Usaa Mutual Funds Trust - Certified semi-annual shareholder report for management investment companies (N-CSRS)

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

FORM N-CSR/S

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number: 811-7852

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

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

SAN ANTONIO, TX 78288

Name and address of agent for service: MARK S. HOWARD
 USAA MUTUAL FUNDS TRUST
 9800 FREDERICKSBURG ROAD
 SAN ANTONIO, TX 78288

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

Date of fiscal year end: DECEMBER 31,

Date of reporting period: JUNE 30, 2008

ITEM 1. SEMIANNUAL REPORT TO STOCKHOLDERS.
USAA EXTENDED MARKET INDEX FUND - SEMIANNUAL REPORT FOR PERIOD ENDED
JUNE 30, 2008

[LOGO OF USAA]
USAA(R)

USAA EXTENDED MARKET
INDEX Fund

[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]

S e m i a n n u a l R e p o r t

JUNE 30, 2008

IRA DISTRIBUTION WITHHOLDING DISCLOSURE

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

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

For more specific information, please consult your tax adviser.

Table of CONTENTS

MESSAGE FROM THE PRESIDENT 2

MANAGER'S COMMENTARY 4

FUND RECOGNITION 7

INVESTMENT OVERVIEW 8

FINANCIAL INFORMATION

 USAA EXTENDED MARKET INDEX FUND:

 Financial Statements 13

 Financial Highlights 16

 Notes to Financial Statements 17

EXPENSE EXAMPLE 23

ADVISORY AGREEMENT 25

MASTER EXTENDED MARKET INDEX SERIES:

 Schedule of Investments 32

 Financial Statements 78

 Financial Highlights 81

 Notes to Financial Statements 82

 Advisory Agreements 89

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.

M E S S A G E

==============------------------------------------------------------------------

 from the PRESIDENT

 "
 WEALTH GENERALLY IS CREATED OVER A LIFETIME
 OF HARD WORK, DILIGENT SAVING AND INVESTING,
[PHOTO OF CHRISTOPHER W. CLAUS] WHICH INCLUDES ADDING TO INVESTMENTS WHEN
 PRICES ARE LOW.
 "

 July 2008
--------------------------------------------------------------------------------

No doubt about it. It's a tough time to be an investor. But is it as hazardous as the media would have us believe? Is it time to stop investing in stocks? In my opinion, the answer is no. What's more, I think that most people will look back at this period and say that, despite the economic challenges, there were some great buying opportunities.

All the same, the experience has been unpleasant. With the major stock indexes down by more than 20% at the time of this writing, investors officially are in a bear market. The downturn in the housing markets, a liquidity crunch, tighter credit requirements, the rapid increase in oil, commodity, and food prices - all have had an impact on the equity markets. While the U.S. economy may not be in a recession officially, it certainly feels like one.

I believe the day of reckoning has finally arrived for the consumer. For years, Americans put thousands of dollars on credit cards and saved little. But recent events have forced many of them to change their habits. As banks tighten their lending and credit standards, people are managing their debt more carefully and even may start saving more. Soaring oil prices have Americans driving less, switching to hybrid vehicles, joining car pools, and making greater use of public transportation.

These societal shifts could turn out to be permanent. Although the adjustment may be painful at first, I believe the country will benefit in the long run. This nation of innovators is already looking for ways to develop alternative fuels and design new modes of transportation, efforts which may bring attractive investment opportunities.

. . . C O N T I N U E D ========================--------------------------------------------------------

The current downturn also offers opportunities. Wealth generally is created over a lifetime of hard work, diligent saving and investing, which includes adding to investments when prices are low. If you are a long-term investor, know your risk tolerance, and have a suitable asset allocation strategy, consider taking advantage of current low share prices. Under the circumstances, investing a set amount each month - or dollar-cost averaging - could be a prudent approach.

Index investing remains a sensible equity strategy for long-term investors who are willing to let their money work for them over multiple market cycles. While index investors experience downturns similar to the index, they will also participate in any rebound. Diversification and low expenses are two other benefits of an index fund.

This downturn may be difficult, but longer term investors may be well-positioned to wait it out. Patience, as always, is essential. We believe that we have one of the finest teams of index fund managers in the business, and you can rest assured that they will continue to work hard on your behalf. If you are concerned or want to revisit your investment plan, our investment representatives stand ready to help you
- at no charge.

Thank you once again for your business and the opportunity to serve your investment needs.

Sincerely,

/S/ CHRISTOPHER W. CLAUS

Christopher W. Claus
President and Vice Chairman of the Board
USAA Mutual Funds Trust

SYSTEMATIC INVESTMENT PLANS DO NOT ASSURE A PROFIT OR PROTECT AGAINST LOSS IN DECLINING MARKETS. DOLLAR-COST AVERAGING INVOLVES CONTINUOUS INVESTMENT IN SECURITIES REGARDLESS OF FLUCTUATING PRICE LEVELS OF SUCH SECURITIES. INVESTORS SHOULD CONSIDER THEIR FINANCIAL ABILITY TO CONTINUE PURCHASES THROUGH PERIODS OF LOW PRICE LEVELS.

M A N A G E R ' S

==================-------------------------------------------------------------- COMMENTARY on the Fund

PERFORMANCE

For the six-month period ended June 30, 2008, the USAA Extended Market Index Fund met its objective of closely tracking the return of its benchmark, the Dow Jones Wilshire 4500 Completion Index (Full Cap). For the semiannual period ended June 30, 2008, the index returned -8.45%, while the USAA Extended Market Index Fund returned -8.51%.

PERFORMANCE ANALYSIS

U.S. equity markets finished in negative territory for the first six months of 2008. Shares of growth companies significantly outperformed their value counterparts across all market capitalizations.

The predominant issues in financial headlines throughout most of 2007 - problems with subprime mortgages and the resulting credit crunch - intensified during the first quarter of 2008. Later in the reporting period, fears that record-high oil and gasoline prices and the threat of inflation would bring on a recession also weighed heavily on the U.S. equity market.

Aggressive Federal Reserve Board (Fed) action has been unable to relieve credit market strains significantly: The U.S. economy is in or near a recession; the dollar is slumping; the equity market recently hit new cyclical lows; and a major Wall Street firm has failed. Crisis environments create opportunities, and the panic flight to safety has led to pockets of good value in the equity markets. The economy is weak, but the picture is not universally gloomy. Companies so far have avoided wholesale layoffs; consequently, employment and real incomes are still above year-ago levels. That could change if an ongoing credit squeeze eventually forces companies to be more aggressive about cutting costs. A marked weakening in the labor market would pull the rug out from consumer spending and trigger a new wave of mortgage delinquencies.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.

. . . C O N T I N U E D ========================--------------------------------------------------------

Although the economy remains weak, with consumer confidence as measured by the University of Michigan Consumer Sentiment Survey reaching the lowest point since May 1980, it has so far avoided a recession. The Fed reacted to market and economic weakness by cutting the target federal funds rate in four increments totaling 225 basis points, from 4.25% to 2.00% between January 22, 2008, and April 30, 2008. Following its June 25 meeting at which it left the rate unchanged, the Federal Open Market Committee noted that "[t]he substantial easing of monetary policy to date, combined with ongoing measures to foster market liquidity, should help to promote moderate growth over time. Although downside risks to growth remain, they appear to have diminished somewhat, and the upside risks to inflation and inflation expectations have increased."

The most recent data from the U.S. Department of Labor's Bureau of Labor Statistics indicated that the U.S. unemployment rate was 5.5% in June 2008, unchanged from the rate in May. However, non-farm payroll employment fell by 62,000 during the month, with total employment declining by 155,000.

Recent economic data have fueled inflation concerns. According to the labor department, the Consumer Price Index (CPI) rose at a seasonally adjusted rate of 0.6% in May 2008, followed by a 1.1% increase in June. Over the same period, the index for energy increased 4.4%, with another steep increase of 6.6% in June. The overall CPI advanced at an unadjusted rate of 4.2% over the preceding 12-month period.

The U.S. gross domestic product (GDP) grew at an annualized rate of 1.0% in the first quarter of 2008, according to the Bureau of Economic Analysis of the Department of Commerce. This outpaced the 0.6% rise in the GDP during the fourth quarter of 2007. The uptick in the GDP growth rate for the first quarter

6 . . . C O N T I N U E D ========================-------------------------------------------------------- COMMENTARY on the Fund

resulted primarily from an increase in inventory investment, while a deceleration in personal consumption expenditures had a negative impact.

We will continue monitoring economic conditions and how they affect financial markets as we seek to track the performance of the index closely.

INFORMATION IS AS OF JUNE 30, 2008. THE FUND IS ACTIVELY MANAGED, AND ITS CHARACTERISTICS WILL VARY. THIS MATERIAL IS NOT INTENDED TO BE RELIED UPON AS A FORECAST, RESEARCH, OR INVESTMENT ADVICE, AND IS NOT A RECOMMENDATION, OFFER, OR SOLICITATION TO BUY OR SELL ANY SECURITIES OR TO ADOPT ANY INVESTMENT STRATEGY. THE OPINIONS EXPRESSED ARE AS OF JUNE 30, 2008, 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.

F U N D

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RECOGNITION

USAA EXTENDED MARKET INDEX FUND

LIPPER LEADER (OVERALL)

[5]
EXPENSE

The Fund is listed as a Lipper Leader for Expense of 279 funds within the Lipper Mid-Cap Core Funds category for the overall period ended June 30, 2008. The Fund received a Lipper Leader rating for Expense among 279 and 223 funds for the three- and five-year periods, respectively. Lipper ratings for Expense reflect funds' expense minimization relative to peers with similar load structures as of June 30, 2008.

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 2008, REUTERS, ALL RIGHTS RESERVED.

*EFFECTIVE NOVEMBER 7, 2007, THE LIPPER LEADERS RATING SYSTEM CHANGED THE NUMERIC ORGANIZATION OF ITS LIPPER LEADER CLASSIFICATIONS. WHILE THE FORMULAS AND UNDERLYING METHODOLOGY REMAIN THE SAME, THE HIGHEST 20% NOW ARE RATED 5, OR LIPPER LEADERS, AND THE LOWEST 20% ARE RATED 1 FOR EACH MEASURE. PREVIOUSLY, A RATING OF 5 WAS CONSIDERED THE LOWEST RATING AND 1 WAS CONSIDERED THE HIGHEST, OR A LIPPER LEADER.

I N V E S T M E N T

====================------------------------------------------------------------
OVERVIEW

USAA EXTENDED MARKET INDEX FUND (Ticker Symbol: USMIX)

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 Wilshire 4500 Completion Index (Full Cap).

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 Wilshire 4500 Completion Index (Full Cap).

------------------------------------------------------------------------------------------
 6/30/08 12/31/07
------------------------------------------------------------------------------------------
Net Assets $291.2 Million $310.2 Million
Net Asset Value Per Share $12.04 $13.16

-----------------------------------------------------------------------------
 AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/08
-----------------------------------------------------------------------------
12/31/07 TO 6/30/08* 1 YEAR 5 YEARS SINCE INCEPTION ON 10/27/00
 -8.51% -12.18% 11.83% 4.80%

---------------------------------------
 EXPENSE RATIO**
---------------------------------------
Before Reimbursement 0.79%
After Reimbursement 0.50%

*TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. THIS SIX-MONTH RETURN IS CUMULATIVE.

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

** THE BEFORE REIMBURSEMENT EXPENSE RATIO REPRESENTS THE TOTAL ANNUAL OPERATING EXPENSES, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY AND INCLUDING EXPENSES OF THE EXTENDED MARKET PORTFOLIO, AS REPORTED IN THE FUND'S PROSPECTUS DATED MAY 1, 2008, 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, 2008. 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. THESE EXPENSE RATIOS MAY DIFFER FROM THE EXPENSE RATIOS DISCLOSED IN THE FINANCIAL HIGHLIGHTS.

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.

. . . C O N T I N U E D ========================--------------------------------------------------------

CUMULATIVE PERFORMANCE COMPARISON

[CHART OF CUMULATIVE PERFORMANCE COMPARISON]

 DOW JONES WILSHIRE USAA EXTENDED
 4500 COMPLETION MARKET INDEX
 INDEX (FULL CAP) FUND
 ------------------ -------------
10/31/00 $10,000.00 $10,000.00
11/30/00 8,295.46 8,500.00
12/31/00 8,831.17 9,000.00
01/31/01 9,301.95 9,375.00
02/28/01 8,165.58 8,336.54
03/31/01 7,418.83 7,653.85
04/30/01 8,214.29 8,413.46
05/31/01 8,409.09 8,596.15
06/30/01 8,474.03 8,634.62
07/31/01 8,068.18 8,269.23
08/31/01 7,678.57 7,884.62
09/30/01 6,688.31 6,884.62
10/31/01 7,045.46 7,230.77
11/30/01 7,597.40 7,788.46
12/31/01 8,003.25 8,187.68
01/31/02 7,857.14 8,040.60
02/28/02 7,629.87 7,815.07
03/31/02 8,149.35 8,344.57
04/30/02 8,068.18 8,246.52
05/31/02 7,889.61 8,050.41
06/30/02 7,353.90 7,501.29
07/31/02 6,639.61 6,765.87
08/31/02 6,672.08 6,805.09
09/30/02 6,217.53 6,344.23
10/31/02 6,428.57 6,559.95
11/30/02 6,866.88 7,001.21
12/31/02 6,574.68 6,697.70
01/31/03 6,428.57 6,549.95
02/28/03 6,266.23 6,392.36
03/31/03 6,363.64 6,490.85
04/30/03 6,899.35 7,032.58
05/31/03 7,548.70 7,712.20
06/30/03 7,727.27 7,879.64
07/31/03 8,084.42 8,234.23
08/31/03 8,425.33 8,578.96
09/30/03 8,327.92 8,460.77
10/31/03 8,961.04 9,110.84
11/30/03 9,269.48 9,416.17
12/31/03 9,464.29 9,607.34
01/31/04 9,805.20 9,933.86
02/29/04 9,967.53 10,111.95
03/31/04 10,016.24 10,161.42
04/30/04 9,610.39 9,735.97
05/31/04 9,756.50 9,884.38
06/30/04 10,016.24 10,151.53
07/31/04 9,448.05 9,587.56
08/31/04 9,464.29 9,587.56
09/30/04 9,837.66 9,963.54
10/31/04 10,064.94 10,171.32
11/30/04 10,746.75 10,863.92
12/31/04 11,217.53 11,328.97
01/31/05 10,844.16 10,946.30
02/28/05 11,038.96 11,147.71
03/31/05 10,844.16 10,966.44
04/30/05 10,487.01 10,593.85
05/31/05 11,103.90 11,218.20
06/30/05 11,461.04 11,570.66
07/31/05 12,094.16 12,195.01
08/31/05 11,948.05 12,054.03
09/30/05 12,029.22 12,124.52
10/31/05 11,769.48 11,862.69
11/30/05 12,321.43 12,436.69
12/31/05 12,368.74 12,474.81
01/31/06 13,149.35 13,258.35
02/28/06 13,019.48 13,144.94
03/31/06 13,522.73 13,639.81
04/30/06 13,571.43 13,691.36
05/31/06 13,035.72 13,114.01
06/30/06 13,051.95 13,134.63
07/31/06 12,678.57 12,763.48
08/31/06 12,970.78 13,031.54
09/30/06 13,116.88 13,175.87
10/31/06 13,766.24 13,825.39
11/30/06 14,285.72 14,330.57
12/31/06 14,350.65 14,384.92
01/31/07 14,837.66 14,860.46
02/28/07 14,756.50 14,774.00
03/31/07 14,918.83 14,925.30
04/30/07 15,259.74 15,260.34
05/31/07 15,892.86 15,897.99
06/30/07 15,698.05 15,692.64
07/31/07 15,048.70 15,011.76
08/31/07 15,178.57 15,152.26
09/30/07 15,665.59 15,627.80
10/31/07 16,185.07 16,124.95
11/30/07 15,243.51 15,184.68
12/31/07 15,178.57 15,062.59
01/31/08 14,188.31 14,078.26
02/29/08 13,928.57 13,792.12
03/31/08 13,652.60 13,517.42
04/30/08 14,383.12 14,261.39
05/31/08 15,048.70 14,902.35
06/30/08 13,896.11 13,780.67

[END CHART]

DATA FROM 10/31/00* THROUGH 6/30/08.

SEE NEXT PAGE FOR BENCHMARK DEFINITION.

*THE PERFORMANCE OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX IS CALCULATED FROM THE END OF THE MONTH, OCTOBER 31, 2000, WHILE THE DATE THE FUND INITIALLY INVESTED IN SECURITIES REPRESENTED BY THE INDEX IS OCTOBER 27, 2000. THERE MAY BE A SLIGHT VARIATION OF THE PERFORMANCE NUMBERS BECAUSE OF THIS DIFFERENCE.

. . . C O N T I N U E D ========================-------------------------------------------------------- OVERVIEW

The graph on page 9 illustrates how a $10,000 hypothetical investment in the USAA Extended Market Index Fund closely tracks the Dow Jones Wilshire 4500 Completion Index (Full Cap), which is a market-capitalization-weighted index of approximately 4,700 U.S. equity securities. It includes all the stocks in the Dow Jones Wilshire 5000 Composite Index (Full Cap) except for stocks included in the S&P 500 Index.

DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) IS A SERVICE MARK OF DOW JONES & COMPANY, INC. AND WILSHIRE ASSOCIATES INCORPORATED. NEITHER DOW JONES NOR WILSHIRE HAS ANY RELATIONSHIP TO THE FUND OTHER THAN THE LICENSING AND SUBLICENSING OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) AND ITS SERVICE MARKS FOR USE IN CONNECTION WITH THE FUND. o DOW JONES AND WILSHIRE DO 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 WILSHIRE 4500 COMPLETION INDEX (FULL CAP), OR HAVE ANY OBLIGATION TO DO SO.

NEITHER DOW JONES NOR WILSHIRE WILL HAVE ANY LIABILITY IN CONNECTION WITH THE FUND. SPECIFICALLY, NEITHER DOW JONES NOR WILSHIRE MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AND DOW JONES AND WILSHIRE DISCLAIM 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 WILSHIRE 4500 COMPLETION INDEX (FULL CAP) AND THE DATA INCLUDED IN THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP); THE ACCURACY OR COMPLETENESS OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) AND ANY RELATED DATA; THE MERCHANTABILITY AND THE FITNESS FOR A PARTICULAR PURPOSE OR USE OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) AND/OR ITS RELATED DATA; NEITHER DOW JONES NOR WILSHIRE WILL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS IN THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) OR RELATED DATA; UNDER NO CIRCUMSTANCES WILL DOW JONES OR WILSHIRE BE LIABLE FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL, OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF DOW JONES OR WILSHIRE KNOWS THAT THEY MIGHT OCCUR. o THE LICENSING AGREEMENT BETWEEN BLACKROCK ADVISORS, LLC (OR ITS PREDECESSOR), DOW JONES, AND WILSHIRE, 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.

P O R T F O L I O

==================--------------------------------------------------------------
HIGHLIGHTS

-----------------------------------------------
 TOP 10 HOLDINGS AS OF 6/30/08
 (% of Net Assets)
-----------------------------------------------
Berkshire Hathaway, Inc. Class A 4.0%
Visa, Inc. Class A 1.2%
Genentech, Inc. 1.1%
Accenture Ltd. Class A 0.8%
Mosaic Co. 0.7%
Mastercard, Inc. Class A 0.6%
Ultra Petroleum Corp. 0.5%
Bunge Ltd. 0.4%
Liberty Media Corp. -
 Entertainment Class A 0.4%
McDermott International, Inc. 0.4%
-----------------------------------------------

-----------------------------------------------
 TOP 10 INDUSTRIES AS OF 6/30/08
 (% of Net Assets)
-----------------------------------------------
Miscellaneous Finance 10.3%
Business Services 10.0%
Drugs & Medicine 8.9%
Electronics 7.6%
Energy & Raw Materials 6.4%
Domestic Oils 6.0%
Producer Goods 5.1%
Energy & Utilities 5.0%
Real Property 4.9%
Insurance 3.4%
-----------------------------------------------

YOU WILL FIND A COMPLETE LIST OF SECURITIES THAT THE MASTER EXTENDED
MARKET INDEX SERIES (THE SERIES) OWNS ON PAGES 32-77.

. . . C O N T I N U E D ========================-------------------------------------------------------- HIGHLIGHTS

ASSET ALLOCATION*
6/30/2008

[PIE CHART OF ASSET ALLOCATION]

Miscellaneous Finance 10.3%
Business Services 10.0%
Drugs & Medicine 8.9%
Electronics 7.6%
Energy & Raw Materials 6.4%
Domestic Oils 6.0%
Producer Goods 5.1%
Energy & Utilities 5.0%
Real Property 4.9%
Insurance 3.4%
Banks 3.1%
Chemicals 2.5%
Retail 2.3%
Food & Agriculture 2.2%
Construction 2.0%
Media 2.0%
Telephone 2.0%
Other** 25.5%

*PERCENTAGES ARE OF THE NET ASSETS OF THE SERIES, NOT OF THE NET ASSETS
OF THE FUND.

**INDUSTRIES WITH LESS THAN 2.0% OF THE SERIES' NET ASSETS AND
SHORT-TERM SECURITIES.

S T A T E M E N T

==================--------------------------------------------------------------
of ASSETS and LIABILITIES

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

ASSETS
 Investment in Master Extended Market Index Series, at fair value $291,186,172
 Receivable for capital shares sold 526,068
 Receivable due from USAA Investment Management
 Company (Note 4B) 70,028
 ------------
 Total assets 291,782,268
 ------------
LIABILITIES
 Payable for purchase in Master Extended Market Index Series 59,137
 Payable for capital shares redeemed 466,931
 Accrued transfer agency fees 14,519
 Other accrued expenses and payables 58,963
 ------------
 Total liabilities 599,550
 ------------
 Net assets applicable to capital shares outstanding $291,182,718
 ============

NET ASSETS CONSIST OF:
 Paid-in capital $281,393,526
 Accumulated undistributed net investment income 1,297,130
 Accumulated net realized gain from investments and
 futures transactions 8,153,930
 Net unrealized appreciation on investments and futures contracts 338,132
 ------------
 Net assets applicable to capital shares outstanding $291,182,718
 ============
 Capital shares outstanding 24,193,140
 ============
 Net asset value, redemption price, and offering price per share $ 12.04
 ============

SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS AND ACCOMPANYING FINANCIAL STATEMENTS OF THE MASTER EXTENDED MARKET INDEX SERIES (THE SERIES) ATTACHED.

S T A T E M E N T

==================--------------------------------------------------------------
of OPERATIONS

USAA EXTENDED MARKET INDEX FUND
SIX-MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)

INVESTMENT INCOME
 Allocated from Master Extended Market Index Series:
 Dividends (net of $1,476 foreign withholding tax) $ 1,660,800
 Interest from affiliates 117,151
 Securities lending - net 297,220
 ------------
 Total income 2,075,171
 Expenses (141,729)
 ------------
 Net allocated investment income 1,933,442
 ------------
FUND EXPENSES
 Administration and servicing fees 551,748
 Transfer agent's fees 437,412
 Custody and accounting fees 1,747
 Shareholder reporting fees 18,399
 Postage 26,371
 Trustees' fees 5,470
 Registration fees 17,843
 Professional fees 30,831
 Other 4,973
 ------------
 Total Fund expenses before reimbursement 1,094,794
 Expenses paid indirectly (352)
 Expenses reimbursed (510,253)
 ------------
 Total Fund expenses after reimbursement 584,189
 ------------
NET INVESTMENT INCOME 1,349,253
 ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FUTURES CONTRACTS ALLOCATED
FROM MASTER EXTENDED MARKET INDEX SERIES
 Net realized gain from investment transactions 8,291,463
 Net realized gain from futures transactions 249,052
 Net change in unrealized appreciation/depreciation on
 investments and futures contracts (36,925,509)
 ------------
 Net allocated realized and unrealized loss on
 investments and futures contracts (28,384,994)
 ------------
 Decrease in net assets from operations $(27,035,741)
 ============

SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS AND ACCOMPANYING FINANCIAL
STATEMENTS OF THE SERIES ATTACHED.

S T A T E M E N T S

====================------------------------------------------------------------ of Changes in NET ASSETS

USAA EXTENDED MARKET INDEX FUND
SIX-MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
AND YEAR ENDED DECEMBER 31, 2007

 6/30/2008 12/31/2007
 ----------------------------
FROM OPERATIONS
 Net investment income $ 1,349,253 $ 2,747,358
 Net realized gain from investment transactions 8,291,463 13,632,382
 Net realized gain from futures transactions 249,052 177,572
 Net change in unrealized depreciation
 on investments and futures contracts (36,925,509) (4,947,353)
 ----------------------------
Net increase (decrease) in net assets from operations (27,035,741) 11,609,959
 ----------------------------
DISTRIBUTIONS TO SHAREHOLDERS
 Net investment income - (2,855,233)
 Net realized gains - (14,738,933)
 ----------------------------
 Distributions to shareholders - (17,594,166)
 ----------------------------
FROM CAPITAL SHARE TRANSACTIONS
 Proceeds from shares sold 42,035,726 110,533,129
 Reinvested dividends (60) 17,294,989
 Cost of shares redeemed (33,985,266) (64,527,917)
 ----------------------------
Net increase in net assets from capital share
 transactions 8,050,400 63,300,201
 ----------------------------
Capital contribution from USAA Transfer
 Agency Company - 8,480
 ----------------------------
Net increase (decrease) in net assets (18,985,341) 57,324,474
NET ASSETS
 Beginning of period 310,168,059 252,843,585
 ----------------------------
 End of period $291,182,718 $310,168,059
 ============================
Accumulated undistributed (overdistribution of)
 net investment income
 End of period $ 1,297,130 $ (52,123)
 ============================
CHANGE IN SHARES OUTSTANDING
 Shares sold 3,421,205 7,876,638
 Shares issued for reinvested dividends (4) 1,291,103
 Shares redeemed (2,790,141) (4,598,442)
 ----------------------------
Increase in shares outstanding 631,060 4,569,299
 ============================

SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS AND ACCOMPANYING FINANCIAL
STATEMENTS OF THE SERIES ATTACHED.

F I N A N C I A L

==================--------------------------------------------------------------
HIGHLIGHTS

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

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

 SIX-MONTH
 PERIOD ENDED
 JUNE 30, YEARS ENDED DECEMBER 31,
 -----------------------------------------------------------------------------------------------
 2008 2007 2006 2005 2004 2003
 -----------------------------------------------------------------------------------------------
Net asset value at
 beginning of period $ 13.16 $ 13.31 $ 12.10 $ 11.25 $ 9.71 $ 6.80
 -----------------------------------------------------------------------------------------------
Income (loss) from investment
 operations:
 Net investment income .06 .12 .14 .08 .06 .06(d)
 Net realized and unrealized
 gain (loss) on
 investments and
 futures transactions (1.18) .51 1.71 1.06 1.68 2.89(d)
 -----------------------------------------------------------------------------------------------
Total from investment
 operations (1.12) .63 1.85 1.14 1.74 2.95(d)
 -----------------------------------------------------------------------------------------------
Less distributions:
 From net investment income - (.12) (.14) (.08) (.14) (.04)
 From realized capital gains - (.66) (.50) (.21) (.06) -
 -----------------------------------------------------------------------------------------------
Total distributions - (.78) (.64) (.29) (.20) (.04)
 -----------------------------------------------------------------------------------------------
Net asset value at end of
 period $ 12.04 $ 13.16 $ 13.31 $ 12.10 $ 11.25 $ 9.71
 ===============================================================================================
Total return (%)* (8.51) 4.71(c) 15.31 10.11 17.92 43.44
Net assets at end of
 period (000) $291,183 $310,168 $252,844 $174,199 $121,169 $71,423
Ratios to average net
 assets:**
 Expenses, including
 expenses of the
 Master Extended
 Market Index Series (%) .50(a),(b) .50(b),(c) .50(b) .50(b) .50(b) .50
 Expenses before
 reimbursements,
 including expenses of
 the Master Extended
 Market Index Series (%) .85(a),(b) .79(b) .82(b) .76(b) .80(b) .96
 Net investment income (%) .93(a) .92 1.23 .84 .70 .74
Portfolio turnover (%)*** 21 33 24 18 23 15

* 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 six-month period ended June 30, 2008, average net assets were $291,980,249. *** Represents the portfolio turnover of the Master Extended Market Index Series.
(a) Annualized. The ratio is not necessarily indicative of 12 months of operations.
(b) Reflects 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%.
(c) 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.
(d) Calculated using average shares.

SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS AND ACCOMPANYING FINANCIAL
STATEMENTS OF THE SERIES ATTACHED.

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

USAA MUTUAL FUNDS TRUST (the Trust), registered under the Investment Company Act of 1940 (the 1940 Act), as amended, is an open-end management investment company incorporated under the laws of Maryland consisting of 45 separate funds. The information presented in this semiannual report pertains only to the USAA Extended Market Index Fund (the Fund), which is classified as diversified under the 1940 Act. The Fund's primary investment objective is to 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 Wilshire 4500 Completion Index (Full Cap). The Dow Jones Wilshire 4500 Completion Index (Full Cap) measures the performance of all small- and mid-cap stocks included in the Dow Jones Wilshire 5000 Composite Index (Full Cap) less the stocks in the S&P 500 Index.

USAA Investment Management Company (the Manager), an affiliate of the Fund, attempts to achieve this objective by investing all of the Fund's investable assets in the Master Extended Market Index Series of the Quantitative Master Series LLC (the Series), which is a separate open-end investment management company advised by BlackRock Advisors, LLC (BlackRock), with a substantially similar investment objective. At June 30, 2008, the Fund's investment was 95.35% 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 1A of the Series' financial statements included elsewhere in this report.

B. INVESTMENT INCOME AND EXPENSES - The Fund records daily its pro rata share of the Series' income, expenses, and realized and

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

unrealized gains and losses. In addition, the Fund accrues its own expenses.

C. 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.

D. EXPENSES PAID INDIRECTLY - Through arrangements with banks utilized by the Fund for cash management purposes, realized credits, if any, generated from cash balances in the Fund's bank accounts are used to reduce the Fund's expenses. For the six-month period ended June 30, 2008, these bank credits reduced the Fund's expenses by $352.

E. INDEMNIFICATIONS - Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust expects the risk of loss to be remote.

F. 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 $300 million with USAA Capital Corporation (CAPCO), an affiliate of the Manager. The purpose of the agreement is to meet

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

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 0.07% annually of the $300 million loan agreement). The facility fees are allocated among the funds based on their respective average net assets for the period.

For the six-month period ended June 30, 2008, the Fund paid CAPCO facility fees of $102, which represents 0.7% of the total fees paid to CAPCO by the USAA funds. The Fund had no borrowings under this agreement during the six-month period ended June 30, 2008.

(3) DISTRIBUTIONS

The tax basis of distributions and accumulated undistributed net investment income will be determined based upon the Fund's tax year-end of December 31, 2008, in accordance with applicable tax law.

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

Effective January 1, 2007, the Fund adopted Financial Accounting Standards Board (FASB) Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. As of June 30, 2008, the Manager has reviewed all open tax years and concluded that the adoption of FIN 48 resulted in no impact to the Fund's net assets or results of operations. On an ongoing basis, the Manager will monitor its tax positions under FIN 48 to determine if adjustments to this conclusion are necessary.

(4) TRANSACTIONS WITH MANAGER

A. ADMINISTRATION AND SERVICING FEES - The Manager provides administration and shareholder servicing functions for the Fund. For such services, the Manager receives a fee accrued daily and paid monthly at an annualized rate of 0.38% of the Fund's average net assets for the fiscal year. For the six-month period ended June 30, 2008, the Fund incurred administration and servicing fees, paid or payable to the Manager, of $551,748.

In addition to the services provided under its Administration and Servicing Agreement with the Fund, the Manager also provides certain legal and tax services for the benefit of the Fund. The Trust's Board of Trustees has approved the reimbursement of a portion of these expenses incurred by the Manager. For the six-month period ended June 30, 2008, the Fund reimbursed the Manager $2,123 for these legal and tax services.

Out of the administration and servicing fees received from the Fund, the Manager pays BlackRock up to 0.10% for subadministration services provided on the Manager's behalf. For the six-month period ended June 30, 2008, the Manager incurred subadministration fees, paid or payable to BlackRock, of $20,679.

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

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, before reductions of any expenses paid indirectly, and will reimburse the Fund for all expenses in excess of that amount. This agreement may be modified or terminated at any time. For the six-month period ended June 30, 2008, the Fund incurred reimbursable expenses of $510,253, of which $70,028 was receivable from the Manager.

C. TRANSFER AGENT'S FEES - USAA Transfer Agency Company, d/b/a USAA Shareholder Account Services (SAS), an affiliate of the Manager, provides transfer agency services to the Fund based on an annual charge of $26 per shareholder account, plus out-of-pocket expenses. The Fund also pays SAS fees that are related to the administration and servicing of accounts that are traded on an omnibus basis. For the six-month period ended June 30, 2008, the Fund incurred transfer agent's fees, paid or payable to SAS, of $437,412.

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.

(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.

N O T E S

==========---------------------------------------------------------------------- to FINANCIAL Statements

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

(6) NEW ACCOUNTING PRONOUNCEMENTS

A. SFAS NO. 159, "THE FAIR VALUE OPTION FOR FINANCIAL ASSETS AND

FINANCIAL LIABILITIES" (SFAS 159) - In February 2007, FASB issued SFAS 159. In summary, SFAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. SFAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. SFAS 159 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The Manager has evaluated SFAS 159 and has determined that there are no eligible instruments for which the Fund intends to avail itself of the fair value option.

B. SFAS NO. 161, "DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND

HEDGING ACTIVITIES - AN AMENDMENT OF FASB STATEMENT NO. 133" (SFAS 161) - In March 2008, FASB issued SFAS 161. In summary, SFAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. SFAS 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The Manager is in the process of evaluating the impact of SFAS 161 on the Fund's financial statement disclosures.

E X P E N S E

==============------------------------------------------------------------------ EXAMPLE (unaudited)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008

EXAMPLE

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period of January 1, 2008, through June 30, 2008.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

E X P E N S E

==============------------------------------------------------------------------ EXAMPLE (unaudited)

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008

use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

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

 EXPENSES PAID
 BEGINNING ENDING DURING PERIOD*
 ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2008 -
 JANUARY 1, 2008 JUNE 30, 2008 JUNE 30, 2008 -
 -------------------------------------------------------------
Actual $1,000.00 $ 914.90 $2.38
Hypothetical
 (5% return before expenses) 1,000.00 1,022.38 2.51

*Expenses are equal to the Fund's annualized expense ratio of 0.50%, which includes expenses of the Master Extended Market Index Series, and is net of any reimbursements and expenses paid indirectly, multiplied by the average account value over the period, multiplied by 182 days/366 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 (8.51)% for the six-month period of January 1, 2008, through June 30, 2008.

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

At a meeting of the Board of Trustees ("the Board") held on April 9, 2008, the Board, including the Trustees who are not "interested persons" of the Trust (the "Independent Trustees"), approved the continuance of the Management Agreement between the Trust and the Manager with respect to the Fund.

In advance of the meeting, the Trustees received and considered a variety of information relating to the Management Agreement and the Manager and were given the opportunity to ask questions and request additional information from management. The information provided to the Board included, among other things: (a) a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable investment companies; (b) information concerning the services rendered to the Fund, as well as information regarding the Manager's revenues and costs of providing services to the Fund and compensation paid to affiliates of the Manager; and (c) information about the Manager's operations and personnel. Prior to voting, the Independent Trustees reviewed the proposed continuance of the Management Agreement with management and with experienced independent counsel and received materials from such counsel discussing the legal standards for their consideration of the proposed continuation of the Management Agreement with respect to the Fund. The Independent Trustees also reviewed the proposed continuation of the Management Agreement with respect to the Fund in private sessions with their counsel at which no representatives of management were present.

At each regularly scheduled meeting of the Board and its committees, the Board receives and reviews, among other things, information concerning the Fund's performance and services provided by the Manager. At the meeting at which renewal of the Management Agreement is considered, particular focus is given to information concerning Fund performance, comparability of fees and total expenses, and profitability. However, the Board noted that the evaluation process

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

with respect to the Manager is an ongoing one. In this regard, the Board's and its committees' consideration of the Management Agreement included certain information previously received at such meetings.

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

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

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

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

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

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

EXPENSES AND PERFORMANCE. In connection with its consideration of the Management Agreement, the Board evaluated the Fund's advisory fees and total expense ratio as compared to other open-end investment companies deemed to be comparable to the Fund as determined by the independent third party in its report. The Fund's expenses were compared to a group of investment companies chosen by the independent third party to be comparable to the Fund based upon certain factors, including fund type, comparability of investment objectives and classifications, sales load type (in this case, investment companies with no sales loads

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

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

In considering the Fund's performance, the Board noted that it reviews at its regularly scheduled meetings detailed information about the Fund's and the Master Fund's performance results. The Trustees also reviewed various comparative data provided to them in connection with their consideration of the renewal of the Management Agreement, including, among other information, a comparison of the Fund's average annual total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by the independent third party in its report (the "performance universe"). The Fund's performance universe consisted of the Fund and all retail and institutional open-end investment companies with the same classification/objective as the Fund regardless

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

of asset size or primary channel of distribution. This comparison indicated that the Fund's performance was below the average of its performance universe and its Lipper index for the one-year period ended December 31, 2007, and exceeded the average of its performance universe and its Lipper index for the three- and five-year periods ended December 31, 2007. The Board also noted that the Fund's percentile performance ranking was in the bottom 50% of its performance universe for the one-year period ended December 31, 2007, and was in the top 50% of its performance universe for the three- and five-year periods ended December 31, 2007. The Board took into account management's discussion of the Fund's performance, including the Fund's high level of correlation between the Fund's performance and its corresponding index.

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

ECONOMIES OF SCALE. With respect to the consideration of any economies of scale to be realized by the Fund, the Board took into account that the Manager does not receive any advisory fees under the Management

A D V I S O R Y

================----------------------------------------------------------------
AGREEMENT

(continued)

USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2008 (UNAUDITED)

Agreement and that the management fee reflects the advisory fee paid at the Master Fund level to the Master Fund's Adviser. The Board determined that the current fee structure was reasonable. The Board also considered the effects of the Fund's growth and size on the Fund's performance and fees, noting that if the Fund's assets increase over time, the Fund may realize other economies of scale if assets increase proportionally more than some expenses.

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

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

invests

S C H E D U L E

================----------------------------------------------------------------
of INVESTMENTS

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
COMMON STOCKS
 AEROSPACE - 0.9%
 2,400 AeroVironment, Inc.(a) $ 65,232
 200 Aerosonic Corp.(a) 616
 2,400 Argon ST, Inc.(a) 59,520
 1,000 Astronics Corp.(a) 13,910
 5,100 Crane Co. 196,503
 1,600 Cubic Corp. 35,648
 3,433 DRS Technologies, Inc. 270,246
 2,700 ESCO Technologies, Inc.(a) 126,684
 2,200 EnPro Industries, Inc.(a) 82,148
 3,000 Esterline Technologies Corp.(a) 147,780
 12,500 Garmin Ltd.(b) 535,500
 4,100 GenCorp, Inc.(a) 29,356
 1,792 Heico Corp. Class A 47,631
 2,700 KVH Industries, Inc.(a) 22,491
 2,300 Kaman Corp. Class A 52,348
 18,200 SAIC, Inc.(a) 378,742
 5,900 SatCon Technology Corp.(a) 16,756
 50 Spacehab, Inc.(a) 29
 10,200 Spirit Aerosystems Holdings, Inc. Class A(a) 195,636
 2,700 Teledyne Technologies, Inc.(a) 131,733
 11,434 Trimble Navigation Ltd.(a) 408,194
 3,800 Veeco Instruments, Inc.(a) 61,104
 ------------
 2,877,807
 ------------
 AIR TRANSPORT - 0.4%
 2,500 AAR Corp.(a) 33,825
 25,100 AMR Corp.(a),(c) 128,512
 12,300 AirTran Holdings, Inc.(a),(b) 25,092
 5,600 Aircastle Ltd.(b) 47,096
 3,700 Alaska Air Group, Inc.(a) 56,758
 2,300 Allegiant Travel Co.(a) 42,757
 1,500 Atlas Air Worldwide Holdings, Inc.(a) 74,190
 1,200 Aviation General, Inc.(a) -
 9,970 Continental Airlines, Inc. Class B(a) 100,797
 25,400 Delta Air Lines, Inc.(a) 144,780
 1,600 ExpressJet Holdings, Inc.(a) 880
 700 Great Lakes Aviation Ltd.(a) 1,449
 5,602 Hawaiian Holdings, Inc.(a) 38,934
 18,175 JetBlue Airways Corp.(a),(b) 67,793
 1,600 LMI Aerospace, Inc.(a) 28,112
 1,400 MAIR Holdings, Inc.(a) 5,670
 2,000 Mesa Air Group, Inc.(a) 1,020
 20,300 Northwest Airlines Corp.(a) 135,198
 1,900 PHI, Inc.(a) 76,323
 3,100 Pinnacle Airlines Corp.(a) 9,796
 1,900 Republic Airways Holdings, Inc.(a) 16,454
 4,500 SkyWest, Inc. 56,925
 2,500 TransDigm Group, Inc.(a) 83,975
 12,930 UAL Corp.(b) 67,495
 9,559 US Airways Group, Inc.(a) 23,898
 200 Vanguard Airlines, Inc.(a) -
 ------------
 1,267,729
 ------------


 APPAREL - 0.9%
 6,425 Aeropostale, Inc.(a) 201,295
 3,400 Ashworth, Inc.(a) 11,866
 3,150 bebe Stores, Inc. 30,272
 2,700 Brown Shoe Co., Inc. 36,585
 1,550 The Buckle, Inc. 70,882
 2,300 Cache, Inc.(a) 24,610
 3,900 Carter's, Inc.(a) 53,898
 1,400 Cherokee, Inc. 28,210
 1,600 Citi Trends, Inc.(a) 36,256
 1,500 Columbia Sportswear Co. 55,125
 8,600 Crocs, Inc.(a),(b) 68,886
 1,300 Deckers Outdoor Corp.(a) 180,960
 900 Dixie Group, Inc.(a) 5,922
 900 Escalade, Inc. 4,869
 600 Finlay Enterprises, Inc.(a) 258
 5,017 Fossil, Inc.(a) 145,844
 1,200 G-III Apparel Group, Ltd.(a) 14,808
 3,100 GSI Commerce, Inc.(a) 42,253
 5,800 Guess?, Inc. 217,210
 2,100 Hartmarx Corp.(a) 4,557
 3,700 Heelys, Inc.(a) 15,022
 5,981 Iconix Brand Group, Inc.(a) 72,250

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 5,200 J. Crew Group, Inc.(a) $ 171,652
 2,300 Joe's Jeans, Inc.(a) 2,553
 1,956 Jos. A. Bank Clothiers, Inc.(a),(b) 52,323
 3,200 K-Swiss, Inc. Class A 47,040
 2,200 Kenneth Cole Productions, Inc. Class A 27,940
 500 Lacrosse Footwear, Inc. 7,315
 1,600 Maidenform Brands, Inc.(a) 21,600
 1,200 Mothers Work, Inc.(a) 12,084
 2,600 New York & Co.(a) 23,738
 1,600 Oxford Industries, Inc. 30,640
 2,000 Perry Ellis International, Inc.(a) 42,440
 5,000 Phillips-Van Heusen Corp. 183,100
 1,000 Phoenix Footwear Group, Inc.(a) 1,530
 12,500 Quiksilver, Inc.(a) 122,750
 1,000 Rocky Brands, Inc.(a) 4,830
 2,700 Skechers U.S.A., Inc. Class A(a) 53,352
 2,400 Stage Stores, Inc. 28,008
 2,500 Steven Madden Ltd.(a) 45,950
 1,500 Superior Uniform Group, Inc. 12,990
 200 Tandy Brands Accessories, Inc. 1,102
 3,200 Timberland Co. Class A(a) 52,320
 2,200 True Religion Apparel, Inc.(a),(b) 58,630
 4,000 Under Armour, Inc. Class A(a),(b) 102,560
 3,200 Unifi, Inc.(a) 8,064
 2,200 Volcom, Inc.(a) 52,646
 4,400 The Warnaco Group, Inc.(a) 193,908
 300 Weyco Group, Inc. 7,959
 3,800 Wolverine World Wide, Inc. 101,346
 300 Xerium Technologies, Inc. 1,188
 ------------
 2,793,396
 ------------
 BANKS - 3.1%
 200 Ameriana Bancorp 1,692
 1,200 American Bancorp of New Jersey 12,348
 400 American National Bankshares, Inc. 7,276
 2,200 AmericanWest Bancorp 4,994
 720 Ameris Bancorp 6,264
 700 Ames National Corp. 11,606
 470 Arrow Financial Corp. 8,521
 11,559 Associated Banc-Corp. 222,973
 631 BCSB Bancorp, Inc.(a) 6,751
 1,000 Bancfirst Corp. 42,800
 1,300 Bancorp of New Jersey, Inc.(a) 20,150
 2,500 The Bancorp, Inc.(a) 19,050
 8,000 BancorpSouth, Inc. 139,920
 5,900 Bank Mutual Corp. 59,236
 781 Bank of Granite Corp. 5,553
 4,700 Bank of Hawaii Corp. 224,660
 12,400 BankAtlantic Bancorp, Inc. Class A 21,824
 1,000 BankFinancial Corp. 13,010
 200 Bar Harbor Bankshares 5,560
 3,700 Beneficial Mutual Bancorp, Inc.(a) 40,959
 300 Berkshire Bancorp, Inc. 3,996
 4,700 Boston Private Financial Holdings, Inc. 26,649
 1,200 Bridge Bancorp, Inc. 25,320
 4,899 Brookline Bancorp, Inc. 46,785
 500 Bryn Mawr Bank Corp. 8,750
 2,600 CFS Bancorp, Inc. 30,654
 700 Camden National Corp. 16,296
 1,100 Capital Bank Corp. 9,724
 625 Capital City Bank Group, Inc.(b) 13,600
 420 Capitol Bancorp Ltd. 3,767
 2,140 Capitol Federal Financial 80,485
 4,800 Cardinal Financial Corp. 30,048
 210 Carrollton Bancorp 2,468
 2,975 Cascade Bancorp(b) 22,818
 2,988 Center Bancorp, Inc. 26,145
 900 Center Financial Corp. 7,623
 1,300 Century Bancorp, Inc. Class A 23,075
 2,713 Chemical Financial Corp. 55,345
 612 Citizens & Northern Corp. 10,104
 8,985 Citizens Banking Corp. 25,338
 2,428 Citizens South Banking Corp. 18,331
 1,800 City Holding Co. 73,386
 3,900 City National Corp. 164,073
 2,050 CityBank 17,630
 980 Clifton Savings Bancorp, Inc. 9,545
 1,250 CoBiz Financial, Inc. 8,225
 20,546 The Colonial BancGroup, Inc.(b) 90,813
 500 Colony Bankcorp, Inc. 5,550

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,030 Columbia Banking System, Inc. $ 39,240
 100 Comm Bancorp, Inc. 4,400
 5,695 Commerce Bancshares, Inc. 225,864
 2,100 Community Bancorp(a) 10,521
 3,300 Community Bank System, Inc. 68,046
 1,580 Community Trust Bancorp, Inc. 41,491
 5,800 Corus Bankshares, Inc.(b) 24,128
 5,340 Cullen/Frost Bankers, Inc. 266,199
 677 Doral Financial Corp.(a) 9,167
 2,500 ESSA Bancorp, Inc. 31,300
 7,190 East-West Bancorp, Inc. 50,761
 2,100 Encore Bancshares, Inc.(a) 32,865
 1,400 EuroBancshares, Inc.(a) 5,026
 8,989 F.N.B. Corp. 105,897
 300 FNB United Corp. 2,310
 300 Farmers Capital Bank Corp. 5,286
 2,000 Financial Institutions, Inc. 32,120
 8,600 First BanCorp., Puerto Rico 54,524
 600 First Bancorp, North Carolina 7,584
 2,850 First Busey Corp.(b) 37,677
 3,400 First Cash Financial Services, Inc.(a) 50,966
 1,000 First Citizens Banc Corp 11,320
 590 First Citizens BancShares, Inc. Class A 82,299
 7,300 First Commonwealth Financial Corp. 68,109
 1,200 First Community Bancshares, Inc. 33,840
 1,200 First Federal Bancshares of Arkansas, Inc. 10,380
 4,710 First Financial Bancorp 43,332
 1,866 First Financial Bankshares, Inc. 85,481
 358 First Financial Service Corp. 6,465
 600 First M&F Corp. 7,530
 2,115 First Merchants Corp. 38,387
 5,075 First Midwest Bancorp, Inc. 94,649
 10,789 First Niagara Financial Group, Inc. 138,747
 600 First Regional Bancorp(a) 3,366
 600 First South Bancorp, Inc. 7,728
 3,300 First State Bancorp. 18,150
 400 The First of Long Island Corp. 7,840
 7,300 FirstMerit Corp. 119,063
 1,800 Fox Chase Bancorp, Inc.(a) 18,468
 4,300 Franklin Bank Corp.(a),(b) 2,623
 5,400 Frontier Financial Corp.(b) 46,008
 17,711 Fulton Financial Corp. 177,996
 661 German American Bancorp, Inc. 7,674
 600 Great Southern Bancorp, Inc. 4,872
 467 Greater Community Bancorp 7,528
 1,800 Greene County Bancshares, Inc. 25,236
 2,600 Guaranty Bancorp(a) 9,360
 2,833 Guaranty Financial Group, Inc.(a) 15,213
 2,900 Hancock Holding Co. 113,941
 5,856 Hanmi Financial Corp. 30,510
 1,698 Harleysville National Corp. 18,950
 250 Hawthorn Bancshares, Inc. 6,318
 1,900 Heritage Commerce Corp. 18,810
 200 Home Bancshares, Inc. 4,496
 625 Horizon Financial Corp. 3,900
 300 Imperial Capital Bancorp, Inc. 1,719
 1,900 Independent Bank Corp./MA 45,296
 1,200 Indiana Community Bancorp 19,680
 2,200 Integra Bank Corp. 17,226
 2,175 Internet Capital Group, Inc.(a) 16,813
 2,100 Intervest Bancshares Corp. 10,752
 6,000 Irwin Financial Corp. 16,140
 2,500 Jefferson Bancshares, Inc. 22,950
 2,300 Kearny Financial Corp. 25,300
 2,500 Lakeland Bancorp, Inc. 30,450
 1,700 Lakeland Financial Corp. 32,436
 1,900 Legacy Bancorp, Inc./MA 21,907
 250 MASSBANK Corp. 9,895
 787 Macatawa Bank Corp. 6,296
 2,301 MainSource Financial Group, Inc. 35,666
 1,300 Malvern Federal Bancorp, Inc.(a) 14,079
 2,170 Mercantile Bank Corp. 15,581
 350 Merchants Bancshares, Inc. 7,858
 8,100 Metavante Technologies, Inc.(a) 183,222
 1,000 Midwest Banc Holdings, Inc. 4,870
 3,460 NBT Bancorp, Inc. 71,311
 3,100 Nara Bancorp, Inc. 33,263
 8,227 National Penn Bancshares, Inc. 109,255
 8,200 NewAlliance Bancshares, Inc. 102,336

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,004 Newbridge Bancorp $ 13,828
 2,200 North Valley Bancorp 14,322
 300 Northern States Financial Corp. 5,250
 700 Northfield Bancorp, Inc.(a) 7,525
 157 Norwood Financial Corp. 4,553
 2,000 OceanFirst Financial Corp. 36,100
 875 Ohio Valley Banc Corp. 21,875
 6,932 Old National Bancorp 98,850
 1,686 Old Second Bancorp, Inc. 19,591
 2,794 Oriental Financial Group 39,842
 1,660 PFF Bancorp, Inc. 1,793
 1,000 Pamrapo Bancorp, Inc. 15,480
 830 Park National Corp.(b) 44,737
 300 Parkvale Financial Corp. 6,999
 563 Peapack-Gladstone Financial Corp. 12,369
 800 Penns Woods Bancorp, Inc. 24,104
 400 Pennsylvania Commerce Bancorp, Inc.(a) 9,620
 16,917 People's United Financial, Inc. 263,905
 363 Peoples Bancorp of North Carolina, Inc. 3,953
 595 Peoples Bancorp, Inc. 11,293
 1,200 Peoples Financial Corp. 24,480
 880 Pinnacle Financial Partners, Inc.(a) 17,679
 25,939 Popular, Inc.(b) 170,938
 2,000 Porter Bancorp, Inc. 30,020
 1,850 Preferred Bank 9,583
 3,200 PrivateBancorp, Inc.(b) 97,216
 4,600 Prosperity Bancshares, Inc. 122,958
 4,056 Provident Bankshares Corp. 25,877
 4,803 Provident New York Bancorp 53,121
 2,700 Prudential Bancorp, Inc. of Pennsylvania 31,023
 1,348 Republic Bancorp, Inc. Class A 33,161
 3,146 Republic First Bancorp, Inc.(a) 22,840
 1,300 Rockville Financial, Inc. 16,328
 785 Royal Bancshares of Pennsylvania Class A 7,387
 2,600 S&T Bancorp, Inc. 75,556
 6,000 S1 Corp.(a) 45,420
 100 SCBT Financial Corp. 2,856
 3,175 SVB Financial Group(a) 152,749
 210 SY Bancorp, Inc. 4,486
 2,050 Sandy Spring Bancorp, Inc. 33,989
 188 Savannah Bancorp, Inc. 2,444
 3,370 Seacoast Banking Corp. of Florida(b) 26,151
 450 Shore Bancshares, Inc. 8,424
 3,100 Signature Bank(a) 79,856
 1,500 Simmons First National Corp. Class A 41,955
 8,655 The South Financial Group, Inc.(b) 33,928
 1,652 Southside Bancshares, Inc. 30,463
 2,500 Southwest Bancorp, Inc. 28,750
 132 Southwest Georgia Financial Corp. 2,330
 725 State Bancorp, Inc. 9,063
 925 StellarOne Corp. 13,505
 2,605 Sterling Bancorp 31,130
 8,025 Sterling Bancshares, Inc. 72,947
 1,200 Suffolk Bancorp 35,256
 500 Summit Financial Group, Inc.(b) 6,250
 1,309 Sun Bancorp, Inc.(a) 13,286
 250 Superior Bancorp(a) 2,123
 8,900 Susquehanna Bancshares, Inc. 121,841
 26,300 Synovus Financial Corp.(b) 229,599
 11,990 TCF Financial Corp. 144,240
 10,000 TFS Financial Corp. 115,900
 400 Temecual Valley Bancorp, Inc. 2,396
 3,300 Texas Capital Bancshares, Inc.(a) 52,800
 632 Tompkins Trustco, Inc. 23,510
 600 Towne Bank 9,036
 900 Trico Bancshares 9,855
 8,260 TrustCo Bank Corp. NY(b) 61,289
 5,300 Trustmark Corp. 93,545
 12,850 UCBH Holdings, Inc.(b) 28,913
 3,120 UMB Financial Corp. 159,962
 6,536 Umpqua Holdings Corp.(b) 79,282
 750 Union Bankshares Corp. 11,168
 5,300 UnionBanCal Corp. 214,226
 336 United Bancorp, Inc. 3,108
 4,500 United Bankshares, Inc. 103,275
 1,632 United Community Financial Corp. 6,120

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 1,600 United Western Bancorp, Inc. $ 20,096
 100 Univest Corp. of Pennsylvania 1,986
 12,742 Valley National Bancorp(b) 200,941
 2,625 Vineyard National Bancorp(b) 9,923
 3,080 Virginia Commerce Bancorp(a) 15,985
 900 WSFS Financial Corp. 40,140
 800 Washington Trust Bancorp, Inc. 15,760
 2,789 WesBanco, Inc. 47,831
 2,200 West Coast Bancorp 19,074
 2,800 Westamerica Bancorp. 147,252
 1,300 Western Alliance Bancorp(a),(b) 10,088
 6,725 Whitney Holding Corp. 123,068
 6,600 Wilmington Trust Corp. 174,504
 2,300 Wilshire Bancorp, Inc. 19,711
 2,650 Wintrust Financial Corp. 63,203
 ------------
 9,431,096
 ------------
 BUSINESS MACHINES - 1.1%
 32,590 3Com Corp.(a) 69,091
 2,200 3D Systems Corp.(a),(b) 20,900
 3,700 ActivIdentity Corp.(a) 10,101
 15,800 Adaptec, Inc.(a) 50,560
 1,900 American Railcar Industries, Inc. 31,882
 4,300 American Software Class A 24,252
 1,400 Analogic Corp. 88,298
 2,800 Arbitron, Inc. 133,000
 3,500 Avocent Corp.(a) 65,100
 1,300 Black Box Corp. 35,347
 5,300 Borland Software Corp.(a) 7,208
 600 California First National Bancorp 5,760
 1,750 Charles & Colvard Ltd.(a),(b) 1,960
 700 Communication Intelligence Corp.(a) 141
 3,900 Concurrent Computer Corp.(a) 2,652
 9,200 Convera Corp.(a) 13,064
 2,475 Cray, Inc.(a) 11,484
 5,500 Diebold, Inc. 195,690
 900 Digi International, Inc.(a) 7,065
 3,600 Digital Lightwave, Inc.(a) 288
 4,100 Emageon, Inc.(a) 8,815
 4,551 Fair Isaac Corp. 94,524
 4,500 Flow International Corp.(a) 35,100
 12,400 Foundry Networks, Inc.(a) 146,568
 2,400 Hanger Orthopedic Group, Inc.(a) 39,576
 3,100 Hypercom Corp.(a) 13,640
 7,200 IKON Office Solutions, Inc. 81,216
 3,600 Immersion Corp.(a) 24,516
 16,770 Integrated Device Technology, Inc.(a) 166,694
 2,200 InterVoice, Inc.(a) 12,540
 1,700 iRobot Corp.(a),(b) 23,358
 6,000 LTX Corp.(a) 13,200
 2,100 Lantronix, Inc.(a) 1,386
 3,200 MIPS Technologies, Inc.(a) 12,000
 8,200 Micros Systems, Inc.(a) 250,018
 6,200 Napster, Inc.(a) 8,804
 7,500 Network Engines, Inc.(a) 8,775
 3,800 Omnicell, Inc.(a) 50,084
 1,000 PAR Technology Corp.(a) 7,470
 9,826 Palm, Inc.(b) 52,962
 3,585 Premiere Global Services, Inc.(a) 52,269
 3,600 Rackable Systems, Inc.(a) 48,240
 1,600 Rimage Corp.(a) 19,824
 9,543 Salesforce.com, Inc.(a) 651,119
 2,700 ScanSource, Inc.(a) 72,252
 2,900 Sigma Designs, Inc.(a),(b) 40,281
 3,315 Soapstone Networks, Inc.(a) 12,696
 445 SumTotal Systems, Inc.(a) 2,083
 7,555 Sybase, Inc.(a) 222,268
 5,200 Tech Data Corp.(a) 176,228
 940 Transact Technologies, Inc.(a) 7,783
 6,800 VeriFone Holdings, Inc.(a),(b) 81,260
 3,100 White Electronic Designs Corp.(a) 14,229
 ------------
 3,225,621
 ------------
 BUSINESS SERVICES - 10.0%
 1,000 4Kids Entertainment, Inc.(a) 7,410
 3,100 ABM Industries, Inc.(c) 68,975
 3,300 ACI Worldwide, Inc.(a) 58,047
 3,400 AMICAS, Inc.(a) 9,656
 2,420 AMN Healthcare Services, Inc.(a) 40,946
 11,100 Aastrom Biosciences, Inc.(a),(b) 4,107

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 58,700 Accenture Ltd. Class A $ 2,390,264
 3,700 Actuate Corp.(a) 14,467
 40 Adept Technology, Inc.(a) 390
 1,800 Administaff, Inc. 50,202
 2,000 Advent Software, Inc.(a) 72,160
 1,900 The Advisory Board Co.(a) 74,727
 6,960 Affymetrix, Inc.(a) 71,618
 3,400 Alfacell Corp.(a),(b) 1,496
 7,500 Alliance Data Systems Corp.(a) 424,125
 1,000 The Allied Defense Group, Inc.(a) 5,580
 3,100 Allied Healthcare International, Inc.(a) 6,169
 2,900 Alnylam Pharmaceuticals, Inc.(a),(b) 77,517
 1,800 Ambassadors International, Inc.(a),(b) 7,884
 2,360 American Ecology Corp. 69,690
 48 American Independence Corp.(a) 307
 1,500 American Public Education, Inc.(a) 58,560
 2,300 American Reprographics Co.(a) 38,295
 3,900 American Superconductor Corp.(a),(b) 139,815
 200 Analysts International Corp.(a) 274
 700 Angelica Corp. 14,889
 2,100 Ansoft Corp.(a) 76,440
 7,000 Ansys, Inc.(a) 329,840
 4,700 Arbinet-Thexchange, Inc. 18,283
 200 ArcSight, Inc.(a) 1,760
 8,554 Ariba, Inc.(a) 125,829
 7,271 Art Technology Group, Inc.(a) 23,267
 2,300 athenahealth, Inc.(a),(b) 70,748
 2,000 Authentidate Holding Corp.(a) 780
 1,150 BSQUARE Corp.(a) 5,555
 1,700 Bankrate, Inc.(a),(b) 66,419
 102 Baran Group Ltd. 1,479
 600 Barrett Business Services, Inc. 7,098
 14,000 BearingPoint, Inc.(a) 11,340
 4,748 Blackbaud, Inc. 101,607
 2,900 Blackboard, Inc.(a) 110,867
 3,940 Blue Coat Systems, Inc.(a) 55,593
 400 Bottomline Technologies, Inc.(a) 3,892
 2,100 Bowne & Co., Inc. 26,775
 4,000 The Brink's Co. 261,680
 37,657 Brocade Communications Systems, Inc.(a) 310,294
 4,200 Brookdale Senior Living, Inc. 85,512
 3,100 CACI International, Inc. Class A(a) 141,887
 7,245 CBIZ, Inc.(a) 57,598
 1,200 CDI Corp. 30,528
 1,400 COMSYS IT Partners, Inc.(a) 12,768
 1,400 CRA International, Inc.(a) 50,610
 3,965 CSG Systems International, Inc.(a) 43,694
 1,900 Callidus Software Inc.(a) 9,500
 46 Callwave, Inc.(a) 120
 1,600 Capella Education Co.(a) 95,440
 8,668 Career Education Corp.(a) 126,639
 3,500 Casella Waste Systems, Inc.(a) 42,665
 1,000 Catapult Communications Corp.(a) 7,120
 2,800 Cbeyond Communications, Inc.(a) 44,856
 5,750 Cell Genesys, Inc.(a),(b) 14,950
 6,200 Cerner Corp.(a) 280,116
 2,500 Chemed Corp. 91,525
 850 Chindex International Inc.(a) 12,470
 5,733 ChoicePoint, Inc.(a) 276,331
 1,720 Chordiant Software, Inc.(a) 8,600
 3,800 Ciber, Inc.(a) 23,598
 1 Cicero, Inc.(a) -
 2,000 Clean Harbors, Inc.(a) 142,120
 4,000 Clear Channel Outdoor Holdings, Inc. Class A(a) 71,320
 7,200 Clearwire Corp. Class A(a) 93,312
 2,100 CoStar Group, Inc.(a) 93,345
 4,600 Cogent Communications Group, Inc.(a) 61,640
 4,200 Cogent, Inc.(a) 47,754
 1,700 Collectors Universe, Inc. 13,787
 2,100 ComScore, Inc.(a) 45,822
 3,600 CommVault Systems, Inc.(a) 59,904
 800 Computer Programs & Systems, Inc. 13,864
 4,400 Concur Technologies, Inc.(a) 146,212
 2,400 Constant Contact, Inc.(a) 45,240
 6,350 Copart, Inc.(a) 271,907
 8,235 Corinthian Colleges, Inc.(a) 95,608

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,000 Cornell Cos., Inc.(a) $ 48,220
 3,400 Corporate Executive Board Co. 142,970
 337 Courier Corp. 6,767
 281 Credit Acceptance Corp.(a) 7,182
 3,600 Cross Country Healthcare, Inc.(a) 51,876
 8,400 CuraGen Corp.(a) 8,064
 6,850 CyberSource Corp.(a) 114,601
 1,840 DG FastChannel, Inc.(a) 31,740
 4,200 DST Systems, Inc.(a) 231,210
 5,300 DeVry, Inc. 284,186
 1,800 Delrek, Inc.(a) 13,644
 100 Deltathree, Inc. Class A(a) 13
 3,500 Deluxe Corp. 62,370
 3,000 DemandTec, Inc.(a) 22,530
 3,100 Dice Holdings, Inc.(a) 25,606
 3,600 Digimarc Corp.(a) 50,976
 3,600 Digital River, Inc.(a) 138,888
 26,734 Discovery Holding Co.(a) 587,079
 3,200 DivX, Inc.(a) 23,488
 1,800 Dollar Financial Corp.(a) 27,198
 4,100 Dot Hill Systems Corp.(a) 10,373
 2,700 Double-Take Software, Inc.(a) 37,098
 5,000 Dun & Bradstreet Corp. 438,200
 8,000 Dyax Corp.(a) 24,800
 500 ENGlobal Corp.(a) 7,120
 2,700 EPIQ Systems, Inc.(a) 38,340
 1 EVCI Career Colleges Holding Corp.(a) -
 11,300 EarthLink, Inc.(a) 97,745
 3,800 Echelon Corp.(a),(b) 41,420
 5,100 Eclipsys Corp.(a) 93,636
 600 Ediets.Com, Inc.(a),(b) 2,406
 20 Egain Communications Corp.(a) 14
 200 Electro Rent Corp. 2,508
 40 eLoyalty Corp.(a) 198
 3,400 EnergySolutions, Inc. 75,990
 6,030 Enliven Marketing Technologies Corp.(a) 5,065
 2,300 Ennis, Inc. 35,995
 4,200 Entrust, Inc.(a) 12,348
 4,500 Epicor Software Corp.(a) 31,095
 4,575 eResearch Technology, Inc.(a) 79,788
 4,845 Euronet Worldwide, Inc.(a) 81,881
 2 Evolve Software, Inc.(a) -
 3,200 Evolving Systems, Inc.(a) 7,232
 9,700 Exelixis, Inc.(a) 48,500
 2,300 ExlService Holdings, Inc.(a) 32,269
 1,700 Exponent, Inc.(a) 53,397
 7,800 F5 Networks, Inc.(a) 221,676
 2,500 FTD Group, Inc. 33,325
 4,950 FTI Consulting, Inc.(a) 338,877
 4,450 Factset Research Systems, Inc. 250,802
 5,800 FalconStor Software, Inc.(a) 41,064
 1,300 First Advantage Corp. Class A(a) 20,605
 308 Five Star Quality Care, Inc.(a) 1,457
 1,300 Forrester Research, Inc.(a) 40,144
 3,300 Franklin Covey Co.(a) 28,644
 2,000 Fuel Tech, Inc.(a),(b) 35,240
 1,800 G&K Services, Inc. Class A 54,828
 3,400 GP Strategies Corp.(a) 34,170
 1,103 GSE Systems, Inc.(a) 9,828
 1,700 GTSI Corp.(a) 12,869
 2,460 Gaiam, Inc.(a) 33,235
 5,800 Genpact Ltd.(a) 86,536
 3,200 Gentiva Health Services, Inc.(a) 60,960
 5,200 The Geo Group, Inc.(a) 117,000
 2,700 Gevity HR, Inc. 14,526
 100 Gliatech, Inc.(a) -
 4,400 Global Cash Access, Inc.(a) 30,184
 6,820 Global Payments, Inc. 317,812
 3,600 Greenfield Online, Inc.(a) 53,712
 3,000 Guidance Software, Inc.(a) 28,650
 3,900 Gulfport Energy Corp.(a) 64,233
 15,492 HLTH Corp.(a) 175,369
 2,600 The Hackett Group, Inc.(a) 14,924
 7,200 Hansen Natural Corp.(a),(b) 207,504
 3,900 Harris Interactive, Inc.(a) 7,839
 3,300 Harris Stratex Networks, Inc. Class A(a) 31,317
 4,300 Harte-Hanks, Inc. 49,235
 1,900 Heidrick & Struggles International, Inc. 52,516

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 8,920 Hewitt Associates, Inc. Class A(a) $ 341,904
 1,900 HireRight, Inc.(a) 32,490
 1,800 Hudson Highland Group, Inc.(a) 18,846
 2,000 Huron Consulting Group, Inc.(a) 90,680
 2,600 i2 Technologies, Inc.(a) 32,318
 2,800 I-many, Inc.(a) 2,800
 1,800 ICF International, Inc.(a) 29,916
 800 ICT Group, Inc.(a) 6,560
 4,500 IHS, Inc. Class A(a) 313,200
 3,710 ITT Educational Services, Inc.(a) 306,557
 4,700 Idenix Pharmaceuticals, Inc.(a) 34,169
 6,200 iGate Corp.(a) 50,406
 1,800 Imergent, Inc.(b) 21,312
 3,900 InFocus Corp.(a) 5,850
 1,000 Infinity Pharmaceuticals, Inc.(a) 7,840
 3,200 infoGROUP, Inc. 14,048
 2,340 InfoSpace, Inc. 19,492
 9,000 Informatica Corp.(a) 135,360
 4,600 Innerworkings, Inc.(a),(b) 55,016
 1,193 Innovative Solutions & Support, Inc.(a),(b) 7,695
 83 InsWeb Corp.(a) 769
 1,300 Insteel Industries, Inc. 23,803
 366 Insure.com, Inc.(a) 1,193
 1,340 Integral Systems, Inc. 51,858
 3,600 Interactive Data Corp. 90,468
 2,100 Interactive Intelligence, Inc.(a) 24,444
 4,200 Intermec, Inc.(a) 88,536
 2,510 Internap Network Services Corp.(a) 11,747
 1,000 Intersections, Inc.(a) 10,930
 4,800 Interwoven, Inc.(a) 57,648
 2,200 Intevac, Inc.(a) 24,816
 3,480 inVentiv Health, Inc.(a) 96,709
 8,600 Invitrogen Corp.(a) 337,636
 3,600 Ipass, Inc.(a) 7,452
 16,775 Iron Mountain, Inc.(a) 445,376
 2,300 JDA Software Group, Inc.(a) 41,630
 7,800 Jack Henry & Associates, Inc. 168,792
 1,900 Jupitermedia Corp.(a) 2,660
 3,800 Kelly Services, Inc. Class A 73,454
 1,800 Kenexa Corp.(a) 33,912
 1,500 Keryx Biopharmaceuticals, Inc.(a) 728
 3,000 Keynote Systems, Inc.(a) 38,640
 3,970 Kforce, Inc.(a) 33,705
 5,881 Kinder Morgan Management LLC(a) 316,692
 1,700 Kintera, Inc.(a) 1,887
 3,300 Knology, Inc.(a) 36,267
 3,000 Korn/Ferry International(a) 47,190
 4,400 Kratos Defense & Security Solutions, Inc.(a) 8,624
 5,551 L-1 Identity Solutions, Inc.(a) 73,939
 3,500 LECG Corp.(a) 30,590
 6,407 Lamar Advertising Co. Class A(a),(b) 230,844
 12,900 Lawson Software, Inc.(a) 93,783
 2,000 Layne Christensen Co.(a) 87,580
 2,000 Learning Tree International, Inc.(a) 34,200
 1,500 Lincoln Educational Services Corp.(a) 17,445
 2,700 Lionbridge Technologies, Inc.(a) 6,966
 5,600 LivePerson, Inc.(a) 15,736
 3,000 LoJack Corp.(a) 23,880
 500 Local.com Corp.(a) 1,860
 1,342 LookSmart, Ltd.(a) 5,395
 3,900 Luminex Corp.(a) 80,145
 2,000 MAXIMUS, Inc. 69,640
 4,400 MIVA, Inc.(a) 4,664
 6,300 MPS Group, Inc.(a) 66,969
 1,900 MSC.Software Corp.(a) 20,862
 1,400 MWI Veterinary Supply, Inc.(a) 46,354
 4,600 Macquarie Infrastructure Co. LLC 116,334
 7,999 Macrovision Solutions Corp.(a) 119,665
 4,440 Magma Design Automation, Inc.(a) 26,951
 3,900 Management Network Group, Inc.(a) 5,616
 2,700 Manhattan Associates, Inc.(a) 64,071
 7,616 Manpower, Inc. 443,556
 1,995 Mantech International Corp. Class A(a) 95,999
 3,200 Marchex, Inc. Class B(b) 39,424
 1,200 MarketAxess Holdings, Inc.(a) 9,072
 2,800 Marlin Business Services, Inc.(a) 19,404
 4,900 Maxygen, Inc.(a) 16,611

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 15,377 McAfee, Inc.(a) $ 523,279
 512 Mechanical Technology, Inc.(a) 640
 1,800 Medical Staffing Network Holdings, Inc.(a) 6,948
 6,800 Mentor Graphics Corp.(a) 107,440
 3,500 Merge Healthcare, Inc. 4,060
 925 Metro One Telecommunications, Inc.(a) 509
 400 Michael Baker Corp.(a) 8,752
 990 MicroStrategy, Inc. Class A(a) 64,103
 7,600 Microvision, Inc.(a),(b) 20,900
 5,966 Mindspeed Technologies, Inc.(a) 5,133
 1,100 Monotype Imaging Holdings, Inc.(a) 13,398
 1,800 Morningstar, Inc.(a) 129,654
 9,200 NAVTEQ Corp.(a) 708,400
 15,974 NCR Corp.(a) 402,545
 3,200 NIC, Inc. 21,856
 2,800 NMS Communications Corp.(a) 3,108
 1,900 NMT Medical, Inc.(a) 8,873
 800 NVE Corp.(a),(b) 25,272
 5,800 National Instruments Corp. 164,546
 240 Natural Health Trends Corp.(a) 242
 2,400 Nautilus, Inc. 12,192
 313 NaviSite, Inc.(a) 1,189
 4,800 Navigant Consulting, Inc.(a) 93,888
 4,620 NetFlix, Inc.(a),(b) 120,443
 1,600 NetScout Systems, Inc.(a) 17,088
 20 NetSol Technologies, Inc.(a) 52
 800 NetSuite, Inc.(a) 16,376
 7,600 NeuStar, Inc. Class A(a) 163,856
 200 New Century Equity Holdings Corp.(a) 34
 5,400 New Frontier Media, Inc. 21,114
 2,231 New Motion, Inc. 9,281
 4,100 NexCen Brands, Inc.(a) 2,296
 2,700 Nighthawk Radiology Holdings, Inc.(a) 19,116
 1,900 Nutri/System, Inc.(b) 26,866
 1,800 ORBCOMM, Inc.(a) 10,260
 3,200 Odyssey Marine Exploration, Inc.(a) 12,704
 6,076 Omniture, Inc.(a) 112,831
 2,500 On Assignment, Inc.(a) 20,050
 16,300 On2 Technologies, Inc.(a),(b) 9,943
 1,900 Online Resources Corp.(a) 15,865
 60 Onvia, Inc.(a) 311
 13,000 OpenTV Corp.(a) 17,030
 6,061 Openwave Systems, Inc.(a) 9,031
 1,200 Opnet Technologies, Inc.(a) 10,800
 4,400 Orbital Sciences Corp.(a) 103,664
 1,745 Orchid Cellmark, Inc.(a) 4,537
 800 Overland Storage, Inc.(a) 936
 2,100 PC Mall, Inc.(a) 28,476
 1,200 PC-Tel, Inc. 11,508
 900 PDI, Inc.(a) 7,839
 4,500 PHH Corp.(a) 69,075
 4,591 PLATO Learning, Inc.(a) 12,166
 570 PRG-Schultz International, Inc.(a) 5,364
 700 PROS Holdings, Inc.(a) 7,861
 2,900 Pacific Ethanol, Inc.(a),(b) 5,220
 11,200 Parametric Technology Corp.(a) 186,704
 500 Pegasystems, Inc. 6,730
 1,600 People Support, Inc.(a) 13,600
 3,200 Perficient, Inc.(a) 30,912
 7,500 Perot Systems Corp. Class A(a) 112,575
 26 Pfsweb, Inc.(a) 118
 2,150 PharmaNet Development Group, Inc.(a) 33,906
 3,500 Phase Forward, Inc.(a) 62,895
 3,200 Phoenix Technologies Ltd.(a) 35,200
 8,429 Polycom, Inc.(a) 205,330
 2,300 Pomeroy IT Solutions, Inc.(a) 10,580
 933 Poniard Pharmaceuticals, Inc.(a) 3,956
 930 Pre-Paid Legal Services, Inc.(a) 37,777
 10 Prescient Applied Intelligence, Inc.(a) -
 3,433 Priceline.com, Inc.(a) 396,374
 3,200 Primus Guaranty Ltd.(a),(b) 9,312
 1,600 The Princeton Review, Inc.(a) 10,816
 3,400 Progress Software Corp.(a) 86,938
 1,175 Protection One, Inc.(a),(b) 9,870
 1,600 The Providence Service Corp.(a) 33,776
 1,700 QAD, Inc. 11,509

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,600 Quality Systems, Inc. $ 76,128
 7,300 Quest Software, Inc.(a) 108,113
 1,000 Quixote Corp. 8,230
 5,222 R.H. Donnelley Corp.(a) 15,666
 3,375 RPC, Inc. 56,700
 2,500 Radiant Systems, Inc.(a) 26,825
 9,000 RealNetworks, Inc.(a) 59,400
 17,300 Red Hat, Inc.(a) 357,937
 1,700 Renaissance Learning, Inc. 19,057
 15,400 Republic Services, Inc. Class A 457,380
 4,700 Resources Connection, Inc. 95,645
 2,000 RightNow Technologies, Inc.(a) 27,340
 5,500 Riverbed Technology, Inc.(a) 75,460
 1,500 Rural Cellular Corp. Class A(a) 66,765
 4,100 Rural/Metro Corp.(a) 8,118
 3,833 SAVVIS, Inc.(a) 49,446
 4,800 SM&A(a) 22,896
 1,400 SPAR Group, Inc.(a) 1,036
 2,009 SPSS, Inc.(a) 73,067
 4,300 SRA International, Inc. Class A(a) 96,578
 217 SXC Health Solutions Corp.(a) 2,966
 2,400 SYKES Enterprises, Inc.(a) 45,264
 2,000 SYNNEX Corp.(a) 50,180
 1,229 Saba Software, Inc.(a) 3,945
 30 Salon Media Group, Inc.(a) 42
 9,600 Sapient Corp.(a) 61,632
 100 Scientific Learning Corp.(a) 385
 1,900 SeaChange International, Inc.(a) 13,604
 3,200 Secure Computing Corp.(a) 13,248
 5,700 Selectica, Inc.(a) 7,695
 2,200 Senomyx, Inc.(a) 10,846
 4,666 Sequenom, Inc.(a) 74,469
122,325 Sirius Satellite Radio, Inc.(a),(b) 234,864
 1,800 Sirona Dental Systems, Inc.(a) 46,656
 2,200 Smith Micro Software, Inc.(a) 12,540
 5,600 Solera Holdings, Inc.(a) 154,896
 6,500 Sonic Foundry, Inc.(a) 3,965
 3,700 SonicWALL, Inc.(a) 23,865
 1,800 Sourcefire, Inc.(a) 13,914
 3,600 Sourceforge, Inc.(a) 5,760
 2,300 Spartech Corp. 21,689
 3,600 Spherion Corp.(a) 16,632
 500 Standard Parking Corp.(a) 9,100
 1,800 The Standard Register Co. 16,974
 2,000 Stanley, Inc.(a) 67,040
 800 Startek, Inc.(a) 7,520
 8,200 Stericycle, Inc.(a) 423,940
 2,440 Stratasys, Inc.(a) 45,042
 5,000 Strategic Diagnostics, Inc.(a) 18,200
 1,400 Strayer Education, Inc. 292,698
 1,900 SuccessFactors, Inc.(a) 20,805
 3,000 SupportSoft, Inc.(a) 9,750
 3,100 Switch and Data Facilities Co., Inc.(a) 52,669
 20,300 Sycamore Networks, Inc.(a) 65,366
 2,400 Symyx Technologies Inc.(a) 16,752
 2,400 Synchronoss Technologies, Inc.(a) 21,672
 13,605 Synopsys, Inc.(a) 325,296
 1,300 Syntel, Inc. 43,836
 1,300 Sypris Solutions, Inc. 5,460
 19,100 TIBCO Software, Inc.(a) 146,115
 2,700 TNS, Inc.(a) 64,692
 800 TRC Cos., Inc.(a) 3,216
 2,600 Taleo Corp. Class A(a) 50,934
 1,100 TechTarget, Inc.(a) 11,616
 2,300 TechTeam Global, Inc.(a) 24,587
 15 Technology Solutions Co.(a) 70
 200 TeleCommunication Systems, Inc. Class A(a) 926
 4,000 TeleTech Holdings, Inc.(a) 79,840
 5,925 Tetra Tech, Inc.(a) 134,024
 7,550 Tetra Technologies, Inc.(a) 179,011
 2,300 TheStreet.com, Inc. 14,973
 2,000 Thomas Group, Inc. 4,400
 4,200 TradeStation Group, Inc.(a) 42,630
 4,400 The TriZetto Group, Inc.(a) 94,072
 3,400 Trident Microsystems, Inc.(a) 12,410
 3,200 TrueBlue, Inc.(a) 42,272
 8,777 Tumbleweed Communications Corp.(a) 22,996
 7,293 URS Corp.(a) 306,087
 2,600 Ultimate Software Group, Inc.(a) 92,638

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 10,700 Unigene Laboratories, Inc.(a) $ 18,404
 7,053 United Online, Inc. 70,742
 1,700 Universal Electronics, Inc.(a) 35,530
 2,655 Universal Technical Institute, Inc.(a) 33,081
 3,300 VASCO Data Security International, Inc.(a) 34,749
 3,800 VMware, Inc.(a),(b) 204,668
 800 VSE Corp. 22,000
 9,155 ValueClick, Inc.(a) 138,698
 3,300 Veraz Networks, Inc.(a) 5,610
 4,700 Verenium Corp.(a),(b) 9,071
 1,450 Viad Corp. 37,396
 3,630 Vignette Corp.(a) 43,560
 2,900 Virtusa Corp.(a) 29,377
 4,200 VistaPrint Ltd.(a),(b) 112,392
 2,300 Vital Images, Inc.(a) 28,612
 1,600 Volt Information Sciences, Inc.(a) 19,056
 6,625 Waste Connections, Inc.(a) 211,536
 4,240 Watson Wyatt Worldwide, Inc. 224,254
 666 Wave Systems Corp. Class A(a) 659
 900 WebMD Health Corp. Class A(a),(b) 25,110
 4,700 Websense, Inc.(a) 79,148
 3,523 Website Pros, Inc.(a) 29,347
 3,650 Weight Watchers International, Inc. 129,977
 500 Westaff, Inc.(a) 565
 7,600 Wind River Systems, Inc.(a) 82,764
 200 WorldGate Communications, Inc.(a) 35
 5,200 Zix Corp.(a),(b) 14,456
 ------------
 30,481,233
 ------------
 CHEMICALS - 2.5%
 1,200 AEP Industries, Inc.(a) 20,844
 1,700 AMCOL International Corp. 48,382
 1,425 Aceto Corp. 10,887
 6,700 Airgas, Inc. 391,213
 8,800 Albemarle Corp. 351,208
 1,400 Anika Therapeutics, Inc.(a) 12,026
 1,700 Arch Chemicals, Inc. 56,355
 600 Balchem Corp. 13,878
 1,900 Bio-Rad Laboratories, Inc. Class A(a) 153,691
 3,900 Brady Corp. 134,667
 4,400 Cabot Corp. 106,964
 4,300 Calgon Carbon Corp.(a),(b) 66,478
 14,900 Celanese Corp. Series A 680,334
 19,600 Chemtura Corp. 114,464
 4,600 Cytec Industries, Inc. 250,976
 12,136 Entegris, Inc.(a) 79,491
 4,500 Ferro Corp. 84,420
 1,500 GenTek Inc.(a) 40,335
 6,400 Georgia Gulf Corp.(b) 18,560
 3,900 H.B. Fuller Co. 87,516
 300 Hawkins, Inc. 4,488
 9,600 Huntsman Corp. 109,440
 1,200 Innophos Holdings, Inc. 38,340
 1,750 KMG Chemicals, Inc. 18,078
 2,200 Koppers Holdings, Inc. 92,114
 482 Kronos Worldwide, Inc. 7,418
 1,800 LSB Industries, Inc.(a) 35,640
 3,800 Landec Corp.(a) 24,586
 6,615 Lubrizol Corp. 306,473
 450 Mace Security International, Inc.(a) 716
 1,600 Matrixx Initiatives, Inc.(a) 26,656
 14,300 The Mosaic Co.(a) 2,069,210
 12,600 Nalco Holding Co. 266,490
 1,220 NewMarket Corp. 80,801
 3,100 OM Group, Inc.(a) 101,649
 6,492 Olin Corp. 169,961
 2,400 Omnova Solutions, Inc.(a) 6,672
 2,000 OxiGene, Inc.(a) 2,500
 5,500 PolyOne Corp.(a) 38,335
 2,000 Polypore International, Inc.(a) 50,660
 1,100 Quaker Chemical Corp. 29,326
 10,800 RPM International, Inc. 222,480
 22,200 Rentech, Inc.(a) 42,180
 1,900 Repligen Corp.(a) 8,968
 3,500 Rockwood Holdings, Inc.(a) 121,800
 1,900 Rogers Corp.(a) 71,421
 5,050 Rollins, Inc. 74,841
 2,800 SRS Labs Inc.(a) 18,060

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,400 Schawk, Inc. $ 28,776
 3,300 Schulman A, Inc. 75,999
 3,500 Sensient Technologies Corp. 98,560
 6,700 Solutia, Inc.(a) 85,894
 400 Stepan Co. 18,248
 1,300 TOR Minerals International, Inc.(a) 2,249
 700 Terra Nitrogen Co. LP(b) 90,888
 1,600 Tredegar Corp. 23,520
 1,800 Trex Co., Inc.(a),(b) 21,114
 5,900 Tronox, Inc. Class A 18,644
 9,100 Valspar Corp. 172,081
 4,900 W.R. Grace & Co.(a) 115,101
 1,900 WD-40 Co. 55,575
 2,100 Westlake Chemical Corp. 31,206
 1,600 Zep, Inc. 23,808
 2,800 Zoltek Cos., Inc.(a),(b) 67,900
 ------------
 7,691,555
 ------------
 CONSTRUCTION - 2.0%
 7,100 Aecom Technology Corp.(a) 230,963
 13,400 American Defense Systems, Inc.(a) 14,338
 1,000 American Woodmark Corp.(b) 21,130
 600 Ameron International Corp. 71,988
 3,100 Apogee Enterprises, Inc. 50,096
 1,800 Armstrong World Industries, Inc. 52,596
 4,800 Beacon Roofing Supply, Inc.(a) 50,928
 4,664 Beazer Homes USA, Inc.(a) 25,978
 2,000 BlueLinx Holdings, Inc. 7,080
 1,876 Brookfield Homes Corp.(b) 23,037
 7,300 Bucyrus International, Inc. 533,046
 1,900 Builders FirstSource, Inc.(a),(b) 10,089
 2,180 Building Material Holding Corp.(b) 3,859
 310 Cavco Industries, Inc.(a) 10,146
 2,675 Ceradyne, Inc.(a) 91,753
 3,800 Comstock Homebuilding Cos., Inc. Class A(a) 1,368
 3,033 Dycom Industries, Inc.(a) 44,039
 5,600 EMCOR Group, Inc.(a) 159,768
 4,620 Eagle Materials, Inc. 117,025
 3,150 Granite Construction, Inc. 99,320
 6,000 Great Lakes Dredge & Dock Corp. 36,660
 1,600 Hill International, Inc.(a) 26,304
 6,300 Hovnanian Enterprises, Inc. Class A(a),(b) 34,524
 1,400 Huttig Building Products, Inc.(a) 2,534
 2,000 Insituform Technologies, Inc. Class A(a) 30,460
 1,800 Interline Brands, Inc.(a) 28,674
 15,200 KBR, Inc. 530,632
 700 L.S. Starrett Co. Class A 16,548
 2,950 LSI Industries, Inc. 23,954
 2,000 M/I Homes, Inc.(b) 31,460
 3,516 MDC Holdings, Inc. 137,335
 3,900 Martin Marietta Materials, Inc.(b) 404,001
 3,700 Mastec, Inc.(a) 39,442
 3,000 Meritage Homes Corp.(a),(b) 45,510
 2,200 NCI Building Systems, Inc.(a) 80,806
 460 NVR, Inc.(a) 230,037
 600 Orion Marine Group, Inc.(a) 8,478
 8,800 Owens Corning, Inc.(a) 200,200
 500 PGT, Inc.(a) 1,720
 3,700 Palm Harbor Homes, Inc.(a),(b) 20,461
 100 Patriot Transportation Holding, Inc.(a) 8,000
 500 Performance Technologies, Inc.(a) 2,530
 2,600 Perini Corp.(a) 85,930
 2,350 Quanex Building Products Corp. 34,921
 16,335 Quanta Services, Inc.(a) 543,465
 4,000 Quest Resource Corp.(a) 45,640
 4,200 Ryland Group, Inc. 91,602
 10,200 SBA Communications Corp. Class A(a) 367,302
 2,800 Simpson Manufacturing Co., Inc.(b) 66,472
 1,000 Skyline Corp. 23,500
 8,500 Standard-Pacific Corp.(b) 28,730
 300 Sterling Construction Co., Inc.(a) 5,958
 2,500 Texas Industries, Inc. 140,325
 12,300 Toll Brothers, Inc.(a) 230,379
 5,600 U.S. Concrete, Inc.(a) 26,656
 500 UMH Properties, Inc. 4,375
 6,600 USG Corp.(a),(b) 195,162

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 6,200 WCI Communities, Inc.(a),(b) $ 8,990
 4,300 WESCO International, Inc.(a) 172,172
 5,100 Walter Industries, Inc. 554,727
 5,300 Westell Technologies, Inc. Class A(a) 7,155
 1,380 Woodbridge Holdings Corp.(a) 1,601
 ------------
 6,193,879
 ------------
 CONSUMER - DURABLES - 0.5%
 1,700 American Technology Corp.(a) 2,941
 7,440 Avis Budget Group, Inc.(a) 62,272
 800 Bassett Furniture Industries, Inc. 9,440
 8,300 Champion Enterprises, Inc.(a) 48,555
 2,500 Compx International, Inc. 14,500
 800 Conn's, Inc.(a),(b) 12,856
 1,000 Design Within Reach, Inc.(a) 3,480
 1,700 Emerson Radio Corp.(a) 2,210
 3,100 Ethan Allen Interiors, Inc.(a) 76,260
 200 Flexsteel Industries, Inc. 2,250
 4,800 Furniture Brands International, Inc. 64,128
 2,220 Griffon Corp.(a) 19,447
 1,600 Haverty Furniture Cos., Inc. 16,064
 2,800 Helen of Troy Ltd.(a) 45,136
 13,200 Hertz Global Holdings, Inc.(a) 126,720
 1,700 Hooker Furniture Corp. 29,444
 4,700 Interface, Inc. Class A 58,891
 2,800 Kimball International, Inc. Class B 23,184
 200 Koss Corp. 3,124
 3,100 La-Z-Boy, Inc.(b) 23,715
 2,700 Lifetime Brands, Inc. 22,005
 500 Mac-Gray Corp.(a) 5,870
 4,764 Mohawk Industries, Inc.(a),(b) 305,372
 400 National Presto Industries, Inc. 25,672
 4,900 RSC Holdings, Inc.(a) 45,374
 1,700 Rockford Corp.(a) 1,581
 6,100 Sealy Corp.(b) 35,014
 5,250 Select Comfort Corp.(a) 8,610
 2,400 Stanley Furniture Co., Inc. 25,920
 1,600 Sturm Ruger & Co., Inc.(a) 11,296
 4,800 Tempur-Pedic International, Inc.(b) 37,488
 3,890 Toro Co. 129,420
 7,700 United Rentals, Inc.(a) 150,997
 642 Virco Manufacturing Corp. 3,056
 ------------
 1,452,292
 ------------
 CONTAINERS - 0.6%
 14,600 Crown Holdings, Inc.(a) 379,454
 8,800 Graphic Packaging Holding Co.(a) 17,776
 3,000 Greif, Inc. 192,090
 3,400 Mobile Mini, Inc.(a) 68,000
 15,700 Owens-Illinois, Inc.(a) 654,533
 3,000 Silgan Holdings, Inc. 152,220
 8,400 Sonoco Products Co. 259,980
 8,900 Temple-Inland, Inc. 100,303
 1,900 Textainer Group Holdings Ltd. 37,107
 3,900 Trimas Corp.(a) 23,361
 ------------
 1,884,824
 ------------
 DOMESTIC OIL - 6.0%
 7,700 Abraxas Petroleum Corp.(a) 41,657
 1,500 Alon USA Energy, Inc. 17,940
 7,400 American Oil & Gas, Inc.(a) 29,008
 400 Approach Resources, Inc.(a) 10,716
 3,800 Arena Resources, Inc.(a) 200,716
 2,899 Atlas America, Inc. 130,622
 3,400 Atlas Energy Resources LLC 129,710
 1,100 Atlas Pipeline Holdings LP 36,850
 6,000 BPZ Resources, Inc.(a),(b) 176,400
 1,900 Basic Energy Services, Inc.(a) 59,850
 3,200 Bill Barrett Corp.(a) 190,112
 2,000 Bois d'Arc Energy, Inc.(a) 48,620
 1,300 Bolt Technology Corp.(a) 29,341
 4,400 BreitBurn Energy Partners LP(b) 95,172
 2,800 CNX Gas Corp.(a) 117,712
 1,000 Callon Petroleum Co.(a) 27,360
 5,200 Cano Petroleum, Inc.(a) 41,288
 2,800 Carrizo Oil & Gas, Inc.(a) 190,652
 1,100 Clayton Williams Energy, Inc.(a) 120,945
 3,200 Clean Energy Fuels Corp.(a) 36,768

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 4,500 Comstock Resources, Inc.(a) $ 379,935
 5,000 Concho Resources, Inc.(a) 186,500
 3,100 Continental Resources, Inc.(a) 214,892
 3,200 Crosstex Energy LP 91,776
 6,435 Delta Petroleum Corp.(a) 164,157
 6,400 Diamond Offshore Drilling, Inc. 890,496
 1,600 Dorchester Minerals LP 50,880
 7,600 Dresser-Rand Group, Inc.(a) 297,160
 300 Duncan Energy Partners LP 5,412
 200 EV Energy Partner LP 5,854
 8,400 EXCO Resources, Inc.(a) 310,044
 5,600 Edge Petroleum Corp.(a) 30,184
 1,618 Enbridge Energy Management LLC(a) 82,761
 6,100 Enbridge Energy Partners LP 306,891
 4,800 Encore Acquisition Co.(a) 360,912
 2,700 Encore Energy Partners LP 75,735
 20,900 Endeavour International Corp.(a) 45,353
 2,326 Energy Partners Ltd.(a) 34,704
 12,600 Energy Transfer Equity LP 365,274
 5,400 FX Energy, Inc.(a) 28,458
 10,000 Frontier Oil Corp. 239,100
 1,300 GMX Resources Inc.(a),(b) 96,330
 5,700 Gasco Energy, Inc.(a) 23,655
 100 GeoResources, Inc.(a) 1,842
 1,500 Geokinetics, Inc.(a) 27,165
 9,030 Global Industries Ltd.(a) 161,908
 1,630 Gulf Island Fabrication, Inc. 79,756
 1,600 Gulfmark Offshore, Inc.(a) 93,088
 4,000 Harvest Natural Resources, Inc.(a) 44,240
 7,384 Helix Energy Solutions Group, Inc.(a) 307,470
 8,900 Hercules Offshore, Inc.(a) 338,378
 1,800 Hiland Holdings GP LP 48,492
 600 Hiland Partners LP 29,862
 4,700 Holly Corp. 173,524
 1,200 Inergy Holdings LP 43,092
 12,700 Key Energy Services, Inc.(a) 246,634
 1,000 Legacy Reserves LP(b) 24,810
 9,900 Linn Energy LLC 246,015
 5,700 Magellan Midstream Partners LP 202,863
 6,899 Mariner Energy, Inc.(a) 255,056
 4,582 MarkWest Energy Partners LP 163,577
 2,000 Matrix Service Co.(a) 46,120
 5,100 McMoRan Exploration Co.(a),(b) 140,352
 5,100 Meridian Resource Corp.(a) 15,045
 12,498 Newfield Exploration Co.(a) 815,495
 1,900 Northern Oil And Gas, Inc.(a) 25,232
 3,600 NuStar Energy L.P. 170,604
 700 OYO Geospace Corp.(a) 41,258
 14,710 Patterson-UTI Energy, Inc. 530,148
 21,301 PetroHawk Energy Corp.(a) 986,449
 4,400 Petroquest Energy, Inc.(a) 118,360
 10,775 Pioneer Natural Resources Co. 843,467
 700 Pioneer Southwest Energy Partners LP(a) 15,645
 9,619 Plains Exploration & Production Co.(a) 701,898
 15,400 Pride International, Inc.(a) 728,266
 10,460 Quicksilver Resources, Inc.(a) 404,174
 8,000 Ram Energy Resources, Inc.(a) 50,320
 5,300 Rosetta Resources, Inc.(a) 151,050
 6,100 St. Mary Land & Exploration Co. 394,304
 2,279 Stone Energy Corp.(a) 150,209
 2,500 Suburban Propane Partners LP 95,575
 1,700 Sunoco Logistics Partners LP 79,730
 7,726 Superior Energy Services, Inc.(a) 426,012
 2,300 Superior Well Services, Inc.(a) 72,933
 9,000 Syntroleum Corp.(a) 15,570
 6,700 TEPPCO Partners LP 222,373
 4,200 Teekay Corp. 189,756
 1,400 Teekay Offshore Partners LP 27,650
 1,900 Transmontaigne Partners LP 51,338
 4,500 Tri-Valley Corp.(a),(b) 33,435
 14,500 Ultra Petroleum Corp.(a) 1,423,900
 1,300 Union Drilling, Inc.(a) 28,184
 6,500 Vaalco Energy, Inc.(a) 55,055
 2,700 W&T Offshore, Inc. 157,977
 4,200 Warren Resources, Inc.(a) 61,656
 2,000 Western Gas Partners LP(a) 33,700
 3,000 Western Refining, Inc.(b) 35,520
 4,200 Whiting Petroleum Corp.(a) 445,536
 1,100 Williams Pipeline Partners LP 18,986
 ------------
 18,308,956
 ------------

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 DRUGS & MEDICINE - 8.9%
 1,800 AMAG Pharmaceuticals, Inc.(a) $ 61,380
 5,500 AMERIGROUP Corp.(a) 114,400
 2,552 APP Pharmaceuticals, Inc.(a) 42,669
 2,900 ARYx Therapeutics, Inc.(a) 22,852
 900 ATS Medical, Inc.(a) 1,917
 7,050 AVANIR Pharmaceuticals Class A(a) 7,050
 3,100 AVI BioPharma, Inc.(a) 3,472
 2,300 Abaxis, Inc.(a) 55,499
 3,200 Abiomed, Inc.(a) 56,800
 613 The Abraxis Bioscience, Inc.(a) 38,900
 4,500 Acadia Pharmaceuticals, Inc.(a) 16,605
 1,600 Accelrys, Inc.(a) 7,728
 4,800 Accuray, Inc.(a) 34,992
 3,300 Acorda Therapeutics, Inc.(a) 108,339
 2,200 Acura Pharmaceuticals, Inc.(a) 17,424
 7,200 Adolor Corp.(a) 39,456
 4,435 Advanced Medical Optics, Inc.(a) 83,111
 1,700 Affymax, Inc.(a) 27,047
 1,300 Air Methods Corp.(a) 32,500
 2,200 Air Transport Services Group, Inc.(a) 2,200
 2,000 Albany Molecular Research, Inc.(a) 26,540
 3,800 Alexion Pharmaceuticals, Inc.(a) 275,500
 3,600 Alexza Pharmaceuticals, Inc.(a) 14,184
 4,900 Align Technology, Inc.(a) 51,401
 10,300 Alkermes, Inc.(a) 127,308
 2 Allegro Biodiesel Corp.(a) -
 3,300 Alliance Imaging, Inc.(a) 28,611
 6,800 Allos Therapeutics, Inc.(a) 46,988
 5,945 Allscripts Healthcare Solutions, Inc.(a) 73,777
 1,000 Almost Family, Inc.(a) 26,600
 4,600 Alpharma, Inc. Class A(a) 103,638
 500 Altus Pharmaceuticals, Inc.(a) 2,225
 2,667 Amedisys, Inc.(a) 134,470
 800 America Service Group, Inc.(a) 7,320
 7,500 American Medical Systems Holdings, Inc.(a) 112,125
 2,200 Amicus Therapeutics, Inc.(a),(b) 23,496
 2,400 Amsurg Corp.(a) 58,440
 13,700 Amylin Pharmaceuticals, Inc.(a),(b) 347,843
 1,700 Anadys Pharmaceuticals, Inc.(a) 3,825
 400 Anesiva, Inc.(a) 1,180
 2,590 AngioDynamics, Inc.(a) 35,275
 3,100 Animal Health International, Inc.(a) 19,313
 9,300 Antigenics, Inc.(a),(b) 17,949
 5,400 Applera Corp. - Celera Genomics Group(a) 61,344
 3,100 Apria Healthcare Group, Inc.(a) 60,109
 1,900 Arcadia Resources, Inc.(a) 1,064
 2,000 Ardea Biosciences, Inc.(a) 25,640
 8,240 Arena Pharmaceuticals, Inc.(a) 42,765
 8,800 Ariad Pharmaceuticals, Inc.(a) 21,120
 2,430 Arqule, Inc.(a) 7,897
 4,300 Array Biopharma, Inc.(a) 20,210
 2,700 ArthroCare Corp.(a),(b) 110,187
 1,100 Aspect Medical Systems, Inc.(a) 6,919
 700 AspenBio Pharma, Inc.(a) 4,459
 4,800 Assisted Living Concepts, Inc.(a) 26,400
 8,400 Atherogenics, Inc.(a),(b) 4,927
 3,900 Auxilium Pharmaceuticals, Inc.(a) 131,118
 1,766 Avant Immunotherapeutics, Inc.(a) 25,713
 1,000 Avigen, Inc.(a) 2,890
 1,700 Barrier Therapeutics, Inc.(a) 6,834
 6,000 Beckman Coulter, Inc. 405,180
 900 Bentley Pharmaceuticals, Inc.(a) 14,535
 1,700 Bio-Reference Labs, Inc.(a) 37,927
 1,700 BioCryst Pharmaceuticals, Inc.(a) 4,760
 1,000 BioForm Medical, Inc.(a) 4,040
 9,800 BioMarin Pharmaceuticals, Inc.(a) 284,004
 400 BioMimetic Therapeutics, Inc.(a) 4,768
 900 BioSphere Medical, Inc.(a) 3,105
 600 Biodel, Inc.(a) 7,800
 2,400 Biolase Technology, Inc.(a) 8,208
 3,363 Biopure Corp. Class A(a) 1,614
 2,596 Bioscript, Inc.(a) 6,724
 2,050 CONMED Corp.(a) 54,428
 4,300 CV Therapeutics, Inc.(a) 35,389
 900 Cadence Pharmaceuticals, Inc.(a) 5,481
 16,300 Calypte Biomedical Corp.(a) 913
 2,100 Cambrex Corp.(a) 12,327
 1,200 Caraco Pharmaceutical Laboratories Ltd.(a) 15,840

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,210 Cardiac Science Corp.(a) $ 26,322
 2,700 Cardica, Inc.(a) 22,842
 500 CardioNet, Inc.(a) 13,315
 414 Cardiodynamics International Corp.(a) 571
 1,476 Cardiotech International, Inc.(a) 1,033
 3,950 Cell Therapeutics, Inc.(a),(b) 1,896
 3,100 Centene Corp.(a) 52,049
 6,400 Cephalon, Inc.(a) 426,816
 1,400 Cerus Corp.(a) 5,726
 6,492 Charles River Laboratories International, Inc.(a) 414,969
 100 Chelsea Therapeutics International, Inc.(a) 488
 10,700 Clarient, Inc.(a) 21,400
 687 Clinical Data, Inc.(a) 9,803
 7,400 Columbia Laboratories, Inc.(a),(b) 24,420
 9,200 Community Health Systems, Inc.(a) 303,416
 3,300 Conceptus, Inc.(a) 61,017
 4,643 The Cooper Cos., Inc. 172,487
 1,500 Corvel Corp.(a) 50,805
 1,900 Cougar Biotechnology, Inc.(a) 45,277
 6,100 Covance, Inc.(a) 524,722
 2,000 CryoLife, Inc.(a) 22,880
 5,900 Cubist Pharmaceuticals, Inc.(a) 105,374
 3,300 Curis, Inc.(a) 4,851
 900 Cutera, Inc.(a) 8,127
 2,500 Cyberonics, Inc.(a),(b) 54,250
 1,600 Cynosure, Inc. Class A(a) 31,712
 4,200 Cypress Bioscience, Inc.(a) 29,946
 10,200 CytRx Corp.(a),(b) 6,642
 1,700 Cytokinetics, Inc.(a) 6,307
 9,700 DaVita, Inc.(a) 515,361
 1,400 Datascope Corp. 65,800
 900 Daxor Corp.(a) 14,400
 9,930 Dendreon Corp.(a),(b) 44,189
 13,200 Dentsply International, Inc. 485,760
 7,300 Depomed, Inc.(a) 23,433
 3,900 DexCom, Inc.(a) 23,556
 1,300 Dialysis Corp. of America(a) 9,451
 10,100 Discovery Laboratories, Inc.(a),(b) 16,665
 7,200 Durect Corp.(a) 26,424
 1,300 Dusa Pharmaceuticals, Inc.(a) 2,613
 4 Dynacq Healthcare, Inc.(a) 26
 4,700 Dynavax Technologies Corp.(a) 6,862
 7,566 EPIX Pharmaceuticals, Inc.(a) 13,089
 5,300 Edwards Lifesciences Corp.(a) 328,812
 1,200 Emergency Medical Services Corp.(a) 27,156
 600 Emergent Biosolutions, Inc.(a) 5,958
 2,100 Emeritus Corp.(a) 30,702
 4,800 Emisphere Technologies, Inc.(a) 12,864
 10,400 Endo Pharmaceuticals Holdings, Inc.(a) 251,576
 6,200 Endologix, Inc.(a) 14,322
 4,300 Entremed, Inc.(a) 2,365
 1,773 Enzo Biochem, Inc.(a) 19,893
 5,900 Enzon Pharmaceuticals, Inc.(a) 42,008
 673 EpiCept Corp.(a) 160
 725 Escalon Medical Corp.(a) 2,088
 7,183 ev3, Inc.(a) 68,095
 1,600 Exact Sciences Corp.(a) 2,880
 700 Exactech, Inc.(a) 17,997
 2,900 FGX International Holdings Ltd.(a) 23,316
 692 Fonar Corp.(a) 1,515
 3,000 GTx, Inc.(a) 43,050
 5,200 Gen-Probe, Inc.(a) 246,896
 900 GenVec, Inc.(a) 1,296
 566 Genaera Corp.(a) 1,024
 1,060 Genelabs Technologies, Inc.(a) 636
 45,340 Genentech, Inc.(a) 3,441,306
 2,100 Genitope Corp.(a) 93
 2,600 Genomic Health, Inc.(a),(b) 49,790
 700 Genoptix, Inc.(a) 22,085
 1,300 Genta, Inc.(a) 494
 3,800 Geron Corp.(a),(b) 13,110
 2,300 Greatbatch, Inc.(a) 39,790
 2,500 HMS Holdings Corp.(a) 53,675
 2,600 Haemonetics Corp.(a) 144,196
 7,300 Halozyme Therapeutics, Inc.(a) 39,274
 1,800 Hansen Medical, Inc.(a),(b) 30,096
 5,100 Health Grades Inc.(a) 22,899
 23,880 Health Management Associates, Inc. Class A(a) 155,459

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 10,380 Health Net, Inc.(a) $ 249,743
 3,800 HealthExtras, Inc.(a) 114,532
 6,500 HealthSouth Corp.(a) 108,095
 4,300 HealthSpring, Inc.(a) 72,584
 1,900 HealthTronics, Inc.(a) 6,213
 3,077 Healthcare Services Group, Inc. 46,801
 3,600 Healthways, Inc.(a) 106,560
 500 Helicos BioSciences Corp.(a) 2,350
 1,300 Hemispherx Biopharma, Inc.(a) 1,092
 8,600 Henry Schein, Inc.(a) 443,502
 6,500 Herbalife Ltd. 251,875
 1,075 Hi-Tech Pharmacal Co., Inc.(a) 10,750
 6,045 Hill-Rom Holdings, Inc. 163,094
 2,300 Hollis-Eden Pharmaceuticals, Inc.(a) 3,519
 23,936 Hologic, Inc.(a) 521,805
 4,600 Hooper Holmes, Inc.(a) 4,692
 13,800 Human Genome Sciences, Inc.(a) 71,898
 2,900 Hydron Technologies, Inc.(a) 145
 2,700 I-Flow Corp.(a) 27,405
 1,600 ICU Medical, Inc.(a) 36,608
 2,600 II-VI, Inc.(a) 90,792
 200 IPC The Hospitalist Co., Inc.(a) 3,764
 400 Idera Pharmaceuticals, Inc.(a) 5,844
 5,400 Idexx Laboratories, Inc.(a) 263,196
 6,321 ImClone Systems, Inc.(a) 255,748
 7,037 Immucor, Inc.(a) 182,118
 4,000 Immunicon Corp.(a) 276
 2,900 ImmunoGen, Inc.(a) 8,874
 8,300 Immunomedics, Inc.(a) 17,679
 8,400 Incyte Corp.(a) 63,924
 10,100 Indevus Pharmaceuticals, Inc.(a) 15,857
 4,200 Insmed, Inc.(a) 1,638
 6,400 Inspire Pharmaceuticals, Inc.(a) 27,392
 2,300 Insulet Corp.(a) 36,179
 2,400 Integra LifeSciences Holdings Corp.(a) 106,752
 3,800 InterMune, Inc.(a),(b) 49,856
 2,600 Introgen Therapeutics, Inc.(a),(b) 4,030
 3,500 Invacare Corp. 71,540
 6,575 Inverness Medical Innovations, Inc.(a) 218,093
 8,900 Isis Pharmaceuticals, Inc.(a) 121,307
 5,300 Ista Pharmaceuticals, Inc.(a) 10,706
 6,200 Javelin Pharmaceuticals, Inc.(a) 14,384
 700 Jazz Pharmaceuticals, Inc.(a) 5,187
 2,900 K-V Pharmaceutical Co. Class A(a) 56,057
 1,600 Kendle International, Inc.(a) 58,128
 1,700 Kensey Nash Corp.(a) 54,485
 3,190 Kindred Healthcare, Inc.(a) 91,744
 5,215 Kinetic Concepts, Inc.(a) 208,131
 2,450 LCA-Vision, Inc.(b) 11,687
 2,300 LHC Group, Inc.(a) 53,475
 5,540 La Jolla Pharmaceutical Co.(a) 12,077
 1,210 Lakeland Industries, Inc.(a) 15,343
 700 Landauer, Inc. 39,368
 300 Langer, Inc.(a) 387
 800 Lectec Corp.(a) 1,840
 3,000 Lexicon Genetics, Inc.(a) 4,800
 5,345 LifePoint Hospitals, Inc.(a) 151,264
 8,200 Ligand Pharmaceuticals, Inc. Class B(a) 21,320
 7,100 Lincare Holdings, Inc.(a) 201,640
 300 MAP Pharmaceuticals, Inc.(a) 3,099
 1,600 MEDTOX Scientific, Inc.(a) 22,208
 3,879 Magellan Health Services, Inc.(a) 143,639
 11,300 MannKind Corp.(a),(b) 33,900
 3,100 Mannatech, Inc.(b) 16,864
 3,400 Martek Biosciences Corp.(a) 114,614
 4,400 Masimo Corp.(a) 151,140
 3,100 MedAssets, Inc.(a) 52,855
 1,500 MedCath Corp.(a) 26,970
 9,500 Medarex, Inc.(a) 62,795
 900 Medical Action Industries, Inc.(a) 9,333
 5,370 Medicines Co.(a) 106,433
 5,600 Medicis Pharmaceutical Corp. Class A 116,368
 2,100 Medifast, Inc.(a) 11,046
 2,830 Medis Technologies Ltd.(a),(b) 9,537
 3,000 Medivation, Inc.(a),(b) 35,490
 100 Memory Pharmaceuticals Corp.(a) 39
 3,500 Mentor Corp.(b) 97,370
 2,925 Meridian Bioscience, Inc. 78,741
 2,768 Merit Medical Systems, Inc.(a) 40,690
 2,500 Metabolix, Inc.(a) 24,500

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 300 Metropolitan Health Networks, Inc.(a) $ 543
 533 Micromet, Inc.(a) 1,407
 2,100 Micrus Endovascular Corp.(a) 29,442
 8,000 MiddleBrook Pharmaceuticals, Inc.(a) 27,040
 2,100 Mine Safety Appliances Co. 83,979
 400 Molecular Insight Pharmaceuticals, Inc.(a) 2,204
 2,000 Molina Healthcare, Inc.(a) 48,680
 2,700 Momenta Pharmaceuticals, Inc.(a) 33,210
 13,060 Monogram Biosciences, Inc.(a) 14,366
 4,400 Myriad Genetics, Inc.(a) 200,288
 4,600 NBTY, Inc.(a) 147,476
 3,440 NPS Pharmaceuticals, Inc.(a) 15,308
 3,500 Nabi Biopharmaceuticals(a) 13,790
 200 Nanosphere, Inc.(a) 1,572
 150 National Dentex Corp.(a) 1,896
 400 National Healthcare Corp. 18,332
 2,900 Natus Medical, Inc.(a) 60,726
 8,600 Nektar Therapeutics(a) 28,810
 4,486 Neopharm, Inc.(a) 2,378
 1,900 Neose Technologies, Inc.(a) 570
 5,345 Neurocrine Biosciences, Inc.(a) 22,396
 2,600 Neurogen Corp.(a) 2,678
 1,700 Neurometrix, Inc.(a),(b) 2,380
 3,400 Nile Therapeutics, Inc.(a) 17,408
 3,000 Northfield Laboratories, Inc.(a),(b) 2,130
 19,600 Nova Biosource Fuels, Inc.(a),(b) 13,132
 4,000 Novacea, Inc.(a) 10,440
 3,500 Novavax, Inc.(a) 8,715
 3,000 Noven Pharmaceuticals, Inc.(a) 32,070
 3,600 NuVasive, Inc.(a) 160,776
 1,400 Nutraceutical International Corp.(a) 16,800
 10,221 Nuvelo, Inc.(a) 5,724
 5,300 NxStage Medical, Inc.(a) 20,352
 1,600 OMRIX Biopharmaceuticals, Inc.(a) 25,184
 5,767 OSI Pharmaceuticals, Inc.(a) 238,292
 2,700 Obagi Medical Products, Inc.(a) 23,085
 3,850 Odyssey HealthCare, Inc.(a) 37,499
 10,500 Omnicare, Inc. 275,310
 5,600 Onyx Pharmaceuticals, Inc.(a) 199,360
 8,100 Opko Health, Inc.(a),(b) 12,312
 4,775 OraSure Technologies, Inc.(a) 17,859
 380 Ore Pharmaceuticals, Inc.(a) 502
 1,200 Orexigen Therapeutics, Inc.(a) 9,468
 1,700 Orthofix International NV(a) 49,215
 4,100 Orthologic Corp.(a) 4,100
 5,920 Orthovita, Inc.(a) 12,136
 550 Oscient Pharmaceuticals Corp.(a) 781
 1,300 Osiris Therapeutics, Inc.(a),(b) 16,705
 3,300 Osteotech, Inc.(a) 18,777
 4,100 Owens & Minor, Inc. 187,329
 11,400 PDL BioPharma, Inc. 121,068
 4,700 PSS World Medical, Inc.(a) 76,610
 4,500 Pain Therapeutics, Inc.(a) 35,550
 11,006 Panacos Pharmaceuticals, Inc.(a) 4,953
 2,800 Par Pharmaceutical Cos., Inc.(a) 45,444
 5,800 Parexel International Corp.(a) 152,598
 4,800 Pediatrix Medical Group, Inc.(a) 236,304
 4,600 Penwest Pharmaceuticals Co.(a) 12,420
 20,800 Peregrine Pharmaceuticals, Inc.(a),(b) 8,738
 7,500 Perrigo Co. 238,275
 3,100 PetMed Express, Inc.(a) 37,975
 3,423 PharMerica Corp.(a) 77,326
 9,200 Pharmaceutical Product Development, Inc. 394,680
 4,000 Pharmacopeia Drug Discovery, Inc.(a) 15,320
 2,290 Pharmacyclics, Inc.(a) 4,053
 2,200 Pharmasset, Inc.(a) 41,536
 1,140 Pharmos Corp.(a) 433
 2,900 Power Medical Interventions, Inc.(a) 16,095
 3,300 Pozen, Inc.(a),(b) 35,904
 2,500 Prestige Brands Holdings, Inc.(a) 26,650
 3,200 Progenics Pharmaceuticals, Inc.(a) 50,784
 800 ProxyMed, Inc.(a) 288
 125 Psychemedics Corp. 2,050
 5,032 Psychiatric Solutions, Inc.(a) 190,411
 7,600 Questcor Pharmaceuticals, Inc.(a) 35,264
 1,900 Quidel Corp.(a) 31,388
 2,000 RTI Biologics, Inc.(a) 17,500
 507 RXi Pharmaceuticals Corp.(a) 4,056

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 800 RadNet, Inc.(a) $ 4,960
 6,000 Regeneron Pharmaceuticals, Inc.(a) 86,640
 2,100 RehabCare Group, Inc.(a) 33,663
 1,600 Reliv International, Inc. 8,752
 1,300 Repros Therapeutics, Inc.(a) 12,311
 1,200 Res-Care, Inc.(a) 21,336
 7,500 ResMed, Inc.(a) 268,050
 1,300 Retractable Technologies, Inc.(a) 1,924
 5,000 Rexahn Pharmaceuticals, Inc.(a) 16,200
 3,665 Rigel Pharmaceuticals, Inc.(a) 83,049
 2,200 Rochester Medical Corp.(a) 22,924
 5,703 Salix Pharmaceuticals Ltd.(a) 40,092
 4,100 Sangamo Biosciences, Inc.(a),(b) 40,795
 2,700 Santarus, Inc.(a) 5,427
 5,484 Savient Pharmaceuticals, Inc.(a) 138,745
 5,700 Sciclone Pharmaceuticals, Inc.(a) 8,721
 3,750 Sciele Pharma, Inc. 72,563
 6,700 Seattle Genetics, Inc.(a) 56,682
 10,355 Sepracor, Inc.(a) 206,272
 2,700 Skilled Healthcare Group, Inc. Class A(a) 36,234
 3,000 Somaxon Pharmaceuticals, Inc.(a) 14,310
 3,500 Sonic Innovations, Inc.(a) 11,690
 2,000 SonoSite, Inc.(a) 56,020
 1,900 Sparta Surgical Corp.(a) -
 3,800 Spectranetic Corp.(a) 37,468
 16 Spectrum Pharmaceuticals, Inc.(a) 22
 2,400 Staar Surgical Co.(a) 7,440
 10,100 Star Scientific, Inc.(a) 12,120
 5,400 StemCells, Inc.(a) 6,588
 2,600 Stereotaxis, Inc.(a),(b) 13,936
 6,000 Steris Corp. 172,560
 900 Sucampo Pharmaceuticals, Inc. Class A(a) 9,657
 3,100 Sun Healthcare Group, Inc.(a) 41,509
 3,200 Sunrise Senior Living, Inc.(a) 71,936
 3,130 SuperGen, Inc.(a) 6,417
 1,400 SurModics, Inc.(a),(b) 62,776
 1,200 Symmetry Medical, Inc.(a) 19,464
 900 Synovis Life Technologies, Inc.(a) 16,947
 900 Synta Pharmaceuticals Corp.(a) 5,490
 8,500 SyntheMed, Inc.(a) 2,975
 50 Synvista Therapeutics, Inc.(a) 94
 850 Targeted Genetics Corp.(a) 493
 3,300 Techne Corp.(a) 255,387
 8,430 Telik, Inc.(a),(b) 10,200
 4,000 Tercica, Inc.(a) 35,320
 1,900 Theragenics Corp.(a) 6,897
 4,500 Theravance, Inc.(a) 53,415
 5,000 Third Wave Technologies, Inc.(a) 55,800
 4,000 Thoratec Corp.(a) 69,560
 7,300 Threshold Pharmaceuticals, Inc.(a) 2,628
 2,800 Titan Pharmaceuticals, Inc.(a) 3,864
 4,700 Tomotherapy, Inc.(a) 41,971
 375 TorreyPines Therapeutics, Inc.(a) 465
 400 Trans1, Inc.(a) 6,028
 900 Transgenomic, Inc.(a) 693
 2,900 Trimeris, Inc. 13,688
 1,100 Triple-S Management Corp.(a) 17,985
 400 Trubion Pharmaceuticals, Inc.(a) 1,784
 1,600 US Physical Therapy, Inc.(a) 26,256
 1,400 USANA Health Sciences, Inc.(a) 37,618
 400 Uluru, Inc.(a) 340
 2,300 United Therapeutics Corp.(a) 224,825
 2,700 Universal Display Corp.(a),(b) 33,264
 4,600 Universal Health Services, Inc. Class B 290,812
 1,700 Urologix, Inc.(a) 3,111
 1,100 Utah Medical Products, Inc. 31,449
 8,040 VCA Antech, Inc.(a) 223,351
 7,400 Valeant Pharmaceuticals International(a) 126,614
 3,000 Vanda Pharmaceuticals, Inc.(a) 9,870
 170 Vermillion, Inc.(a) 379
 13,362 Vertex Pharmaceuticals, Inc.(a) 447,226
 9 Via Pharmaceuticals, Inc.(a) 18
 1,000 Vical, Inc.(a) 3,370
 330 Vion Pharmaceuticals, Inc.(a) 383
 4,900 ViroPharma, Inc.(a) 54,194
 1,600 Virtual Radiologic Corp.(a) 21,200
 900 Vital Signs, Inc. 51,102
 6,800 Vivus, Inc.(a) 45,424
 1,660 Vnus Medical Technologies, Inc.(a) 33,217

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,200 Volcano Corp.(a) $ 39,040
 8,500 Warner Chilcott Ltd.(a) 144,075
 2,500 West Pharmaceutical Services, Inc. 108,200
 3,100 Wright Medical Group, Inc.(a) 88,071
 14,200 XOMA Ltd.(a) 23,998
 900 XTENT, Inc.(a) 2,259
 2,300 Xenoport, Inc.(a) 89,769
 2,700 Zila, Inc.(a) 810
 2,210 Zoll Medical Corp.(a) 74,411
 6,300 ZymoGenetics, Inc.(a),(b) 53,046
 ------------
 27,277,976
 ------------
 ELECTRONICS - 7.6%
 7,300 8x8, Inc.(a),(b) 8,322
 100 ACE*COMM Corp.(a) 30
 3,100 APAC Customer Services, Inc.(a) 4,960
 3,400 ATMI, Inc.(a) 94,928
 5,300 AVX Corp. 59,943
 1,200 AXT, Inc.(a) 5,028
 1,300 AZZ Inc.(a) 51,870
 2,900 Actel Corp.(a) 48,865
 4,200 Acuity Brands, Inc. 201,936
 5,400 Acxiom Corp. 62,046
 3,700 Advanced Analogic Technologies, Inc.(a) 15,281
 5,000 Advanced Battery Technologies, Inc.(a),(b) 28,850
 2,500 Advanced Energy Industries, Inc.(a) 34,250
 3,300 Agilysys, Inc. 37,422
 2,000 Airvana, Inc.(a) 10,720
 1,400 Alliance Fiber Optic Products, Inc.(a) 1,932
 3,162 Alliant Techsystems, Inc.(a) 321,512
 8,500 Altair Nanotechnologies, Inc.(a),(b) 14,450
 3,600 Altra Holdings, Inc.(a) 60,516
 1,350 American Physicians Capital, Inc. 65,394
 1,000 American Science & Engineering, Inc. 51,530
 10,410 Amkor Technology, Inc.(a) 108,368
 15,810 Amphenol Corp. Class A 709,552
 100 Amtech Systems, Inc.(a) 1,074
 6,500 Anadigics, Inc.(a) 64,025
 1,100 Anaren, Inc.(a) 11,627
 3,100 Anixter International, Inc.(a) 184,419
 7,075 Applied Micro Circuits Corp.(a) 60,562
 12,398 Arris Group, Inc.(a) 104,763
 11,900 Arrow Electronics, Inc.(a) 365,568
 1,300 Ascent Solar Technologies, Inc.(a) 13,455
 4,300 Asyst Technologies, Inc.(a) 15,351
 5,900 Atheros Communications, Inc.(a) 177,000
 35,400 Atmel Corp.(a) 123,192
 2,200 Audiovox Corp. Class A(a) 21,604
 3,100 AuthenTec, Inc.(a) 32,302
 12,400 Avanex Corp.(a) 14,012
 3,356 Avid Technology, Inc.(a) 57,018
 14,264 Avnet, Inc.(a) 389,122
 900 Aware, Inc.(a) 2,718
 7,500 Axcelis Technologies, Inc.(a) 36,600
 1,200 Axsys Technologies, Inc.(a) 62,448
 900 Badger Meter, Inc. 45,477
 600 Bel Fuse, Inc. 14,826
 4,500 Belden, Inc. 152,460
 2,135 Bell Microproducts, Inc.(a) 5,166
 4,984 Benchmark Electronics, Inc.(a) 81,438
 3,200 BigBand Networks, Inc.(a) 15,136
 15,300 Bookham, Inc.(a) 25,857
 6,782 Brooks Automation, Inc.(a) 56,087
 5,100 Bruker BioSciences Corp.(a) 65,535
 2,800 C&D Technologies, Inc.(a),(b) 23,688
 3,170 CMGI, Inc.(a) 33,602
 4,000 CTS Corp. 40,200
 2,500 Cabot Microelectronics Corp.(a) 82,875
 24,900 Cadence Design Systems, Inc.(a) 251,490
 1,300 CalAmp Corp.(a) 2,665
 4,000 California Micro Devices CP(a) 12,440
 2,385 Caliper Life Sciences, Inc.(a) 6,177
 2,800 Candela Corp.(a) 6,524
 5,300 Captaris, Inc.(a) 21,465
 600 Cardtronics, Inc.(a) 5,322
 3,000 Cavium Networks, Inc.(a) 63,000
 5,700 Cepheid, Inc.(a) 160,284
 1,103 Ceva, Inc.(a) 8,791
 700 Champion Industries, Inc. 3,241

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 4,200 Checkpoint Systems, Inc.(a) $ 87,696
 8,700 Cirrus Logic, Inc.(a) 48,372
 1,400 Coherent, Inc.(a) 41,846
 1,300 Cohu, Inc. 19,084
 6,716 CommScope, Inc.(a) 354,403
 2,500 Comtech Telecommunications Corp.(a) 122,500
 2,755 Conexant Systems, Inc.(a) 12,397
 2,700 Cox Radio, Inc. Class A(a) 31,860
 7,400 Credence Systems Corp.(a) 9,620
 7,900 Cree, Inc.(a),(b) 180,199
 3,205 Cymer, Inc.(a) 86,150
 14,300 Cypress Semiconductor Corp.(a) 353,925
 3,627 DDi Corp.(a) 21,798
 4,000 DSP Group, Inc.(a) 28,000
 2,200 DTS, Inc.(a) 68,904
 2,900 Daktronics, Inc. 58,493
 3,800 Data Domain, Inc.(a) 88,654
 100 Dataram Corp. 261
 4,200 DealerTrack Holdings, Inc.(a) 59,262
 3,350 Diodes, Inc.(a) 92,594
 1,900 Dionex Corp.(a) 126,103
 4,500 Dolby Laboratories, Inc. Class A(a) 181,350
 1,600 Ducommun, Inc.(a) 36,736
 1,400 Dynamics Research Corp.(a) 14,700
 3,700 EF Johnson Technologies, Inc.(a) 6,475
 1,200 EMS Technologies, Inc.(a) 26,208
 4,000 ESS Technology, Inc.(a) 6,520
 300 Eagle Test Systems, Inc.(a) 3,360
 3,400 Electro Scientific Industries, Inc.(a) 48,178
 1,700 Electroglas, Inc.(a) 3,179
 5,600 Electronics for Imaging, Inc.(a) 81,760
 20 eMagin Corp.(a) 16
 6,800 Emcore Corp.(a),(b) 42,568
 1,400 Empire Resources, Inc. 5,334
 6,000 Emulex Corp.(a) 69,900
 1,000 EndWare Corp.(a) 6,350
 4,000 Ener1, Inc.(a) 29,680
 4,400 EnerSys(a) 150,612
 5,400 Energizer Holdings, Inc.(a) 394,686
 3,900 Energy Conversion Devices, Inc.(a),(b) 287,196
 4,700 Entertainment Distribution Co., Inc.(a) 2,303
 9,200 Entorian Technologies, Inc.(a) 7,084
 2,000 Entropic Communications, Inc.(a) 9,500
 6,100 Exar Corp.(a) 45,994
 1,800 Excel Technology, Inc.(a) 40,176
 6,887 Exide Technologies(a) 115,426
 3,800 FEI Co.(a) 86,564
 5,300 FSI International, Inc.(a) 7,102
 9,400 Fairchild Semiconductor International, Inc.(a) 110,262
 1,700 Faro Technologies, Inc.(a) 42,789
 4,400 First Solar, Inc.(a) 1,200,408
 12,500 Flir Systems, Inc.(a) 507,125
 2,400 Flotek Industries, Inc.(a),(b) 49,488
 5,000 Formfactor, Inc.(a) 92,150
 7,200 FuelCell Energy, Inc.(a),(b) 51,120
 2,400 GTC Biotherapeutics, Inc.(a) 960
 4,700 General Cable Corp.(a) 285,995
 2,700 Genesis Energy LP 49,815
 4,100 Getty Images, Inc.(a) 139,113
 4,200 Glu Mobile, Inc.(a) 20,286
 9,600 Harmonic, Inc.(a) 91,296
 12,790 Harris Corp. 645,767
 1,520 Harvard Bioscience, Inc.(a) 7,068
 2,600 Hearst-Argyle Television, Inc. 49,920
 975 Herley Industries, Inc.(a) 12,948
 447 Hifn, Inc.(a) 2,061
 1,700 Hittite Microwave Corp.(a) 60,554
 2,900 Hoku Scientific, Inc.(a),(b) 14,558
 2,500 Houston Wire & Cable Co.(b) 49,750
 800 Hungarian Telephone & Cable Corp.(a) 14,592
 2,995 Hutchinson Technology, Inc.(a) 40,253
 3,700 IPG Photonics Corp.(a) 69,597
 2,400 IRIS International, Inc.(a) 37,560
 2,400 IXYS Corp.(a) 28,656
 394 IdentiPHI, Inc.(a) 122
 1,700 iGO, Inc.(a) 2,142
 5,800 Ikanos Communications, Inc.(a) 19,546
 5,546 Illumina, Inc.(a) 483,112
 6,900 Infinera Corp.(a),(b) 60,858

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,600 Infosonics Corp.(a) $ 2,700
 3,935 Innovex, Inc.(a) 2,244
 1,800 Integrated Electrical Services, Inc.(a) 30,960
 2,170 Integrated Silicon Solutions, Inc.(a) 12,065
 4,700 InterDigital, Inc.(a) 114,304
 7,000 International Rectifier Corp.(a) 134,400
 11,915 Intersil Corp. Class A 289,773
 7,500 Isilon Systems, Inc.(a) 33,300
 3,400 Itron, Inc.(a) 334,390
 2,600 Ixia(a) 18,070
 1,200 Keithley Instruments, Inc. 11,400
 2,800 Kemet Corp.(a) 9,072
 4,200 Kopin Corp.(a) 12,054
 6,800 Kulicke & Soffa Industries, Inc.(a) 49,572
 100 LCC International, Inc. Class A(a) 96
 11,900 Lam Research Corp.(a) 430,185
 12,770 Lattice Semiconductor Corp.(a) 39,970
 900 LeCroy Corp.(a) 8,028
 6,100 Leadis Technology, Inc.(a) 9,760
 100 Lightpath Technologies, Inc. Class A(a) 150
 7,600 Limelight Networks, Inc.(a) 29,032
 2,370 Littelfuse, Inc.(a) 74,774
 4,153 MKS Instruments, Inc.(a) 90,951
 7,287 MRV Communications, Inc.(a) 8,672
 1,900 MTS Systems Corp. 68,172
 44,600 Marvell Technology Group Ltd.(a),(d) 787,636
 5,200 Mattson Technology, Inc.(a) 24,752
 3,300 Maxwell Technologies, Inc.(a),(b) 35,046
 100 Measurement Specialties, Inc.(a) 1,759
 1,400 Mercury Computer Systems, Inc.(a) 10,542
 4,300 Methode Electronics, Inc. 44,935
 3,500 Mettler Toledo International, Inc.(a) 332,010
 7,217 Microsemi Corp.(a) 181,724
 2,000 Microtune, Inc.(a) 6,920
 1,855 MoSys, Inc.(a) 9,108
 3,300 Monolithic Power Systems, Inc.(a) 71,346
 1,100 Multi-Fineline Electronix, Inc.(a) 30,437
 3,800 NETGEAR, Inc.(a) 52,668
 2,900 NU Horizons Electronics Corp.(a) 14,094
 4,225 Nanogen, Inc.(a),(b) 1,606
 2,000 Nanometrics, Inc.(a) 11,640
 3,000 Nanophase Technologies Corp.(a) 6,930
 3,700 Napco Security Systems, Inc.(a) 16,761
 320 Neomagic Corp.(a) 102
 4,500 NetList, Inc.(a) 7,650
 2,200 Netlogic Microsystems, Inc.(a) 73,040
 4,700 Newport Corp.(a) 53,533
 17,235 Nuance Communications, Inc.(a) 270,072
 35,940 ON Semiconductor Corp.(a) 329,570
 2,200 OSI Systems, Inc.(a) 47,124
 3,600 Omni Energy Services Corp.(a) 23,076
 5,800 Omnivision Technologies, Inc.(a) 70,122
 3,400 OpNext, Inc.(a) 18,292
 1,600 Oplink Communications, Inc.(a) 15,360
 300 PDF Solutions, Inc.(a) 1,785
 1,500 PLX Technology, Inc.(a) 11,445
 21,700 PMC-Sierra, Inc.(a) 166,005
 1,500 Palomar Medical Technologies, Inc.(a) 14,970
 1,150 Park Electrochemical Corp. 27,957
 800 ParkerVision, Inc.(a),(b) 7,944
 3,200 Pericom Semiconductor Corp.(a) 47,488
 2,300 Photon Dynamics, Inc.(a) 34,684
 1,100 Pixelworks, Inc.(a) 1,936
 900 Planar Systems, Inc.(a) 2,340
 3,300 Plantronics, Inc. 73,656
 4,300 Plexus Corp.(a) 119,024
 1,100 Powell Industries, Inc.(a) 55,451
 2,100 Power Integrations, Inc.(a) 66,381
 8,800 Power-One, Inc.(a),(b) 16,632
 13,600 Powerwave Technologies, Inc.(a) 57,800
 400 Preformed Line Products Co. 16,124
 8,800 Quantum Corp.(a) 11,880
 200 QuickLogic Corp.(a) 334
 26,086 RF Micro Devices, Inc.(a) 75,649
 2,800 Radisys Corp.(a) 25,368
 200 Radyne Corp.(a) 2,286
 10,500 Rambus, Inc.(a) 200,235
 1,900 Raven Industries, Inc. 62,282
 800 Richardson Electronics Ltd. 4,744
 3,100 Rofin-Sinar Technologies, Inc.(a) 93,620
 1,600 Rubicon Technology, Inc.(a) 32,512

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,928 Rudolph Technologies, Inc.(a) $ 22,546
 800 SCM Microsystems, Inc.(a) 2,400
 4,100 STEC, Inc.(a) 42,107
 1,200 Sagemark Cos. Ltd.(a) 30
 38,800 Sanmina-SCI Corp.(a) 49,664
 45,932 Seagate Technology 878,679
 1,100 Semitool, Inc.(a) 8,261
 6,200 Semtech Corp.(a) 87,234
 1,700 Shoretel, Inc.(a) 7,514
 6,700 SiRF Technology Holdings, Inc.(a),(b) 28,944
 154 Sielox, Inc.(a) 25
 1,200 Sigmatron International, Inc.(a) 6,960
 100 Silicon Graphics, Inc.(a) 543
 7,900 Silicon Image, Inc.(a) 57,275
 4,800 Silicon Laboratories, Inc.(a) 173,232
 6,000 Silicon Storage Technology, Inc.(a) 16,620
 16,300 Skyworks Solutions, Inc.(a) 160,881
 2,900 Smart Modular Technologies WWH, Inc.(a) 11,107
 9,900 Spansion LLC Class A(a) 22,275
 3,900 Spectrum Brands, Inc.(a),(b) 9,945
 1,800 Standard Microsystems Corp.(a) 48,870
 3,300 Starent Networks Corp.(a) 41,514
 3,700 SunPower Corp. Class A(a),(b) 266,326
 4,300 Super Micro Computer, Inc.(a) 31,734
 432 Superconductor Technologies, Inc.(a) 963
 1,900 Superior Essex, Inc.(a) 84,797
 2,000 Supertex, Inc.(a) 46,680
 3,476 Symmetricom, Inc.(a) 13,348
 2,300 Synaptics, Inc.(a) 86,779
 6,900 Syntax-Brillian Corp.(a),(b) 3,588
 4,600 TTM Technologies, Inc.(a) 60,766
 6,930 Taser International, Inc.(a),(b) 34,373
 2,400 Technitrol, Inc. 40,776
 300 Techwell, Inc.(a) 3,696
 841 Tegal Corp.(a) 3,465
 6,000 Tekelec(a) 88,260
 3,300 Telkonet, Inc.(a),(b) 1,852
 75 Terabeam, Inc.(a) 42
 5,000 Tessera Technologies, Inc.(a) 81,850
 4,900 Thinkorswim Group, Inc.(a) 34,545
 5,765 Thomas & Betts Corp.(a) 218,205
 800 Tollgrade Communications, Inc.(a) 3,592
 21,100 TranSwitch Corp.(a) 19,412
 560 Transmeta Corp.(a) 7,734
 14,345 TriQuint Semiconductor, Inc.(a) 86,931
 3,700 Ultra Clean Holdings, Inc.(a) 29,452
 2,200 Ultralife Batteries, Inc.(a) 23,518
 2,200 Ultratech, Inc.(a) 34,144
 100 Unica Corp.(a) 804
 600 Unitil Corp. 16,266
 10,500 Valence Technology, Inc.(a),(b) 46,305
 7,450 Varian Semiconductor Equipment Associates, Inc.(a) 259,409
 2,850 Varian, Inc.(a) 145,521
 2,300 Viasat, Inc.(a) 46,483
 4,400 Vicor Corp. 43,912
 2,300 Virage Logic Corp.(a) 16,468
 12,961 Vishay Intertechnology, Inc.(a) 114,964
 1,700 Vocus, Inc.(a) 54,689
 3,000 Volterra Semiconductor Corp.(a) 51,780
 20,000 Western Digital Corp.(a) 690,600
 500 Williams Controls, Inc.(a) 6,335
 5,317 Zebra Technologies Corp. Class A(a) 173,547
 7,424 Zhone Technologies, Inc.(a) 5,642
 5,461 Zoran Corp.(a) 63,894
 ------------
 23,071,814
 ------------
 ENERGY & RAW MATERIALS - 6.4%
 1,000 APCO Argentina, Inc. 28,950
 800 Adams Resources & Energy, Inc. 27,120
 2,000 Alliance Resource Partners LP 111,360
 6,900 Alpha Natural Resources, Inc.(a) 719,601
 3,300 Amerigas Partners LP 105,105
 13,000 Arch Coal, Inc. 975,390
 3,600 Atlas Pipeline Partners LP 140,616
 2,700 Atwood Oceanics, Inc.(a) 335,718
 600 Barnwell Industries, Inc. 7,860
 4,000 Berry Petroleum Co. Class A 235,520
 3,800 Boardwalk Pipeline Partners LP 89,262
 4,500 Brigham Exploration Co.(a) 71,235
 2,300 Bristow Group, Inc.(a) 113,827

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,500 Bronco Drilling Co., Inc.(a) $ 64,330
 2,500 Buckeye GP Holdings LP 56,525
 4,100 Buckeye Partners LP 175,357
 2,350 CARBO Ceramics, Inc. 137,123
 1,700 CREDO Petroleum Corp.(a) 23,307
 5,454 CVR Energy, Inc.(a) 104,990
 4,075 Cal Dive International, Inc.(a) 58,232
 33,100 Calpine Corp.(a) 746,736
 2,300 Calumet Specialty Products Partners LP 33,028
 7,316 Cimarex Energy Co. 509,706
 3,200 Compass Minerals International, Inc. 257,792
 3,600 Crosstex Energy, Inc.(b) 124,776
 800 Dawson Geophysical Co.(a) 47,568
 22,100 Denbury Resources, Inc.(a) 806,650
 1,800 Double Eagle Pete & Mining Co.(a) 32,814
 3,200 Dril-Quip, Inc.(a) 201,600
 7,800 Dune Energy, Inc.(a) 8,034
 3,600 Enterprise GP Holdings LP 108,288
 27,505 Enterprise Products Partners LP 812,498
 6,263 Exterran Holdings, Inc.(a) 447,742
 400 Exterran Partners LP 12,428
 11,600 FMC Technologies, Inc.(a) 892,388
 4,300 Ferrellgas Partners LP 84,624
 7,600 Forest Oil Corp.(a) 566,200
 4,500 Foundation Coal Holdings, Inc. 398,610
 1,300 Furmamite Corp.(a) 10,374
 7,600 GeoPetro Resources Co.(a) 30,476
 2,600 Goodrich Petroleum Corp.(a) 215,592
 14,200 Grey Wolf, Inc.(a) 128,226
 1,300 Haynes International, Inc.(a) 74,815
 4,600 Headwaters, Inc.(a) 54,142
 8,500 Helmerich & Payne, Inc. 612,170
 1,500 Holly Energy Partners LP 58,500
 3,300 ICO Inc.(a) 19,866
 8,600 ION Geophysical Corp.(a) 150,070
 3,400 Inergy LP 88,468
 2,500 James River Coal Co.(a) 146,725
 6,000 John D. Oil & Gas Co.(a) 3,420
 9,800 Joy Global, Inc. 743,134
 16,100 Kinder Morgan Energy Partners LP 897,253
 5,400 Kirby Corp.(a) 259,200
 700 Lime Energy Co.(a) 4,550
 1,500 Lufkin Industries, Inc. 124,920
 1,300 MAXXAM, Inc.(a) 32,994
 21,700 McDermott International, Inc.(a) 1,343,013
 900 NL Industries, Inc. 8,577
 2,700 National Coal Corp.(a) 23,949
 1,400 Natural Gas Services Group(a) 42,672
 3,200 Natural Resource Partners LP 131,840
 6,100 Newpark Resources, Inc.(a) 47,946
 3,100 NuStar GP Holdings,LLC 67,177
 4,900 Oil States International, Inc.(a) 310,856
 2,000 Orion Energy Systems, Inc.(a) 20,000
 4,300 Parallel Petroleum Corp.(a) 86,559
 11,600 Parker Drilling Co.(a) 116,116
 2,600 Patriot Coal Corp.(a) 398,554
 4,100 Penn Virginia Corp. 309,222
 2,000 Penn Virginia GP Holdings LP 65,600
 2,500 Penn Virginia Resource Partners LP 67,700
 1,580 Petroleum Development Corp.(a) 105,054
 5,200 Pioneer Drilling Co.(a) 97,812
 9,841 Plains All American Pipeline LP 443,928
 9,512 Quantum Fuel Systems Technologies Worldwide, Inc.(a),(b) 29,298
 2,600 Quest Energy Partners LP 42,432
 100 RGC Resources, Inc. 2,800
 2,000 Rex Energy Corp.(a) 52,800
 2,277 SEACOR Holdings, Inc.(a) 203,814
 8,100 SandRidge Energy, Inc.(a) 523,098
 3,100 Swift Energy Co.(a) 204,786
 1,700 TC PipeLines LP 59,908
 4,200 TXCO Resources, Inc.(a) 49,392
 5,055 Tidewater, Inc. 328,727
 8,000 USEC, Inc.(a),(b) 48,640
 4,700 Unit Corp.(a) 389,959
 4,100 Uranium Resources, Inc.(a) 15,129
 2,600 W-H Energy Services, Inc.(a) 248,924
 1,700 Westmoreland Coal Co.(a) 35,887
 4,700 Williams Partners LP 154,395
 2,900 World Fuel Services Corp. 63,626
 ------------
 19,467,995
 ------------

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 ENERGY & UTILITIES - 5.0%
 7,400 AGL Resources, Inc.(c) $ 255,892
 1,100 ATG, Inc.(a) -
 3,500 Active Power, Inc.(a) 4,095
 2,600 Akeena Solar, Inc.(a),(b) 14,534
 2,700 Allete, Inc. 113,400
 10,500 Alliant Energy Corp. 359,730
 1,350 American States Water Co. 47,169
 5,800 American Water Works Co., Inc.(a) 128,644
 13,017 Aqua America, Inc.(b) 207,881
 27,010 Aquila, Inc.(a) 101,827
 225 Artesian Resources Corp. Class A 4,137
 7,600 Atmos Energy Corp. 209,532
 200 Atrion Corp. 19,164
 6,500 Aventine Renewable Energy Holdings, Inc.(a),(b) 28,600
 5,500 Avista Corp. 118,030
 3,600 Basin Water, Inc.(a),(b) 16,848
 7,730 Beacon Power Corp.(a),(b) 16,233
 4,600 BioFuel Energy Corp.(a) 11,730
 3,800 Black Hills Corp. 121,828
 1,600 CH Energy Group, Inc. 56,912
 2,200 Cadiz, Inc.(a) 35,464
 2,100 California Water Service Group 68,817
 1,500 Central Vermont Public Service Corp. 29,055
 1,500 Cheniere Energy Partners LP 13,635
 1,300 Chesapeake Utilities Corp. 33,436
 6,100 Cleco Corp. 142,313
 1,900 Comverge, Inc.(a),(b) 26,562
 600 Connecticut Water Service, Inc. 13,440
 1,200 Contango Oil & Gas Co.(a) 111,504
 3,800 Copano Energy LLC Common Units 128,250
 1,400 DCP Midstream Partners LP 40,950
 10,835 DPL, Inc. 285,827
 100 Delta Natural Gas Co., Inc. 2,612
 4,000 Eagle Rock Energy Partners LP 65,440
 4,800 El Paso Electric Co.(a) 95,040
 2,600 El Paso Pipeline Partners LP 53,690
 3,700 The Empire District Electric Co. 68,598
 1,400 EnerNOC, Inc.(a),(b) 25,130
 6,200 Energen Corp. 483,786
 13,600 Energy East Corp. 336,192
 7,600 Energy Transfer Partners LP 330,372
 300 Energy West, Inc. 3,237
 450 EnergySouth, Inc. 22,077
 12,280 Equitable Resources, Inc. 848,057
 4,700 Evergreen Energy, Inc.(a),(b) 8,178
 199 Florida Public Utilities Co. 2,368
 100 GeoMet, Inc.(a) 948
 1,000 Global Partners LP 15,830
 7,000 Great Plains Energy, Inc. 176,960
 300 GreenHunter Energy, Inc.(a) 4,098
 8,120 Hawaiian Electric Industries, Inc. 200,808
 4,400 IDACORP, Inc. 127,116
 2,200 The Laclede Group, Inc. 88,814
 14,825 MDU Resources Group, Inc. 516,800
 2,300 MGE Energy, Inc. 75,026
 2,300 Magellan Midstream Holdings LP 51,750
 766 Middlesex Water Co. 12,708
 20,400 Mirant Corp.(a) 798,660
 1,700 Mitcham Industries, Inc.(a) 29,036
 22,460 NRG Energy, Inc.(a) 963,534
 10,200 NSTAR 344,964
 6,350 National Fuel Gas Co. 377,698
 4,260 New Jersey Resources Corp. 139,089
 4,100 NorthWestern Corp. 104,222
 15,000 Northeast Utilities Inc. 382,950
 2,700 Northwest Natural Gas Co. 124,902
 7,700 OGE Energy Corp. 244,167
 5,000 ONEOK Partners LP 279,500
 9,090 Oneok, Inc. 443,865
 1,800 Ormat Technologies, Inc. 88,524
 2,800 Otter Tail Corp. 108,724
 7,000 PNM Resources, Inc. 83,720
 177 Pennichuck Corp. 4,098
 7,000 Piedmont Natural Gas Co.(b) 183,120
 2,600 Pike Electric Corp.(a) 43,186
 6,400 Portland General Electric Co. 144,128
 9,800 Puget Energy, Inc. 235,102
 2,800 Regency Energy Partners LP 67,872
 34,100 Reliant Energy, Inc.(a) 725,307
 396 Renegy Holdings, Inc.(a) 1,445
 10,000 SCANA Corp. 370,000
 600 SJW Corp. 15,840

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 600 SMF Energy Corp.(a) $ 324
 2,900 SemGroup Energy Partners LP 73,486
 22,500 Sierra Pacific Resources 285,975
 2,800 South Jersey Industries, Inc. 104,608
 10,554 Southern Union Co. 285,169
 3,200 Southwest Gas Corp. 95,136
 3,671 Southwest Water Co. 36,783
 1,700 Spectra Energy Partners LP(b) 39,185
 1,100 Star Gas Partners LP(a) 3,069
 4,400 Targa Resources Partners LP 101,420
 8,600 Transmeridian Exploration, Inc.(a),(b) 5,418
 9,260 UGI Corp. 265,855
 1,833 UIL Holdings Corp. 53,909
 3,600 Unisource Energy Corp. 111,636
 7,400 Vectren Corp. 230,954
 2,100 Venoco, Inc.(a) 48,741
 10,457 VeraSun Energy Corp.(a),(b) 43,187
 4,800 WGL Holdings, Inc. 166,752
 10,125 Westar Energy, Inc. 217,789
 11,080 Wisconsin Energy Corp. 501,038
 ------------
 15,355,161
 ------------
 FOOD & AGRICULTURE - 2.2%
 400 Alico, Inc. 13,864
 2,000 The Andersons, Inc. 81,420
 3,765 Applied Energetics, Inc.(a),(b) 5,986
 5,200 B&G Foods, Inc. Class A 48,568
 500 Bridgford Foods Corp.(a) 3,025
 11,500 Bunge Ltd.(b) 1,238,435
 9,100 Burger King Holdings, Inc. 243,789
 5,300 CF Industries Holdings, Inc. 809,840
 200 Cagle's, Inc. Class A(a) 1,100
 1,700 Cal-Maine Foods, Inc.(b) 56,083
 4,702 Chiquita Brands International, Inc.(a) 71,329
 400 Coca-Cola Bottling Co. Consolidated 14,792
 300 Consolidated-Tomoka Land Co. 12,618
 6,200 Corn Products International, Inc. 304,482
 1,200 Cuisine Solutions, Inc.(a) 2,580
 500 Dairy Mart Convenience Stores, Inc.(a) -
 8,200 Darling International, Inc.(a) 135,464
 15,500 Del Monte Foods Co. 110,050
 300 Diamond Foods, Inc. 6,912
 25,100 Dr.Pepper Snapple Group, Inc.(a) 526,598
 299 Eden Bioscience Corp.(a) 449
 700 Farmer Bros. Co. 14,805
 100 Fisher Communications, Inc.(a) 3,444
 8,018 Flowers Foods, Inc. 227,230
 4,700 Fresh Del Monte Produce, Inc.(a) 110,779
 1,100 Gehl Co.(a) 16,269
 600 Golden Enterprises, Inc. 1,188
 2,300 Green Mountain Coffee Roasters, Inc.(a) 86,411
 1,000 Griffin Land & Nurseries, Inc. 30,700
 3,939 Hain Celestial Group, Inc.(a) 92,488
 6,986 Hormel Foods Corp. 241,785
 1,712 Imperial Sugar Co. New Shares 26,587
 2,300 Ingles Markets, Inc. Class A 53,659
 2,200 J&J Snack Foods Corp. 60,302
 4,519 The J.M. Smucker Co. 183,652
 700 John B. Sanfilippo & Son, Inc.(a) 6,083
 4,200 Jones Soda Co.(a),(b) 13,524
 2,200 Lance, Inc. 41,294
 2,200 Lifeway Foods, Inc.(a) 26,158
 2,900 MGP Ingredients, Inc. 16,820
 400 Maui Land & Pineapple Co., Inc.(a) 11,780
 700 Monterey Gourmet Foods, Inc.(a) 1,414
 1,220 Nash Finch Co. 41,809
 1,312 Neogen Corp.(a) 30,032
 5,900 NitroMed, Inc.(a) 5,900
 2,200 The Pantry, Inc.(a) 23,452
 2,200 Peet's Coffee & Tea, Inc.(a) 43,604
 6,227 PepsiAmericas, Inc. 123,170
 5,200 Pilgrim's Pride Corp. 67,548
 2,632 Ralcorp Holdings, Inc.(a) 130,126
 1,495 Rocky Mountain Chocolate Factory, Inc. 14,397
 2,150 Sanderson Farms, Inc. 74,218
 4,200 Schiff Nutrition International, Inc. 23,520
 4,500 The Scotts Miracle-Gro Co. 79,065
 40 Seaboard Corp. 62,040
 200 Seneca Foods Corp.(a) 4,170

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,500 Smart Balance, Inc.(a) $ 25,235
 12,088 Smithfield Foods, Inc.(a) 240,309
 114 SoftBrands, Inc.(a) 116
 2,500 Spartan Stores, Inc. 57,500
 1,900 Susser Holdings Corp.(a) 18,392
 400 Tasty Baking Co. 2,180
 600 Tejon Ranch Co.(a) 21,636
 8,600 Terra Industries, Inc. 424,410
 2,151 Tootsie Roll Industries, Inc.(b) 54,055
 1,812 TreeHouse Foods, Inc.(a) 43,959
 4,100 United Natural Foods, Inc.(a) 79,868
 800 Willamette Valley Vineyards, Inc.(a) 4,088
 4,700 Winn-Dixie Stores, Inc.(a) 75,294
 125 Zanett, Inc.(a) 166
 800 Zapata Corp.(a) 5,592
 ------------
 6,729,607
 ------------
 GOLD - 0.1%
 5,800 Allied Nevada Gold Corp.(a) 34,162
 1,200 Aurora Oil & Gas Corp.(a) 516
 4,700 NGAS Resources, Inc.(a) 43,616
 3,335 Royal Gold, Inc. 104,586
 9,100 US Gold Corp.(a) 21,112
 ------------
 203,992
 ------------
 INSURANCE - 3.4%
 1,300 21st Century Holding Co. 10,621
 30,400 AMBAC Financial Group, Inc. 40,736
 2,600 Affirmative Insurance Holdings, Inc. 17,680
 554 Alleghany Corp.(a) 183,956
 4,400 Allied World Assurance Holdings Ltd. 174,328
 3,200 AmCOMP, Inc.(a) 31,104
 4,300 AmTrust Financial Services, Inc. 54,180
 6,100 American Equity Investment Life Holding Co. 49,715
 7,250 American Financial Group, Inc. 193,937
 1,600 American National Insurance Co. 156,832
 700 American Physicians Service Group, Inc. 15,323
 2,800 Amerisafe, Inc.(a) 44,632
 5,305 Arch Capital Group Ltd.(a) 351,827
 2,239 Argo Group International Holdings Ltd.(a) 75,141
 7,500 Arthur J. Gallagher & Co. 180,750
 7,500 Aspen Insurance Holdings Ltd. 177,525
 6,100 Assured Guaranty Ltd. 109,739
 700 Atlantic American Corp.(a) 1,274
 13,500 Axis Capital Holdings Ltd. 402,435
 950 Baldwin & Lyons, Inc. Class B 16,606
 9,800 Brown & Brown, Inc. 170,422
 3,029 CNA Financial Corp. 76,179
 1,900 CNA Surety Corp.(a) 24,016
 4,800 CastlePoint Holdings, Ltd. 43,632
 15,500 Conseco, Inc.(a) 153,760
 3,200 Crawford & Co. Class B(a) 25,568
 200 Darwin Professional Underwriters, Inc.(a) 6,160
 4,450 Delphi Financial Group, Inc. Class A 102,973
 400 Donegal Group, Inc. Class A 6,348
 1,700 EMC Insurance Group, Inc. 40,936
 1,900 Eastern Insurance Holdings, Inc. 29,640
 2,200 eHealth, Inc.(a) 38,852
 3,700 Employers Holdings, Inc. 76,590
 5,300 Endurance Specialty Holdings Ltd. 163,187
 500 Enstar Group Ltd.(a) 43,750
 3,200 Erie Indemnity Co. Class A 147,680
 5,500 Everest Re Group Ltd. 438,405
 1,700 FBL Financial Group, Inc. Class A 33,796
 1,200 FPIC Insurance Group, Inc.(a) 54,384
 20,764 Fidelity National Title Group, Inc. Class A 261,626
 7,835 First American Corp. 206,844
 2,500 First Mercury Financial Corp.(a) 44,100
 400 First United Corp. 7,268
 4,500 Flagstone Reinsurance Holdings Ltd. 53,055
 3,800 Greenlight Capital Re Ltd.(a) 86,868
 11,150 HCC Insurance Holdings, Inc. 235,711
 4,200 The Hanover Insurance Group, Inc. 178,500
 1,400 Harleysville Group, Inc. 47,362

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,900 Hilb Rogal & Hobbs Co. $ 126,034
 4,300 Horace Mann Educators Corp. 60,286
 5,500 IPC Holdings, Ltd. 146,025
 720 Independence Holding Co. 7,034
 1,800 Infinity Property & Casualty Corp. 74,736
 6,000 Isolagen, Inc.(a) 1,980
 1,000 Kansas City Life Insurance Co. 41,700
 1,500 LandAmerica Financial Group, Inc. 33,285
 1,225 Life Partners Holdings, Inc.(b) 24,476
 897 Markel Corp.(a) 329,199
 5,300 Max Capital Group Ltd. 113,049
 3,900 Meadowbrook Insurance Group, Inc. 20,670
 1,600 Mercer Insurance Group, Inc. 27,840
 2,500 Mercury General Corp. 116,800
 6,900 Montpelier Re Holdings Ltd. 101,775
 600 NYMAGIC, Inc. 11,496
 3,200 National Atlantic Holdings Corp.(a) 19,360
 600 National Interstate Corp. 11,028
 5,200 Nationwide Financial Services, Inc. Class A 249,652
 1,700 Navigators Group, Inc.(a) 91,885
 2,600 Odyssey Re Holdings Corp. 92,300
 19,412 Old Republic International Corp. 229,838
 2,400 OneBeacon Insurance Group Ltd. 42,168
 4,695 PMA Capital Corp. Class A(a) 43,241
 2,400 The PMI Group, Inc. 4,680
 5,400 PartnerRe Ltd. 373,302
 250 Penn Treaty American Corp.(a) 1,210
 5,200 Philadelphia Consolidated Holding Co.(a) 176,644
 7,300 The Phoenix Cos., Inc. 55,553
 2,000 Pico Holdings, Inc.(a) 86,900
 5,000 Platinum Underwriters Holdings Ltd. 163,050
 3,400 Presidential Life Corp. 52,428
 3,000 ProAssurance Corp.(a) 144,330
 5,800 Protective Life Corp. 220,690
 2,000 RLI Corp. 98,940
 4,544 Radian Group, Inc.(b) 6,589
 2,900 Reinsurance Group of America, Inc. 126,208
 5,700 RenaissanceRe Holdings Ltd. 254,619
 400 SCPIE Holdings, Inc.(a) 11,196
 1,800 Safety Insurance Group, Inc. 64,170
 2,900 SeaBright Insurance Holdings, Inc.(a) 41,992
 4,800 Security Capital Assurance Ltd. 1,392
 3,900 Selective Insurance Group, Inc. 73,164
 4,000 Stancorp Financial Group, Inc. 187,840
 1,425 State Auto Financial Corp. 34,100
 2,200 Stewart Information Services Corp. 42,548
 2,500 Tower Group, Inc. 52,975
 2,631 Transatlantic Holdings, Inc. 148,573
 2,900 Triad Guaranty, Inc.(a),(b) 3,016
 300 Unico American Corp.(a) 2,610
 3,900 United America Indemnity, Ltd.(a) 52,143
 2,000 United Fire & Casualty Co. 53,860
 4,500 Unitrin, Inc. 124,065
 5,400 Universal American Financial Corp.(a) 55,188
 400 Universal Insurance Holdings, Inc. 1,416
 3,300 Validus Holdings Ltd. 70,125
 12,990 W.R. Berkley Corp. 313,838
 4,100 WellCare Health Plans, Inc.(a) 148,215
 2,850 Zenith National Insurance Corp. 100,206
 ------------
 10,449,585
 ------------
 INTERNATIONAL OIL - 0.0%
 3,100 ATP Oil & Gas Corp.(a) 122,357
 4,700 Sulphco, Inc.(a),(b) 10,669
 ------------
 133,026
 ------------
 LIQUOR - 0.1%
 1,500 Boston Beer Co., Inc. Class A(a) 61,020
 2,912 Central European Distribution Corp.(a) 215,925
 2,760 National Beverage Corp. 20,065
 100 Pyramid Breweries, Inc.(a) 271
 ------------
 297,281
 ------------
 MEDIA - 2.0%
 3,100 ACCO Brands Corp.(a) 34,813
 1,296 AH Belo Corp. 7,387
 1,000 Acme Communications, Inc.(a) 1,380

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 2,250 America's Car Mart, Inc.(a) $ 40,320
 4,100 Beasley Broadcasting Group, Inc. Class A 18,737
 6,480 Belo Corp. Class A 47,369
 19,100 Blockbuster, Inc. Class A(a),(b) 47,750
 50 CTN Media Group, Inc.(a) -
 21,900 Cablevision Systems Corp. Class A(a) 494,940
 2,500 Carmike Cinemas, Inc. 14,675
 29,000 Charter Communications, Inc. Class A(a),(b) 30,450
 3,700 Cinemark Holdings, Inc. 48,322
 19,200 Citadel Broadcasting Corp.(a),(b) 23,424
 2,300 Coleman Cable, Inc.(a) 23,736
 1,300 Consolidated Graphics, Inc.(a) 64,051
 1,500 Crown Media Holdings, Inc. Class A(a) 7,110
 6,165 Cumulus Media, Inc. Class A(a) 24,290
 20,765 DISH Network Corp.(a) 607,999
 2,500 Document Security Systems, Inc.(a),(b) 12,150
 2,500 Dolan Media Co.(a) 45,500
 5,700 DreamWorks Animation SKG, Inc. Class A(a) 169,917
 4,173 EchoStar Holding Corp.(a) 130,281
 6,400 Emmis Communications Corp. Class A(a) 16,128
 3,000 Entercom Communications Corp. 21,060
 6,500 Entravision Communications Corp. Class A(a) 26,130
 6,080 Gartner, Inc. Class A(a) 125,978
 5,400 GateHouse Media, Inc.(b) 13,284
 2,920 Gaylord Entertainment Co.(a) 69,963
 1,900 Global Traffic Network, Inc.(a) 16,986
 2,200 Gray Television, Inc. 6,314
 80 iBEAM Broadcasting Corp.(a) -
 8,900 Idearc, Inc. 20,915
 1,300 Internet Brands, Inc. Class A(a) 8,619
 20 Intraware, Inc.(a) 85
 4,100 John Wiley & Sons, Inc. Class A 184,623
 4,500 Journal Communications, Inc. Class A 21,690
 2,200 The Knot, Inc.(a) 21,516
 2,400 Lee Enterprises, Inc.(b) 9,576
 28,441 Liberty Global, Inc.(a) 893,901
 3,922 Liberty Global, Inc. Series C(a) 119,072
 49,628 Liberty Media Corp. - Entertainment Class A(a) 1,202,486
 3,200 Lin TV Corp. Class A(a) 19,072
 5,500 Live Nation, Inc.(a) 58,190
 1,400 Loral Space & Communications Ltd.(a) 24,668
 3,600 Martha Stewart Living Omnimedia, Inc. Class A(a) 26,640
 6,000 McClatchy Co. Class A(b) 40,680
 3,000 Media General, Inc. Class A 35,850
 7,100 Mediacom Communications Corp. Class A(a) 37,914
 4,700 National CineMedia, Inc. 50,102
 5,600 Navarre Corp.(a) 9,184
 1,400 Network Equipment Technologies, Inc.(a) 4,970
 4,500 Nexstar Broadcasting Group, Inc. Class A(a) 18,405
 10,600 Palatin Technologies, Inc.(a) 2,013
 2,100 Playboy Enterprises, Inc. Class B(a) 10,374
 3,905 Primedia, Inc. 18,197
 2,000 Radio One, Inc. Class D(a) 2,580
 7,800 Regal Entertainment Group Series A 119,184
 2,900 Regent Communications, Inc.(a) 2,599
 1,500 Rewards Network, Inc.(a) 5,955
 1,425 Saga Communications, Inc. Class A(a) 7,139
 1,600 Salem Communications Corp. Class A 3,152
 2,710 Scholastic Corp.(a) 77,669
 8,200 Scripps Networks Interactive Class A(a) 25,174
 8,700 Sinclair Broadcast Group, Inc. Class A 66,120
 8,630 Source Interlink Cos., Inc.(a),(b) 19,072
 5,100 Spanish Broadcasting System, Inc. Class A(a) 5,814
 7,165 TiVo, Inc.(a) 44,208
 15,300 Time Warner Cable, Inc.(a) 405,144

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 320 Triple Crown Media, Inc.(a) $ 150
 600 United Capital Corp.(a) 11,520
 3,700 Valassis Communications, Inc.(a) 46,324
 2,800 ValueVision Media, Inc. Class A(a) 9,996
 2,100 WPT Enterprises, Inc.(a) 2,163
 3,600 Westwood One, Inc.(a) 4,464
 6,900 WorldSpace, Inc. Class A(a),(b) 12,903
 27,875 XM Satellite Radio Holdings, Inc. Class A(a) 218,540
 2,400 Young Broadcasting, Inc. Class A(a) 336
 ------------
 6,119,392
 ------------
 MISCELLANEOUS - 0.6%
 1,300 Alliance Holdings GP LP 38,753
 100 Calavo Growers, Inc. 1,225
 1,900 Ceco Environmental Corp.(a) 11,191
 2,700 Coinstar, Inc.(a) 88,317
 5,000 Complete Production Services, Inc.(a) 182,100
 1,600 Delek US Holdings, Inc. 14,736
 2,600 DynCorp. International, Inc.(a) 39,390
 65 FLO Corp.(a) 16
 6,400 Force Protection, Inc.(a),(b) 21,184
 1,300 Gerber Scientific, Inc.(a) 14,794
 650 Graham Corp. 48,172
 400 HSW International, Inc.(a) 1,160
 10,800 International Coal Group, Inc.(a),(b) 140,940
 13,207 Liberty Media Holding Corp. - Capital(a) 190,181
 57,636 Liberty Media Holding Corp. - Interactive(a) 850,707
 500 Northstar Neuroscience, Inc.(a) 795
 2,700 Penson Worldwide, Inc.(a) 32,265
 2,900 Smith & Wesson Holding Corp.(a) 15,109
 1,800 Teekay LNG Partners LP 47,394
 ------------
 1,738,429
 ------------
 MISCELLANEOUS FINANCE - 10.3%
 1,210 1st Source Corp. 19,481
 2,100 Acacia Research - Acacia Technologies(a) 9,408
 4,200 Advance America, Cash Advance Centers, Inc. 21,336
 4,950 Advanta Corp. Class B 31,135
 3,900 Affiliated Managers Group, Inc.(a) 351,234
 1,400 Agree Realty Corp. 30,870
 2,800 AllianceBernstein Holding LP 153,104
 3,120 Amcore Financial, Inc. 17,659
 8,850 AmeriCredit Corp.(a),(b) 76,287
 3,976 American Campus Communities, Inc. 110,685
 1,200 Ampal-American Israel Corp. Class A(a) 5,412
 2,600 Anchor Bancorp Wisconsin, Inc. 18,226
 6,800 Ashford Hospitality Trust, Inc. 31,416
 2,100 Asset Acceptance Capital Corp. 25,662
 1,600 Asta Funding, Inc. 14,496
 8,550 Astoria Financial Corp. 171,684
 74 Atlantic Coast Federal Corp. 547
 3,200 BGC Partners, Inc.(a) 24,160
 2,301 BOK Financial Corp. 122,988
 2,200 BP Prudhoe Bay Royalty Trust 227,392
 1,100 Bancorp Rhode Island, Inc. 31,427
 2,300 Bank of the Ozarks, Inc. 34,178
 5,535 BankUnited Financial Corp.Class A(b) 5,313
 2,100 Banner Corp. 18,606
 101 Berkshire Hathaway, Inc. Class A(a),(b) 12,195,750
 1,400 Berkshire Hills Bancorp, Inc. 33,110
 1,900 BlackRock, Inc.(e) 336,300
 14,400 Blackstone Group LP(b) 262,224
 2,400 Broadpoint Securities Group, Inc.(a) 4,800
 11,600 Broadridge Financial Solutions LLC 244,180
 1,500 Brookfield Infrastructure Partners LP 29,400
 7,275 CVB Financial Corp. 68,676
 1,700 Calamos Asset Management, Inc. Class A 28,951
 500 Camco Financial Corp. 5,065
 4,600 CapLease, Inc. 34,454
 540 Capital Corp. of the West 2,052
 2,100 Capital Trust, Inc.(b) 40,341

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 16,441 CapitalSource, Inc.(b) $ 182,166
 515 Cascade Financial Corp. 3,353
 3,000 Cash America International, Inc. 93,000
 5,322 Cathay General Bancorp(b) 57,850
 3,600 Centerline Holding Co. 6,012
 3,476 Central Pacific Financial Corp. 37,054
 3,100 Cenveo, Inc.(a) 30,287
 500 Charter Financial Corp. 11,125
 1,600 Citizens First Bancorp, Inc. 9,600
 2,890 Citizens, Inc.(a),(b) 17,716
 400 Clayton Holdings, Inc.(a) 2,388
 1,800 Cohen & Steers, Inc. 46,746
 4,900 CompuCredit Corp.(a),(b) 29,400
 12,000 Corrections Corp. of America(a) 329,640
 11,180 Covanta Holding Corp.(a) 298,394
 2,400 Cowen Group, Inc.(a) 18,528
 956 Cross Timbers Royalty Trust 57,532
 3,540 Deerfield Capital Corp.(b) 2,797
 300 Diamond Hill Investments Group(a) 25,050
 3,700 Dime Community Bancshares, Inc. 61,087
 2,000 Downey Financial Corp.(b) 5,540
 1,200 Duff & Phelps Corp.(a) 19,872
 629 ESB Financial Corp. 6,120
 300 Eastern Virginia Bankshares, Inc. 4,800
 10,200 Eaton Vance Corp. 405,552
 1,600 Encore Capital Group, Inc.(a) 14,128
 3,000 Epoch Holding Corp. 27,360
 700 Evercore Partners, Inc. Class A 6,650
 8,160 Extra Space Storage, Inc. 125,338
 4,100 Ezcorp, Inc.(a) 52,275
 3,400 FBR Capital Markets Corp.(a) 17,102
 2,450 FCStone Group, Inc.(a) 68,429
 900 The FINOVA Group, Inc.(a) 23
 100 Federal Agricultural Mortgage Corp. Class B 2,478
 1,900 Financial Federal Corp. 41,724
 500 First Defiance Financial Corp. 8,005
 800 First Financial Corp. 24,488
 1,400 First Financial Holdings, Inc. 24,052
 4,400 First Financial Northwest, Inc. 43,692
 6,200 The First Marblehead Corp. 15,934
 615 First Place Financial Corp. 5,781
 1,900 FirstFed Financial Corp.(a),(b) 15,276
 3,600 Flagstar Bancorp, Inc.(b) 10,836
 2,950 Flushing Financial Corp. 55,903
 4,100 Fortress Investment Group LLC(b) 50,512
 6,600 Franklin Street Properties Corp. 83,424
 9,710 Friedman Billings Ramsey Group, Inc. Class A 14,565
 300 Frontline Capital Group(a) -
 700 GAMCO Investors, Inc. Class A 34,734
 6,400 GFI Group, Inc. 57,664
 20,600 GLG Partners, Inc.(b) 160,680
 5,656 Glacier Bancorp, Inc.(b) 90,439
 2,839 Gramercy Capital Corp. 32,904
 900 Greenhill & Co., Inc. 48,474
 900 HMN Financial, Inc. 13,905
 2,000 Heartland Payment Systems, Inc.(b) 47,200
 420 Heritage Financial Corp. 6,657
 4,100 Hersha Hospitality Trust 30,955
 4,000 Hugoton Royalty Trust 148,000
 1,300 IBERIABANK Corp. 57,811
 4,900 ITC Holdings Corp. 250,439
 242 Independence Federal Savings Bank(a) 1,392
 2,524 Independent Bank Corp./MI 10,096
 13,400 IndyMac Bancorp, Inc.(b) 8,308
 800 InnSuites Hospitality Trust 880
 4,100 Interactive Brokers Group, Inc. Class A(a) 131,733
 1,000 International Assets Holding Corp., Inc.(a) 30,060
 6,141 International Bancshares Corp. 131,233
 36,800 Invesco Ltd.(d) 882,464
 4,500 Investment Technology Group, Inc.(a) 150,570
 4,100 JMP Group, Inc. 27,101
 2,900 Jackson Hewitt Tax Service, Inc. 35,438
 11,100 Jefferies Group, Inc. New Shares(b) 186,702
 2,200 KBW, Inc.(a) 45,276
 12,200 KKR Financial Holdings LLC 128,100
 9,500 Knight Capital Group, Inc. Class A(a) 170,810
 3,600 LaBranche & Co., Inc.(a) 25,488

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 5,581 Ladenburg Thalmann Financial Services, Inc.(a),(b) $ 8,427
 4,400 Lazard Ltd. Class A 150,260
 1,000 Lincoln Bancorp 11,100
 1,000 Lipid Sciences, Inc.(a) 420
 3,650 MB Financial, Inc. 82,016
 3,390 MDRNA, Inc.(a) 4,136
 8,700 MF Global Ltd.(a) 54,897
 4,700 MSCI, Inc.(a) 170,563
 200 Malan Realty Investors, Inc.(a),(f) -
 6,806 MasterCard, Inc. Class A 1,807,129
 300 Maxus Realty Trust, Inc. 3,003
 1,200 McGrath RentCorp 29,508
 3,300 Medallion Financial Corp. 31,086
 7,100 Medical Properties Trust, Inc. 71,852
 900 Merriman Curhan Ford Group, Inc.(a) 1,134
 500 MicroFinancial, Inc. 1,855
 115 Mid Penn Bancorp, Inc. 2,898
 2,100 MoneyGram International, Inc.(b) 1,894
 2,462 Monmouth Real Estate Investment Corp. Class A 15,757
 300 MutualFirst Financial, Inc. 2,943
 400 NASB Financial, Inc. 7,112
 14,600 The NASDAQ Stock Market, Inc.(a) 387,630
 3,600 National Financial Partners Corp.(b) 71,352
 120 National Security Group, Inc. 1,772
 356 National Western Life Insurance Co. Class A 77,786
 3,100 Nelnet, Inc. Class A 34,813
 32,341 New York Community Bancorp, Inc. 576,963
 2,900 NewStar Financial, Inc.(a) 17,139
 80 North American Scientific, Inc.(a) 82
 2,000 Northwest Bancorp, Inc. 43,640
 8,200 Nymex Holdings, Inc. 692,736
 3,700 Och-Ziff Capital Management Group LLC(b) 70,337
 4,700 Ocwen Financial Corp.(a) 21,855
 700 One Liberty Properties, Inc. 11,417
 5,700 optionsXpress Holdings, Inc. 127,338
 1,400 Oritani Financial Corp.(a) 22,400
 612 PAB Bankshares, Inc. 5,025
 2,125 PMC Commercial Trust 17,000
 321 PVF Capital Corp. 2,330
 2,961 PacWest Bancorp 44,060
 5,010 Pacific Capital Bancorp 69,038
 2,045 Piper Jaffray Cos.(a) 59,980
 1,200 Portfolio Recovery Associates, Inc.(a),(b) 45,000
 500 Provident Financial Holdings, Inc. 4,720
 4,689 Provident Financial Services, Inc. 65,693
 870 Pzena Investment Management, Inc. Class A(b) 11,101
 8,450 Raymond James Financial, Inc. 222,996
 2,000 Reis, Inc.(a) 10,980
 2,475 Renasant Corp. 36,457
 1,000 Resource America, Inc. Class A 9,320
 1,600 Riskmetrics Group, Inc.(a) 31,424
 200 Riverview Bancorp, Inc. 1,480
 300 Roberts Realty Investors, Inc.(a) 1,650
 800 Roma Financial Corp. 10,480
 2,800 Rome Bancorp, Inc. 31,080
 13,220 SEI Investments Co. 310,934
 2,265 SWS Group, Inc. 37,622
 4,200 Sanders Morris Harris Group, Inc. 28,476
 703 Santander BanCorp 7,459
 384 Security Bank Corp. 2,250
 3,300 Siebert Financial Corp. 10,032
 3,600 Specialty Underwriters' Alliance, Inc.(a) 19,332
 4,843 Sterling Financial Corp. 20,050
 1,800 Stifel Financial Corp.(a) 61,902
 420 Student Loan Corp. 41,194
 300 Supertel Hospitality, Inc. 1,488
 23,780 TD Ameritrade Holding Corp.(a) 430,180
 100 TF Financial Corp. 2,150
 4,679 Tarragon Corp.(a),(b) 8,188
 2,800 Thomas Weisel Partners Group, Inc.(a) 15,316
 1,100 TierOne Corp. 5,049
 1,600 U.S. Global Investors, Inc.(b) 26,800
 5,200 United Community Banks, Inc.(b) 44,356
 1,000 United PanAm Financial Corp.(a) 2,250

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 100 Value Line, Inc. $ 3,325
 3,000 ViewPoint Financial Group 44,160
 43,600 Visa, Inc. Class A 3,545,116
 10,252 W Holding Co., Inc.(b) 8,714
 2,200 W.P. Carey & Co. LLC 63,162
 3,500 W.P. Stewart & Co. Ltd.(b) 5,320
 200 WVS Financial Corp. 3,180
 7,200 Waddell & Reed Financial, Inc. Class A 252,072
 8,561 Washington Federal, Inc. 154,954
 600 Wauwatosa Holdings, Inc.(a) 6,372
 151 Wayne Savings Bancshares, Inc. 1,385
 5,373 Webster Financial Corp. 99,938
 145 Wesco Financial Corp. 55,390
 840 West Bancorp., Inc. 7,308
 4,300 Westfield Financial, Inc. 38,915
 772 White Mountains Insurance Group, Inc. 331,188
 200 Willis Lease Finance Corp.(a) 2,136
 1,467 Willow Grove Bancorp, Inc. 11,956
 8,856 Winthrop Realty Trust, Inc. 31,882
 1,700 World Acceptance Corp.(a) 57,239
 2,700 Wright Express Corp.(a) 66,960
 ------------
 31,413,870
 ------------
 MOTOR VEHICLES - 1.0%
 2,200 A.O. Smith Corp. 72,226
 2,505 ATC Technology Corp.(a) 58,316
 700 Accuride Corp.(a) 2,975
 5,000 American Axle & Manufacturing Holdings, Inc. 39,950
 2,700 Amerigon Inc.(a) 19,143
 1,300 Arctic Cat, Inc. 10,205
 7,100 ArvinMeritor, Inc. 88,608
 11,000 BorgWarner, Inc. 488,180
 2,600 CSK Auto Corp.(a) 27,248
 1,200 Cascade Corp. 50,784
 1,100 Coachmen Industries, Inc. 2,332
 400 Commercial Vehicle Group, Inc.(a) 3,740
 5,100 Dana Holding Corp.(a) 27,285
 6,200 Donaldson Co., Inc. 276,768
 1,300 Dorman Products, Inc.(a) 10,478
 2,600 Federal-Mogul Corp. Class A(a) 41,938
 3,690 Fleetwood Enterprises, Inc.(a),(b) 9,668
 2,100 FortuNet, Inc.(a),(b) 13,146
 1,250 Fuel Systems Solutions, Inc.(a) 48,125
 13,890 Gentex Corp. 200,572
 2,600 Group 1 Automotive, Inc. 51,662
 3,200 H&E Equipment Services, Inc.(a) 38,464
 7,100 Hayes Lemmerz International, Inc.(a) 20,164
 13,600 LKQ Corp.(a) 245,752
 6,345 Lear Corp.(a) 89,972
 1,000 Lithia Motors, Inc. Class A 4,920
 1,300 MarineMax, Inc.(a) 9,321
 2,200 Midas, Inc.(a) 29,700
 1,900 Modine Manufacturing Co. 23,503
 3,900 Monaco Coach Corp. 11,856
 1,125 Monro Muffler, Inc. 17,426
 2,120 Myers Industries, Inc. 17,278
 850 Noble International Ltd. 3,800
 6,200 Oshkosh Corp. 128,278
 4,200 Penske Auto Group, Inc. 61,908
 2,900 Polaris Industries, Inc.(b) 117,102
 447 Proliance International, Inc.(a) 425
 3,850 Rush Enterprises, Inc. Class A(a) 46,239
 1,800 Sonic Automotive, Inc. 23,202
 2,275 Spartan Motors, Inc. 16,994
 1,300 Standard Motor Products, Inc. 10,608
 1,300 Stoneridge, Inc.(a) 22,178
 3,210 Superior Industries International, Inc. 54,185
 5,300 TRW Automotive Holdings Corp.(a) 97,891
 3,685 Thor Industries, Inc.(b) 78,343
 2,700 Titan International, Inc. 96,174
 4,600 U.S. Auto Parts Network, Inc.(a) 16,652
 7,700 Visteon Corp.(a) 20,251
 5,900 WABCO Holdings, Inc. 274,114
 3,100 Winnebago Industries, Inc.(b) 31,589
 ------------
 3,151,638
 ------------
 NON-DURABLES - 1.7%
 2,100 AFC Enterprises, Inc.(a) 16,779
 27,444 Activision, Inc.(a),(c) 935,017

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,900 American Greetings Corp. Class A $ 48,126
 1,100 BJ's Restaurants, Inc.(a) 10,703
 615 Benihana, Inc.(a) 3,850
 2,630 Benihana, Inc. Class A(a) 16,674
 1,600 Blue Nile, Inc.(a),(b) 68,032
 3,100 Bob Evans Farms, Inc. 88,660
 210 Bowl America, Inc. Class A 2,929
 9,800 Brinker International, Inc. 185,220
 2,600 Buca, Inc.(a) 1,011
 1,800 Buffalo Wild Wings, Inc.(a) 44,694
 2,315 CBRL Group, Inc. 56,741
 2,650 CEC Entertainment, Inc.(a) 74,227
 3,300 CKE Restaurants, Inc. 41,151
 4,100 Cabela's, Inc. Class A(a),(b) 45,141
 3,000 California Pizza Kitchen, Inc.(a) 33,570
 2,400 Centillium Communications, Inc.(a) 1,560
 5,100 Century Casinos, Inc.(a) 16,728
 6,417 The Cheesecake Factory, Inc.(a) 102,094
 7,400 Cheniere Energy, Inc.(a),(b) 32,338
 3,200 Chipotle Mexican Grill, Inc. Class A(a),(b) 264,384
 400 Churchill Downs, Inc. 13,948
 5,500 Cosi, Inc.(a) 13,805
 10,600 Denny's Corp.(a) 30,104
 1,700 DineEquity, Inc.(b) 63,512
 4,800 Domino's Pizza, Inc.(a) 55,200
 3,300 Dover Motorsports, Inc. 16,797
 2,200 Drew Industries, Inc.(a) 35,090
 1,100 Einstein Noah Restaurant Group, Inc.(a) 12,177
 2,500 Famous Dave's of America, Inc.(a) 19,250
 1,100 Forward Industries, Inc.(a) 2,926
 1,400 Gaming Partners International Corp.(a) 5,432
 3,418 Hibbett Sports, Inc.(a) 72,120
 4,300 Hollywood Media Corp.(a) 10,535
 3,200 International Speedway Corp. Class A 124,896
 3,900 Isle of Capri Casinos, Inc.(a) 18,681
 6,100 Jack in the Box, Inc.(a) 136,701
 3,013 Jakks Pacific, Inc.(a) 65,834
 300 Kreisler Manufacturing Corp.(a) 3,675
 3,700 Krispy Kreme Doughnuts, Inc.(a),(b) 18,463
 2,800 Lancaster Colony Corp. 84,784
 1,200 Landry's Restaurants, Inc.(b) 21,564
 300 Lazare Kaplan International, Inc.(a) 2,670
 2,500 Leapfrog Enterprises, Inc.(a) 20,800
 800 Lenox Group, Inc.(a) 208
 3,000 LodgeNet Interactive Corp.(a) 14,730
 1,700 Luby's, Inc.(a) 10,370
 1,500 Majesco Entertainment Co.(a) 1,260
 4,900 Marvel Entertainment, Inc.(a) 157,486
 1,100 McCormick & Schmick's Seafood Restaurants, Inc.(a) 10,604
 9,200 Midway Games, Inc.(a),(b) 20,240
 2,600 Movado Group, Inc. 51,480
 1,705 O'Charleys, Inc. 17,152
 700 Oil-Dri Corp. of America 12,565
 2,595 P.F. Chang's China Bistro, Inc.(a),(b) 57,972
 3,100 Panera Bread Co. Class A(a),(b) 143,406
 3,100 Papa John's International, Inc.(a) 82,429
 90 Peco II, Inc.(a) 303
 6,600 Penn National Gaming, Inc.(a) 212,190
 1,670 RC2 Corp.(a) 30,995
 1,900 Red Robin Gourmet Burgers, Inc.(a) 52,706
 3,100 Regis Corp. 81,685
 1,600 Ruby Tuesday, Inc. 8,640
 1,300 Russ Berrie & Co., Inc.(a) 10,361
 21,600 Service Corp. International 212,976
 400 Servotronics, Inc. 5,992
 2,400 Shutterfly, Inc.(a) 29,304
 6,437 Sonic Corp.(a) 95,268
 6,500 Sotheby's Holdings, Inc. Class A(b) 171,405
 900 The Steak n Shake Co.(a) 5,697
 1,510 Steinway Musical Instruments, Inc.(a) 39,864
 10,200 Stewart Enterprises, Inc. Class A 73,440
 6,850 THQ, Inc.(a) 138,781
 6,200 Take-Two Interactive Software, Inc.(a) 158,534
 2,400 Trans World Entertainment Corp.(a) 6,816
 5,100 Triarc Cos. 32,283

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 6,000 Trump Entertainment Resorts, Inc.(a),(b) $ 11,460
 5,955 Tupperware Corp. 203,780
 2,600 VCG Holding Corp.(a),(b) 9,750
 6,200 Warner Music Group Corp. 44,268
 2,000 World Wrestling Entertainment, Inc. 30,940
 3,090 Youbet.com, Inc.(a) 3,832
 ------------
 5,189,765
 ------------
 NON-FERROUS METALS - 1.0%
 1,000 A.M. Castle & Co. 28,610
 7,600 Advanced Environmental Recycling Technologies, Inc.
 Class A(a) 4,180
 1,792 Atna Resources Ltd.(a) 1,283
 1,600 Brush Engineered Materials, Inc.(a) 39,072
 3,100 Century Aluminum Co.(a) 206,119
 55,400 Coeur d'Alene Mines Corp.(a),(b) 160,660
 10,900 Commercial Metals Co. 410,930
 2,627 Encore Wire Corp. 55,666
 5,900 General Moly, Inc.(a) 46,433
 12,600 Hecla Mining Co.(a) 116,676
 3,700 Horsehead Holding Corp.(a) 44,992
 3,000 Intrepid Potash, Inc.(a) 197,340
 1,700 Kaiser Aluminum Corp. 91,001
 2,900 Metalico, Inc.(a),(b) 50,808
 1,900 Minerals Technologies, Inc. 120,821
 3,100 Mueller Industries, Inc. 99,820
 2,400 RTI International Metals, Inc.(a) 85,488
 6,124 Reliance Steel & Aluminum Co. 472,099
 5,400 Solitario Exploration & Royalty Corp.(a) 26,568
 7,200 Southern Copper Corp. 767,736
 4,584 Stillwater Mining Co.(a) 54,229
 6,000 Timberline Resources Corp.(a) 17,940
 ------------
 3,098,471
 ------------
 OPTICAL PHOTO & EQUIPMENT - 0.1%
 1,200 CPI Corp. 22,476
 1,100 Cyberoptics Corp.(a) 10,791
 3,300 Imation Corp. 75,636
 12,030 Ingram Micro, Inc. Class A(a) 213,533
 2,095 LaserCard Corp.(a) 9,993
 200 Meade Instruments Corp.(a) 180
 1,900 Photronics, Inc.(a) 13,376
 100 StockerYale, Inc.(a) 56
 1,000 Zygo Corp.(a) 9,830
 ------------
 355,871
 ------------
 PAPER & FOREST PRODUCTS - 0.5%
 3,664 AbitibiBowater, Inc.(b) 34,185
 2,500 Boise, Inc.(a) 9,625
 2,800 Buckeye Technologies, Inc.(a) 23,688
 804 CSS Industries, Inc. 19,473
 5,900 Caraustar Industries, Inc.(a) 17,169
 1,200 Chesapeake Corp.(a) 2,820
 1,400 Deltic Timber Corp. 74,914
 44,500 Domtar Corp.(a) 242,525
 480 Kadant, Inc.(a) 10,848
 5,200 Kapstone Paper and Packaging Corp.(a) 34,684
 10,400 Louisiana-Pacific Corp. 88,296
 1,000 Lydall, Inc.(a) 12,550
 1,400 Neenah Paper, Inc. 23,394
 2,300 P.H. Glatfelter Co. 31,073
 10,200 Packaging Corp. of America 219,402
 3,759 Potlatch Corp. 169,606
 6,671 Rayonier, Inc. 283,251
 3,900 Rock-Tenn Co. Class A 116,961
 25,880 Smurfit-Stone Container Corp.(a) 105,332
 1,400 Universal Forest Products, Inc. 41,944
 2,900 Verso Paper Corp.(a) 24,534
 3,700 Wausau Paper Corp. 28,527
 ------------
 1,614,801
 ------------
 PRODUCER GOODS - 5.1%
 8,723 AGCO Corp.(a) 457,172
 750 Aaon, Inc. 14,445
 4,500 Actuant Corp. Class A 141,075
 8,400 Akorn, Inc.(a) 27,804
 700 Alamo Group, Inc. 14,413
 2,200 Albany International Corp. Class A 63,800

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 115 Allied Motion Technologies, Inc.(a) $ 644
 2,000 Allis-Chalmers Energy, Inc.(a) 35,600
 3,400 American International Industries, Inc.(a) 12,376
 1,200 American Vanguard Corp. 14,760
 9,300 Ametek, Inc. 439,146
 2,700 Applied Industrial Technologies, Inc. 65,259
 6,100 AptarGroup, Inc. 255,895
 14 Arotech Corp.(a) 28
 1,500 Astec Industries, Inc.(a) 48,210
 8,900 BE Aerospace, Inc.(a) 207,281
 3,300 Baldor Electric Co. 115,434
 3,800 Barnes Group, Inc. 87,742
 1,600 Blount International, Inc.(a) 18,576
 2,700 Blyth, Inc. 32,481
 5,300 Briggs & Stratton Corp. 67,204
 1,800 CIRCOR International, Inc. 88,182
 1,100 Cantel Medical Corp.(a) 11,132
 16,000 Capstone Turbine Corp.(a),(b) 67,040
 200 Catalyst Semiconductor, Inc.(a) 868
 2,900 Chart Industries, Inc.(a) 141,056
 1,100 Cherokee International Corp.(a) 1,947
 100 Chicago Rivet & Machine Co. 2,050
 4,200 Clarcor, Inc. 147,420
 4,085 Cognex Corp. 94,159
 1,900 Colfax Corp.(a) 47,671
 2,000 Columbus McKinnon Corp.(a) 48,160
 1,900 Comfort Systems USA, Inc. 25,536
 360 Concord Camera Corp.(a) 1,289
 1,900 Cryo-Cell International, Inc.(a) 1,273
 600 Culp, Inc.(a) 4,212
 4,500 Curtiss-Wright Corp. 201,330
 300 DEI Holdings, Inc.(a) 510
 100 DXP Enterprises, Inc.(a) 4,164
 2,000 Diamond Management & Technology Consultants, Inc. 10,420
 5,500 Distributed Energy Systems Corp.(a) 275
 1,100 Dynamic Materials Corp. 36,245
 300 The Eastern Co. 4,560
 11,200 Evergreen Solar, Inc.(a),(b) 108,528
 7,100 FMC Corp. 549,824
 1,600 The Fairchild Corp.(a) 3,376
 12,490 Fastenal Co. 539,068
 2,500 Federal Signal Corp. 30,000
 4,500 Flanders Corp.(a) 27,225
 5,500 Flowserve Corp. 751,850
 13,680 Foster Wheeler Ltd.(a) 1,000,692
 2,400 Franklin Electric Co., Inc.(b) 93,072
 5,300 Gardner Denver, Inc.(a) 301,040
 1,970 The Gorman-Rupp Co. 78,485
 5,887 Graco, Inc. 224,118
 9,300 GrafTech International Ltd.(a) 249,519
 700 HI Shear Technology Corp. 8,855
 3,000 HNI Corp.(b) 52,980
 1,900 Hardinge, Inc. 25,023
 7,400 Harsco Corp. 402,634
 4,490 Herman Miller, Inc. 111,756
 9,500 Hexcel Corp.(a) 183,350
 4,200 Hubbell, Inc. Class B 167,454
 800 Hurco Companies, Inc.(a) 24,712
 6,925 IDEX Corp. 255,117
 100 Ibis Technology Corp.(a) 11
 400 Inplay Technologies, Inc.(a) 136
 500 IntriCon Corp.(a) 4,200
 7,175 Jarden Corp.(a) 130,872
 2,800 Kaydon Corp. 143,948
 6,400 Kennametal, Inc. 208,320
 2,800 Knoll, Inc. 34,020
 1,200 L.B. Foster Co. Class A(a) 39,840
 1,100 LaBarge, Inc.(a) 14,300
 1,700 Ladish Co., Inc.(a) 35,003
 534 Lawson Products, Inc. 13,233
 5,500 Lennox International, Inc. 159,280
 1,082 Libbey, Inc. 8,050
 3,395 Lincoln Electric Holdings, Inc. 267,187
 1,100 Lindsay Manufacturing Co.(b) 93,467
 2,900 Liquidity Services, Inc.(a) 33,437
 1,400 MFRI, Inc.(a) 21,140
 4,200 MSC Industrial Direct Co. Class A 185,262
 1,700 Magnetek, Inc.(a) 7,191
 900 Material Sciences Corp.(a) 7,290
 2,300 Matthews International Corp. Class A 104,098
 2,700 Merix Corp.(a) 6,210

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 5,660 Micrel, Inc. $ 51,789
 1,800 Middleby Corp.(a) 79,038
 900 Modtech Holdings, Inc.(a) 94
 3,025 Moog, Inc. Class A(a) 112,651
 8,000 Mueller Water Products, Inc. Series B 68,320
 400 NACCO Industries, Inc. Class A 29,740
 1,900 NATCO Group, Inc. Class A(a) 103,607
 3,600 NN, Inc. 50,184
 2,900 Nordson Corp. 211,381
 5,500 Oceaneering International, Inc.(a) 423,775
 1,700 Park-Ohio Holdings Corp.(a) 25,092
 100 Peerless Manufacturing Co.(a) 4,687
 8,550 Pentair, Inc. 299,421
 12,107 Plug Power, Inc.(a) 28,451
 3,140 Presstek, Inc.(a) 15,574
 2,300 RBC Bearings, Inc.(a) 76,636
 1,000 Reddy Ice Holdings, Inc. 13,680
 2,905 Regal-Beloit Corp. 122,736
 2,900 Research Frontiers, Inc.(a),(b) 17,342
 700 Riviera Holdings Corp.(a) 7,105
 2,800 Robbins & Myers, Inc. 139,636
 1,124 Ronson Corp.(a) 1,360
 8,500 Roper Industries, Inc. 559,980
 1,770 SI International, Inc.(a) 37,064
 5,048 SPX Corp. 664,973
 7,000 Safeguard Scientifics, Inc.(a) 8,680
 1,100 Sauer-Danfoss, Inc. 34,265
 7,400 The Shaw Group, Inc.(a) 457,246
 1,800 Somanetics Corp.(a) 38,160
 1,800 Sonic Solutions, Inc.(a) 10,728
 1,000 Spectrum Control, Inc.(a) 8,200
 700 Standex International Corp. 14,518
 6,400 Steelcase, Inc. Class A 64,192
 900 Strattec Security Corp. 31,275
 1,650 Sun Hydraulics, Inc. 53,246
 1,300 T-3 Energy Services, Inc.(a) 103,311
 1,900 Team, Inc.(a) 65,208
 1,500 Technology Research Corp. 3,885
 1,700 Tecumseh Products Co. Class A(a) 55,726
 3,100 Teleflex, Inc. 172,329
 1,500 Tennant Co. 45,105
 4,800 Tenneco, Inc.(a) 64,944
 8,000 ThermoGenesis Corp.(a) 10,240
 6,400 Timken Co. 210,816
 7,800 Trinity Industries, Inc. 270,582
 1,800 Triumph Group, Inc. 84,780
 1,900 TurboChef Technologies, Inc.(a) 9,082
 1,600 Twin Disc, Inc. 33,488
 2,400 Tyler Technologies, Inc.(a) 32,568
 1,240 Valhi, Inc. 33,790
 1,900 Valmont Industries, Inc. 198,151
 2,600 Watsco, Inc.(b) 108,680
 3,200 Watts Water Technologies, Inc. Class A 79,680
 5,800 Woodward Governor Co. 206,828
 1,100 X-Rite, Inc.(a) 2,816
 ------------
 15,420,852
 ------------
 RAILROADS & SHIPPING - 0.8%
 3,900 Alexander & Baldwin, Inc. 177,645
 4,500 American Commercial Lines, Inc.(a) 49,185
 700 Capital Product Partners LP 13,888
 4,600 Diamondhead Casino Corp.(a) 8,050
 4,500 Double Hull Tankers, Inc. 45,135
 4,800 Eagle Bulk Shipping, Inc. 141,936
 3,300 Excel Maritime Carriers Ltd. 129,525
 1,500 Freightcar America, Inc. 53,250
 3,200 GATX Corp. 141,856
 3,200 Genco Shipping & Trading Ltd.(b) 208,640
 2,800 General Maritime Corp. 72,744
 2,950 Genesee & Wyoming, Inc. Class A(a) 100,359
 1,900 Greenbrier Cos., Inc. 38,570
 3,200 Horizon Lines, Inc. Class A(b) 31,840
 2,400 Hornbeck Offshore Services, Inc.(a) 135,624
 300 International Shipholding Corp.(a) 7,032
 700 K-Sea Transportation Partners LP 22,309
 6,600 Kansas City Southern(a) 290,334
 1,700 Martin Midstream Partners LP 55,981
 2,700 OSG America LP 36,855
 1,500 OceanFreight, Inc. 34,755
 2,400 Overseas Shipholding Group, Inc. 190,848
 1,000 Saia, Inc.(a) 10,920

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 4,000 Ship Finance International Ltd.(b) $ 118,120
 1,600 TBS International Ltd.(a) 63,920
 1,400 Trico Marine Services, Inc.(a),(b) 50,988
 2,100 U.S. Shipping Partners LP 3,990
 4,700 Westinghouse Air Brake Technologies Corp. 228,514
 ------------
 2,462,813
 ------------
 REAL PROPERTY - 4.9%
 9,300 AMB Property Corp. 468,534
 500 AMREP Corp. 23,795
 3,300 Acadia Realty Trust 76,395
 1,795 Alesco Financial, Inc.(b) 3,590
 300 Alexander's, Inc.(a) 93,180
 3,000 Alexandria Real Estate Equities, Inc. 292,020
 1,500 American Capital Agency Corp. 24,960
 400 American Land Lease, Inc. 7,600
 500 American Mortgage Acceptance Co. 315
 500 American Realty Investors, Inc.(a) 4,740
 50,700 Annaly Capital Management, Inc. 786,357
 5,900 Anthracite Capital, Inc.(e) 41,536
 6,300 Anworth Mortgage Asset Corp. 41,013
 2,800 Arbor Realty Trust, Inc. 25,116
 100 Associated Estates Realty Corp. 1,071
 700 Avatar Holdings, Inc.(a) 21,203
 4,935 BRE Properties 213,587
 2,000 BRT Realty Trust 24,000
 3,200 Big 5 Sporting Goods Corp. 24,224
 7,200 BioMed Realty Trust, Inc. 176,616
 6,814 Brandywine Realty Trust 107,389
 20,600 Brookfield Properties Corp. 366,474
 5,300 CBL & Associates Properties, Inc. 121,052
 2,300 CBRE Realty Finance, Inc. 7,912
 3,200 California Coastal Communities, Inc.(a) 12,224
 5,057 Camden Property Trust 223,823
 5,400 Capstead Mortgage Corp. 58,590
 3,700 Care Investment Trust, Inc. 34,891
 5,400 Cedar Shopping Centers, Inc. 63,288
 1,700 Chimera Investment Corp. 15,317
 3,200 Colonial Properties Trust 64,064
 4,800 Corporate Office Properties Trust 164,784
 4,400 Cousins Properties, Inc. 101,640
 3,300 Crystal River Capital, Inc. 12,078
 17,500 DCT Industrial Trust, Inc. 144,900
 6,800 DiamondRock Hospitality Co. 74,052
 6,000 Digital Realty Trust, Inc. 245,460
 10,900 Douglas Emmett, Inc. 239,473
 13,975 Duke Realty Corp. 313,739
 3,800 Dupont Fabros Technology, Inc. 70,832
 2,600 Eastgroup Properties, Inc. 111,540
 4,000 Education Realty Trust, Inc. 46,600
 3,100 Entertainment Properties Trust 153,264
 1,800 Equity Lifestyle Properties, Inc. 79,200
 3,655 Equity One, Inc. 75,110
 2,600 Essex Property Trust, Inc. 276,900
 5,640 Federal Realty Investment Trust 389,160
 6,700 FelCor Lodging Trust, Inc. 70,350
 1,327 First Acceptance Corp.(a) 4,246
 4,600 First Industrial Realty Trust, Inc. 126,362
 1,200 First Potomac Realty Trust 18,288
 6,800 Forest City Enterprises, Inc. Class A 219,096
 2,833 Forestar Real Estate Group, Inc.(a) 53,969
 1,900 Getty Realty Corp. 27,379
 2,100 Gladstone Commercial Corp. 36,393
 4,900 Glimcher Realty Trust 54,782
 4,922 Grubb & Ellis Co. 18,950
 18,000 HRPT Properties Trust 121,860
 1,100 Hatteras Financial Corp. 25,289
 8,552 Health Care REIT, Inc. 380,564
 5,200 Healthcare Realty Trust, Inc. 123,604
 5,550 Highwoods Properties, Inc. 174,381
 6,280 Hilltop Holdings, Inc.(a) 64,747
 3,200 Home Properties, Inc. 153,792
 9,105 Hospitality Properties Trust 222,708
 1,600 Housevalues, Inc.(a) 4,400
 5,500 IMPAC Mortgage Holdings, Inc.(b) 4,125
 600 Icahn Enterprises LP 42,204
 6,400 Inland Real Estate Corp. 92,288
 6,500 Investors Real Estate Trust 62,010
 11,200 iStar Financial, Inc. 147,952

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 500 JER Investors Trust, Inc.(b) $ 3,150
 3,100 Jones Lang LaSalle, Inc. 186,589
 3,400 Kilroy Realty Corp. 159,902
 1,700 Kite Realty Group Trust 21,250
 1,000 LTC Properties, Inc. 25,560
 4,400 LTC-Amerivest Liquidating Trust(a),(f) -
 4,200 LaSalle Hotel Properties 105,546
 6,120 Lexington Corporate Properties Trust 83,416
 8,960 Liberty Property Trust 297,024
 4,100 LoopNet, Inc.(a),(b) 46,330
 7,570 Luminent Mortgage Capital, Inc.(b) 1,136
 19,800 MFA Mortgage Investments, Inc. 129,096
 7,100 The Macerich Co. 441,123
 6,400 Mack-Cali Realty Corp. 218,688
 4,500 Maguire Properties, Inc. 54,765
 3,400 Meruelo Maddux Properties, Inc.(a) 7,412
 2,700 Mid-America Apartment Communities, Inc. 137,808
 1,100 Mission West Properties, Inc. 12,056
 10,424 Move, Inc.(a) 24,288
 1,600 National Health Investors, Inc. 45,616
 7,391 National Retail Properties, Inc. 154,472
 9,200 Nationwide Health Properties, Inc. 289,708
 3,300 New York Mortgage Trust, Inc. 19,206
 5,605 Newcastle Investment Corp.(b) 39,291
 6,400 NorthStar Realty Finance Corp. 53,248
 5,100 Omega Healthcare Investors, Inc. 84,915
 3,500 Origen Financial, Inc. 5,215
 900 Orleans Homebuilders, Inc.(b) 3,294
 2,000 PS Business Parks, Inc. 103,200
 1,800 Parkway Properties, Inc. 60,714
 4,099 Pennsylvania Real Estate Investment Trust 94,851
 300 Pope Resources, Ltd. LP 9,690
 3,400 Post Properties, Inc. 101,150
 6,300 RAIT Investment Trust(b) 46,746
 1,600 Ramco-Gershenson Properties Trust 32,864
 1,300 Reading International, Inc. Class A(a) 10,075
 9,700 Realty Income Corp.(b) 220,772
 3,200 Redwood Trust, Inc.(b) 72,928
 6,300 Regency Centers Corp. 372,456
 5,782 SL Green Realty Corp. 478,287
 1,300 Saul Centers, Inc. 61,087
 11,200 Senior Housing Properties Trust 218,736
 1,400 Sovran Self Storage, Inc. 58,184
 8,100 The St. Joe Co. 277,992
 2,300 Stonemor Partners LP 39,376
 4,600 Strategic Hotel Capital, Inc. 43,102
 200 Stratus Properties, Inc.(a) 3,478
 2,600 Sun Communities, Inc. 47,398
 6,100 Sunstone Hotel Investors, Inc. 101,260
 3,200 Tanger Factory Outlet Centers, Inc. 114,976
 4,600 Taubman Centers, Inc. 223,790
 1,100 Thomas Properties Group, Inc. 10,824
 100 Thornburg Mortgage, Inc. 20
 3,500 Toreador Resources Corp.(a) 29,855
 100 Transcontinental Realty Investors, Inc.(a) 1,476
 5,000 U-Store-It Trust 59,750
 12,365 UDR, Inc. 276,729
 1,300 Universal Health Realty Income Trust 39,000
 1,300 Urstadt Biddle Properties, Inc. 19,825
 900 Urstadt Biddle Properties, Inc. Class A 13,194
 12,800 Ventas, Inc. 544,896
 5,000 Washington Real Estate Investment Trust 150,250
 7,575 Weingarten Realty Investors 229,674
 1,049 ZipRealty, Inc.(a) 4,227
 ------------
 14,996,283
 ------------
 RETAIL - 2.3%
 4,470 1-800-FLOWERS.COM, Inc. Class A(a) 28,832
 5,866 99 Cents Only Stores(a) 38,716
 3,100 A.C. Moore Arts & Crafts, Inc.(a) 21,855
 3,475 Aaron Rents, Inc. 77,596
 9,100 Advance Auto Parts, Inc. 353,353

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,200 Allion Healthcare, Inc.(a) $ 18,240
 1,300 Alloy, Inc.(a) 9,399
 2,700 American Apparel, Inc.(a) 17,955
 14,765 American Eagle Outfitters, Inc. 201,246
 6,075 AnnTaylor Stores Corp.(a) 145,557
 200 Arden Group, Inc. Class A 25,348
 1,400 Asbury Automotive Group, Inc. 17,990
 5,800 BJ's Wholesale Club, Inc.(a) 224,460
 3,500 Barnes & Noble, Inc. 86,940
 700 Bidz.com, Inc.(a),(b) 6,062
 1,100 Bluegreen Corp.(a) 6,655
 2,600 The Bon-Ton Stores, Inc.(b) 13,572
 1,200 Books-A-Million, Inc. 9,192
 6,200 Borders Group, Inc. 37,200
 5,556 Brightpoint, Inc.(a) 40,559
 1,300 Build-A-Bear Workshop, Inc.(a) 9,451
 16,600 Carmax, Inc.(a),(b) 235,554
 5,200 Casey's General Stores, Inc. 120,484
 3,100 Casual Male Retail Group, Inc.(a) 9,455
 2,750 The Cato Corp. Class A 39,160
 2,400 Central Garden & Pet Co. Class A(a) 9,840
 2,800 Charlotte Russe Holding, Inc.(a) 49,728
 10,655 Charming Shoppes, Inc.(a) 48,906
 13,200 Chico's FAS, Inc.(a) 70,884
 2,405 The Children's Place Retail Stores, Inc.(a) 86,821
 2,238 Christopher & Banks Corp. 15,218
 15,180 Circuit City Stores, Inc. 43,870
 7,670 Coldwater Creek, Inc.(a) 40,498
 6,300 Collective Brands, Inc.(a) 73,269
 4,700 Cost Plus, Inc.(a),(b) 11,750
 1,700 DSW, Inc. Class A(a),(b) 20,026
 5,199 dELiA*s, Inc.(a) 10,450
 8,605 Dollar Tree, Inc.(a) 281,297
 5,906 Dress Barn, Inc.(a) 79,022
 3,400 drugstore.com, Inc.(a) 6,460
 600 Eddie Bauer Holdings, Inc.(a) 2,490
 4,248 The Finish Line, Inc. Class A(a) 36,956
 200 Flanigan's Enterprises, Inc.(a) 1,250
 12,500 Foot Locker, Inc. 155,625
 2,850 Fred's, Inc. 32,034
 1,400 Gander Mountain Co.(a),(b) 5,166
 2,400 Genesco, Inc.(a) 74,088
 3,420 The Great Atlantic & Pacific Tea Co., Inc.(a) 78,044
 3,000 Gymboree Corp.(a) 120,210
 2,700 HFF, Inc. Class A(a) 15,363
 9,300 Hanesbrands, Inc.(a) 252,402
 1,000 hhgregg, Inc.(a) 10,000
 5,045 Hillenbrand, Inc. 107,963
 3,250 Hot Topic, Inc.(a) 17,583
 4,000 Insight Enterprises, Inc.(a) 46,920
 3,800 Jamba, Inc.(a),(b) 7,030
 2,665 Jo-Ann Stores, Inc.(a) 61,375
 1,100 Kirkland's, Inc.(a) 2,475
 3,200 Longs Drug Stores Corp. 134,752
 700 Lumber Liquidators, Inc.(a) 9,100
 3,700 Men's Wearhouse, Inc. 60,273
 9,610 O'Reilly Automotive, Inc.(a) 214,784
 8,200 OfficeMax, Inc. 113,980
 1,300 Overstock.com, Inc.(a),(b) 33,735
 3,000 PC Connection, Inc.(a) 27,930
 7,125 Pacific Sunwear of California, Inc.(a) 60,776
 3,700 The Pep Boys - Manny, Moe & Jack 32,264
 4,900 Pet DRx Corp.(a) 16,954
 12,300 PetSmart, Inc. 245,385
 8,500 Pier 1 Imports, Inc.(a) 29,240
 2,450 PriceSmart, Inc. 48,461
 6,500 Rent-A-Center, Inc.(a) 133,705
 2,200 Retail Ventures, Inc.(a) 10,120
 57,600 Rite Aid Corp.(a),(b) 91,584
 12,700 Ross Stores, Inc. 451,104
 3,100 Ruddick Corp. 106,361
 3,400 Ruth's Hospitality Group, Inc.(a) 17,612
 12,200 Saks, Inc.(a) 133,956
 8,470 Sally Beauty Co., Inc.(a) 54,716
 2,000 School Specialty, Inc.(a) 59,460
 2,800 Sharper Image Corp.(a),(b) 78
 1,800 Shoe Carnival, Inc.(a) 21,222
 2,150 Stamps.com, Inc.(a) 26,832
 6,200 Stein Mart, Inc. 27,962
 1,200 Systemax, Inc. 21,180

S C H E D U L E

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 3,500 The Talbots, Inc. $ 40,565
 3,800 Texas Roadhouse, Inc. Class A(a) 34,086
 1,400 Titan Machinery, Inc.(a) 43,848
 3,400 Tractor Supply Co.(a) 98,736
 3,100 Tuesday Morning Corp.(a) 12,741
 2,700 Tween Brands, Inc.(a) 44,442
 4,157 Ulta Salon Cosmetics & Fragrance, Inc.(a) 46,725
 1,700 Unifirst Corp. 75,922
 2,500 United Stationers, Inc.(a) 92,375
 11,300 Urban Outfitters, Inc.(a) 352,447
 1,200 Weis Markets, Inc. 38,964
 1,600 West Marine, Inc.(a) 6,560
 7,175 The Wet Seal, Inc. Class A(a) 34,225
 7,300 Williams-Sonoma, Inc.(b) 144,832
 2,700 Wilsons The Leather Experts, Inc.(a) 216
 600 Winmark Corp.(a) 10,356
 4,500 Zale Corp.(a),(b) 85,005
 2,600 Zumiez, Inc.(a),(b) 43,108
 ------------
 7,058,523
 ------------
 SOAPS & COSMETICS - 0.3%
 8,870 Alberto-Culver Co. 233,014
 6,500 Bare Escentuals, Inc.(a),(b) 121,745
 1,800 Chattem, Inc.(a) 117,090
 5,700 Church & Dwight Co., Inc. 321,195
 3,300 Elizabeth Arden, Inc.(a) 50,094
 2,650 Inter Parfums, Inc. 39,750
 4,300 Nu Skin Enterprises, Inc. Class A 64,156
 1,100 Parlux Fragrances, Inc.(a) 5,500
 1,000 Physicians Formula Holdings, Inc.(a) 9,350
 29,898 Revlon, Inc. Class A(a) 25,413
 600 Steiner Leisure Ltd.(a) 17,010
 ------------
 1,004,317
 ------------

 STEEL - 0.9%
 1,000 Ampco-Pittsburgh Corp. 44,480
 4,600 Carpenter Technology Corp. 200,790
 8,200 Cleveland-Cliffs, Inc. 977,358
 1,400 Cold Metal Products, Inc.(a) -
 1,700 Esmark, Inc.(a) 32,504
 600 Friedman Industries, Inc. 4,800
 3,600 Gibraltar Industries, Inc. 57,492
 1,300 Northwest Pipe Co.(a) 72,540
 1,205 Olympic Steel, Inc. 91,484
 500 Omega Flex, Inc. 7,600
 2,150 Schnitzer Steel Industries, Inc. Class A 246,390
 400 Shiloh Industries, Inc. 3,756
 18,060 Steel Dynamics, Inc. 705,604
 1,300 Synalloy Corp. 20,046
 700 Universal Stainless & Alloy Products, Inc.(a) 25,928
 6,300 Worthington Industries, Inc. 129,150
 ------------
 2,619,922
 ------------

 TELEPHONE - 2.0%
 11,400 ADC Telecommunications, Inc.(a),(c) 168,378
 75 ATSI Communications, Inc.(a) 14
 5,400 Acme Packet, Inc.(a) 41,904
 6,280 Adtran, Inc. 149,715
 7,800 Airspan Networks, Inc.(a) 5,848
 4,900 Alaska Communications Systems Group, Inc. 58,506
 2,600 Applied Signal Technology, Inc. 35,516
 5,000 Aruba Networks, Inc.(a) 26,150
 500 Atlantic Tele-Network, Inc. 13,755
 8,000 Autobytel, Inc.(a) 11,360
 9,000 Centennial Communications Corp.(a) 62,910
 16,100 Cincinnati Bell, Inc.(a) 64,078
 3,484 Consolidated Communications Holdings, Inc. 51,877
 22,790 Crown Castle International Corp.(a) 882,657
 999 D&E Communications, Inc. 8,881
 4,705 Digital Angel Corp.(a) 3,576
 2,000 Ditech Networks, Inc.(a) 4,300
 3,115 Equinix, Inc.(a) 277,920
 13,000 Extreme Networks, Inc.(a) 36,920
 9,600 FairPoint Communications, Inc.(b) 69,216
 19,900 FiberTower Corp.(a) 27,860

S C H E D U L E

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 1 Fibernet Telecom Group, Inc.(a) $ 8
 18,700 Finisar Corp.(a) 22,253
 4,500 Fusion Telecommunications International, Inc.(a) 1,305
 3,400 General Communication, Inc. Class A(a) 23,358
 2,000 GeoEye, Inc.(a) 35,420
 2,595 Global Crossing Ltd.(a) 46,554
 5,600 Globalstar, Inc.(a) 15,848
 1,400 Globecomm Systems Inc.(a) 11,564
 6 GoAmerica, Inc.(a) 44
 800 HickoryTech Corp. 6,616
 900 Hughes Communications, Inc.(a) 44,181
 11,700 ICO Global Communications Holdings Ltd.(a) 38,142
 1,600 ID Systems, Inc.(a) 10,304
 4,600 IDT Corp. Class B 7,820
 2,400 Ibasis, Inc. 7,872
 2,800 Iowa Telecommunications Services, Inc. 49,308
 1,900 iPCS, Inc.(a) 56,297
 4,500 j2 Global Communications, Inc.(a) 103,500
 5,100 Leap Wireless International, Inc.(a) 220,167
145,688 Level 3 Communications, Inc.(a),(b) 429,780
 18,000 MetroPCS Communications, Inc.(a) 318,780
 300 NET2000 Communications, Inc.(a) -
 15,900 NII Holdings, Inc.(a) 755,091
 3,000 NTELOS Holdings Corp. 76,110
 1,400 Neutral Tandem, Inc.(a) 24,500
 4,100 Nextwave Wireless, Inc.(a),(b) 16,564
 3,586 Novatel Wireless, Inc.(a) 39,912
 400 Occam Networks, Inc.(a) 1,596
 247 Optical Cable Corp.(a) 1,692
 900 Optium Corp.(a) 6,552
 9,700 PAETEC Holding Corp.(a) 61,595
 29,100 Primus Telecommunications GP(a) 9,894
 4,500 RCN Corp. 48,510
 900 Shenandoah Telecom Co. 11,718
 22,000 Sonus Networks, Inc.(a),(b) 75,240
 800 SureWest Communications 6,744
 2,900 Syniverse Holdings, Inc.(a) 46,980
 14,400 TW Telecom, Inc.(a) 230,832
 6,300 Telephone & Data Systems, Inc. 297,801
 2,900 Telephone & Data Systems, Inc. (Special Shares) 127,890
 200 Telular Corp.(a) 764
 5,100 TerreStar Corp.(a) 20,298
 2,700 Terremark Worldwide, Inc.(a) 14,742
 1,600 U.S. Cellular Corp.(a) 90,480
 3,600 USA Mobility, Inc. 27,180
 10,500 UTStarcom, Inc.(a),(b) 57,435
 29,055 Virgin Media, Inc. 395,439
 5,800 Virgin Mobile USA, Inc.(a) 15,950
 11,300 Vonage Holdings Corp.(a),(b) 18,758
 1,500 Warwick Valley Telephone Co. 15,840
 ------------
 5,946,569
 ------------
 TIRES & RUBBER GOODS - 0.1%
 200 American Biltrite, Inc.(a) 900
 6,000 Carlisle Cos., Inc. 174,000
 6,400 Cooper Tire & Rubber Co. 50,176
 1,000 SRI/Surgical Express, Inc.(a) 3,250
 400 Synergetics USA, Inc.(a) 1,056
 ------------
 229,382
 ------------
 TOBACCO - 0.1%
 6,500 Alliance One International, Inc.(a) 33,215
 2,000 M&F Worldwide Corp.(a) 78,620
 900 Schweitzer-Mauduit International, Inc. 15,165
 2,745 Universal Corp. 124,129
 4,297 Vector Group Ltd.(b) 69,311
 ------------
 320,440
 ------------
 TRAVEL & RECREATION - 1.2%
 100 Aldila, Inc. 573
 4,038 All-American SportPark, Inc.(a) 686
 2,500 Ambassadors Group, Inc. 37,300
 800 Amerco, Inc.(a) 38,144
 100 American Classic Voyages Co.(a) -
 2,500 Ameristar Casinos, Inc. 34,550

S C H E D U L E

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of INVESTMENTS

(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 4,200 Bally Technologies, Inc. $ 141,960
 6,200 Boyd Gaming Corp.(b) 77,872
 9,600 Brunswick Corp. 101,760
 6,000 CKX, Inc.(a) 52,500
 6,800 Callaway Golf Co. 80,444
 3,500 Cedar Fair, LP 65,765
 3,400 Choice Hotels International, Inc. 90,100
 8,700 Dick's Sporting Goods, Inc.(a) 154,338
 2,100 Dollar Thrifty Automotive Group, Inc.(a) 19,845
 3,316 Dover Downs Gaming & Entertainment, Inc. 21,289
 3,300 Elixir Gaming Technologies, Inc.(a) 3,960
 5,300 Empire Resorts, Inc.(a),(b) 15,529
 1,000 Full House Resorts, Inc.(a) 2,090
 1,800 Great Wolf Resorts, Inc.(a) 7,866
 3,800 Interstate Hotels & Resorts, Inc.(a) 9,842
 10,300 Las Vegas Sands Corp.(a),(b) 488,632
 3,300 Life Time Fitness, Inc.(a),(b) 97,515
 1,100 Lodgian, Inc.(a) 8,613
 9,410 MGM Mirage(a) 318,905
 2,100 MTR Gaming Group, Inc.(a) 10,017
 1,500 Marcus Corp. 22,425
 700 Marine Products Corp. 4,620
 1,600 Monarch Casino & Resort, Inc.(a) 18,880
 3,800 Morgans Hotel Group Co.(a) 39,140
 1,900 Multimedia Games, Inc.(a),(b) 8,398
 4,800 Orbitz Worldwide, Inc.(a) 24,048
 4,000 Orient Express Hotels Ltd. Class A 173,760
 4,300 Pinnacle Entertainment, Inc.(a) 45,107
 4,650 Pool Corp.(b) 82,584
 3,700 Premier Exhibitions, Inc.(a) 16,798
 2,300 President Casinos, Inc.(a) 276
 6,700 Progressive Gaming International Corp.(a) 8,375
 500 Red Lion Hotels Corp.(a) 3,985
 900 Rick's Cabaret International, Inc.(a) 15,111
 13,200 Royal Caribbean Cruises Ltd. 296,604
 7,300 Scientific Games Corp. Class A(a) 216,226
 4,243 Shuffle Master, Inc.(a) 20,960
 6,600 Silverleaf Resorts, Inc.(a) 14,124
 11,700 Six Flags, Inc.(a),(b) 13,455
 200 Sonesta International Hotels Corp. Class A 5,016
 1,500 Speedway Motorsports, Inc. 30,570
 2,300 Sport Supply Group, Inc. 23,621
 700 Town Sports International Holdings, Inc.(a) 6,538
 2,260 TravelCenters of America LLC(a) 5,130
 1,100 Travelzoo, Inc.(a) 9,427
 3,400 Vail Resorts, Inc.(a) 145,622
 4,600 WMS Industries, Inc.(a) 136,942
 6,100 Wynn Resorts Ltd. 496,235
 ------------
 3,764,072
 ------------
 TRUCKING & FREIGHT - 0.7%
 2,500 Arkansas Best Corp. 91,600
 1,488 BancTrust Financial Group, Inc. 9,806
 1,725 Celadon Group, Inc.(a) 17,233
 4,400 Con-way, Inc. 207,944
 2,700 Covenant Transport Group Class A(a) 9,045
 3,000 Forward Air Corp. 103,800
 1,900 Frozen Food Express Industries, Inc. 12,825
 3,000 HUB Group, Inc. Class A(a) 102,390
 7,108 Heartland Express, Inc. 105,980
 10,400 Hythiam, Inc.(a),(b) 25,168
 10,600 J.B. Hunt Transport Services, Inc. 352,768
 4,900 Knight Transportation, Inc.(b) 89,670
 5,300 Landstar System, Inc. 292,666
 1,237 Marten Transport Ltd.(a) 19,755
 3,162 Old Dominion Freight Line, Inc.(a) 94,923
 400 P.A.M. Transportation Services, Inc.(a) 4,260
 3,900 Pacer International, Inc. 83,889
 1,500 Quality Distribution, Inc.(a) 3,630
 1,400 TAL International Group, Inc. 31,836
 700 USA Truck, Inc.(a) 8,421
 7,400 UTI Worldwide, Inc. 147,630
 900 Universal Truckload Services, Inc.(a) 19,818
 1,800 Wabash National Corp. 13,608

S C H E D U L E

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 SHARES
 HELD INDUSTRY/ISSUE VALUE
---------------------------------------------------------------------------------
 5,200 Werner Enterprises, Inc. $ 96,616
 5,729 YRC Worldwide, Inc.(a),(b) 85,190
 ------------
 2,030,471
 ------------
 TOTAL COMMON STOCKS - 97.3% 297,130,706
 ------------

 PREFERRED STOCK

 DRUGS & MEDICINE - 0.0%
 193 Inverness Medical Innovations, Inc. Series B, 3%(g) 45,741
 ------------
 TOTAL PREFERRED STOCK - 0.0% 45,741
 ------------

 RIGHTS

 MISCELLANEOUS FINANCE - 0.0%
 2,833 Guaranty Financial Group, Inc.(h) 368
 ------------
 TOTAL RIGHTS- 0.0% 368
 ------------

 WARRANTS(i)
 BUSINESS MACHINES - 0.0%
 2 Lantronix, Inc. (expires 2/09/11) -
 ------------
 MOTOR VEHICLES - 0.0%
 249 Federal-Mogul Corp. Class A (expires 12/27/14) 349
 ------------
 TOTAL WARRANTS - 0.0% 349
 ------------

 OTHER INTERESTS(j)

 DRUGS & MEDICINE - 0.0%
 700 Tripos, Inc. Liquidating Trust(a),(f) -
 ------------
 ENERGY & UTILITIES - 0.0%
 600 PetroCorp Inc. (Escrow Shares)(a),(f) -
 ------------
 TOTAL OTHER INTERESTS - 0.0% -
 ------------
 TOTAL LONG-TERM INVESTMENTS
 (Cost - $261,101,872) - 97.3% 297,177,164
 ------------
BENEFICIAL
 INTEREST
----------
 SHORT-TERM SECURITIES
$ 7,046 BlackRock Liquidity Series, LLC Cash Sweep
 Series, 2.56%(e),(k) 7,045,542
 29,286 BlackRock Liquidity Series, LLC Money Market
 Series, 2.70%(e),(k),(l) 29,285,620
 ------------
 TOTAL SHORT-TERM SECURITIES
 (Cost - $36,331,162) - 11.9% 36,331,162
 ------------
TOTAL INVESTMENTS

 (Cost - $297,433,034*) - 109.2% 333,508,326
 ------------
 LIABILITIES IN EXCESS OF OTHER ASSETS - (9.2%) (28,114,613)
 ------------
 NET ASSETS - 100.0% $305,393,713
 ============

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

Aggregate cost $298,414,675
 ============
Gross unrealized appreciation $ 77,863,833
Gross unrealized depreciation (42,770,182)
 ------------
Net unrealized appreciation $ 35,093,651
 ============

(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) Depositary receipts.
(e) 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:

S C H E D U L E

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

 INTEREST/
 PURCHASE SALE REALIZED DIVIDEND
AFFILIATE COST COST GAIN (LOSS) INCOME
----------------------------------------------------------------------------------------------------
Anthracite Capital, Inc. $ 13,439 $ 5,153 $ (2,250) $ 3,209
BlackRock, Inc. $174,925 $ 1,017,748 $444,397 $ 13,650
BlackRock Liquidity
 Series, LLC Cash
 Sweep Series $ - $ 2,232,404* $ - $120,029
BlackRock Liquidity
 Series, LLC Money
 Market Series $ - $16,298,276* $ - $310,707

* Represents net sales cost.
(f) Security is fair valued.
(g) Convertible security.
(h) The right may be exercised until 7/21/08.
(i) 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.
(j) "Other interests" represent beneficial interest in liquidation trusts and other reorganization entities and are non-income-producing.
(k) Represents the current yield as of report date.
(l) Security was purchased with the cash proceeds from securities loans.
o For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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 June 30, 2008,were as follows:

NUMBER OF EXPIRATION FACE UNREALIZED
CONTRACTS ISSUE DATE VALUE DEPRECIATION
-----------------------------------------------------------------------------
 28 Russell 2000 Index September 2008 $2,003,644 $ (66,884)
 71 S&P 400 Midcap Index September 2008 6,102,223 (271,703)
 ----------
TOTAL $(338,587)
 ==========

o Effective January 1, 2008, the Series adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of 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 securities
o Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Series' own assumption 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 June 30, 2008, in determining the fair valuation of the Series' investments:

VALUATION INVESTMENTS IN OTHER FINANCIAL
INPUTS SECURITIES INSTRUMENTS*
-------------------------------------------------------------
Level 1 $297,172,375 $(338,587)
Level 2 36,335,951 -
Level 3 - -
 -------------------------------------
Total $333,508,326 $(338,587)
 =====================================

* Other financial instruments are futures.

SEE NOTES TO FINANCIAL STATEMENTS.

S C H E D U L E

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
PORTFOLIO INFORMATION AS OF JUNE 30, 2008 (UNAUDITED)

 INDUSTRY
REPRESENTATION % OF NET ASSETS(1)
--------------------------------------------------------------
Miscellaneous Finance 10%
Business Services 10
Drugs & Medicine 9
Electronics 8
Energy & Raw Materials 6
Domestic Oil 6
Producer Goods 5
Energy & Utilities 5
Real Property 5
Insurance 3
Banks 3
Chemicals 2
Retail 2
Food & Agriculture 2
Construction 2
Media 2
Telephone 2
Non-Durables 2
Travel & Recreation 1
Business Machines 1
Motor Vehicles 1
Non-Ferrous Metals 1
Aerospace 1
Apparel 1
Steel 1
Railroads & Shipping 1
Trucking & Freight 1
Containers 1
Miscellaneous 1
Paper & Forest Products 1
Consumer - Durables 1
Other(2) 12

(1) Total may not equal 100%.

(2) Includes portfolio holdings in short-term investments.

For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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.

SEE NOTES TO FINANCIAL STATEMENTS.

S T A T E M E N T

==================--------------------------------------------------------------
of ASSETS and LIABILITIES

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

ASSETS:
 Investments at value - unaffiliated (including
 securities loaned of $27,807,440) (cost - $260,918,828) $296,799,328
 Investments at value - affiliated (cost - $36,514,206) 36,708,998
 Investments sold receivable 1,386,597
 Contributions receivable from the Investors 59,137
 Dividends receivable 242,913
 Securities lending income receivable 44,773
 Prepaid expenses 9,908
 Other assets 13,604
 ------------
 Total assets 335,265,258
 ------------
LIABILITIES:
 Collateral on securities loaned at value 29,285,620
 Bank overdraft 394,413
 Investments purchased payable 144,431
 Margin variation payable 28,520
 Investment advisory fees payable 6,295
 Other liabilities payable 4,244
 Other affiliates payable 2,434
 Officer's and Directors' fees payable 58
 Other accrued expenses payable 5,530
 ------------
Total liabilities 29,871,545
 ------------
Net assets $305,393,713
 ============
NET ASSETS CONSIST OF:
 Investors' capital $269,657,008
 Net unrealized appreciation/depreciation 35,736,705
 ------------
Net assets $305,393,713
 ============

SEE NOTES TO FINANCIAL STATEMENTS.

S T A T E M E N T

==================--------------------------------------------------------------
of OPERATIONS

MASTER EXTENDED MARKET INDEX SERIES
SIX-MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)

INVESTMENT INCOME
 Dividends (net of $1,551 foreign withholding tax and
 including $16,859 from affiliates) $ 1,732,213
 Interest from affiliates 120,029
 Securities lending 310,707
 ------------
Total income 2,162,949
 ------------
EXPENSES
 Custodian $ 50,324
 Accounting services 34,679
 Professional 28,748
 Investment advisory 15,193
 Officer and Directors 9,145
 Printing 6,392
 Miscellaneous 3,888
 ------------
 Total expenses 148,369
 Less fees paid indirectly (82)
 ------------
Total expenses after fees paid indirectly 148,287
 ------------
 Net investment income 2,014,662
 ------------
REALIZED & UNREALIZED GAIN (LOSS)
 Net realized gain from:
 Investments (including $442,147 from affiliates) 8,695,360
 Futures 263,003 8,958,363
 ------------
 Net change in unrealized appreciation/depreciation on:
 Investments (37,669,134)
 Futures (374,222) (38,043,356)
 ------------ ------------
Total realized and unrealized loss (29,084,993)
 ------------
Net decrease in net assets resulting from operations $(27,070,331)
 ============

SEE NOTES TO FINANCIAL STATEMENTS.

S T A T E M E N T S

====================------------------------------------------------------------ of Changes in NET ASSETS

MASTER EXTENDED MARKET INDEX SERIES
SIX-MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED),
AND YEAR ENDED DECEMBER 31, 2007

INCREASE (DECREASE) IN NET ASSETS: 6/30/2008 12/31/2007
 ----------------------------------
OPERATIONS:
 Net investment income $ 2,014,662 $ 4,968,923
 Net realized gain 8,958,363 17,639,615
 Net change in unrealized appreciation/depreciation (38,043,356) (4,537,443)
 ----------------------------------
Net increase (decrease) in net assets resulting
 from operations (27,070,331) 18,071,095
 ----------------------------------
CAPITAL TRANSACTIONS:
 Proceeds from contributions 57,168,459 120,701,475
 Fair value of withdrawals (41,463,941) (146,355,748)
 ----------------------------------
Net increase (decrease) in net assets derived from capital
 transactions 15,704,518 (25,654,273)
 ----------------------------------
NET ASSETS:
 Total decrease in net assets (11,365,813) (7,583,178)
 Beginning of period 316,759,526 324,342,704
 ----------------------------------
 End of period $305,393,713 $ 316,759,526
 ==================================

SEE NOTES TO FINANCIAL STATEMENTS.

F I N A N C I A L

==================--------------------------------------------------------------
HIGHLIGHTS

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

The following ratios have been derived from information provided in the financial statements.

 SIX-MONTHS
 ENDED
 JUNE 30, YEAR ENDED DECEMBER 31,
 ----------------------------------------------------------------------------
 2008 2007 2006 2005 2004 2003
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TOTAL INVESTMENT RETURN:
Total investment return (8.38%)(1) 5.22% 15.92% 10.58% 18.43% 44.11%

RATIOS TO AVERAGE NET ASSETS:
Total expenses after fees paid indirectly 0.10%(2) 0.08% 0.08% 0.07% 0.09% 0.12%
Total expenses 0.10%(2) 0.08% 0.08% 0.07% 0.09% 0.13%
Net investment income 1.32%(2) 1.33% 1.66% 1.25% 1.08% 1.09%

SUPPLEMENTAL DATA:
Net assets, end of period (000) $305,394 $316,760 $324,343 $252,955 $217,991 $172,482
Portfolio turnover 21% 33% 24% 18% 23% 15%

(1) Aggregate total investment return.
(2) Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

(1) SIGNIFICANT ACCOUNTING POLICIES

Master Extended Market Index Series (the "Series"), a diversified management investment company, is part of Quantitative Master Series LLC (the "Master LLC"). The Master LLC is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), and is organized as a Delaware limited liability company. The Master LLC's Limited Liability Company Agreement permits the Directors to issue non-transferable interests, subject to certain limitations. The Series' financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates.

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

A. VALUATION OF INVESTMENTS - Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. Financial futures contracts traded on exchanges are valued at their last sale price. Short-term securities are valued at amortized cost. Investments in open-end investment companies are valued at net asset value each business day.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment, the investment will be valued by a method approved by the Board of Directors (the "Board") as reflecting fair value ("Fair Value Assets"). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor seeks to determine

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

the price that the Series might reasonably expect to receive from the current sale of that asset in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

B. DERIVATIVE FINANCIAL INSTRUMENTS - The Series may engage in various portfolio investment strategies to increase the return of the Series and to hedge, or protect, its exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security, or if the counterparty does not perform under the contract.

1. FINANCIAL FUTURES CONTRACTS - The Series may purchase or sell financial or index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Upon entering into a contract, the Series deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Series agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recognized by the Series as unrealized gains or losses.

C. PREFERRED STOCK - The Series may invest in preferred stocks.
Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer's board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

D. SEGREGATION - In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission ("SEC") require that the Series segregate assets in connection with certain investments (e.g., futures contracts), the Series will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

E. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME - Investment

transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recognized on the accrual basis. The Series amortizes all premiums and discounts on debt securities.

F. INCOME TAXES - The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. Under applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates. It is intended that the Series' assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series' U.S. federal tax returns remains open for the years ended December 31, 2004, through December 31, 2006. The statutes of limitations on the Series' state and local tax returns may remain open for an additional year depending upon the jurisdiction.

G. RECENT ACCOUNTING PRONOUNCEMENT - In March 2008, Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities - an amendment of FASB Statement No. 133" ("FAS 161") was issued and is effective for fiscal years beginning after November 15, 2008. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position. The impact on the Series' financial statement disclosures, if any, is currently being assessed.

H. SECURITIES LENDING - The Series may lend securities to financial institutions that provide cash or securities issued or guaranteed by the U.S. government as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. The Series typically receives the income on the loaned securities, but does not receive the income on the collateral. Where the Series receives cash collateral, it may invest such collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. The Series may receive a flat fee for its loans.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. The Series may pay reasonable lending agent, administrative and custodial fees in connection with its loans. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss where the value of the collateral falls below the market value of the borrowed securities, in the event of borrower default or in the event of losses on investments made with cash collateral.

I. BANK OVERDRAFT - The Series recorded a bank overdraft, which resulted from a failed trade that settled the next day.

J. OTHER - Expenses directly related to the Series are charged to that Series. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods.

(2) INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

The Master LLC, on behalf of the Series, has entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the "Advisor"), an indirect, wholly owned subsidiary of BlackRock, Inc., to provide investment advisory and administration services. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC Financial Services Group, Inc. are principal owners of BlackRock, Inc.

The Advisor is responsible for the management of the Series' portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

services, the Series pays the Advisor a monthly fee at an annual rate of 0.01% of the average daily value of the Series' net assets.

The Advisor has entered into a separate sub-advisory agreement with BlackRock Investment Management, LLC ("BIM"), an affiliate of the Advisor, under which the Advisor pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by the Series to the Advisor.

For the six months ended June 30, 2008, the Series reimbursed the Advisor $2,216 for certain accounting services, which is included in accounting services in the Statement of Operations.

Pursuant to the terms of the custody agreement, custodian fees may be reduced by amounts calculated on uninvested cash balances ("custody credits"), which are on the Statement of Operations as fees paid indirectly.

The Master LLC, on behalf of the Series, has received an exemptive order from the SEC permitting the Series to lend its portfolio securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned subsidiary of Merrill Lynch, or its affiliates. As of June 30, 2008, the Series lent securities with a value of $1,007,154 to MLPF&S, or its affiliates. Pursuant to that order, the Master LLC has retained BIM as the securities lending agent for a fee based on a share of the returns on investment of cash collateral. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Advisor or in registered money market funds advised by the Advisor or its affiliates. For the six months ended June 30, 2008, BIM received $76,211 in securities lending agent fees.

In addition, MLPF&S received $1,975 in commissions on the execution of portfolio security transactions for the Series for the six months ended June 30, 2008.

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

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

(3) INVESTMENTS

Purchases and sales of investments, excluding short-term securities, for the six months ended June 30, 2008, were $74,708,052 and $63,452,345, respectively.

(4) SHORT-TERM BORROWINGS

The Master LLC, on behalf of the Series, along with certain other funds managed by the Advisor and its affiliates, is a party to a $500,000,000 credit agreement with a group of lenders. The Series may borrow under the credit agreement to fund shareholder redemptions and for other lawful purposes other than for leverage. The Series may borrow up to the maximum amount allowable under the Series' current prospectus and statement of additional information, subject to various other legal, regulatory or contractual limits. On November 21, 2007, the credit agreement was renewed for one year under substantially the same terms. The Series pays a commitment fee of 0.06% per annum based on the Series' pro rata share of the unused portion of the credit agreement. Amounts borrowed under the credit agreement bear interest at a rate equal to, at each fund's election, the federal funds rate plus 0.35% or a base rate as defined in the credit agreement. The Series did not borrow under the credit agreement during the six months ended June 30, 2008.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUBADVISORY AGREEMENT APPROVAL

The Board of Directors (the "Board," the members of which are referred to as "Directors") of Quantitative Master Series LLC (the "Master LLC") met in person in April and June 2008 to consider the approval of the investment advisory agreement between the Master LLC and BlackRock Advisors, LLC (the "Adviser") with respect to Master Extended Market Index Series (the "Portfolio") (the "Advisory Agreement"). The Board also considered the approval of the subadvisory agreement with respect to the Portfolio between the Adviser and BlackRock Investment Management, LLC (the "Subadviser") (the "Subadvisory Agreement"). The Adviser and the Subadviser are referred to herein as "BlackRock." The Advisory Agreement and the Subadvisory Agreement are referred to herein as the "Agreements."

ACTIVITIES AND COMPOSITION OF THE BOARD

The Board consists of thirteen individuals, eleven of whom are not "interested persons" as defined in the Investment Company Act of 1940, as amended (the "1940 Act") (the "Independent Directors"). The Directors are responsible for the oversight of the operations of the Portfolio and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Directors have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are both Independent Directors. The Board established four standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee and a Performance Oversight Committee, each of which is composed of, and chaired by Independent Directors.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

THE AGREEMENTS

Upon the consummation of the combination of BlackRock's investment management business with Merrill Lynch & Co., Inc.'s investment management business, including Merrill Lynch Investment Managers, L.P. and certain affiliates (the "Transaction"), the Master LLC entered into an Advisory Agreement with the Adviser with respect to the Portfolio with an initial two-year term and the Adviser entered into a Subadvisory Agreement with respect to the Portfolio with the Subadviser with an initial two-year term. Consistent with the 1940 Act, prior to the expiration of each Agreement's initial two-year term, the Board is required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Portfolio by the personnel of BlackRock and its affiliates, including investment management, administrative services, shareholder services, oversight of fund accounting and custody, marketing services and assistance in meeting legal and regulatory requirements. The Board also received and assessed information regarding the services provided to the Portfolio by certain unaffiliated service providers.

Throughout the year, the Board, acting directly and through its committees, considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the Portfolio's Agreements, including the services and support provided to the Portfolio and its shareholders. Among the matters the Board considered were:(a) investment performance for one, three and five years, as applicable, against peer funds, as well as senior management's and portfolio managers' analysis of the reasons for underperformance, if applicable; (b) fees, including advisory, administration, if applicable, and other fees paid to BlackRock and its affiliates by the Portfolio, such as transfer agency fees and fees for marketing and distribution; (c) the Portfolio's operating expenses; (d) the resources devoted to and compliance reports relating to the Portfolio's investment objective, policies and restrictions, (e) the Master LLC's compliance with their Codes of Ethics and

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock's and other service providers' internal controls; (h) BlackRock's implementation of the proxy voting guidelines approved by the Board; (i) the use of brokerage commissions and spread and execution quality; (j) valuation and liquidity procedures; and (k) periodic overview of BlackRock's business, including BlackRock's response to the increasing scale of its business.

BOARD CONSIDERATIONS IN APPROVING THE AGREEMENTS

THE APPROVAL PROCESS. Prior to the April 16, 2008 Board meetings at which approval of the Agreements was to be considered, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in an ongoing process with BlackRock to continuously review the nature and scope of the information provided to better assist its deliberations. These materials included
(a) information independently compiled and prepared by Lipper, Inc. ("Lipper") on the Portfolio's fees and expenses as compared with a peer group of funds as determined by Lipper ("Peers"); (b) information compiled by the Adviser regarding the investment performance of the Portfolio as compared with its benchmark index; (c) information on the profitability of the Agreements to BlackRock and certain affiliates, including their other relationships with the Portfolio, and a discussion of fall-out benefits; (d) a general analysis provided by BlackRock concerning investment advisory fees charged to other clients, such as institutional and closed-end funds under similar investment mandates, as well as the performance of such other clients; (e) a report on economies of scale; and (f) sales and redemption data regarding the Portfolio's shares. At the April 16, 2008 meeting, the Board requested and subsequently received from BlackRock (i) comprehensive analysis of total expenses on a fund-by-fund basis; (ii) further analysis of investment performance; (iii) further data regarding the Portfolio's profitability, the Portfolio's size and the Portfolio's fee levels; and (iv) additional information on sales and redemptions.

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to the distribution of the Portfolio's shares, services related to the valuation and pricing of portfolio holdings of the Portfolio, allocation of Portfolio's brokerage fees (including the benefits of "soft dollars"), and direct and indirect benefits to BlackRock and its affiliates from their relationship with the Master
LLC. The Board did not identify any particular information as controlling, and each Director may have attributed different weights to the various items considered.

At an in-person meeting held on April 16, 2008, the Board discussed and considered the materials provided. As a result of the discussions that occurred during the April 16, 2008 meeting, the Board requested and BlackRock provided the additional information, as detailed above, in advance of the June 3-4, 2008 Board meetings. At an in-person meeting held on June 3-4, 2008, the Board, including the Independent Directors, unanimously approved the continuation of (a) the Advisory Agreement between the Adviser and the Master LLC with respect to the Portfolio for a one-year term ending June 30, 2009 and (b) the Subadvisory Agreement between the Adviser and the Subadviser with respect to the Portfolio for a one-year term ending June 30, 2009. The Board considered all factors it believed relevant with respect to the Portfolio, including, among other factors: (i) the nature, extent and quality of the services provided by BlackRock; (ii) the investment performance of the Portfolio and BlackRock portfolio management; (iii) the advisory fee and the cost of the services and profits to be realized by BlackRock and certain affiliates from the relationship with the Portfolio; and (iv) economies of scale.

A. NATURE, EXTENT, AND QUALITY OF SERVICES. The Board, including the Independent Directors, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. The Board compared the Portfolio's performance to the performance of the Wilshire 4500 (Full Cap) Index, its benchmark index. The Board

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MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

met with BlackRock's senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Portfolio's portfolio management team discussing the Portfolio performance and the Portfolio's investment objective, strategies and outlook.

The Board considered, among other factors, the size and experience of BlackRock's investment personnel generally, and of the Portfolio's portfolio management team; BlackRock's portfolio trading capabilities; BlackRock's use of technology; BlackRock's commitment to compliance; and BlackRock's approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also reviewed BlackRock's compensation structure with respect to the portfolio management teams of the Portfolio and BlackRock's ability to attract and retain high-quality talent.

In addition to advisory services, the Board considered the quality of the administrative and non-investment advisory services provided to the Portfolio. BlackRock and its affiliates provide the Portfolio with certain administrative, transfer agency, shareholder and other services (in addition to any such services provided to the Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Portfolio. In addition to investment advisory services, BlackRock and its affiliates provide the Portfolio with other services, including (a) preparing disclosure documents, such as the prospectus, the statement of additional information and shareholder reports; (b) assisting with daily accounting and pricing; (c) overseeing and coordinating the activities of other service providers;
(d) organizing Board meetings and preparing the materials for such Board meetings; (e) providing legal and compliance support; and (f) performing other administrative functions necessary for the operation of the Portfolio, such as tax reporting and fulfilling regulatory filing requirements. The Board reviewed the structure and duties of BlackRock's fund administration, accounting, legal and compliance departments.

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

B. THE INVESTMENT PERFORMANCE OF THE PORTFOLIO AND BLACKROCK. The Board, including the Independent Directors, also reviewed and considered the performance history of the Portfolio. In preparation for the April 16, 2008 meeting, the Board was provided with information compiled by the Adviser comparing the Portfolio's performance for the one-, three- and five-year periods with its benchmark index. The Board regularly reviews the performance of the Portfolio throughout the year. The Board attaches more importance to performance over relatively long periods of time, typically three to five years.

The Board noted that the Portfolio's investment performance in the three- and five-year periods reported was better than the investment performance of the Wilshire 4500 (Full Cap) Index, its benchmark index.

C. CONSIDERATION OF THE ADVISORY FEES AND THE COST OF THE SERVICES AND PROFITS TO BE REALIZED BY BLACKROCK AND ITS AFFILIATES FROM THE RELATIONSHIP WITH THE PORTFOLIO. The Board, including the Independent Directors, reviewed the Portfolio's contractual advisory fee rates compared with the other funds in its Lipper category. It also compared the Portfolio's total expenses to those of other comparable funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Board received and reviewed statements relating to BlackRock's financial condition and profitability with respect to the services it provided to the Portfolio. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock and certain affiliates that provide services to the Portfolio. The Board reviewed BlackRock's profitability with respect to the Portfolio and each fund the Board currently oversees for the year ended December 31, 2007 compared to aggregated profitability data provided for the year ended December 31, 2005.

In addition, the Board considered the cost of the services provided to the Portfolio by BlackRock, and BlackRock's and its affiliates' profits

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

relating to the management and distribution of the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock's methodology in allocating its costs to the management of the Portfolio and concluded that there was a reasonable basis for the allocation. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that are expected by the Board. The Board noted that the Portfolio paid contractual advisory fees, prior to any expense reimbursements, lower than or equal to the median of its Peers.

D. ECONOMIES OF SCALE. The Board, including the Independent Directors, considered the extent to which economies of scale might be realized as the assets of the Portfolio increase and whether there should be changes in the advisory fee rate or structure in order to enable the Portfolio to participate in these economies of scale. The Board, including the Independent Directors, considered whether the shareholders would benefit from economies of scale and whether there was potential for future realization of economies with respect to the Portfolio. The Board considered that the funds in the BlackRock fund complex share common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the anticipated efficiencies in the processes of BlackRock's overall operations as it continues to add personnel and commit capital to expand the scale of operations. The Board found, based on its review of comparable funds, that the Portfolio's management fee is appropriate in light of the scale of the Portfolio.

E. OTHER FACTORS. The Board also took into account other ancillary or "fall-out" benefits that BlackRock may derive from its relationship with the Portfolio, both tangible and intangible, such as BlackRock's ability

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(continued)

MASTER EXTENDED MARKET INDEX SERIES
JUNE 30, 2008 (UNAUDITED)

to leverage its investment professionals who manage other portfolios, an increase in BlackRock's profile in the investment advisory community, and the engagement of BlackRock's affiliates as service providers to the Portfolio, including for administrative, transfer agency and distribution services. The Board also noted that BlackRock may use third party research, obtained by soft dollars generated by transactions in the Portfolio, to assist itself in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock's brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution throughout the year.

CONCLUSION. The Board approved the continuation of (a) the Advisory Agreement between the Adviser and the Master LLC with respect to the Portfolio for a one-year term ending June 30, 2009; and (b) the Subadvisory Agreement between the Adviser and Subadviser with respect to the Portfolio for a one-year term ending June 30, 2009. Based upon its evaluation of all these factors in their totality, the Board, including the Independent Directors, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Portfolio and the Portfolio's shareholders. In arriving at a decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The Independent Directors were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Portfolio reflect the results of several years of review by the Directors and predecessor Directors, and discussions between the Directors (and predecessor Directors) and BlackRock (and predecessor advisers). Certain aspects of the arrangements may be the subject of more attention in some years than in others, and the Directors' conclusions may be based in part on their consideration of these arrangements in prior years.

 TRUSTEES Christopher W. Claus
 Barbara B. Dreeben
 Robert L. Mason, Ph.D.
 Barbara B. Ostdiek, Ph.D.
 Michael F. Reimherr
 Richard A. Zucker

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COPIES OF THE MANAGER'S PROXY VOTING POLICIES AND PROCEDURES, APPROVED BY THE TRUST'S BOARD OF TRUSTEES FOR USE IN VOTING PROXIES ON BEHALF OF THE FUND, ARE AVAILABLE WITHOUT CHARGE (I) BY CALLING (800) 531-USAA (8722); (II) AT USAA.COM; AND (III) ON THE SEC'S WEB SITE AT HTTP:// WWW.SEC.GOV. INFORMATION REGARDING HOW THE FUND VOTED PROXIES RELATING TO PORTFOLIO SECURITIES DURING THE MOST RECENT 12-MONTH PERIOD ENDED JUNE 30 IS AVAILABLE AT NO CHARGE (I) AT USAA.COM; AND (II) ON THE SEC'S WEB SITE AT HTTP://WWW.SEC.GOV.

THE FUND FILES ITS COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SEC FOR THE FIRST AND THIRD QUARTERS OF EACH FISCAL YEAR ON FORM N-Q. THESE FORMS N-Q ARE AVAILABLE (I) BY CALLING (800) 531-USAA (8722); (II) AT USAA.COM; AND (III) ON THE SEC'S WEB SITE AT HTTP://WWW.SEC.GOV. THESE FORMS N-Q ALSO MAY BE REVIEWED AND COPIED AT THE SEC'S PUBLIC REFERENCE ROOM IN WASHINGTON, D.C. INFORMATION ON THE OPERATION OF THE PUBLIC REFERENCE ROOM MAY BE OBTAINED BY CALLING (800) 732-0330.

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ITEM 2. CODE OF ETHICS.

NOT APPLICABLE. This item must be disclosed only in annual reports.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

NOT APPLICABLE. This item must be disclosed only in annual reports.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

NOT APPLICABLE. This item must be disclosed only in annual reports.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not Applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Filed as part of the report to shareholders.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not Applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The Corporate Governance Committee selects and nominates candidates for membership on the Board as independent directors. Currently, there is no procedure for shareholders to recommend candidates to serve on the Board.

ITEM 11. CONTROLS AND PROCEDURES

The principal executive officer and principal financial officer of USAA Mutual Funds Trust (Trust) have concluded that the Trust's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Trust in this Form N-CSR/S was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no significant changes or corrective actions with regard to significant deficiencies or material weaknesses in the Trust's internal controls or in other factors that could significantly affect the Trust's internal controls subsequent to the date of their evaluation. The only change to the procedures was to document the annual disclosure controls and procedures established for the new section of the shareholder reports detailing the factors considered by the Funds' Board in approving the Funds' advisory agreements.

ITEM 12. EXHIBITS.

(a)(1). NOT APPLICABLE. This item must be disclosed only in annual reports.

(a)(2). Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)(3). Not Applicable.

(b). Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b))is filed and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: USAA MUTUAL FUNDS TRUST, Period Ended June 30, 2008

By:* MARK S. HOWARD
 -----------------------------------------------------------
 Signature and Title: Mark S. Howard, Secretary

Date: AUGUST 22, 2008
 ------------------------------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:* CHRISTOPHER W. CLAUS
 -----------------------------------------------------
 Signature and Title: Christopher W. Claus, President

Date: AUGUST 26, 2008
 ------------------------------


By:* ROBERTO GALINDO, JR.
 -----------------------------------------------------
 Signature and Title: Roberto Galindo, Jr., Treasurer

Date: AUGUST 25, 2008
 ------------------------------

*Print the name and title of each signing officer under his or her signature.

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