The E*TRADE International Index Fund commenced operations on October 22, 1999.
This annual report contains audited financial statements for a period of less
than six months and, therefore, does not contain an analysis of the results of
operations for the period ended December 31, 1999. Relying on financial
statements reporting operating results for such a period is subject to inherent
limitations resulting from the shortness of the period.
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS - 92.6%
Australia - 2.1%
Amcor Ltd 13,309 $ 62,094
AMP Ltd 9,143 100,635
Brambles Industries Ltd 3,660 100,828
Broken Hill Proprietary Co Ltd 13,159 172,129
Coca Cola Amatil Ltd 11,578 31,499
Coles Myer Ltd 12,284 63,210
Foster's Brewing Group Ltd 21,861 62,479
Lend Lease Corp Ltd 4,064 56,719
National Australia Bank Ltd 7,300 111,239
News Corp Ltd 10,782 104,291
Rio Tinto Ltd 4,769 102,055
Telstra Corp Ltd 44,778 242,477
Westpac Banking Corp Ltd 10,566 72,605
WMC Ltd . 14,139 77,674
----------
$1,359,934
Austria - 0.2%
Bank Austria AG 1,209 68,188
*Oesterreichische Elektrizitaetswirtschafts
AG Class A 329 46,224
----------
$ 114,412
Belgium - 1.0%
Colruyt NV 640 36,741
Delhaize Le Lion SA 868 65,391
*Dolmen Computer Applications NV 64 1,934
Electrabel SA 261 85,432
Fortis Class B 4,239 152,927
Groupe Bruxelles Lambert SA 472 95,075
KBC Bancassurance Holding NV 1,573 84,757
PetroFina SA 1 393
Solvay SA 911 75,236
*Suez Lyonnaise des Eaux SA - Strip Vvpr 275 3
UCB SA 1,324 57,406
----------
$ 655,295
Denmark - 0.8%
A/S Dampskibsselskabet Svendborg Class B 70 116,526
Danisco A/S 500 19,489
Den Danske Bank Group 200 21,925
D/S 1912 Class B 90 105,970
Novo-Nordisk A/S Class B 500 66,316
Tele Danmark A/S 1,500 111,451
Unidanmark A/S 600 42,225
----------
$ 483,902
Finland - 2.7%
Nokia OYJ 7,400 1,341,525
Sonera Group OYJ 4,300 294,707
UPM-Kymmene OYJ 2,100 84,601
----------
$1,720,833
2
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
France - 9.1%
Accor SA 1,545 74,644
Air Liquide 447 74,823
Alcatel 1,139 261,549
Aventis SA 4,882 283,706
Axa UAP 1,883 262,471
Banque National de Paris 2,428 223,995
BIC SA 966 43,956
Bouygues SA 216 137,271
Canal Plus 827 120,356
Cap Gemini SA 493 125,124
Carrefour Supermarche SA 2,465 454,569
Compagnie de Saint Gobain 491 92,325
Compagnie Generale des Etablissements Michelin
Class B 1,100 43,207
Dassault Systemes SA 892 58,125
Eridania Beghin-Say SA 290 31,193
Essilor International SA 139 43,118
Etablissements Economiques du Casino
Guichard-Perrachon SA 521 59,661
France Telecom SA 5,961 788,276
Groupe Danone 289 68,110
Lafarge SA 642 74,746
Lagardere S.C.A. 954 51,884
L'OREAL 329 263,922
LVMH 577 258,427
Pernod Ricard 690 39,472
Pinault-Printemps-Redoute SA 601 158,588
PSA Peugeot Citroen 370 83,994
*Sanofi-Synthelabo SA 4,277 178,075
Schneider SA 1,017 79,842
SEITA 418 18,945
Societe Generale Class A 617 143,546
Sodexho Alliance SA 244 43,177
Suez Lyonnaise des Eaux SA 951 152,386
Thomson CSF 1,059 34,973
Total SA - Series B 4,324 577,027
Usinor SA 2,107 39,577
Valeo SA 578 44,591
Vivendi 3,078 277,916
----------
$5,767,567
3
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Germany - 9.4%
Adidas AG 450 33,683
AGIV AG 1,200 21,634
Allianz AG 1,295 435,623
BASF AG 3,550 185,562
Bayer AG 3,950 187,773
Beiersdorf AG 1,000 67,479
Continental AG 1,650 33,153
DaimlerChrysler AG 5,800 449,793
Deutsche Bank AG - Reg 3,338 281,523
Deutsche Lufthansa AG 2,520 59,643
Deutsche Telekom AG 17,881 1,257,911
Dresdner Bank AG 3,150 174,489
Heidelberger Zement AG 550 42,653
HypoVereinsbank 2,350 160,469
Karstadt AG 950 38,214
Linde AG 1,000 55,192
MAN AG 1,300 48,771
Mannesmann AG 3,000 731,192
Merck KGaA 1,450 45,271
Metro AG 1,700 91,429
Muenchener Rueckversicherungs-Gesellschaft AG 995 253,535
Preussag AG 1,725 95,640
RWE AG 2,400 95,478
SAP AG 360 176,936
Schering AG 540 65,263
Siemens AG 3,550 454,074
Thyssen Krupp AG 3,700 114,589
Veba AG 2,500 122,117
Viag AG 3,900 71,487
Volkswagen AG 1,950 109,529
----------
$5,960,105
Hong Kong - 2.0%
Cable & Wireless HKT Ltd 72,800 210,246
Cathay Pacific Airways 27,000 48,106
Cheung Kong Ltd 14,000 177,848
CLP Holdings Ltd 12,500 57,568
Hang Seng Bank Ltd 11,600 132,437
Hong Kong & China Gas Co Ltd 34,600 47,402
Hutchison Whampoa Ltd 21,000 305,269
New World Development Co Ltd 31,000 69,787
Sun Hung Kai Properties Ltd 15,000 156,300
Swire Pacific Ltd Class A 15,000 88,571
----------
$1,293,534
4
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Italy - 4.0%
Alitalia SpA 13,798 32,865
Assicurazioni Generali 5,917 195,465
Banca Intesa SpA 27,699 112,425
Benetton Group SpA 35,304 81,069
Beni Stabili SPA 6,022 2,123
*Enel SpA 42,894 179,713
ENI SpA 49,591 272,701
Fiat SpA 3,294 94,053
Italgas SpA 9,557 36,191
Mediaset SpA 9,818 152,674
Mediobanca Banca SpA 6,161 62,857
Montedison SpA 27,812 45,517
*Olivetti SpA 31,103 90,062
Pirelli SpA 20,465 56,166
Riunione Adriatica di Sicurta SpA 5,129 51,450
San Paolo - IMI SpA 6,772 92,008
Telecom Italia Mobile SpA RNC 10,820 51,544
Telecom Italia Mobile SpA 38,682 432,051
Telecom Italia SpA RNC 6,138 37,401
Telecom Italia SpA 21,848 308,059
Unicredito Italiano SpA 25,945 127,517
----------
$2,513,911
Japan - 25.5%
Acom Co Ltd 900 88,125
Advantest Corp 600 158,466
Ajinomoto Co 6,000 62,506
Alps Electric Co Ltd 2,000 30,500
Asahi Bank Ltd 18,000 110,927
Asahi Breweries Ltd 5,000 54,681
Asahi Chemical Industry Co Ltd 13,000 66,762
Asahi Glass Co Ltd 11,000 85,113
Bank of Tokyo-Mitsubishi Ltd 27,000 376,094
Bridgestone Corp 5,000 110,046
Canon Inc 6,000 238,286
Central Japan Railway Co 4 25,081
Credit Saison Co Ltd 1,600 27,859
Dai Nippon Printing Co Ltd 5,000 79,722
Daiichi Pharmaceutical Co Ltd 4,000 52,000
Daiwa House Industry Co Ltd 6,000 44,605
Daiwa Securities Co Ltd 9,000 140,771
Denso Corp 6,000 143,206
East Japan Railway Co 23 123,966
Eisai Co Ltd 3,000 57,664
Fanuc Ltd 1,600 203,619
Fuji Bank Ltd 21,000 203,981
Fuji Photo Film 3,000 109,459
Fujitsu Ltd 12,000 547,002
Gunma Bank Ltd 8,000 52,039
Hitachi Ltd 20,000 320,846
Honda Motor Co Ltd 6,000 223,027
Hoya Corp 1,000 78,744
Industrial Bank of Japan Ltd 17,000 163,797
5
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Itochu Corp 11,000 54,769
Ito-Yokado Co Ltd 2,000 217,157
Japan Airlines Co Ltd 17,000 50,386
Japan Tobacco Inc. 7 53,546
Joyo Bank Ltd 11,000 50,573
JUSCO Co Ltd 3,000 52,265
Kansai Electric Power Co Inc 3,900 67,944
Kao Corp 3,000 85,542
*Kawasaki Steel Corp 26,000 46,543
Kinden Corp 6,000 46,073
Kinki Nippon Railway Co Ltd 19,000 76,201
Kirin Brewery Co Ltd 7,000 73,609
Komatsu Ltd 11,000 50,573
Kubota Corp 17,000 65,020
Kuraray Co Ltd 7,000 70,869
Kyocera Corp 1,200 311,063
Marui Co Ltd 3,000 44,781
Matsushita Electric Industrial Co Ltd 11,000 304,510
Minebea Co Ltd 5,000 85,738
Mitsubishi Chemical Corp 17,000 59,866
Mitsubishi Corp 11,000 84,897
Mitsubishi Electric Corp 17,000 109,752
Mitsubishi Estate Co Ltd 9,000 87,773
Mitsubishi Heavy Industries Ltd 25,000 83,390
Mitsubishi Trust & Banking Corp 9,000 79,233
Mitsui Fudosan Co Ltd 8,000 54,153
Mitsui Marine & Fire Insurance Co Ltd 13,000 77,061
Mitsui & Co Ltd 10,000 69,940
Murata Manufacturing Co Ltd 2,000 469,529
NEC Corp 10,000 238,188
NGK Insulators Ltd 7,000 51,971
Nikon Corp 3,000 88,037
Nintendo Co Ltd 900 149,486
Nippon Express Co Ltd 12,000 66,322
Nippon Meat Packers Inc 3,000 38,883
Nippon Mitsubishi Oil Corp 18,000 79,232
Nippon Paper Industries Co 9,000 49,565
Nippon Steel Corp 43,000 100,530
Nippon Telegraph & Telephone Corp 720 1,232,515
Nippon Yusen Kabushiki Kaisha 17,000 69,510
*Nissan Motor Co Ltd 29,000 114,037
Nomura Securities Co Ltd 12,000 216,570
Obayashi Corp 10,000 47,246
OJI Paper Co Ltd 9,000 54,142
Olympus Optical Co Ltd 3,000 42,404
Orix Corp 500 112,589
Osaka Gas Co 19,000 45,720
Pioneer Electronic Corp 2,000 52,822
Rohm Co Ltd 1,000 410,838
Sakura Bank Ltd 26,000 150,563
Sankyo Co Ltd 3,000 61,626
Sanyo Electric Co Ltd 18,000 73,071
Secom Co Ltd 3,000 330,138
6
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Sekisui Chemical Co Ltd 8,000 35,450
Sekisui House Ltd 8,000 70,821
Seventy Seven Bank Ltd 6,000 62,858
Sharp Corp 7,000 179,057
Shimano Inc 2,200 38,736
Shimizu Corp 12,000 39,676
Shin-Etsu Chemical Co Ltd 3,000 129,121
Shiseido Co 4,000 58,300
Shizuoka Bank Ltd 6,000 61,508
SMC Corp 500 110,584
Softbank Corp 600 574,000
Sony Corp 2,400 711,337
Sumitomo Chemical Co Ltd 13,000 61,039
Sumitomo Corp 8,000 77,550
Sumitomo Electric Industries 6,000 69,314
Sumitomo Marine & Fire Insurance Co Ltd 9,000 55,463
*Sumitomo Metal Industries Ltd 43,000 32,388
Taisho Pharmaceutical Co Ltd 2,000 58,691
Takeda Chemical Industries 5,000 246,992
Takefuji Corp 900 112,599
Teijin Ltd 13,000 47,941
The Sumitomo Bank Ltd 18,000 246,326
Tohoku Electric Power Co Inc 3,500 52,039
Tokai Bank Ltd 15,000 94,493
Tokio Marine & Fire Insurance Co Ltd 10,000 116,893
Tokyo Electric Power Co Inc 5,900 158,134
Tokyo Electronics Ltd 1,000 136,946
Tokyo Gas Co 26,000 63,328
Toppan Printing Co Ltd 6,000 59,865
Toray Industries Inc 16,000 61,978
Toshiba Corporation 19,000 144,968
Tostem Corp 2,000 35,899
Toyo Seikan Kaisha Ltd 3,000 43,432
Toyota Motor Corp 22,000 1,065,244
Uni-Charm Corp 1,200 69,138
Uny Co Ltd 4,000 39,088
Yamanouchi Pharmaceutical Co Ltd 2,000 69,843
Yamato Transport Co Ltd 3,000 116,209
-----------
$16,244,903
7
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Netherlands - 5.3%
ABN AMRO Holding NV 8,062 201,367
Aegon NV 3,776 364,708
Akzo Nobel NV 1,998 100,212
*ASM Lithography Holding NV 921 102,313
Elsevier NV 5,202 62,137
Getronics NV 1,052 83,914
Hagemeyer NV 1,315 30,448
Heineken NV 1,873 91,339
ING Groep NV 4,977 300,455
Koninklijke Ahold NV 3,356 99,338
Koninklijke Philips Electonics NV 2,111 287,023
KPN NV 3,016 294,340
Royal Dutch Petroleum Co 12,877 789,168
STMicroelectronics 1,793 275,929
TNT Post Group NV 3,479 99,685
Unilever NV 2,845 157,135
Wolters Kluwer NV 1,869 63,248
----------
$3,402,759
New Zealand - 0.1%
Telecom Corp of New Zealand Ltd 19,400 $91,229
Norway - 0.3%
Norsk Hydro ASA 3,600 $151,039
Portugal - 0.5%
Banco Comercial Portugues SA Class R 6,505 36,099
Banco Espirito Santo e Comercial de Lisboa SA 1,927 54,148
Brisa - Auto Estradas de Portugal SA 2,566 19,693
EDP - Electricidade de Portugal SA 2,376 41,470
Jeronimo Martins SGPS SA 1,587 40,598
Portugal Telecom SA 10,730 117,686
----------
$309,694
Singapore - 1.0%
City Developments Ltd 11,000 64,395
DBS Group Holdings Ltd 8,652 141,819
Oversea-Chinese Banking Corp Ltd 10,350 95,079
Singapore Airlines Ltd 8,000 90,783
Singapore Press Holdings Ltd 3,000 65,026
Singapore Telecommunications Ltd 35,000 72,289
United Overseas Bank Ltd 9,392 82,896
----------
$612,287
8
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Spain - 2.7%
Acerinox SA 1,115 44,470
ACS Actividades de Construccion y Servicios SA 1,622 38,471
Argentaria Caja Postal y Banco Hipotecario
de Espana SA 3,057 71,830
Autopistas Concesionaria Espanola SA 4,519 43,920
Banco Bilbao Vizcaya SA 10,894 155,143
Banco Santander Central Hispano SA 22,756 257,607
*El Aguila SA 3,541 28,887
Endesa SA 4,743 94,153
Fomento de Construcciones y Contratas SA 2,015 40,994
Gas Natural SDG SA 2,762 63,619
Iberdrola SA 5,073 70,304
Repsol SA 8,980 208,198
Sociedad General de Aguas de Barcelona SA 4,260 62,383
Tabacalera SA Class A 3,278 46,880
*Telefonica SA 18,830 470,323
Union Electrica Fenosa SA 2,610 45,581
----------
$1,742,763
Sweden - 2.5%
Atlas Copco AB Class A 1,371 40,561
Electrolux AB Class B 2,300 57,899
ForeningsSparbanken AB 3,250 47,789
Hennes & Mauritz AB 4,900 164,275
*NetCom AB Class B 800 56,276
Sandvik AB Class A 1,690 52,980
Securitas AB Class B 3,200 57,970
Skandia Forsakrings AB 3,300 99,765
Skandinaviska Enskilda Banken Class A 4,600 46,536
Skanska AB Class B 2,000 74,579
Svenska Cellulosa AB Class B 1,633 48,408
Svenska Handelsbanken AB Class A 3,900 49,089
Telefonaktiebolaget LM Ericsson Class B 10,800 694,930
Volvo AB Class A 1,300 32,878
Volvo AB Class B 2,100 54,347
WM-Data AB Class B 700 43,313
----------
$1,621,595
Switzerland - 5.2%
ABB Ltd 2,434 297,715
Adecco SA 170 132,395
Alusuisse Lonza Group AG 130 95,855
Credit Suisse Group 1,650 327,990
Holderbank Financiere Glarus AG Class B 50 68,459
Nestle SA 200 366,411
Novartis AG - Registered Shares 390 572,679
Roche Holding AG 400 474,815
Roche Holding AG - Genusschein 80 130,637
Schweizerische Rueckversicherungs - Gesellschaft 85 174,623
Swisscom AG 480 194,146
UBS AG 1,240 334,883
Zurich Allied AG 290 165,381
----------
$3,335,989
9
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
United Kingdom - 18.1%
Abbey National PLC 7,724 123,488
Allied Zurich PLC 10,042 118,303
Anglian Water PLC 5,648 51,533
AstraZeneca Group PLC 10,326 428,229
BAA PLC 8,191 57,541
Barclay's PLC 8,798 253,186
Bass PLC 9,707 120,783
BG Group PLC 19,772 127,722
Blue Circle Industries PLC 10,660 61,930
BOC Group PLC 4,460 95,793
Boots Co PLC 6,439 62,599
BP Amoco PLC 113,914 1,145,155
British Aerospace PLC 18,426 122,000
British Airways PLC 9,194 59,983
British American Tobacco PLC 17,520 99,521
British Land Co PLC 6,198 41,038
British Sky Broadcasting Group PLC 10,938 176,021
British Telecommunications PLC 37,544 917,335
Cadbury Schweppes PLC 13,078 78,989
Carlton Communications PLC 9,082 88,440
Centrica PLC 30,100 85,309
CGU PLC 8,141 131,141
Compass Group PLC 6,377 87,535
Corus Group PLC 26,119 67,909
Diageo PLC 18,870 151,756
EMI Group PLC 8,265 81,085
GKN PLC 5,759 90,678
Glaxo Wellcome PLC 19,968 564,314
Granada Group PLC 14,395 145,873
Great Universal Stores PLC 8,221 48,060
Halifax PLC 13,330 147,780
Hanson PLC 6,654 55,770
Hays PLC 8,301 132,177
Hilton Group PLC 20,628 66,043
HSBC Holdings PLC 48,440 675,094
Imperial Chemical Industries PLC 6,385 67,590
Invensys PLC 23,986 130,537
J Sainsbury PLC 11,853 66,852
Kingfisher PLC 9,816 108,903
Land Securities PLC 4,622 51,801
Legal & General Group PLC 32,566 88,615
Lloyds TSB Group PLC 30,051 375,863
Marconi PLC 15,732 278,320
Marks & Spencer PLC 18,614 88,601
Misys PLC 4,973 77,499
National Grid Group PLC 10,120 76,975
National Power PLC 9,202 53,274
Pearson PLC 4,195 135,762
Peninsular & Orient Steam Navigation Co 6,331 105,614
Provident Financial PLC 4,229 47,806
Prudential Corp PLC 11,393 224,464
Railtrack Group PLC 3,840 64,493
10
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME SHARES VALUE
Rank Group PLC 15,380 48,681
Reed International PLC 9,067 67,867
Rentokil Initial PLC 20,364 74,241
Reuters Group PLC 9,327 127,954
Rio Tinto PLC 7,207 173,998
Royal Bank of Scotland Group PLC 6,640 117,738
Schroders PLC 2,406 48,413
Scottish Power PLC 11,125 84,260
SmithKline Beecham PLC 31,894 406,897
Smiths Industries PLC 4,815 71,926
Stagecoach Holdings PLC 18,678 48,111
Tate & Lyle PLC 7,013 45,075
Tesco PLC . 41,688 126,736
Thames Water PLC 4,284 53,409
TI Group PLC 6,991 53,627
Unilever PLC 15,447 113,627
United Utilities PLC 5,728 59,525
Vodafone AirTouch PLC 178,222 882,858
Williams PLC 7,599 34,575
Wolseley PLC 7,514 57,608
-----------
$11,500,208
Total Common Stocks (Cost $47,268,940) $58,881,959
PREFERRED STOCKS - 0.4%
Australia - 0.1%
News Corp Ltd 11,310 $96,527
Germany - 0.3%
SAP AG - Vorzug 250 150,821
Volkswagen AG 915 28,798
-----------
$179,619
Total Preferred Stocks (Cost $212,678) $276,146
CORPORATE BONDS - 0.0% Interest Rate Maturity Date Value
Principal United Kingdom - 0.0%
$2,000 BG Transco Holdings PLC 7.00% 12/16/2024 31
2,000 BG Transco Holdings PLC 7.06% 12/14/2009 33
2,000 BG Transco Holdings PLC 4.19% 12/14/2022 32
2,039 * British Aerospace PLC 7.45% 11/30/2003 34
-----------
$130
Total Corporate Bonds (Cost $0) $130
CORPORATE BONDS - 0.0% Interest Maturity Shares Value
Rate Date
SHORT TERM INSTRUMENTS - 6.4%
U.S. Treasury Bills - 6.4%
U.S. Treasury Bills ** 5.07% + 01/27/2000 4,116,000 $4,100,676
Total Short Term Instruments (Cost $4,101,067) $4,100,676
11
<PAGE>
MASTER INVESTMENT PORTFOLIO - INTERNATIONAL INDEX
MASTER PORTFOLIO - DECEMBER 31, 1999
Portfolio of Investments
SECURITY NAME Shares Value
TOTAL INVESTMENTS - 99.4%
++ (Cost $51,582,685) 63,258,911
Other assets less liabilities - 0.6% 363,742
-----------
TOTAL NET ASSETS - 100.0% $63,622,653
===========
- --------------------------------------------------------------------------------
ADR American Depositary Receipt
* Non-income producing security.
** These U.S. Treasury Bills are held in segregated accounts in connection with
the Master Portfolio's holdings of CAC 40 Index, DAX Index, FTSE 100 Index,
OMX Index and NIKKEI 300 Index futures contracts. See Note 1.
+ Yield to Maturity.
++ Cost for federal income tax purposes is $51,693,321 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $13,869,666
Gross Unrealized Depreciation (2,304,076)
-----------
Net Unrealized Appreciation $11,565,590
===========
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE INTERNATIONAL INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
- --------------------------------------------------------------------------------
ASSETS
INVESTMENTS -
Investment in International Index Master Portfolio,
at market value (Note 1) ...................................... $5,847,732
Receivables:
Receivable for fund shares sold .................................. 54,852
----------
TOTAL ASSETS ................................................ 5,902,584
----------
LIABILITIES
Payable for fund shares redeemed ................................. 660
Accrued administration fee (Note 2) .............................. 1,051
Accrued advisory fee (Note 2) .................................... 74
Distribution payable to shareholders ............................. 2,022
----------
Total Liabilities ................................................ 3,807
----------
TOTAL NET ASSETS ................................................. $5,898,777
==========
NET ASSETS CONSIST OF:
Paid-in capital .................................................. 5,457,196
Overdistributed net investment income ............................ (3,267)
Accumulated undistributed net realized
loss on sale of investments ................................... (585)
Undistributed net realized gain on futures contracts
and foreign currency exchange contracts transactions .......... 8,297
Net unrealized appreciation of investments ....................... 432,188
Net unrealized appreciation of futures contracts
and foreign currency exchange contracts .......................... 4,948
----------
TOTAL NET ASSETS ................................................. $5,898,777
==========
Shares Outstanding (unlimited authorized, par value $0.01) ....... 505,526
==========
Net Asset Value, Offering Price and Redemption Price per Share ... $11.67
==========
See accompanying notes to financial statements.
<PAGE>
E*TRADE INTERNATIONAL INDEX FUND
STATEMENT OF OPERATIONS
Period from October 22, 1999 (commencement of operations) to December 31, 1999
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME:
NET INVESTMENT INCOME FROM INTERNATIONAL INDEX MASTER PORTFOLIO
Dividends ......................................................$ 2,362
Interest ....................................................... 1,723
Expenses (Note 2) .............................................. (1,308)
--------
NET INVESTMENT INCOME FROM INTERNATIONAL INDEX MASTER PORTFOLIO ... 2,777
--------
EXPENSES (NOTE 2):
Advisory fee .......................................................... 101
Administration fee .................................................... 1,445
Trustee fees .......................................................... 33
--------
TOTAL EXPENSES BEFORE WAIVER OF TRUSTEE FEES ...................... 1,579
--------
Waived Trustee fees (Note 2) ................................... (33)
--------
NET EXPENSES .......................................................... 1,546
--------
NET INVESTMENT INCOME ................................................. 1,231
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES
CONTRACTS AND FOREIGN CURRENCY EXCHANGE CONTRACTS ALLOCATED
FROM INTERNATIONAL INDEX MASTER PORTFOLIO
Net realized loss on sale of investments .............................. (3,061)
Net realized gain on futures contracts and
foreign currency exchange contracts transactions .................. 8,297
Change in unrealized appreciation of investments ...................... 432,188
Change in unrealized appreciation of futures contracts
and foreign currency exchange contracts ........................... 4,948
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES
CONTRACTS AND FOREIGN CURRENCY EXCHANGE CONTRACTS ALLOCATED
FROM INTERNATIONAL INDEX MASTER PORTFOLIO ...................... 442,372
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................$443,603
========
See acompanying notes to financial statements.
<PAGE>
E*TRADE INTERNATIONAL INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Period from
October 22, 1999
(commencement of
operations ) to
December 31, 1999
-----------------
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income $ 1,231
Net realized loss on sale of investments (3,061)
Net realized gain on futures contracts and
foreign currency exchange contracts transactions 8,297
Change in unrealized appreciation of investments 432,188
Change in unrealized appreciation of futures contracts
and foreign currency exchange contracts 4,948
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 443,603
----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income (2,022)
----------
TRANSACTIONS IN SHARES OF COMMON STOCK:
Net proceeds from sales of shares 5,758,515
Net asset value of shares issued to shareholders in
reinvestment of distributions -
Cost of shares redeemed (302,157)
----------
NET INCREASE IN NET ASSETS FROM TRANSACTIONS IN SHARES
OF COMMON STOCK 5,456,358
----------
Redemption fees . 838
----------
Increase in Net Assets 5,898,777
==========
NET ASSETS:
Beginning of period -
----------
END OF PERIOD $5,898,777
==========
SHARE TRANSACTIONS:
Number of shares sold . 532,825
Number of shares issued through reinvestment of distributions . -
Number of shares redeemed (27,299)
----------
NET INCREASE IN SHARES OUTSTANDING . 505,526
==========
See accompanying notes to financial statements.
<PAGE>
E*TRADE INTERNATIONAL INDEX FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Period from
October 22, 1999
(commencement of
operations ) to
December 31, 1999
-----------------
FOR A SHARE OUTSTANDING FOR THE PERIOD (5)
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $10.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.00 (3)
Net realized and unrealized gain on investments and
futures contracts and foreign currency exchange
contracts allocated from International Index
Master Portfolio ...................................... 1.67
------
TOTAL INCOME FROM INVESTMENT OPERATIONS .................... 1.67
------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ................ (0.00) (3)
------
REDEMPTION FEES ADDED TO PAID IN CAPITAL ................... 0.00 (3)
------
NET ASSET VALUE, END OF PERIOD ............................. $11.67
======
TOTAL RETURN ............................................... 16.74% (1)
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000s omitted) ................ $5,899
Ratio of expenses to average net assets (5) ............. 0.55% (2)(4)
Ratio of net investment income to average net assets (5) 0.24% (2)
(1) For the period October 22, 1999 (commencement of operations) to December 31,
1999 and not indicative of a full year's operating results.
(2) Annualized.
(3) Rounds to less than $0.01.
(4) The Investment Advisor has voluntarily agreed to pay the non-affiliated
Trustee expenses for the Fund. Even though such action had been taken, total
annualized operating expenses as a percentage of average net assets would
have remained unchanged at 0.55% for the period October 22, 1999
(commencement of operations ) through December 31, 1999.
(5) Per share amounts and ratios reflect income and expenses assuming inclusion
of the Fund's proportionate share of the income and expenses of the
International Index Master Portfolio.
See accompying notes to financial statements.
<PAGE>
E*TRADE INTERNATIONAL INDEX FUND
NOTES TO THE FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. SIGNIFICANT ACCOUNTING POLICIES
E*TRADE International Index Fund (the "Fund") is a diversified series of
E*TRADE Funds (the "Trust"), an open-end series management investment
company registered under the Investment Company Act of 1940, as amended.
The Trust is organized as a Delaware business trust and was formed on
November 4, 1998. As of December 31, 1999, the Trust offered six series:
the S&P 500 Index Fund, the Bond Index Fund, the Extended Market Index
Fund, the International Index Fund, the E-Commerce Index Fund and the
Technology Index Fund. These financial statements contain the E*TRADE
International Index Fund.
The Fund's investment objective is to match as closely as practicable, the
performance of an international portfolio of common stocks represented by
the Morgan Stanley Capital International Europe, Australia, and Far East
Free Index (the "EAFE Free Index").
Morgan Stanley Capital International Inc. ("MSCI") does not sponsor the
Fund, nor is it affiliated in any way with the E*TRADE Group, Inc. "Morgan
Stanley Capital International Europe, Australia, Far East Free Index
(REGISTRATION MARK)", "EAFE Free Index (REGISTRATION MARK)", and "EAFE
(REGISTRATION MARK)" are trademarks of MSCI. The Fund is not sponsored,
endorsed, sold, or promoted by the EAFE Free Index or MSCI and neither the
EAFE Free Index nor MSCI make any representation or warranty, express or
implied, regarding the advisability of investing in the Fund.
The following is a summary of significant accounting policies which are
consistently followed by the Fund in the preparation of its financial
statements, and which are in conformity with generally accepted accounting
principles for investment companies. The preparation of financial
statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
PRINCIPLES OF ACCOUNTING
The Fund uses the accrual method of accounting for financial reporting
purposes.
INVESTMENT POLICY AND SECURITY VALUATION
The Fund is a "feeder" fund in a "master-feeder" structure. Instead of
investing directly in individual securities, a feeder fund, which is
offered to the public, invests all of its assets in a master portfolio that
has substantially the same investment objective as the feeder fund. It is
the master portfolio that actually invests in the individual securities.
The Fund pursues its investment objective by investing all of its assets in
the International Index Master Portfolio (the "Master Portfolio"), a
separate series of the Master Investment Portfolio ("MIP"), a registered
open-end management investment company. The value of the Fund's investment
in the Master Portfolio reflects the Fund's interest in the net assets of
that Master Portfolio. As of December 31, 1999, the value of the Fund's
investment was 9.19% of the outstanding interests of the Master Portfolio.
The Fund's investment in the Master Portfolio is valued at the net asset
value of the Master Portfolio's shares held by the Fund. The equity
securities of the Master Portfolio are valued at the last reported sale
price on the primary securities exchange or national securities market on
which such securities are traded. Securities not listed on an exchange or
national securities market, or securities in which there was no last
reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are
valued at a price deemed best to reflect fair value as quoted by dealers
who make markets in those securities or by an independent pricing source.
U.S. Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which market quotations are not readily available, are valued at
fair value as determined in good faith in accordance with policies approved
by MIP's Board of Trustees.
<PAGE>
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for by the Master Portfolio on the date
the securities are purchased or sold (trade date). Revenue is recognized by
the Master Portfolio as follows: dividend income is recognized on the
ex-dividend date and interest income is recognized on a daily accrual
basis. Realized gains and losses are reported on the basis of identified
cost of securities delivered. Bond discounts and premiums are amortized as
required by the Internal Revenue Code of 1986, as amended (the "Code"). All
net investment income and realized and unrealized capital gains and losses
of the Master Portfolio are allocated as required by the Code.
The performance of the Fund is directly affected by the performance of the
Master Portfolio. The financial statements of the Master Portfolio,
including the Portfolio of Investments, are included elsewhere in this
report and should be read in conjunction with the Fund's financial
statements.
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income of the Fund are
declared and distributed quarterly. Dividends to shareholders from any net
realized capital gains are declared and distributed annually, generally in
December. Such distributions to shareholders are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions, market discount, losses deferred to wash
sales and excise tax regulations. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to
paid-in capital and may impact net investment income per share.
Undistributed net investment income may include temporary book and tax
basis differences which will reverse in a subsequent period. Any taxable
income or gain remaining at fiscal year end is distributed in the following
year.
FEDERAL INCOME TAXES
The Fund is treated as a separate entity from each other series of the
Trust for federal income tax purposes. It is the policy of the Fund to
qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code. If so qualified, the Fund must distribute annually
all of its investment company taxable income and any net capital gains
(taking into account capital loss carryforwards) sufficient to relieve it
from all, or substantially all, federal income and excise taxes.
Accordingly, no provision for federal taxes was required at December 31,
1999. For the period ended December 31, 1999, the Fund has elected to defer
$2,873 of capital losses attributable to Post-October losses.
The following reclassifications, which have no impact on the net asset
value of the Fund, were made in order to present the Fund's capital
accounts on a tax basis:
Accumulated Undistributed Net
Overdistributed Net Realized Loss on Sale of
Investment Income Decrease Investments Increase
---------------------------------------------------------------
$2,476 $2,476
<PAGE>
REDEMPTION FEES
Shares held in the Fund less than four months are subject to a fee equal to
0.50% of the proceeds of the redeemed shares. The fee, which is retained by
the Fund, is accounted for as an addition to paid-in capital.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
E*TRADE Asset Management, Inc. (the "Investment Advisor"), a wholly owned
subsidiary of E*TRADE Group, Inc. ("E*TRADE Group"), serves as the
investment advisor for the Fund pursuant to an investment advisory
agreement ("Advisory Agreement"). For its service as investment advisor,
the Investment Advisor is paid by the Fund at an annual rate of 0.02% of
the Fund's average daily net assets.
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment advisory
services in connection with the management of the Master Portfolio's
assets. For its services, BGFA receives a monthly advisory fee from the
Master Portfolio at an annual rate equal to 0.15% of the first $1 billion,
and 0.10% thereafter, of the Master Portfolio's average daily net assets.
The Fund records daily its proportionate share of the Master Portfolio's
advisory fees, described above, in addition to income, expenses and
realized and unrealized gains and losses.
The Investment Advisor also provides administrative services to the Fund,
pursuant to an administrative services agreement ("Administrative
Agreement"). Services provided by the Investment Advisor acting as
administrator include, but are not limited to: coordinating the services
performed by the transfer and dividend disbursing agent, custodian,
sub-administrator, shareholder servicing agent, independent auditors and
legal counsel; preparing and supervising the preparation of periodic
reports to the Fund's shareholders; generally supervising regulatory
compliance matters; providing, at its own expense, the services of its
personnel to serve as officers of the Trust; monitoring and reviewing the
Fund's contracted services and expenditures; and report to the Board of
Trustees concerning its activities pursuant to the Administrative
Agreement. The Fund pays the Investment Advisor a monthly fee calculated at
an annual rate of 0.28% of its average daily net assets.
The Fund also pays an administrative fee of 0.10% of the first $1 billion,
and 0.07% thereafter, of its average daily net assets to Barclays Global
Investors, N.A. and Stephens, Inc., the Master Portfolio's
co-administrator. Such administrative fees are recorded at the Master
Portfolio level.
PFPC Inc. ("PFPC") serves as the transfer agent and dividend disbursing
agent for the Fund. Investors Bank & Trust Company ("IBT") serves as
sub-administrator, accounting services agent and custodian for the Fund.
E*TRADE Securities, Inc., a wholly owned subsidiary of E*TRADE Group,
serves as the shareholder servicing agent (the "Shareholder Servicing
Agent") for the Fund. The Shareholder Servicing Agent provides personal
services to the Fund's shareholders and maintains the Fund's shareholder
accounts. E*TRADE Securities, Inc. also serves as the principal underwriter
of the Fund. Such services were provided at no cost to the Fund.
Subject to a limitation of 0.0049% of the Fund's average daily net assets,
the Fund records Trustee fees and expenses and certain other direct
expenses of the Fund. The Investment Advisor voluntarily agreed to
reimburse such expenses for the period October 22, 1999 (commencement of
operations) through December 31, 1999.
<PAGE>
INTERNATIONAL INDEX MASTER PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
- --------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (Cost $51,582,685) (Note 1) . .... $63,258,911
Cash ............................................................ 559
Cash denominated in foreign currencies (Cost $177,684) .......... 174,044
Unrealized gain on forward foreign currency exchange contracts .. 9,938
Receivables:
Dividends and interest .......................................... 54,184
Receivable for daily variation margin on open financial
futures contracts ............................................ 372,573
-----------
TOTAL ASSETS ............................................... 63,870,209
-----------
LIABILITIES
PAYABLES:
Investment securities purchased . ............................... 172,365
Due to BGI (Note 2) ............................................. 32,362
Unrealized loss on forward currency exchange contracts .......... 42,829
-----------
TOTAL LIABILITIES .......................................... 247,556
-----------
TOTAL NET ASSETS ................................................ $63,622,653
===========
The accompanying notes are an integral part of these financial statements.
<PAGE>
International Index Master Portfolio
Statement of Operations
Period from
October 1, 1999
(commencement of
operations) to
December 31, 1999
-----------------
NET INVESTMENT INCOME:
Dividends (1) ................................................. $ 96,637
Interest ...................................................... 41,851
-----------
TOTAL INVESTMENT INCOME .................................... 138,488
-----------
EXPENSES (NOTE 2):
Advisory fees ................................................. 19,417
Administration fees ........................................... 12,945
-----------
TOTAL EXPENSES ............................................. 32,362
-----------
NET INVESTMENT INCOME .......................................... 106,126
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss on sale of investments ...................... (91,015)
Net realized gain on sale of futures and forward
currency exchange contracts . .............................. 123,322
Net change in unrealized appreciation of investments .......... 11,676,226
Net change in unrealized appreciation of futures and
forward foreign currency exchange contracts ................ 122,882
-----------
NET GAIN ON INVESTMENTS ........................................ 11,831,415
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... $11,937,541
===========
- --------------------------------------------------------------------------------
(1) Net of foreign withholding tax of ......................... $ 82,939
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
INTERNATIONAL INDEX MASTER PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Period from
October 1, 1999
(commencement of
operations) to
December 31, 1999
-----------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income ..................................... $106,126
Net realized gain ......................................... 32,307
Net change in unrealized appreciation ..................... 11,799,108
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... 11,937,541
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS .......................... 51,685,112
-----------
INCREASE IN NET ASSETS ........................................ 63,622,653
NET ASSETS:
Beginning net assets -
-----------
ENDING NET ASSETS ............................................. $63,622,653
===========
The accompanying notes are an integral part of these financial statements.
<PAGE>
INTERNATIONAL INDEX MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware business
trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and
had no operations prior to March 1, 1994. MIP currently issues the following
separate portfolios (the "Master Portfolios"), the Asset Allocation, Bond Index,
LifePath Income (formerly "LifePath 2000"), LifePath 2010, LifePath 2020,
LifePath 2030, LifePath 2040, Money Market, S&P 500 Index, Extended Index,
International Index and U.S. Equity Index Master Portfolios. International Index
Master Portfolio commenced operations on October 1, 1999 with the transfer of
$43,637,140 in securities from the Vantagepoint Overseas Equity Index Fund, of
the Vantagepoint Funds. These financial statements relate to International Index
Master Portfolio (the "Master Portfolio").
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of the Master Portfolio are valued at the last
reported sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Any
securities, restricted securities or other assets for which market quotations
are not readily available, are valued at fair value as determined in good faith
in accordance with policies approved by MIP's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are accreted or amortized, respectively, under
provisions of the Internal Revenue Code of 1986, as amended (the "Code").
The accounting records of the Master Portfolio are maintained in U.S.
dollars. Investment securities and other assets and liabilities denominated in
foreign currencies are translated into U.S. dollars at the prevailing rates of
exchange at the end of each day. Purchases and sales of securities, income
receipts and expense payments are translated into U.S. dollars at the prevailing
exchange rate on the respective date of the transactions.
<PAGE>
FEDERAL INCOME TAXES
The Master Portfolio intends to qualify as a partnership for federal income
tax purposes. The Master Portfolio, therefore, believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in the Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for the purposes
of determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that the Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
the Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the regulated investment company invested all of its
assets in the corresponding Master Portfolio.
FUTURES CONTRACTS
The Master Portfolio may purchase long futures contracts to gain exposure
to market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date and is exchange traded.
Upon entering into a futures contract, the Master Portfolio is required to
pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolio agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Master Portfolio as unrealized gains
or losses. When the contract is closed, the Master Portfolio records a gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Pursuant to regulations
and/or published positions of the Securities and Exchange Commission, the Master
Portfolio is required to segregate cash, U.S. Government securities or high
quality, liquid debt instruments in connection with long futures transactions in
an amount generally equal to the entire futures contract amount. Risks of
entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the contracts may not
correlate with changes in the value of the underlying securities. As of December
31, 1999, the Master Portfolio had the following open long futures contracts
outstanding:
INTERNATIONAL INDEX MASTER PORTFOLIO
NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED
CONTRACTS TYPE DATE CONTRACT VALUE APPRECIATION
- --------------------------------------------------------------------------------
9 CAC 40 Index March 2000 $543,461 $ 27,055
2 DAX Index March 2000 $352,193 $ 43,643
11 FTSE 100 Index March 2000 $767,470 $ 28,822
15 OMX Index January 2000 $211,590 $ 23,260
31 NIKKEI 300 Index March 2000 $976,140 $ 32,993
--------
Total International Index $155,773
The International Index Master Portfolio has pledged to brokers U.S.
Treasury Bills for initial margin requirements with a par value of $95,000.
<PAGE>
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
the Master Portfolio's Portfolio of Investments. The advisor to the Master
Portfolio may pool the Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. The Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on December 31, 1999 by the Master Portfolio
are collateralized by U.S. Government securities.
FORWARD FOREIGN CURRENCY CONTRACTS
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The Master Portfolio may use forward
foreign currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. As of
December 31, 1999, the Master Portfolio had the following open forward foreign
currency exchange contracts outstanding:
INTERNATIONAL INDEX
<TABLE>
<CAPTION>
EXCHANGE FOREIGN CURRENCY U.S. DOLLAR VALUE NET UNREALIZED
CURRENCY DATE COST/PROCEEDS DECEMBER 31, 1999 GAIN/(LOSS)
<S> <C> <C> <C> <C>
PURCHASE CONTRACTS
EURO DOLLAR 02/08/00 $564,740 $538,415 $(26,325)
02/08/00 317,000 316,738 (262)
BRITISH POUND 02/08/00 523,812 513,601 (10,211)
02/08/00 51,795 50,786 (1,009)
02/08/00 554,000 553,602 (398)
JAPANESE YEN 02/08/00 438,265 443,305 5,040
02/08/00 520,739 520,175 (564)
SWEDISH KRONE 02/08/00 93,511 89,762 (3,749)
02/08/00 95,281 95,279 (2)
--------
NET UNREALIZED LOSS ON PURCHASE CONTRACTS $(37,480)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
EXCHANGE FOREIGN CURRENCY U.S. DOLLAR VALUE NET UNREALIZED
CURRENCY DATE COST/PROCEEDS DECEMBER 31, 1999 GAIN/(LOSS)
<S> <C> <C> <C> <C>
SALE CONTRACTS
EURO DOLLAR 02/08/00 96,476 91,979 4,497
JAPANESE YEN 02/08/00 26,938 27,247 (309)
SWEDISH KRONE 02/08/00 10,007 9,606 401
--------
NET UNREALIZED GAIN ON SALE CONTRACTS 4,589
NET UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS $(32,891)
========
</TABLE>
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of the Master Portfolio's assets.
BGFA is entitled to receive 0.15% of the average daily net assets of the
International Index Master Portfolio as compensation for advisory services. BGFA
is an indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from Barclays
Global Investors, N.A. ("BGI") for its services as Sub-Administrator of the
Master Portfolio.
Stephens Inc. ("Stephens"), is the sponsor and placement agent for the
Master Portfolio.
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolio such as managing and
coordinating third-party service relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.10% of the first $1 billion, and 0.07%
thereafter, of the average daily net assets of the Master Portfolio. BGI and
Stephens may delegate certain of their administration duties to
sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
December 31, 1999, these officers of Stephens collectively owned less than 1% of
the Master Portfolio's outstanding beneficial interests.
<PAGE>
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
the Master Portfolio were as follows:
INTERNATIONAL INDEX MASTER
PORTFOLIO
--------------------------
AGGREGATE PURCHASES PERIOD ENDED
AND SALES OF: DEC. 31, 1999 *
------------------- --------------------------
Purchases at cost $ 61,394,283 **
Sales proceeds 46,825,175
* For the ten months ended December 31, 1999. The Master Portfolio changed
its fiscal year end from February 28 to December 31.
** This includes the transfer of $43,637,140 in securities from
Vantagepoint Overseas Equity Index Fund of the Vantagepoint Funds (see
Note 1).
4. FINANCIAL HIGHLIGHTS
The ratios of expenses and net investment income to average net assets and
portfolio turnover rate (excluding short-term securities) for the Master
Portfolio are as follows:
PERIOD FROM
OCTOBER 1, 1999
(COMMENCEMENT
OF OPERATIONS)TO
DECEMBER 31,
International Index Master Portfolio 1999
--------------------------------------------------------------------
Ratio of expenses to average net assets + 0.25%
Ratio of net investment income to average net assets + 0.16%
Portfolio turnover 39%
+ Annualized for period of less than one year.
<PAGE>
INDEPENDENT AUDITORS' REPORT
- ----------------------------
To the Board of Trustees and Shareholders of E*TRADE Funds:
We have audited the accompanying statement of assets and liabilities of E*TRADE
International Index Fund (the "Fund") (one of six funds comprising the E*TRADE
Funds) as of December 31, 1999 and the related statement of operations,
statement of changes in net assets, and financial highlights for the period
October 22, 1999 (commencement of operations) to December 31, 1999. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements and
financial highlights. Our procedures included confirmation of securities owned
as of December 31, 1999 by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
E*TRADE International Index Fund as of December 31, 1999 and the results of its
operations, the changes in its net assets, and the financial highlights for the
period October 22, 1999 (commencement of operations) to December 31, 1999 in
conformity with generally accepted accounting principles.
/S/ Deloitte & Touche LLP
Deloitte & Touche LLP
Los Angeles, California
February 23, 2000
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of International Index Master Portfolio (a
portfolio of Master Investment Portfolio) as of December 31, 1999, and the
related statements of operations and the changes in net assets for the period
from October 1, 1999 (commencement of operations) to December 31, 1999. These
financial statements are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements based on
our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of International Index Master
Portfolio as of December 31, 1999, the results of its operations and the changes
in its net assets for the period from October 1, 1999 to December 31, 1999 in
conformity with generally accepted accounting principles.
/S/ KPMG
San Francisco, California
February 11, 2000
