<PAGE> 1
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
ASSET BACKED SECURITIES -- 21.6%
AESOP Funding II, Series 1997-1, Class A1, 144A...... Aaa/AAA 6.22% 10/20/01 $ 2,000,000 $ 2,006,467
Asset Securitization Corp., Series 1997-D5, Class
A1C................................................ Aaa/AAA 6.75% 02/14/41 3,050,000 3,075,498
Chevy Chase Auto Receivables Trust, Series 1998,
Class A............................................ Aaa/AAA 5.91% 12/15/04 935,633 937,359
Circuit City Credit Card Master Trust, Series 1995-1,
Class A............................................ Aaa/AAA 6.375% 09/15/00 1,000,000 1,011,400
Citibank Credit Card Master Trust I, Series 1997-6,
Class A ZCB........................................ Aaa/AAA 6.407%+ 08/15/06 2,000,000 1,442,358
Commercial Mortgage Acceptance Corp., Series 1998-C1,
Class A2........................................... Aaa/AAA 6.49% 05/15/08 1,850,000 1,845,190
Contimortgage Home Equity Loan Trust, Series 1996-4,
Class A5........................................... Aaa/AAA 6.60% 10/15/11 1,994,874 1,996,623
Contimortgage Home Equity Loan Trust, Series 1997-3,
Class A5........................................... Aaa/AAA 7.01% 08/15/13 2,000,000 2,043,696
Daimler-Benz Vehicle Trust, Series 1998-A, Class
A4................................................. Aaa/AAA 5.22% 12/22/03 2,000,000 1,946,020
First Chicago Master Trust II, Series 1995-0, Class
A.................................................. Aaa/AAA 5.166% 12/15/02 1,340,000 1,346,298
General Growth Properties, Series 1, Class A2,
144A*.............................................. Aaa/NR 6.602% 11/15/07 1,900,000 1,903,990
GMAC Commercial Mortgage Securities, Inc., Series
1997-C2, Class A3.................................. Aaa/NR 6.566% 11/15/07 2,300,000 2,288,684
Lehman Brothers Commercial Conduit Mortgage Trust,
Series 1998-C1, Class A3........................... Aaa/NR 6.48% 01/18/08 2,100,000 2,085,048
Nomura Asset Securities Corp., Series 1998-D6, Class
A1B................................................ Aaa/AAA 6.59% 03/17/28 2,180,000 2,178,975
Pemex Finance Ltd, Series 1A, Class A1, 144A......... Aaa/AAA 5.72% 11/15/03 1,675,000 1,664,531
Standard Credit Card Master Trust, Series 1995-3,
Class A............................................ Aaa/AAA 7.85% 02/07/02 2,500,000 2,544,151
The Money Store Home Equity Trust, Series 1996-B,
Class A6........................................... Aaa/AAA 7.38% 03/15/17 1,000,000 1,010,845
World Omni Automobile Lease Securitization Trust,
Series 1997-A, Class A4............................ Aaa/AAA 6.90% 06/25/03 2,232,521 2,268,466
-----------
TOTAL ASSET BACKED SECURITIES (COST $33,771,536)......... 33,595,599
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 10.7%
Credit Suisse First Boston Mortgage Securities Corp.,
Series 1998-C1, Class A1B.......................... Aaa/AAA 6.48% 05/17/08 2,250,000 2,215,710
Credit Suisse First Boston Mortgage Securities Corp.,
Series 1998-C2, Class A2........................... Aaa/NR 6.30% 11/15/08 500,000 492,235
Criimi Mae Corp., Series 1998-1, Class A1 144A....... Aaa/AAA 5.697% 10/20/01 2,025,318 1,991,143
Donaldson Lufkin Jenrette Commercial Mortgage Corp.,
Series 1998-CG1, Class A1B......................... NR/AAA 6.41% 05/10/08 1,300,000 1,286,389
Donaldson Lufkin Jenrette Commercial Mortgage Corp.,
Series 1998-CF2, Class A1B......................... Aaa/NR 6.24% 11/12/31 1,500,000 1,468,320
Morgan Stanley Capital I, Series 1998-HF2, Class
A2................................................. AAA/AAA 6.48% 11/15/30 1,000,000 996,290
Mortgage Capital Funding, Inc., Series 1998-MC1,
Class A2........................................... AAA/AAA 6.663% 01/18/08 2,950,000 2,977,229
Mortgage Capital Funding, Inc., Series 1998-MC2,
Class A2........................................... Aaa/NR 6.423% 05/18/08 1,300,000 1,290,159
Prudential Security Financial Corp................... Aaa/AAA 6.506% 07/15/08 2,200,000 2,197,052
Vendee Mortgage Trust Co., Series 1998-1, Class 2,
Interest Only Obligation........................... NR/NR 0.455% 09/15/27 60,812,706 1,049,992
Vendee Mortgage Trust Co., Series 1998-3, Class 1,
Interest Only Obligation........................... NR/NR 0.315% 03/15/29 57,250,972 688,786
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$17,159,821)........................................... 16,653,305
-----------
</TABLE>
See Notes to Financial Statements.
85
<PAGE> 2
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
CORPORATE OBLIGATIONS -- 35.3%
AUTOMOTIVE -- 1.0%
Delphi Auto Systems Corp. Notes...................... Baa2/BBB 6.125% 05/01/04 $ 1,600,000 $ 1,578,000
-----------
BANKS -- 1.7%
Banco Latinoamericano Bank Guaranteed Notes 144A..... Baa1/BBB 7.20% 05/28/02 1,385,000 1,374,612
Capital One Bank Notes............................... Baa3/BBB- 7.00% 04/30/01 1,250,000 1,256,250
-----------
2,630,862
-----------
BROKERAGE -- 3.9%
Bear Stearns Co. Senior Notes........................ A2/A 6.15% 03/02/04 1,500,000 1,475,625
Chase Manhattan Corp. Notes.......................... Aa3/A+ 5.75% 04/15/04 1,600,000 1,560,000
Lehman Brothers Holdings Co. Senior Notes............ Baa1/A- 6.625% 04/01/04 1,600,000 1,582,000
Salomon Smith Barney Holdings, Inc. Notes............ Aa3/A 6.25% 05/15/03 1,500,000 1,497,107
-----------
6,114,732
-----------
CABLE & MEDIA -- 1.8%
British Sky Broadcasting Notes....................... Baa2/BBB- 6.875% 02/23/09 1,550,000 1,505,438
Cox Radio Inc. Company Guaranteed Notes.............. Baa2/A- 6.25% 05/15/03 1,300,000 1,290,250
-----------
2,795,688
-----------
CHEMICALS -- 1.0%
Praxair, Inc. Notes.................................. A3/BBB+ 6.75% 03/01/03 1,600,000 1,618,000
-----------
COMMERCIAL SERVICES -- 0.8%
Service Corp. International Senior Notes............. Baa1/BBB+ 6.30% 03/15/03 1,300,000 1,265,875
-----------
CONTAINERS -- 1.0%
Crown Cork & Seal PLC Company Guaranteed Notes....... Baa2/BBB 6.75% 12/15/03 1,500,000 1,500,000
-----------
DIVERSIFIED MANUFACTURING -- 0.8%
Belo (A.H.) Corp. Senior Notes....................... Baa2/BBB- 6.875% 06/01/02 1,300,000 1,315,551
-----------
ENERGY -- 1.6%
PSEG Capital Corp. Notes 144A........................ Baa2/BBB 6.74% 10/23/01 1,300,000 1,313,000
Williams Cos., Inc. Notes............................ Baa2/BBB- 6.125% 02/01/01 1,200,000 1,200,000
-----------
2,513,000
-----------
FINANCIAL SERVICES -- 9.9%
AON Corp. Notes...................................... A3/AA- 7.40% 10/01/02 1,200,000 1,239,000
Case Credit Corp. Company Guaranteed Notes........... Baa1/A- 6.125% 02/15/03 1,300,000 1,285,375
Finova Capital Corp. Notes........................... Baa1/A- 6.625% 09/15/01 1,500,000 1,516,875
Ford Motor Credit Corp. Notes........................ A1/A 5.75% 02/23/04 2,000,000 1,955,000
GMAC Notes........................................... A2/A 6.15% 04/05/07 2,000,000 1,955,000
Hanson Overseas B.V. Senior Notes.................... A3/A 7.375% 01/15/03 1,500,000 1,545,000
Household Finance Corp. Senior Unsub. Notes.......... A2/A 5.875% 02/01/09 1,300,000 1,213,875
Newcourt Credit Group Notes 144A..................... Baa3/BBB 6.875% 02/16/05 1,600,000 1,612,000
Sprint Capital Corp. Notes........................... Baa1/BBB+ 5.70% 11/15/03 1,600,000 1,558,000
USG Corp. Senior Notes............................... Baa3/BBB 9.25% 09/15/01 1,400,000 1,480,500
-----------
15,360,625
-----------
FOOD & KINDRED PRODUCTS -- 2.1%
James River Corp. Debentures......................... Baa2/BBB- 8.375% 11/15/01 1,550,000 1,631,375
Nabisco, Inc. Notes.................................. Baa2/BBB 6.125% 02/01/33 1,750,000 1,717,188
-----------
3,348,563
-----------
INSURANCE -- 2.4%
Aetna Services, Inc. Company Guaranteed Notes........ A3/A 6.75% 08/15/01 2,700,000 2,727,000
Hartford Life, Inc. Notes............................ A2/A 6.90% 06/15/04 1,000,000 1,020,000
-----------
3,747,000
-----------
</TABLE>
See Notes to Financial Statements.
86
<PAGE> 3
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
MACHINERY & EQUIPMENT -- 1.0%
Thermo Electron Corp. Notes.......................... Baa2/A 7.625% 10/30/08 $ 1,600,000 $ 1,492,000
-----------
RETAIL & MERCHANDISING -- 1.8%
Sears Roebuck Acceptance Corp. Notes................. A2/A- 6.00% 03/20/03 1,300,000 1,285,375
Tyco International Group Notes....................... Baa1/A- 6.375% 06/15/05 1,600,000 1,588,000
-----------
2,873,375
-----------
TELECOMMUNICATIONS -- 1.9%
Cable & Wireless Communications Notes................ Baa1/A- 6.375% 03/06/03 1,575,000 1,571,062
MCI Worldcom, Inc. Senior Notes...................... Baa2/BBB+ 6.40% 08/15/05 1,400,000 1,387,750
-----------
2,958,812
-----------
UTILITIES -- 2.6%
Consumer Energy Co., Series B........................ Baa3/BBB+ 6.20% 05/01/03 1,400,000 1,377,250
KN Energy, Inc. Senior Notes......................... Baa2/BBB- 6.45% 03/01/03 1,200,000 1,200,000
Occidental Petroleum Notes........................... Baa3/BBB 7.65% 02/15/06 1,500,000 1,542,000
-----------
4,119,250
-----------
TOTAL CORPORATE OBLIGATIONS (COST $55,712,426)........... 55,231,333
-----------
U.S. TREASURY OBLIGATIONS -- 21.2%
U.S. TREASURY NOTES -- 19.3%
U.S. Treasury Note................................... 5.50% 12/31/00 10,000,000 10,036,183
U.S. Treasury Note................................... 5.375% 02/15/01 500,000 500,740
U.S. Treasury Note................................... 5.00% 02/28/01 1,000,000 995,370
U.S. Treasury Note................................... 6.125% 12/31/01 1,310,000 1,333,151
U.S. Treasury Note................................... 5.875% 09/30/02 8,800,000 8,907,725
U.S. Treasury Note................................... 5.75% 08/15/03 8,250,000 8,311,888
-----------
30,085,057
-----------
U.S. TREASURY STRIPS -- 1.9%
U.S. Treasury Strip.................................. 4.726%+ 08/15/03 1,500,000 1,189,706
U.S. Treasury Strip.................................. 5.441%+ 05/15/07 500,000 316,808
U.S. Treasury Strip.................................. 7.517%+ 05/15/09 2,000,000 1,112,015
U.S. Treasury Strip.................................. 6.101%+ 02/15/19 1,250,000 366,506
-----------
2,985,035
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $33,894,960)....... 33,070,092
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.3%
Fannie Mae, Pool Association, Pool #19024............ 7.00% 02/01/28 11,118,931 11,202,323
Fannie Mae, Pool Association, Pool #345858........... 6.257% 08/01/36 943,658 964,890
Federal Home Loan Bank............................... 5.125% 09/15/03 2,000,000 1,947,325
Government National Mortgage Association Pool
#136688............................................ 10.00% 09/15/15 11,208 11,208
Government National Mortgage Association Pool
#166744............................................ 10.00% 07/15/16 193,842 211,409
Government National Mortgage Association Pool
#209480............................................ 10.00% 07/15/17 60,985 66,512
Government National Mortgage Association Pool
#227082............................................ 10.00% 08/15/17 84,191 91,820
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$14,556,760)........................................... 14,495,487
-----------
</TABLE>
See Notes to Financial Statements.
87
<PAGE> 4
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
TEMPORARY INVESTMENTS -- 1.6%
Temporary Investment Cash Fund.......................... 1,223,857 $ 1,223,857
Temporary Investment Fund............................... 1,223,857 1,223,857
------------
TOTAL TEMPORARY INVESTMENTS (COST $2,447,714)............... 2,447,714
------------
TOTAL INVESTMENTS -- 99.7% (COST $157,541,740)(a)........... 155,493,530
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3%............... 399,748
------------
NET ASSETS -- 100.0%........................................ $155,893,278
============
</TABLE>
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $155,893,278.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $ 343,824
Unrealized depreciation..................................... (2,392,034)
-----------
Net unrealized appreciation................................. $(2,048,210)
===========
</TABLE>
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 7.6% of net assets.
NR -- Not Rated.
Interest Only Obligation -- security pays coupon proceeds based on a notional
principal amount.
ZCB -- Zero Coupon Bond.
PLC -- Public Limited Company.
+ Rate shown is the effective yield at purchase date.
* Private Placement Security.
See Notes to Financial Statements.
88
<PAGE> 5
MASTER INVESTMENT TRUST, SERIES 1 -- BLUE CHIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCK -- 98.9%
ADVERTISING -- 0.3%
Omnicom Group, Inc...................................... 42,400 $ 3,124,350
------------
AEROSPACE -- 2.6%
Goodrich (B.F.) Co. .................................... 98,300 4,190,037
Rockwell International Corp. ........................... 129,200 8,123,450
United Technologies Corp. .............................. 94,600 13,385,900
------------
25,699,387
------------
AIRLINES -- 0.6%
Delta Air Lines, Inc. .................................. 58,100 3,772,869
UAL Corp.*.............................................. 21,100 1,699,869
------------
5,472,738
------------
APPAREL/TEXTILE -- 0.4%
Tommy Hilfiger Corp.*................................... 42,200 3,405,012
------------
AUTOMOTIVE -- 1.6%
Ford Motor Co. ......................................... 139,000 8,444,250
General Motors Corp. ................................... 82,100 6,819,431
------------
15,263,681
------------
BEVERAGES -- 2.5%
Anheuser-Busch Cos., Inc. .............................. 145,800 10,497,600
Coca-Cola Co. .......................................... 144,600 9,471,300
Coca-Cola Enterprises, Inc. ............................ 63,900 2,128,669
PepsiCo, Inc. .......................................... 53,900 2,058,306
------------
24,155,875
------------
BUILDING RELATED/APPLIANCE -- 0.4%
Centex Corp. ........................................... 89,800 3,350,662
------------
CHEMICALS -- 1.7%
Dow Chemical Co. ....................................... 72,900 9,864,281
Solutia, Inc. .......................................... 95,100 2,270,512
Union Carbide Corp. .................................... 71,300 3,890,306
------------
16,025,099
------------
COMMUNICATIONS -- 5.3%
Cisco Systems, Inc.*.................................... 165,175 19,067,389
Lucent Technologies, Inc. .............................. 233,400 13,639,312
Motorola, Inc. ......................................... 73,000 6,059,000
Tellabs, Inc.*.......................................... 110,500 13,039,000
------------
51,804,701
------------
COMPUTER HARDWARE -- 6.3%
Dell Computer Corp.*.................................... 212,700 8,760,581
EMC Corp.*.............................................. 114,700 11,900,125
Hewlett-Packard Co. .................................... 95,700 8,068,706
International Business Machines Corp. .................. 101,000 24,227,375
Seagate Technology, Inc.*............................... 95,800 2,999,737
Solectron Corp.*........................................ 96,600 5,264,700
------------
61,221,224
------------
COMPUTER SERVICES & SOFTWARE -- 5.6%
America Online, Inc. ................................... 84,300 10,616,531
Compuware Corp.*........................................ 106,000 2,630,125
Microsoft Corp.*........................................ 537,000 41,281,875
------------
54,528,531
------------
</TABLE>
See Notes to Financial Statements.
89
<PAGE> 6
MASTER INVESTMENT TRUST, SERIES 1 -- BLUE CHIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
CONSUMER PRODUCTS AND SERVICES -- 0.6%
Bausch & Lomb, Inc. .................................... 75,200 $ 6,114,700
------------
COSMETICS & TOILETRIES -- 3.2%
Avon Products, Inc. .................................... 115,100 5,970,813
Clorox Co. ............................................. 60,300 6,535,013
Kimberly-Clark Corp. ................................... 83,200 5,018,000
Procter & Gamble Co. ................................... 143,200 13,219,150
------------
30,742,976
------------
ELECTRICAL EQUIPMENT -- 2.9%
General Electric Co. ................................... 266,400 28,221,750
------------
ENERGY RELATED -- 0.3%
Transocean Offshore, Inc. .............................. 111,100 3,013,588
------------
ENTERTAINMENT & LEISURE -- 2.9%
Carnival Corp., Cl-A.................................... 113,200 4,874,675
King World Productions, Inc.*........................... 59,700 2,167,856
Time Warner, Inc. ...................................... 195,900 14,447,625
Viacom, Inc., Cl-B*..................................... 181,500 7,123,875
------------
28,614,031
------------
FINANCIAL -- BANKS & TRUSTS -- 7.9%
Chase Manhattan Corp. .................................. 214,600 16,966,812
Citigroup, Inc. ........................................ 299,200 21,243,200
Fleet Financial Group, Inc. ............................ 298,700 12,881,437
Mellon Bank Corp. ...................................... 131,400 9,354,037
National City Corp. .................................... 87,800 6,085,637
Wells Fargo Co. ........................................ 248,800 10,449,600
------------
76,980,723
------------
FINANCIAL SERVICES -- 5.7%
Freddie Mac............................................. 122,000 7,495,375
Hartford Financial Services Group, Inc. ................ 140,900 8,911,925
J.P. Morgan & Co., Inc. ................................ 61,100 8,611,281
Lehman Brothers Holdings, Inc. ......................... 45,000 2,514,375
Morgan Stanley Dean Witter & Co. ....................... 107,700 10,877,700
Providian Financial Corp. .............................. 137,300 16,784,925
------------
55,195,581
------------
FOOD & RELATED -- 2.3%
Conagra, Inc. .......................................... 170,000 4,706,875
Heinz (H.J.) Co. ....................................... 88,400 4,585,750
Quaker Oats Co. ........................................ 107,200 7,202,500
Safeway, Inc.*.......................................... 113,200 5,674,150
------------
22,169,275
------------
HOSPITAL MANAGEMENT -- 0.6%
United Healthcare Corp. ................................ 104,400 5,976,900
------------
HOSPITAL SUPPLY -- 2.0%
Boston Scientific Corp.*................................ 126,300 5,336,175
Johnson & Johnson Co. .................................. 151,100 14,014,525
------------
19,350,700
------------
INSURANCE -- 2.2%
Allstate Corp. ......................................... 187,094 7,191,426
Conseco, Inc. .......................................... 201,800 6,608,950
Equitable Cos., Inc. ................................... 117,600 7,938,000
------------
21,738,376
------------
</TABLE>
See Notes to Financial Statements.
90
<PAGE> 7
MASTER INVESTMENT TRUST, SERIES 1 -- BLUE CHIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
MACHINERY & EQUIPMENT -- 0.6%
Ingersoll-Rand Co. ..................................... 90,800 $ 6,134,675
------------
METALS & MINING -- 0.9%
Alcoa, Inc. ............................................ 75,400 4,712,500
USX-U.S. Steel Group, Inc. ............................. 119,900 3,769,356
------------
8,481,856
------------
MULTI-INDUSTRY -- 2.8%
AlliedSignal, Inc. ..................................... 82,800 5,004,225
CBS Corp. .............................................. 118,600 5,440,775
Tyco International Ltd.................................. 181,700 16,387,069
------------
26,832,069
------------
OIL (DOMESTIC) -- 0.3%
Sunoco, Inc. ........................................... 83,300 2,707,250
------------
OIL (INTERNATIONAL) -- 4.9%
Chevron Corp. .......................................... 138,300 13,095,281
Exxon Corp. ............................................ 282,800 22,270,500
Mobil Corp. ............................................ 125,700 12,334,313
------------
47,700,094
------------
PAPER & FOREST PRODUCTS -- 1.3%
Avery-Dennison Corp. ................................... 79,000 5,016,500
Georgia Pacific Corp. .................................. 48,000 4,377,000
Weyerhaeuser Co. ....................................... 46,900 3,233,169
------------
12,626,669
------------
PHARMACEUTICALS -- 8.1%
Allergan, Inc. ......................................... 67,800 6,114,713
Amgen, Inc.*............................................ 95,800 5,843,800
Biogen, Inc.*........................................... 68,000 7,072,000
Bristol-Meyers Squibb Co. .............................. 282,100 18,900,700
Cardinal Health, Inc. .................................. 60,400 3,744,800
Merck & Co., Inc. ...................................... 91,200 6,498,000
Pfizer, Inc. ........................................... 94,800 10,730,175
Schering-Plough Corp. .................................. 250,900 11,980,475
Warner-Lambert Co. ..................................... 120,600 8,019,900
------------
78,904,563
------------
PRINTING & PUBLISHING -- 0.8%
McGraw-Hill Cos., Inc. ................................. 94,600 5,185,263
New York Times Co., Cl-A................................ 70,100 2,392,163
------------
7,577,426
------------
RESTAURANTS -- 0.5%
Tricon Global Restaurants, Inc.*........................ 88,500 5,332,125
------------
RETAIL -- 5.2%
Federated Department Stores, Inc.*...................... 166,100 9,145,881
Gap, Inc. .............................................. 154,700 9,688,088
Home Depot, Inc......................................... 121,100 7,031,369
TJX Cos., Inc. ......................................... 181,600 5,357,200
Wal-Mart Stores, Inc. .................................. 428,200 19,804,250
------------
51,026,788
------------
RETAIL FOOD/DRUG -- 0.3%
Albertson's, Inc. ...................................... 59,600 3,050,775
------------
</TABLE>
See Notes to Financial Statements.
91
<PAGE> 8
MASTER INVESTMENT TRUST, SERIES 1 -- BLUE CHIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.5%
Applied Materials, Inc. .................................................... 59,800 $ 3,629,113
Intel Corp. ................................................................ 282,800 16,402,400
Texas Instruments, Inc. .................................................... 44,300 4,695,800
------------
24,727,313
------------
TOBACCO -- 1.1%
Philip Morris Cos., Inc. ................................................... 265,200 10,342,800
------------
TRANSPORTATION -- 0.5%
Union Pacific Corp. ........................................................ 73,500 4,469,719
------------
UTILITIES -- ELECTRIC -- 2.2%
Edison International........................................................ 157,600 4,205,950
FPL Group, Inc. ............................................................ 89,000 5,100,813
PECO Energy Co. ............................................................ 157,400 7,358,450
Reliant Energy, Inc. ....................................................... 164,700 4,920,413
------------
21,585,626
------------
UTILITIES -- GAS & PIPELINE -- 0.6%
Coastal Corp. .............................................................. 142,400 5,357,800
------------
UTILITIES -- TELEPHONE -- 8.4%
Ameritech Corp. ............................................................ 160,500 10,572,938
AT&T Corp. ................................................................. 279,950 16,499,553
Bell Atlantic Corp. ........................................................ 139,142 7,791,952
BellSouth Corp. ............................................................ 376,800 17,238,600
GTE Corp. .................................................................. 136,300 8,876,538
MCI WorldCom, Inc.*......................................................... 244,200 21,092,775
------------
82,072,356
------------
TOTAL COMMON STOCK (COST $694,580,378).......................................... 961,099,764
------------
</TABLE>
<TABLE>
<CAPTION>
MATURITY PRINCIPAL
RATE DATE AMOUNT
---- -------- ---------
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bill#
(Cost $4,958,728)..................................... 4.37% 07/22/99 $5,000,000 4,958,933
------------
SHARES
----------
SHORT-TERM INVESTMENTS -- 0.6%
Temporary Investment Cash Fund............................................ 3,135,335 3,135,335
Temporary Investment Fund................................................. 3,135,335 3,135,335
------------
TOTAL SHORT-TERM INVESTMENTS (COST $6,270,670)................................ 6,270,670
------------
TOTAL INVESTMENTS -- 100.0% (COST $705,809,776)(a)............................ 972,329,367
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0%................................. 889
------------
NET ASSETS -- 100.0%.......................................................... $972,330,256
============
</TABLE>
- --------------------------------------------------------------------------------
Percentages are based on net assets of $972,330,256.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $277,165,126
Unrealized depreciation..................................... (10,645,535)
------------
Net unrealized appreciation................................. $266,519,591
============
</TABLE>
* Non-income producing security.
# Securities with an aggregate market value of $1,001,728 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at May 14, 1999:
<TABLE>
<CAPTION>
NET UNREALIZED
LONG FUTURES CONTRACTS EXPIRATION NUMBER OF CONTRACT APPRECIATION
DESCRIPTION DATE CONTRACTS AMOUNT OF CONTRACTS
- ----------- ---------- --------- -------- --------------
<S> <C> <C> <C> <C>
S&P 500..................................................... 6/18/99 30 $10,044,750 $197,125
</TABLE>
See Notes to Financial Statements.
92
<PAGE> 9
MASTER INVESTMENT TRUST, SERIES I
STATEMENTS OF ASSETS AND LIABILITIES
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BLUE CHIP
BOND PORTFOLIO PORTFOLIO
---------------- ------------
<S> <C> <C>
ASSETS:
Investments in securities, at value(a).................... $155,493,530 $972,329,367
Contribution receivable................................... 485,158 2,383,290
Interest receivable....................................... 1,895,627 19,837
Dividend receivable....................................... -- 890,814
------------ ------------
Total Assets...................................... 157,874,315 975,623,308
------------ ------------
LIABILITIES:
Payable for investment securities purchased............... 1,587,458 66,176
Withdrawal payable........................................ 351,031 2,636,026
Variation margin payable.................................. -- 267,750
Administration fees payable............................... 4,905 18,924
Advisory fees payable..................................... 13,968 186,976
Audit fees payable........................................ 11,633 13,472
Fund accounting fees payable.............................. -- 24,384
Legal fees payable........................................ 5,427 38,036
Other accrued expenses.................................... 6,615 41,308
------------ ------------
Total Liabilities................................. 1,981,037 3,293,052
------------ ------------
NET ASSETS.................................................. $155,893,278 $972,330,256
============ ============
(a) Cost:................................................... $157,541,740 $705,809,776
============ ============
</TABLE>
See Notes to Financial Statements.
93
<PAGE> 10
MASTER INVESTMENT TRUST, SERIES I
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BOND PORTFOLIO BLUE CHIP PORTFOLIO
--------------------------------- ---------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 MAY 14, 1999 FEBRUARY 28, 1999
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................ $ 1,949,831 $ 8,645,285 $ 182,449 $ 1,336,549
Dividend income................................ -- -- 2,312,323 10,829,267
------------ ------------ ------------ -------------
Total income............................ 1,949,831 8,645,285 2,494,772 12,165,816
------------ ------------ ------------ -------------
EXPENSES:
Advisory fees.................................. 97,418 428,998 984,434 4,147,169
Administration fees............................ 16,236 71,499 98,443 414,717
Fund accounting fees and expenses.............. 17,943 91,875 57,739 256,709
Custodian fees................................. 3,966 20,215 21,038 115,709
Trustees fees.................................. -- -- 9,284 34,042
Legal fees..................................... -- 7,889 17,773 79,657
Other operating expenses....................... 841 18,424 19,497 93,235
------------ ------------ ------------ -------------
Total Expenses.......................... 136,404 638,900 1,208,208 5,141,238
Less: Fee waivers and reimbursements.... (13,963) (133,952) -- --
------------ ------------ ------------ -------------
Total Net Expenses...................... 122,441 504,948 1,208,208 5,141,238
------------ ------------ ------------ -------------
NET INVESTMENT INCOME............................ 1,827,390 8,140,337 1,286,564 7,024,578
------------ ------------ ------------ -------------
NET REALIZED/UNREALIZED GAINS (LOSSES) ON
INVESTMENTS:
Net realized gains (losses) on investment
transactions................................. (142,958) 1,863,176 57,394,139 64,379,919
Net change in unrealized appreciation
(depreciation) on investments................ (433,199) (3,025,448) 10,459,558 72,410,738
------------ ------------ ------------ -------------
Net realized/unrealized gains (losses) on
investments.................................. (576,157) (1,162,272) 67,853,697 136,790,657
------------ ------------ ------------ -------------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS..................................... $ 1,251,233 $ 6,978,065 $ 69,140,261 $ 143,815,235
============ ============ ============ =============
</TABLE>
See Notes to Financial Statements.
94
<PAGE> 11
MASTER INVESTMENT TRUST, SERIES I
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BOND PORTFOLIO
----------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------------------------------------------
<S> <C> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment
income............. $ 1,827,390 $ 8,140,337 $ 8,006,884
Net realized
gains/(losses) on
investment
transactions....... (142,958) 1,863,176 128,505
Net change in
unrealized
appreciation
(depreciation) on
investments........ (433,199) (3,025,448) 2,039,776
------------ ------------ ------------
Change in net assets
resulting from
operations......... 1,251,233 6,978,065 10,175,165
------------ ------------ ------------
TRUST SHARE
TRANSACTIONS:
Contributions........ 9,176,796 62,766,190 46,344,058
Withdrawals.......... (11,823,526) (38,022,040) (70,109,582)
------------ ------------ ------------
Change in net assets
resulting from Trust
share transactions... (2,646,730) 24,744,150 (23,765,524)
------------ ------------ ------------
Change in net assets... (1,395,497) 31,722,215 (13,590,359)
NET ASSETS
Beginning of
Period............. 157,288,775 125,566,560 139,156,919
------------ ------------ ------------
End of Period........ $155,893,278 $157,288,775 $125,566,560
============ ============ ============
<CAPTION>
BLUE CHIP PORTFOLIO
----------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------------------------------------------
<S> <C> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment
income............. $ 1,286,564 $ 7,024,578 $ 6,579,844
Net realized
gains/(losses) on
investment
transactions....... 57,394,139 64,379,919 60,514,587
Net change in
unrealized
appreciation
(depreciation) on
investments........ 10,459,558 72,410,738 111,253,126
------------ ------------- -------------
Change in net assets
resulting from
operations......... 69,140,261 143,815,235 178,347,557
------------ ------------- -------------
TRUST SHARE
TRANSACTIONS:
Contributions........ 45,223,062 268,650,537 188,684,069
Withdrawals.......... (49,778,800) (223,373,638) (124,944,597)
------------ ------------- -------------
Change in net assets
resulting from Trust
share transactions... (4,555,738) 45,276,899 63,739,472
------------ ------------- -------------
Change in net assets... 64,584,523 189,092,134 242,087,029
NET ASSETS
Beginning of
Period............. 907,745,733 718,653,599 476,566,570
------------ ------------- -------------
End of Period........ $972,330,256 $ 907,745,733 $ 718,653,599
============ ============= =============
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
95
<PAGE> 12
MASTER INVESTMENT TRUST, SERIES I
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Master Investment Trust, Series I (the "Trust"), a Delaware business trust, is
registered under the Investment Company Act of 1940, as amended (the "Act"), as
an open-end management investment company. At May 14, 1999, the Trust consisted
of two portfolios; the Blue Chip Portfolio (the "Blue Chip Portfolio") and
Investment Grade Bond Portfolio (the "Bond Portfolio") (collectively the
"Portfolios").
The investment objectives of the Portfolios are as follows:
The investment objective of the Blue Chip Portfolio is to provide long term
capital appreciation. The Blue Chip Portfolio does so by investing primarily in
a diversified portfolio of blue chip stocks.
The investment objective of the Bond Portfolio is to obtain interest income and
capital appreciation by investing in investment grade intermediate and longer
term bonds, including corporate and Government fixed income obligations and
mortgage-backed securities.
Bank of America National Trust and Savings Association ("Bank of America"), a
subsidiary of BankAmerica Corporation ("BankAmerica"), serves as the Portfolio's
investment adviser. PFPC, Inc. ("PFPC"), a wholly owned subsidiary of PNC Bank
Corp., serves as administrator for the Trust.
On October 1, 1998, BankAmerica, the Advisor's and Administrator's parent
company, completed its merger with NationsBank Corporation. The combined company
operates under the name BankAmerica. BankAmerica continues to serve the
Portfolios on substantially identical terms as described in Note 3.
The following shareholders were invested in the Portfolios at May 14, 1999:
<TABLE>
<S> <C>
Bond Portfolio:
Pacific Horizon Intermediate Bond Fund..................... 60.6%
World Horizon U.S. Bond Fund............................... 39.4%
Blue Chip Portfolio:
Pacific Horizon Blue Chip Fund............................. 93.0%
World Horizon U.S. Equity Fund............................. 7.0%
</TABLE>
From time to time the Portfolios may have a concentration of several
shareholders holding a significant percentage of shares outstanding. Investment
activities of these shareholders could have a material impact on the funds and
the Portfolios.
NOTE 2 -- SIGNIFICANT ACCOUNTING
POLICIES
The following is a summary of significant accounting policies followed by the
Portfolios in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
Portfolio Valuations:
Securities for which market quotations are readily available (other than debt
securities with remaining maturities of 60 days or less) are valued at the last
reported sales price on the securities exchange on which such securities are
primarily traded or at the last reported sales price on the NASDAQ National
Securities Market. Securities not listed on an exchange or the NASDAQ National
Securities Market, or securities for which there were no transactions on the day
of valuation, are valued at the mean of the most recent bid and ask prices. Bid
price is used when no ask price is available. The Portfolios may use an
independent pricing service, approved by the Board of Trustees, to value certain
of its securities. Such prices reflect market values which may be established
through the use of electronic data processing techniques and matrix systems.
Restricted securities and securities for which market quotations are not readily
available, if any, are valued at fair value using methods approved by the Board
of Trustees.
Debt securities with remaining maturities of 60 days or less are valued at
amortized cost, which approximates market value.
Futures:
A futures contract is an agreement to purchase or sell a specified quantity of
an underlying instrument at a specified future date and price or to make or
receive a cash payment based on the value of a securities index. The price at
which the purchase and sale will take place is fixed when the Portfolios enter
into the contract. Upon entering into such a contract the Portfolios are
required to pledge to the broker an amount of cash and/or securities equal to
the minimum "initial margin" requirements of the exchange. Pursuant to the
contract, the Portfolios agree to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract.
96
<PAGE> 13
- --------------------------------------------------------------------------------
Such receipts or payments are known as "variation margin" and are recorded by
the Portfolios as unrealized gains or losses. When the contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time when
it was closed.
The Portfolios invest in futures contracts solely for the purpose of
hedging its existing portfolio securities, or securities the Portfolios intend
to purchase, against fluctuations in value caused by changes in prevailing
market interest rates.
The use of futures transactions involves, to varying degrees, elements of
market risk in excess of the amounts recognized in the statement of assets and
liabilities. The contract in notional amounts and variation margin reflect the
extent of the Portfolios' involvement in open futures positions. Risks arise
from the possible imperfect correlation in movements in the price of futures
contracts, interest rates and the underlying hedged assets, and the possible
inability of counterparties to meet the terms of their contracts. However, the
Portfolios' activities in futures contracts are conducted through regulated
exchanges which minimize counterparty credit risk. The summary of open futures
contracts at May 14, 1999 is included in the Blue Chip Portfolio's Schedule of
Investments which is included elsewhere in this report. The Bond Portfolio held
no open futures contracts at May 14, 1999.
Securities Transactions and Related Income:
Securities transactions are accounted for on a trade date basis. Interest
income, including accretion of discount and amortization of premium, is accrued
daily. Dividend income is recorded on the ex-dividend date. Realized gains and
losses on securities transactions are determined on the identified cost basis.
Expenses:
Expenses directly attributable to a Portfolio are charged to that Portfolio,
while general Trust expenses are allocated among the respective portfolios of
the Trust.
The Blue Chip and Bond Portfolios incurred certain costs in connection with its
organization. Such costs have been deferred and are being amortized on a
straight-line basis over five years.
Federal Income Taxes:
The Portfolios will be treated as a partnership for Federal income tax purposes.
As such, each investor in the Portfolios will be taxed on its share of the
Portfolio's ordinary income and capital gains. It is intended that the
Portfolios will be managed in such a way that an investor will be able to
satisfy the requirements of the Internal Revenue Code applicable to regulated
investment companies.
NOTE 3 -- AGREEMENTS AND OTHER
TRANSACTIONS WITH AFFILIATES
The Portfolios have an Investment Advisory Agreement with Bank of America and
had an Administration Agreement with PFPC.
As Advisor, Bank of America is responsible for managing the investment of the
assets of the Portfolio in conformity with the stated objectives and policies of
the Portfolio. Pursuant to the terms of the Investment Advisory Agreement, Bank
of America is entitled to a fee, which is accrued daily and payable monthly, at
an annual rate of 0.50% and 0.30% of the average daily net assets of the Blue
Chip and the Bond Portfolios, respectively. For the period ended May 14, 1999,
Bank of America waived $13,963 in fees as Adviser of the Bond Portfolio.
As Administrator, PFPC assists in supervising the operations of the Portfolios.
Pursuant to the terms of the Administration Agreement, PFPC is entitled to a fee
which was accrued daily and payable monthly, at an annual rate of 0.05% of the
Blue Chip and the Bond Portfolios' average daily net assets.
For services provided to each of the portfolios constituting the Trust, each
Trustee receives an annual fee of $2,000 and a meeting fee of $500 per meeting,
except any trustee not serving on other boards in the complex and whose
residence is off-shore will receive $7,000 and $1,000, respectively.
A partner of Drinker Biddle & Reath LLP ("DBR") serves as Secretary of the
Trust. Legal fees earned by DBR are stated in the statement of operations.
Certain officers of the Trust are affiliated with PFPC. Such persons are not
paid directly by the Trust for serving in these capacities.
97
<PAGE> 14
- --------------------------------------------------------------------------------
NOTE 4 -- SECURITIES TRANSACTIONS
During the period ended May 14, 1999, each Portfolio purchased and sold
portfolio securities, excluding short-term securities, in the following amounts:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Blue Chip Portfolio
U.S. Government......................... $ 4,923,525 $ --
Other Securities........................ $182,133,630 $182,043,986
------------ ------------
Total................................. $187,057,155 $182,043,986
============ ============
Bond Portfolio
U.S. Government......................... $ 13,133,739 $ 16,990,158
Other Securities........................ $ 16,441,405 $ 13,678,483
------------ ------------
Total................................. $ 29,575,144 $ 30,668,641
============ ============
</TABLE>
NOTE 5 -- REORGANIZATIONS
The Board of Trustees of the Trust has approved an Agreement and Plan of
Reorganization ("Agreement") between the Trust and Nations Master Investment
Trust. The Agreement also provided for the assumption by the Nations
Intermediate Bond Master and the Nations Blue Chip Master Portfolios of all of
the liabilities of the Portfolios. The above Agreements were approved on May 4,
1999, by the vote of a majority of outstanding interests of outstanding shares
of each of the Portfolios. The Agreement provided for the transfer of all of the
assets of the Portfolios to the Nations Intermediate Bond Master and the Blue
Chip Master Portfolios, respectively, in exchange solely for the number of
shares of the Nations Intermediate Bond Master and the Nations Blue Chip Master
Portfolios, having the same aggregate net asset value as the outstanding shares
of the Portfolios as of the close of business of the New York Stock Exchange on
May 21, 1999 when the reorganization became effective.
98
<PAGE> 15
MASTER INVESTMENT TRUST SERIES I
INVESTMENT GRADE BOND PORTFOLIO
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(A) 1998 1997 1996 1995
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratio of expenses to average net
assets............................. 0.38%(b) 0.35% 0.35% 0.35% 0.18% 0.25%
Ratio of net investment income to
average net assets................. 5.61%(b) 5.69% 5.99% 5.86% 6.47% 6.22%
Ratio of expenses to average net
assets*............................ 0.42%(b) 0.45% 0.55% 0.65% 0.68% 0.75%
Ratio of net investment income to
average net assets*................ 5.57%(b) 5.59% 5.79% 5.56% 5.97% 5.72%
Portfolio Turnover................... 19%(c) 137% 127% 83% 172% 240%
</TABLE>
- --------------------------------------------------------------------------------
* During the year, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred, the ratios would have been as indicated.
(a) On October 1, 1998, BankAmerica Corp., the parent company of the
Portfolio's Advisor, merged with NationsBank Corporation.
(b) Annualized.
(c) Not annualized.
See Notes to Financial Statements.
99
<PAGE> 16
MASTER INVESTMENT TRUST SERIES I
BLUE CHIP PORTFOLIO
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(A) 1998 1997 1996 1995
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratio of expenses to average net
assets............................. 0.61%(c) 0.62% 0.65% 0.62% 0.31% 0.17%
Ratio of net investment income to
average net assets................. 0.65%(c) 0.85% 1.11% 1.62% 2.16% 2.30%
Ratio of expenses to average net
assets*............................ (b) (b) 0.70% 0.90% 0.90% 0.97%
Ratio of net investment income to
average net assets*................ (b) (b) 1.06% 1.34% 1.57% 1.50%
Portfolio Turnover................... 19%(d) 57% 67% 91% 108% 44%
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred, the ratios would have been as indicated.
(a) On October 1, 1998, BankAmerica Corp., the parent company of the
Portfolio's Advisor, merged with NationsBank Corporation.
(b) There were no waivers or reimbursements during the period.
(c) Annualized.
(d) Not Annualized.
See Notes to Financial Statements.
100
<PAGE> 17
MASTER INVESTMENT TRUST, SERIES I
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES
AND INVESTORS OF
MASTER INVESTMENT TRUST, SERIES I
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of Master Investment Trust, Series
I -- Investment Grade Bond Portfolio and Blue Chip Portfolio (the "Portfolios")
at May 14, 1999, the results of each of their operations for the period ended
May 14, 1999 and the year ended February 28, 1999, and the changes in each of
their net assets and the supplementary data for each of the periods presented,
in conformity with generally accepted accounting principles. These financial
statements and supplementary data (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management; our
responsibility is to express an opinion on those financial statements based on
our audits. We conducted our audits of the financial statements in accordance
with generally accepted auditing standards which 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, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at May 14,
1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
As explained in Note 5, Master Investment Trust, Series I has been reorganized
into Nations Master Investment Trust effective May 21, 1999.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
July 8, 1999
101
