500 Owens Corning, Inc.(a) 294,860
 625 PGT, Inc.(a) 1,313
 2,700 Pike Electric Corp.(a) 25,056
 3,350 Quanex Building Products Corp. 56,850
 1,000 Quixote Corp.(a) 6,370
 9,900 Shaw Group, Inc.(a) 284,625
 4,100 Simpson Manufacturing Co., Inc. 110,249
 2,600 Sterling Construction Co., Inc.(a) 49,868
 800 TRC Cos., Inc.(a) 2,392
 2,800 Texas Industries, Inc. 97,972
 1,800 Trex Co., Inc.(a),(b) 35,280
 3,200 Tutor Perini Corp.(a) 57,856
 5,600 U.S. Concrete, Inc.(a) 5,096
 7,400 USG Corp.(a),(b) 103,970
 2,000 Universal Forest Products, Inc. 73,620
 2,200 Valmont Industries, Inc. 172,590
 11,300 Valspar Corp. 306,682
 3,900 Watsco, Inc. 191,022
 3,200 Watts Water Technologies, Inc., Class A 98,944
 ------------
 6,007,123
 ------------
ELECTRICITY - 2.3%
 3,100 Allete, Inc. 101,308
 13,700 Alliant Energy Corp. 414,562
 4,000 Black Hills Corp. 106,520
 1,700 CH Energy Group, Inc. 72,284
 42,500 Calpine Corp.(a) 467,500
 1,600 Central Vermont Public Service Corp. 33,280
 6,300 Cleco Corp. 172,179
 15,680 Covanta Holding Corp.(a) 283,651
 14,935 DPL, Inc.(a) 412,206
 53,600 Dynegy, Inc., Class A(a) 97,016
 5,500 El Paso Electric Co.(a) 111,540
 5,800 The Empire District Electric Co. 108,634
 16,612 Great Plains Energy, Inc. 322,107
 11,720 Hawaiian Electric Industries, Inc. 244,948
 4,800 IDACORP, Inc. 153,360
 6,800 ITC Holdings Corp. 354,212
 2,400 MGE Energy, Inc. 85,776
 17,500 Mirant Corp.(a) 267,225
 30,460 NRG Energy, Inc.(a) 719,161
 11,700 NSTAR 430,560
 26,900 NV Energy, Inc. 333,022
 4,200 NorthWestern Corp. 109,284
 2,000 Ormat Technologies, Inc. 75,680
 9,800 Portland General Electric Co. 200,018
 46,600 RRI Energy, Inc.(a) 266,552
 396 Renegy Holdings, Inc.(a) 546
 2,733 UIL Holdings Corp. 76,743
 17,000 U.S. Geothermal, Inc.(a) 26,010
 5,100 Unisource Energy Corp. 164,169
 900 Unitil Corp. 20,682
 13,325 Westar Energy, Inc. 289,419
 ------------
 6,520,154
 ------------
ELECTRONIC & ELECTRICAL EQUIPMENT - 3.2%
 4,300 A123 Systems, Inc.(a),(b) 96,492
 5,300 AVX Corp. 67,151
 1,400 AZZ, Inc.(a) 45,780
 3,500 Active Power, Inc.(a) 3,850
 3,700 ActivIdentity Corp.(a) 8,695
 40 Adept Technology, Inc.(a) 135

SCHEDULE OF INVESTMENTS | 43

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 10,600 Advanced Battery Technologies, Inc.(a),(b) $ 42,400
 115 Allied Motion Technologies, Inc.(a) 289
 8,900 Altair Nanotechnologies, Inc.(a),(b) 7,831
 1,400 American Science & Engineering, Inc. 106,176
 5,400 American Superconductor Corp.(a),(b) 220,860
 12,600 Ametek, Inc. 481,824
 1,700 Anaren, Inc.(a) 25,585
 4,200 Anixter International, Inc.(a) 197,820
 13,000 Arrow Electronics, Inc.(a) 384,930
 16,764 Avnet, Inc.(a) 505,602
 2,400 Badger Meter, Inc. 95,568
 4,600 Baldor Electric Co. 129,214
 7,730 Beacon Power Corp.(a) 3,823
 600 Bel Fuse, Inc. 12,894
 5,100 Belden, Inc. 111,792
 7,184 Benchmark Electronics, Inc.(a) 135,849
 5,200 Brady Corp. 156,052
 2,800 C&D Technologies, Inc.(a),(b) 4,340
 4,000 CTS Corp. 38,480
 35,200 Capstone Turbine Corp.(a),(b) 45,408
 4,300 Checkpoint Systems, Inc.(a) 65,575
 6,900 Cogent, Inc.(a) 71,691
 4,085 Cognex Corp. 72,386
 2,500 Coherent, Inc.(a) 74,325
 2,300 Coleman Cable, Inc.(a) 7,567
 10,216 CommScope, Inc.(a) 271,030
 4,500 Comverge, Inc.(a) 50,580
 1,100 Cyberoptics Corp.(a) 7,381
 3,627 DDi Corp.(a) 17,736
 4,200 Daktronics, Inc. 38,682
 588 Digital Angel Corp.(a) 447
 2,000 Dionex Corp.(a) 147,740
 2,800 ESCO Technologies, Inc. 100,380
 3,800 Echelon Corp.(a) 43,928
 1,000 Electro Rent Corp. 11,540
 3,400 Electro Scientific Industries, Inc.(a) 36,788
 2,527 Encore Wire Corp. 53,244
 2,600 EnerNOC, Inc.(a) 79,014
 5,500 EnerSys(a) 120,285
 4,100 FEI Co.(a) 95,776
 2,200 Faro Technologies, Inc.(a) 47,168
 7,000 General Cable Corp.(a) 205,940
 13,100 GrafTech International Ltd.(a) 203,705
 2,800 Greatbatch, Inc.(a) 53,844
 2,400 Houston Wire & Cable Co. 28,560
 5,900 Hubbell, Inc., Class B 279,070
 2,800 II-VI, Inc.(a) 89,040
 3,000 IPG Photonics Corp.(a) 50,220
 2,400 Intevac, Inc.(a) 27,528
 500 IntriCon Corp.(a) 1,515
 4,900 Itron, Inc.(a) 331,093
 1,200 Keithley Instruments, Inc. 5,580
 8,851 L-1 Identity Solutions, Inc.(a) 66,294
 2,950 LSI Industries, Inc. 23,246
 1,100 LaBarge, Inc.(a) 13,255
 1,000 Landauer, Inc. 61,400
 900 LeCroy Corp.(a) 3,285
 100 Lightpath Technologies, Inc., Class A(a) 169
 700 Lime Energy Co.(a) 3,094
 2,370 Littelfuse, Inc.(a) 76,195
 1,900 MTS Systems Corp. 54,606
 450 Mace Security International, Inc.(a) 527
 1,700 Magnetek, Inc.(a) 2,618
 2,900 Maxwell Technologies, Inc.(a) 51,736
 1,500 Measurement Specialties, Inc.(a) 15,075
 2,700 Merix Corp.(a) 6,615
 4,300 Methode Electronics, Inc. 37,324
 4,100 Mettler Toledo International, Inc.(a) 430,459

44 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 7,600 Microvision, Inc.(a),(b) $ 24,092
 1,100 Multi-Fineline Electronix, Inc.(a) 31,207
 2,900 NU Horizons Electronics Corp.(a) 11,948
 900 NVE Corp.(a) 37,179
 3,700 Napco Security Technologies, Inc.(a) 6,179
 6,300 National Instruments Corp. 185,535
 4,700 Newport Corp.(a) 43,193
 2,200 OSI Systems, Inc.(a) 60,016
 2,600 Orion Energy Systems, Inc.(a) 11,414
 2,050 Park Electrochemical Corp. 56,662
 900 Planar Systems, Inc.(a) 2,565
 4,300 Plexus Corp.(a) 122,550
 1,100 Powell Industries, Inc.(a) 34,683
 8,800 Power-One, Inc.(a) 38,280
 14,400 Powerwave Technologies, Inc.(a) 18,144
 4,705 Regal-Beloit Corp. 244,378
 2,900 Research Frontiers, Inc.(a),(b) 10,991
 800 Richardson Electronics Ltd. 4,696
 3,200 Rofin-Sinar Technologies, Inc.(a) 75,552
 2,000 Rogers Corp.(a) 60,620
 1,600 Rubicon Technology, Inc.(a) 32,496
 9,433 Sanmina-SCI Corp.(a) 104,046
 5,900 SatCon Technology Corp.(a) 16,638
 400 Servotronics, Inc. 3,760
 154 Sielox, Inc.(a) 7
 1,200 Sigmatron International, Inc.(a) 6,000
 1,000 Spectrum Control, Inc.(a) 9,470
 100 StockerYale, Inc.(a) 8
 700 Synthesis Energy Systems, Inc.(a) 650
 6,900 TTM Technologies, Inc.(a) 79,557
 4,500 Technitrol, Inc. 19,710
 1,500 Technology Research Corp. 5,400
 6,265 Thomas & Betts Corp.(a) 224,224
 800 Tollgrade Communications, Inc.(a) 4,888
 12,934 Trimble Navigation Ltd.(a) 325,937
 1,200 UQM Technologies, Inc.(a) 8,220
 2,200 Ultralife Batteries, Inc.(a) 9,504
 3,500 Universal Display Corp.(a) 43,260
 10,100 Valence Technology, Inc.(a) 9,191
 5,190 Veeco Instruments, Inc.(a) 171,478
 3,800 Vicor Corp.(a) 35,340
 18,061 Vishay Intertechnology, Inc.(a) 150,809
 5,700 WESCO International, Inc.(a) 153,957
 1,100 X-Rite, Inc.(a) 2,398
 6,717 Zebra Technologies Corp., Class A(a) 190,494
 1,700 Zygo Corp.(a) 11,441
 ------------
 9,162,863
 ------------
FINANCIAL SERVICES - 3.2%
 5,500 Advance America, Cash Advance Centers, Inc. 30,580
 5,200 Affiliated Managers Group, Inc.(a) 350,220
 800 American Physicians Service Group, Inc. 18,456
 6,750 AmeriCredit Corp.(a),(b) 128,520
 1,200 Ampal-American Israel Corp., Class A(a) 3,240
 2,200 Artio Global Investors, Inc.(a) 56,078
 2,100 Asset Acceptance Capital Corp.(a) 14,238
 1,600 Asta Funding, Inc. 11,344
 4,100 BGC Partners, Inc. 18,942
 5,200 BlackRock, Inc.(d) 1,207,440

SCHEDULE OF INVESTMENTS | 45

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 6,000 Broadpoint Gleacher Securities, Inc.(a) $ 26,760
 25,400 CIT Group, Inc.(a) 701,294
 2,200 Calamos Asset Management, Inc., Class A 25,366
 3,200 Cash America International, Inc. 111,872
 179 Cohen & Co., Inc.(a) 877
 1,900 Cohen & Steers, Inc. 43,396
 5,400 CompuCredit Holdings Corp.(b) 17,982
 2,400 Cowen Group, Inc., Class A(a) 14,208
 281 Credit Acceptance Corp.(a) 11,830
 354 Deerfield Capital Corp.(a) 1,628
 300 Diamond Hill Investments Group 19,269
 2,600 Dollar Financial Corp.(a) 61,516
 2,000 Duff & Phelps Corp. 36,520
 12,700 Eaton Vance Corp. 386,207
 1,600 Encore Capital Group, Inc.(a) 27,840
 2,300 Epoch Holding Corp. 24,035
 1,300 Evercore Partners, Inc., Class A 39,520
 6,700 Ezcorp, Inc.(a) 115,307
 900 The FINOVA Group, Inc.(a) -
 139,800 Fannie Mae(a),(b) 164,964
 2,800 Federal Agricultural Mortgage Corp., Class B 19,628
 27,464 Fidelity National Title Group, Inc., Class A 369,665
 3,000 Financial Federal Corp. 82,500
 4,300 First Cash Financial Services, Inc.(a) 95,417
 6,200 The First Marblehead Corp.(a) 13,206
 83,700 Freddie Mac(a),(b) 123,039
 700 GAMCO Investors, Inc., Class A 33,803
 6,400 GFI Group, Inc. 29,248
 20,600 GLG Partners, Inc.(a),(b) 66,332
 3,000 Greenhill & Co., Inc. 240,720
 4,700 Interactive Brokers Group, Inc., Class A(a) 83,284
 2,330 International Assets Holding Corp., Inc.(a) 33,878
 1,000 Intersections, Inc.(a) 4,900
 6,400 Investment Technology Group, Inc.(a) 126,080
 3,400 JMP Group, Inc. 33,048
 12,300 Jefferies Group, Inc., New Shares(a) 291,879
 3,400 KBW, Inc.(a) 93,024
 12,800 Knight Capital Group, Inc., Class A(a) 197,120
 12,700 LaBranche & Co., Inc.(a) 36,068
 5,581 Ladenburg Thalmann Financial Services, Inc.(a) 3,572
 14,600 MF Global Ltd.(a) 101,470
 18,000 MGIC Investment Corp.(a),(b) 104,040
 11,300 MSCI, Inc.(a) 359,340
 1,900 MarketAxess Holdings, Inc. 26,410
 2,800 Marlin Business Services, Inc.(a) 22,204
 2,800 Medallion Financial Corp. 22,876
 900 Merriman Curhan Ford Group, Inc.(a) 792
 500 MicroFinancial, Inc. 1,545
 5,000 MoneyGram International, Inc.(a) 14,400
 4,200 National Financial Partners Corp.(a) 33,978
 3,500 Nelnet, Inc., Class A 60,305
 2,900 NewStar Financial, Inc.(a) 11,368
 10,000 Ocwen Financial Corp.(a) 95,700
 5,400 optionsXpress Holdings, Inc. 83,430
 17,600 The PMI Group, Inc. 44,352

46 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,700 Penson Worldwide, Inc.(a) $ 24,462
 2,000 Pico Holdings, Inc.(a) 65,460
 2,845 Piper Jaffray Cos.(a) 143,985
 1,700 Portfolio Recovery Associates, Inc.(a) 76,296
 3,200 Primus Guaranty Ltd.(a) 9,760
 870 Pzena Investment Management, Inc., Class A(a) 7,082
 12,144 Radian Group, Inc. 88,773
 11,350 Raymond James Financial, Inc.(b) 269,790
 1,000 Resource America, Inc., Class A 4,040
 966 Rewards Network, Inc. 12,210
 16,820 SEI Investments Co. 294,686
 6,065 SWS Group, Inc. 73,387
 2,233 Safeguard Scientifics, Inc.(a) 23,022
 3,800 Sanders Morris Harris Group, Inc. 20,900
 3,300 Siebert Financial Corp.(a) 7,623
 3,700 Stewart Information Services Corp. 41,736
 3,200 Stifel Financial Corp.(a) 189,568
 420 Student Loan Corp. 19,559
 27,630 TD Ameritrade Holding Corp.(a) 535,469
 10 Teton Advisors, Inc. 160
 2,800 Thomas Weisel Partners Group, Inc.(a) 10,584
 4,200 TradeStation Group, Inc.(a) 33,138
 1,743 Tree.com, Inc.(a) 15,948
 2,900 Triad Guaranty, Inc.(a),(b) 783
 1,600 U.S. Global Investors, Inc. 19,696
 435 Virtus Investment Partners, Inc.(a) 6,917
 10,500 Waddell & Reed Financial, Inc., Class A 320,670
 700 Westwood Holdings Group, Inc. 25,438
 200 Wilhelmina International, Inc.(a) 18
 2,400 World Acceptance Corp.(a),(b) 85,992
 ------------
 9,055,222
 ------------
FIXED LINE TELECOMMUNICATIONS - 0.7%
 7,300 8x8, Inc.(a) 11,023
 75 ATSI Communications, Inc.(a) 3
 2,800 AboveNet, Inc.(a) 182,112
 8,300 Alaska Communications Systems Group, Inc. 66,234
 4,700 Arbinet-Thexchange, Inc.(a) 11,656
 4,500 Cbeyond Communications, Inc.(a) 70,875
 22,800 Cincinnati Bell, Inc.(a) 78,660
 4,484 Consolidated Communications Holdings, Inc. 78,470
 3,400 General Communication, Inc., Class A(a) 21,692
 2,595 Global Crossing Ltd.(a) 36,979
 800 HickoryTech Corp. 7,064
 1,533 IDT Corp., Class B(a) 7,435
 5,600 Iowa Telecommunications Services, Inc. 93,856
 186,488 Level 3 Communications, Inc.(a),(b) 285,327
 300 NET2000 Communications, Inc.(a) -
 18,000 PAETEC Holding Corp.(a) 74,700
 29,100 Primus Telecommunications Escrow(a) -
 4,500 RCN Corp.(a) 48,825
 800 SureWest Communications(a) 7,968
 19,200 TW Telecom, Inc.(a) 329,088
 35,655 Virgin Media, Inc. 600,074
 17,500 Vonage Holdings Corp.(a),(b) 24,500
 1,500 Warwick Valley Telephone Co. 19,575
 ------------
 2,056,116
 ------------

SCHEDULE OF INVESTMENTS | 47

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

FOOD & DRUG RETAILERS - 0.5%
 3,200 Allion Healthcare, Inc.(a) $ 20,992
 200 Arden Group, Inc., Class A 19,124
 7,000 Casey's General Stores, Inc. 223,440
 1,100 Core-Mark Holdings Co., Inc.(a) 36,256
 500 Dairy Mart Convenience Stores, Inc.(a) -
 3,400 drugstore.com, Inc.(a) 10,506
 3,920 The Great Atlantic & Pacific Tea Co., Inc.(a) 46,217
 1,800 Ingles Markets, Inc., Class A 27,234
 1,520 Nash Finch Co. 56,377
 12,700 Omnicare, Inc. 307,086
 4,400 The Pantry, Inc.(a) 59,796
 4,100 PetMed Express, Inc.(b) 72,283
 64,500 Rite Aid Corp.(a) 97,395
 5,700 Ruddick Corp. 146,661
 2,700 Spartan Stores, Inc. 38,583
 4,300 United Natural Foods, Inc.(a) 114,982
 100 Village Super Market, Inc., Class A 2,732
 1,100 Vitamin Shoppe, Inc.(a) 24,464
 1,200 Weis Markets, Inc. 43,632
 5,700 Winn-Dixie Stores, Inc.(a) 57,228
 ------------
 1,404,988
 ------------
FOOD PRODUCERS - 2.0%
 400 Alico, Inc. 11,384
 3,000 American Italian Pasta Co., Class A(a) 104,370
 2,600 The Andersons, Inc. 67,132
 5,500 B&G Foods, Inc., Class A 50,490
 500 Bridgford Foods Corp. 5,600
 15,400 Bunge Ltd.(b) 982,982
 200 Cagle's, Inc., Class A(a) 720
 1,500 Cal-Maine Foods, Inc. 51,120
 1,300 Calavo Growers, Inc. 22,100
 4,902 Chiquita Brands International, Inc.(a) 88,432
 7,900 Corn Products International, Inc. 230,917
 8,900 Darling International, Inc.(a) 74,582
 25,300 Del Monte Foods Co. 286,902
 2,600 Diamond Foods, Inc. 92,404
 4,300 Dole Food Co., Inc.(a),(b) 53,363
 700 Farmer Bros. Co. 13,818
 9,018 Flowers Foods, Inc. 214,268
 4,700 Fresh Del Monte Produce, Inc.(a) 103,870
 600 Golden Enterprises, Inc. 2,154
 5,100 Green Mountain Coffee Roasters, Inc.(a),(b) 415,497
 600 Griffin Land & Nurseries, Inc. 17,478
 1,200 HQ Sustainable Maritime Industries, Inc.(a) 8,448
 5,939 Hain Celestial Group, Inc.(a) 101,022
 800 Harbinger Group, Inc.(a) 5,616
 7,400 Herbalife Ltd. 300,218
 2,612 Imperial Sugar Co., New Shares 45,553
 1,900 J&J Snack Foods Corp. 75,924
 700 John B. Sanfilippo & Son, Inc.(a) 10,892
 2,400 Lancaster Colony Corp. 119,280
 3,500 Lance, Inc. 92,050
 1,500 Lifeway Foods, Inc.(a) 17,820
 2,900 MGP Ingredients, Inc.(a) 22,185
 3,100 Mannatech, Inc. 9,672
 5,300 Martek Biosciences Corp.(a) 100,382
 2,100 Medifast, Inc.(a) 64,218
 6,000 NBTY, Inc.(a) 261,240
 900 Natures Sunshine Products, Inc. 7,686
 6,400 Nu Skin Enterprises, Inc., Class A 171,968
 1,400 Nutraceutical International Corp.(a) 17,318

48 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 4,300 Nutri/System, Inc.(b) $ 134,031
 1,400 Omega Protein Corp.(a) 6,104
 6,832 Ralcorp Holdings, Inc.(a) 407,939
 1,600 Reliv International, Inc. 5,248
 1,495 Rocky Mountain Chocolate Factory, Inc. 12,110
 2,750 Sanderson Farms, Inc. 115,940
 4,000 Schiff Nutrition International, Inc. 31,280
 40 Seaboard Corp. 53,960
 200 Seneca Foods Corp.(a) 4,774
 6,900 Smart Balance, Inc.(a) 41,400
 18,858 Smithfield Foods, Inc.(a) 286,453
 400 Tasty Baking Co. 2,692
 2,215 Tootsie Roll Industries, Inc. 60,647
 3,512 TreeHouse Foods, Inc.(a) 136,476
 1,100 USANA Health Sciences, Inc.(a) 35,090
 ------------
 5,655,219
 ------------
FORESTRY & PAPER - 0.2%
 2,500 Boise, Inc.(a) 13,275
 1,500 Brookfield Infrastructure Partners LP 25,155
 4,300 Buckeye Technologies, Inc.(a) 41,968
 1,274 Clearwater Paper Corp.(a) 70,032
 1,400 Deltic Timber Corp. 64,652
 4,808 Domtar Corp.(a) 266,411
 4,600 Kapstone Paper and Packaging Corp.(a) 45,310
 4 MAXXAM, Inc.(a) 9,810
 2,900 Neenah Paper, Inc. 40,455
 4,900 P.H. Glatfelter Co. 59,535
 2,900 Verso Paper Corp. 7,569
 5,400 Wausau Paper Corp. 62,640
 ------------
 706,812
 ------------
GAS, WATER & MULTIUTILITIES - 1.5%
 8,200 AGL Resources, Inc.(c) 299,054
 1,950 American States Water Co. 69,050
 12,210 American Water Works Co., Inc. 273,626
 17,317 Aqua America, Inc.(b) 303,221
 225 Artesian Resources Corp., Class A 4,120
 10,700 Atmos Energy Corp. 314,580
 6,000 Avista Corp. 129,540
 2,000 Cadiz, Inc.(a) 23,940
 2,300 California Water Service Group 84,686
 1,280 Chesapeake Utilities Corp. 41,024
 1,000 Connecticut Water Service, Inc. 24,770
 100 Delta Natural Gas Co., Inc. 2,861
 300 Energy, Inc. 3,090
 3,100 The Laclede Group, Inc. 104,687
 1,366 Middlesex Water Co. 24,083
 8,050 National Fuel Gas Co. 402,500
 5,560 New Jersey Resources Corp. 207,944
 2,900 Northwest Natural Gas Co. 130,616
 10,790 Oneok, Inc. 480,910
 11,000 PNM Resources, Inc. 139,150
 1,777 Pennichuck Corp. 37,548
 8,900 Piedmont Natural Gas Co. 238,075
 100 RGC Resources, Inc. 2,955
 1,400 SJW Corp. 31,598
 4,100 South Jersey Industries, Inc. 156,538
 4,800 Southwest Gas Corp. 136,944
 5,671 Southwest Water Co. 33,402
 11,460 UGI Corp. 277,217
 8,600 Vectren Corp. 212,248
 5,700 WGL Holdings, Inc. 191,178
 ------------
 4,381,155
 ------------
GENERAL INDUSTRIALS - 1.2%
 1,000 AEP Industries, Inc.(a) 38,280
 6,700 Actuant Corp., Class A 124,151
 3,400 American International Industries, Inc.(a) 4,386
 6,600 AptarGroup, Inc. 235,884

SCHEDULE OF INVESTMENTS | 49

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 600 Bway Holding Co.(a) $ 11,532
 7,000 Carlisle Cos., Inc. 239,820
 1,900 Colfax Corp.(a) 22,876
 18,700 Crown Holdings, Inc.(a) 478,346
 8,800 Graphic Packaging Holding Co.(a) 30,536
 3,600 Greif, Inc. 194,328
 8,900 Harsco Corp. 286,847
 3,800 Landec Corp.(a) 23,712
 1,300 Multi-Color Corp. 15,873
 2,120 Myers Industries, Inc. 19,292
 3,500 Otter Tail Corp. 86,800
 10,900 Packaging Corp. of America 250,809
 1,900 Raven Industries, Inc. 60,363
 4,900 Rock-Tenn Co., Class A 247,009
 2,900 Silgan Holdings, Inc. 167,852
 10,700 Sonoco Products Co. 312,975
 4,200 Teleflex, Inc. 226,338
 13,400 Temple-Inland, Inc. 282,874
 3,600 Trimas Corp.(a) 24,372
 ------------
 3,385,255
 ------------
GENERAL RETAILERS - 5.0%
 4,470 1-800-FLOWERS.COM, Inc., Class A(a) 11,846
 3,866 99 Cents Only Stores(a) 50,529
 3,100 A.C. Moore Arts & Crafts, Inc.(a) 9,114
 5,275 Aaron's, Inc.(c) 146,276
 11,100 Advance Auto Parts, Inc.(c) 449,328
 8,425 Aeropostale, Inc.(a) 286,871
 800 Amerco, Inc.(a) 39,776
 1,650 America's Car Mart, Inc.(a) 43,445
 19,165 American Eagle Outfitters, Inc. 325,422
 3,000 American Public Education, Inc.(a) 103,080
 900 Ancestry.com, Inc.(a) 12,609
 7,775 AnnTaylor Stores Corp.(a) 106,051
 4,600 Asbury Automotive Group, Inc.(a) 53,038
 8,000 Autobytel, Inc.(a) 8,000
 7,100 BJ's Wholesale Club, Inc.(a) 232,241
 5,600 Barnes & Noble, Inc.(b) 106,792
 6,900 Beacon Roofing Supply, Inc.(a) 110,400
 3,150 bebe Stores, Inc. 19,751
 700 Bidz.com, Inc.(a) 1,400
 3,100 Big 5 Sporting Goods Corp. 53,258
 42,600 Blockbuster, Inc., Class A(a),(b) 28,542
 1,600 Blue Nile, Inc.(a) 101,328
 3,000 The Bon-Ton Stores, Inc. 29,430
 1,200 Books-A-Million, Inc. 8,064
 6,200 Borders Group, Inc.(a) 7,316
 1,200 Bridgepoint Education, Inc.(a) 18,024
 4,700 Brown Shoe Co., Inc. 46,389
 3,725 The Buckle, Inc.(b) 109,068
 1,500 Build-A-Bear Workshop, Inc.(a) 7,335
 1,200 CPI Corp. 14,736
 6,400 Cabela's, Inc., Class A(a),(b) 91,264
 2,300 Cache, Inc.(a) 10,511
 2,800 Cambium Learning Group, Inc.(a) 10,976
 1,900 Capella Education Co.(a) 143,070
 21,800 CarMax, Inc.(a) 528,650
 8,068 Career Education Corp.(a) 188,065
 3,100 Casual Male Retail Group, Inc.(a) 7,223
 4,150 The Cato Corp., Class A 83,249
 13,855 Charming Shoppes, Inc.(a) 89,642
 2,500 Chemed Corp. 119,925
 18,900 Chico's FAS, Inc.(a) 265,545
 3,005 The Children's Place Retail Stores, Inc.(a) 99,195
 2,238 Christopher & Banks Corp. 17,053

50 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,600 Citi Trends, Inc.(a) $ 44,192
 5,700 Clean Energy Fuels Corp.(a) 87,837
 7,470 Coldwater Creek, Inc.(a) 33,316
 6,400 Collective Brands, Inc.(a) 145,728
 1,870 Collectors Universe, Inc. 17,485
 800 Conn's, Inc.(a) 4,672
 7,950 Copart, Inc.(a) 291,208
 10,735 Corinthian Colleges, Inc.(a),(b) 147,821
 4,700 Cost Plus, Inc.(a) 4,794
 2,500 DSW, Inc., Class A(a) 64,700
 5,199 dELiA*s, Inc.(a) 9,722
 1,200 Destination Maternity Corp.(a) 22,800
 9,500 Dick's Sporting Goods, Inc.(a) 236,265
 7,700 Dillard's, Inc., Class A(b) 142,065
 4,100 Dollar General Corp.(a) 91,963
 10,905 Dollar Tree, Inc.(a) 526,712
 7,621 Dress Barn, Inc.(a) 176,045
 600 Ediets.Com, Inc.(a),(b) 780
 2,800 Education Management Corp.(a) 61,628
 4,947 The Finish Line, Inc., Class A 62,085
 16,500 Foot Locker, Inc. 183,810
 4,150 Fred's, Inc. 42,330
 6,300 GSI Commerce, Inc.(a) 159,957
 2,460 Gaiam, Inc.(a) 18,917
 3,600 Geeknet, Inc.(a) 4,284
 2,300 Genesco, Inc.(a) 63,158
 1,300 Grand Canyon Education, Inc.(a) 24,713
 3,600 Group 1 Automotive, Inc. 102,060
 6,300 Guess?, Inc. 266,490
 4,200 Gymboree Corp.(a) 182,658
 3,960 HSN, Inc.(a) 79,952
 2,100 Haverty Furniture Cos., Inc. 28,833
 4,618 Hibbett Sports, Inc.(a) 101,550
 6,945 Hillenbrand, Inc. 130,844
 8,450 Hot Topic, Inc.(a) 53,742
 4,610 ITT Educational Services, Inc.(a) 442,376
 1,300 Internet Brands, Inc., Class A(a) 10,179
 5,700 J. Crew Group, Inc.(a) 255,018
 6,100 Jackson Hewitt Tax Service, Inc. 26,840
 3,765 Jo-Ann Stores, Inc.(a) 136,444
 2,656 Jos. A. Bank Clothiers, Inc.(a) 112,057
 2,300 K12, Inc.(a) 46,621
 1,200 KAR Auction Services, Inc.(a) 16,548
 2,400 Kirkland's, Inc.(a) 41,688
 300 Lazare Kaplan International, Inc.(a) 750
 1,800 Learning Tree International, Inc.(a) 21,492
 2,900 Liquidity Services, Inc.(a) 29,203
 3,900 Lithia Motors, Inc., Class A 32,058
 2,200 Lumber Liquidators, Inc.(a) 58,960
 500 Mac-Gray Corp.(a) 5,150
 4,200 MarineMax, Inc.(a) 38,598
 3,200 Matthews International Corp., Class A 113,376
 4,700 Men's Wearhouse, Inc. 98,982
 2,200 Midas, Inc.(a) 18,590
 3,125 Monro Muffler, Inc. 104,500
 5,600 Navarre Corp.(a) 11,872
 6,020 NetFlix, Inc.(a),(b) 331,943
 2,600 New York & Co.(a) 11,154
 100 Nobel Learning Communities, Inc.(a) 759
 10,000 OfficeMax, Inc.(a) 126,900
 1,500 OpenTable, Inc.(a) 38,190
 1,300 Overstock.com, Inc.(a) 17,628
 2,100 PC Mall, Inc.(a) 10,962
 7,225 Pacific Sunwear of California, Inc.(a) 28,756
 4,200 Penske Auto Group, Inc. 63,756
 5,000 The Pep Boys - Manny, Moe & Jack 42,300

SCHEDULE OF INVESTMENTS | 51

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 4,900 Pet DRx Corp.(a) $ 1,175
 15,500 PetSmart, Inc. 413,695
 8,800 Pier 1 Imports, Inc.(a) 44,792
 1,430 Pre-Paid Legal Services, Inc.(a) 58,744
 1,950 PriceSmart, Inc. 39,858
 1,600 The Princeton Review, Inc.(a) 6,496
 2,600 The Providence Service Corp.(a) 41,080
 9,800 RealNetworks, Inc.(a) 36,358
 5,100 Regis Corp. 79,407
 7,000 Rent-A-Center, Inc.(a) 124,040
 2,200 Retail Ventures, Inc.(a) 19,558
 5,050 Rollins, Inc. 97,364
 800 Rue21, Inc.(a) 22,472
 3,850 Rush Enterprises, Inc., Class A(a) 45,777
 17,700 Saks, Inc.(a) 116,112
 8,470 Sally Beauty Co., Inc.(a) 64,796
 25,900 Service Corp. International 212,121
 2,800 Sharper Image Corp.(a) 126
 1,800 Shoe Carnival, Inc.(a) 36,846
 3,400 Shutterfly, Inc.(a) 60,554
 8,800 Signet Jewelers Ltd.(a) 235,136
 3,900 Sonic Automotive, Inc. 40,521
 7,400 Sotheby's Holdings, Inc., Class A 166,352
 3,300 Stage Stores, Inc. 40,788
 2,650 Stamps.com, Inc.(a) 23,850
 2,500 Standard Parking Corp.(a) 39,700
 4,100 Stein Mart, Inc.(a) 43,706
 10,200 Stewart Enterprises, Inc., Class A 52,530
 1,800 Strayer Education, Inc.(b) 382,482
 1,700 Susser Holdings Corp.(a) 14,603
 4,600 The Talbots, Inc.(b) 40,986
 3,860 Ticketmaster Entertainment(a) 47,169
 3,500 Titan Machinery, Inc.(a) 40,390
 4,700 Tractor Supply Co.(a) 248,912
 2,400 Trans World Entertainment Corp.(a) 3,624
 3,100 Tuesday Morning Corp.(a) 7,998
 3,857 Ulta Salon Cosmetics & Fragrance, Inc.(a) 70,043
 15,300 Urban Outfitters, Inc.(a) 535,347
 9,040 VCA Antech, Inc.(a) 225,277
 2,800 ValueVision Media, Inc., Class A(a) 13,440
 3,750 Weight Watchers International, Inc. 109,350
 1,600 West Marine, Inc.(a) 12,896
 9,275 The Wet Seal, Inc., Class A(a) 31,999
 12,100 Williams-Sonoma, Inc. 251,438
 600 Winmark Corp.(a) 13,230
 4,200 Zale Corp.(a) 11,424
 2,600 Zumiez, Inc.(a) 33,072
 ------------
 14,360,227
 ------------
HEALTH CARE EQUIPMENT & SERVICES - 5.5%
 1,600 AGA Medical Holdings, Inc.(a) 23,632
 7,200 AMERIGROUP Corp.(a) 194,112
 5,400 ATS Medical, Inc.(a) 17,442
 2,800 Abaxis, Inc.(a) 71,540
 3,700 Abiomed, Inc.(a) 32,338
 4,800 Accuray, Inc.(a) 26,928
 600 Addus HomeCare Corp.(a) 5,520
 1,476 AdvanSource Biomaterials Corp.(a) 413
 1,600 Air Methods Corp.(a) 53,792
 6,900 Align Technology, Inc.(a) 122,958
 3,300 Alliance Healthcare
 Services, Inc.(a) 18,843
 3,100 Allied Healthcare International, Inc.(a) 9,021
 1,500 Almost Family, Inc.(a) 59,295
 1,200 Alphatec Holdings, Inc.(a) 6,408
 3,767 Amedisys, Inc.(a),(b) 182,925
 1,200 America Service Group, Inc. 19,044
 7,900 American Medical Systems Holdings, Inc.(a) 152,391

52 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 3,500 Amsurg Corp.(a) $ 77,070
 1,500 Analogic Corp. 57,765
 2,590 AngioDynamics, Inc.(a) 41,647
 1,400 Anika Therapeutics, Inc.(a) 10,682
 3,100 Animal Health International, Inc.(a) 7,440
 1,760 Assisted Living Concepts, Inc.(a) 46,411
 200 Atrion Corp. 31,144
 8,000 Beckman Coulter, Inc. 523,520
 2,000 Bio-Rad Laboratories, Inc., Class A(a) 192,920
 2,100 Bio-Reference Labs, Inc.(a) 82,299
 1,000 BioForm Medical, Inc.(a) 3,400
 2,400 Biolase Technology, Inc.(a) 4,560
 6,596 Bioscript, Inc.(a) 55,142
 900 BioSphere Medical, Inc.(a) 2,466
 1,600 Bovie Medical Corp.(a) 12,496
 5,900 Brookdale Senior Living, Inc.(a) 107,321
 5,100 Bruker BioSciences Corp.(a) 61,506
 3,150 CONMED Corp.(a) 71,820
 7,200 Candela Corp.(a) 21,816
 2,600 Cantel Medical Corp. 52,468
 3,210 Cardiac Science Corp.(a) 7,158
 2,700 Cardica, Inc.(a) 3,132
 5,400 CardioNet, Inc.(a) 32,076
 3,800 Catalyst Health Solutions, Inc.(a) 138,586
 6,500 Centene Corp.(a) 137,605
 6,500 Cepheid, Inc.(a) 81,120
 1,450 Chindex International, Inc.(a) 20,489
 6,800 Clarient, Inc.(a) 18,020
 887 Clinical Data, Inc.(a) 16,197
 11,600 Community Health Systems, Inc.(a) 412,960
 2,900 Conceptus, Inc.(a) 54,404
 8,800 Contiucare Corp.(a) 38,456
 5,943 The Cooper Cos., Inc. 226,547
 1,200 Corvel Corp.(a) 40,248
 7,700 Covance, Inc.(a) 420,189
 1,900 Cryo-Cell International, Inc.(a) 3,382
 5,100 CryoLife, Inc.(a) 32,742
 900 Cutera, Inc.(a) 7,659
 4,000 Cyberonics, Inc.(a) 81,760
 2,200 Cynosure, Inc., Class A(a) 25,278
 700 Daxor Corp. 8,435
 7,100 Delcath Systems Inc.(a) 36,494
 4,800 DexCom, Inc.(a) 38,784
 1,300 Dialysis Corp. of America(a) 9,334
 4 Dynacq Healthcare, Inc.(a) 14
 6,800 Edwards Lifesciences Corp.(a) 590,580
 4,200 Electro-Optical Sciences, Inc.(a),(b) 43,512
 2,900 Emergency Medical Services Corp.(a) 157,035
 2,200 Emeritus Corp.(a) 41,250
 6,200 Endologix, Inc.(a) 32,736
 500 The Ensign Group, Inc. 7,685
 4,775 eResearch Technology, Inc.(a) 28,698
 725 Escalon Medical Corp.(a) 1,138
 7,183 ev3, Inc.(a) 95,821
 1,000 Exactech, Inc.(a) 17,310
 308 Five Star Quality Care, Inc.(a) 1,069
 692 Fonar Corp.(a) 1,086
 2,600 Genoptix, Inc.(a) 92,378
 3,200 Gentiva Health Services, Inc.(a) 86,432
 100 Gliatech, Inc.(a) -
 3,700 HMS Holdings Corp.(a) 180,153
 3,500 Haemonetics Corp.(a) 193,025
 3,400 Hanger Orthopedic Group, Inc.(a) 47,022
 8,900 Hansen Medical, Inc.(a) 26,967
 5,100 Health Grades, Inc.(a) 21,879
 25,980 Health Management Associates, Inc., Class A(a) 188,875

SCHEDULE OF INVESTMENTS | 53

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 13,080 Health Net, Inc.(a) $ 304,633
 3,877 Healthcare Services Group, Inc. 83,200
 10,100 HealthSouth Corp.(a) 189,577
 4,900 HealthSpring, Inc.(a) 86,289
 1,900 HealthTronics, Inc.(a) 5,016
 3,700 Healthways, Inc.(a) 67,858
 10,700 Henry Schein, Inc.(a) 562,820
 6,645 Hill-Rom Holdings, Inc. 159,413
 30,436 Hologic, Inc.(a) 441,322
 4,600 Hooper Holmes, Inc.(a) 4,830
 2,900 Hydron Technologies, Inc.(a) 58
 10,400 Hythiam, Inc.(a) 4,566
 2,300 ICU Medical, Inc.(a) 83,812
 2,300 IPC The Hospitalist Co., Inc.(a) 76,475
 2,500 IRIS International, Inc.(a) 30,900
 6,400 Idexx Laboratories, Inc.(a),(b) 342,016
 7,337 Immucor, Inc.(a) 148,501
 5,000 Insulet Corp.(a) 71,400
 2,300 Integra LifeSciences Holdings Corp.(a) 84,594
 3,500 Invacare Corp. 87,290
 9,675 Inverness Medical Innovations, Inc.(a) 401,609
 2,900 Kendle International, Inc.(a) 53,099
 1,400 Kensey Nash Corp.(a) 35,700
 3,390 Kindred Healthcare, Inc.(a) 62,579
 7,715 Kinetic Concepts, Inc.(a) 290,470
 3,850 LCA-Vision, Inc.(a) 19,712
 2,300 LHC Group, Inc.(a) 77,303
 800 Lectec Corp. 3,216
 6,845 LifePoint Hospitals, Inc.(a) 222,531
 8,600 Lincare Holdings, Inc.(a) 319,232
 900 MAKO Surgical Corp.(a) 9,990
 1,600 MEDTOX Scientific, Inc.(a) 12,400
 4,179 Magellan Health Services, Inc.(a) 170,211
 5,100 Masimo Corp.(a) 155,142
 1,800 MedCath Corp.(a) 14,238
 1,800 Medical Action Industries, Inc.(a) 28,908
 5,200 Mednax, Inc.(a) 312,572
 4,425 Meridian Bioscience, Inc. 95,359
 3,068 Merit Medical Systems, Inc.(a) 59,182
 300 Metropolitan Health Networks, Inc.(a) 597
 2,100 Micrus Endovascular Corp.(a) 31,521
 1,800 Molina Healthcare, Inc.(a) 41,166
 1,900 NMT Medical, Inc.(a) 4,693
 200 Nanosphere, Inc.(a) 1,288
 150 National Dentex Corp.(a) 1,515
 600 National Healthcare Corp. 21,666
 3,100 Natus Medical, Inc.(a) 45,849
 2,418 Neogen Corp.(a) 57,089
 1,700 Neurometrix, Inc.(a) 4,199
 2,700 Nighthawk Radiology Holdings, Inc.(a) 12,231
 5,200 NuVasive, Inc.(a) 166,296
 4,900 NxStage Medical, Inc.(a) 40,915
 3,500 OTIX Global, Inc.(a) 2,905
 3,850 Odyssey HealthCare, Inc.(a) 59,983
 3,800 Omnicell, Inc.(a) 44,422
 4,775 OraSure Technologies, Inc.(a) 24,257
 2,300 Orthofix International NV(a) 71,231
 8,420 Orthovita, Inc.(a) 29,554
 3,300 Osteotech, Inc.(a) 10,560
 5,400 Owens & Minor, Inc. 231,822
 300 PC Group, Inc.(a) 96
 8,400 PSS World Medical, Inc.(a) 189,588
 2,000 Palomar Medical Technologies, Inc.(a) 20,160
 8,000 Parexel International Corp.(a) 112,800
 3,423 PharMerica Corp.(a) 54,357
 13,500 Pharmaceutical Product Development, Inc. 316,440

54 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 125 Psychemedics Corp. $ 919
 7,032 Psychiatric Solutions, Inc.(a) 148,656
 4,800 Quidel Corp.(a) 66,144
 3,200 RTI Biologics, Inc.(a) 12,288
 6,500 RadNet, Inc.(a) 13,260
 3,500 RehabCare Group, Inc.(a) 106,505
 1,900 Res-Care, Inc.(a) 21,280
 8,300 ResMed, Inc.(a) 433,841
 1,300 Retractable Technologies, Inc.(a) 2,132
 1,700 Rochester Medical Corp.(a) 18,921
 3,200 Rockwell Medical Technologies, Inc.(a) 24,608
 4,100 Rural/Metro Corp.(a) 24,600
 1,000 SRI/Surgical Express, Inc.(a) 2,050
 1,600 Select Medical Holdings Corp.(a) 16,992
 1,800 Sirona Dental Systems, Inc.(a) 57,132
 2,700 Skilled Healthcare Group, Inc., Class A(a) 20,115
 2,500 Somanetics Corp.(a) 43,875
 2,200 SonoSite, Inc.(a) 51,986
 1,900 Sparta Surgical Corp.(a) -
 3,800 Spectranetic Corp.(a) 26,448
 2,400 Staar Surgical Co.(a) 7,464
 2,600 Stereotaxis, Inc.(a) 10,218
 6,200 Steris Corp. 173,414
 4,800 Sun Healthcare Group, Inc.(a) 44,016
 7,900 Sunrise Senior Living, Inc.(a) 25,438
 1,800 SurModics, Inc.(a) 40,788
 3,600 Symmetry Medical, Inc.(a) 29,016
 400 Synergetics USA, Inc.(a) 532
 3,100 Synovis Life Technologies, Inc.(a) 40,021
 8,500 SyntheMed, Inc.(a) 1,700
 1,700 Team Health Holdings, Inc.(a) 23,834
 1,900 Theragenics Corp.(a) 2,546
 8,000 ThermoGenesis Corp.(a) 4,568
 7,300 Thoratec Corp.(a) 196,516
 5,200 Tomotherapy, Inc.(a) 20,280
 1,100 Trans1, Inc.(a) 4,345
 1,400 Triple-S Management Corp.(a) 24,640
 1,600 US Physical Therapy, Inc.(a) 27,088
 400 Uluru, Inc.(a) 84
 4,400 Universal American Financial Corp.(a) 51,480
 5,900 Universal Health Services, Inc., Class B 179,950
 1,700 Urologix, Inc.(a) 3,145
 800 Utah Medical Products, Inc. 23,456
 3,050 Varian, Inc.(a) 157,197
 1,500 Vascular Solutions, Inc.(a) 12,585
 1,600 Virtual Radiologic Corp.(a) 20,416
 4,500 Volcano Corp.(a) 78,210
 3,310 Zoll Medical Corp.(a) 88,443
 4,400 WellCare Health Plans, Inc.(a) 161,744
 3,600 West Pharmaceutical Services, Inc. 141,120
 5,500 Wright Medical Group, Inc.(a) 104,225
 ------------
 15,771,669
 ------------
HEALTH CARE PROVIDERS & SERVICES - 0.0%
 3,500 Health Fitness Corp.(a) 26,775
 ------------
HOUSEHOLD GOODS & HOME CONSTRUCTION - 1.8%
 4,500 ACCO Brands Corp.(a) 32,760
 800 Bassett Furniture Industries, Inc.(a) 2,816
 7,964 Beazer Homes USA, Inc.(a) 38,546
 2,800 Blount International, Inc.(a) 28,280

SCHEDULE OF INVESTMENTS | 55

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 675 Blyth, Inc. $ 22,761
 4,700 Briggs & Stratton Corp. 87,937
 1,876 Brookfield Homes Corp.(a),(b) 15,008
 710 Cavco Industries, Inc.(a) 25,503
 5,900 Central Garden & Pet Co., Class A(a) 58,646
 7,900 Church & Dwight Co., Inc. 477,555
 1,600 Compx International, Inc. 12,112
 3,800 Comstock Homebuilding Cos., Inc., Class A(a) 3,078
 900 Dixie Group, Inc.(a) 2,439
 8,000 Energizer Holdings, Inc.(a) 490,240
 4,800 Ethan Allen Interiors, Inc. 64,416
 200 Flexsteel Industries, Inc. 2,046
 1,100 Forward Industries, Inc.(a) 2,266
 4,400 Furniture Brands International, Inc.(a) 24,024
 3,300 HNI Corp. 91,179
 5,590 Herman Miller, Inc. 89,328
 1,800 hhgregg, Inc.(a) 39,654
 1,700 Hooker Furniture Corp. 21,029
 9,700 Hovnanian Enterprises, Inc., Class A(a),(b) 37,248
 4,700 Interface, Inc., Class A 39,057
 2,100 iRobot Corp.(a) 36,960
 10,075 Jarden Corp. 311,418
 10,900 KB Home 149,112
 1,300 Kid Brands, Inc.(a) 5,694
 5,200 Knoll, Inc. 53,716
 700 L.S. Starrett Co., Class A 6,167
 5,700 La-Z-Boy, Inc. 54,321
 1,082 Libbey, Inc. 8,277
 2,500 Lifetime Brands, Inc. 17,875
 2,000 M/I Homes, Inc.(a) 20,780
 5,016 MDC Holdings, Inc. 155,697
 4,700 Meritage Homes Corp.(a) 90,851
 2,011 Middleby Corp.(a) 98,579
 5,964 Mohawk Industries, Inc.(a) 283,886
 696 NVR, Inc.(a) 494,654
 500 National Presto Industries, Inc. 54,615
 700 Oil-Dri Corp. of America 10,850
 900 Orleans Homebuilders, Inc.(a) 1,467
 2,300 Palm Harbor Homes, Inc.(a) 4,761
 6,000 Ryland Group, Inc. 118,200
 5,500 The Scotts Miracle-Gro Co. 216,205
 6,100 Sealy Corp.(a),(b) 19,276
 5,750 Select Comfort Corp.(a) 37,490
 1,000 Skyline Corp. 18,400
 15,000 Standard-Pacific Corp.(a) 56,100
 2,400 Stanley Furniture Co., Inc. 24,360
 6,400 Steelcase, Inc., Class A 40,704
 9,400 Tempur-Pedic International, Inc.(a) 222,122
 16,500 Toll Brothers, Inc.(a) 310,365
 7,655 Tupperware Corp. 356,493
 642 Virco Manufacturing Corp. 2,343
 1,900 WD-40 Co. 61,484
 ------------
 5,051,150
 ------------
INDUSTRIAL ENGINEERING - 2.8%
 9,923 AGCO Corp.(a) 320,910
 1,400 Alamo Group, Inc. 24,010
 2,800 Albany International Corp., Class A 62,888
 4,300 Altra Holdings, Inc.(a) 53,105
 1,800 American Railcar Industries, Inc. 19,836
 1,900 Astec Industries, Inc.(a) 51,186
 2,100 Broadwind Energy, Inc.(a) 16,989
 2,800 Brush Engineered Materials, Inc.(a) 51,912
 9,100 Bucyrus International, Inc. 512,967
 1,900 CIRCOR International, Inc. 47,842
 1,200 Cascade Corp. 32,988

56 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,900 Ceco Environmental Corp.(a) $ 7,505
 100 Chicago Rivet & Machine Co. 1,425
 5,600 Clarcor, Inc. 181,664
 2,100 Columbus McKinnon Corp.(a) 28,686
 700 Commercial Vehicle Group, Inc.(a) 4,193
 5,400 Crane Co. 165,348
 7,700 Donaldson Co., Inc. 327,558
 1,400 Dynamic Materials Corp. 28,070
 300 The Eastern Co. 4,029
 7,000 Energy Recovery, Inc.(a) 48,160
 2,200 EnPro Industries, Inc.(a) 58,102
 3,600 Federal Signal Corp. 21,672
 3,800 Flanders Corp.(a) 16,948
 4,500 Flow International Corp.(a) 13,860
 2,200 Franklin Electric Co., Inc. 63,976
 1,500 Freightcar America, Inc. 29,745
 4,500 GATX Corp. 129,375
 6,800 Gardner Denver, Inc. 289,340
 1,870 The Gorman-Rupp Co. 51,687
 6,387 Graco, Inc. 182,476
 2,100 Graham Corp. 43,470
 2,800 Greenbrier Cos., Inc. 29,064
 2,900 H&E Equipment Services, Inc.(a) 30,421
 1,900 Hardinge, Inc. 10,450
 1,300 Hurco Companies, Inc.(a) 19,240
 8,625 IDEX Corp. 268,669
 3,105 John Bean Technologies Corp. 52,816
 11,500 Joy Global, Inc. 593,285
 300 K-Tron International, Inc.(a) 32,622
 780 Kadant, Inc.(a) 12,449
 3,800 Kaydon Corp. 135,888
 10,300 Kennametal, Inc. 266,976
 1,100 Key Technology Inc.(a) 12,826
 2,800 Kimball International, Inc., Class B 23,856
 4,295 Lincoln Electric Holdings, Inc. 229,611
 2,000 Lindsay Manufacturing Co.(b) 79,700
 1,800 Lydall, Inc.(a) 9,378
 1,400 MFRI, Inc.(a) 9,520
 16,600 Manitowoc Co. 165,502
 1,700 Met-Pro Corp. 18,054
 3,300 Mine Safety Appliances Co. 87,549
 3,400 Mueller Industries, Inc. 84,456
 600 NACCO Industries, Inc., Class A 29,880
 2,700 NN, Inc.(a) 10,692
 6,600 Navistar International Corp.(a) 255,090
 3,200 Nordson Corp. 195,776
 9,700 Oshkosh Corp. 359,191
 600 PMFG, Inc.(a) 9,726
 10,650 Pentair, Inc. 343,995
 3,200 Robbins & Myers, Inc. 75,264
 6,148 SPX Corp. 336,296
 1,100 Sauer-Danfoss, Inc. 13,211
 2,275 Spartan Motors, Inc. 12,808
 1,400 Standex International Corp. 28,126
 1,650 Sun Hydraulics, Inc. 43,313
 1,300 Sypris Solutions, Inc. 3,666
 1,800 Tecumseh Products Co., Class A(a) 21,042
 1,800 Tennant Co. 47,142
 12,400 Terex Corp.(a) 245,644
 7,900 Timken Co. 187,309
 4,590 Toro Co.(b) 191,908
 8,500 Trinity Industries, Inc. 148,240
 1,600 Twin Disc, Inc. 16,704
 1,800 Wabash National Corp.(a) 3,402
 5,100 Westinghouse Air Brake Technologies Corp. 208,284
 500 Williams Controls, Inc.(a) 3,950
 6,000 Woodward Governor Co. 154,620
 300 Xerium Technologies, Inc.(a) 228
 ------------
 8,009,761
 ------------

SCHEDULE OF INVESTMENTS | 57

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

INDUSTRIAL METALS & MINING - 1.0%
 1,000 Ampco-Pittsburgh Corp. $ 31,530
 4,800 Carpenter Technology Corp. 129,360
 8,900 Century Aluminum Co.(a) 144,091
 1,400 Cold Metal Products, Inc.(a) -
 11,900 Commercial Metals Co. 186,235
 600 Friedman Industries, Inc. 3,498
 1,300 Haynes International, Inc. 42,861
 5,200 Horsehead Holding Corp.(a) 66,300
 6,000 Intrepid Potash, Inc.(a) 175,020
 1,300 Kaiser Aluminum Corp. 54,106
 1,805 Olympic Steel, Inc. 58,807
 4,200 RTI International Metals, Inc.(a) 105,714
 6,924 Reliance Steel & Aluminum Co. 299,255
 25,300 Southern Copper Corp. 832,623
 25,066 Steel Dynamics, Inc. 444,170
 1,300 Synalloy Corp. 11,375
 12,200 USEC, Inc.(a) 46,970
 700 Universal Stainless & Alloy Products, Inc.(a) 13,202
 8,800 Uranium Energy Corp.(a) 33,264
 4,100 Uranium Resources, Inc.(a) 3,157
 1,600 WHX Corp.(a) 3,840
 6,800 Worthington Industries, Inc. 88,876
 ------------
 2,774,254
 ------------
INDUSTRIAL TRANSPORTATION - 1.4%
 2,205 ATC Technology Corp.(a) 52,589
 3,000 Air Transport Services Group, Inc.(a) 7,920
 5,600 Aircastle Ltd. 55,160
 4,400 Alexander & Baldwin, Inc. 150,612
 1,125 American Commerical Lines, Inc.(a) 20,621
 3,500 Arkansas Best Corp. 103,005
 2,600 Atlas Air Worldwide Holdings, Inc.(a) 96,850
 1,400 Capital Product Partners LP 12,866
 1,725 Celadon Group, Inc.(a) 18,716
 6,300 Con-way, Inc. 219,933
 2,700 Covenant Transport Group, Class A(a) 11,367
 5,500 DHT Maritime, Inc. 20,240
 900 Dynamex, Inc.(a) 16,290
 10,500 Eagle Bulk Shipping, Inc.(a),(b) 51,975
 3,600 Excel Maritime Carriers Ltd. 22,176
 3,200 Forward Air Corp. 80,160
 1,900 Frozen Food Express Industries, Inc. 6,270
 4,000 Genco Shipping & Trading Ltd.(b) 89,520
 9,252 General Maritime Corp. 64,671
 3,850 Genesee & Wyoming, Inc., Class A(a) 125,664
 4,100 HUB Group, Inc., Class A(a) 110,003
 7,008 Heartland Express, Inc. 107,012
 3,300 Horizon Lines, Inc., Class A 18,381
 600 International Shipholding Corp. 18,642
 10,800 J.B. Hunt Transport Services, Inc. 348,516
 11,400 Kansas City Southern(a) 379,506
 6,000 Kirby Corp.(a) 208,980
 6,200 Knight Transportation, Inc. 119,598
 6,400 Landstar System, Inc. 248,128
 1,637 Marten Transport Ltd.(a) 29,384
 1,200 Navios Maritime Partners LP 17,748
 1,500 OceanFreight, Inc.(a) 1,388
 4,162 Old Dominion Freight Line, Inc.(a) 127,773
 3,300 Overseas Shipholding Group, Inc. 145,035

58 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 400 P.A.M. Transportation Services, Inc.(a) $ 4,132
 5,500 PHH Corp.(a) 88,605
 7,000 Pacer International, Inc. 22,120
 100 Patriot Transportation Holding, Inc.(a) 9,446
 1,500 Quality Distribution, Inc.(a) 5,925
 2,600 Railamerica, Inc.(a) 31,720
 134 SMF Energy Corp.(a) 191
 1,500 Saia, Inc.(a) 22,230
 4,000 Ship Finance International Ltd. 54,520
 1,400 TAL International Group, Inc. 18,522
 3,800 TBS International Ltd.(a) 27,930
 4,500 Teekay Corp. 104,445
 1,900 Textainer Group Holdings Ltd. 32,110
 700 USA Truck, Inc.(a) 8,764
 10,500 UTI Worldwide, Inc. 150,360
 900 Universal Truckload Services, Inc. 16,290
 7,200 Werner Enterprises, Inc. 142,488
 200 Willis Lease Finance Corp.(a) 3,000
 7,600 World Fuel Services Corp. 203,604
 10,629 YRC Worldwide, Inc.(a),(b) 8,926
 ------------
 4,062,027
 ------------
LEISURE GOODS - 0.9%
 70,288 Activision Blizzard, Inc.(a)(c) 780,900
 100 Aldila, Inc.(a) 348
 1,300 Arctic Cat, Inc. 11,908
 11,400 Brunswick Corp. 144,894
 6,800 Callaway Golf Co. 51,272
 2,900 DTS, Inc.(a) 99,209
 2,200 Drew Industries, Inc.(a) 45,430
 1,700 Emerson Radio Corp.(a) 4,012
 900 Escalade, Inc. 2,160
 14,300 Garmin Ltd.(b) 439,010
 4,200 Glu Mobile, Inc.(a) 4,788
 5,013 Jakks Pacific, Inc.(a) 60,758
 400 Koss Corp. 2,200
 3,600 Leapfrog Enterprises, Inc.(a) 14,076
 1,500 Majesco Entertainment Co.(a) 1,725
 700 Marine Products Corp. 3,451
 10 Meade Instruments Corp.(a) 28
 2,400 Nautilus, Inc.(a) 4,872
 3,600 Polaris Industries, Inc. 157,068
 5,250 Pool Corp. 100,170
 1,970 RC2 Corp.(a) 29,058
 2,100 Sport Supply Group, Inc. 26,439
 1,310 Steinway Musical Instruments, Inc.(a) 20,842
 11,550 THQ, Inc.(a) 58,212
 12,400 Take-Two Interactive Software, Inc.(a) 124,620
 3,685 Thor Industries, Inc. 115,709
 11,265 TiVo, Inc.(a) 114,678
 1,700 Universal Electronics, Inc.(a) 39,474
 4,500 Winnebago Industries, Inc.(a) 54,900
 ------------
 2,512,211
 ------------
LIFE INSURANCE - 0.4%
 6,100 American Equity Investment Life Holding Co. 45,384
 48 American Independence Corp.(a) 218
 3,700 Amerisafe, Inc.(a) 66,489
 700 Atlantic American Corp.(a) 896
 2,890 Citizens, Inc.(a) 18,872
 25,800 Conseco, Inc.(a) 129,000
 4,450 Delphi Financial Group, Inc., Class A 99,546
 2,700 eHealth, Inc.(a) 44,361
 5,500 Employers Holdings, Inc. 84,370
 1,700 FBL Financial Group, Inc., Class A 31,484

SCHEDULE OF INVESTMENTS | 59

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 720 Independence Holding Co. $ 4,176
 700 Kansas City Life Insurance Co. 20,825
 307 National Western Life Insurance Co., Class A 53,301
 9,100 The Phoenix Cos., Inc.(a) 25,298
 3,100 Presidential Life Corp. 28,365
 10,000 Protective Life Corp. 165,500
 6,400 Stancorp Financial Group, Inc. 256,128
 ------------
 1,074,213
 ------------
MEDIA - 3.1%
 1,000 4Kids Entertainment, Inc.(a) 1,590
 1,296 AH Belo Corp.(a) 7,465
 7,300 Acxiom Corp.(a) 97,966
 1,300 Alloy, Inc.(a) 10,114
 4,400 American Greetings Corp., Class A 95,876
 2,100 ante4, Inc.(a) 2,184
 4,200 Arbitron, Inc. 98,364
 1,406 Ascent Media Corp., Class A(a) 35,895
 3,356 Avid Technology, Inc.(a) 42,822
 4,100 Beasley Broadcasting Group, Inc., Class A(a) 14,555
 9,980 Belo Corp., Class A 54,291
 6,000 CKX, Inc.(a) 31,620
 904 CSS Industries, Inc. 17,574
 511 CTM Media Holdings, Inc.(a) 971
 50 CTN Media Group, Inc.(a) -
 28,000 Cablevision Systems Corp., Class A 722,960
 6,200 Clear Channel Outdoor Holdings, Inc., Class A(a) 64,418
 2,100 ComScore, Inc.(a) 36,855
 4,600 Constant Contact, Inc.(a) 73,600
 537 Courier Corp. 7,652
 1,500 Crown Media Holdings, Inc., Class A(a) 2,175
 6,165 Cumulus Media, Inc., Class A(a) 14,056
 2,838 DG FastChannel, Inc.(a) 79,265
 24,865 DISH Network Corp. 516,446
 34,600 Discovery Communications, Inc., Class A(a) 1,061,182
 4,000 Dolan Media Co.(a) 40,840
 6,700 Dolby Laboratories, Inc., Class A(a) 319,791
 8,700 DreamWorks Animation SKG, Inc., Class A(a) 347,565
 470 EDCI Holdings, Inc.(a) 2,759
 3,233 EW Scripps Co.(a) 22,502
 6,400 Emmis Communications Corp., Class A(a) 7,360
 3,000 Entercom Communications Corp.(a) 21,210
 6,500 Entravision Communications Corp., Class A(a) 22,100
 4,950 Factset Research Systems, Inc. 326,057
 700 Fisher Communications, Inc.(a) 11,375
 1,900 Global Traffic Network, Inc.(a) 7,885
 10,300 Gray Television, Inc.(a) 15,553
 400 HSW International, Inc.(a) 124
 4,300 Harte-Hanks, Inc. 46,354
 4,300 Hollywood Media Corp.(a) 6,020
 80 iBEAM Broadcasting Corp.(a) -
 5,300 IHS, Inc., Class A(a) 290,493
 3,200 infoGROUP, Inc. 25,664
 3,600 Interactive Data Corp. 91,080
 2,000 interCLICK, Inc.(a) 10,480
 4,180 inVentiv Health, Inc.(a) 67,591
 5,300 John Wiley & Sons, Inc., Class A 221,964
 4,500 Journal Communications, Inc., Class A 17,505
 3,500 Knology, Inc.(a) 38,325
 3,100 The Knot, Inc.(a) 31,217

60 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 7,307 Lamar Advertising Co., Class A(a),(b) $ 227,175
 5,300 Lee Enterprises, Inc.(a) 18,391
 27,941 Liberty Global, Inc.(a) 612,187
 3,922 Liberty Global, Inc., Series C(a) 85,696
 6,932 Liberty Media Corp., Series A(a) 319,912
 10,407 Liberty Media Holding Corp. - Capital(a) 248,519
 71,436 Liberty Media Holding Corp. - Interactive(a) 774,366
 3,200 Lin TV Corp., Class A(a) 14,272
 500 Local.com Corp.(a) 2,905
 3,600 LodgeNet Interactive Corp.(a) 19,908
 3,200 Marchex, Inc., Class B 16,256
 6,100 Martha Stewart Living Omnimedia, Inc., Class A(a) 30,134
 11,400 McClatchy Co., Class A 40,356
 2,100 Media General, Inc., Class A 16,464
 5,900 Mediacom Communications Corp., Class A(a) 26,373
 2,100 Morningstar, Inc.(a) 101,514
 5,100 National CineMedia, Inc. 84,507
 5,400 New Frontier Media, Inc.(a) 10,206
 4,500 Nexstar Broadcasting Group, Inc., Class A(a) 18,225
 400 Outdoor Channel Holdings, Inc.(a) 2,320
 1,000 PDI, Inc.(a) 4,820
 7,300 Playboy Enterprises, Inc., Class B(a) 23,360
 3,905 Primedia, Inc. 14,097
 300 RHI Entertainment, Inc.(a) 92
 2,000 Radio One, Inc., Class D(a) 5,800
 2,900 Regent Communications, Inc.(a) 725
 1,400 SPAR Group, Inc.(a) 1,064
 357 Saga Communications, Inc.(a) 4,480
 1,600 Salem Communications Corp., Class A(a) 9,584
 30 Salon Media Group, Inc.(a) 5
 2,100 Schawk, Inc. 28,560
 3,410 Scholastic Corp. 101,720
 8,400 Sinclair Broadcast Group, Inc., Class A 33,852
 449,450 Sirius XM Radio, Inc.(a) 269,670
 5,100 Spanish Broadcasting System, Inc., Class A(a) 3,978
 1,100 TechTarget, Inc.(a) 6,193
 2,600 TheStreet.com, Inc. 6,240
 6,000 Valassis
 Communications, Inc.(a) 109,560
 100 Value Line, Inc. 2,511
 11,755 ValueClick, Inc.(a) 118,961
 4,400 Vertro, Inc.(a) 1,848
 7,700 Warner Music Group Corp.(a) 43,582
 5,784 WebMD Health Corp., Class A(a) 222,626
 1,900 WebMediaBrands, Inc.(a) 1,710
 18 Westwood One, Inc.(a) 84
 ------------
 8,766,518
 ------------
MINING - 1.2%
 2,400 AMCOL International Corp. 68,208
 6,600 Allied Nevada Gold Corp.(a) 99,528
 19,745 Alpha Natural Resources, Inc.(a) 856,538
 19,900 Arch Coal, Inc. 442,775
 1,792 Atna Resources Ltd.(a) 1,204
 5,200 Cloud Peak Energy, Inc.(a) 75,712
 10,670 Coeur d'Alene Mines Corp.(a) 192,700
 4,400 Compass Minerals International, Inc. 295,636
 8,200 Evergreen Energy, Inc.(a),(b) 2,813

SCHEDULE OF INVESTMENTS | 61

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 6,700 General Moly, Inc.(a) $ 13,936
 31,200 Hecla Mining Co.(a),(b) 192,816
 11,700 International Coal Group, Inc.(a) 45,162
 4,200 James River Coal Co.(a) 77,826
 2,700 National Coal Corp.(a) 2,241
 9,800 Patriot Coal Corp.(a) 151,508
 5,535 Royal Gold, Inc. 260,699
 6,600 Solitario Exploration & Royalty Corp.(a) 15,312
 4,984 Stillwater Mining Co.(a) 47,248
 6,000 Timberline Resources Corp.(a) 6,600
 5,200 U.S. Energy Corp.(a) 30,836
 11,500 US Gold Corp.(a) 28,520
 3,800 Vista Gold Corp.(a) 9,310
 6,800 Walter Industries, Inc. 512,108
 1,600 Westmoreland Coal Co.(a) 14,256
 ------------
 3,443,492
 ------------
MOBILE TELECOMMUNICATIONS - 0.5%
 1,100 Atlantic Tele-Network, Inc. 60,511
 2,240 FiberTower Corp.(a) 9,363
 5,600 Globalstar, Inc.(a) 4,872
 8,500 Leap Wireless International, Inc.(a) 149,175
 20,400 NII Holdings, Inc.(a) 685,032
 4,800 NTELOS Holdings Corp. 85,536
 1,800 ORBCOMM, Inc.(a) 4,860
 2,000 Shenandoah Telecom Co. 40,700
 7,600 Telephone & Data Systems, Inc. 257,792
 2,900 Telephone & Data Systems, Inc.(Special Shares) 87,580
 5,100 TerreStar Corp.(a) 4,794
 1,600 U.S. Cellular Corp.(a) 67,856
 5,300 USA Mobility, Inc. 58,353
 ------------
 1,516,424
 ------------
NONLIFE INSURANCE - 8.9%
 1,300 21st Century Holding Co. 5,239
 54,400 AMBAC Financial Group, Inc.(a),(b) 45,152
 2,600 Affirmative Insurance Holdings, Inc. 10,608
 665 Alleghany Corp.(a) 183,540
 4,500 Allied World Assurance Holdings Ltd. 207,315
 8,250 American Financial Group, Inc. 205,838
 1,700 American National Insurance Co. 203,048
 1,933 American Physicians Capital, Inc. 58,609
 300 American Safety Insurance Holdings Ltd.(a) 4,335
 4,300 AmTrust Financial Services, Inc. 50,826
 7,105 Arch Capital Group Ltd.(a) 508,363
 3,339 Argo Group International Holdings Ltd.(a) 97,298
 10,500 Arthur J. Gallagher & Co. 236,355
 9,700 Aspen Insurance Holdings Ltd. 246,865
 14,423 Assured Guaranty Ltd. 313,844
 17,300 Axis Capital Holdings Ltd. 491,493
 950 Baldwin & Lyons, Inc., Class B 23,379
 144 Berkshire Hathaway, Inc., Class A(a) 14,284,800
 12,000 Brown & Brown, Inc. 215,640
 3,029 CNA Financial Corp.(a) 72,696
 1,900 CNA Surety Corp.(a) 28,291
 500 Donegal Group, Inc., Class A 7,770
 1,100 EMC Insurance Group, Inc. 23,661
 1,900 Eastern Insurance Holdings, Inc. 16,378

62 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 7,000 Endurance Specialty Holdings Ltd. $ 260,610
 600 Enstar Group Ltd.(a) 43,812
 3,200 Erie Indemnity Co., Class A 124,864
 6,900 Everest Re Group Ltd. 591,192
 1,500 FPIC Insurance Group, Inc.(a) 57,930
 1,327 First Acceptance Corp.(a) 2,588
 13,389 First American Corp. 443,310
 2,400 First Mercury Financial Corp. 32,904
 4,500 Flagstone Reinsurance Holdings Ltd. 49,230
 3,700 Greenlight Capital Re Ltd.(a) 87,209
 12,250 HCC Insurance Holdings, Inc. 342,632
 6,400 The Hanover Insurance Group, Inc. 284,352
 1,400 Harleysville Group, Inc. 44,506
 4,300 Horace Mann Educators Corp. 53,750
 1,800 Infinity Property & Casualty Corp. 73,152
 83 InsWeb Corp.(a) 270
 1,631 Life Partners Holdings, Inc.(b) 34,561
 366 Life Quotes, Inc.(a) 1,047
 15,300 MBIA, Inc.(a),(b) 60,894
 4,400 Maiden Holdings Ltd. 32,208
 1,132 Markel Corp.(a) 384,880
 5,300 Max Capital Group Ltd. 118,190
 4,400 Meadowbrook Insurance Group, Inc. 32,560
 1,400 Mercer Insurance Group, Inc. 25,438
 2,800 Mercury General Corp. 109,928
 9,300 Montpelier Re Holdings Ltd. 161,076
 600 NYMAGIC, Inc. 9,954
 600 National Interstate Corp. 10,176
 120 National Security Group, Inc. 1,332
 1,700 Navigators Group, Inc.(a) 80,087
 24,512 Old Republic International Corp. 246,100
 4,600 OneBeacon Insurance Group Ltd. 63,388
 4,695 PMA Capital Corp., Class A(a) 29,579
 7,800 PartnerRe Ltd. 582,348
 6,700 Platinum Underwriters Holdings Ltd. 256,543
 4,400 ProAssurance Corp.(a) 236,324
 2,100 RLI Corp. 111,825
 7,900 Reinsurance Group of America, Inc. 376,435
 7,200 RenaissanceRe Holdings Ltd. 382,680
 1,800 Safety Insurance Group, Inc. 65,214
 4,700 SeaBright Insurance Holdings, Inc.(a) 54,003
 5,800 Selective Insurance Group, Inc. 95,410
 1,425 State Auto Financial Corp. 26,363
 5,270 Tower Group, Inc. 123,371
 6,531 Transatlantic Holdings, Inc. 340,330
 300 Unico American Corp. 3,096
 2,700 United America Indemnity, Ltd.(a) 21,384
 2,000 United Fire & Casualty Co. 36,460
 4,800 Unitrin, Inc. 105,840
 400 Universal Insurance Holdings, Inc. 2,348
 10,655 Validus Holdings Ltd. 287,046
 16,090 W.R. Berkley Corp. 396,458
 145 Wesco Financial Corp. 49,735
 862 White Mountains Insurance Group, Inc. 286,753
 5,150 Zenith National Insurance Corp. 153,264
 ------------
 25,428,282
 ------------

SCHEDULE OF INVESTMENTS | 63

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

OIL & GAS PRODUCERS - 3.8%
 5,900 ATP Oil & Gas Corp.(a) $ 107,852
 7,700 Abraxas Petroleum Corp.(a) 14,784
 800 Adams Resources & Energy, Inc. 17,640
 1,500 Alon USA Energy, Inc. 10,260
 7,400 American Oil & Gas, Inc.(a) 31,080
 1,000 Apco Oil and Gas International, Inc. 22,100
 1,300 Approach Resources, Inc.(a) 10,036
 5,000 Arena Resources, Inc.(a) 215,600
 8,647 Atlas Energy, Inc. 260,880
 2,400 BP Prudhoe Bay Royalty Trust(b) 198,720
 10,800 BPZ Resources, Inc.(a) 102,600
 600 Barnwell Industries, Inc.(a) 2,700
 4,400 Berry Petroleum Co., Class A 128,260
 4,100 Bill Barrett Corp.(a) 127,551
 13,200 Brigham Exploration Co.(a) 178,860
 2,800 CNX Gas Corp.(a) 82,656
 1,700 CREDO Petroleum Corp.(a) 15,810
 5,854 CVR Energy, Inc.(a) 40,158
 1,100 Callon Petroleum Co.(a) 1,650
 10,900 Cano Petroleum, Inc.(a) 10,682
 4,000 Carrizo Oil & Gas, Inc.(a) 105,960
 9,500 Cheniere Energy, Inc.(a) 22,990
 9,116 Cimarex Energy Co. 482,875
 1,100 Clayton Williams Energy, Inc.(a) 38,544
 9,300 Cobalt International Energy, Inc.(a) 128,712
 6,000 Comstock Resources, Inc.(a) 243,420
 8,200 Concho Resources, Inc.(a) 368,180
 1,500 Contango Oil & Gas Co.(a) 70,515
 3,200 Continental Resources, Inc.(a) 137,248
 956 Cross Timbers Royalty Trust 32,236
 1,600 Delek US Holdings, Inc. 10,896
 24,435 Delta Petroleum Corp.(a) 25,412
 1,800 Double Eagle Pete & Mining Co.(a) 7,776
 1,560 Dune Energy, Inc.(a) 359
 22,100 EXCO Resources, Inc. 469,183
 5,900 Encore Acquisition Co.(a) 283,318
 20,400 Endeavour International Corp.(a) 22,032
 8,700 Energen Corp. 407,160
 5,900 FX Energy, Inc.(a) 16,815
 12,700 Forest Oil Corp.(a) 282,575
 11,400 Frontier Oil Corp. 137,256
 4,500 GMX Resources Inc.(a) 61,830
 5,700 Gasco Energy, Inc.(a) 3,021
 100 GeoMet, Inc.(a) 146
 7,600 GeoPetro Resources Co.(a) 5,548
 1,200 GeoResources, Inc.(a) 16,392
 4,000 Goodrich Petroleum Corp.(a) 97,400
 3,900 Gulfport Energy Corp.(a) 44,655
 4,000 Harvest Natural Resources, Inc.(a) 21,160
 5,700 Holly Corp. 146,091
 2,100 Houston American Energy Corp. 12,936
 6,000 Hugoton Royalty Trust 96,480
 6,000 John D. Oil & Gas Co.(a) 540
 10,508 Mariner Energy, Inc.(a) 121,998
 7,600 McMoRan Exploration Co.(a) 60,952
 5,100 Meridian Resource Corp.(a) 1,326
 14,798 Newfield Exploration Co.(a) 713,708
 2,200 Northern Oil And Gas, Inc.(a) 26,048
 900 Panhandle Oil & Gas, Inc. 23,310

64 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 6,100 Penn Virginia Corp. $ 129,869
 36,001 PetroHawk Energy Corp.(a) 863,664
 2,480 Petroleum Development Corp.(a) 45,161
 9,200 Petroquest Energy, Inc.(a) 56,396
 15,219 Plains Exploration & Production Co.(a) 420,958
 4,000 Quest Resource Corp.(a) 2,320
 15,260 Quicksilver Resources, Inc.(a) 229,053
 7,700 Ram Energy Resources, Inc.(a) 15,785
 3,300 Resolute Energy Corp.(a) 38,016
 4,700 Rex Energy Corp.(a) 56,400
 7,400 Rosetta Resources, Inc.(a) 147,482
 24,200 SandRidge Energy, Inc.(a) 228,206
 12,854 Southern Union Co. 291,786
 8,400 St. Mary Land & Exploration Co. 287,616
 5,609 Stone Energy Corp.(a) 101,242
 4,100 Swift Energy Co.(a) 98,236
 9,000 Syntroleum Corp.(a) 23,940
 3,900 Toreador Resources Corp.(b) 38,610
 4,300 Tri-Valley Corp.(a),(b) 8,385
 18,200 Ultra Petroleum Corp.(a) 907,452
 6,500 Vaalco Energy, Inc. 29,575
 2,700 Venoco, Inc.(a) 35,208
 3,000 W&T Offshore, Inc. 35,100
 6,500 Warren Resources, Inc.(a) 15,925
 8,145 Western Refining, Inc.(a),(b) 38,363
 6,600 Whiting Petroleum Corp.(a) 471,570
 4,585 Zion Oil & Gas, Inc.(a) 32,783
 ------------
 10,975,983
 ------------
OIL EQUIPMENT, SERVICES & DISTRIBUTION - 2.2%
 2,000 Allis-Chalmers Energy, Inc.(a) 7,540
 7,600 Atwood Oceanics, Inc.(a) 272,460
 2,600 Basic Energy Services, Inc.(a) 23,140
 1,300 Bolt Technology Corp.(a) 14,326
 6,900 Boots & Coots, Inc.(a) 11,385
 3,400 Bristow Group, Inc.(a) 130,730
 3,500 Bronco Drilling Co., Inc.(a) 17,745
 2,850 CARBO Ceramics, Inc. 194,284
 8,675 Cal Dive International, Inc.(a) 65,583
 4,400 Chart Industries, Inc.(a) 72,820
 6,000 Complete Production Services, Inc.(a) 78,000
 7,700 Crosstex Energy, Inc. 46,585
 1,800 Dawson Geophysical Co.(a) 41,598
 9,200 Dresser-Rand Group, Inc.(a) 290,812
 3,300 Dril-Quip, Inc.(a) 186,384
 1 Enbridge Energy Management LLC(a) 53
 7,463 Exterran Holdings, Inc.(a) 160,081
 2,400 Flotek Industries, Inc.(a) 3,216
 1,500 Geokinetics, Inc.(a) 14,430
 11,730 Global Industries Ltd.(a) 83,635
 1,630 Gulf Island Fabrication, Inc. 34,279
 2,500 Gulfmark Offshore, Inc.(a) 70,775
 10,184 Helix Energy Solutions Group, Inc.(a) 119,662
 11,800 Helmerich & Payne, Inc. 470,584
 17,300 Hercules Offshore, Inc.(a) 82,694
 3,100 Hornbeck Offshore Services, Inc.(a) 72,168
 9,600 ION Geophysical Corp.(a) 56,832
 13,600 Key Energy Services, Inc.(a) 119,544
 1 Kinder Morgan Management LLC(a) 55

SCHEDULE OF INVESTMENTS | 65

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,200 Lufkin Industries, Inc. $ 161,040
 3,000 Matrix Service Co.(a) 31,950
 1,700 Mitcham Industries, Inc.(a) 12,529
 4,700 NGAS Resources, Inc.(a) 7,943
 2,200 Natural Gas Services Group(a) 41,470
 6,900 Newpark Resources, Inc.(a) 29,187
 11,600 OGE Energy Corp. 427,924
 1,000 OYO Geospace Corp.(a) 42,890
 5,900 Oceaneering International, Inc.(a) 345,268
 5,500 Oil States International, Inc.(a) 216,095
 3,600 Omni Energy Services Corp.(a) 4,500
 1,900 PHI, Inc.(a) 39,330
 12,500 Parker Drilling Co.(a) 61,875
 19,610 Patterson-UTI Energy, Inc. 301,014
 5,500 Pioneer Drilling Co.(a) 43,450
 18,400 Pride International, Inc.(a) 587,144
 3,375 RPC, Inc. 35,100
 2,677 SEACOR Holdings, Inc.(a) 204,121
 1,773 Seahawk Drilling, Inc.(a) 39,963
 12,700 Sulphco, Inc.(a),(b) 8,509
 8,226 Superior Energy Services, Inc.(a) 199,810
 2,400 Superior Well Services, Inc.(a) 34,224
 2,200 T-3 Energy Services, Inc.(a) 56,100
 2,300 Tesco Corp.(a) 29,693
 8,250 Tetra Technologies, Inc.(a) 91,410
 6,555 Tidewater, Inc. 314,312
 4,500 Trico Marine Services, Inc.(a) 20,430
 2,700 Union Drilling, Inc.(a) 16,875
 5,000 Unit Corp.(a) 212,500
 ------------
 6,358,056
 ------------
PERSONAL GOODS - 1.2%
 9,370 Alberto-Culver Co. 274,447
 3,100 American Apparel, Inc.(a) 9,610
 6,800 Bare Escentuals, Inc.(a) 83,164
 6,200 Carter's, Inc.(a) 162,750
 1,750 Charles & Colvard Ltd.(a) 2,030
 2,600 Chattem, Inc.(a) 242,580
 2,400 Cherokee, Inc. 42,768
 1,600 Columbia Sportswear Co. 62,464
 12,300 Crocs, Inc.(a) 70,725
 600 Culp, Inc.(a) 5,988
 1,800 Deckers Outdoor Corp.(a) 183,096
 3,300 Elizabeth Arden, Inc.(a) 47,652
 2,200 FGX International Holdings Ltd.(a) 43,098
 6,117 Fossil, Inc.(a) 205,286
 1,200 G-III Apparel Group, Ltd.(a) 26,004
 10,100 Hanesbrands, Inc.(a) 243,511
 3,700 Heelys, Inc.(a) 8,066
 2,800 Helen of Troy Ltd.(a) 68,488
 7,281 Iconix Brand Group, Inc.(a) 92,105
 2,450 Inter Parfums, Inc. 29,817
 2,300 Joe's Jeans, Inc.(a) 3,105
 9,500 Jones Apparel Group, Inc. 152,570
 3,200 K-Swiss, Inc., Class A 31,808
 1,800 Kenneth Cole Productions, Inc., Class A 17,370
 500 Lacrosse Footwear, Inc. 6,360
 1,210 Lakeland Industries, Inc.(a) 9,680
 14,400 Liz Claiborne, Inc.(a) 81,072
 1,600 Maidenform Brands, Inc.(a) 26,704
 2,600 Movado Group, Inc. 25,272
 1,900 Oxford Industries, Inc. 39,292
 1,100 Parlux Fragrances, Inc.(a) 2,266

66 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,100 Perry Ellis International, Inc.(a) $ 31,626
 6,300 Phillips-Van Heusen Corp. 256,284
 1,000 Phoenix Footwear Group, Inc.(a) 500
 1,000 Physicians Formula Holdings, Inc.(a) 2,710
 12,500 Quiksilver, Inc.(a) 25,250
 2,189 Revlon, Inc., Class A(a) 37,235
 1,000 Rocky Brands, Inc.(a) 7,500
 4,500 Skechers U.S.A., Inc., Class A(a) 132,345
 2,100 Steven Madden Ltd.(a) 86,604
 1,500 Superior Uniform Group, Inc. 14,625
 200 Tandy Brands Accessories, Inc.(a) 582
 4,000 Timberland Co., Class A(a) 71,720
 3,400 True Religion Apparel, Inc.(a) 62,866
 4,000 Under Armour, Inc., Class A(a) 109,080
 3,200 Unifi, Inc.(a) 12,416
 2,200 Volcom, Inc.(a) 36,828
 5,800 The Warnaco Group, Inc.(a) 244,702
 700 Weyco Group, Inc. 16,548
 5,400 Wolverine World Wide, Inc. 146,988
 ------------
 3,595,557
 ------------
PHARMACEUTICALS & BIOTECHNOLOGY - 4.3%
 2,500 AMAG Pharmaceuticals, Inc.(a) 95,075
 511 ARCA Biopharma, Inc.(a) 1,666
 2,900 ARYx Therapeutics, Inc.(a) 9,309
 19,500 AVI BioPharma, Inc.(a) 28,470
 14,600 Aastrom Biosciences, Inc.(a) 4,489
 613 The Abraxis Bioscience, Inc.(a) 24,857
 4,500 Acadia Pharmaceuticals, Inc.(a) 5,940
 4,200 Acorda Therapeutics, Inc.(a) 105,924
 2,600 Acura Pharmaceuticals, Inc.(a) 13,858
 7,200 Adolor Corp.(a) 10,512
 1,300 Affymax, Inc.(a) 32,162
 10,860 Affymetrix, Inc.(a) 63,422
 8,100 Akorn, Inc.(a) 14,499
 2,000 Albany Molecular Research, Inc.(a) 18,160
 10,300 Alexion Pharmaceuticals, Inc.(a) 502,846
 3,600 Alexza Pharmaceuticals, Inc.(a) 8,640
 10,400 Alkermes, Inc.(a) 97,864
 12,900 Allos Therapeutics, Inc.(a) 84,753
 3,900 Alnylam Pharmaceuticals, Inc.(a) 68,718
 1,700 Amicus Therapeutics, Inc.(a) 6,749
 17,000 Amylin Pharmaceuticals, Inc.(a) 241,230
 10,400 Anadys Pharmaceuticals, Inc.(a) 21,944
 400 Anesiva, Inc.(a) 65
 12,100 Antigenics, Inc.(a) 7,744
 1,900 Ardea Biosciences, Inc.(a) 26,600
 15,540 Arena Pharmaceuticals, Inc.(a),(b) 55,167
 20,200 Ariad Pharmaceuticals, Inc.(a) 46,056
 5,130 Arqule, Inc.(a) 18,930
 10,600 Array Biopharma, Inc.(a) 29,786
 1,500 AspenBio Pharma, Inc.(a) 2,610
 5,500 Auxilium Pharmaceuticals, Inc.(a) 164,890
 7,050 Avanir Pharmaceuticals, Inc.(a) 13,395
 6,000 BioCryst Pharmaceuticals, Inc.(a),(b) 38,760
 600 Biodel, Inc.(a) 2,604

SCHEDULE OF INVESTMENTS | 67

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 11,100 BioMarin Pharmaceuticals, Inc.(a) $ 208,791
 1,750 BioMimetic Therapeutics, Inc.(a) 20,878
 9,451 Biosante Pharmaceuticals, Inc.(a) 13,704
 23,000 CEL-SCI Corp.(a) 20,700
 90 CPEX Pharmaceuticals, Inc.(a) 1,016
 2,300 Cadence Pharmaceuticals, Inc.(a),(b) 22,241
 2,385 Caliper Life Sciences, Inc.(a) 6,129
 1,400 Caraco Pharmaceutical Laboratories Ltd.(a) 8,456
 8,800 Celera Corp.(a) 60,808
 83,895 Cell Therapeutics, Inc.(a),(b) 95,640
 6,266 Celldex Therapeutics, Inc.(a) 29,325
 10,900 Cerus Corp.(a) 21,691
 7,492 Charles River Laboratories International, Inc.(a) 252,405
 8,300 Chelsea Therapeutics International, Inc.(a) 22,410
 7,400 Columbia Laboratories, Inc.(a) 7,992
 7,900 Cubist Pharmaceuticals, Inc.(a) 149,863
 12,500 Curis, Inc.(a) 40,625
 7,500 Cypress Bioscience, Inc.(a) 43,200
 4,200 Cytokinetics, Inc.(a) 12,222
 6,200 Cytori Therapeutics, Inc.(a),(b) 37,820
 24,700 CytRx Corp.(a) 27,664
 15,930 Dendreon Corp.(a) 418,640
 7,300 Depomed, Inc.(a) 24,455
 26,500 Discovery Laboratories, Inc.(a),(b) 16,655
 7,200 Durect Corp.(a) 17,784
 1,300 Dusa Pharmaceuticals, Inc.(a) 2,002
 8,000 Dyax Corp.(a) 27,120
 5,100 Dynavax Technologies Corp.(a) 7,089
 2,500 Emergent Biosolutions, Inc.(a) 33,975
 4,800 Emisphere Technologies, Inc.(a) 5,088
 12,800 Endo Pharmaceuticals Holdings, Inc.(a) 262,528
 4,300 Entremed, Inc.(a) 3,440
 3,973 Enzo Biochem, Inc.(a) 21,375
 6,700 Enzon Pharmaceuticals, Inc.(a) 70,551
 673 EpiCept Corp.(a),(b) 390
 1,600 Exact Sciences Corp.(a) 5,424
 11,500 Exelixis, Inc.(a) 84,755
 3,680 Facet Biotech Corp.(a) 64,694
 900 GTC Biotherapeutics, Inc.(a) 666
 2,400 GTx, Inc.(a),(b) 10,080
 6,300 Gen-Probe, Inc.(a) 270,270
 29,600 GenVec, Inc.(a) 35,520
 566 General Liquidating Trust Certificates(a) 1
 2,100 Genomic Health, Inc.(a) 41,076
 26 Genta, Inc.(a) 2
 14,100 Geron Corp.(a) 78,255
 7,300 Halozyme Therapeutics, Inc.(a) 42,851
 1,520 Harvard Bioscience, Inc.(a) 5,426
 500 Helicos BioSciences Corp.(a) 515
 40,400 Hemispherx Biopharma, Inc.(a),(b) 22,624
 1,675 Hi-Tech Pharmacal Co., Inc.(a) 46,984
 2,300 Hollis-Eden Pharmaceuticals, Inc.(a) 1,219
 21,300 Human Genome Sciences, Inc.(a) 651,780
 3,600 Idenix Pharmaceuticals, Inc.(a) 7,740
 2,100 Idera Pharmaceuticals, Inc.(a) 10,857

68 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 15,992 Illumina, Inc.(a),(b) $ 490,155
 9,200 ImmunoGen, Inc.(a) 72,312
 10,300 Immunomedics, Inc.(a) 33,063
 5,000 Impax Laboratories, Inc.(a) 68,000
 15,304 Incyte Corp.(a) 139,419
 1,000 Infinity Pharmaceuticals, Inc.(a) 6,180
 13,600 Inovio Biomedical Corp.(a) 15,504
 13,600 Insmed, Inc.(a) 10,472
 6,300 Inspire Pharmaceuticals, Inc.(a) 34,776
 3,800 InterMune, Inc.(a) 49,552
 9,900 Isis Pharmaceuticals, Inc.(a) 109,890
 5,300 Ista Pharmaceuticals, Inc.(a) 24,168
 6,200 Javelin Pharmaceuticals, Inc.(a) 8,060
 3,500 Jazz Pharmaceuticals, Inc.(a),(b) 27,580
 4,100 K-V Pharmaceutical Co., Class A(a) 15,047
 12,700 Keryx Biopharmaceuticals, Inc.(a),(b) 31,750
 5,540 La Jolla Pharmaceutical Co.(a) 927
 6,300 Lexicon Genetics, Inc.(a) 10,710
 10,752 Ligand Pharmaceuticals, Inc., Class B(a) 23,332
 5,300 Luminex Corp.(a) 79,129
 400 MAP Pharmaceuticals, Inc.(a) 3,812
 3,390 MDRNA, Inc.(a) 2,746
 7,400 MannKind Corp.(a),(b) 64,824
 1,800 Matrixx Initiatives, Inc.(a) 7,596
 7,100 Maxygen, Inc.(a) 43,239
 7,470 Medicines Co.(a) 62,300
 7,500 Medicis Pharmaceutical Corp., Class A 202,875
 4,600 Medivation, Inc.(a) 173,190
 5,933 Micromet, Inc.(a) 39,514
 8,000 MiddleBrook Pharmaceuticals, Inc.(a) 4,080
 3,700 Molecular Insight Pharmaceuticals, Inc.(a) 8,325
 3,400 Momenta Pharmaceuticals, Inc.(a) 42,874
 12,100 Myriad Genetics, Inc.(a) 315,810
 5,800 Myriad Pharmaceuticals, Inc.(a) 29,174
 6,340 NPS Pharmaceuticals, Inc.(a) 21,556
 5,700 Nabi Biopharmaceuticals(a) 27,930
 10,100 Nektar Therapeutics(a) 94,132
 5,345 Neurocrine Biosciences, Inc.(a) 14,538
 4,900 Nile Therapeutics, Inc.(a) 5,929
 11,700 Novavax, Inc.(a),(b) 31,122
 6,567 OSI Pharmaceuticals, Inc.(a) 203,774
 2,700 Obagi Medical Products, Inc.(a) 32,400
 1,000 OncoGenex Pharmaceutical, Inc.(a) 22,280
 7,700 Onyx Pharmaceuticals, Inc.(a) 225,918
 8,500 Opko Health, Inc.(a) 15,555
 3,700 Optimer Pharmaceuticals, Inc.(a),(b) 41,736
 1,745 Orchid Cellmark, Inc.(a) 2,984
 380 Ore Pharmaceutical Holdings, Inc.(a) 198
 5,400 Orexigen Therapeutics, Inc.(a) 40,176
 4,100 Orthologic Corp.(a) 2,952
 2,000 Osiris Therapeutics, Inc.(a) 14,280
 2,000 OxiGene, Inc.(a) 2,280
 17,500 PDL BioPharma, Inc. 120,050
 4,500 Pain Therapeutics, Inc.(a) 24,120
 10,600 Palatin Technologies, Inc.(a) 3,710

SCHEDULE OF INVESTMENTS | 69

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 5,000 Par Pharmaceutical Cos., Inc.(a) $ 135,300
 4,600 Penwest Pharmaceuticals Co.(a) 11,914
 4,160 Peregrine Pharmaceuticals, Inc.(a),(b) 12,314
 9,000 Perrigo Co. 358,560
 3,849 Pharmacyclics, Inc.(a) 12,086
 2,300 Pharmasset, Inc.(a) 47,610
 933 Poniard Pharmaceuticals, Inc.(a) 1,707
 3,300 Pozen, Inc.(a) 19,767
 3,900 Prestige Brands Holdings, Inc.(a) 30,654
 3,200 Progenics Pharmaceuticals, Inc.(a) 14,208
 6,900 Questcor Pharmaceuticals, Inc.(a) 32,775
 507 RXi Pharmaceuticals Corp.(a) 2,322
 22 Raptor Pharmaceutical Corp.(a) 40
 6,800 Regeneron Pharmaceuticals, Inc.(a) 164,424
 3,300 Repligen Corp.(a) 13,563
 1,300 Repros Therapeutics, Inc.(a) 1,036
 5,000 Rexahn Pharmaceuticals, Inc.(a) 3,400
 4,165 Rigel Pharmaceuticals, Inc.(a) 39,609
 6,500 SIGA Technologies, Inc.(a) 37,700
 6,953 Salix Pharmaceuticals Ltd.(a) 176,606
 4,200 Sangamo Biosciences, Inc.(a),(b) 24,864
 9,200 Santarus, Inc.(a) 42,504
 8,784 Savient Pharmaceuticals, Inc.(a) 119,550
 7,700 Sciclone Pharmaceuticals, Inc.(a) 17,941
 7,944 Seattle Genetics, Inc.(a) 80,711
 11,266 Sequenom, Inc.(a),(b) 46,641
 3,000 Somaxon Pharmaceuticals, Inc.(a) 3,240
 7,216 Spectrum Pharmaceuticals, Inc.(a) 32,039
 29,000 StemCells, Inc.(a),(b) 36,540
 5,000 Strategic Diagnostics, Inc.(a) 6,900
 900 Sucampo Pharmaceuticals, Inc., Class A(a) 3,636
 3,130 SuperGen, Inc.(a) 8,201
 2,100 Synta Pharmaceuticals Corp.(a) 10,626
 5,300 Talecris Biotherapeutics Holdings Corp.(a) 118,031
 1,500 Targacept, Inc.(a) 31,380
 850 Targeted Genetics Corp.(a) 238
 4,000 Techne Corp. 274,240
 8,430 Telik, Inc.(a) 6,444
 5,500 Theravance, Inc.(a) 71,885
 1,216 Threshold Pharmaceuticals, Inc.(a) 2,189
 800 Transcept Pharmaceuticals, Inc.(a) 5,464
 900 Transgenomic, Inc.(a) 621
 2,900 Trimeris, Inc. 7,598
 400 Trubion Pharmaceuticals, Inc.(a) 1,544
 10,700 Unigene Laboratories, Inc.(a) 7,704
 5,800 United Therapeutics Corp.(a) 305,370
 7,700 Valeant Pharmaceuticals International(a) 244,783
 3,700 Vanda Pharmaceuticals, Inc.(a) 41,588
 21,762 Vertex Pharmaceuticals, Inc.(a) 932,502
 9 Via Pharmaceuticals, Inc.(a) 2
 7,500 Vical, Inc.(a) 24,675
 7,400 ViroPharma, Inc.(a) 62,086

70 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 11,400 Vivus, Inc.(a),(b) $ 104,766
 28,400 XOMA Ltd.(a) 19,846
 3,000 Xenoport, Inc.(a) 55,680
 5,900 ZymoGenetics, Inc.(a) 37,701
 ------------
 12,366,435
 ------------
REAL ESTATE INVESTMENT & SERVICES - 0.5%
 500 American Realty Investors, Inc.(a) 6,125
 700 Avatar Holdings, Inc.(a) 11,907
 29,300 Brookfield Properties Corp. 355,116
 300 Consolidated-Tomoka Land Co. 10,482
 13,600 Forest City Enterprises, Inc., Class A(a) 160,208
 5,133 Forestar Group, Inc.(a) 112,823
 4,922 Grubb & Ellis Co.(a) 6,300
 2,700 HFF, Inc., Class A(a) 16,875
 5,680 Hilltop Holdings, Inc.(a) 66,115
 5,025 Jones Lang LaSalle, Inc. 303,510
 4,000 LoopNet, Inc.(a) 39,760
 1,600 Market Leader, Inc.(a) 3,360
 400 Maui Land & PineappleCo., Inc.(a) 2,220
 12,824 Move, Inc.(a) 21,288
 2,000 Reis, Inc.(a) 12,300
 10,500 The St. Joe Co.(a) 303,345
 200 Stratus Properties, Inc.(a) 2,200
 900 Tejon Ranch Co.(a) 26,298
 2,600 Thomas Properties Group, Inc. 7,696
 100 Transcontinental Realty Investors, Inc.(a) 1,191
 1,049 ZipRealty, Inc.(a) 3,944
 ------------
 1,473,063
 ------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 6.0%
 16,000 AMB Property Corp. 408,800
 3,000 ARMOUR Residential REIT, Inc.(a) 24,750
 3,427 Acadia Realty Trust 57,813
 1,400 Agree Realty Corp. 32,606
 300 Alexander's, Inc.(a) 91,326
 5,273 Alexandria Real Estate Equities, Inc.(b),(c) 339,001
 7,275 American Campus Communities, Inc. 204,428
 3,190 American Capital Agency Corp. 84,663
 66,600 Annaly Capital Management, Inc.(b) 1,155,510
 16,600 Anworth Mortgage Asset Corp. 116,200
 2,700 Apollo Commercial Real Estate Finance, Inc.(a) 48,573
 2,800 Arbor Realty Trust, Inc. 5,572
 485 Arlington Asset Investment Corp.(a) 7,387
 10,700 Ashford Hospitality Trust, Inc.(a) 49,648
 4,000 Associated Estates Realty Corp. 45,080
 7,135 BRE Properties, Inc. 236,026
 2,374 BRT Realty Trust(a) 12,108
 10,600 BioMed Realty Trust, Inc. 167,268
 13,914 Brandywine Realty Trust 158,620
 15,120 CBL & Associates Properties, Inc. 146,210
 8,157 Camden Property Trust 345,612
 2,100 Capital Trust, Inc.(a) 2,667
 5,600 CapLease, Inc. 24,528
 9,200 Capstead Mortgage Corp. 125,580
 2,700 Care Investment Trust, Inc. 21,006
 5,400 Cedar Shopping Centers, Inc. 36,720
 70,700 Chimera Investment Corp. 274,316
 6,700 Cogdell Spencer, Inc. 37,922
 6,200 Colonial Properties Trust 72,726
 2,800 Colony Financial, Inc. 57,036
 7,500 Corporate Office Properties Trust 274,725
 9,323 Cousins Properties, Inc. 71,135

SCHEDULE OF INVESTMENTS | 71

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SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,500 Cypress Sharpridge Investments, Inc. $ 33,775
 21,600 DCT Industrial Trust, Inc. 108,432
 13,922 Developers Diversified Realty Corp. 128,918
 14,800 DiamondRock Hospitality Co. 125,356
 8,900 Digital Realty Trust, Inc. 447,492
 12,500 Douglas Emmett, Inc. 178,125
 23,875 Duke Realty Corp. 290,559
 4,700 Dupont Fabros Technology, Inc. 84,553
 4,400 Dynex Capital Corp. 38,412
 2,700 Eastgroup Properties, Inc. 103,356
 6,990 Education Realty Trust, Inc. 33,832
 4,300 Entertainment Properties Trust 151,661
 3,200 Equity Lifestyle Properties, Inc. 161,504
 3,655 Equity One, Inc. 59,101
 3,700 Essex Property Trust, Inc. 309,505
 12,160 Extra Space Storage, Inc. 140,448
 5,647 FBR Capital Markets Corp.(a) 34,898
 7,240 Federal Realty Investment Trust 490,293
 6,800 FelCor Lodging Trust, Inc.(a) 24,480
 6,700 First Industrial Realty Trust, Inc. 35,041
 3,000 First Potomac Realty Trust 37,710
 7,000 Franklin Street Properties Corp. 102,270
 1,900 Getty Realty Corp. 44,707
 2,000 Gladstone Commercial Corp. 26,820
 8,100 Glimcher Realty Trust 21,870
 1,100 Government Properties Income Trust 25,278
 9,939 Gramercy Capital Corp.(a) 25,742
 25,200 HRPT Properties Trust 163,044
 5,200 Hatteras Financial Corp. 145,392
 6,500 Healthcare Realty Trust, Inc. 139,490
 8,300 Hersha Hospitality Trust 26,062
 8,850 Highwoods Properties, Inc. 295,148
 4,600 Home Properties, Inc. 219,466
 15,357 Hospitality Properties Trust(a) 364,114
 6,400 Inland Real Estate Corp. 52,160
 1,900 InvesCo. Mortgage Capital, Inc. 43,244
 6,500 Investors Real Estate Trust 58,500
 16,400 iStar Financial, Inc.(a),(b) 41,984
 95 JER Investors Trust, Inc.(a) 12
 6,100 Kilroy Realty Corp. 187,087
 5,600 Kite Realty Group Trust 22,792
 4,400 LTC-Amerivest Liquidating Trust(a) -
 2,000 LTC Properties, Inc. 53,500
 8,400 LaSalle Hotel Properties 178,332
 9,548 Lexington Corporate Properties Trust 58,052
 12,160 Liberty Property Trust 389,242
 34,500 MFA Financial, Inc. 253,575
 10,641 The Macerich Co. 382,543
 9,900 Mack-Cali Realty Corp. 342,243
 9,100 Maguire Properties, Inc.(a) 13,741
 7,100 Medical Properties Trust, Inc. 71,000
 4,000 Mid-America Apartment Communities, Inc. 193,120
 1,100 Mission West Properties, Inc. 7,909
 2,462 Monmouth Real Estate Investment Corp., Class A 18,317

72 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,100 National Health Investors, Inc. $ 77,679
 8,791 National Retail Properties, Inc. 186,545
 12,800 Nationwide Health Properties, Inc. 450,304
 3,300 New York Mortgage Trust, Inc. 23,892
 11,705 Newcastle Investment Corp.(a) 24,463
 10,985 NorthStar Realty Finance Corp. 37,679
 8,600 Omega Healthcare Investors, Inc. 167,270
 1,217 One Liberty Properties, Inc.(a) 10,685
 2,125 PMC Commercial Trust 15,938
 2,200 PS Business Parks, Inc. 110,110
 2,900 Parkway Properties, Inc. 60,378
 1,200 Pebblebrook Hotel Trust(a) 26,412
 4,399 Pennsylvania Real Estate Investment Trust 37,216
 1,950 Pennymac Mortgage Investment Trust(a) 33,501
 4,900 Post Properties, Inc. 96,040
 5,359 Potlatch Corp. 170,845
 8,800 RAIT Investment Trust(b) 11,528
 2,000 Ramco-Gershenson Properties Trust 19,080
 9,771 Rayonier, Inc. 411,945
 12,700 Realty Income Corp.(b) 329,057
 6,600 Redwood Trust, Inc. 95,436
 11,100 Regency Centers Corp. 389,166
 7,600 Resource Capital Corp. 37,392
 490 Roberts Realty Investors, Inc.(a) 637
 9,382 SL Green Realty Corp. 471,352
 1,300 Saul Centers, Inc. 42,588
 16,800 Senior Housing Properties Trust 367,416
 2,500 Sovran Self Storage, Inc. 89,325
 4,956 Starwood Property Trust, Inc. 93,619
 14,800 Strategic Hotel Capital, Inc.(a),(b) 27,528
 2,600 Sun Communities, Inc. 51,350
 9,380 Sunstone Hotel Investors, Inc. 83,294
 300 Supertel Hospitality, Inc. 450
 4,200 Tanger Factory Outlet Centers, Inc. 163,758
 7,200 Taubman Centers, Inc. 258,552
 8,319 U-Store-It Trust 60,895
 18,464 UDR, Inc. 303,548
 500 UMH Properties, Inc. 4,240
 1,300 Universal Health Realty Income Trust 41,639
 1,300 Urstadt Biddle Properties, Inc. 19,500
 900 Urstadt Biddle Properties, Inc., Class A 13,743
 3,118 Walter Investment Management Corp. 44,681
 6,300 Washington Real Estate Investment Trust 173,565
 12,675 Weingarten Realty Investors 250,838
 4,748 Winthrop Realty Trust 51,563
 ------------
 17,156,411
 ------------
SOFTWARE & COMPUTER SERVICES - 4.5%
 3,600 ACI Worldwide, Inc.(a) 61,740
 3,400 AMICAS, Inc.(a) 18,496
 13,200 AOL, Inc.(a) 307,296
 3,000 Accelrys, Inc.(a) 17,190
 4,800 Actuate Corp.(a) 20,544
 1,900 Advent Software, Inc.(a),(b) 77,387
 4,300 American Software, Class A 25,800
 200 Analysts International Corp.(a) 134
 800 Answers Corp.(a) 7,184
 9,606 Ansys, Inc.(a) 417,477
 4,300 ArcSight, Inc.(a) 109,994
 12,054 Ariba, Inc.(a) 150,916
 14,071 Art Technology Group, Inc.(a) 63,460

SCHEDULE OF INVESTMENTS | 73

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 4,300 athenahealth, Inc.(a) $ 194,532
 2,231 Atrinsic, Inc.(a) 1,472
 2,000 Authentidate Holding Corp.(a) 2,100
 1,150 BSQUARE Corp.(a) 2,852
 4,400 BigBand Networks, Inc.(a) 15,136
 4,748 Blackbaud, Inc. 112,195
 4,200 Blackboard, Inc.(a) 190,638
 4,300 Bottomline Technologies, Inc.(a) 75,551
 4,000 CACI International, Inc., Class A(a) 195,400
 4,165 CSG Systems International, Inc.(a) 79,510
 34,700 Cadence Design Systems, Inc.(a) 207,853
 1,900 Callidus Software, Inc.(a) 5,738
 7,700 Cerner Corp.(a) 634,788
 3,020 Chordiant Software, Inc.(a) 8,305
 3,800 Ciber, Inc.(a) 13,110
 1 Cicero, Inc.(a) -
 7,200 Clearwire Corp., Class A(a),(b) 48,672
 5,700 Cogent Communications Group, Inc.(a) 56,202
 700 Communication Intelligence Corp.(a) 70
 4,300 CommVault Systems, Inc.(a) 101,867
 1,900 Computer Programs & Systems, Inc. 87,495
 5,100 Concur Technologies, Inc.(a) 218,025
 9,200 Convera Corp.(a) 2,236
 4,200 DST Systems, Inc.(a) 182,910
 4,200 DealerTrack Holdings, Inc.(a) 78,918
 2,613 Delrek, Inc.(a) 20,329
 100 Deltathree, Inc., Class A(a) 37
 2,500 DemandTec, Inc.(a) 21,925
 3,000 Diamond Management & Technology Consultants, Inc. 22,110
 1,700 Digimarc Corp.(a) 25,483
 5,100 Digital River, Inc.(a) 137,649
 4,500 DivX, Inc.(a) 25,380
 2,700 Double-Take Software, Inc.(a) 26,973
 1,400 Dynamics Research Corp.(a) 14,854
 3,400 EPIQ Systems, Inc.(a) 47,566
 15,900 EarthLink, Inc. 132,129
 1,600 Ebix, Inc.(a),(b) 78,128
 6,000 Eclipsys Corp.(a) 111,120
 20 Egain Communications Corp.(a) 21
 5,700 Epicor Software Corp.(a) 43,434
 4,615 Equinix, Inc.(a) 489,882
 2 Evolve Software, Inc.(a) -
 1,600 Evolving Systems, Inc.(a) 10,000
 5,051 Fair Isaac Corp. 107,637
 5,800 FalconStor Software, Inc.(a) 23,548
 2,000 Forrester Research, Inc.(a) 51,900
 100 Fortinet, Inc.(a) 1,757
 1,203 GSE Systems, Inc.(a) 6,592
 6,080 Gartner, Inc., Class A(a) 109,683
 3,000 Guidance Software, Inc.(a) 15,750
 7,300 The Hackett Group, Inc.(a) 20,294
 2,600 i2 Technologies, Inc.(a) 49,712
 13,350 IAC/InterActiveCorp.(a) 273,408
 2,100 ICF International, Inc.(a) 56,280
 4,600 iGate Corp. 46,000
 1,800 Imergent, Inc. 10,926
 4,800 Immersion Corp.(a) 21,936
 10,900 Informatica Corp.(a) 281,874
 3,840 Infospace, Inc.(a) 32,909
 4,300 Innodata Corp.(a) 23,822
 6,445 Inter Allscripts - Misys Healthcare Solutions, Inc.(a) 130,382

74 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,100 Interactive Intelligence, Inc.(a) $ 38,724
 5,610 Internap Network Services Corp.(a) 26,367
 4,275 Internet Capital Group, Inc.(a) 28,429
 5,900 Ipass, Inc. 6,136
 5,100 Isilon Systems, Inc.(a) 34,986
 5,100 j2 Global Communications, Inc.(a) 103,785
 3,400 JDA Software Group, Inc.(a) 86,598
 2,200 Kenexa Corp.(a) 28,710
 2,400 Keynote Systems, Inc. 26,184
 13,700 Lawson Software, Inc.(a) 91,105
 5,600 LivePerson, Inc.(a) 39,032
 300 LogMeIn, Inc.(a) 5,985
 1,342 LookSmart, Ltd.(a) 1,369
 10,940 Magma Design Automation, Inc.(a),(b) 25,271
 3,200 Manhattan Associates, Inc.(a) 76,896
 346 Mastech Holdings, Inc.(a) 1,626
 4,300 MedAssets, Inc.(a) 91,203
 1,100 Medidata Solutions, Inc.(a) 17,160
 9,700 Mentor Graphics Corp.(a) 85,651
 3,500 Merge Healthcare, Inc.(a) 11,760
 1,390 MicroStrategy, Inc., Class A(a) 130,688
 1,100 Monotype Imaging Holdings, Inc.(a) 9,933
 1,700 NCI, Inc., Class A(a) 47,005
 4,000 NIC, Inc. 36,560
 313 NaviSite, Inc.(a) 626
 2,900 NetScout Systems, Inc.(a) 42,456
 20 NetSol Technologies, Inc.(a) 21
 1,600 NetSuite, Inc.(a) 25,568
 27,335 Nuance Communications, Inc.(a) 424,786
 19,400 On2 Technologies, Inc.(a),(b) 11,834
 6,061 Openwave Systems, Inc.(a) 13,819
 1,200 Opnet Technologies, Inc. 14,628
 2,300 PC-Tel, Inc.(a) 13,616
 300 PDF Solutions, Inc.(a) 1,155
 4,591 PLATO Learning, Inc.(a) 20,017
 1,800 PROS Holdings, Inc.(a) 18,630
 14,800 Parametric Technology Corp.(a) 241,832
 2,400 Pegasystems, Inc. 81,600
 3,400 Perficient, Inc.(a) 28,662
 4,700 Phase Forward, Inc.(a) 72,145
 3,200 Phoenix Technologies Ltd.(a) 8,800
 5,885 Premiere Global Services, Inc.(a) 48,551
 4,400 Progress Software Corp.(a) 128,524
 1,700 QAD, Inc. 10,387
 2,500 Quality Systems, Inc. 156,975
 8,300 Quest Software, Inc.(a) 152,720
 10,100 Rackspace Hosting, Inc.(a) 210,585
 1,700 Renaissance Learning, Inc. 19,312
 2,700 RightNow Technologies, Inc.(a) 46,899
 2,700 RiskMetrics Group, Inc.(a) 42,957
 1,200 Rosetta Stone, Inc.(a) 21,540
 11,099 Rovi Corp.(a) 353,725
 6,000 S1 Corp.(a) 39,120
 4,033 SAVVIS, Inc.(a) 56,664
 4,300 SRA International, Inc., Class A(a) 82,130
 2,800 SRS Labs Inc.(a) 20,524
 3,529 Saba Software, Inc.(a) 14,610
 9,600 Sapient Corp.(a) 79,392
 100 Scientific Learning Corp.(a) 503
 11,400 Selectica, Inc.(a) 2,633
 3,200 Smith Micro Software, Inc.(a) 29,248
 4,800 SolarWinds, Inc.(a) 110,448

SCHEDULE OF INVESTMENTS | 75

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 7,600 Solera Holdings, Inc. $ 273,676
 4,500 Sonic Solutions, Inc.(a) 53,235
 3,400 Sourcefire, Inc.(a) 90,950
 1,900 Stanley, Inc.(a) 52,079
 5,400 SuccessFactors, Inc.(a) 89,532
 5,000 Support.com, Inc.(a) 13,200
 3,500 Switch and Data Facilities Co., Inc.(a) 70,735
 10,055 Sybase, Inc.(a) 436,387
 2,400 Synchronoss Technologies, Inc.(a) 37,944
 18,205 Synopsys, Inc.(a) 405,607
 2,400 Syntel, Inc. 91,272
 23,300 TIBCO Software, Inc.(a) 224,379
 4,800 Taleo Corp., Class A(a) 112,896
 2,300 TechTeam Global, Inc.(a) 17,503
 7,100 TeleCommunication Systems, Inc., Class A(a) 68,728
 2,900 Terremark Worldwide, Inc.(a) 19,836
 4,000 Tyler Technologies, Inc.(a) 79,640
 3,100 Ultimate Software Group, Inc.(a) 91,047
 100 Unica Corp.(a) 775
 4,250 Unisys Corp.(a) 163,880
 8,974 United Online, Inc. 64,523
 3,300 VASCO Data Security International, Inc.(a) 20,691
 5,100 VMware, Inc.(a) 216,138
 2,700 Virtusa Corp.(a) 24,462
 2,300 Vital Images, Inc.(a) 29,187
 2,100 Vocus, Inc.(a) 37,800
 666 Wave Systems Corp., Class A(a) 946
 5,723 Web.Com Group, Inc.(a) 37,371
 4,700 Websense, Inc.(a) 82,062
 125 Zanett, Inc.(a) 49
 12,800 Zix Corp.(a) 21,888
 ------------
 12,891,846
 ------------
SPECIALTY RETAIL - 0.0%
 1,400 Gander Mountain Co.(a) 7,140
 ------------
SUPPORT SERVICES - 4.2%
 2,600 3PAR, Inc.(a) 30,810
 5,000 ABM Industries, Inc. 103,300
 2,000 A.M. Castle & Co. 27,380
 4,420 AMN Healthcare Services, Inc.(a) 40,045
 500 AMREP Corp.(a) 6,850
 3,400 APAC Customer Services, Inc.(a) 20,264
 1,100 ATG, Inc.(a) -
 3,300 Acacia Research - Acacia Technologies(a) 30,063
 2,500 Administaff, Inc. 58,975
 1,900 The Advisory Board Co.(a) 58,254
 10,200 Aecom Technology Corp.(a) 280,500
 6,500 Alliance Data Systems Corp.(a),(b) 419,835
 1,000 American Caresource Holdings, Inc.(a) 2,400
 1,500 American Dental Partners, Inc.(a) 19,350
 2,360 American Ecology Corp. 40,214
 4,200 American Reprographics Co.(a) 29,442
 4,300 Applied Industrial Technologies, Inc. 94,901
 6,100 Arcadia Resources, Inc.(a) 3,050
 3,800 Barnes Group, Inc. 64,220
 800 Barrett Business Services, Inc. 9,832
 1,900 Black Box Corp. 53,846
 3,109 Bowne & Co., Inc. 20,768
 6,600 The Brink's Co. 160,644
 4,600 Brink's Home Security Holdings, Inc.(a) 150,144
 17,000 Broadridge Financial Solutions LLC 383,520
 6,545 CBIZ, Inc.(a) 50,397
 1,500 CDI Corp. 19,425
 1,400 COMSYS IT Partners, Inc.(a) 12,446
 1,400 CRA International, Inc.(a) 37,310

76 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 600 Cardtronics, Inc.(a) $ 6,642
 6,900 Casella Waste Systems, Inc.(a) 27,738
 500 Cass Information Systems, Inc. 15,200
 5,000 Cenveo, Inc.(a) 43,750
 700 Champion Industries, Inc. 1,064
 3,100 Clean Harbors, Inc.(a) 184,791
 4,300 Coinstar, Inc.(a) 119,454
 4,400 Comfort Systems USA, Inc. 54,296
 1,700 Consolidated Graphics, Inc.(a) 59,534
 11,900 Convergys Corp.(a) 127,925
 1,700 Cornell Cos., Inc.(a) 38,590
 3,600 Corporate Executive Board Co. 82,152
 13,000 Corrections Corp. of America(a) 319,150
 2,400 CoStar Group, Inc.(a) 100,248
 3,200 Crawford & Co., Class B(a) 12,608
 3,600 Cross Country Healthcare, Inc.(a) 35,676
 9,150 CyberSource Corp.(a) 184,006
 1,600 DXP Enterprises, Inc.(a) 20,912
 4,600 Deluxe Corp. 68,034
 3,100 Dice Holdings, Inc.(a) 20,305
 2,700 DigitalGlobe, Inc.(a) 65,340
 2,500 Document Security Systems, Inc.(a) 6,125
 2,600 DynCorp. International, Inc.(a) 37,310
 700 ENGlobal Corp.(a) 2,191
 1 EVCI Career Colleges Holding Corp.(a) -
 40 eLoyalty Corp.(a) 275
 2,759 Emdeon, Inc., Class A(a) 42,075
 8,400 EnergySolutions, Inc. 71,316
 2,300 Ennis, Inc. 38,617
 5,245 Euronet Worldwide, Inc.(a) 115,128
 2,300 ExlService Holdings, Inc.(a) 41,768
 1,700 Exponent, Inc.(a) 47,328
 6,550 FTI Consulting, Inc.(a) 308,898
 3,300 Franklin Covey Co.(a) 20,790
 300 Frontline Capital Group(a) -
 4,100 Fuel Tech, Inc.(a) 33,497
 2,100 Furmamite Corp.(a) 8,001
 2,000 G&K Services, Inc., Class A 50,260
 3,400 GP Strategies Corp.(a) 25,602
 5,800 Genpact Ltd.(a) 86,420
 5,700 The Geo Group, Inc.(a) 124,716
 2,300 GeoEye, Inc.(a) 64,124
 4,400 Global Cash Access, Inc.(a) 32,956
 8,920 Global Payments, Inc. 480,431
 3,900 Harris Interactive, Inc.(a) 4,641
 3,200 Heartland Payment Systems, Inc. 42,016
 2,800 Heidrick & Struggles International, Inc. 87,472
 10,520 Hewitt Associates, Inc., Class A(a) 444,575
 1,800 Hudson Highland Group, Inc.(a) 8,532
 3,400 Huron Consulting Group, Inc.(a) 78,336
 2,200 ICT Group, Inc.(a) 35,926
 4,400 Innerworkings, Inc.(a) 25,960
 3,600 Interline Brands, Inc.(a) 62,172
 10,400 Jack Henry & Associates, Inc. 240,448
 2,800 Kaman Corp., Class A 64,652
 3,400 Kelly Services, Inc., Class A 40,562
 4,070 Kforce, Inc.(a) 50,875
 4,700 Korn/Ferry International(a) 77,550
 3,900 LECG Corp.(a) 11,661
 534 Lawson Products, Inc. 9,425
 10,400 Lender Processing Services, Inc. 422,864
 1,000 Lincoln Educational Services Corp.(a) 21,670
 5,700 Lionbridge Technologies, Inc.(a) 13,110

SCHEDULE OF INVESTMENTS | 77

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,600 M&F Worldwide Corp.(a) $ 63,200
 2,000 MAXIMUS, Inc. 100,000
 9,000 MPS Group, Inc.(a) 123,660
 4,600 MSC Industrial Direct Co., Class A 216,200
 1,400 MWI Veterinary Supply, Inc.(a) 52,780
 3,900 Management Network Group, Inc.(a) 1,638
 9,516 Manpower, Inc. 519,383
 2,000 McGrath RentCorp 44,720
 2,900 Metalico, Inc.(a) 14,268
 900 Michael Baker Corp.(a) 37,260
 2,500 Mistras Group, Inc.(a) 37,650
 3,400 Mobile Mini, Inc.(a) 47,906
 5,070 Moduslink Global Solutions, Inc.(a) 47,709
 16,800 Nalco Holding Co. 428,568
 5,200 Navigant Consulting, Inc.(a) 77,272
 8,400 NeuStar, Inc., Class A(a) 193,536
 3,200 Odyssey Marine Exploration, Inc.(a) 4,512
 2,500 On Assignment, Inc.(a) 17,875
 1,900 Online Resources Corp.(a) 9,994
 60 Onvia, Inc.(a) 475
 4,070 PRG-Schultz International, Inc.(a) 24,054
 1,500 Park-Ohio Holdings Corp.(a) 8,475
 700 Perma-Fix Environmental Services(a) 1,589
 25 Pfsweb, Inc.(a) 37
 1,900 PowerSecure International, Inc.(a) 13,699
 1,175 Protection One, Inc.(a) 7,579
 800 RINO International Corp.(a) 22,120
 4,900 RSC Holdings, Inc.(a),(b) 34,496
 200 Rentrak Corp.(a) 3,534
 4,900 Resources Connection, Inc.(a) 103,978
 3,600 SYKES Enterprises, Inc.(a) 91,692
 3,050 Schnitzer Steel Industries, Inc., Class A 145,485
 2,000 School Specialty, Inc.(a) 46,780
 5,700 Spherion Corp.(a) 32,034
 1,800 The Standard Register Co. 9,180
 800 Startek, Inc.(a) 5,984
 2,400 Symyx Technologies, Inc.(a) 13,200
 2,100 Team, Inc.(a) 39,501
 4,000 TeleTech Holdings, Inc.(a) 80,120
 7,925 Tetra Tech, Inc.(a) 215,322
 2,000 Thomas Group, Inc.(a) 1,220
 2,000 Tier Technologies, Inc., Class B(a) 16,000
 5,100 TrueBlue, Inc.(a) 75,531
 9,093 URS Corp.(a) 404,820
 1,700 Unifirst Corp. 81,787
 8,560 United Rentals, Inc.(a) 83,974
 2,600 United Stationers, Inc.(a) 147,810
 2,655 Universal Technical Institute, Inc.(a) 53,631
 9,700 Verisk Analytics, Inc.(a) 293,716
 2,250 Viad Corp. 46,418
 1,600 Volt Information Sciences, Inc.(a) 16,000
 9,925 Waste Connections, Inc.(a) 330,900
 5,440 Watson Wyatt Worldwide, Inc.(a) 258,509
 4,300 Wright Express Corp.(a) 136,998
 ------------
 12,080,654
 ------------
TECHNOLOGY HARDWARE & EQUIPMENT - 7.3%
 46,690 3Com Corp.(a) 350,175
 2,200 3D Systems Corp.(a) 24,860
 13,600 ADC Telecommunications, Inc.(a) 84,456
 3,500 ATMI, Inc.(a) 65,170
 1,200 AXT, Inc.(a) 3,900
 4,700 Acme Packet, Inc.(a) 51,700

78 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,900 Actel Corp.(a) $ 34,452
 19,400 Adaptec, Inc.(a) 64,990
 8,280 Adtran, Inc. 186,714
 5,000 Advanced Analogic Technologies, Inc.(a) 19,700
 3,500 Advanced Energy Industries, Inc.(a) 52,780
 3,300 Agilysys, Inc. 30,030
 2,000 Airvana, Inc.(a) 15,200
 1,400 Alliance Fiber Optic Products, Inc. 1,680
 1,700 American Technology Corp.(a) 2,516
 11,610 Amkor Technology, Inc.(a) 83,128
 100 Amtech Systems, Inc.(a) 1,102
 11,900 Anadigics, Inc.(a) 50,218
 9,475 Applied Micro Circuits Corp.(a) 70,778
 13,498 Arris Group, Inc.(a) 154,282
 6,900 Aruba Networks, Inc.(a) 73,554
 8,172 Atheros Communications, Inc.(a) 279,809
 40,500 Atmel Corp.(a) 186,705
 2,200 Audiovox Corp., Class A(a) 15,598
 3,100 AuthenTec, Inc.(a) 6,851
 900 Aware, Inc.(a) 2,520
 19,500 Axcelis Technologies, Inc.(a) 27,495
 2,135 Bell Microproducts, Inc.(a) 7,579
 4,140 Blue Coat Systems, Inc.(a) 118,156
 5,656 Brightpoint, Inc.(a) 41,572
 53,757 Brocade Communications Systems, Inc.(a) 410,166
 6,782 Brooks Automation, Inc.(a) 58,189
 2,600 Cabot Microelectronics Corp.(a) 85,696
 1,300 CalAmp Corp.(a) 4,472
 4,000 California Micro Devices Corp. 18,840
 5,300 Cavium Networks, Inc.(a) 126,299
 2,103 Ceva, Inc.(a) 27,045
 12,900 Ciena Corp.(a) 139,836
 10,000 Cirrus Logic, Inc.(a) 68,200
 2,400 Cohu, Inc. 33,480
 2,800 Compellent Technologies, Inc.(a) 63,504
 4,100 Comtech Telecommunications Corp.(a) 143,705
 390 Concurrent Computer Corp.(a) 1,560
 5,254 Conexant Systems, Inc.(a) 12,189
 3,675 Cray, Inc.(a) 23,593
 10,900 Cree, Inc.(a) 614,433
 29,690 Crown Castle International Corp.(a) 1,159,098
 3,905 Cymer, Inc.(a) 149,874
 21,500 Cypress Semiconductor Corp.(a) 227,040
 3,900 DSP Group, Inc.(a) 21,957
 100 Dataram Corp.(a) 367
 7,000 Diebold, Inc. 199,150
 2,800 Digi International, Inc.(a) 25,536
 3,600 Digital Lightwave, Inc.(a) 180
 3,450 Diodes, Inc.(a) 70,552
 2,000 Ditech Networks, Inc.(a) 2,580
 4,100 Dot Hill Systems Corp.(a) 7,790
 4,133 Dycom Industries, Inc.(a) 33,188
 3,700 EF Johnson Technologies, Inc.(a) 4,107
 2,000 EMS Technologies, Inc.(a) 29,000
 4,673 EchoStar Holding Corp.(a) 94,114
 5,600 Electronics for Imaging, Inc.(a) 72,856
 20 eMagin Corp.(a) 38
 8,600 Emcore Corp.(a) 9,202
 11,000 Emulex Corp.(a) 119,900
 1,000 EndWare Corp.(a) 2,440
 12,336 Entegris, Inc.(a) 65,134
 766 Entorian Technologies, Inc.(a) 4,290

SCHEDULE OF INVESTMENTS | 79

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 5,700 Entropic Communications, Inc.(a) $ 17,499
 5,457 Exar Corp.(a) 38,799
 13,000 Extreme Networks, Inc.(a) 37,310
 9,600 F5 Networks, Inc.(a) 508,608
 5,300 FSI International, Inc.(a) 15,582
 16,900 Fairchild Semiconductor International, Inc.(a) 168,831
 5,516 Finisar Corp.(a) 49,203
 7,100 Formfactor, Inc.(a) 154,496
 4,500 Fusion Telecommunications International, Inc.(a) 585
 2,700 GSI Technology, Inc.(a) 12,096
 1,700 GTSI Corp.(a) 8,449
 3,800 Gerber Scientific, Inc.(a) 19,190
 2,300 Globecomm Systems, Inc.(a) 17,986
 10,500 Harmonic, Inc.(a) 66,465
 8,900 Harris Stratex Networks, Inc., Class A(a) 61,499
 2,100 Hittite Microwave Corp.(a) 85,575
 900 Hughes Communications, Inc.(a) 23,427
 4,495 Hutchinson Technology, Inc.(a) 46,119
 3,100 Hypercom Corp.(a) 9,827
 15,100 ICO Global Communications Holdings Ltd.(a) 16,308
 1,600 ID Systems, Inc.(a) 5,184
 1,700 iGO, Inc.(a) 2,091
 2,700 IXYS Corp.(a) 20,034
 5,800 Ikanos Communications, Inc.(a) 10,846
 3,300 Imation Corp. 28,776
 10,300 Infinera Corp.(a) 91,361
 3,600 Infosonics Corp.(a) 3,708
 17,330 Ingram Micro, Inc., Class A(a) 302,409
 4,100 Insight Enterprises, Inc.(a) 46,822
 4,580 Integral Systems, Inc.(a) 39,663
 23,470 Integrated Device Technology, Inc.(a) 151,851
 2,170 Integrated Silicon Solutions, Inc.(a) 12,261
 6,100 InterDigital, Inc.(a) 161,894
 5,000 Intermec, Inc.(a) 64,300
 7,100 International Rectifier Corp.(a) 157,052
 16,015 Intersil Corp., Class A 245,670
 2,600 Ixia(a) 19,344
 3,100 KVH Industries, Inc.(a) 45,725
 4,500 Kopin Corp.(a) 18,810
 6,800 Kulicke & Soffa Industries, Inc.(a) 36,652
 23,335 LTX-Credence Corp.(a) 41,536
 15,100 Lam Research Corp.(a) 592,071
 350 Lantronix, Inc. 1,134
 2,995 LaserCard Corp.(a) 17,281
 22,270 Lattice Semiconductor Corp.(a) 60,129
 7,100 Limelight Networks, Inc.(a) 27,903
 1,400 Loral Space & Communications Ltd.(a) 44,254
 4,900 MIPS Technologies, Inc.(a) 21,413
 4,553 MKS Instruments, Inc.(a) 79,268
 59,300 Marvell Technology Group Ltd.(a) 1,230,475
 5,100 Mastec, Inc.(a) 63,750
 5,200 Mattson Technology, Inc.(a) 18,616
 36,200 Maxim Integrated Products, Inc. 734,860
 1,400 Mercury Computer Systems, Inc.(a) 15,414
 5,660 Micrel, Inc. 46,412
 8,900 Micros Systems, Inc.(a) 276,167
 8,917 Microsemi Corp.(a) 158,277
 2,000 Microtune, Inc.(a) 4,520
 1,193 Mindspeed Technologies, Inc.(a) 5,595
 3,300 Monolithic Power Systems, Inc.(a) 79,101

80 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,855 MoSys, Inc.(a) $ 7,272
 20,374 NCR Corp.(a) 226,763
 4,500 NETGEAR, Inc.(a) 97,605
 3,200 Nanometrics, Inc.(a) 36,256
 4,000 NetList, Inc.(a) 20,760
 2,800 Netlogic Microsystems, Inc.(a) 129,528
 7,500 Network Engines, Inc.(a) 10,050
 1,800 Network Equipment Technologies, Inc.(a) 7,290
 5,200 Neutral Tandem, Inc.(a) 118,300
 26,600 Nextwave Wireless, Inc.(a) 11,784
 5,886 Novatel Wireless, Inc.(a) 46,911
 48,981 ON Semiconductor Corp.(a) 431,523
 400 Occam Networks, Inc.(a) 2,160
 19,781 Oclaro, Inc.(a) 29,078
 7,900 Omnivision Technologies, Inc.(a) 114,787
 2,200 Oplink Communications, Inc.(a) 36,058
 3,400 OpNext, Inc.(a) 6,460
 247 Optical Cable Corp.(a) 815
 267 Overland Storage, Inc.(a) 613
 1,000 PAR Technology Corp.(a) 5,780
 3,000 PC Connection, Inc.(a) 20,250
 2,900 PLX Technology, Inc.(a) 9,367
 25,000 PMC-Sierra, Inc.(a) 216,500
 18,208 Palm, Inc.(a),(b) 182,808
 1,200 ParkerVision, Inc.(a) 2,196
 90 Peco II, Inc.(a) 437
 500 Performance Technologies, Inc.(a) 1,395
 3,200 Pericom Semiconductor Corp.(a) 36,896
 8,900 Photronics, Inc.(a) 39,605
 1,100 Pixelworks, Inc.(a) 3,344
 5,100 Plantronics, Inc. 132,498
 10,529 Polycom, Inc.(a) 262,909
 3,200 Power Integrations, Inc. 116,352
 400 Preformed Line Products Co. 17,520
 3,140 Presstek, Inc.(a) 6,688
 19,700 Quantum Corp.(a) 57,721
 200 QuickLogic Corp.(a) 422
 30,886 RF Micro Devices, Inc.(a) 147,326
 3,100 Radiant Systems, Inc.(a) 32,240
 2,800 Radisys Corp.(a) 26,740
 13,800 Rambus, Inc.(a),(b) 336,720
 1,600 Rimage Corp.(a) 27,744
 7,600 Riverbed Technology, Inc.(a) 174,572
 3,428 Rudolph Technologies, Inc.(a) 23,036
 13,600 SBA Communications Corp., Class A(a) 464,576
 800 SCM Microsystems, Inc.(a) 1,808
 5,400 STEC, Inc.(a),(b) 88,236
 2,000 SYNNEX Corp.(a) 61,320
 2,900 ScanSource, Inc.(a) 77,430
 3,100 SeaChange International, Inc.(a) 20,367
 60,032 Seagate Technology 1,091,982
 6,300 Semtech Corp.(a) 107,163
 1,700 Shoretel, Inc.(a) 9,826
 5,100 Sigma Designs, Inc.(a) 54,570
 5,400 Silicon Graphics International Corp.(a) 37,854
 8,200 Silicon Image, Inc.(a) 21,156
 5,700 Silicon Laboratories, Inc.(a) 275,538
 6,000 Silicon Storage Technology, Inc.(a) 15,360
 22,400 Skyworks Solutions, Inc.(a) 317,856
 2,900 Smart Modular Technologies WWH, Inc.(a) 18,241
 650 Sonic Foundry, Inc.(a) 3,153
 5,900 SonicWALL, Inc.(a) 44,899
 22,000 Sonus Networks, Inc.(a) 46,420
 2,400 Standard Microsystems Corp.(a) 49,872

SCHEDULE OF INVESTMENTS | 81

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,440 Stratasys, Inc.(a) $ 42,163
 3,900 Super Micro Computer, Inc.(a) 43,368
 432 Superconductor Technologies, Inc.(a) 1,024
 2,100 Supertex, Inc.(a) 62,580
 2,030 Sycamore Networks, Inc. 42,447
 4,876 Symmetricom, Inc.(a) 25,355
 4,750 Synaptics, Inc.(a),(b) 145,588
 7,300 Syniverse Holdings, Inc.(a) 127,604
 1,200 Systemax, Inc. 18,852
 2,800 TNS, Inc.(a) 71,932
 6,400 Tech Data Corp.(a) 298,624
 1,900 Techwell, Inc.(a) 25,080
 841 Tegal Corp.(a) 1,119
 9,700 Tekelec(a) 148,216
 200 Telular Corp.(a) 750
 5,300 Tessera Technologies, Inc.(a) 123,331
 1,140 Transact Technologies, Inc.(a) 7,912
 2,817 Transwitch Corp.(a) 5,915
 6,900 Trident Microsystems, Inc.(a) 12,834
 21,445 TriQuint Semiconductor, Inc.(a) 128,670
 11,000 UTStarcom, Inc.(a),(b) 24,090
 3,700 Ultra Clean Holdings, Inc.(a) 25,863
 3,900 Ultratech, Inc.(a) 57,954
 9,350 Varian Semiconductor Equipment Associates, Inc.(a) 335,478
 3,300 Veraz Networks, Inc.(a) 3,135
 9,000 VeriFone Holdings, Inc.(a) 147,420
 3,400 Viasat, Inc.(a) 108,052
 2,300 Virage Logic Corp.(a) 12,650
 4,000 Volterra Semiconductor Corp.(a) 76,480
 5,300 Westell Technologies, Inc., Class A(a) 6,360
 3,100 White Electronic Designs Corp.(a) 14,477
 200 WorldGate Communications, Inc.(a) 150
 7,424 Zhone Technologies, Inc.(a) 3,041
 5,661 Zoran Corp.(a) 62,554
 ------------
 20,811,527
 ------------
TOBACCO - 0.1%
 13,500 Alliance One International, Inc.(a) 65,880
 2,400 Schweitzer-Mauduit International, Inc. 168,840
 21,700 Star Scientific, Inc.(a) 15,190
 3,345 Universal Corp. 152,565
 4,736 Vector Group Ltd. 66,304
 ------------
 468,779
 ------------
TRAVEL & LEISURE - 3.6%
 2,800 AFC Enterprises, Inc.(a) 22,848
 42,193 AMR Corp.(a)(c) 326,152
 18,500 AirTran Holdings, Inc.(a) 96,570
 3,800 Alaska Air Group, Inc.(a) 131,328
 4,038 All-American SportPark, Inc.(a) 484
 2,100 Allegiant Travel Co.(a),(b) 99,057
 2,500 Ambassadors Group, Inc. 33,225
 1,800 Ambassadors International, Inc.(a) 1,063
 100 American Classic Voyages Co.(a) -
 2,500 Ameristar Casinos, Inc. 38,075
 13,540 Avis Budget Group, Inc.(a) 177,645
 2,000 BJ's Restaurants, Inc.(a) 37,640
 6,700 Bally Technologies, Inc.(a) 276,643
 615 Benihana, Inc.(a) 2,583
 2,630 Benihana, Inc., Class A(a) 9,968

82 | MASTER EXTENDED MARKET INDEX SERIES

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 1,100 Bluegreen Corp.(a) $ 2,662
 3,300 Bob Evans Farms, Inc. 95,535
 210 Bowl America, Inc., Class A 2,740
 6,100 Boyd Gaming Corp.(a) 51,057
 12,600 Brinker International, Inc. 187,992
 2,800 Buffalo Wild Wings, Inc.(a) 112,756
 11,300 Burger King Holdings, Inc. 212,666
 2,650 CEC Entertainment, Inc.(a) 84,588
 5,600 CKE Restaurants, Inc. 47,376
 3,000 California Pizza Kitchen, Inc.(a) 40,350
 2,500 Carmike Cinemas, Inc.(a) 18,900
 5,100 Century Casinos, Inc.(a) 13,719
 7,617 The Cheesecake Factory, Inc.(a) 164,451
 3,700 Chipotle Mexican Grill, Inc., Class A(a) 326,192
 3,400 Choice Hotels International, Inc. 107,644
 800 Churchill Downs, Inc. 29,880
 3,700 Cinemark Holdings, Inc. 53,169
 17,170 Continental Airlines, Inc., Class B(a) 307,686
 5,500 Cosi, Inc.(a),(b) 3,300
 3,315 Cracker Barrel Old Country Store, Inc. 125,937
 93,225 Delta Air Lines, Inc.(a) 1,060,900
 10,600 Denny's Corp.(a) 23,214
 4,600 Diamondhead Casino Corp.(a) 2,765
 1,700 DineEquity, Inc.(a) 41,293
 3,700 Dollar Thrifty Automotive Group, Inc.(a) 94,757
 4,800 Domino's Pizza, Inc.(a) 40,224
 3,116 Dover Downs Gaming & Entertainment, Inc. 11,778
 3,300 Dover Motorsports, Inc. 6,897
 1,100 Einstein Noah Restaurant Group, Inc.(a) 10,813
 3,300 Elixir Gaming Technologies, Inc.(a) 858
 5,300 Empire Resorts, Inc.(a) 11,183
 160 ExpressJet Holdings, Inc.(a) 771
 65 FLO Corp.(a) 1
 2,500 Famous Dave's of America, Inc.(a) 15,125
 200 Flanigan's Enterprises, Inc.(a) 1,192
 2,100 FortuNet, Inc. 3,549
 1,000 Full House Resorts, Inc.(a) 3,480
 1,400 Gaming Partners International Corp. 7,854
 3,720 Gaylord Entertainment Co.(a) 73,470
 700 Great Lakes Aviation Ltd.(a) 980
 4,000 Great Wolf Resorts, Inc.(a) 9,480
 5,102 Hawaiian Holdings, Inc.(a) 35,714
 20,700 Hertz Global Holdings, Inc.(a),(b) 246,744
 4,500 Hyatt Hotels Corp.(a) 134,145
 800 InnSuites Hospitality Trust 872
 3,200 International Speedway Corp., Class A 91,040
 3,860 Interval Leisure Group, Inc.(a) 48,134
 2,900 Isle of Capri Casinos, Inc.(a) 21,692
 6,200 Jack in the Box, Inc.(a) 121,954
 32,175 JetBlue Airways Corp.(a) 175,354
 6,400 Krispy Kreme Doughnuts, Inc.(a) 18,880
 1,200 Landry's Restaurants, Inc.(a) 25,548
 52,200 Las Vegas Sands Corp.(a),(b) 779,868
 4,100 Life Time Fitness, Inc.(a),(b) 102,213
 8,600 Live Nation, Inc.(a) 73,186
 1,100 Lodgian, Inc.(a) 1,639
 1,700 Luby's, Inc.(a) 6,256
 29,711 MGM Mirage(a),(b) 270,964

SCHEDULE OF INVESTMENTS | 83

---------------------------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------------------------

 2,100 MTR Gaming Group, Inc.(a) $ 2,730
 1,500 Marcus Corp. 19,230
 1,700 McCormick & Schmick's Seafood Restaurants, Inc.(a) 11,832
 2,000 Mesa Air Group, Inc.(a) 241
 1,900 Monarch Casino & Resort, Inc.(a) 15,390
 3,800 Morgans Hotel Group Co.(a) 17,214
 1,900 Multimedia Games, Inc.(a) 11,419
 2,105 O'Charleys, Inc.(a) 13,788
 4,800 Orbitz Worldwide, Inc.(a) 35,232
 7,600 Orient Express Hotels Ltd., Class A 77,064
 3,295 P.F. Chang's China Bistro, Inc.(a) 124,913
 4,000 Panera Bread Co., Class A(a) 267,880
 2,900 Papa John's International, Inc.(a) 67,744
 2,200 Peet's Coffee & Tea, Inc.(a) 73,326
 9,100 Penn National Gaming, Inc.(a) 247,338
 4,200 Pinnacle Airlines Corp.(a) 28,896
 6,600 Pinnacle Entertainment, Inc.(a) 59,268
 3,700 Premier Exhibitions, Inc.(a) 5,365
 1,300 Reading International, Inc., Class A(a) 5,265
 500 Red Lion Hotels Corp.(a) 2,470
 3,000 Red Robin Gourmet Burgers, Inc.(a) 53,700
 11,400 Regal Entertainment Group, Series A 164,616
 3,800 Republic Airways Holdings, Inc.(a) 28,082
 900 Rick's Cabaret International, Inc.(a) 7,704
 16,600 Royal Caribbean Cruises Ltd.(a) 419,648
 5,400 Ruby Tuesday, Inc.(a) 38,880
 3,400 Ruth's Hospitality Group, Inc.(a) 7,106
 7,400 Scientific Games Corp., Class A(a) 107,670
 7,343 Shuffle Master, Inc.(a) 60,506
 6,600 Silverleaf Resorts, Inc.(a) 5,458
 11,700 Six Flags, Inc.(a) 901
 6,000 SkyWest, Inc. 101,520
 200 Sonesta International Hotels Corp., Class A 2,104
 6,737 Sonic Corp.(a) 67,842
 1,500 Speedway Motorsports, Inc. 26,430
 145 The Steak N Shake Co.(a) 46,997
 1,600 Steiner Leisure Ltd.(a) 63,616
 5,700 Texas Roadhouse, Inc., Class A(a) 64,011
 700 Town Sports International Holdings, Inc.(a) 1,631
 1,100 Travelzoo, Inc.(a) 13,519
 21,530 UAL Corp.(a),(b) 277,952
 22,752 US Airways Group, Inc.(a) 110,120
 2,600 VCG Holding Corp.(a) 5,408
 3,700 Vail Resorts, Inc.(a) 139,860
 200 Vanguard Airlines, Inc.(a) -
 6,300 WMS Industries, Inc.(a) 252,000
 45,600 Wendy's 213,864
 4,900 World Wrestling Entertainment, Inc. 75,117
 3,490 Youbet.com, Inc.(a) 10,016
 ------------
 10,269,551
 ------------
 Total Common Stocks - 96.6% 276,668,282
 ------------

84 | MASTER EXTENDED MARKET INDEX SERIES

----------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000) INDUSTRY/ISSUE VALUE
----------------------------------------------------------------------------------------------------

 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 INDUSTRY/ISSUE
----------------------------------------------------------------------------------------------------

 RIGHTS

 BANKS - 0.0%
 11,700 Flagstar Bancorp, Inc.(Expires 1/25/10) -
 ------------
 CONSTRUCTION & MATERIALS - 0.0%
 3,061 Builders FirstSource, Inc.(Expires 1/14/10)(b) 749
 ------------
 HEALTH CARE EQUIPMENT & SERVICES - 0.0%
 2,600 Aplindore Contingent Value (Expires 6/24/10) -
 2,600 H3 Contingent Value (Expires 12/24/12) -
 2,600 Merck Contingent Value (No Expiration Date) -
 ------------
 -
 ------------
 PHARMACEUTICALS & BIOTECHNOLOGY - 0.0%
 1,000 Avigen Contingent Value (Expires 7/21/11) 40
 4,000 Ligand Pharmaceuticals Inc. (Expires 12/31/11) -
 ------------
 40
 ------------
 REAL ESTATE INVESTMENT & SERVICES - 0.0%
 2,600 Real Estate (Expires 6/24/10) -
 ------------
 SOFTWARE & COMPUTER SERVICES - 0.0%
 7,200 Clearwire Corp.(Expires 6/21/10) 2,880
 ------------
 TRAVEL & LEISURE - 0.0%
 5,500 Cosi, Inc.(Expires 1/06/10) 550
 ------------
 Total Rights - 0.0% 4,219
 ------------

 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)(a) 38
 ------------
 TECHNOLOGY HARDWARE & EQUIPMENT - 0.0%
 2 Lantronix, Inc. (Expires 2/09/11)(a) -
 ------------
 Total Warrants - 0.0% 38
 ------------
 Total Long-Term Investments (Cost - $275,197,483) - 96.6% 276,672,921
 ------------

----------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)/SHARES
----------------------------------------------------------------------------------------------------

 SHORT-TERM SECURITIES
9,511,703 BlackRock Liquidity Funds, TempCash, Institutional Class, 0.17%(d),(i) $ 9,511,703
 ------------

SCHEDULE OF INVESTMENTS | 85

----------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)/SHARES INDUSTRY/ISSUE VALUE
----------------------------------------------------------------------------------------------------

 $13,888 BlackRock Liquidity Series, LLC Money Market Series, 0.29%(d),(i),(j) $ 13,887,630
 ------------
 Total Short-Term Securities (Cost - $23,399,333) - 8.2% 23,399,333
 ------------
 TOTAL INVESTMENTS (Cost - $298,596,816*) - 104.8% 300,072,254
 ------------
 LIABILITIES IN EXCESS OF OTHER ASSETS - (4.8)% (13,856,208)
 ------------
 NET ASSETS - 100.0% $286,216,046
 ============

* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost $301,788,305
 ============
Gross unrealized appreciation $ 46,857,286
Gross unrealized depreciation (48,573,337)
 ------------
Net unrealized depreciation $ (1,716,051)
 ============

(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, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 PURCHASE SALE REALIZED
AFFILIATE COST COST (LOSS) INCOME
-------------------------------------------------------------------------------
Anthracite Capital, Inc. $ 1,934 $ 74,435 $(73,682) $ -
BlackRock, Inc. $ 682,608 $ - $ - $ 7,332
BlackRock Liquidity Funds,
 TempCash, Institutional
 Class $9,511,703(1) $ - $ - $ 24,852
BlackRock Liquidity Series,
 LLC Cash Sweep Series $ - $6,982,379(2) $ - $ 8,544
BlackRock Liquidity Series,
 LLC Money Market Series $5,556,197(1) $ - $ - $163,985

(1) Represents net purchase cost.
(2) Represents net sale cost.

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

 ACQUISITION
ISSUE DATE COST VALUE
----------------------------------------------------------------------
GreenHunter Energy,
 Inc., Warrants 4/18/2008-5/16/2008 $ - $ -

(i) Represents the current yield as of report date.
(j) Security was purchased with the cash collateral from securities loans.
o For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used

86 | MASTER EXTENDED MARKET INDEX SERIES

by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.
o Financial futures contracts purchased as of December 31, 2009 were as follows:

 EXPIRATION NOTIONAL UNREALIZED
CONTRACTS ISSUE DATE VALUE APPRECIATION
--------------------------------------------------------------------------
 37 Russell 2000 MINI March 2010 $2,230,620 $ 77,810
 96 S&P 400 Midcap EMINI March 2010 $6,767,697 191,343
 --------
TOTAL $269,153
 ========

o Fair Value Measurements - Various inputs are used in determining the fair value of investments, 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)

The inputs or methodology 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.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Series'investments:

VALUATION INVESTMENTS IN
INPUTS SECURITIES
--------------------------------------------------------------------
 ASSETS
 -----------
Level 1
 Long-Term Investments:
 Aerospace & Defense $ 3,082,873
 Alternative Energy 576,179
 Automobiles & Parts 2,808,834
 Banks 12,997,114
 Beverages 864,070
 Chemicals 6,752,338
 Construction & Materials 6,007,872
 Electricity 6,520,154
 Electronic & Electrical Equipment 9,162,863
 Financial Services 9,055,222
 Fixed Line Telecommunications 2,056,116
 Food & Drug Retailers 1,404,988
 Food Producers 5,655,219
 Forestry & Paper 706,812
 Gas, Water & Multiutilities 4,381,155
 General Industrials 3,385,255
 General Retailers 14,360,227
 Health Care Equipment & Services 15,771,669
 Health Care Providers & Services 26,775
 Household Goods & Home Construction 5,051,150
 Industrial Engineering 8,009,761
 Industrial Metals & Mining 2,774,254
 Industrial Transportation 4,062,027
 Leisure Goods 2,512,211
 Life Insurance 1,074,213
 Media 8,766,518
 Mining 3,443,492
 Mobile Telecommunications 1,516,424
 Nonlife Insurance 25,428,282
 Oil & Gas Producers 10,975,983
 Oil Equipment, Services & Distribution 6,358,056
 Personal Goods 3,595,557
 Pharmaceuticals & Biotechnology 12,366,434
 Real Estate Investment & Services 1,473,063
 Real Estate Investment Trusts (REITs) 17,156,411
 Software & Computer Services 12,894,726
 Speciality Retail 7,140
 Support Services 12,080,654
 Technology Hardware & Equipment 20,811,527
 Tobacco 468,779
 Travel & Leisure 10,269,551
 Short-Term Securities 9,511,703
 -----------
Total Level 1 286,183,651
 -----------
Level 2
 Long-Term Investments:
 Travel and Leisure 550
 Short-Term Securities 13,887,630
 -----------
Total Level 2 13,888,180
 -----------

================================================================================

 SCHEDULE OF INVESTMENTS | 87

Level 3
 Long-Term Investments:
 Chemicals $ 380
 Industrial Engineering 2
 Pharmaceuticals & Biotechnology 41
 ------------
Total Level 3 423
 ------------
TOTAL $300,072,254
 ============

VALUATION OTHER FINANCIAL
INPUTS INSTRUMENTS(1)
--------------------------------------------------------------------
 ASSETS
 --------
Level 1 $269,153
Level 2 -
Level 3 -
 --------
TOTAL $269,153
 ========

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

The following is a reconciliation of investments for unobservable inputs (Level
3) used in determining fair value:

 INVESTMENTS IN SECURITIES
--------------------------------------------------------------------------------
 INDUSTRIAL PHARMACEUTICALS &
 CHEMICALS ENGINEERING BIOTECHNOLOGY TOTAL
--------------------------------------------------------------------------------
Balance, as of December 31, 2008 $ - $- $ - $ -
Accrued discounts/premiums - - - -
Realized gain (loss) - - - -
Change in unrealized
 appreciation/depreciation - - - -
Net purchases (sales) - - - -
Net transfer in 380 2 41 423
 ---------------------------------------------
Balance, as of
 December 31, 2009 $380 $2 $41 $423
 =============================================

88 | MASTER EXTENDED MARKET INDEX SERIES

Portfolio Information as of December 31, 2009

 PERCENT OF
 LONG-TERM
SECTOR ALLOCATION INVESTMENTS
------------------------------------------------------------------------------
Financials 24%
Industrials 17
Consumer Services 13
Technology 12
Health Care 10
Consumer Goods 8
Oil & Gas 6
Basic Materials 5
Utilities 4
Telecommunications 1

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

DERIVATIVE FINANCIAL INSTRUMENTS
The Series may invest in various derivative instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or equity risk. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative instrument. The Series'ability to successfully use a derivative instrument depends on the investment advisor's ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio securities at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold a security that it might otherwise sell. The Series'investments in these instruments are discussed in detail in the Notes to Financial Statements.