<PAGE>
June 30, 2000
Semi-Annual Report oo
Assets Allocation Fund
Bond Index Fund
Money Market Fund
S&P 500 Stock Fund
Advised by Barclays Global Fund Advisors
Sponsored and distributed by Stephens Inc.,
Member NYSE/SIPC
Barclays Global Investors Funds, Inc.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
To Our Shareholders..................................................... 1
Market Overview......................................................... 2
Managers' Discussion and Analysis....................................... 3
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
Statements of Assets and Liabilities................................. 7
Statements of Operations............................................. 7
Statements of Changes in Net Assets.................................. 8
Financial Highlights................................................. 10
Notes to the Financial Statements.................................... 12
MASTER INVESTMENT PORTFOLIO -- SCHEDULES OF INVESTMENTS
Asset Allocation Master Portfolio.................................... 14
Bond Index Master Portfolio.......................................... 21
Money Market Master Portfolio........................................ 26
S&P 500 Index Master Portfolio....................................... 28
MASTER INVESTMENT PORTFOLIO
Statements of Assets and Liabilities................................. 35
Statements of Operations............................................. 35
Statements of Changes in Net Assets.................................. 36
Notes to the Financial Statements.................................... 37
</TABLE>
<PAGE>
To Our Shareholders
The first half of the fiscal year, which ended June 30, 2000, can be
described as a period of significant volatility and opportunity. Highlights from
the year to date include:
. On February 1, the economic boom became the longest in history, with 107
months of continuous expansion.
. The Dow Jones Industrial Average (DJIA) achieved its biggest point
increase ever on March 16, rising 499.19 points. On April 14, the DJIA
experienced its biggest point drop ever, falling 617.78 points.
. The Federal Reserve Board raised short-term interest rates three times
during the first half of the year. At 6.5%, the federal funds rate now
stands at its highest level since January 1991.
As you read through this report and review the performance of the funds in
your portfolio, we urge you to maintain a long-term perspective when making
investment decisions. While one fund's recent performance may be better than
another's, it is important to remember that past performance is no guarantee of
future returns. Even as market conditions change, you should maintain your
investment strategy as long as it remains appropriate for your short- or
long-term objectives. One trait many successful investors share is the ability
to stay focused on their personal financial goals while ignoring temporary
market swings.
The Barclays Global Investors Funds offer a simple, cost-effective way for
you to invest in your future. We trust that the Funds are fulfilling your
expectations and will continue to do so. We appreciate your confidence and look
forward to continuing to help you meet your investment goals.
Barclays Global Investors Family of Funds June 2000
1
<PAGE>
Barclays Global Investors Funds Market Overview
Six-month period ending June 30, 2000
U.S. Equity Markets
Inflation fears and rising interest rates created turmoil in the equity
markets throughout the first half of 2000. Markets endured significant
volatility, with the Nasdaq logging both its largest intra-day price movement
and its largest single-day loss during the month of April.
In January, higher-than-expected fourth quarter GDP figures pointed to an
overheated economy. In response, the S&P 500 lost 5.02% for the month of
January, and the Dow Jones Industrial Average (DJIA) posted its worst monthly
performance since January 1990. The Federal Reserve Board raised interest rates
twice during the first quarter, on February 2 and again on March 21. Both rate
hikes were met with market rallies, as the moves were seen as preemptive
measures to keep the possibility of inflation in check. However, concerns about
higher interest rates and uncertainty about the growth of the economy began to
lead investors away from "new economy" stocks to more value-oriented "old
economy" stocks. The S&P 500 returned 2.29% for the first quarter. The
technology-heavy Nasdaq climbed 12.37% for the quarter, and the Wilshire 4500
gained 10.15%.
The second quarter saw even greater volatility than the first. On April 3,
a court ruled against Microsoft in an antitrust lawsuit filed by the government
and Microsoft fell 14.47% for the day, triggering a sell-off among technology
stocks. The Nasdaq plummeted 7.64% for the day. The sell-off spread to other
sectors on April 14 on news of a 0.7% increase in the Consumer Price Index,
which marked the largest jump in more than five years. The Nasdaq tumbled 9.67%,
marking its second-largest percentage decline ever. The DJIA fell 5.66%, and the
S&P 500 lost 5.83%. The move toward "old economy" stocks continued through May,
and the Nasdaq suffered while "value" sectors such as financials and utilities
performed well. A widely-anticipated 0.50% increase in interest rates by the
Federal Reserve on May 16 spurred further market declines: On May 23, the Nasdaq
reached its year low of 3164.55, representing a 37.32% drop from its historic
high on March 10. In June, economic reports pointed toward a slowing economy,
and the Federal Reserve left rates unchanged. The Nasdaq responded to the benign
interest-rate environment by rebounding sharply, recovering 16.62% for the
month.
U.S. Fixed-Income Markets
On the heels of its worst annual performance in 20 years, the bond market
staged an impressive comeback for the first half of 2000. Inflationary fears in
the second quarter caused bonds to stumble, only to resume their ascent in June.
The combination of lower yields on long-term bonds and further increases in
short-term rates by the Federal Reserve created an inverted yield curve, a
phenomenon not seen since 1990.
Suggestions of a rapidly growing economy continued in the first quarter of
2000. In addition to a high annualized GDP growth rate for the fourth quarter of
1999, unemployment figures came in at 4%, the lowest levels in 30 years. In an
effort to curb inflation potential, the Federal Reserve Board raised both the
discount rate and the federal funds rate 0.25% on February 2. On March 21, the
Federal Reserve Board raised both rates an additional 0.25%. The bond markets
rallied in response to the moves. After the March 21 rate increase, the 30-year
Treasury yield dipped to 5.97%.
Although the Federal Reserve Board raised long-term rates twice in the
first quarter, it was the Treasury that had the biggest impact on the bond
market. In January, the Treasury announced that it would buy back long-term
Treasury bonds in an effort to reduce outstanding government debt. This
announcement was followed by a February announcement that the Treasury would
curtail further auctions. In response to the impending reduced supply of long-
term U.S. Treasury bonds, long-term yields plunged, and bonds returned 7.7% in
the first quarter.
Continued strong economic indicators in April and May plagued the bond
market. Specifically, the Employment Index, released on April 27, demonstrated a
first quarter rise of 1.4%, well above the anticipated 1.0%. On May 16, the
Federal Reserve Board raised the federal funds rate target by 0.50%. This
increase was the sixth in a year, bringing the federal funds rate to 6.5% and
the discount rate to 6.0%. Near month end, economic figures suggested that the
economy might be approaching the Fed's desired "soft landing". June saw more
signs of a slowing economy, and bond markets rallied, erasing the losses of the
previous two months.
2
<PAGE>
Asset Allocation Fund
PERFORMANCE AS OF 6/30/00 Average Annual
Total Return
--------------------------------------------------------------------------------
Year to Date 4.05%
One Year (6/30/99-6/30/00) 7.51%
Five Year 16.59%
Since Inception Date (7/2/93-6/30/00) 14.62%
Average annual total return represents the Asset Allocation Fund's average
annual increase in value during the time periods noted above. These figures
assume that dividends and capital gain distributions have been reinvested in the
Fund at net asset value. The Fund's past performance is no guarantee of future
results. The investment return and principal value of shares of the Fund will
vary with changes in market conditions. Shares of the Fund may be worth more or
less than their original cost when they are redeemed.
The Asset Allocation Fund can invest in stocks, bonds and cash. The model used
to manage the Fund's assets continually monitors expected levels of risk and
return to determine the best mix of investments among the different asset
classes.
The Asset Allocation Fund's benchmark is composed of a mix of 60% of the return
of the S&P 500 Index and 40% of the return of the Lehman Brothers 20+ Treasury
Bond Index. At January 1, the Fund had a neutral position relative to its
benchmark, with 60% of the Fund's portfolio invested in large-cap stocks and 40%
in long-term government bonds. The Fund made three rebalancings during the
six-month period, finishing the period at a mix of 65/35/00 (stocks/bonds/cash).
For the period ended June 30, 2000, the Fund returned 4.05%, compared to the
benchmark's return of 3.77%.
Rebalancings of asset classes during the first half of 2000 coincided well with
market events. In response to the strong surge in equities at the end of 1999,
the Asset Allocation Fund was rebalanced in January, resulting in a mixture of
55% in equities and 45% in bonds. Fund performance benefited from this
allocation over the next several weeks, as declining stock prices and a strong
bond market helped the Fund outperform its benchmark. As bond yields continued
to decline into late February, a second rebalancing was made, restoring the Fund
to its benchmark allocation of 60/40/0 (stocks/bonds/cash). This reallocation
allowed the Fund to participate in the subsequent strength in equities in March.
As bond yields neared their lowest point for the year in mid-April, a final
rebalancing was made, resulting in a 5% underweighted position in bonds. March
inflation figures were released shortly after the rebalancing, sending bond
prices down.
Equity markets stumbled for the first two months of the year on the news of
strong economic indicators. March witnessed an interesting reversal of past
trends; as investors' fears of higher interest rates led them on a retreat from
growth stocks to the perceived security of value-oriented companies, "old
economy" stocks rallied at the expense of "new economy" stocks. The S&P 500
rallied, finishing the quarter in positive territory with a return of 2.29%.
This flight to safety continued through May, with equity markets suffering
losses amid extreme volatility. In June, more encouraging economic news and a
corresponding decision by the Federal Reserve Bank to leave rates unchanged
renewed investor interest, and resumed the trend toward investing in "new
economy" stocks.
Coming off its worst one-year performance in history in 1999, the bond market
rebounded sharply in the first quarter of 2000, returning 9.3%. The U.S.
Treasury's announcement in mid-January that it would begin buying back long-term
Treasury bonds in order to reduce outstanding government debt, followed by an
announcement in February that future auctions would be curtailed, sent long-term
bond yields sharply lower for most of the first quarter. As with the equity
markets, uncertainty about inflation and the growth rate of the U.S. economy
drove bond markets lower in April and May. The first quarter's supply-driven
rally in long-term bonds could not be sustained: the Lehman 20+ Treasury Bond
Index lost 1.00% in April, and dropped an additional 0.50% in May. However, when
both the Producer Price Index and the Consumer Price Index figures released in
June came in below expectations, the Index recovered, rising 2.17%.
As we move ahead, we will continue to strive to add value for shareholders by
attempting to achieve the optimal mix of equities and fixed-income securities in
the Fund.
The Asset Allocation Fund is organized as a "feeder" fund in a "master-feeder"
structure. Instead of investing directly in the individual securities in the
portfolio, the feeder fund, which is offered to the public, holds interests in
the net assets of the Master Portfolio. It is the Master Portfolio that actually
invests in the individual securities. References to "the Fund" are to the feeder
fund or the Master Portfolio. Barclays Global Fund Advisors (BGFA) advises the
Master Portfolio.
3
<PAGE>
Bond Index Fund
Average Annual
PERFORMANCE AS OF 6/30/00 Total Return
--------------------------------------------------------------------------------
Year to Date 3.87%
One Year (6/30/99-6/30/00) 3.97%
Five Year 5.66%
Since Inception Date (7/2/93-6/30/00) 5.44%
Average annual total return represents the Bond Index Fund's average annual
increase in value during the time periods noted above. These figures assume that
dividends and capital gain distributions have been reinvested in the Fund at net
asset value. The Fund's past performance is no guarantee of future results. The
investment return and principal value of shares of the Fund will vary with
changes in market conditions. Shares of the Fund may be worth more or less than
their original cost when they are redeemed.
The Bond Index Fund tracks the Lehman Brothers Government/Corporate Bond Index.
For the first half of the fiscal year, which ended June 30, 2000, the Fund
returned 3.87%, compared to the Index's return of 4.18%. As can be expected, the
Fund's performance lagged slightly, partially due to administrative and
management fees that are deducted from the Fund, and because a small percentage
of the Fund's assets are invested in low-risk, low-return money-market
securities used to process transactions.
The Fund invests in a representative sample of the securities that comprise the
Index in proportions that match their index weight. At the close of the period,
the Fund's portfolio was composed of 48.7% U.S. Treasury Bonds, 35.8% corporate
bonds, and 15.5% U.S. agency securities.
Indicators of an overheated economy resurfaced in the first quarter of 2000. The
annualized GDP growth rate for the fourth quarter of 1999, initially reported at
6.9%, was later revised to 7.3%. The unemployment rate fell to 3.9% in April,
its lowest level in 30 years. In response, the Federal Reserve Board raised the
federal funds target rate three times in the first half of 2000. Combined with a
shortage in supply of long-term bonds, these rate hikes caused Treasury
securities with shorter maturities to carry higher yields than those with longer
maturities. This phenomenon, known as an inverted yield curve, had not been
witnessed since 1990.
Short-term rates move in tandem with the federal funds target rate, which
increased by 1.00% (to 6.50%) in the first half of 2000. However, long bond
yields fell as a result of two significant policy changes instituted by the
Treasury. In January, the Treasury announced that it would buy back its
long-term bonds in an effort to reduce outstanding government debt. This was
followed by a February announcement that the Treasury would curtail further
30-year Treasury bond auctions. In response to the impending reduced supply of
long-term Treasury bonds, long-term yields plunged, as evidenced by the 9.30%
return on the Lehman Brothers 20+ Year Treasury Index in the first quarter.
Bonds languished in April and May amid continued reports of rapid economic
growth. Specifically, the Employment Index, released on April 27, demonstrated a
first quarter rise of 1.4%, well above the anticipated 1.0%. For the month of
April, the Lehman Brothers Government/Corporate Bond Index lost 0.49%. On
May 16, the Federal Reserve raised the federal funds rate target by 0.50%, its
third and largest increase in 2000. By month end, economic data demonstrated
signs of the Fed's intended slowdown. Bonds rallied in response, finishing the
month flat (-0.05%). June found more signs of a slowing economy, to which the
bond market responded favorably. The Lehman Brothers Government/Corporate Bond
Index returned 2.04% to finish the quarter up 1.45%.
The Fund will continue to pursue its objective of tracking the Lehman Brothers
Government/Corporate Bond Index as closely as possible.
The Bond Index Fund is organized as a "feeder" fund in a "master-feeder"
structure. Instead of investing directly in the individual securities in the
portfolio, the feeder fund, which is offered to the public, holds interests in
the net assets of the Master Portfolio. It is the Master Portfolio that actually
invests in the individual securities. References to "the Fund" are to the feeder
fund or the Master Portfolio. Barclays Global Fund Advisors (BGFA) advises the
Master Portfolio.
4
<PAGE>
Money Market Fund
PERFORMANCE AS OF 6/30/00 Seven-day Field
--------------------------------------------------------------------------------
6.32%
The seven-day yield is an annualized yield for the seven-day period ended
June 30, 2000. "Annualized yield" refers to the interest you would earn if you
held a share of the Money Market Fund for one year; the yield is prorated if you
hold a share of the Fund for a shorter period of time. The yield reflects
fluctuations in interest rates on the Fund's investments and expenses for the
Fund's administration and management.
The Money Market Fund invests in high-quality, short-term government and
corporate debt. During the first quarter, the U.S. economy showed continued
signs of strong growth. The Federal Reserve Board raised rates two times during
the quarter. In anticipation of further rate increases, the Fund remained
liquid, with a significant portion positioned in one- and three-month paper.
However, as a hedge against a slowing economy in the short term, a small portion
of the Fund was invested in one-year securities. In addition, the Fund's
exposure to floating rate assets was increased. Because floating rate notes
reset periodically, the portfolio can quickly adjust to movements in short-term
rates.
Prior to the May FOMC meeting, fears of aggressive tightening by the Federal
Reserve Bank led to a steepening of the yield curve that exceeded our
expectations of Fed actions. In response to these market conditions, the Fund
took the opportunity to purchase a modest amount of one-year securities at a
significantly inflated yield. Following the May rate hike, the Fund seized
another opportunity, extending heavily in the three- and six-month sector as the
higher yields on short-term debt reflected the possibility of two further rate
increases in the second half of 2000.
The Fund's semi-annual performance exceeded that of its peer group mainly due to
the following three factors: 1) the Fund benefited from higher-yielding assets
purchased at the end of 1999, when Y2K uncertainties had led many corporations
to issue short-term debt, causing an oversupply of short-term paper; 2) the Fund
had a relatively high amount of cash on hand leading into the May 16 FOMC
meeting. (This cash began to earn the adjusted, higher yield immediately after
the 0.50% increase); and 3) After weak economic data showed a low probability of
a Fed tightening in June, the Fund took advantage of higher yields offered for
extending further out the yield curve. This strategy of being liquid prior to
the FOMC meeting, along with well-timed extension, resulted in favorable
investment results in the first and second quarter.
Once we are confident the tightening cycle is coming to an end, the portfolio
will be extended in a manner that provides competitive returns, adequate
liquidity, and minimal credit risk.
The Money Market Fund is organized as a "feeder" fund in a "master-feeder"
structure. Instead of investing directly in the individual securities in the
portfolio, the feeder fund, which is offered to the public, holds interests in
the net assets of the Master Portfolio. It is the Master Portfolio that actually
invests in the individual securities. References to "the Fund" are to the feeder
fund or the Master Portfolio. Barclays Global Fund Advisors (BGFA) advises the
Master Portfolio.
5
<PAGE>
S&P 500 Stock Fund
Average Annual
PERFORMANCE AS OF 6/30/00 Total Return
--------------------------------------------------------------------------------
Year to Date -0.61%
One Year (6/30/99-6/30/00) 6.90%
Five Year 23.45%
Since Inception Date (7/2/93-6/30/00) 20.40%
Average annual total return represents the S&P 500 Stock Fund's average annual
increase in value during the time periods noted above. These figures assume that
dividends and capital gain distributions have been reinvested in the Fund at net
asset value. The Fund's past performance is no guarantee of future results. The
investment return and principal value of shares of the Fund will vary with
changes in market conditions. Shares of the Fund may be worth more or less than
their original cost when they are redeemed.
The goal of the S&P 500 Stock Fund is to match the performance of the Index as
closely as possible by holding all of the stocks in the S&P 500 Index in
proportions that match their index weights. For the period ended June 30, 2000,
the Fund returned -0.61%, compared to the Index's return of -0.43%. As can be
expected, the Fund's performance lagged slightly, partially due to
administrative and management fees deducted from the Fund.
After completing its five-year run of annual returns exceeding 20%, the S&P 500
Index stumbled during the first half of 2000. The Index endured one of the most
volatile environments in history, created by inflation worries and three
interest rate increases by the Federal Reserve Board, to finish the half
virtually flat, declining 0.43%.
Equity markets began the year on a negative note as high GDP figures sparked
interest-rate fears. Large-cap stocks were hit particularly hard. For example,
the S&P 500 Index lost 5.02% for the month of January. The Fed raised rates
twice during the first quarter, on February 2 and again on March 21. In response
to interest-rate concerns and uncertainty about the growth of the economy,
investors began to shun high-flying new economy stocks and returned to more
value-oriented old economy stocks. After falling in January and February, the
Index rebounded 9.78% in March, returning 2.29% for the first quarter.
The trend toward market volatility continued into the second quarter. On
April 3, a court ruled against Microsoft in an antitrust lawsuit, causing the
stock to plunge 14.47% for the day and triggering a sell-off among technology
stocks. The sell-off continued with the release of higher-than-expected economic
figures in mid-April. A widely anticipated 0.50% interest rate increase on
May 16, combined with suggestions of further hikes, sent prices lower. Finally,
in June, relief came in the form of lower-than-expected numbers for both the
Consumer Price Index and the Producer Price Index. The Fed left rates unchanged,
and the S&P 500 recovered 2.47% for the month, finishing the quarter down 2.66%.
Growth stocks were alternately in-and out-of favor during the first half of the
year, at times losing ground to value stocks. However, growth outpaced value for
the first half, returning 2.58% compared to value stocks' -4.07% return.
The Fund will continue to track the S&P 500 Index as closely as possible, by
investing in the same companies that make up the Index.
The S&P 500 Stock Fund is organized as a "feeder" fund in a "master-feeder"
structure. Instead of investing directly in the individual securities in the
portfolio, the feeder fund, which is offered to the public, holds interests in
the net assets of the Master Portfolio. It is the Master Portfolio that actually
invests in the individual securities. References to "the Fund" are to the feeder
fund or the Master Portfolio. Barclays Global Fund Advisors (BGFA) advises the
Master Portfolio.
6
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Asset Bond Money S&P 500
Allocation Index Market Stock
Fund Fund Fund Fund
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments:
In corresponding Master Portfolio, at market value (Note 1) $551,658,926 $84,861,412 $120,713,095 $2,609,205,990
------------ ----------- ------------ --------------
Total Assets 551,658,926 84,861,412 120,713,095 2,609,205,990
------------ ----------- ------------ --------------
LIABILITIES
Payables:
Distribution to shareholders 924,860 459,100 662,066 9,015,014
Due to BGI and Stephens (Note 2) 141,354 51,784 21,932 308,087
------------ ----------- ------------ --------------
Total Liabilities 1,066,214 510,884 683,998 9,323,101
------------ ----------- ------------ --------------
NET ASSETS $550,592,712 $84,350,528 $120,029,097 $2,599,882,889
============ =========== ============ ==============
Net assets consist of:
Paid-in capital $446,427,738 $92,974,950 $120,113,774 $1,254,852,189
Undistributed net investment income 25,648 15,568 -- 47,039
Undistributed net realized gain (loss) on investments 24,786,561 (2,012,798) (84,677) 476,640,993
Net unrealized appreciation (depreciation) of investments 79,352,765 (6,627,192) -- 868,342,668
------------ ----------- ------------ --------------
NET ASSETS $550,592,712 $84,350,528 $120,029,097 $2,599,882,889
============ =========== ============ ==============
Shares outstanding 42,609,909 9,195,535 120,086,468 97,379,163
============ =========== ============ ==============
Net asset value and offering price per share $ 12.92 $ 9.17 $ 1.00 $ 26.70
============ =========== ============ ==============
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENTS OF OPERATIONS
For the Six months ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Asset Bond Money S&P 500
Allocation Index Market Stock
Fund Fund Fund Fund
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING
MASTER PORTFOLIO
Dividends $ 1,889,772 $ -- $ -- $ 14,859,452
Interest 6,886,338 4,005,453 3,998,528 2,426,173
Expenses (953,538) (46,787) (64,635) (667,635)
----------- ----------- ---------- -------------
Net investment income allocated from corresponding Master
Portfolio 7,822,572 3,958,666 3,933,893 16,617,990
----------- ----------- ---------- -------------
FUND EXPENSES (Note 2)
Administration fees 1,089,327 87,973 226,201 1,996,292
----------- ----------- ---------- -------------
Total fund expenses 1,089,327 87,973 226,201 1,996,292
----------- ----------- ---------- -------------
Net investment income 6,733,245 3,870,693 3,707,692 14,621,698
----------- ----------- ---------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED
FROM MASTER PORTFOLIO
Net realized gain (loss) 20,091,806 (1,580,932) 10 449,411,961
Net change in unrealized appreciation (depreciation) (5,241,155) 1,321,613 -- (487,049,199)
----------- ----------- ---------- -------------
Net gain (loss) on investments 14,850,651 (259,319) 10 (37,637,238)
----------- ----------- ---------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $21,583,896 $ 3,611,374 $3,707,702 $ (23,015,540)
=========== =========== ========== =============
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
-------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 6,733,245 $ 11,114,343 $ 10,233,158
Net realized gain (loss) 20,091,806 95,145,321 54,934,107
Net change in unrealized
appreciation (depreciation) (5,241,155) (51,937,790) 25,525,970
------------ ------------- -------------
Net increase (decrease) in net assets
resulting from operations 21,583,896 54,321,874 90,693,235
------------ ------------- -------------
Distributions to shareholders:
From net investment income (6,711,276) (11,116,238) (10,229,071)
From net realized gain on sale of investments -- (96,148,832) (58,094,782)
------------ ------------- -------------
Total distributions to shareholders (6,711,276) (107,265,070) (68,323,853)
------------ ------------- -------------
Capital share transactions:
Proceeds from shares sold 50,577,296 124,350,359 163,909,555
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Net asset value of shares issued in reinvestment
of dividends and distributions 5,668,757 104,874,686 66,692,075
Cost of shares redeemed (83,049,397) (212,851,331) (188,624,236)
------------ ------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (26,803,344) 16,373,714 41,977,394
------------ ------------- -------------
Increase (decrease) in net assets (11,930,724) (36,569,482) 64,346,776
NET ASSETS:
Beginning of period 562,523,436 599,092,918 534,746,142
------------ ------------- -------------
End of period $550,592,712 $ 562,523,436 $ 599,092,918
============ ============= =============
Undistributed net investment income included
in net assets at end of period $ 25,648 $ 3,679 $ 15,720
============ ============= =============
SHARES ISSUED AND REDEEMED:
Shares sold 3,991,122 8,537,983 11,550,910
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Shares issued in reinvestment of
dividends and distributions 448,418 8,236,096 4,826,308
Shares redeemed (6,576,790) (14,605,085) (13,399,789)
------------ ------------- -------------
Net increase (decrease) in shares outstanding (2,137,250) 2,168,994 2,977,429
============ ============= =============
<CAPTION>
Bond Index Fund
-------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 3,870,693 $ 6,499,571 $ 6,528,751
Net realized gain (loss) (1,580,932) (812,122) 416,912
Net change in unrealized
appreciation (depreciation) 1,321,613 (6,734,904) (1,350,936)
------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations 3,611,374 (1,047,455) 5,594,727
------------ ------------ ------------
Distributions to shareholders:
From net investment income (3,855,125) (6,530,230) (6,537,256)
From net realized gain on sale of investments -- -- --
------------ ------------ ------------
Total distributions to shareholders (3,855,125) (6,530,230) (6,537,256)
------------ ------------ ------------
Capital share transactions:
Proceeds from shares sold 19,026,507 34,548,818 78,080,680
Issued in reorganization of US
Treasury Allocation Fund -- 16,787,993 --
Net asset value of shares issued in reinvestment
of dividends and distributions 3,365,706 6,485,976 6,494,980
Cost of shares redeemed (71,182,813) (43,593,061) (50,676,715)
------------ ------------ ------------
Net increase (decrease) in net assets
resulting from capital share transactions (48,790,600) 14,229,726 33,898,945
------------ ------------ ------------
Increase (decrease) in net assets (49,034,351) 6,652,041 32,956,416
NET ASSETS:
Beginning of period 133,384,879 126,732,838 93,776,422
------------ ------------ ------------
End of period $ 84,350,528 $133,384,879 $126,732,838
============ ============ ============
Undistributed net investment income included
in net assets at end of period $ 15,568 $ -- $ 19,349
============ ============= ============
SHARES ISSUED AND REDEEMED:
Shares sold 2,073,895 3,643,231 7,837,305
Issued in reorganization of US
Treasury Allocation Fund -- 1,801,287 --
Shares issued in reinvestment of dividends
and distributions 368,418 689,542 656,638
Shares redeemed (7,819,615) (4,582,712) (5,111,552)
------------ ------------ ------------
Net increase (decrease) in shares outstanding (5,377,302) 1,551,348 3,382,391
============ ============= ============
------------------------------------------------------------------------------------------------------------
</TABLE>
* For the ten months ended December 31, 1999. The Fund changed its fiscal year
end from February 28 to December 31.
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
<TABLE>
<CAPTION>
Money Market Fund
--------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 3,707,692 $ 6,062,634 $ 9,043,936
Net realized gain (loss) 10 4,390 --
Net change in unrealized
appreciation (depreciation) -- -- --
-------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations 3,707,702 6,067,024 9,043,936
-------------- -------------- ---------------
Distributions to shareholders:
From net investment income (3,707,692) (6,062,634) (9,043,936)
From net realized gain on sale of investments -- -- --
-------------- -------------- ---------------
Total distributions to shareholders (3,707,692) (6,062,634) (9,043,936)
-------------- -------------- ---------------
Capital share transactions:
Proceeds from shares sold 82,102,022 145,825,218 240,959,138
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Net asset value of shares issued in reinvestment
of dividends and distributions 72,246 3,386,009 8,796,812
Cost of shares redeemed (105,402,782) (210,569,633) (225,467,337)
-------------- -------------- ---------------
Net increase (decrease) in net assets resulting
from capital share transactions (23,228,514) (61,358,406) 24,288,613
-------------- -------------- ---------------
Increase (decrease) in net assets (23,228,504) (61,354,016) 24,288,613
NET ASSETS:
Beginning of period 143,257,601 204,611,617 180,323,004
-------------- -------------- ---------------
End of period $ 120,029,097 $ 143,257,601 $ 204,611,617
============== ============== ===============
Undistributed net investment income included
in net assets at end of period $ -- $ -- $ --
============== ============== ===============
SHARES ISSUED AND REDEEMED:
Shares sold 82,102,022 145,825,218 240,959,138
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Shares issued in reinvestment of
dividends and distributions 72,246 3,386,009 8,796,812
Shares redeemed (105,402,782) (210,569,633) (225,467,337)
-------------- -------------- ---------------
Net increase (decrease) in shares outstanding (23,228,514) (61,358,406) 24,288,613
============== ============== ===============
<CAPTION>
S&P 500 Stock Fund
-------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 14,621,698 $ 29,393,092 $ 34,062,094
Net realized gain (loss) 449,411,961 150,169,823 177,407,624
Net change in unrealized
appreciation (depreciation) (487,049,199) 306,323,963 202,382,736
-------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations (23,015,540) 485,886,878 413,852,454
-------------- -------------- ---------------
Distributions to shareholders:
From net investment income (16,601,673) (34,539,545) (34,259,853)
From net realized gain on sale of investments -- (221,767,624) (116,355,328)
-------------- -------------- ---------------
Total distributions to shareholders (16,601,673) (256,307,169) (150,615,181)
-------------- -------------- ---------------
Capital share transactions:
Proceeds from shares sold 423,253,330 685,106,140 1,128,532,649
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Net asset value of shares issued in reinvestment
of dividends and distributions 7,486,541 254,591,154 149,487,247
Cost of shares redeemed (635,677,775) (868,295,351) (1,290,233,516)
-------------- -------------- ---------------
Net increase (decrease) in net assets resulting
from capital share transactions (204,937,904) 71,401,943 (12,213,620)
-------------- -------------- ---------------
Increase (decrease) in net assets (244,555,117) 300,981,652 251,023,653
NET ASSETS:
Beginning of period 2,844,438,006 2,543,456,354 2,292,432,701
-------------- -------------- ---------------
End of period $2,599,882,889 $2,844,438,006 $ 2,543,456,354
============== ============== ===============
Undistributed net investment income included
in net assets at end of period $ 47,039 $ 2,027,014 $ 5,220,729
============== ============== ===============
SHARES ISSUED AND REDEEMED:
Shares sold 16,078,316 25,862,069 48,280,596
Issued in reorganization of US
Treasury Allocation Fund -- -- --
Shares issued in reinvestment of
dividends and distributions 271,744 9,600,367 6,314,659
Shares redeemed (24,196,136) (32,815,935) (55,820,972)
-------------- -------------- ---------------
Net increase (decrease) in shares outstanding (7,846,076) 2,646,501 (1,225,717)
============== ============== ===============
------------------------------------------------------------------------------------------------------------
</TABLE>
* For the ten months ended December 31, 1999. The Fund changed its fiscal year
end from February 28 to December 31.
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Six
Months Ended
Jun. 30, 2000 Period Ended Year Ended Year Ended Year Ended
(Unaudited) Dec. 31, 1999** Feb. 28, 1999 Feb. 28, 1998 Feb. 28, 1997
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.57 $ 14.07 $ 13.50 $ 12.12 $ 11.83
---------- ---------- ---------- ---------- ----------
Income from investment operations:
Net investment income 0.16 0.29 0.26 0.44 0.47
Net realized and unrealized gain (loss)
on investments 0.35 1.08 2.07 2.68 1.02
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.51 1.37 2.33 3.12 1.49
---------- ---------- ---------- ---------- ----------
Less distributions:
From net investment income (0.16) (0.29) (0.26) (0.44) (0.47)
From Net Realized Gains -- (2.58) (1.50) (1.30) (0.73)
---------- ---------- ---------- ---------- ----------
Total distributions (0.16) (2.87) (1.76) (1.74) (1.20)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 12.92 $ 12.57 $ 14.07 $ 13.50 $ 12.12
========== ========== ========== ========== ==========
Total return 4.05% 9.95% 17.83% 27.10% 13.09%
========== ========== ========== ========== ==========
Ratios/supplemental data:
Net assets, end of period (000s)+ $ 550,593 $ 562,523 $ 599,093 $ 534,746 $ 431,585
Ratio of expenses to average net assets(1)+ 0.75% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income to average net
assets(2)+ 2.47% 2.36% 1.84% 3.37% 3.95%
Portfolio turnover rate++ 26% 39% 33% 57% 43%
------------------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses N/A N/A N/A N/A N/A
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimbursed expenses N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Asset Allocation Fund
------------------------------------------------------------------------------------
Year Ended Year Ended
Feb. 29, 1996 Feb. 28, 1995
------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 9.93 $ 10.19
--------- ----------
Income from investment operations:
Net investment income 0.40 0.44
Net realized and unrealized gain (loss)
on investments 1.90 (0.14)
--------- ----------
Total from investment operations 2.30 0.30
--------- ----------
Less distributions:
From net investment income (0.40) (0.44)
From net realized gains -- (0.12)
--------- ----------
Total distributions (0.40) (0.56)
--------- ----------
Net asset value, end of period $ 11.83 $ 9.93
========= ==========
Total return 23.54% 3.28%
========== ==========
Ratios/Supplemental data:
Net assets, end of period (000s)+ $ 397,930 $ 293,696
Ratio of expenses to average net assets(1)+ 0.75% 0.75%
Ratio of net investment income to average
net assets(2)+ 3.62% 4.62%
Portfolio turnover rate++ 40% 24%*
------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses N/A 0.76%
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimbursed expenses N/A 4.61%
------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------
Six
Months Ended
Jun. 30, 2000 Period Ended Year Ended Year Ended Year Ended
(Unaudited) Dec. 31, 1999** Feb. 28, 1999 Feb. 28, 1998 Feb. 28, 1997
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.15 $ 9.73 $ 9.73 $ 9.43 $ 9.66
--------- --------- --------- --------- ----------
Income from investment operations:
Net investment income 0.33 0.50 0.60 0.64 0.63
Net realized and unrealized gain (loss)
on investments 0.02 (0.58) -- 0.30 (0.23)
--------- --------- --------- --------- ----------
Total from investment operations 0.35 (0.08) 0.60 0.94 0.40
--------- --------- --------- --------- ----------
Less distributions:
From net investment income (0.33) (0.50) (0.60) (0.64) (0.63)
--------- --------- --------- --------- ----------
Total distributions 0.33) (0.50) (0.60) (0.64) (0.63)
--------- --------- --------- --------- ----------
Net asset value, end of period $ 9.17 $ 9.15 $ 9.73 $ 9.73 $ 9.43
========= ========= ========= ========= ==========
Total return 3.87% (0.82)% 6.24% 10.36% 4.32%
========= ========= ========= ========= ==========
Ratios/Supplemental data:
Net assets, end of period (000s) $ 84,351 $ 133,385 $ 126,733 $ 93,776 $ 129,469
Ratio of expenses to average net assets(1)+ 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of net investment income to average
net assets(2)+ 6.61% 6.30% 6.10% 6.66% 6.69%
Portfolio turnover rate++ 22% 25% 28% 59% 39%
------------------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses N/A N/A N/A N/A 0.32%
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimbursed expenses N/A N/A N/A N/A 6.60%
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Bond Index Fund
------------------------------------------------------------------------------------
Year Ended Year Ended
Feb. 29, 1996 Feb. 28, 1995
------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 9.20 $ 9.76
--------- ---------
Income from investment operations:
Net investment income 0.64 0.64
Net realized and unrealized gain (loss)
on investments 0.46 (0.56)
--------- ---------
Total from investment operations 1.10 0.08
--------- ---------
Less distributions:
From net investment income (0.64) (0.64)
--------- ---------
Total distributions (0.64) (0.64)
--------- ---------
Net asset value, end of period $ 9.66 $ 9.20
========= =========
Total return 12.17% 1.12%
========= =========
Ratios/Supplemental data:
Net assets, end of period (000s) $ 58,090 $ 18,593
Ratio of expenses to average net assets(1)+ 0.23% 0.23%
Ratio of net investment income to average
net assets(2)+ 6.67% 7.08%
Portfolio turnover rate++ 21% 14%*
------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses 0.53% 0.71%
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimbursed expenses 6.37% 6.61%
------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May 26,
1994 the Funds (except for the Money Market Fund) invest all of their assets
in the corresponding Master Portfolio. Portfolio turnover after May 26, 1994
is reported by the Master Portfolio.
** For the ten months ended December 31, 1999. The Fund changed its fiscal year
end from February 28 to December 31.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the corresponding Master Portfolio.
++ Represents the Portfolio turnover rate of each Fund's corresponding Master
Portfolio.
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
FINANCIAL HIGHLIGHTS (Continued)
For a share outstanding throughout each period
<TABLE>
<CAPTION>
Money Market Fund
-------------------------------------------------------------------------------------------------
Six
Months Ended
Jun. 30, 2000 Period Ended Year Ended Year Ended Year Ended
(Unaudited) Dec. 31, 1999** Feb. 28, 1999 Feb. 28, 1998 Feb. 28, 1997
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Income from investment operations:
Net investment income 0.03 0.04 0.05 0.05 0.05
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.03 0.04 0.05 0.05 0.05
---------- ---------- ---------- ---------- ----------
Less distributions:
From net investment income (0.03) (0.04) (0.05) (0.05) (0.05)
---------- ---------- ---------- ---------- ----------
Total distributions (0.03) (0.04) (0.05) (0.05) (0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total return 2.87% 4.14% 5.15% 5.35% 5.10%
========== ========== ========== ========== ==========
Ratios/Supplemental data:
Net assets, end of period (000s) $ 120,029 $ 143,258 $ 205,317 $ 180,375 $ 177,046
Ratio of expenses to average net assets(1)+ 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income to average
net assets(2) 5.73% 4.86% 4.62% 5.23% 4.96%
----------------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses N/A N/A N/A N/A 0.48%
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimburse expenses N/A N/A N/A N/A 4.93%
----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Money Market Fund
-------------------------------
Year Ended Year Ended
FEB. 29, 1996 FEB. 28, 1995
-------------------------------
<S> <C> <C>
Net asset value,
Beginning of period $ 1.00 $ 1.00
-------- --------
Income from investment
operations:
Net investment income 0.05 0.04
-------- --------
Total from investment
operations 0.05 0.04
-------- --------
Less distributions:
From net investment
income (0.05) (0.04)
-------- --------
Total distributions (0.05) (0.04)
-------- --------
Net asset value, end of
period $ 1.00 $ 1.00
======== ========
Total return 5.60% 4.40%
======== ========
Ratios/Supplemental data:
Net assets, end of period (000s) $156,852 $147,269
Ratio of expenses to average net assets(1)+ 0.45% 0.45%
Ratio of net investment income to average
net assets(2)+ 5.44% 4.44%
---------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and
reimbursed expenses 0.49% 0.57%
(2) Ratio of net investment income to
average net assets prior to waived fees
and reimbursed expenses 5.40% 4.32%
---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Six
Months Ended
Jun. 30, 2000 Period Ended Year Ended Year Ended Year Ended
(Unaudited) Dec. 31, 1999** Feb. 28, 1999 Feb. 28, 1998 Feb. 28, 1997
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
Beginning of period $ 27.03 $ 24.80 $ 22.08 $ 17.03 $ 14.02
----------- ------------ ------------ ------------ ------------
Income from investment
operations:
Net investment income 0.15 0.29 0.34 0.33 0.32
Net realized and
unrealized gain
(loss)
on investments (0.31) 4.47 3.87 5.46 3.23
----------- ------------ ------------ ------------ ------------
Total from investment
operations (0.16) 4.76 4.21 5.79 3.55
----------- ------------ ------------ ------------ ------------
Less distributions:
From net investment
income (0.17) (0.34) (0.34) (0.33) (0.32)
From net realized gains -- (2.19) (1.15) (0.41) (0.22)
----------- ------------ ------------ ------------ ------------
Total distributions (0.17) (2.53) (1.49) (0.74) (0.54)
----------- ------------ ------------ ------------ ------------
Net asset value, end of
period $ 26.70 $ 27.03 $ 24.80 $ 22.08 $ 17.03
=========== ============ ============ ============ ============
Total return (0.61)% 19.67% 19.50% 34.62% 25.82%
=========== ============ ============ ============ ============
Ratios/Supplemental data:
Net assets, end of
period (000s) $ 2,599,883 $ 2,844,438 $ 2,543,456 $ 2,292,433 $ 1,423,024
Ratio of expenses to
average net
assets(1)+ 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment
income to average net
assets(2)+ 1.10% 1.29% 1.45% 1.73% 2.15%
Portfolio turnover rate++ 4% 7% 11% 6% 4%
--------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed expenses N/A N/A N/A N/A 0.22%
(2) Ratio of net
investment income to
average net assets
prior to waived fees
and reimbursed
expenses N/A N/A N/A N/A 2.13%
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
S&p 500 Stock Fund
------------------------------------
Year Ended Year Ended
FEB. 29, 1996 FEB. 28, 1995
---------------------------------------------------------------
<S> <C> <C>
Net asset value,
beginning of period $ 10.83 $ 10.50
-------- --------
Income from investment
operations:
Net investment income 0.31 0.27
Net realized and
unrealized gain
(loss)
on investments 3.36 0.41
-------- --------
Total from investment
operations 3.67 0.68
-------- --------
Less distributions:
From net investment
income (0.30) (0.27)
From net realized gains (0.18) (0.08)
-------- --------
Total distributions (0.48) (0.35)
-------- --------
Net asset value, end of
period $ 14.02 $ 10.83
======== ========
Total return 34.35% 6.71%
======== ========
Ratios/Supplemental data:
Net assets, end of
period (000s) $882,696 $448,776
Ratio of expenses to
average net
assets(1)+ 0.20% 0.21%
Ratio of net investment
income to average net
assets(2)+ 2.52% 2.93%
Portfolio turnover
rate++ 2% 8%*
---------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and
reimbursed expenses 0.26% 0.25%
(2) Ratio of net
investment income to
average net assets
prior to waived fees
and reimbursed
expenses 2.46% 2.88%
---------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May 26,
1994 the Funds (except for the Money Market Fund) invest all of their assets
in the corresponding Master Portfolio. Portfolio turnover after May 26, 1994
is reported by the Master Portfolio.
** For the ten months ended December 31, 1999. The Fund changed its fiscal
year end from February 28 to December 31.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Portfolio.
++ Represents the Portfolio turnover rate of each Fund's Corresponding Master
Portfolio.
The accompanying Notes are an integral part of these financial statements.
11
<PAGE>
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. Significant Accounting Policies
Barclays Global Investors Funds, Inc. (the "Company"), is registered under
the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
series investment company. The Company was established as a Maryland corporation
on October 15, 1992, commenced operations on July 2, 1993, and currently offers
the following funds: Asset Allocation, Bond Index, Institutional Money Market,
LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040,
Money Market and S&P 500 Stock Funds.
These financial statements relate to the Asset Allocation, Bond Index,
Money Market and S&P 500 Stock Funds (each, a "Fund", collectively, the
"Funds").
The following significant accounting policies are consistently followed by
the Company in the preparation of its financial statements, and such policies
are in conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
Investment Policy And Security Valuation
Each Fund invests all of its assets in a separate series (each a "Master
Portfolio") of Master Investment Portfolio. Each Master Portfolio has the same
investment objective as the Fund bearing the corresponding name. The value of
each Fund's investment in its corresponding Master Portfolio reflects that
Fund's interest in the net assets of that Master Portfolio (99.99%, 19.87%,
32.86% and 68.33% for the Asset Allocation, Bond Index, Money Market and
S&P 500 Stock Funds, respectively, as of June 30, 2000). The method by which the
Master Investment Portfolio values its securities is discussed in Note 1 of the
Master Investment Portfolio's Notes to Financial Statements, which are included
elsewhere in this report.
The Money Market Fund seeks to maintain a constant net asset value of $1.00
per share. There is no assurance that the Fund will meet this objective.
Security Transactions and Income Recognition
Each Fund records daily, its proportionate interest in the net investment
income and realized and unrealized capital gains and losses of its corresponding
Master Portfolio.
The performance of each Fund is directly affected by the performance of its
corresponding Master Portfolio. The financial statements of each Master
Portfolio, including the Schedules of Investments, are included elsewhere in
this report and should be read in conjunction with the corresponding Fund's
financial statements.
Distributions to Shareholders
Distributions to shareholders from net investment income of the Asset
Allocation and Bond Index Funds are declared and distributed monthly.
Distributions to shareholders from net investment income of the S&P 500 Stock
Fund are declared and distributed quarterly. Distributions to shareholders from
net investment income of the Money Market Fund are declared daily and
distributed monthly. Distributions to shareholders from any net realized capital
gains are declared and distributed annually, generally in December.
Due to the timing of distributions and the differences in accounting for
income and realized gains (losses) for financial statement and federal income
tax purposes, the fiscal year in which amounts are distributed may differ from
the year in which the income and realized gains (losses) were recorded by the
Funds.
Federal Income Taxes
Each Fund is treated as a separate entity for federal income tax purposes.
It is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions applicable to regulated investment
companies, as defined in the Internal Revenue Code of 1986, as amended and to
distribute annually substantially all of its income and any gains (taking into
account capital loss carryforwards) sufficient to relieve it from all, or
substantially all, federal income and excise taxes. Accordingly, no provision
for federal taxes was required at June 30, 2000.
12
<PAGE>
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)
The following Funds had net capital loss carryforwards at December 31,
1999, the tax year end of the Funds:
YEAR NET CAPITAL
FUND EXPIRES LOSS CARRYFORWARD
------------------------------------------------------------
Bond Index Fund 2005 $ 957
Bond Index Fund 2007 233,119
Money Market Fund 2003 53,117
Money Market Fund 2005 31,570
No capital gain distribution shall be made in any of the Funds until the
respective capital loss carryforward has been fully utilized or expires.
2. Agreements and Other Transactions with Affiliates
Investors Bank & Trust Company ("IBT") serves as the Custodian and
Sub-Administrator of the Funds. IBT will not be entitled to receive fees for its
custodial services so long as it is entitled to receive a separate fee from
Barclays Global Investors, N.A. ("BGI") for its services as Sub-Administrator of
the Funds. IBT also serves as the transfer agent and dividend disbursement agent
for the Funds.
Stephens Inc. ("Stephens"), is the Funds' distributor. Stephens does not
receive a fee for providing distribution services to the Funds.
The Company has entered into administration services arrangements with BGI
and Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Funds, such as managing and coordinating
third-party service relationships. This fee is an "all-in" or "semi-unified" fee
and BGI and Stephens, in consideration thereof, have agreed to bear all of the
Funds' ordinary operating expenses, excluding, generally, advisory fees and
costs related to securities transactions. BGI and Stephens may delegate certain
of their administration duties to sub-administrators.
Under these arrangements, BGI and Stephens are entitled to receive for
these administration services a combined fee of 0.40%, 0.15%, 0.35% and 0.15% of
the average daily net assets from the Asset Allocation, Bond Index, Money Market
and S&P 500 Stock Funds, respectively.
Certain officers and directors of the Company are also officers of
Stephens. As of June 30, 2000, these officers of Stephens collectively owned
less than 1% of the outstanding shares of each Fund.
3. Capital Share Transactions
As of June 30, 2000, there were 21.3 billion shares of $.001 par value
capital stock authorized by the Company. As of June 30, 2000, the Asset
Allocation, Bond Index, Money Market and S&P 500 Stock Funds were authorized to
issue 400 million, 500 million, 3 billion and 300 million shares of $.001 par
value capital stock, respectively. Transactions in capital shares for each Fund
are disclosed in detail in the Statements of Changes in Net Assets.
13
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments
Security Shares Value
---------------------------------------------------------
COMMON STOCKS - 63.85%
ADVERTISING - 0.16%
---------------------------------------------------------
Interpublic Group of Companies Inc. 7,956 $ 342,108
Omnicom Group Inc. 4,996 444,956
Young & Rubicam Inc. 2,003 114,547
---------------------------------------------------------
901,611
---------------------------------------------------------
AEROSPACE / DEFENSE - 0.65%
---------------------------------------------------------
Boeing Co. 24,727 1,033,898
General Dynamics Corp. 5,657 295,578
Goodrich (B.F.) Co. 3,158 107,569
Honeywell International Inc. 22,400 754,600
Lockheed Martin Corp. 11,260 279,389
Northrop Grumman Corp. 1,968 130,380
Raytheon Co. "B" 9,677 186,282
United Technologies Corp. 13,311 783,685
---------------------------------------------------------
3,571,381
---------------------------------------------------------
AIRLINES - 0.12%
---------------------------------------------------------
AMR Corp.+ 4,146 109,610
Delta Air Lines Inc. 3,536 178,789
Southwest Airlines Co. 14,203 268,969
US Airways Group Inc.+ 2,005 78,195
---------------------------------------------------------
635,563
---------------------------------------------------------
APPAREL - 0.09%
---------------------------------------------------------
Liz Claiborne Inc. 1,687 59,467
Nike Inc. "B" 7,827 311,612
Reebok International Ltd.+ 1,586 25,277
Russell Corp. 1,004 20,080
VF Corp. 3,379 80,462
---------------------------------------------------------
496,898
---------------------------------------------------------
AUTO MANUFACTURERS - 0.45%
---------------------------------------------------------
Ford Motor Co. 34,065 1,464,795
General Motors Corp. "A" 15,177 881,215
Navistar International Corp.+ 1,815 56,378
PACCAR Inc. 2,226 88,344
---------------------------------------------------------
2,490,732
---------------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.12%
---------------------------------------------------------
Cooper Tire & Rubber Co. 2,135 23,752
Dana Corp. 4,473 94,772
Delphi Automotive Systems Corp. 16,040 233,583
Goodyear Tire & Rubber Co. 4,417 88,340
TRW Inc. 3,459 150,034
Visteon Corp.+ 4,460 54,080
---------------------------------------------------------
644,561
---------------------------------------------------------
BANKS - 2.90%
---------------------------------------------------------
Amsouth Bancorp 11,065 174,274
Bank of America Corp. 46,765 2,010,895
Bank of New York Co. Inc. 20,912 972,408
Bank One Corp. 32,457 862,139
BB&T Corp. 9,841 234,954
Charter One Financial Inc. 5,900 135,700
Chase Manhattan Corp. 34,954 1,610,069
Comerica Inc. 4,413 198,033
Fifth Third Bancorp 8,766 554,450
First Union Corp. 27,793 689,614
Firstar Corp. 27,534 579,935
FleetBoston Financial Corp. 25,485 866,490
Golden West Financial Corp. 4,524 184,636
Huntington Bancshares Inc. 6,494 102,686
KeyCorp 12,476 219,890
Mellon Financial Corp. 13,967 508,923
Morgan (J.P.) & Co. Inc. 4,620 508,778
National City Corp. 17,321 295,540
Northern Trust Corp. 6,285 408,918
Old Kent Financial Corp. 3,903 104,401
PNC Bank Corp. 8,295 388,828
Regions Financial Corp. 6,191 123,046
SouthTrust Corp. 4,751 107,491
State Street Corp. 4,512 478,554
Summit Bancorp 4,934 121,500
SunTrust Banks Inc. 8,630 394,269
Synovus Financial Corp. 7,939 139,925
U.S. Bancorp 21,343 410,853
Union Planters Corp. 3,922 109,571
Wachovia Corp. 5,744 311,612
Washington Mutual Inc. 15,607 450,652
Wells Fargo & Company 45,480 1,762,350
---------------------------------------------------------
16,021,384
---------------------------------------------------------
BEVERAGES - 1.29%
---------------------------------------------------------
Anheuser-Busch Companies Inc. 12,780 954,506
Brown-Forman Corp. "B" 1,943 104,436
Coca-Cola Co. 69,830 4,010,861
Coca-Cola Enterprises 12,023 196,125
Coors (Adolph) Company "B" 1,029 62,254
PepsiCo Inc. 40,721 1,809,539
---------------------------------------------------------
7,137,721
---------------------------------------------------------
BIOTECHNOLOGY - 0.42%
---------------------------------------------------------
Amgen Inc.+ 28,929 2,032,262
Biogen Inc.+ 4,233 273,028
---------------------------------------------------------
2,305,290
---------------------------------------------------------
BUILDING MATERIALS - 0.07%
---------------------------------------------------------
Armstrong Holdings Inc. 1,190 18,222
Masco Corp. 12,716 229,683
Owens Corning 1,546 14,300
Vulcan Materials Co. 2,862 122,172
---------------------------------------------------------
384,377
---------------------------------------------------------
CHEMICALS - 0.57%
---------------------------------------------------------
Air Products & Chemicals Inc. 6,461 199,080
Ashland Inc. 2,006 70,335
Dow Chemical Co. 18,672 563,661
14
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
-----------------------------------------------------------------
CHEMICALS (Continued)
-----------------------------------------------------------------
Du Pont (E.I.) de Nemours 29,647 $ 1,297,056
Eastman Chemical Co. 2,220 106,005
Engelhard Corp. 3,573 60,964
Grace (W.R.) & Company+ 2,057 24,941
Great Lakes Chemical Corp. 1,654 52,101
Hercules Inc. 3,098 43,566
Praxair Inc. 4,457 166,859
Rohm & Haas Co. "A" 6,164 212,658
Sherwin-Williams Co. 4,700 99,581
Sigma-Aldrich Corp. 2,565 75,026
Union Carbide Corp. 3,761 186,169
-----------------------------------------------------------------
3,158,002
-----------------------------------------------------------------
COMMERCIAL SERVICES - 0.32%
-----------------------------------------------------------------
Block (H & R) Inc. 2,805 90,812
Cendant Corp.+ 20,000 280,000
Convergys Corp.+ 4,300 223,063
Deluxe Corp. 2,093 49,316
Donnelley (R.R.) & Sons Co. 3,536 79,781
Dun & Bradstreet Corp. 4,533 129,757
Ecolab Inc. 3,622 141,484
Equifax Inc. 3,960 103,950
McKesson HBOC Inc. 8,023 167,982
Paychex Inc. 10,471 439,761
Quintiles Transnational Corp.+ 3,281 46,344
-----------------------------------------------------------------
1,752,250
-----------------------------------------------------------------
COMPUTERS - 7.38%
-----------------------------------------------------------------
Adaptec Inc.+ 2,968 67,522
Apple Computer Inc.+ 9,088 475,984
Cabletron Systems+ 5,140 129,785
Ceridian Corp.+ 4,086 98,319
Cisco Systems Inc.+ 196,129 12,466,450
Compaq Computer Corp. 47,948 1,225,671
Computer Sciences Corp.+ 4,728 353,123
Dell Computer Corp.+ 72,711 3,585,561
Electronic Data Systems Corp. 13,240 546,150
EMC Corporation+ 61,212 4,709,498
Gateway Inc.+ 8,946 507,685
Hewlett-Packard Co. 28,252 3,527,969
International Business Machines Corp. 50,009 5,479,111
Lexmark International Group Inc. "A"+ 3,585 241,091
NCR Corp.+ 2,773 107,974
Network Appliance Inc.+ 8,652 696,486
Sapient Corp.+ 1,650 176,447
Seagate Technology Inc.+ 6,094 335,170
Sun Microsystems Inc.+ 44,700 4,064,906
3Com Corp.+ 9,687 558,213
Unisys Corp.+ 8,786 127,946
Veritas Software Corp.+ 10,957 1,238,312
-----------------------------------------------------------------
40,719,373
-----------------------------------------------------------------
COSMETICS / PERSONAL CARE - 0.99%
-----------------------------------------------------------------
Alberto-Culver Co. "B" 1,584 48,411
Avon Products Inc. 6,799 302,555
Colgate-Palmolive Co. 16,369 980,094
Gillette Co. 29,586 $ 1,033,661
International Flavors & Fragrances Inc. 3,015 91,015
Kimberly-Clark Corp. 15,726 902,279
Procter & Gamble Co. 36,975 2,116,819
-----------------------------------------------------------------
5,474,834
-----------------------------------------------------------------
DISTRIBUTION / WHOLESALE - 0.11%
-----------------------------------------------------------------
Costco Wholesale Corp.+ 12,587 415,371
Genuine Parts Co. 5,095 101,900
Grainger (W.W.) Inc. 2,662 82,023
-----------------------------------------------------------------
599,294
-----------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 3.38%
-----------------------------------------------------------------
American Express Co. 37,754 1,967,927
Associates First Capital Corp. 20,603 459,704
Bear Stearns Companies Inc. 3,256 135,531
Capital One Financial Corp. 5,559 248,070
Citigroup Inc. 95,191 5,735,258
Countrywide Credit Industries Inc. 3,227 97,818
Federal Home Loan Mortgage
Corporation 19,682 797,121
Federal National Mortgage
Association 28,482 1,486,404
Franklin Resources Inc. 6,996 212,504
Household International Inc. 13,293 552,490
Lehman Brothers Holdings Inc. 3,409 322,364
MBNA Corp. 22,779 617,880
Merrill Lynch & Co. Inc. 10,653 1,225,095
Morgan Stanley Dean Witter & Co. 31,927 2,657,923
Paine Webber Group Inc. 4,028 183,274
Price (T. Rowe) Associates 3,406 144,755
Providian Financial Corp. 3,980 358,200
Schwab (Charles) Corp. 37,550 1,262,619
SLM Holding Corp. 4,465 167,158
-----------------------------------------------------------------
18,632,095
-----------------------------------------------------------------
ELECTRIC - 1.05%
-----------------------------------------------------------------
AES Corp.+ 12,118 552,884
Ameren Corp. 3,881 130,984
American Electric Power Inc. 9,116 270,073
Cinergy Corp. 4,481 113,985
CMS Energy Corp. 3,323 73,521
Consolidated Edison Inc. 6,111 181,038
Constellation Energy Group Inc. 4,202 136,828
CP&L Energy Inc. 4,513 144,134
Dominion Resources Inc. 6,733 288,677
DTE Energy Co. 4,074 124,512
Duke Energy Corp. 10,377 585,003
Edison International 9,572 196,226
Entergy Corp. 6,638 180,471
FirstEnergy Corp. 6,598 154,228
Florida Progress Corp. 2,808 131,625
FPL Group Inc. 5,053 250,123
GPU Inc. 3,474 94,015
New Century Energies Inc. 3,275 98,250
Niagara Mohawk Holdings Inc.+ 5,060 70,524
15
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule Of Investments (Continued)
Security Shares Value
--------------------------------------------------------------
ELECTRIC (Continued)
--------------------------------------------------------------
Northern States Power Co. 4,381 $ 88,441
PECO Energy Co. 4,878 196,644
PG&E Corp. 10,831 266,713
Pinnacle West Capital Corp. 2,403 81,402
PP & L Resources Inc. 4,029 88,386
Public Service Enterprise Group Inc. 6,158 213,221
Reliant Energy Inc. 8,362 247,202
Southern Co. 18,435 429,766
TXU Corporation 7,578 223,551
Unicom Corp. 5,127 198,351
--------------------------------------------------------------
5,810,778
--------------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT - 0.22%
--------------------------------------------------------------
American Power Conversion Corp.+ 5,450 222,428
Emerson Electric Co. 12,098 730,417
Molex Inc. 5,517 265,506
--------------------------------------------------------------
1,218,351
--------------------------------------------------------------
ELECTRONICS - 0.95%
--------------------------------------------------------------
Agilent Technologies Inc.+ 12,777 942,304
Analog Devices Inc.+ 9,926 754,376
Johnson Controls Inc. 2,422 124,279
Linear Technology Corp. 8,814 563,545
Maxim Integrated Products Inc.+ 7,850 533,309
Millipore Corp. 1,274 96,028
Parker Hannifin Corp. 3,217 110,182
PE Corp. (Biosystems Group) 5,802 382,207
PerkinElmer Inc. 1,378 91,120
Sanmina Corp.+ 4,200 359,100
Solectron Corp.+ 16,796 703,332
Tektronix Inc. 1,321 97,754
Teradyne Inc.+ 4,808 353,388
Thermo Electron Corp.+ 4,535 95,518
Thomas & Betts Corp. 1,651 31,575
--------------------------------------------------------------
5,238,017
--------------------------------------------------------------
ENGINEERING & CONSTRUCTION - 0.01%
--------------------------------------------------------------
Fluor Corp. 2,182 69,006
--------------------------------------------------------------
69,006
--------------------------------------------------------------
ENTERTAINMENT - 0.01%
--------------------------------------------------------------
Harrah's Entertainment Inc.+ 3,628 75,961
--------------------------------------------------------------
75,961
--------------------------------------------------------------
ENVIRONMENTAL CONTROL - 0.07%
--------------------------------------------------------------
Allied Waste Industries Inc.+ 5,349 53,490
Waste Management Inc. 17,526 332,994
--------------------------------------------------------------
386,484
--------------------------------------------------------------
FOOD - 1.24%
--------------------------------------------------------------
Albertson's Inc. 11,976 398,202
Archer-Daniels-Midland Co. 17,160 168,382
Bestfoods 7,813 541,050
Campbell Soup Co. 12,051 350,985
ConAgra Inc. 13,925 $265,445
General Mills Inc. 8,358 319,693
Great Atlantic & Pacific Tea Co. 1,158 19,252
Heinz (H.J.) Co. 10,051 439,731
Hershey Foods Corp. 3,906 190,173
Kellogg Co. 11,471 341,262
Kroger Co.+ 23,719 523,300
Nabisco Group Holdings Corp. "A" 9,274 240,544
Quaker Oats Co. 3,720 279,465
Ralston Purina Co. 8,592 171,303
Safeway Inc.+ 14,099 636,217
Sara Lee Corp. 24,707 477,154
Super Value Inc. 3,950 75,297
Sysco Corp. 9,344 393,616
Unilever NV 16,212 697,116
Winn-Dixie Stores Inc. 4,145 59,325
Wrigley William Jr. Co. 3,303 264,859
--------------------------------------------------------------
6,852,371
--------------------------------------------------------------
FOREST PRODUCTS & PAPER - 0.25%
--------------------------------------------------------------
Boise Cascade Corp. 1,638 42,383
Fort James Corp. 5,996 138,658
Georgia-Pacific Corp. 4,816 126,420
International Paper Co. 13,652 407,000
Louisiana-Pacific Corp. 3,017 32,810
Mead Corp. 2,931 74,008
Potlatch Corp. 824 27,295
Temple-Inland Inc. 1,577 66,234
Westvaco Corp. 2,848 70,666
Weyerhaeuser Co. 6,635 285,305
Willamette Industries Inc. 3,155 85,974
--------------------------------------------------------------
1,356,753
--------------------------------------------------------------
GAS - 0.04%
--------------------------------------------------------------
Eastern Enterprises 751 47,313
NICOR Inc. 1,327 43,293
ONEOK Inc. 856 22,202
Peoples Energy Corp. 1,022 33,087
Sempra Energy 5,792 98,464
--------------------------------------------------------------
244,359
--------------------------------------------------------------
HAND/MACHINE TOOLS - 0.04%
--------------------------------------------------------------
Black & Decker Corp. 2,490 97,888
Snap-On Inc. 1,684 44,837
Stanley Works (The) 2,557 60,729
--------------------------------------------------------------
203,454
--------------------------------------------------------------
HEALTH CARE - 1.69%
--------------------------------------------------------------
Allergan Inc. 3,674 273,713
Bard (C.R.) Inc. 1,436 69,108
Bausch & Lomb Inc. 1,579 122,175
Baxter International Inc. 8,228 578,531
Becton Dickinson & Co. 7,198 206,493
Biomet Inc. 3,233 124,268
Boston Scientific Corp.+ 11,673 256,076
16
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule Of Investments (Continued)
Security Shares Value
-------------------------------------------------------------
HEALTH CARE (Continued)
-------------------------------------------------------------
Guidant Corp.+ 8,717 $ 431,491
HCA - The Healthcare Company 15,859 481,717
Healthsouth Corp.+ 10,975 78,883
Humana Inc.+ 4,733 23,073
Johnson & Johnson 39,252 3,998,798
Mallinckrodt Group Inc. 1,945 84,486
Manor Care Inc.+ 2,929 20,503
Medtronic Inc. 33,821 1,684,709
St. Jude Medical Inc.+ 2,398 110,008
Tenet Healthcare Corp. 8,855 239,085
UnitedHealth Group Inc. 4,624 396,508
Wellpoint Health Networks Inc.+ 1,831 132,633
-------------------------------------------------------------
9,312,258
-------------------------------------------------------------
HOLDING COMPANIES-DIVERSIFIED - 0.13%
-------------------------------------------------------------
Seagram Co. Ltd. 12,266 711,428
-------------------------------------------------------------
711,428
-------------------------------------------------------------
HOME BUILDERS - 0.02%
-------------------------------------------------------------
Centex Corp. 1,695 39,833
Kaufman & Broad Home Corp. 1,354 26,826
Pulte Corp. 1,241 26,837
-------------------------------------------------------------
93,496
-------------------------------------------------------------
HOME FURNISHINGS - 0.05%
-------------------------------------------------------------
Leggett & Platt Inc. 5,570 91,905
Maytag Corp. 2,360 87,025
Whirlpool Corp. 2,118 98,752
-------------------------------------------------------------
277,682
-------------------------------------------------------------
HOUSEHOLD PRODUCTS/WARES - 0.16%
-------------------------------------------------------------
American Greetings Corp. "A" 1,824 34,656
Avery Dennison Corp. 3,211 215,538
Clorox Co. 6,665 298,675
Fortune Brands Inc. 4,610 106,318
Newell Rubbermaid Inc. 7,699 198,249
Tupperware Corp. 1,623 35,706
-------------------------------------------------------------
889,142
-------------------------------------------------------------
INSURANCE - 1.89%
-------------------------------------------------------------
Aetna Inc. 3,994 256,365
AFLAC Inc. 7,517 345,312
Allstate Corp. 21,178 471,211
American General Corp. 6,993 426,573
American International Group 43,476 5,108,430
AON Corp. 7,284 226,259
Chubb Corp. 4,958 304,917
CIGNA Corp. 4,624 432,344
Cincinnati Financial Corp. 4,623 145,336
Conseco Inc. 9,396 91,611
Hartford Financial Services Group
Inc. 6,108 341,666
Jefferson-Pilot Corp. 2,977 168,014
Lincoln National Corp. 5,527 199,663
Loews Corp. 2,890 173,400
Marsh & McLennan Companies Inc. 7,560 789,548
MBIA Inc. 2,861 $ 137,864
MGIC Investment Corp. 2,990 136,045
Progressive Corporation 2,064 152,736
SAFECO Corp. 3,735 74,233
St. Paul Companies Inc. 6,087 207,719
Torchmark Corp. 3,685 90,968
UNUMProvident Corp. 6,850 137,428
-------------------------------------------------------------
10,417,642
-------------------------------------------------------------
IRON/STEEL - 0.03%
-------------------------------------------------------------
Allegheny Technologies Inc. 2,544 45,792
Bethlehem Steel Corp.+ 3,838 13,673
Nucor Corp. 2,487 82,537
USX-U.S. Steel Group Inc. 2,543 47,204
-------------------------------------------------------------
189,206
-------------------------------------------------------------
LEISURE TIME - 0.15%
-------------------------------------------------------------
Brunswick Corp. 2,650 43,891
Carnival Corp. "A" 17,272 336,804
Harley-Davidson Inc. 8,578 330,253
Sabre Holdings Corp. 3,620 103,170
-------------------------------------------------------------
814,118
-------------------------------------------------------------
LODGING - 0.06%
-------------------------------------------------------------
Hilton Hotels Corp. 10,453 97,997
Marriott International Inc. 6,896 248,687
-------------------------------------------------------------
346,684
-------------------------------------------------------------
MACHINERY - 0.23%
-------------------------------------------------------------
Briggs & Stratton Corp. 658 22,537
Caterpillar Inc. 9,969 337,700
Cummins Engine Company Inc. 1,201 32,727
Deere & Co. 6,616 244,792
Dover Corp. 5,775 234,248
Ingersoll-Rand Co. 4,629 186,317
McDermott International Inc. 1,688 14,876
Rockwell International Corp. 5,368 169,092
-------------------------------------------------------------
1,242,289
-------------------------------------------------------------
MANUFACTURERS - 4.03%
-------------------------------------------------------------
Cooper Industries Inc. 2,698 87,854
Corning Inc. 7,820 2,110,423
Crane Co. 1,878 45,659
Danaher Corp. 4,016 198,541
Eastman Kodak Co. 8,817 524,612
Eaton Corp. 2,079 139,293
FMC Corp.+ 893 51,794
General Electric Co. 278,736 14,773,008
Illinois Tool Works Inc. 8,527 486,039
ITT Industries Inc. 2,529 76,818
Minnesota Mining &
Manufacturing Co. 11,170 921,525
National Service Industries Inc. 1,149 22,406
Pall Corp. 3,505 64,843
Polaroid Corp. 1,334 24,095
17
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule Of Investments (Continued)
Security Shares Value
--------------------------------------------------------------
MANUFACTURERS (Continued)
--------------------------------------------------------------
PPG Industries Inc. 4,885 $ 216,467
Textron Inc. 4,124 223,985
Tyco International Ltd. 47,658 2,257,798
--------------------------------------------------------------
22,225,160
--------------------------------------------------------------
MEDIA - 2.08%
--------------------------------------------------------------
Clear Channel Communications Inc.+ 9,578 718,350
Comcast Corp. "A"+ 25,409 1,029,065
Disney (Walt) Co. 58,614 2,274,956
Dow Jones & Co. Inc. 2,552 186,934
Gannett Co. Inc. 7,600 454,575
Harcourt General Inc. 2,023 110,001
Knight Ridder Inc. 2,286 121,587
McGraw-Hill Companies Inc. 5,530 298,620
Meredith Corp. 1,444 48,735
New York Times Co. "A" 4,843 191,299
Time Warner Inc. 36,725 2,791,100
Tribune Co. 8,839 309,365
Viacom Inc. "B"+ 43,044 2,935,063
--------------------------------------------------------------
11,469,650
--------------------------------------------------------------
METAL FABRICATE / HARDWARE - 0.01%
--------------------------------------------------------------
Timken Co. 1,762 32,817
Worthington Industries Inc. 2,570 26,985
--------------------------------------------------------------
59,802
--------------------------------------------------------------
METALS-DIVERSIFIED - 0.20%
--------------------------------------------------------------
Alcan Aluminium Ltd. 6,208 192,448
Alcoa Inc. 24,466 709,514
Freeport-McMoRan Copper & Gold
Inc.+ 4,640 42,920
Inco Ltd.+ 5,381 82,733
Phelps Dodge Corp. 2,303 85,643
--------------------------------------------------------------
1,113,258
--------------------------------------------------------------
MINING - 0.08%
--------------------------------------------------------------
Barrick Gold Corp. 11,147 202,736
Homestake Mining Company 7,487 51,473
Newmont Mining Corp. 4,803 103,865
Placer Dome Inc. 9,266 88,606
--------------------------------------------------------------
446,680
--------------------------------------------------------------
OFFICE / BUSINESS EQUIPMENT - 0.12%
--------------------------------------------------------------
Pitney Bowes Inc. 7,369 294,760
Xerox Corp. 18,790 389,893
--------------------------------------------------------------
684,653
--------------------------------------------------------------
OIL & GAS PRODUCERS - 3.14%
--------------------------------------------------------------
Amerada Hess Corp. 2,587 159,747
Anadarko Petroleum Corp. 3,599 177,476
Apache Corp. 3,257 191,552
Burlington Resources Inc. 6,160 235,620
Chevron Corp. 18,399 1,560,465
Coastal Corp. 6,027 366,894
Conoco Inc. 17,711 $ 435,026
Exxon Mobil Corp. 97,846 7,680,911
Kerr-McGee Corp. 2,703 159,308
Occidental Petroleum Corp. 10,383 218,692
Phillips Petroleum Co. 7,184 364,139
Rowan Companies Inc.+ 2,611 79,309
Royal Dutch Petroleum Co. 60,480 3,723,300
Sunoco Inc. 2,557 75,272
Texaco Inc. 15,670 834,428
Tosco Corp. 4,035 114,241
Transocean Sedco Forex Inc. 5,906 315,602
Union Pacific Resources Group 7,140 157,080
Unocal Corp. 6,859 227,204
USX-Marathon Group Inc. 8,808 220,751
--------------------------------------------------------------
17,297,017
--------------------------------------------------------------
OIL & GAS SERVICES - 0.37%
--------------------------------------------------------------
Baker Hughes Inc. 9,317 298,144
Halliburton Co. 12,467 588,287
Schlumberger Ltd. 15,623 1,165,866
--------------------------------------------------------------
2,052,297
--------------------------------------------------------------
PACKAGING & CONTAINERS - 0.06%
--------------------------------------------------------------
Ball Corp. 867 27,907
Bemis Co. 1,495 50,269
Crown Cork & Seal Co. Inc. 3,685 55,275
Owens-Illinois Inc.+ 4,240 49,555
Pactiv Corp.+ 4,823 37,981
Sealed Air Corp.+ 2,397 125,543
--------------------------------------------------------------
346,530
--------------------------------------------------------------
PHARMACEUTICALS - 5.30%
--------------------------------------------------------------
Abbott Laboratories 43,522 1,939,449
ALZA Corp.+ 2,910 172,054
American Home Products Corp. 36,834 2,163,998
Bristol-Myers Squibb Co. 55,694 3,244,176
Cardinal Health Inc. 7,828 579,272
Lilly (Eli) and Company 31,472 3,143,266
MedImmune Inc.+ 5,700 421,800
Merck & Co. Inc. 64,895 4,972,579
Pfizer Inc. 178,306 8,558,700
Pharmacia & Upjohn Inc. 35,443 1,831,960
Schering-Plough Corp. 41,353 2,088,327
Watson Pharmaceutical Inc.+ 2,747 147,651
--------------------------------------------------------------
29,263,232
--------------------------------------------------------------
PIPELINES - 0.42%
--------------------------------------------------------------
Columbia Energy Group 2,321 152,316
EL Paso Energy Corp. 6,443 328,190
Enron Corp. 20,252 1,306,254
Williams Companies Inc. 12,310 513,173
--------------------------------------------------------------
2,299,933
--------------------------------------------------------------
RETAIL - 3.51%
--------------------------------------------------------------
AutoZone Inc.+ 3,894 85,668
18
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule Of Investments (Continued)
Security Shares Value
---------------------------------------------------------------
RETAIL (Continued)
---------------------------------------------------------------
Bed Bath & Beyond Inc.+ 3,932 $ 142,535
Best Buy Co. Inc.+ 5,799 366,787
Circuit City Stores Inc. 5,762 191,226
Consolidated Stores Corp.+ 3,145 37,740
CVS Corp. 11,061 442,440
Darden Restaurants Inc. 3,594 58,403
Dillards Inc. "A" 2,954 36,187
Dollar General Corp. 9,350 182,325
Federated Department Stores Inc.+ 5,927 200,036
Gap Inc. 24,112 753,500
Home Depot Inc. 65,183 3,255,076
Kmart Corp.+ 13,867 94,469
Kohls Corp.+ 9,262 515,199
Limited Inc. 12,182 263,436
Longs Drug Stores Inc. 1,105 24,034
Lowe's Companies Inc. 10,779 442,613
May Department Stores Co. 9,418 226,032
McDonald's Corp. 37,832 1,246,092
Nordstrom Inc. 3,771 90,975
Office Depot Inc.+ 9,350 58,438
Penney (J.C.) Company Inc. 7,399 136,419
RadioShack Corp. 5,372 254,499
Rite Aid Corp. 7,457 48,937
Sears, Roebuck and Co. 10,119 330,132
Staples Inc.+ 13,278 204,149
Starbucks Corp.+ 5,200 198,575
Target Corporation 12,401 719,258
Tiffany & Co. 2,050 138,375
TJX Companies Inc. 8,672 162,600
Toys R Us Inc.+ 6,389 93,040
Tricon Global Restaurants Inc.+ 4,230 119,498
Walgreen Co. 28,558 919,211
Wal-Mart Stores Inc. 125,710 7,244,039
Wendy's International Inc. 3,356 59,779
---------------------------------------------------------------
19,341,722
---------------------------------------------------------------
SEMICONDUCTORS - 4.05%
---------------------------------------------------------------
Advanced Micro Devices Inc.+ 4,162 321,515
Altera Corp.+ 5,650 575,947
Applied Materials Inc.+ 22,417 2,031,541
Conexant Systems Inc.+ 6,070 295,154
Intel Corp. 94,446 12,626,250
KLA-Tencor Corp.+ 5,186 303,705
LSI Logic Corp.+ 8,432 456,382
Micron Technology Inc.+ 15,288 1,346,300
National Semiconductor Corp.+ 4,835 274,386
Novellus Systems Inc.+ 3,650 206,453
Texas Instruments Inc. 45,958 3,156,740
Xilinx Inc.+ 9,083 749,915
---------------------------------------------------------------
22,344,288
---------------------------------------------------------------
SOFTWARE - 5.21
---------------------------------------------------------------
Adobe Systems Inc. 3,369 437,970
America Online Inc.+ 64,670 3,411,343
Autodesk Inc. 1,772 61,466
Automatic Data Processing 17,751 950,788
BMC Software Inc.+ 6,923 252,581
Citrix Systems Inc.+ 5,078 $ 96,165
Computer Associates International
Inc. 16,668 853,193
Compuware Corp.+ 10,220 106,033
First Data Corp. 11,674 579,322
IMS Health Inc. 8,627 155,286
Mercury Interactive Corp.+ 2,250 217,688
Microsoft Corp.+ 148,072 11,845,760
Novell Inc.+ 9,295 85,979
Oracle Corp.+ 79,968 6,722,310
Parametric Technology Corp.+ 7,781 85,591
PeopleSoft Inc.+ 7,617 127,585
Siebel Systems Inc.+ 5,450 891,416
Yahoo! Inc.+ 15,090 1,869,274
---------------------------------------------------------------
28,749,750
---------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT - 2.99%
---------------------------------------------------------------
ADC Telecommunications Inc.+ 9,526 798,988
Andrew Corp.+ 2,306 77,395
Comverse Technology Inc.+ 4,310 400,830
Lucent Technologies Inc. 91,323 5,410,888
Motorola Inc. 60,186 1,749,156
Nortel Networks Corp. 83,108 5,672,121
QUALCOMM Inc.+ 20,893 1,253,580
Scientific-Atlanta Inc. 4,469 332,941
Tellabs Inc.+ 11,364 777,724
---------------------------------------------------------------
16,473,623
---------------------------------------------------------------
TELECOMMUNICATIONS - 0.62%
---------------------------------------------------------------
Global Crossing Ltd.+ 24,857 654,050
Nextel Communications Inc. "A"+ 20,886 1,277,962
Sprint Corp. (PCS Group)+ 25,281 1,504,220
---------------------------------------------------------------
3,436,232
---------------------------------------------------------------
TELEPHONE - 3.72%
---------------------------------------------------------------
Alltel Corp. 8,913 552,049
AT&T Corp. 105,351 3,331,722
Bell Atlantic Corp. 43,662 2,218,575
BellSouth Corp. 53,123 2,264,368
CenturyTel Inc. 3,907 112,326
GTE Corp. 27,193 1,692,764
SBC Communications Inc. 95,990 4,151,568
Sprint Corp. (FON Group) 24,653 1,257,303
US West Communications Inc. 14,299 1,226,139
WorldCom Inc.+ 80,456 3,690,919
---------------------------------------------------------------
20,497,733
---------------------------------------------------------------
TEXTILES - 0.00%
---------------------------------------------------------------
Springs Industries Inc. "A" 508 16,351
---------------------------------------------------------------
16,351
---------------------------------------------------------------
TOBACCO - 0.32%
---------------------------------------------------------------
Philip Morris Companies Inc. 64,663 1,717,620
19
<PAGE>
ASSET ALLOCATION MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule Of Investments (Continued)
Security Shares Value
---------------------------------------------------------------
TOBACCO (Continued)
---------------------------------------------------------------
UST Inc. 4,845 $ 71,161
---------------------------------------------------------------
1,788,781
---------------------------------------------------------------
TOYS / GAMES / HOBBIES - 0.04%
---------------------------------------------------------------
Hasbro Inc. 4,967 74,815
Mattel Inc. 11,876 156,615
---------------------------------------------------------------
231,430
---------------------------------------------------------------
TRANSPORTATION - 0.26%
---------------------------------------------------------------
Burlington Northern Santa Fe Corp. 12,257 281,145
CSX Corp. 6,164 130,600
FedEx Corp.+ 8,208 311,904
Kansas City Southern Industries Inc. 3,134 277,947
Norfolk Southern Corp. 10,779 160,338
Union Pacific Corp. 7,043 261,912
---------------------------------------------------------------
1,423,846
---------------------------------------------------------------
TRUCKING & LEASING - 0.01%
---------------------------------------------------------------
Ryder System Inc. 1,689 31,985
---------------------------------------------------------------
31,985
---------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost: $275,222,914) 352,268,798
---------------------------------------------------------------
---------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS - 34.64%
U.S. GOVERNMENT SECURITIES - 34.64%
---------------------------------------------------------------
U.S. Treasury Bonds
5.25%, 11/15/28 $ 6,110,000 5,407,350
5.25%, 02/15/29 6,610,000 5,864,313
5.50%, 08/15/28 6,360,000 5,833,316
6.00%, 02/15/26 7,315,000 7,150,412
6.13%, 11/15/27 12,110,000 12,072,156
6.13%, 08/15/29 6,160,000 6,225,450
6.25%, 08/15/23 13,605,000 13,690,031
6.25%, 05/15/30 6,300,000 6,613,034
6.38%, 08/15/27 5,550,000 5,707,831
6.50%, 11/15/26 5,660,000 5,904,087
6.63%, 02/15/27 5,800,000 6,149,815
6.75%, 08/15/26 5,800,000 6,233,190
6.88%, 08/15/25 6,270,000 6,816,669
7.13%, 02/15/23 9,620,000 10,672,187
7.25%, 08/15/22 5,900,000 6,619,063
7.50%, 11/15/24 5,960,000 6,932,225
7.63%, 11/15/22 5,425,000 6,335,386
7.63%, 02/15/25 6,220,000 7,335,713
7.88%, 02/15/21 6,160,000 7,315,000
8.00%, 11/15/21 18,620,000 22,472,013
8.13%, 05/15/21 6,370,000 7,755,475
8.13%, 08/15/21 6,220,000 7,584,513
8.75%, 08/15/20 $ 11,235,000 $ 14,412,404
---------------------------------------------------------------
191,101,633
---------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $188,787,425) 191,101,633
---------------------------------------------------------------
SHORT TERM INSTRUMENTS - 2.69%
---------------------------------------------------------------
Federal Home Loan Mortgage
Corporation Discount Note
6.42%, 07/05/00++ 2,745,942 2,745,942
Goldman Sachs Financial Square
Prime Obligation Fund
6.57%, 07/03/00++ 1,530,405 1,530,405
Short Term Investment Company
Liquid Assets Portfolio
6.67%, 07/03/00++ 10,000,000 10,000,000
U.S. Treasury Bills
5.47%*, 09/21/00+++ 550,000 543,070
---------------------------------------------------------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $14,819,281) 14,819,417
---------------------------------------------------------------
REPURCHASE AGREEMENTS - 0.83%
---------------------------------------------------------------
Morgan Stanley Tri Party Repurchase
Agreement, dated 06/30/00, due
07/03/00 with a maturity value of
$4,561,435 and an effective yield
of 6.30%. 4,559,042 4,559,042
---------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $4,559,042) 4,559,042
---------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES - 102.01%
(Cost $483,388,662) 562,748,890
---------------------------------------------------------------
Other Assets, Less Liabilities - (2.01)% (11,089,944)
---------------------------------------------------------------
NET ASSETS - 100.00% $ 551,658,946
===============================================================
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
+++ These U.S. Treasury Bills are held in segregated accounts in
connection with the Master Portfolio's Holdings of S&p 500 Index
Futures contracts. See Note 1.
* Yield To Maturity.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
BOND INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments
Security Principal Value
----------------------------------------------------------------------
CORPORATE BONDS & NOTES - 32.11%
AEROSPACE / DEFENSE - 0.78%
----------------------------------------------------------------------
Lockheed Martin Corp.
8.20%, 12/01/09 $ 1,500,000 $ 1,514,256
Raytheon Co.
7.38%, 07/15/25 1,000,000 849,275
United Technologies Corp.
6.63%, 11/15/04 1,000,000 978,128
----------------------------------------------------------------------
3,341,659
----------------------------------------------------------------------
AUTO MANUFACTURERS - 1.34%
----------------------------------------------------------------------
Chrysler Corp.
7.45%, 03/01/27 1,500,000 1,436,962
Ford Motor Co.
6.38%, 02/01/29 1,000,000 816,214
8.88%, 04/01/06 1,500,000 1,591,153
General Motors Corp.
6.25%, 05/01/05 1,000,000 954,049
7.40%, 09/01/25 1,000,000 936,020
----------------------------------------------------------------------
5,734,398
----------------------------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.43%
----------------------------------------------------------------------
Delphi Automotive Systems Corp.
6.50%, 05/01/09 1,000,000 898,612
Goodyear Tire & Rubber Co.
6.63%, 12/01/06 1,000,000 939,357
----------------------------------------------------------------------
1,837,969
----------------------------------------------------------------------
BANKS - 5.13%
----------------------------------------------------------------------
ABN Amro Bank NV
7.30%, 12/01/26 500,000 440,665
Bank of New York Co. Inc.
6.50%, 12/01/03 1,000,000 968,576
Bank of Tokyo-Mitsubishi Ltd.
8.40%, 04/15/10 1,000,000 1,009,258
Bank One Corp.
6.40%, 08/01/02 1,000,000 981,848
8.10%, 03/01/02 1,000,000 1,010,368
BankAmerica Corp.
6.25%, 04/01/08 1,870,000 1,706,506
Chase Manhattan Corp.
5.75%, 04/15/04 1,000,000 943,821
Dresdner Bank AG
6.63%, 09/15/05 1,000,000 952,590
First Union Capital Corp.
8.04%, 12/01/26 2,000,000 1,757,366
First Union Corp.
6.63%, 07/15/05 500,000 476,246
International Bank of
Reconstruction & Development
6.38%, 07/21/05 1,000,000 972,468
KeyCorp
6.75%, 03/15/06 1,500,000 1,427,616
KFW International Finance Inc.
7.63%, 02/15/04 3,500,000 3,553,105
8.00%, 02/15/10 250,000 263,723
BANKS (Continued)
----------------------------------------------------------------------
Korea Development Bank
7.13%, 04/22/04 $ 1,000,000 $ 966,942
7.38%, 09/17/04 1,000,000 973,768
Mellon Capital II
8.00%, 01/15/27 1,000,000 904,086
NationsBank Corp.
7.75%, 08/15/15 1,000,000 972,288
Skandinaviska Enskilda Banken
6.88%, 02/15/09 500,000 464,045
Swiss Bank Corp.
7.38%, 07/15/15 1,200,000 1,144,871
----------------------------------------------------------------------
21,890,156
----------------------------------------------------------------------
BEVERAGES - 0.96%
----------------------------------------------------------------------
Anheuser-Busch Companies Inc.
9.00%, 12/01/09 1,500,000 1,659,628
Coca-Cola Enterprises
8.00%, 09/15/22 1,000,000 1,006,749
Diageo PLC
6.13%, 08/15/05 1,000,000 947,168
J Seagram & Sons Ltd.
7.50%, 12/15/18 500,000 471,975
----------------------------------------------------------------------
4,085,520
----------------------------------------------------------------------
CHEMICALS - 0.12%
----------------------------------------------------------------------
Dow Chemical Co.
8.63%, 04/01/06 500,000 530,582
----------------------------------------------------------------------
530,582
----------------------------------------------------------------------
COMPUTERS - 0.67%
----------------------------------------------------------------------
International Business Machines Corp.
5.63%, 04/12/04 3,000,000 2,858,523
----------------------------------------------------------------------
2,858,523
----------------------------------------------------------------------
COSMETICS / PERSONAL CARE - 0.23%
----------------------------------------------------------------------
Procter & Gamble Co.
6.88%, 09/15/09 1,000,000 974,525
----------------------------------------------------------------------
974,525
----------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 6.73%
----------------------------------------------------------------------
American General Finance Corp.
6.38%, 03/01/03 1,000,000 974,076
Associates Corp. NA
6.25%, 11/01/08 1,500,000 1,344,702
6.95%, 11/01/18 1,000,000 879,737
Bear Stearns Companies Inc.
6.75%, 04/15/03 1,000,000 976,664
CIT Group Holdings
6.63%, 06/15/05 1,000,000 944,645
Citigroup Inc.
7.88%, 05/15/25 1,000,000 991,369
Countrywide Funding Corp.
6.88%, 09/15/05 1,000,000 948,225
21
<PAGE>
BOND INDEX MASTER PORTFOLIO
JUne 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Principal Value
----------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES (Continued)
----------------------------------------------------------------
Ford Motor Credit Co.
6.50%, 02/28/02 $ 3,400,000 $ 3,352,359
7.50%, 06/15/03 1,000,000 995,563
General Motors Acceptance Corp.
7.13%, 05/01/03 4,500,000 4,463,856
Household Finance Corp.
6.00%, 05/01/04 2,000,000 1,884,770
6.70%, 06/15/02 1,000,000 981,061
Lehman Brothers Inc.
7.63%, 06/01/06 2,500,000 2,435,450
Merrill Lynch & Co. Inc.
6.00%, 02/17/09 3,000,000 2,654,319
6.38%, 10/15/08 1,000,000 910,705
Morgan Stanley Dean Witter & Co.
7.13%, 01/15/03 1,000,000 993,347
8.00%, 06/15/10 1,000,000 1,009,857
Norwest Financial Inc.
5.38%, 09/30/03 1,000,000 942,224
Pemex Finance Ltd.
9.69%, 08/15/09 1,000,000 1,054,260
----------------------------------------------------------------
28,737,189
----------------------------------------------------------------
ELECTRIC - 2.75%
----------------------------------------------------------------
Duke Energy Corp.
6.00%, 12/01/28 2,000,000 1,584,084
Enersis SA
7.40%, 12/01/16 1,000,000 865,807
Houston Lighting & Power Co.
6.50%, 04/21/03 4,000,000 3,895,036
Korea Electric Power Corp.
6.38%, 12/01/03 1,000,000 942,709
Niagara Mohawk Power Corp.
7.38%, 07/01/03 756,098 743,943
7.63%, 10/01/05 529,268 520,085
Northern States Power Co.
6.50%, 03/01/28 1,500,000 1,281,182
Texas Utilities Co.
6.38%, 01/01/08 1,000,000 899,864
Virginia Electric & Power Co.
7.38%, 07/01/02 1,000,000 1,002,482
----------------------------------------------------------------
11,735,192
----------------------------------------------------------------
FOOD - 0.74%
----------------------------------------------------------------
Albertson's Inc.
6.63%, 06/01/28 1,000,000 825,305
Archer-Daniels-Midland Co.
8.38%, 04/15/17 500,000 517,726
Fred Meyer Inc.
7.45%, 03/01/08 1,000,000 956,417
Kroger Co.
7.00%, 05/01/18 1,000,000 872,229
----------------------------------------------------------------
3,171,677
----------------------------------------------------------------
HEALTH CARE - 0.47%
----------------------------------------------------------------
Baxter International Inc.
7.63%, 11/15/02 1,000,000 1,008,335
HEALTH CARE (Continued)
----------------------------------------------------------------
Becton Dickinson & Co.
7.15%, 10/01/09 $ 1,000,000 $ 982,357
----------------------------------------------------------------
1,990,692
----------------------------------------------------------------
INSURANCE - 0.22%
----------------------------------------------------------------
Aetna Services Inc.
7.13%, 08/15/06 1,000,000 948,474
----------------------------------------------------------------
948,474
----------------------------------------------------------------
MACHINERY-CONSTRUCTION & MINING - 0.23%
----------------------------------------------------------------
Caterpillar Inc.
7.25%, 09/15/09 1,000,000 980,888
----------------------------------------------------------------
980,888
----------------------------------------------------------------
MANUFACTURERS - 0.20%
Tyco International Group
6.88%, 01/15/29 1,000,000 855,130
----------------------------------------------------------------
855,130
----------------------------------------------------------------
MEDIA - 2.45%
----------------------------------------------------------------
Comcast Cable Communications
8.38%, 05/01/07 2,000,000 2,038,628
Disney (Walt) Co.
5.13%, 12/15/03 2,000,000 1,874,334
6.75%, 03/30/06 500,000 489,414
Time Warner Entertainment Co.
8.38%, 03/15/23 2,500,000 2,554,110
Viacom Inc.
7.75%, 06/01/05 3,500,000 3,524,392
----------------------------------------------------------------
10,480,878
----------------------------------------------------------------
MULTI-NATIONAL - 0.73%
----------------------------------------------------------------
African Development Bank
7.75%, 12/15/01 500,000 503,946
Asian Development Bank
6.75%, 06/11/07 1,000,000 977,674
Inter-American Development Bank
5.75%, 02/26/08 1,000,000 918,784
8.40%, 09/01/09 200,000 216,477
8.50%, 03/15/11 450,000 495,393
----------------------------------------------------------------
3,112,274
----------------------------------------------------------------
OIL & GAS PRODUCERS - 1.13%
----------------------------------------------------------------
Amoco Canada
7.25%, 12/01/02 1,000,000 1,002,726
Conoco Inc.
5.90%, 04/15/04 2,000,000 1,905,182
Kerr-McGee Corp.
6.63%, 10/15/07 1,120,000 1,042,383
Phillips 66 Capital Trust II
8.00%, 01/15/37 1,000,000 861,060
----------------------------------------------------------------
4,811,351
----------------------------------------------------------------
22
<PAGE>
BOND INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Principal Value
--------------------------------------------------------------
PHARMACEUTICALS - 0.23%
--------------------------------------------------------------
American Home Products Corp.
6.50%, 10/15/02 $ 1,000,000 $ 989,941
--------------------------------------------------------------
989,941
--------------------------------------------------------------
PIPELINES - 0.23%
--------------------------------------------------------------
Sonat Inc.
7.63%, 07/15/11 1,000,000 977,437
--------------------------------------------------------------
977,437
--------------------------------------------------------------
REAL ESTATE - 0.22%
--------------------------------------------------------------
EOP Operating LP
6.38%, 02/15/03 1,000,000 960,189
--------------------------------------------------------------
960,189
--------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.22%
--------------------------------------------------------------
Prologis Trust
7.10%, 04/15/08 1,000,000 917,672
--------------------------------------------------------------
917,672
--------------------------------------------------------------
RETAIL - 0.86%
--------------------------------------------------------------
Penney (J.C.) Company Inc.
8.25%, 08/15/22 2,000,000 1,546,500
Wal-Mart Stores Inc.
8.50%, 09/15/24 2,000,000 2,120,314
--------------------------------------------------------------
3,666,814
--------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT - 0.23%
--------------------------------------------------------------
Motorola Inc.
7.50%, 05/15/25 1,000,000 993,539
--------------------------------------------------------------
993,539
--------------------------------------------------------------
TELECOMMUNICATIONS - 0.30%
--------------------------------------------------------------
Bell Telephone Canada
9.50%, 10/15/10 250,000 282,887
MCI Communications Corp.
6.13%, 04/15/02 1,000,000 976,450
--------------------------------------------------------------
1,259,337
--------------------------------------------------------------
TELEPHONE - 3.46%
--------------------------------------------------------------
AT&T Corp.
6.00%, 03/15/09 1,500,000 1,337,459
6.50%, 09/15/02 2,000,000 1,966,454
Deutsche Telekom
International Finance
8.25%, 06/15/30 1,000,000 1,016,900
New York Telephone Co.
6.00%, 04/15/08 500,000 446,364
7.00%, 12/01/33 2,305,000 2,013,418
Sprint Capital Corp.
6.13%, 11/15/08 4,000,000 3,564,100
U.S. West Capital Funding Inc.
6.13%, 07/15/02 1,000,000 978,346
TELEPHONE (Continued)
--------------------------------------------------------------
US West Communications Inc.
7.63%, 06/09/03 $ 1,000,000 $ 998,124
WorldCom Inc.
6.25%, 08/15/03 1,000,000 964,058
7.55%, 04/01/04 1,500,000 1,497,951
--------------------------------------------------------------
14,783,174
--------------------------------------------------------------
TOBACCO - 0.10%
--------------------------------------------------------------
Imperial Tobacco Group PLC
7.13%, 04/01/09 500,000 444,723
--------------------------------------------------------------
444,723
--------------------------------------------------------------
TRANSPORTATION - 0.95%
--------------------------------------------------------------
Canadian National Railway Co.
6.45%, 07/15/00 1,300,000 1,209,667
CSX Corp.
7.90%, 05/01/17 1,000,000 949,723
Norfolk Southern Corp.
7.80%, 05/15/27 1,000,000 961,520
Union Pacific Corp.
6.79%, 11/09/07 1,000,000 934,546
--------------------------------------------------------------
4,055,456
--------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(Cost: $145,481,917) 137,125,359
--------------------------------------------------------------
FOREIGN GOVERNMENT BONDS &
NOTES++ - 2.91%
--------------------------------------------------------------
British Columbia (Province of)
6.50%, 01/15/26 1,000,000 885,352
Chile (Republic of)
6.88%, 04/28/09 1,000,000 923,734
Corp. Andina de Fomento
7.75%, 03/01/04 2,000,000 1,979,770
Hydro Quebec
8.40%, 01/15/22 2,000,000 2,114,198
Mexico Government
International Bond
9.88%, 01/15/07 1,000,000 1,030,000
11.50%, 05/15/26 1,000,000 1,202,500
New Brunswick (Province of)
7.63%, 06/29/04 1,200,000 1,211,714
Ontario (Province of)
7.63%, 06/22/04 750,000 758,552
7.75%, 06/04/02 2,300,000 2,323,653
--------------------------------------------------------------
TOTAL FOREIGN GOVERNMENT
BONDS & NOTES
(Cost: $13,073,301) 12,429,473
--------------------------------------------------------------
23
<PAGE>
BOND INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Principal Value
--------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS - 62.08%
U.S. GOVERNMENT AGENCY BONDS AND NOTES - 14.93%
--------------------------------------------------------------------
Federal Home Loan Bank
5.02%, 02/11/02 $ 3,500,000 $ 3,400,470
5.13%, 09/15/03 2,500,000 2,369,662
5.40%, 01/15/03 1,500,000 1,446,433
5.50%, 01/21/03 1,000,000 966,323
5.95%, 07/28/08 3,500,000 3,238,665
6.09%, 06/02/06 2,500,000 2,384,147
6.13%, 08/15/03 1,000,000 975,206
6.61%, 06/09/04 3,000,000 2,930,100
Federal Home Loan
Mortgage Corporation
5.00%, 01/15/04 5,000,000 4,684,635
5.13%, 10/15/08 3,400,000 2,960,557
5.50%, 05/15/02 1,000,000 975,654
5.63%, 02/20/04 1,000,000 952,856
5.75%, 04/15/08 1,000,000 916,906
5.75%, 03/15/09 500,000 453,973
5.90%, 05/04/04 3,500,000 3,353,994
6.30%, 06/01/04 1,000,000 968,547
6.75%, 09/15/29 1,000,000 956,254
7.00%, 02/15/03 2,000,000 2,001,206
Federal National Mortgage Association
0.00% 06/01/17 1,000,000 300,160
5.13%, 02/13/04 3,104,000 2,916,202
5.25%, 01/15/09 1,000,000 877,546
5.38%, 03/15/02 1,000,000 975,727
5.75%, 06/15/05 1,000,000 947,584
5.88%, 04/23/04 600,000 574,733
6.00%, 05/15/08 1,000,000 930,731
6.26%, 02/25/09 5,000,000 4,637,785
6.38%, 06/15/09 394,000 373,382
6.45%, 02/14/02 1,000,000 991,375
6.80%, 01/10/03 1,400,000 1,394,924
7.13%, 03/15/07 1,000,000 1,002,920
7.13%, 01/15/30 887,000 889,193
7.55%, 04/22/02 3,000,000 3,031,776
Financing Corp.
8.60%, 09/26/19 2,150,000 2,461,490
9.65%, 11/02/18 500,000 623,792
9.80%, 04/06/18 1,285,000 1,616,020
Tennessee Valley Authority
6.00%, 03/15/13 1,000,000 898,201
6.13%, 07/15/03 500,000 483,771
6.25%, 12/15/17 600,000 539,140
6.88%, 12/15/43 1,000,000 875,000
7.13%, 05/01/30 450,000 450,540
--------------------------------------------------------------------
63,727,580
--------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES - 47.15%
--------------------------------------------------------------------
U.S. Treasury Bonds
5.25%, 02/15/29 700,000 621,032
5.50%, 08/15/28 2,800,000 2,568,126
6.00%, 02/15/26 1,200,000 1,173,000
6.13%, 11/15/27 1,600,000 1,595,000
6.13%, 08/15/29 800,000 808,500
6.25%, 05/15/30 $ 1,200,000 $ 1,259,626
6.50%, 11/15/26 1,500,000 1,564,687
6.63%, 02/15/27 1,000,000 1,060,313
7.13%, 02/15/23 5,200,000 5,768,750
7.25%, 05/15/16 4,100,000 4,511,283
7.50%, 11/15/16 500,000 563,125
7.63%, 02/15/07 500,000 508,125
7.63%, 02/15/25 5,300,000 6,250,687
7.88%, 02/15/21 2,500,000 2,968,750
8.00%, 11/15/21 7,100,000 8,568,812
8.13%, 08/15/19 5,250,000 6,332,812
8.75%, 05/15/17 1,600,000 2,011,000
8.75%, 05/15/20 3,100,000 3,970,908
8.75%, 08/15/20 2,100,000 2,693,907
9.13%, 05/15/09 1,000,000 1,088,125
9.13%, 05/15/18 1,500,000 1,957,032
9.38%, 02/15/06 1,300,000 1,486,469
9.88%, 11/15/15 1,500,000 2,032,500
10.63%,11/15/12 2,100,000 2,584,313
11.25%,02/15/15 1,250,000 1,839,844
11.75%,11/15/14 500,000 689,375
12.00%,08/15/13 1,100,000 1,486,375
12.75%,11/15/10 500,000 640,625
13.25%,05/15/14 1,500,000 2,190,000
U.S. Treasury Notes
4.25%, 11/15/03 1,500,000 1,407,188
4.75%, 02/15/04 2,100,000 1,996,313
4.75%, 11/15/08 6,700,000 6,084,438
5.25%, 05/15/04 3,700,000 3,569,346
5.38%, 06/30/03 2,250,000 2,191,642
5.50%, 07/31/01 4,100,000 4,057,721
5.50%, 08/31/01 2,000,000 1,976,250
5.50%, 01/31/03 2,100,000 2,056,032
5.50%, 03/31/03 3,000,000 2,932,500
5.50%, 05/31/03 1,450,000 1,417,375
5.50%, 02/15/08 1,200,000 1,149,000
5.50%, 05/15/09 500,000 478,125
5.63%, 09/30/01 2,500,000 2,473,438
5.63%, 05/15/08 3,300,000 3,182,438
5.75%, 06/30/01 3,000,000 2,978,439
5.75%, 11/30/02 1,600,000 1,576,501
5.75%, 04/30/03 1,000,000 984,688
5.75%, 08/15/03 5,000,000 4,914,065
5.88%, 11/30/01 850,000 842,563
5.88%, 09/30/02 1,700,000 1,680,345
5.88%, 02/15/04 1,000,000 986,250
5.88%, 11/15/04 1,000,000 985,000
5.88%, 11/15/05 2,500,000 2,457,033
6.00%, 08/15/09 2,800,000 2,777,250
6.13%, 12/31/01 1,200,000 1,193,250
6.13%, 08/15/07 3,300,000 3,280,408
6.25%, 10/31/01 2,800,000 2,790,376
6.25%, 01/31/02 1,000,000 996,250
6.25%, 02/28/02 7,000,000 6,973,750
6.25%, 06/30/02 3,000,000 2,989,689
6.25%, 02/15/03 3,800,000 3,789,314
6.38%, 09/30/01 2,000,000 1,996,250
6.38%, 08/15/02 4,700,000 4,692,659
6.50%, 05/15/05 3,000,000 3,032,814
24
<PAGE>
BOND INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Principal Value
-----------------------------------------------------------
U.S. GOVERNMENT SECURITIES (Continued)
-----------------------------------------------------------
6.50%, 08/15/05 $ 3,000,000 $ 3,031,875
6.50%, 10/15/06 1,400,000 1,415,750
6.50%, 02/15/10 1,800,000 1,861,313
6.63%, 06/30/01 2,000,000 2,003,126
6.63%, 04/30/02 2,800,000 2,807,000
6.63%, 05/15/07 1,000,000 1,020,625
6.88%, 05/15/06 3,000,000 3,087,189
7.00%, 07/15/06 1,900,000 1,968,282
7.25%, 08/15/04 8,950,000 9,249,270
7.50%, 11/15/01 5,200,000 5,266,628
7.50%, 05/15/02 3,000,000 3,055,314
7.50%, 02/15/05 1,300,000 1,363,375
7.88%, 08/15/01 4,300,000 4,363,158
7.88%, 11/15/04 3,000,000 3,175,314
-----------------------------------------------------------
201,350,020
-----------------------------------------------------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(Cost: $272,485,675) 265,077,600
-----------------------------------------------------------
SHORT TERM INSTRUMENTS - 5.17%
-----------------------------------------------------------
Federal Home Loan Mortgage
Corporation Discount Note
6.42%, 07/05/00+ 4,247,333 4,247,333
Goldman Sachs Financial Square
Prime Obligation Fund
6.57%, 07/03/00+ 10,834,855 10,834,855
Short Term Investment Company
Liquid Assets Portfolio
6.67%, 07/03/00+ 7,000,000 7,000,000
-----------------------------------------------------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $22,082,188) 22,082,188
-----------------------------------------------------------
REPURCHASE AGREEMENTS - 1.28%
-----------------------------------------------------------
Morgan Stanley Tri Party Repurchase
Agreement, dated 6/30/00, due
7/03/00, with a maturity value of
$5,455,424 and an effective yield
of 6.30%. $ 5,452,562 $ 5,452,562
-----------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $5,452,562) 5,452,562
-----------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES - 103.55%
(Cost $458,575,643) 442,167,182
-----------------------------------------------------------
Other Assets, Less Liabilities - (3.55)% (15,164,127)
-----------------------------------------------------------
NET ASSETS - 100.00% $427,003,055
===========================================================
+ Represents investment of collateral received from securities lending
transactions. See note 4
++ Investments are denominated in U.S. Dollar.
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
MONEY MARKET MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments
Security Principal Value
--------------------------------------------------------------
BANKERS' ACCEPTANCES - 0.78%
--------------------------------------------------------------
Toronto-Dominion Bank
6.63%, 12/13/00 $ 2,948,667 $ 2,859,064
--------------------------------------------------------------
TOTAL BANKERS' ACCEPTANCES
(Cost: $2,859,064) 2,859,064
--------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 11.84%
--------------------------------------------------------------
Bank of America NA
6.72%, 09/13/00 5,000,000 5,000,465
Banque National de Paris
6.99%, 05/02/01 3,500,000 3,499,723
Bayerische Hypo-Und Vereinsbank AG
6.63%, 08/21/00 5,000,000 5,000,062
6.72%, 09/14/00 5,000,000 5,000,141
7.00%, 05/02/01 3,500,000 3,499,447
Bayerische Landesbank
5.93%, 10/02/00 5,000,000 4,986,400
Deutsche Bank AG
6.66%, 03/08/01 5,000,000 4,998,699
6.70%, 03/14/01 6,500,000 6,497,837
Societe Generale
6.90%, 03/29/01 5,000,000 4,998,593
--------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost: $43,481,367) 43,481,367
--------------------------------------------------------------
COMMERCIAL PAPER - 59.21%
--------------------------------------------------------------
Accor BNP
6.58%, 08/16/00 5,000,000 4,957,961
6.62%, 07/18/00 3,935,000 3,922,699
Alpine Securitization Corp.
6.55%, 07/18/00 2,609,000 2,600,930
6.85%, 07/14/00 10,000,000 9,975,264
Associates Corp. of North America
6.95%, 07/03/00 5,000,000 4,998,069
Atlantis One Funding Corp.
6.58%, 07/13/00 5,000,000 4,989,033
Barton Capital Corp.
6.61%, 09/12/00 5,000,000 4,932,982
6.62%, 07/18/00 4,000,000 3,987,496
6.62%, 08/24/00 3,000,000 2,970,210
British Telecommunications
6.28%, 10/12/00 5,000,000 4,910,161
Centric Capital Corp.
6.63%, 07/25/00 3,000,000 2,986,740
Corporate Asset Funding Co.
6.19%, 07/10/00 5,000,000 4,992,262
6.52%, 07/12/00 3,000,000 2,994,023
Countrywide Home Loans Inc.
6.57%, 07/10/00 3,000,000 2,995,072
6.75%, 07/20/00 5,000,000 4,982,188
Falcon Asset Securitization Corp.
6.55%, 07/03/00 $ 1,085,000 $ 1,084,605
6.55%, 07/25/00 5,000,000 4,978,167
Fayette Funding Corp.
6.77%, 07/21/00 5,000,000 4,981,194
Forrestal Funding Corp.
6.60%, 08/11/00 5,000,000 4,962,417
General Electric Capital Corp.
6.54%, 07/28/00 5,000,000 4,975,475
6.60%, 09/06/00 1,745,000 1,723,566
6.62%, 09/11/00 1,200,000 1,184,112
6.62%, 09/12/00 1,200,000 1,183,892
General Motors Acceptance Corp.
7.10%, 07/03/00 10,000,000 9,996,056
Goldman Sachs Group Inc.
6.61%, 09/11/00 5,000,000 4,933,900
Greenwich Funding Corp.
6.60%, 07/17/00 5,000,000 4,985,333
6.68%, 08/23/00 3,180,000 3,148,727
International Securitization Corp.
6.62%, 07/11/00 4,000,000 3,992,645
Intrepid Funding
6.06%, 08/07/00 4,000,000 3,975,086
Kitty Hawk Funding Corp.
6.61%, 09/11/00 5,000,000 4,933,900
Koch Industries Inc.
7.00%, 07/05/00 8,000,000 7,993,778
Lexington Parker Capital Corp.
6.19%, 07/11/00 5,000,000 4,991,403
6.56%, 07/10/00 2,154,000 2,150,468
6.61%, 09/01/00 2,514,000 2,485,381
6.70%, 08/24/00 3,000,000 2,969,850
Liberty Street Funding Corp.
6.64%, 09/19/00 5,000,000 4,926,222
6.68%, 08/21/00 4,000,000 3,962,147
Moat Funding LLC
6.64%, 09/20/00 5,000,000 4,925,356
6.70%, 08/23/00 3,000,000 2,970,408
6.70%, 12/12/00 5,000,000 4,847,389
Moriarty LLC
6.35%, 09/25/00 2,000,000 1,969,661
6.56%, 07/10/00 5,000,000 4,991,800
6.70%, 12/15/00 5,000,000 4,844,597
Prudential Funding Corp.
6.31%, 10/23/00 5,000,000 4,900,092
Quincy Capital Corp.
6.55%, 07/25/00 5,907,000 5,881,206
6.56%, 07/14/00 1,726,000 1,721,911
Silver Tower US Funding LLC
6.63%, 09/25/00 5,000,000 4,920,808
Variable Funding Capital Corp.
6.60%, 07/18/00 5,000,000 4,984,417
Windmill Funding Corp.
6.62%, 07/10/00 5,000,000 4,991,725
6.95%, 07/03/00 7,836,000 7,832,974
--------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Cost: $217,495,758) 217,495,758
--------------------------------------------------------------
26
<PAGE>
MONEY MARKET MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Principal Value
--------------------------------------------------------------------------------
MEDIUM TERM NOTES - 4.90%
--------------------------------------------------------------------------------
AmeriCredit Corp.
6.89%, 06/05/01 $ 8,000,000 $ 8,000,000
Associates Automobile 2000-1 "A-1"
6.85%, 06/15/01 5,000,000 5,000,000
Ford Credit Auto Owner Trust
2000-C "A-2"
6.82%, 06/15/01 5,000,000 5,000,000
--------------------------------------------------------------------------------
TOTAL MEDIUM TERM NOTES
(Cost: $18,000,000) 18,000,000
--------------------------------------------------------------------------------
VARIABLE & FLOATING RATE NOTES - 22.95%
--------------------------------------------------------------------------------
Associates Manufactured Housing
Certificates
6.88%, 10/16/00 4,569,784 4,569,784
Bank of America
6.65%, 04/27/01 5,000,000 5,000,000
Bayerische Landesbank
6.59%, 02/28/01 5,000,000 4,998,382
CIT Equipment Collateral
6.64%, 03/20/01 10,000,000 10,000,000
Countrywide Home Loans Inc.
7.15%, 08/28/00 4,715,000 4,717,276
First Union National Bank
6.65%, 05/29/01 5,000,000 5,000,000
Ford Motor Credit Co.
6.45%, 07/16/01 10,000,000 10,014,745
6.74%, 08/18/00 7,000,000 6,999,087
National City Bank
6.63%, 10/04/00 8,000,000 7,997,508
Norwest Financial Inc.
6.64%, 09/07/00 5,000,000 4,999,451
Sigma Finance Inc.
6.90%, 09/15/00 5,000,000 5,000,000
SMM Trust 2000-B "A-1"
6.81%, 12/15/00 $ 5,000,000 $ 5,000,000
SMM Trust 2000-E
6.67%, 03/14/01 5,000,000 5,000,000
Special Purpose Accounts
Receivable Corp.
6.65%, 01/05/01 5,000,000 5,000,000
--------------------------------------------------------------------------------
TOTAL VARIABLE & FLOATING RATE NOTES
(Cost: $84,296,233) 84,296,233
--------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 0.00%
--------------------------------------------------------------------------------
Morgan Stanley Tri Party Repurchase
Agreement, dated 6/30/00, due
7/03/00, with a maturity value of
$451 and an effective yield of
6.30%. 451 451
--------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $451) 451
--------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES - 99.68%
(Cost $366,132,873)* 366,132,873
--------------------------------------------------------------------------------
Other Assets, Less Liabilities - 0.32% 1,220,874
--------------------------------------------------------------------------------
NET ASSETS - 100.00% $367,353,747
================================================================================
* Cost for income tax purposes is the same as for financial statement purposes.
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments
Security Shares Value
--------------------------------------------------------------------------------
COMMON STOCKS - 96.53%
ADVERTISING - 0.25%
--------------------------------------------------------------------------------
Interpublic Group of Companies Inc. 88,983 $ 3,826,269
Omnicom Group Inc. 52,409 4,667,677
Young & Rubicam Inc. 21,250 1,215,234
--------------------------------------------------------------------------------
9,709,180
--------------------------------------------------------------------------------
AEROSPACE / DEFENSE - 0.99%
--------------------------------------------------------------------------------
Boeing Co. 267,657 11,191,408
General Dynamics Corp. 59,166 3,091,423
Goodrich (B.F.) Co. 31,653 1,078,180
Honeywell International Inc. 235,506 7,933,608
Lockheed Martin Corp. 118,063 2,929,438
Northrop Grumman Corp. 20,579 1,363,359
Raytheon Co. "B" 100,313 1,931,025
United Technologies Corp. 138,858 8,175,265
--------------------------------------------------------------------------------
37,693,706
--------------------------------------------------------------------------------
AIRLINES - 0.17%
--------------------------------------------------------------------------------
AMR Corp.+ 44,117 1,166,343
Delta Air Lines Inc. 36,167 1,828,694
Southwest Airlines Co. 146,387 2,772,204
US Airways Group Inc.+ 19,665 766,935
--------------------------------------------------------------------------------
6,534,176
--------------------------------------------------------------------------------
APPAREL - 0.13%
--------------------------------------------------------------------------------
Liz Claiborne Inc. 16,121 568,265
Nike Inc. "B" 80,682 3,212,152
Reebok International Ltd.+ 16,696 266,093
Russell Corp. 9,607 192,140
VF Corp. 33,740 803,434
--------------------------------------------------------------------------------
5,042,084
--------------------------------------------------------------------------------
AUTO MANUFACTURERS - 0.68%
--------------------------------------------------------------------------------
Ford Motor Co. 355,660 15,293,380
General Motors Corp. "A" 157,839 9,164,527
Navistar International Corp.+ 18,266 567,388
PACCAR Inc. 22,623 897,850
--------------------------------------------------------------------------------
25,923,145
--------------------------------------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.18%
--------------------------------------------------------------------------------
Cooper Tire & Rubber Co. 21,817 242,714
Dana Corp. 44,980 953,014
Delphi Automotive Systems Corp. 166,161 2,419,720
Goodyear Tire & Rubber Co. 46,125 922,500
TRW Inc. 36,427 1,580,021
Visteon Corp.+ 46,568 564,634
--------------------------------------------------------------------------------
6,682,603
--------------------------------------------------------------------------------
BANKS - 4.37%
--------------------------------------------------------------------------------
Amsouth Bancorp 115,902 1,825,457
Bank of America Corp. 488,955 21,025,065
Bank of New York Co. Inc. 217,656 10,121,004
Bank One Corp. 338,401 $ 8,988,777
BB&T Corp. 102,884 2,456,356
Charter One Financial Inc. 61,800 1,421,400
Chase Manhattan Corp. 364,952 16,810,602
Comerica Inc. 46,138 2,070,443
Fifth Third Bancorp 91,408 5,781,556
First Union Corp. 289,342 7,179,298
Firstar Corp. 286,181 6,027,687
FleetBoston Financial Corp. 265,918 9,041,212
Golden West Financial Corp. 46,604 1,902,026
Huntington Bancshares Inc. 65,477 1,035,355
KeyCorp 128,259 2,260,565
Mellon Financial Corp. 144,933 5,280,996
Morgan (J.P.) & Co. Inc. 47,939 5,279,282
National City Corp. 178,864 3,051,867
Northern Trust Corp. 65,596 4,267,840
Old Kent Financial Corp. 40,530 1,084,177
PNC Bank Corp. 85,645 4,014,609
Regions Financial Corp. 65,133 1,294,518
SouthTrust Corp. 49,639 1,123,082
State Street Corp. 47,492 5,037,120
Summit Bancorp 51,906 1,278,185
SunTrust Banks Inc. 89,242 4,077,244
Synovus Financial Corp. 83,331 1,468,709
U.S. Bancorp 221,809 4,269,823
Union Planters Corp. 39,895 1,114,567
Wachovia Corp. 59,690 3,238,182
Washington Mutual Inc. 161,622 4,666,835
Wells Fargo & Company 475,374 18,420,742
--------------------------------------------------------------------------------
166,914,581
--------------------------------------------------------------------------------
BEVERAGES - 1.95%
--------------------------------------------------------------------------------
Anheuser-Busch Companies Inc. 133,274 9,953,902
Brown-Forman Corp. "B" 20,210 1,086,287
Coca-Cola Co. 730,291 41,946,089
Coca-Cola Enterprises 124,098 2,024,349
Coors (Adolph) Company "B" 10,832 655,336
PepsiCo Inc. 425,204 18,895,003
--------------------------------------------------------------------------------
74,560,966
--------------------------------------------------------------------------------
BIOTECHNOLOGY - 0.63%
--------------------------------------------------------------------------------
Amgen Inc.+ 302,912 21,279,568
Biogen Inc.+ 43,850 2,828,325
--------------------------------------------------------------------------------
24,107,893
--------------------------------------------------------------------------------
BUILDING MATERIALS - 0.11%
--------------------------------------------------------------------------------
Armstrong Holdings Inc. 11,893 182,112
Masco Corp. 132,383 2,391,168
Owens Corning 16,386 151,570
Vulcan Materials Co. 29,770 1,270,807
--------------------------------------------------------------------------------
3,995,657
--------------------------------------------------------------------------------
CHEMICALS - 0.86%
--------------------------------------------------------------------------------
Air Products & Chemicals Inc. 67,659 2,084,743
28
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
--------------------------------------------------------------------------------
CHEMICALS (Continued)
--------------------------------------------------------------------------------
Ashland Inc. 20,837 $ 730,597
Dow Chemical Co. 199,424 6,020,112
Du Pont (E.I.) de Nemours 309,057 13,521,244
Eastman Chemical Co. 22,582 1,078,290
Engelhard Corp. 37,703 643,307
Grace (W.R.) & Company+ 19,928 241,627
Great Lakes Chemical Corp. 16,041 505,291
Hercules Inc. 31,616 444,600
Praxair Inc. 46,501 1,740,881
Rohm & Haas Co. "A" 64,196 2,214,762
Sherwin-Williams Co. 48,277 1,022,869
Sigma-Aldrich Corp. 25,191 736,837
Union Carbide Corp. 39,767 1,968,466
--------------------------------------------------------------------------------
32,953,626
--------------------------------------------------------------------------------
COMMERCIAL SERVICES - 0.48%
--------------------------------------------------------------------------------
Block (H & R) Inc. 28,977 938,130
Cendant Corp.+ 212,779 2,978,906
Convergys Corp.+ 45,200 2,344,750
Deluxe Corp. 21,374 503,625
Donnelley (R.R.) & Sons Co. 35,965 811,460
Dun & Bradstreet Corp. 47,696 1,365,298
Ecolab Inc. 38,220 1,492,969
Equifax Inc. 41,646 1,093,207
McKesson HBOC Inc. 83,116 1,740,241
Paychex Inc. 109,551 4,601,142
Quintiles Transnational Corp.+ 34,000 480,250
--------------------------------------------------------------------------------
18,349,978
--------------------------------------------------------------------------------
COMPUTERS - 11.17%
--------------------------------------------------------------------------------
Adaptec Inc.+ 30,700 698,425
Apple Computer Inc.+ 95,992 5,027,581
Cabletron Systems+ 53,807 1,358,627
Ceridian Corp.+ 42,803 1,029,947
Cisco Systems Inc.+ 2,052,472 130,460,252
Compaq Computer Corp. 500,962 12,805,841
Computer Sciences Corp.+ 49,381 3,688,143
Dell Computer Corp.+ 759,796 37,467,440
Electronic Data Systems Corp. 137,448 5,669,730
EMC Corporation+ 640,258 49,259,850
Gateway Inc.+ 94,998 5,391,136
Hewlett-Packard Co. 295,134 36,854,858
International Business Machines
Corp. 523,099 57,312,034
Lexmark International
Group Inc. "A"+ 38,175 2,567,269
NCR Corp.+ 28,050 1,092,197
Network Appliance Inc.+ 89,850 7,232,925
Sapient Corp.+ 17,300 1,850,019
Seagate Technology Inc.+ 67,076 3,689,180
Sun Microsystems Inc.+ 468,086 42,566,571
3Com Corp.+ 103,468 5,962,344
Unisys Corp.+ 91,975 1,339,386
Veritas Software Corp.+ 115,309 13,031,716
--------------------------------------------------------------------------------
426,355,471
--------------------------------------------------------------------------------
COSMETICS / PERSONAL CARE - 1.49%
--------------------------------------------------------------------------------
Alberto-Culver Co. "B" 16,427 $ 502,050
Avon Products Inc. 70,093 3,119,138
Colgate-Palmolive Co. 170,134 10,186,773
Gillette Co. 307,983 10,760,156
International Flavors &
Fragrances Inc. 30,348 916,130
Kimberly-Clark Corp. 163,941 9,406,115
Procter & Gamble Co. 385,931 22,094,550
--------------------------------------------------------------------------------
56,984,912
--------------------------------------------------------------------------------
DISTRIBUTION / WHOLESALE - 0.16%
--------------------------------------------------------------------------------
Costco Wholesale Corp.+ 131,776 4,348,608
Genuine Parts Co. 52,188 1,043,760
Grainger (W.W.) Inc. 27,673 852,674
--------------------------------------------------------------------------------
6,245,042
--------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 5.12%
--------------------------------------------------------------------------------
American Express Co. 394,141 20,544,600
Associates First Capital Corp. 214,910 4,795,179
Bear Stearns Companies Inc. 32,599 1,356,933
Capital One Financial Corp. 57,740 2,576,648
Citigroup Inc. 995,704 59,991,166
Countrywide Credit Industries Inc. 33,474 1,014,681
Federal Home Loan Mortgage
Corporation 205,111 8,306,995
Federal National Mortgage
Association 297,183 15,509,238
Franklin Resources Inc. 71,881 2,183,385
Household International Inc. 139,616 5,802,790
Lehman Brothers Holdings Inc. 35,675 3,373,517
MBNA Corp. 236,525 6,415,741
Merrill Lynch & Co. Inc. 114,437 13,160,255
Morgan Stanley Dean Witter & Co. 333,984 27,804,168
Paine Webber Group Inc. 43,004 1,956,682
Price (T. Rowe) Associates 35,650 1,515,125
Providian Financial Corp. 42,059 3,785,310
Schwab (Charles) Corp. 401,777 13,509,752
SLM Holding Corp. 46,234 1,730,885
--------------------------------------------------------------------------------
195,333,050
--------------------------------------------------------------------------------
ELECTRIC - 1.58%
--------------------------------------------------------------------------------
AES Corp.+ 125,810 5,740,081
Ameren Corp. 40,466 1,365,727
American Electric Power Inc. 94,948 2,812,835
Cinergy Corp. 46,911 1,193,299
CMS Energy Corp. 32,343 715,589
Consolidated Edison Inc. 62,520 1,852,155
Constellation Energy Group Inc. 44,110 1,436,332
CP&L Energy Inc. 47,126 1,505,087
Dominion Resources Inc. 70,218 3,010,597
DTE Energy Co. 42,110 1,286,987
Duke Energy Corp. 108,456 6,114,207
Edison International 98,024 2,009,492
Entergy Corp. 67,882 1,845,542
FirstEnergy Corp. 68,161 1,593,263
29
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
-----------------------------------------------------------------
ELECTRIC (Continued)
-----------------------------------------------------------------
Florida Progress Corp. 29,108 $ 1,364,438
FPL Group Inc. 52,606 2,603,997
GPU Inc. 35,807 969,027
New Century Energies Inc. 34,343 1,030,290
Niagara Mohawk Holdings Inc.+ 50,880 709,140
Northern States Power Co. 46,395 936,599
PECO Energy Co. 50,048 2,017,560
PG&E Corp. 113,712 2,800,158
Pinnacle West Capital Corp. 25,000 846,875
PP & L Resources Inc. 42,577 934,033
Public Service Enterprise Group Inc. 63,813 2,209,525
Reliant Energy Inc. 87,234 2,578,855
Southern Co. 191,400 4,462,013
TXU Corporation 77,811 2,295,424
Unicom Corp. 52,448 2,029,082
-----------------------------------------------------------------
60,268,209
-----------------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT - 0.33%
-----------------------------------------------------------------
American Power Conversion Corp.+ 57,200 2,334,475
Emerson Electric Co. 125,932 7,603,145
Molex Inc. 57,850 2,784,031
-----------------------------------------------------------------
12,721,651
-----------------------------------------------------------------
ELECTRONICS - 1.44%
-----------------------------------------------------------------
Agilent Technologies Inc.+ 133,393 9,837,734
Analog Devices Inc.+ 104,380 7,932,880
Johnson Controls Inc. 25,308 1,298,617
Linear Technology Corp. 91,800 5,869,462
Maxim Integrated Products Inc.+ 83,400 5,665,987
Millipore Corp. 13,625 1,026,984
Parker Hannifin Corp. 33,031 1,131,312
PE Corp. (Biosystems Group) 61,422 4,046,174
PerkinElmer Inc. 14,448 955,374
Sanmina Corp.+ 43,750 3,740,625
Solectron Corp.+ 175,954 7,368,074
Tektronix Inc. 14,210 1,051,540
Teradyne Inc.+ 51,090 3,755,115
Thermo Electron Corp.+ 46,003 968,938
Thomas & Betts Corp. 17,143 327,860
-----------------------------------------------------------------
54,976,676
-----------------------------------------------------------------
ENGINEERING & CONSTRUCTION - 0.02%
-----------------------------------------------------------------
Fluor Corp. 22,558 713,407
-----------------------------------------------------------------
713,407
-----------------------------------------------------------------
ENTERTAINMENT - 0.02%
-----------------------------------------------------------------
Harrah's Entertainment Inc.+ 36,015 754,064
-----------------------------------------------------------------
754,064
-----------------------------------------------------------------
ENVIRONMENTAL CONTROL - 0.11%
-----------------------------------------------------------------
Allied Waste Industries Inc.+ 55,715 557,150
Waste Management Inc. 183,268 3,482,092
-----------------------------------------------------------------
4,039,242
-----------------------------------------------------------------
FOOD - 1.86%
-----------------------------------------------------------------
Albertson's Inc. 124,976 $ 4,155,452
Archer-Daniels-Midland Co. 177,683 1,743,514
Bestfoods 80,962 5,606,618
Campbell Soup Co. 124,661 3,630,752
ConAgra Inc. 145,231 2,768,466
General Mills Inc. 86,036 3,290,877
Great Atlantic & Pacific Tea Co. 11,288 187,663
Heinz (H.J.) Co. 103,902 4,545,713
Hershey Foods Corp. 40,435 1,968,679
Kellogg Co. 119,649 3,559,558
Kroger Co.+ 246,360 5,435,318
Nabisco Group Holdings Corp. "A" 96,363 2,499,415
Quaker Oats Co. 38,658 2,904,182
Ralston Purina Co. 90,546 1,805,261
Safeway Inc.+ 146,509 6,611,219
Sara Lee Corp. 256,527 4,954,178
Super Value Inc. 38,779 739,225
Sysco Corp. 98,312 4,141,393
Unilever NV 168,689 7,253,627
Winn-Dixie Stores Inc. 42,658 610,543
Wrigley William Jr. Co. 33,637 2,697,267
-----------------------------------------------------------------
71,108,920
-----------------------------------------------------------------
FOREST PRODUCTS & PAPER - 0.37%
-----------------------------------------------------------------
Boise Cascade Corp. 16,843 435,813
Fort James Corp. 60,728 1,404,335
Georgia-Pacific Corp. 50,289 1,320,086
International Paper Co. 142,526 4,249,056
Louisiana-Pacific Corp. 30,771 334,635
Mead Corp. 30,346 766,236
Potlatch Corp. 8,471 280,602
Temple-Inland Inc. 15,437 648,354
Westvaco Corp. 29,713 737,254
Weyerhaeuser Co. 68,695 2,953,885
Willamette Industries Inc. 32,672 890,312
-----------------------------------------------------------------
14,020,568
-----------------------------------------------------------------
GAS - 0.07%
-----------------------------------------------------------------
Eastern Enterprises 8,032 506,016
NICOR Inc. 13,745 448,431
ONEOK Inc. 8,584 222,648
Peoples Energy Corp. 10,459 338,610
Sempra Energy 60,279 1,024,743
-----------------------------------------------------------------
2,540,448
-----------------------------------------------------------------
HAND / MACHINE TOOLS - 0.05%
-----------------------------------------------------------------
Black & Decker Corp. 25,127 987,805
Snap-On Inc. 17,253 459,361
Stanley Works (The) 25,902 615,172
-----------------------------------------------------------------
2,062,338
-----------------------------------------------------------------
HEALTH CARE - 2.54%
-----------------------------------------------------------------
Allergan Inc. 38,250 2,849,625
Bard (C.R.) Inc. 14,878 716,004
30
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
-------------------------------------------------------------
HEALTH CARE (Continued)
-------------------------------------------------------------
Bausch & Lomb Inc. 15,621 $ 1,208,675
Baxter International Inc. 85,621 6,020,227
Becton Dickinson & Co. 74,461 2,136,100
Biomet Inc. 34,868 1,340,239
Boston Scientific Corp.+ 120,321 2,639,542
Guidant Corp.+ 90,411 4,475,344
HCA - The Healthcare Company 164,536 4,997,781
Healthsouth Corp.+ 113,709 817,283
Humana Inc.+ 49,704 242,307
Johnson & Johnson 410,347 41,804,101
Mallinckrodt Group Inc. 19,824 861,105
Manor Care Inc.+ 30,186 211,302
Medtronic Inc. 353,156 17,591,583
St. Jude Medical Inc.+ 24,753 1,135,544
Tenet Healthcare Corp. 92,273 2,491,371
UnitedHealth Group Inc. 47,903 4,107,682
Wellpoint Health Networks Inc.+ 18,355 1,329,590
-------------------------------------------------------------
96,975,405
-------------------------------------------------------------
HOLDING COMPANIES-DIVERSIFIED - 0.20%
-------------------------------------------------------------
Seagram Co. Ltd. 128,787 7,469,646
-------------------------------------------------------------
7,469,646
-------------------------------------------------------------
HOME BUILDERS - 0.03%
-------------------------------------------------------------
Centex Corp. 17,515 411,602
Kaufman & Broad Home Corp. 14,179 280,921
Pulte Corp. 12,137 262,463
-------------------------------------------------------------
954,986
-------------------------------------------------------------
HOME FURNISHINGS - 0.07%
-------------------------------------------------------------
Leggett & Platt Inc. 58,000 957,000
Maytag Corp. 23,111 852,218
Whirlpool Corp. 21,581 1,006,214
-------------------------------------------------------------
2,815,432
-------------------------------------------------------------
HOUSEHOLD PRODUCTS / WARES - 0.24%
-------------------------------------------------------------
American Greetings Corp. "A" 19,020 361,380
Avery Dennison Corp. 33,083 2,220,696
Clorox Co. 69,302 3,105,596
Fortune Brands Inc. 46,748 1,078,126
Newell Rubbermaid Inc. 78,590 2,023,693
Tupperware Corp. 17,021 374,462
-------------------------------------------------------------
9,163,953
-------------------------------------------------------------
INSURANCE - 2.84%
-------------------------------------------------------------
Aetna Inc. 41,589 2,669,494
AFLAC Inc. 78,282 3,596,079
Allstate Corp. 219,699 4,888,303
American General Corp. 73,323 4,472,703
American International Group 454,825 53,441,938
AON Corp. 75,472 2,344,334
Chubb Corp. 51,669 3,177,643
CIGNA Corp. 48,077 4,495,199
Cincinnati Financial Corp. 47,444 $ 1,491,521
Conseco Inc. 95,946 935,473
Hartford Financial Services
Group Inc. 63,362 3,544,312
Jefferson-Pilot Corp. 30,464 1,719,312
Lincoln National Corp. 56,547 2,042,760
Loews Corp. 29,113 1,746,780
Marsh & McLennan Companies Inc. 79,585 8,311,659
MBIA Inc. 29,039 1,399,317
MGIC Investment Corp. 31,231 1,421,010
Progressive Corporation 21,575 1,596,550
SAFECO Corp. 37,622 747,737
St. Paul Companies Inc. 62,543 2,134,280
Torchmark Corp. 37,786 932,842
UNUMProvident Corp. 70,960 1,423,635
-------------------------------------------------------------
108,532,881
-------------------------------------------------------------
IRON / STEEL - 0.05%
-------------------------------------------------------------
Allegheny Technologies Inc. 24,570 442,260
Bethlehem Steel Corp.+ 39,001 138,941
Nucor Corp. 25,074 832,143
USX-U.S. Steel Group Inc. 26,033 483,238
-------------------------------------------------------------
1,896,582
-------------------------------------------------------------
LEISURE TIME - 0.22%
-------------------------------------------------------------
Brunswick Corp. 25,932 429,499
Carnival Corp. "A" 178,339 3,477,610
Harley-Davidson Inc. 89,600 3,449,600
Sabre Holdings Corp. 38,105 1,085,993
-------------------------------------------------------------
8,442,702
-------------------------------------------------------------
LODGING - 0.09%
-------------------------------------------------------------
Hilton Hotels Corp. 108,662 1,018,706
Marriott International Inc. 70,733 2,550,809
-------------------------------------------------------------
3,569,515
-------------------------------------------------------------
MACHINERY - 0.34%
-------------------------------------------------------------
Briggs & Stratton Corp. 6,622 226,803
Caterpillar Inc. 102,878 3,484,992
Cummins Engine Company Inc. 12,200 332,450
Deere & Co. 69,077 2,555,849
Dover Corp. 59,863 2,428,193
Ingersoll-Rand Co. 47,786 1,923,387
McDermott International Inc. 17,706 156,034
Rockwell International Corp. 55,445 1,746,517
-------------------------------------------------------------
12,854,225
-------------------------------------------------------------
MANUFACTURERS - 6.08%
-------------------------------------------------------------
Cooper Industries Inc. 27,520 896,120
Corning Inc. 81,353 21,955,141
Crane Co. 17,843 433,808
Danaher Corp. 41,806 2,066,784
Eastman Kodak Co. 91,441 5,440,740
31
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
--------------------------------------------------------------
MANUFACTURERS (Continued)
--------------------------------------------------------------
Eaton Corp. 21,496 $ 1,440,232
FMC Corp.+ 8,992 521,536
General Electric Co. 2,919,108 154,712,724
Illinois Tool Works Inc. 88,936 5,069,352
ITT Industries Inc. 25,973 788,930
Minnesota Mining &
Manufacturing Co. 116,771 9,633,608
National Service Industries Inc. 11,998 233,961
Pall Corp. 36,449 674,307
Polaroid Corp. 13,220 238,786
PPG Industries Inc. 51,394 2,277,397
Textron Inc. 42,584 2,312,844
Tyco International Ltd. 498,078 23,596,445
--------------------------------------------------------------
232,292,715
--------------------------------------------------------------
MEDIA - 3.14%
--------------------------------------------------------------
Clear Channel Communications Inc.+ 100,045 7,503,375
Comcast Corp. "A"+ 264,908 10,728,774
Disney (Walt) Co. 613,024 23,792,994
Dow Jones & Co. Inc. 26,136 1,914,462
Gannett Co. Inc. 78,630 4,703,057
Harcourt General Inc. 21,181 1,151,717
Knight Ridder Inc. 22,948 1,220,547
McGraw-Hill Companies Inc. 57,345 3,096,630
Meredith Corp. 14,947 504,461
New York Times Co. "A" 50,154 1,981,083
Time Warner Inc. 388,170 29,500,920
Tribune Co. 91,032 3,186,120
Viacom Inc. "B"+ 449,923 30,679,125
--------------------------------------------------------------
119,963,265
--------------------------------------------------------------
METAL FABRICATE / HARDWARE - 0.02%
--------------------------------------------------------------
Timken Co. 17,951 334,337
Worthington Industries Inc. 25,390 266,595
--------------------------------------------------------------
600,932
--------------------------------------------------------------
METALS-DIVERSIFIED - 0.30%
--------------------------------------------------------------
Alcan Aluminium Ltd. 64,565 2,001,515
Alcoa Inc. 254,914 7,392,506
Freeport-McMoRan Copper &
Gold Inc.+ 47,174 436,360
Inco Ltd.+ 53,637 824,669
Phelps Dodge Corp. 23,201 862,787
--------------------------------------------------------------
11,517,837
--------------------------------------------------------------
MINING - 0.12%
--------------------------------------------------------------
Barrick Gold Corp. 116,748 2,123,354
Homestake Mining Company 76,835 528,241
Newmont Mining Corp. 49,505 1,070,546
Placer Dome Inc. 96,556 923,317
--------------------------------------------------------------
4,645,458
--------------------------------------------------------------
OFFICE / BUSINESS EQUIPMENT - 0.19%
--------------------------------------------------------------
Pitney Bowes Inc. 76,003 $ 3,040,120
Xerox Corp. 196,566 4,078,745
--------------------------------------------------------------
7,118,865
--------------------------------------------------------------
OIL & GAS PRODUCERS - 4.74%
--------------------------------------------------------------
Amerada Hess Corp. 26,691 1,648,169
Anadarko Petroleum Corp. 37,795 1,863,766
Apache Corp. 33,597 1,975,924
Burlington Resources Inc. 63,478 2,428,034
Chevron Corp. 192,401 16,318,010
Coastal Corp. 63,110 3,841,821
Conoco Inc. 184,185 4,524,044
Exxon Mobil Corp. 1,027,075 80,625,388
Kerr-McGee Corp. 27,824 1,639,877
Occidental Petroleum Corp. 108,734 2,290,210
Phillips Petroleum Co. 74,887 3,795,835
Rowan Companies Inc.+ 27,675 840,628
Royal Dutch Petroleum Co. 632,674 38,948,993
Sunoco Inc. 26,137 769,408
Texaco Inc. 162,900 8,674,425
Tosco Corp. 42,650 1,207,528
Transocean Sedco Forex Inc. 62,068 3,316,759
Union Pacific Resources Group 74,333 1,635,326
Unocal Corp. 71,663 2,373,837
USX-Marathon Group Inc. 91,977 2,305,174
--------------------------------------------------------------
181,023,156
--------------------------------------------------------------
OIL & GAS SERVICES - 0.57%
--------------------------------------------------------------
Baker Hughes Inc. 97,458 3,118,656
Halliburton Co. 131,018 6,182,412
Schlumberger Ltd. 167,942 12,532,672
--------------------------------------------------------------
21,833,740
--------------------------------------------------------------
PACKAGING & CONTAINERS - 0.09%
--------------------------------------------------------------
Ball Corp. 8,780 282,606
Bemis Co. 15,708 528,182
Crown Cork & Seal Co. Inc. 37,841 567,615
Owens-Illinois Inc.+ 43,219 505,122
Pactiv Corp.+ 49,825 392,372
Sealed Air Corp.+ 24,657 1,291,410
--------------------------------------------------------------
3,567,307
--------------------------------------------------------------
PHARMACEUTICALS - 8.02%
--------------------------------------------------------------
Abbott Laboratories 457,120 20,370,410
ALZA Corp.+ 30,289 1,790,837
American Home Products Corp. 384,853 22,610,114
Bristol-Myers Squibb Co. 581,988 33,900,801
Cardinal Health Inc. 81,252 6,012,648
Lilly (Eli) and Company 333,194 33,277,751
MedImmune Inc.+ 61,600 4,558,400
Merck & Co. Inc. 678,408 51,983,013
Pfizer Inc. 1,857,192 89,145,204
Pharmacia & Upjohn Inc. 374,555 19,359,812
Schering-Plough Corp. 431,964 21,814,182
32
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
--------------------------------------------------------------------
PHARMACEUTICALS (Continued)
--------------------------------------------------------------------
Watson Pharmaceutical Inc.+ 28,471 $ 1,530,316
--------------------------------------------------------------------
306,353,488
--------------------------------------------------------------------
PIPELINES - 0.64%
--------------------------------------------------------------------
Columbia Energy Group 23,772 1,560,038
EL Paso Energy Corp. 68,257 3,476,841
Enron Corp. 215,970 13,930,065
Williams Companies Inc. 130,360 5,434,383
--------------------------------------------------------------------
24,401,327
--------------------------------------------------------------------
RETAIL - 5.29%
--------------------------------------------------------------------
AutoZone Inc.+ 39,456 868,023
Bed Bath & Beyond Inc.+ 41,400 1,500,750
Best Buy Co. Inc.+ 60,298 3,813,849
Circuit City Stores Inc. 59,963 1,990,022
Consolidated Stores Corp.+ 32,652 391,824
CVS Corp. 115,144 4,605,760
Darden Restaurants Inc. 36,480 592,800
Dillards Inc. "A" 27,622 338,370
Dollar General Corp. 97,130 1,894,035
Federated Department Stores Inc.+ 63,117 2,130,199
Gap Inc. 251,098 7,846,813
Home Depot Inc. 682,641 34,089,385
Kmart Corp.+ 141,959 967,096
Kohls Corp.+ 96,218 5,352,126
Limited Inc. 126,776 2,741,531
Longs Drug Stores Inc. 11,654 253,475
Lowe's Companies Inc. 112,790 4,631,439
May Department Stores Co. 98,073 2,353,752
McDonald's Corp. 394,268 12,986,202
Nordstrom Inc. 39,715 958,124
Office Depot Inc.+ 93,299 583,119
Penney (J.C.) Company Inc. 76,999 1,419,669
RadioShack Corp. 55,075 2,609,178
Rite Aid Corp. 76,381 501,250
Sears, Roebuck and Co. 104,024 3,393,783
Staples Inc.+ 142,879 2,196,765
Starbucks Corp.+ 54,200 2,069,763
Target Corporation 134,574 7,805,292
Tiffany & Co. 21,400 1,444,500
TJX Companies Inc. 88,503 1,659,431
Toys R Us Inc.+ 63,825 929,452
Tricon Global Restaurants Inc.+ 43,482 1,228,367
Walgreen Co. 297,328 9,570,245
Wal-Mart Stores Inc. 1,315,010 75,777,451
Wendy's International Inc. 33,543 597,485
--------------------------------------------------------------------
202,091,325
--------------------------------------------------------------------
SEMICONDUCTORS - 6.15%
--------------------------------------------------------------------
Advanced Micro Devices Inc.+ 45,227 3,493,786
Altera Corp.+ 58,700 5,983,731
Applied Materials Inc.+ 238,236 21,590,138
Conexant Systems Inc.+ 64,150 3,119,294
Intel Corp. 988,115 132,098,624
KLA-Tencor Corp.+ 54,896 3,214,847
LSI Logic Corp.+ 90,558 $ 4,901,452
Micron Technology Inc.+ 163,751 14,420,343
National Semiconductor Corp.+ 52,131 2,958,434
Novellus Systems Inc.+ 38,500 2,177,656
Texas Instruments Inc. 482,776 33,160,677
Xilinx Inc.+ 94,800 7,826,925
--------------------------------------------------------------------
234,945,907
--------------------------------------------------------------------
SOFTWARE - 7.90%
--------------------------------------------------------------------
Adobe Systems Inc. 35,326 4,592,380
America Online Inc.+ 677,842 35,756,166
Autodesk Inc. 17,182 596,001
Automatic Data Processing 185,107 9,914,794
BMC Software Inc.+ 72,084 2,629,942
Citrix Systems Inc.+ 54,640 1,034,745
Computer Associates
International Inc. 173,596 8,885,945
Compuware Corp.+ 106,345 1,103,329
First Data Corp. 121,623 6,035,541
IMS Health Inc. 87,683 1,578,294
Mercury Interactive Corp.+ 23,500 2,273,625
Microsoft Corp.+ 1,552,674 124,213,920
Novell Inc.+ 97,214 899,230
Oracle Corp.+ 837,472 70,399,990
Parametric Technology Corp.+ 81,453 895,983
PeopleSoft Inc.+ 81,410 1,363,618
Siebel Systems Inc.+ 58,850 9,625,653
Yahoo! Inc.+ 160,330 19,860,879
--------------------------------------------------------------------
301,660,035
--------------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT - 4.54%
--------------------------------------------------------------------
ADC Telecommunications Inc.+ 99,502 8,345,723
Andrew Corp.+ 23,767 797,680
Comverse Technology Inc.+ 45,050 4,189,650
Lucent Technologies Inc. 960,833 56,929,355
Motorola Inc. 634,980 18,454,106
Nortel Networks Corp. 873,984 59,649,408
QUALCOMM Inc.+ 218,596 13,115,760
Scientific-Atlanta Inc. 46,946 3,497,477
Tellabs Inc.+ 120,813 8,268,140
--------------------------------------------------------------------
173,247,299
--------------------------------------------------------------------
TELECOMMUNICATIONS - 0.96%
--------------------------------------------------------------------
Global Crossing Ltd.+ 260,199 6,846,486
Nextel Communications Inc. "A"+ 223,764 13,691,560
Sprint Corp. (PCS Group)+ 270,013 16,065,774
--------------------------------------------------------------------
36,603,820
--------------------------------------------------------------------
TELEPHONE - 5.62%
--------------------------------------------------------------------
Alltel Corp. 93,034 5,762,293
AT&T Corp. 1,107,175 35,014,417
Bell Atlantic Corp. 456,085 23,174,819
BellSouth Corp. 555,119 23,661,947
CenturyTel Inc. 41,419 1,190,796
33
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments (Continued)
Security Shares Value
--------------------------------------------------------------------
TELEPHONE (Continued)
--------------------------------------------------------------------
GTE Corp. 284,015 $ 17,679,934
SBC Communications Inc. 1,003,688 43,409,506
Sprint Corp. (FON Group) 258,680 13,192,680
US West Communications Inc. 149,780 12,843,635
WorldCom Inc.+ 844,758 38,753,273
--------------------------------------------------------------------
214,683,300
--------------------------------------------------------------------
TEXTILES - 0.00%
--------------------------------------------------------------------
Springs Industries Inc. "A" 5,242 168,727
--------------------------------------------------------------------
168,727
--------------------------------------------------------------------
TOBACCO - 0.49%
--------------------------------------------------------------------
Philip Morris Companies Inc. 674,720 17,922,250
UST Inc. 47,906 703,619
--------------------------------------------------------------------
18,625,869
--------------------------------------------------------------------
TOYS/GAMES/HOBBIES - 0.06%
--------------------------------------------------------------------
Hasbro Inc. 50,812 765,356
Mattel Inc. 125,622 1,656,640
--------------------------------------------------------------------
2,421,996
--------------------------------------------------------------------
TRANSPORTATION - 0.39%
--------------------------------------------------------------------
Burlington Northern Santa Fe Corp. 126,334 2,897,786
CSX Corp. 64,427 1,365,047
FedEx Corp.+ 85,557 3,251,166
Kansas City Southern Industries
Inc. 32,841 2,912,586
Norfolk Southern Corp. 113,050 1,681,619
Union Pacific Corp. 73,080 2,717,663
--------------------------------------------------------------------
14,825,867
--------------------------------------------------------------------
TRUCKING & LEASING - 0.01%
--------------------------------------------------------------------
Ryder System Inc. 17,510 331,596
--------------------------------------------------------------------
331,596
--------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost: $2,696,343,153) 3,686,190,751
--------------------------------------------------------------------
Security Principal Value
--------------------------------------------------------------------
SHORT TERM INSTRUMENTS - 2.71%
--------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation Discount Note
6.42%, 07/05/00++ $18,395,703 $ 18,395,703
Goldman Sachs Financial Square
Prime Obligation Fund
6.57%, 07/03/00++ 56,944,870 56,944,870
Short Term Investment Company
Liquid Assets Portfolio
6.67%, 07/03/00++ 20,300,000 20,300,000
U.S. Treasury Bills
5.47%*, 09/21/00+++ 8,150,000 8,047,310
--------------------------------------------------------------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $103,688,397) 103,687,883
--------------------------------------------------------------------
REPURCHASE AGREEMENTS - 3.09%
--------------------------------------------------------------------
Morgan Stanley Tri Party Repurchase
Agreement, dated 06/30/00, due
07/03/00, with a maturity value
of $118,102,909 and an effective
yield of 6.30% 118,040,937 118,040,937
--------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $118,040,937) 118,040,937
--------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES - 102.33%
(Cost $2,918,072,487) 3,907,919,571
--------------------------------------------------------------------
Other Assets, Less Liabilities - (2.33%) (89,114,415)
--------------------------------------------------------------------
NET ASSETS - 100.00% $3,818,805,156
====================================================================
+ NON-INCOME EARNING SECURITIES.
++ REPRESENTS INVESTMENT OF COLLATERAL RECEIVED FROM SECURITIES LENDING
TRANSACTIONS. SEE NOTE 4.
+++ THESE U.S. TREASURY BILLS ARE HELD IN SEGREGATED ACCOUNTS IN CONNECTION
WITH THE MASTER PORTFOLIO'S HOLDINGS OF S&P 500 INDEX FUTURES CONTRACTS.
SEE NOTE 1.
* YIELD TO MATURITY.
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Asset Allocation Bond Index Money Market S&P 500 Index
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments at cost $483,388,662 $458,575,643 $366,132,873 $2,918,072,487
------------ ------------ ------------ --------------
Investments at market value
(Note 1) $562,748,890 $442,167,182 $366,132,873 $3,907,919,571
Receivables:
Investment securities sold 811,101 1,040,573 -- 7,197,840
Dividends and interest 3,548,359 7,003,802 1,322,821 3,288,834
Due from broker - variation
margin 2,522 -- -- 1,029,524
Prepaid expenses -- -- -- 236
------------ ------------ ------------ --------------
Total Assets 567,110,872 450,211,557 367,455,694 3,919,436,005
------------ ------------ ------------ --------------
LIABILITIES
Payables:
Investment securities
purchased 534,527 999,310 -- 4,249,206
Collateral for securities
loaned (Note 4) 14,276,347 22,082,188 -- 95,640,573
Due to Bank -- -- -- 2,314
Due to BGI (Note 2) 641,052 127,004 101,947 738,756
------------ ------------ ------------ --------------
Total Liabilities 15,451,926 23,208,502 101,947 100,630,849
------------ ------------ ------------ --------------
NET ASSETS $551,658,946 $427,003,055 $367,353,747 $3,818,805,156
============ ============ ============ ==============
------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENTS OF OPERATIONS
For The Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Asset Allocation Bond Index Money Market S&P 500 Index
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET INVESTMENT INCOME
Dividends+ $ 1,889,772 $ -- $ -- $ 24,183,203
Interest++ 6,886,338 15,090,875 8,855,215 3,984,961
----------- ----------- ---------------- -------------
Total investment income 8,776,110 15,090,875 8,855,215 28,168,164
----------- ----------- ---------------- -------------
EXPENSES (Note 2)
Advisory fees 953,537 176,216 141,718 1,091,905
----------- ----------- ---------------- -------------
Total expenses 953,537 176,216 141,718 1,091,905
----------- ----------- ---------------- -------------
Net investment income 7,822,573 14,914,659 8,713,497 27,076,259
----------- ----------- ---------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
sale of investments 20,219,300 (6,196,688) 22 650,038,851
Net realized gain (loss) on
sale of futures contracts (127,493) -- -- 2,644,903
Net change in unrealized
appreciation
(depreciation) of
investments (5,062,556) 7,643,158 -- (701,744,471)
Net change in unrealized
appreciation
(depreciation) of
futures contracts (178,600) -- -- (12,365,227)
----------- ----------- ---------------- -------------
Net gain (loss) on investments 14,850,651 1,446,470 22 (61,425,944)
----------- ----------- ---------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING
FROM OPERATIONS $22,673,224 $16,361,129 $ 8,713,519 $ (34,349,685)
=========== =========== ================ =============
----------------------------------------------------------------------------------------------------------
+Net of foreign withholding tax of: $ 9,856 $ -- $ -- 122,278
++Interest income includes securities
lending income of: $ 30,392 $ 17,733 $ -- $ 90,107
----------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Master Portfolio
------------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net investment income $ 7,822,573 $ 13,015,199 $ 12,448,266
Net realized gain (loss) 20,091,807 95,145,324 54,934,107
Net change in unrealized
appreciation (depreciation) (5,241,156) (51,937,791) 25,525,980
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations 22,673,224 56,222,732 92,908,353
--------------- -------------- ---------------
Interestholder transactions:
Contributions 51,245,961 124,202,299 172,073,764
Withdrawals (84,538,221) (217,170,425) (201,095,479)
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from interestholder
transactions (33,292,260) (92,968,126) (29,021,715)
--------------- -------------- ---------------
Increase (decrease) in net assets (10,619,036) (36,745,394) 63,886,638
NET ASSETS:
Beginning of period 562,277,982 599,023,376 535,136,738
--------------- -------------- ---------------
End of period $ 551,658,946 $ 562,277,982 $ 599,023,376
=============== ============== ===============
--------------------------------------------------------------------------------------------------------
<CAPTION>
Bond Index Master Portfolio
---------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net investment income $ 14,914,659 $ 22,243,983 $ 7,063,037
Net realized gain (loss) (6,196,688) (2,713,060) 419,676
Net change in unrealized
appreciation (depreciation) 7,643,158 (22,407,564) (4,365,016)
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations 16,361,129 (2,876,641) 3,117,697
--------------- -------------- ---------------
Interestholder transactions:
Contributions 83,224,962 524,489,703 357,368,335
Withdrawals (117,026,949) (478,897,035) (51,992,277)
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from interestholder (33,801,987) 45,592,668 305,376,058
transactions --------------- -------------- ---------------
Increase (decrease) in net assets (17,440,858) 42,716,027 308,493,755
NET ASSETS:
Beginning of period 444,443,913 401,727,886 93,234,131
--------------- -------------- ---------------
End of period $ 427,003,055 $ 444,443,913 $ 401,727,886
=============== ============== ===============
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Master Portfolio
----------------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Period Ended
(Unaudited) December 31, 1999* February 28, 1999*
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net investment income $ 8,713,497 $ 9,767,206 $ 5,411,548
Net realized gain (loss) 22 4,552 --
Net change in unrealized
appreciation (depreciation) -- -- --
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations 8,713,519 9,771,758 5,411,548
--------------- -------------- ---------------
Interestholder transactions:
Contributions 514,970,795 343,767,992 257,234,773
Withdrawals (401,803,829) (370,712,809) --
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from interestholder
transactions 113,166,966 (26,944,817) 257,234,773
--------------- -------------- ---------------
Increase (decrease) in net assets 121,880,485 (17,173,059) 262,646,321
NET ASSETS:
Beginning of period 245,473,262 262,646,321 --
--------------- -------------- ---------------
End of period $ 367,353,747 $ 245,473,262 $ 262,646,321
=============== ============== ===============
<CAPTION>
S&P 500 Index Master Portfolio
------------------------------------------------------------------
For the Six
Months Ended For the For the
June 30, 2000 Period Ended Year Ended
(Unaudited December 31, 1999* February 28, 1999
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETSETS
Operations:
Net investment income $ 27,076,259 $ 52,303,458 $ 43,674,276
Net realized gain (loss) 652,683,754 170,279,517 181,973,840
Net change in unrealized
appreciation (depreciation) (714,109,698) 562,095,831 250,798,350
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from operations (34,349,685) 784,678,806 476,446,466
--------------- -------------- ---------------
Interestholder transactions:
Contributions 1,043,786,832 355,753,442 2,288,411,987
Withdrawals (2,018,157,017) -- (1,431,828,889)
--------------- -------------- ---------------
Net increase (decrease) in net assets
resulting from interestholder
transactions (974,370,185) 355,753,442 856,583,098
--------------- -------------- ---------------
Increase (decrease) in net assets (1,008,719,870) 1,140,432,248 1,333,029,564
NET ASSETS:
Beginning of period 4,827,525,026 3,687,092,778 2,354,063,214
--------------- -------------- ---------------
End of period $ 3,818,805,156 $4,827,525,026 $ 3,687,092,778
=============== ============== ===============
</TABLE>
--------------------------------------------------------------------------------
* For the ten months ended December 31, 1999. The Master Porfolio changed its
fiscal year end from February 28 to December 31.
** For the period from September 1, 1998 (commencement of operations) to
February 28, 1999.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware business
trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and
had no operations prior to March 1, 1994. MIP currently issues the following
separate portfolios: Asset Allocation, Bond Index, Extended Index, International
Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030, LifePath
2040, Money Market, S&P 500 Index and U.S. Equity Index Master Portfolios.
These financial statements relate to the Asset Allocation, Bond Index,
Money Market and S&P 500 Index Master Portfolios (each, a "Master Portfolio",
collectively the "Master Portfolios").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial statements,
and which are in conformity with generally accepted accounting principles for
investment companies. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
Security Valuation
The equity securities of each Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Any
securities, restricted securities or other assets for which market quotations
are not readily available, are valued at fair value as determined in good faith
in accordance with policies approved by MIP's Board of Trustees.
The Money Market Master Portfolio uses the amortized cost method of
valuation to determine the value of its portfolio securities in accordance with
rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing
a security at its cost and accreting or amortizing any discount or premium,
respectively over the period until maturity, approximates market value.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Original issue discount and discount on securities purchased, except for the
Money Market Master Porfolio, are accreted as interest income using a constant
yield to maturity method. Premiums on securities purchased, except for the Money
Market Master Portfolio, are amortized as a reduction in interest income using a
constant yield to maturity method. The Money Market Master Portfolio amortizes
premium and accretes discount on a straight-line basis to maturity.
Federal Income Taxes
MIP believes that each Master Portfolio has and will continue to be
operated in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However, each
investor in a Master Portfolio will be taxable on its distributive share of the
Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes, each Master
Portfolio will be deemed to have "passed through" to interestholders any
interest, dividends, gains or losses for such purposes. The determination of
such share will be made in accordance with the Internal Revenue Code of 1986, as
amended (the "Code"), and regulations promulgated thereunder.
It is intended that each Master Portfolio's assets, income and
distributions will be managed in such a way that an entity electing and
qualifying as a "regulated investment company" under the Code can continue to so
qualify by investing substantially all of its assets through the Master
Portfolio, provided that the regulated investment company
37
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)
meets other requirements for such qualification not within the control of the
Master Portfolio (e.g. distributing at least 90% of the regulated investment
company's "investment company taxable income" annually).
Futures Contracts
The Asset Allocation and S&P 500 Index Master Portfolios may purchase long
futures contracts to gain exposure to market changes as this may be more
efficient or cost effective than actually buying the securities. A futures
contract is an agreement between two parties to buy and sell a security at a set
price on a future date and is exchange traded. Upon entering into a futures
contract, the Asset Allocation and S&P 500 Index Master Portfolios are required
to pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Asset Allocation and S&P 500
Index Master Portfolios agree to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in the value of the contract. Such receipts
or payments are known as "variation margin" and are recorded by the Asset
Allocation and S&P 500 Index Master Portfolios as unrealized gains or losses.
When the contract is closed, the Asset Allocation and S&P 500 Index Master
Portfolios record a gain or loss equal to the difference between the value of
the contract at the time it was opened and the value at the time it was closed.
Pursuant to regulations and/or published positions of the Securities and
Exchange Commission, the Asset Allocation and S&P 500 Index Master Portfolios
are required to segregate cash, U.S. Government securities or high quality,
liquid debt instruments in connection with long futures transactions in an
amount generally equal to the entire futures contract amount. Risks of entering
into futures contracts include the possibility that there may be an illiquid
market and that a change in the value of the contracts may not correlate with
changes in the value of the underlying securities.
As of June 30, 2000, the open long futures contracts outstanding were as
follows:
<TABLE>
<CAPTION>
Number of Expiration Notional Net Unrealized
Master Portfolio Contracts Type Date Contract Value Depreciation
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Asset Allocation Master Portfolio 1 S&P 500 Index 09/15/00 $ 367,025 $ (7,475)
S&P 500 Index Master Portfolio 346 S&P 500 Index 09/15/00 126,990,650 (2,492,652)
</TABLE>
The Asset Allocation and the S&P 500 Index Master Portfolios have pledged
to brokers U.S. Treasury Bills for initial margin requirements with a par value
of $550,000 and $8,150,000, respectively.
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Schedule of Investments. The advisor to the Master
Portfolio may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than the repurchase price.
The repurchase agreements entered into on June 30, 2000 by the Master
Portfolios were fully collateralized by U.S. Government obligations as follows:
<TABLE>
<CAPTION>
U.S Government Obligations
------------------------------------------------------
Aggregate
Master Portfolio Interest Rate Maturity Date Market Value
-------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Asset Allocation Master Portfolio 6.50% 08/15/05 $ 4,655,555
Bond Index Master Portfolio 6.50 08/15/05 5,565,975
Money Market Master Portfolio 5.63 02/15/06 9,910
S&P 500 Index Master Portfolio 4.88 - 5.75 11/15/00 - 03/31/01 120,411,574
</TABLE>
2. Agreements and Other Transactions with Affilitates
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.35%, 0.08%, 0.10% and 0.05% of the average daily
net assets of the Asset Allocation, Bond
38
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)
Index, Money Market and S&P 500 Index Master Portfolios, respectively, as
compensation for advisory services. BGFA is an indirect subsidiary of Barclays
Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from Barclays
Global Investors, N.A. ("BGI") for its services as Sub-Administrator of each
Master Portfolio.
Stephens Inc. ("Stephens"), is the sponsor and placement agent for the
Master Portfolios.
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolios, such as managing and
coordinating third-party service relationships. BGI and Stephens are not
entitled to compensation for providing administration services to the Master
Portfolios. BGI and Stephens may delegate certain of their administration duties
to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
June 30, 2000 these officers of Stephens collectively owned less than 1% of the
Master Portfolios' outstanding beneficial interests.
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six-months ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
Asset Allocation Bond Index S&P 500 Index
Aggregate Purchases and Sales of: Master Portfolio Master Portfolio Master Portfolio
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ -- $ 52,931,514 $ --
Sales proceeds -- 77,259,287 --
OTHER SECURITIES:
Purchases at cost $ 140,141,996 $ 42,950,493 $ 166,532,696
Sales proceeds 159,194,043 36,707,378 1,076,048,259
</TABLE>
As of June 30, 2000, the Master Portfolios' aggregate unrealized
appreciation and depreciation based on cost for federal income tax purposes were
as follows:
<TABLE>
<CAPTION>
Net Unrealized
Tax Unrealized Unrealized Appreciation
Master Portfolio Cost Appreciation Depreciation (Depreciation)
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asset Allocation Master Portfolio $ 483,388,662 $ 102,079,704 $ (22,719,476) $ 79,360,228
Bond Index Master Portfolio 458,575,643 1,419,317 (17,827,778) (16,408,461)
S&P 500 Index Master Portfolio 2,918,072,487 1,241,324,604 (251,477,520) 989,847,084
</TABLE>
4. Portfolio Securities Loaned
As of June 30, 2000 certain Master Portfolios had loaned securities which
were collateralized by U.S Government Agency obligations and money market mutual
funds. Each Master Portfolio receives transaction fees for providing services in
connection with the securities lending program. The risks to the Master
Portfolios of securities lending are that the borrower may not provide
additional collateral when required or return the securities when due. The value
of the securities on loan and the value of the related collateral were as
follows:
<TABLE>
<CAPTION>
Value of Value of
Master Portfolio Securities Collateral
--------------------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Master Portfolio $13,871,120 $14,276,347
Bond Index Master Portfolio 21,525,993 22,082,188
S&P 500 Index Master Portfolio 92,268,933 95,640,573
</TABLE>
39
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)
5. Financial Highlights
The ratios of expenses to average net assets, net investment income to
average net assets and portfolio turnover rates, excluding short-term
securities, for the Master Portfolios were as follows:
<TABLE>
<CAPTION>
Six For the For the
Months Ended Period Ended Year Ended
June 30, 2000 December 31, February 28,
(Unaudited) 1999* 1999
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Asset Allocation Master Portfolio
Ratio of expenses to average net assets+ 0.35% 0.35% 0.35%
Ratio of net investment income to average net assets+ 2.87% 2.75% 2.24%
Portfolio turnover rate 26% 39% 33%
Bond Index Master Portfolio
Ratio of expenses to average net assets+ 0.08% 0.08% 0.08%
Ratio of net investment income to average net assets+ 6.77% 6.44% 6.31%
Portfolio turnover rate 22% 25% 28%
Money Market Master Portfolio
Ratio of expenses to average net assets+ 0.10% 0.10% 0.10%++
Ratio of net investment income to average net assets+ 6.16% 5.23% 5.17%++
S&P 500 Index Master Portfolio
Ratio of expenses to average net assets+ 0.05% 0.05% 0.05%
Ratio of net investment income to average net assets+ 1.24% 1.44% 1.61%
Portfolio turnover rate 4% 7% 11%
-------------------------------------------------------------------------------------------------------------
</TABLE>
* For the ten months ended December 31, 1999. The Master Portfolios changed
their fiscal year-ends from February 28 to December 31.
+ Annualized For Period Less Than One Year.
++ For the period from September 1, 1998 (commencement of operations) to
February 28, 1999.
40
<PAGE>
Barclays Global Investors Funds, Inc.
c/o Investors Bank and Trust Co.
200 Claredon Street
Boston, MA 02116
BGI/SAR.6/00
