<PAGE> 1
51
MASTER INVESTMENT TRUST, SERIES I --
BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments
February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- 98.4%
AEROSPACE -- 1.4%
Goodrich (B.F.) Co. ................................... 47,100 $ 1,607,287
United Technologies Corp. ............................. 89,500 11,086,812
------------
12,694,099
------------
AIRLINES -- 0.5%
Delta Air Lines, Inc. ................................. 59,400 3,612,262
UAL Corp.*............................................. 21,100 1,260,725
------------
4,872,987
------------
APPAREL/TEXTILE -- 0.3%
Tommy Hilfiger Corp.*.................................. 42,200 2,914,437
------------
AUTOMOTIVE -- 1.7%
Ford Motor Co. ........................................ 141,100 8,368,994
General Motors Corp. .................................. 83,300 6,877,456
------------
15,246,450
------------
BEVERAGES -- 2.7%
Anheuser-Busch Cos., Inc. ............................. 148,000 11,349,750
Coca-Cola Co. ......................................... 147,400 9,424,387
Coca-Cola Enterprises, Inc. ........................... 64,100 1,987,100
PepsiCo, Inc. ......................................... 54,700 2,058,087
------------
24,819,324
------------
BUILDING RELATED/APPLIANCE -- 0.4%
Centex Corp. .......................................... 91,900 3,383,069
------------
CHEMICALS -- 1.4%
Dow Chemical Co. ...................................... 74,700 7,348,612
Du Pont, (E.I.) de Nemours & Co. ...................... 59,000 3,027,437
Rohm & Haas Co. ....................................... 3,600 112,500
Solutia, Inc. ......................................... 96,500 1,718,906
------------
12,207,455
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 2
52
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
COMMERCIAL SERVICES -- 0.3%
Fluor Corp. ........................................... 85,100 $ 2,994,456
------------
COMMUNICATIONS -- 4.0%
Cisco Systems, Inc.*................................... 165,975 16,234,430
Lucent Technologies, Inc. ............................. 135,700 13,782,031
Tellabs, Inc.*......................................... 79,600 6,372,975
------------
36,389,436
------------
COMPUTER HARDWARE -- 6.3%
Dell Computer Corp.*................................... 212,000 16,986,500
EMC Corp.*............................................. 187,400 19,185,075
International Business Machines Corp. ................. 31,300 5,321,000
Seagate Technology, Inc.*.............................. 97,600 2,824,300
Solectron Corp.*....................................... 98,000 4,379,375
Sun Microsystems, Inc.*................................ 87,300 8,495,381
------------
57,191,631
------------
COMPUTER SERVICES & SOFTWARE -- 6.3%
America Online, Inc. .................................. 56,400 5,016,075
Compuware Corp.*....................................... 53,000 2,964,687
Microsoft Corp.*....................................... 266,300 39,978,287
Oracle Corp.*.......................................... 164,200 9,174,675
------------
57,133,724
------------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Bausch & Lomb, Inc. ................................... 16,800 1,013,250
------------
COSMETICS & TOILETRIES -- 3.2%
Avon Products, Inc. ................................... 119,600 4,978,350
Clorox Co. ............................................ 46,300 5,477,869
Kimberly-Clark Corp. .................................. 84,500 3,992,625
Procter & Gamble Co. .................................. 165,600 14,821,200
------------
29,270,044
------------
ELECTRICAL EQUIPMENT -- 3.1%
General Electric Co. .................................. 278,500 27,937,031
------------
ENERGY RELATED -- 0.7%
Reliant Energy, Inc. .................................. 138,700 3,718,894
Transocean Offshore, Inc. ............................. 114,500 2,361,562
------------
6,080,456
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 3
53
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ENTERTAINMENT & LEISURE -- 3.8%
Carnival Corp., Cl-A................................... 157,800 $ 7,022,100
King World Productions, Inc.*.......................... 60,900 1,610,044
Time Warner, Inc. ..................................... 240,800 15,531,600
Viacom, Inc., Cl-B*.................................... 117,000 10,339,875
------------
34,503,619
------------
FINANCIAL -- BANKS & TRUSTS -- 8.7%
Banc One Corp. ........................................ 194,200 10,438,250
Bank of New York Co., Inc. ............................ 214,800 7,504,575
Chase Manhattan Corp. ................................. 217,800 17,342,325
Citigroup Inc. ........................................ 105,900 6,221,625
Fleet Financial Group, Inc. ........................... 308,900 13,263,394
Mellon Bank Corp. ..................................... 132,100 8,933,262
National City Corp. ................................... 88,800 6,204,900
Wells Fargo Co. ....................................... 250,000 9,187,500
------------
79,095,831
------------
FINANCIAL SERVICES -- 4.1%
American Express Co. .................................. 51,300 5,566,050
Freddie Mac............................................ 123,900 7,294,612
Morgan Stanley Dean Witter & Co. ...................... 109,700 9,927,850
Providian Financial Corp. ............................. 137,300 14,021,762
------------
36,810,274
------------
FOOD & RELATED -- 1.9%
Conagra, Inc. ......................................... 172,600 5,199,575
Heinz (H.J.) Co. ...................................... 90,100 4,904,819
Quaker Oats Co. ....................................... 109,500 5,981,437
Safeway, Inc.*......................................... 21,400 1,235,850
------------
17,321,681
------------
HOSPITAL MANAGEMENT -- 0.5%
United Healthcare Corp. ............................... 87,500 4,314,844
------------
HOSPITAL SUPPLY -- 2.8%
Allegran, Inc. ........................................ 68,700 5,599,050
Biomet, Inc. .......................................... 138,200 5,070,212
Guidant Corp. ......................................... 127,000 7,239,000
Johnson & Johnson Co. ................................. 50,900 4,345,588
Medtronic, Inc. ....................................... 44,600 3,149,875
------------
25,403,725
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 4
54
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
INSURANCE -- 3.4%
Allstate Corp. ........................................ 192,594 $ 7,222,275
American International Group, Inc. .................... 82,764 9,429,923
Conseco, Inc. ......................................... 201,800 6,041,388
Equitable Cos., Inc. .................................. 117,600 7,945,350
------------
30,638,936
------------
MACHINERY & EQUIPMENT -- 0.5%
Ingersoll-Rand Co. .................................... 93,400 4,436,500
------------
METALS & MINING -- 0.7%
Alcoa, Inc. ........................................... 75,400 3,053,700
USX-U.S. Steel Group, Inc. ............................ 119,900 3,034,969
------------
6,088,669
------------
MULTI-INDUSTRY -- 2.5%
AlliedSignal, Inc. .................................... 83,800 3,467,225
Rockwell International Corp. .......................... 131,100 5,825,756
Tyco International Ltd. ............................... 184,200 13,711,388
------------
23,004,369
------------
OFFICE PRODUCTS -- 0.5%
Avery Dennison Corp. .................................. 80,000 4,295,000
------------
OIL (DOMESTIC) -- 0.6%
Sunoco, Inc. .......................................... 83,300 2,535,444
USX-Marathon Group..................................... 143,200 2,962,450
------------
5,497,894
------------
OIL (INTERNATIONAL) -- 4.0%
Chevron Corp. ......................................... 102,500 7,879,688
Exxon Corp. ........................................... 282,800 18,823,875
Mobil Corp. ........................................... 117,600 9,782,850
------------
36,486,413
------------
PAPER & FOREST PRODUCTS -- 0.5%
Fort James Corp. ...................................... 61,400 1,834,325
Owens-Illinois, Inc. *................................. 122,400 2,929,950
------------
4,764,275
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 5
55
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PHARMACEUTICALS -- 8.7%
Biogen, Inc.*.......................................... 69,000 $ 6,632,625
Bristol-Meyers Squibb Co. ............................. 110,000 13,853,125
Cardinal Health, Inc. ................................. 61,300 4,425,094
Lilly, (Eli) & Co. .................................... 142,500 13,492,969
Merck & Co., Inc. ..................................... 91,200 7,455,600
Pfizer, Inc. .......................................... 67,700 8,932,169
Schering-Plough Corp. ................................. 305,700 17,100,094
Warner-Lambert Co. .................................... 98,200 6,781,938
------------
78,673,614
------------
PRINTING & PUBLISHING -- 0.8%
McGraw-Hill Cos., Inc. ................................ 47,300 5,176,394
New York Times Co., Cl-A............................... 73,200 2,269,200
------------
7,445,594
------------
RESTAURANTS/LODGING -- 0.4%
McDonald's Corp. ...................................... 44,100 3,748,500
------------
RETAIL -- 5.6%
Gap, Inc. ............................................. 158,900 10,278,844
Home Depot, Inc. ...................................... 121,100 7,228,156
Lowe's Cos., Inc. ..................................... 148,200 8,790,113
TJX Cos., Inc. ........................................ 133,400 3,810,238
Wal-Mart Stores, Inc. ................................. 240,900 20,807,738
------------
50,915,089
------------
RETAIL FOOD/DRUG -- 1.0%
Albertson's, Inc. ..................................... 59,600 3,397,200
Kroger Co.*............................................ 80,400 5,200,875
------------
8,598,075
------------
SEMI-CONDUCTORS/INSTRUMENTATION -- 3.0%
Intel Corp. ........................................... 227,500 27,285,781
------------
TELECOMMUNICATIONS -- 0.2%
GTE Corp. ............................................. 32,100 2,082,488
------------
TOBACCO -- 1.1%
Philip Morris Cos., Inc................................ 265,200 10,375,950
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 6
56
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp...................... 91,500 $ 3,030,938
------------
UTILITIES -- ELECTRIC -- 1.5%
Edison International................................... 157,600 4,018,800
FPL Group, Inc......................................... 91,800 4,721,963
PECO Energy Co......................................... 141,400 5,010,863
------------
13,751,626
------------
UTILITIES -- GAS & PIPELINE -- 0.5%
Coastal Corp........................................... 142,400 4,556,800
------------
UTILITIES -- TELEPHONE -- 8.4%
Ameritech Corp......................................... 160,500 10,492,688
AT&T Corp.............................................. 218,300 17,927,888
Bell Atlantic Corp..................................... 143,442 8,238,950
BellSouth Corp......................................... 377,600 17,464,000
MCI WorldCom, Inc.*.................................... 158,400 13,068,000
Sprint Corp............................................ 24,900 2,136,731
U.S. West, Inc......................................... 129,200 6,887,975
------------
76,216,232
------------
Total Common Stocks (Cost $637,265,784)................. 893,490,566
------------
SHORT-TERM INVESTMENTS -- 1.3%
Temporary Investment Cash Fund......................... 5,763,277 5,763,277
Temporary Investment Fund.............................. 5,763,277 5,763,277
------------
Total Short-Term Investments (Cost $11,526,554)......... 11,526,554
------------
TOTAL INVESTMENTS -- 99.7% (COST $648,792,338)(a)....... 905,017,120
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3%........... 2,728,613
------------
NET ASSETS -- 100.0%.................................... $907,745,733
============
</TABLE>
- ---------------
Percentages are based on net assets of $907,745,733.
(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................................ $274,747,020
Unrealized depreciation................................ (18,522,238)
------------
Net unrealized appreciation............................ $256,224,782
============
</TABLE>
* Non-income producing security
See Notes to Financial Statements.
<PAGE> 7
57
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $648,792,338).... $905,017,120
Dividend receivable....................................... 1,011,470
Interest receivable....................................... 46,606
Receivable for investment securities sold................. 3,695,143
Contribution receivable................................... 1,841,451
Prepaid expenses.......................................... 2,864
------------
Total Assets................................................ 911,614,654
------------
LIABILITIES
Payable for investment securities purchased............... 1,548,028
Withdrawal payable........................................ 1,827,891
Advisory fees payable..................................... 350,196
Administration fees payable............................... 35,246
Audit fees payable........................................ 11,998
Fund accounting fees and expenses payable................. 30,401
Custodian fees payable.................................... 13,580
Legal fees payable........................................ 30,202
Other accrued expenses.................................... 21,379
------------
Total Liabilities........................................... 3,868,921
------------
NET ASSETS, FEBRUARY 28, 1999............................... $907,745,733
============
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 8
58
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Operations
For the year ended February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividend income (net of foreign withholding taxes of
$13,989)................................................ $ 10,829,267
Interest income (net of foreign withholding taxes of
$1,149)................................................. 1,336,549
------------
Total income............................................ 12,165,816
------------
EXPENSES:
Advisory fees............................................. 4,147,169
Administration fees....................................... 414,717
Fund accounting fees and expenses......................... 256,709
Audit fees................................................ 5,404
Custodian fees and expenses............................... 115,709
Legal fees................................................ 79,657
Trustees' fees............................................ 34,042
Amortization of organization costs........................ 10,435
Other expenses............................................ 77,396
------------
Total Expenses.......................................... 5,141,238
------------
NET INVESTMENT INCOME....................................... 7,024,578
------------
REALIZED/UNREALIZED GAINS ON INVESTMENTS:
Net realized gains on investment transactions and future
contracts............................................... 64,379,919
Net change in unrealized appreciation on investments and
futures................................................. 72,410,738
------------
Net realized/unrealized gains on investments and futures.... 136,790,657
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $143,815,235
============
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 9
59
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------
FEBRUARY 28, FEBRUARY 28,
1999 1998
------------- -------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.............................. $ 7,024,578 $ 6,579,844
Net realized gains on investment transactions...... 64,379,919 60,514,587
Net change in unrealized appreciation on
investments...................................... 72,410,738 111,253,126
------------- -------------
Change in net assets resulting from operations....... 143,815,235 178,347,557
------------- -------------
TRUST SHARE TRANSACTIONS:
Contributions...................................... 268,650,537 188,684,069
Withdrawals........................................ (223,373,638) (124,944,597)
------------- -------------
Change in net assets from Trust share transactions... 45,276,899 63,739,472
------------- -------------
Change in net assets................................. 189,092,134 242,087,029
NET ASSETS:
Beginning of Year.................................. 718,653,599 476,566,570
------------- -------------
End of Year........................................ $ 907,745,733 $ 718,653,599
============= =============
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 10
60
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
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 February 28, 1999, the Trust
consisted of two portfolios. The accompanying financial statements and notes are
those of the Blue Chip Portfolio (the "Portfolio") only.
The investment objective of the Fund is as follows:
The investment objective of the 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.
Adviser and Administrator
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 Corp., the Adviser'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
Funds on substantially identical terms as described in Note 3.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Portfolio 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
<PAGE> 11
61
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 Portfolio 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 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 Portfolio enters into the
contract. Upon entering into such a contract the Portfolio is 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 Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records 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 Portfolio invests
in stock index futures contracts solely for the purpose of hedging its existing
portfolio securities, or securities the Portfolio intends to purchase, against
fluctuations in value caused by changes in market conditions. The use of futures
transactions involves the risk of imperfect correlation in movements in the
price of futures contracts and the underlying hedged assets, and the possible
inability of counterparties to meet the terms of their contracts.
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 security and contractual transactions are determined on the identified
cost basis.
<PAGE> 12
62
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 Portfolio 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 Portfolio will be treated as a partnership for Federal income tax
purposes. As such, each investor in the Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that the
Portfolio 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 Portfolio has an Investment Advisory Agreement with Bank of America and
an Administration Agreement with PFPC.
As Adviser, 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% of the average daily net assets of
the Portfolio.
As Administrator, PFPC assists in supervising the operations of the
Portfolio. Pursuant to the terms of the Administration Agreement, PFPC is
entitled to a fee which is accrued daily and payable monthly, at an annual rate
of 0.05% of the Portfolio's 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.
<PAGE> 13
63
NOTE 4 -- SECURITIES TRANSACTIONS
During the year ended February 28, 1999, the Portfolio purchased and sold
portfolio securities, excluding short-term securities, in the following amounts:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Total Common Stocks.................................. $511,047,050 $458,605,162
</TABLE>
NOTE 5 -- PROPOSED REORGANIZATION
The Board of Trustees of the Master Investment Trust, Series I ("MIT") has
approved an Agreement and Plan of Reorganization ("Agreement") between MIT and
Nations Master Investment Trust. The Agreement provides for the transfer of all
of the assets of the Blue Chip Portfolio ("Portfolio") to the Nations Blue Chip
Master Portfolio in exchange solely for the number of shares of the Nations Blue
Chip Master Portfolio, having the same aggregate net asset value as the
outstanding shares of the Portfolio as of the close of business of the New York
Stock Exchange on the day that the Reorganization is effective. The Agreement
also provides for the assumption by the Nations Blue Chip Master Portfolio of
all of the liabilities of the Portfolio. The Reorganization can be consummated
only if, among other things, it is approved by the vote of a majority of
outstanding interests of the Portfolio. If the Agreement is approved, the
Reorganization is expected to become effective on or about May 21, 1999 for the
MIT Blue Chip Portfolio.
The following shareholders were invested in the Portfolio at February 28,
1999:
<TABLE>
<S> <C>
Pacific Horizon Blue Chip Fund.............................. 93.1%
World Horizon U.S. Equity Fund.............................. 6.9%
</TABLE>
<PAGE> 14
64
MASTER INVESTMENT TRUST SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------------------------
FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1998 1997 1996 1995
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Ratio of expenses to
average net assets........ 0.62% 0.65% 0.62% 0.31% 0.17%
Ratio of net investment
income to average net
assets.................... 0.85% 1.11% 1.62% 2.16% 2.30%
Ratio of expenses to
average net assets*....... (a) 0.70% 0.90% 0.90% 0.97%
Ratio of net investment
income to average net
assets*................... (a) 1.06% 1.34% 1.57% 1.50%
Portfolio Turnover......... 57% 67% 91% 108% 44%
</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) There were no waivers or reimbursements during the year.
- ---------------
See Notes to Financial Statements.
<PAGE> 15
65
MASTER INVESTMENT TRUST, SERIES I
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees
and Investors of
Master Investment Trust, Series I
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio 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 -- Blue
Chip Portfolio (the "Portfolio") at February 28, 1999, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the 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 Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these 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 February 28, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
As explained in Note 5, the Board of Trustees of the Master Investment Trust,
Series I has approved an agreement and plan of reorganization between Master
Investment Trust, Series I and Nations Master Investment Trust. A Special
Meeting is scheduled to be held on May 3, 1999 to seek approval of the merger of
Master Investment Trust, Series I -- Blue Chip Portfolio and the Nations Blue
Chip Master Portfolio.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
April 22, 1999
<PAGE> 16
For more information, complete the following form and mail it to:
Pacific Horizon Funds, Inc.
PO Box 8968
Wilmington, DE 19899-8968
................................................................................
First Name Last Name
................................................................................
Street Address
................................................................................
City State Zip Code
................................................................................
Area Code and Telephone Number
PLEASE CHECK ONE OF THE TWO BOXES BELOW SO WE CAN BETTER MEET YOUR NEED FOR
SERVICE.
[ ] A broker assisted me with the purchase of my Pacific Horizon Fund.
................................................................................
Name of Broker
................................................................................
Name of Brokerage Firm
[ ] I purchased my Pacific Horizon Fund without the assistance of a broker.
Please send me a free investing kit on the Pacific Horizon Fund(s) checked
below. The kit includes a prospectus, which has more complete information on
the Fund(s) such as charges and expenses. Read the prospectus carefully
before investing or sending money.
PACIFIC HORIZON FUNDS
<TABLE>
<S> <C>
[ ] International Equity Fund [ ] Intermediate Bond Fund
[ ] Aggressive Growth Fund [ ] U.S. Government Securities Fund
[ ] Blue Chip Fund [ ] Short-Term Government Fund
[ ] Capital Income Fund [ ] National Municipal Bond Fund
[ ] Asset Allocation Fund [ ] California Municipal Bond Fund
[ ] Flexible Income Fund
Money Market Funds
[ ] Prime Fund [ ] Treasury Only Fund
[ ] Treasury Fund [ ] Tax-Exempt Money Fund
[ ] Government Fund [ ] California Tax-Exempt Money Market Fund
</TABLE>
Additional Comments:
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
<PAGE> 17
Bulk
Rate
U.S.
Postage
PAID
New
York,
NY
Permit
No.
[Pacific Horizon Funds LOGO] 8048
Provident Distributor, Inc., Distributor
PHF-4012 4/99
<PAGE> 18
65
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments
February 28, 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 -- 21.5%
AESOP Funding II, Series
1997-1, Class A1, 144A... Aaa/AAA 6.22% 10/20/01 $ 2,000,000 $ 2,011,981
Asset Securitization
Corp., Series 1997-D5,
Class A1C................ Aaa/AAA 6.75% 02/14/41 3,050,000 3,107,889
Chevy Chase Auto
Receivables Trust, Series
1998, Class A............ Aaa/AAA 5.91% 12/15/04 1,030,773 1,035,516
Circuit City Credit Card
Master Trust, Series
1995-1, Class A.......... Aaa/AAA 6.375% 09/15/00 1,000,000 1,010,730
Citibank Credit Card
Master Trust I, Series
1997-6, Class A ZCB...... Aaa/AAA 6.407%+ 08/15/06 2,000,000 1,379,138
Commercial Mortgage
Acceptance Corp., Series
1998-C1, Class A2........ Aaa/AAA 6.49% 05/15/08 1,850,000 1,861,415
Contimortgage Home Equity
Loan Trust, Series
1996-4, Class A5......... Aaa/AAA 6.60% 10/15/11 2,000,000 2,012,010
Contimortgage Home Equity
Loan Trust, Series
1997-3, Class A5......... Aaa/AAA 7.01% 08/15/13 2,000,000 2,059,440
Daimler-Benz Vehicle
Trust, Series 1998-A,
Class A4................. Aaa/AAA 5.22% 12/22/03 2,000,000 1,959,060
First Chicago Master Trust
II, Series 1995-0, Class
A........................ Aaa/AAA 5.166% 12/15/02 1,340,000 1,346,298
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 19
66
<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 -- (CONTINUED)
General Growth Properties,
Series 1, Class A2,
144A*.................... Aaa/NR 6.602% 11/15/07 $ 1,900,000 $ 1,919,209
GMAC Commercial Mortgage
Securities, Inc., Series
1997-C2, Class A3........ Aaa/NR 6.566% 11/15/07 2,300,000 2,327,117
Lehman Brothers Commercial
Conduit Mortgage Trust,
Series 1998-C1, Class
A3....................... Aaa/NR 6.48% 01/18/08 2,100,000 2,108,505
Nomura Asset Securities
Corp., Series 1998-D6,
Class A1B................ Aaa/AAA 6.59% 03/17/28 2,180,000 2,183,335
Pemex Finance LTD, Series
1A, Class A1, 144A....... Aaa/AAA 5.72% 11/15/03 1,675,000 1,631,031
Standard Credit Card
Master Trust, Series
1995-3, Class A.......... Aaa/AAA 7.85% 02/07/02 2,500,000 2,552,599
The Money Store Home
Equity Trust, Series
1996-B, Class A6......... Aaa/AAA 7.38% 03/15/17 1,000,000 1,010,932
World Omni Automobile
Lease Securitization
Trust, Series 1997-A,
Class A4................. Aaa/AAA 6.90% 06/25/03 2,236,729 2,333,637
------------
Total Asset Backed
Securities (Cost
$33,868,795)............. 33,849,842
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 12.1%
Credit Suisse First Boston
Mortgage Securities
Corp., Series 1998-C1,
Class A1B................ Aaa/AAA 6.48% 05/17/08 2,250,000 2,235,083
Credit Suisse First Boston
Mortgage Securities
Corp., Series 1998-C2,
Class A2................. Aaa/NR 6.30% 11/15/08 500,000 496,955
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 20
67
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- (CONTINUED)
Criimi Mae Corp., Series
1998-1, Class A1, 144A... Aaa/AAA 5.697% 10/20/01 $ 2,148,796 $ 2,115,893
Donaldson Lufkin Jenrette
Commercial Mortgage
Corp., Series 1998-CG1,
Class A1B................ NR/AAA 6.41% 05/10/08 1,300,000 1,300,754
Donaldson Lufkin Jenrette
Commercial Mortgage
Corp., Series 1998-CF2,
Class A1B................ Aaa/NR 6.24% 11/12/31 1,500,000 1,482,495
First Union-Lehman
Brothers-Bank of America
Commercial Mortgage,
Series 1998-C2, Class
A2....................... Aaa/AAA 6.56% 11/18/08 2,250,000 2,273,490
Morgan Stanley Capital I,
Series 1998-HF2, Class
A2....................... AAA/AAA 6.48% 11/15/30 1,000,000 1,005,310
Mortgage Capital Funding,
Inc., Series 1998-MC1,
Class A2................. AAA/AAA 6.663% 01/18/08 2,950,000 2,965,104
Mortgage Capital Funding,
Inc., Series 1998-MC2,
Class A2................. Aaa/NR 6.423% 05/18/08 1,300,000 1,301,404
Prudential Security
Financial Corp. Notes.... Aaa/AAA 6.506% 07/15/08 2,200,000 2,196,150
Vendee Mortgage Trust Co.,
Series 1998-1, Class 2,
Interest Only
Obligation............... NR/NR 0.455% 09/15/27 61,622,912 948,438
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 21
68
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- (CONTINUED)
Vendee MortgageTrust Co.,
Series 1998-3, Class 1,
Interest Only
Obligation............... NR/NR 0.315% 03/15/29 $57,609,643 $ 697,595
------------
Total Collateralized
Mortgage Obligations
(Cost $19,617,585)....... 19,018,671
------------
CORPORATE OBLIGATIONS -- 32.0%
BANKS -- 1.7%
Banco Latinoamericano Bank
Guaranteed Notes 144A.... Baa1/BBB 6.59% 10/16/01 1,500,000 1,421,250
Capital One Bank Notes.... Baa3/BBB- 7.00% 04/30/01 1,250,000 1,259,375
------------
2,680,625
------------
BROKERAGE -- 2.9%
Bear Stearns Co. Senior
Notes.................... A2/A 6.15% 03/02/04 1,500,000 1,483,125
Lehman Brothers Holdings
Co. Senior Notes......... Baa1/A 7.20% 08/15/09 1,600,000 1,608,000
Salomon Smith Barney
Holdings, Inc. Notes..... Aa3/A 6.25% 05/15/03 1,500,000 1,488,591
------------
4,579,716
------------
CABLE & MEDIA -- 1.7%
Cox Radio, Inc. Company
Guaranteed Notes......... Baa2/A- 6.25% 05/15/03 1,300,000 1,300,000
Time Warner Inc., Pass-
Through Certificates
144A..................... Baa3/BBB 6.10% 12/30/01 1,350,000 1,355,063
------------
2,655,063
------------
CHEMICALS -- 1.0%
Praxair, Inc. Notes....... A3/BBB+ 6.75% 03/01/03 1,600,000 1,598,000
------------
COMMERCIAL SERVICES -- 1.9%
News America, Inc. Senior
Notes.................... Baa3/BBB- 6.625% 01/09/08 1,630,000 1,638,150
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 22
69
<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 -- (CONTINUED)
COMMERCIAL SERVICES -- (CONTINUED)
Service Corp.
International Senior
Notes.................... Baa1/BBB+ 6.30% 03/15/03 $ 1,300,000 $ 1,274,000
------------
2,912,150
------------
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 1,319,371
------------
ENERGY -- 1.6%
PSEG Capital Corp. Notes
144A..................... Baa2/BBB 6.74% 10/23/01 1,300,000 1,317,875
Williams Cos., Inc.
Notes.................... Baa2/BBB- 6.125% 02/01/01 1,200,000 1,198,500
------------
2,516,375
------------
FINANCIAL SERVICES -- 9.5%
AON Corp. Notes........... A3/AA- 7.40% 10/01/02 1,200,000 1,251,000
Associates Corp. of North
America Debentures....... Aa3/AA- 6.95% 11/01/18 1,500,000 1,543,125
Case Credit Corp. Company
Guaranteed Notes......... Baa1/A- 6.125% 02/15/03 1,300,000 1,295,125
Finova Capital Corp.
Notes.................... Baa1/A- 6.625% 09/15/01 1,500,000 1,516,875
Ford Motor Credit Corp.
Notes.................... A1/A 6.55% 09/10/02 1,800,000 1,829,250
GMAC Notes................ A2/A 5.75% 11/10/03 1,750,000 1,730,313
Hanson Overseas B.V.
Senior Notes............. A3/A 7.375% 01/15/03 1,500,000 1,552,500
Household Finance Corp.
Senior Unsub. Notes...... A2/A 5.875% 02/01/09 1,300,000 1,243,125
Newcourt Credit Group
Notes 144A............... Baa3/BBB 6.875% 02/16/05 1,600,000 1,566,000
USG Corp. Senior Notes.... Baa3/BBB 9.25% 09/15/01 1,400,000 1,487,500
------------
15,014,813
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 23
70
<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 -- (CONTINUED)
FOOD & KINDRED PRODUCTS -- 2.1%
James River Corp.
Debentures............... Baa2/BBB- 8.375% 11/15/01 $ 1,550,000 $ 1,641,063
Nabisco, Inc. Notes....... Baa2/BBB 6.125% 02/01/33 1,750,000 1,693,125
------------
3,334,188
------------
INSURANCE -- 2.4%
Aetna Services, Inc.
Company Guaranteed
Notes.................... A3/A 6.75% 08/15/01 2,700,000 2,737,125
Hartford Life, Inc.
Notes.................... A2/A 6.90% 06/15/04 1,000,000 1,022,500
------------
3,759,625
------------
MACHINERY & EQUIPMENT -- 1.0%
Thermo Electron Corp.
Notes.................... Baa2/A 7.625% 10/30/08 1,600,000 1,528,000
------------
RETAIL STORES -- 0.8%
Sears Roebuck Acceptance
Corp. Notes.............. A2/A- 6.00% 03/20/03 1,300,000 1,288,625
------------
TELECOMMUNICATIONS -- 1.9%
Cable & Wireless
Communications Notes..... Baa1/A- 6.375% 03/06/03 1,575,000 1,582,875
MCI Worldcom, Inc. Senior
Notes.................... Baa2/BBB+ 6.40% 08/15/05 1,400,000 1,417,500
------------
3,000,375
------------
UTILITIES -- 1.7%
Consumer Energy Co. Bonds,
Series B................. Baa3/BBB+ 6.20% 05/01/03 1,400,000 1,386,000
KN Energy, Inc. Senior
Notes.................... Baa2/BBB- 6.45% 03/01/03 1,200,000 1,201,500
------------
2,587,500
------------
Total Corporate
Obligations (Cost
$50,409,604)............. 50,274,426
------------
U.S. TREASURY OBLIGATIONS -- 23.4%
U.S. TREASURY NOTES -- 21.8%
U.S. Treasury Note........ 5.50% 12/31/00 10,000,000 10,054,536
U.S. Treasury Note........ 5.875% 09/30/02 8,800,000 8,965,550
U.S. Treasury Note........ 5.75% 08/15/03 11,150,000 11,339,723
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 24
71
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- (CONTINUED)
U.S. Treasury Note........ 4.25% 11/15/03 $ 1,500,000 $ 1,437,711
U.S. Treasury Note........ 5.625% 05/15/08 2,500,000 2,547,672
------------
34,345,192
------------
U.S. TREASURY STRIPS -- 1.6%
U.S. Treasury Strips...... 4.726%+ 08/15/03 1,500,000 1,190,891
U.S. Treasury Strips...... 4.646%+ 02/15/04 1,725,000 1,330,694
------------
2,521,585
------------
Total U.S. Treasury
Obligations (Cost
$37,718,194)............. 36,866,777
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.7%
Fannie Mae, Pool
Association, Pool
#19024................... 7.00% 02/01/28 11,654,915 11,796,959
Fannie Mae, Pool
Association, Pool
#345858.................. 6.257% 08/01/36 1,077,616 1,099,168
Federal Home Loan Bank.... 5.125% 09/15/03 2,000,000 1,960,768
Government National
Mortgage Association Pool
#136688.................. 10.00% 09/15/15 11,251 12,254
Government National
Mortgage Association Pool
#166744.................. 10.00% 07/15/16 194,510 211,833
Government National
Mortgage Association Pool
#209480.................. 10.00% 07/15/17 61,260 66,717
Government National
Mortgage Association Pool
#227082.................. 10.00% 08/15/17 84,506 92,032
------------
Total U.S. Government
Agency Obligations
(Cost $15,250,281)....... 15,239,731
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 25
72
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------ --------
<S> <C> <C>
TEMPORARY INVESTMENTS -- 1.4%
Temporary Investment Cash Fund............................. 1,061,634 $ 1,061,634
Temporary Investment Fund.................................. 1,061,634 1,061,634
------------
Total Temporary Investments (Cost $2,123,268)............... 2,123,268
------------
TOTAL INVESTMENTS -- 100.1% (COST $158,987,727)(a).......... 157,372,715
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1%)............. (83,940)
------------
NET ASSETS -- 100.0%........................................ $157,288,775
============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $157,288,775.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................... $ 548,606
Unrealized depreciation............................... (2,163,618)
-----------
Net unrealized depreciation........................... $(1,615,012)
===========
</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 year, these securities amounted to 8.5% 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.
+ Effective yield at purchase date.
* Private Placement Security.
See Notes to Financial Statements.
<PAGE> 26
73
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments in securities, at value (cost $158,987,727)... $157,372,715
Contribution receivable................................... 279,206
Interest receivable....................................... 1,629,725
Prepaid expenses.......................................... 569
------------
Total Assets................................................ 159,282,215
------------
LIABILITIES:
Withdrawal payable........................................ 441,158
Payable for securities purchased.......................... 1,480,335
Advisory fees payable..................................... 29,952
Audit fees payable........................................ 12,261
Fund accounting fees payable.............................. 6,040
Legal fees payable........................................ 5,868
Administration fees payable............................... 8,014
Other accrued expenses.................................... 9,812
------------
Total Liabilities........................................... 1,993,440
------------
NET ASSETS.................................................. $157,288,775
============
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 27
74
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Operations
For the year ended February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income........................................... $ 8,645,285
-----------
EXPENSES:
Advisory fees............................................. 428,998
Administration fees....................................... 71,499
Fund accounting fees and expenses......................... 91,875
Custodian fees............................................ 20,215
Amortization of organization costs........................ 10,366
Audit fees................................................ 739
Legal fees................................................ 7,889
Other operating expenses.................................. 7,319
-----------
Total Expenses.......................................... 638,900
Less: Fee waivers and reimbursements........................ (133,952)
-----------
Total Net Expenses.......................................... 504,948
-----------
NET INVESTMENT INCOME....................................... 8,140,337
-----------
NET REALIZED/UNREALIZED GAINS (LOSSES) ON INVESTMENTS FROM
MASTER INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND
PORTFOLIO:
Net realized gains on investment transactions............. 1,863,176
Net change in unrealized depreciation on investments...... (3,025,448)
-----------
Net realized/unrealized losses on investments............. (1,162,272)
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $ 6,978,065
===========
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 28
75
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------
FEBRUARY 28, FEBRUARY 28,
1999 1998
------------ ------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................. $ 8,140,337 $ 8,006,884
Net realized gains on investment transactions......... 1,863,176 128,505
Net change in unrealized appreciation (depreciation)
on investments...................................... (3,025,448) 2,039,776
------------ ------------
Change in net assets resulting from operations.......... 6,978,065 10,175,165
------------ ------------
TRUST SHARE TRANSACTIONS:
Contributions......................................... 62,766,190 46,344,058
Withdrawals........................................... (38,022,040) (70,109,582)
------------ ------------
Change in net assets resulting from Trust share
transactions.......................................... 24,744,150 (23,765,524)
------------ ------------
Change in net assets.................................... 31,722,215 (13,590,359)
NET ASSETS
Beginning of Year..................................... 125,566,560 139,156,919
------------ ------------
End of Year........................................... $157,288,775 $125,566,560
============ ============
</TABLE>
- ---------------
See Notes to Financial Statements.
<PAGE> 29
76
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
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 February 28, 1999, the Trust
consisted of two portfolios. The accompanying financial statements and notes are
those of the Investment Grade Bond Portfolio (the "Portfolio") only.
The investment objective of the Investment Grade Bond Portfolio is to obtain
interest income and capital appreciation by investing in investment grade
intermediate and longer term bonds, including corporate and governmental fixed
income obligations and mortgage-backed securities.
Bank of America National Trust and Savings Association ("Bank of America"),
a subsidiary of BankAmerica Corporation, serves as the Portfolio's investment
adviser. Effective September 15, 1997, PFPC, Inc. ("PFPC"), a wholly owned
subsidiary of PNC Bank Corp., serves as administrator for the Trust.
On October 1, 1998, BankAmerica, the Adviser'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 Funds
on substantially identical terms as described in Note 3.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Portfolio 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
<PAGE> 30
77
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 Portfolio may use an
independent pricing service, approved by the Board of Trustees, to value certain
of their 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.
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. 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.
FEDERAL INCOME TAXES:
The Portfolio will be treated as a partnership for Federal income tax
purposes. As such, each investor in the Portfolio will be taxed on their share
of that Portfolio's ordinary income and capital gains. It is intended that the
Portfolio 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 Portfolio has an Investment Advisory Agreement with Bank of America and
an Administration Agreement with PFPC.
As Adviser, 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 0.30% of the average daily net assets of
the Portfolio. For the year ended February 28, 1999, Bank of America waived
$133,952 in fees as Adviser of the Portfolio.
<PAGE> 31
78
As Administrator, PFPC assists in supervising the operations of the
Portfolio. Pursuant to the terms of the Administration Agreement, PFPC was
entitled to a fee which is accrued daily and payable monthly, at an annual rate
of 0.05% of the Portfolio's 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.
NOTE 4 -- SECURITIES TRANSACTIONS
During the year ended February 28, 1999, the Portfolio purchased and sold
portfolio securities, excluding short-term securities, in the following amounts:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Government....................................... $135,795,102 $143,717,277
Other................................................. 85,709,765 44,500,319
------------ ------------
Total................................................. $221,504,867 $188,217,596
============ ============
</TABLE>
NOTE 5 -- PROPOSED REORGANIZATION
The Board of Trustees of the Master Investment Trust, Series I ("MIT") has
approved an Agreement and Plan of Reorganization ("Agreement") between MIT and
Nations Master Investment Trust. The Agreement provides for the transfer of all
of the assets of the Investment Grade Bond Portfolio ("Portfolio") to the
Nations Intermediate Bond Master Portfolio in exchange solely for the number of
shares of the Nations Intermediate Bond Master Portfolio, having the same
aggregate net asset value as the outstanding shares of the Portfolio as of the
close of business of the New York Stock Exchange on the day that the
Reorganization is effective. The Agreement also provides for the assumption by
the Nations Intermediate Bond Master Portfolio of all of the liabilities of the
Portfolio. The Reorganization can be consummated only if, among other things, it
is approved by the vote of a majority of outstanding interests of the Portfolio.
If the Agreement is approved, the Reorganization is expected to become effective
on or about May 21, 1999 for the MIT Investment Grade Bond Portfolio.
<PAGE> 32
79
The following shareholders were invested in the Portfolio at February 28,
1999:
<TABLE>
<S> <C>
Pacific Horizon Intermediate Bond........................... 62.1%
World Horizon U.S. Bond..................................... 37.9%
</TABLE>
<PAGE> 33
80
MASTER INVESTMENT TRUST SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------------------------
FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999(a) 1998 1997 1996 1995
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Ratio of expenses to average
net assets.................... 0.35% 0.35% 0.35% 0.18% 0.25%
Ratio of net investment income
to average net assets......... 5.69% 5.99% 5.86% 6.47% 6.22%
Ratio of expenses to average
net assets*................... 0.45% 0.55% 0.65% 0.68% 0.75%
Ratio of net investment income
to average net assets*........ 5.59% 5.79% 5.56% 5.97% 5.72%
Portfolio Turnover............. 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.
See Notes to Financial Statements.
<PAGE> 34
81
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 statement of assets and liabilities, including
the portfolio 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 (the "Portfolio") at February 28, 1999, the
results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and the 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
Portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
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 February 28, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
As explained in Note 5, the Board of Trustees of the Master Investment Trust,
Series I has approved an agreement and plan or reorganization between Master
Investment Trust, Series I and Nations Master Investment Trust. A Special
Meeting is scheduled to be held on May 3, 1999 to seek approval of the merger of
Master Investment Trust, Series I -- Investment Grade Bond Portfolio and the
Nations Intermediate Bond Master Portfolio.
PricewaterhouseCoopers, LLP
1177 Avenue of the Americas
New York, New York
April 22, 1999
<PAGE> 35
For more information, complete the following form and mail it to:
Pacific Horizon Funds, Inc.
PO Box 8968
Wilmington, DE 19899-8968
................................................................................
First Name Last Name
................................................................................
Street Address
................................................................................
City State Zip Code
................................................................................
Area Code and Telephone Number
PLEASE CHECK ONE OF THE TWO BOXES BELOW SO WE CAN BETTER MEET YOUR NEED FOR
SERVICE.
[ ] A broker assisted me with the purchase of my Pacific Horizon Fund.
................................................................................
Name of Broker
................................................................................
Name of Brokerage Firm
[ ] I purchased my Pacific Horizon Fund without the assistance of a broker.
Please send me a free investing kit on the Pacific Horizon Fund(s) checked
below. The kit includes a prospectus, which has more complete information on
the Fund(s) such as charges and expenses. Read the prospectus carefully
before investing or sending money.
PACIFIC HORIZON FUNDS
<TABLE>
<S> <C>
[ ] International Equity Fund [ ] Intermediate Bond Fund
[ ] Aggressive Growth Fund [ ] U.S. Government Securities Fund
[ ] Blue Chip Fund [ ] Short-Term Government Fund
[ ] Capital Income Fund [ ] National Municipal Bond Fund
[ ] Asset Allocation Fund [ ] California Municipal Bond Fund
[ ] Flexible Income Fund
Money Market Funds
[ ] Prime Fund [ ] Treasury Only Fund
[ ] Treasury Fund [ ] Tax-Exempt Money Fund
[ ] Government Fund [ ] California Tax-Exempt Money Market Fund
</TABLE>
Additional Comments:
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
<PAGE> 36
Bulk Rate
U.S. Postage
PAID
New York, NY
Permit No. 8048
[PACIFIC HORIZON FUNDS LOGO]
Provident Distributor, Inc., Distributor
PHF-4006 4/99
