<PAGE>
December 31, 1999
Annual Report 99
Asset 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>
Letter to Shareholders............................................ 1
Barclays Global Investors Funds Market Overview................... 2
Managers' Discussion and Analysis................................. 4
Barclays Global Investors Funds, Inc.
Statements of Assets and Liabilities............................ 11
Statements of Operations........................................ 12
Statements of Changes in Net Assets............................. 14
Financial Highlights............................................ 17
Notes to the Financial Statements............................... 21
Independent Auditors' Report.................................... 25
Master Investment Portfolio -- Portfolios of Investments
Asset Allocation Master Portfolio............................... 26
Bond Index Master Portfolio..................................... 41
Money Market Master Portfolio................................... 47
S&P 500 Index Master Portfolio.................................. 49
Master Investment Portfolio
Statements of Assets and Liabilities............................ 63
Statements of Operations........................................ 64
Statements of Changes in Net Assets............................. 66
Master Investment Portfolio Notes to the Financial
Statements.................................................... 68
Independent Auditors' Report.................................... 73
</TABLE>
<PAGE>
To Our Shareholders
The 1999 fiscal year was one of significant change, growth, and opportunity.
Highlights from the year include:
. MasterWorks(R) Funds Inc. was renamed Barclays Global Investors Funds,
Inc. on July 1, 1999. The name change does not affect the Funds'
strategies, ownership, or investment objectives, and you can still find
daily prices in print and online.
. Upon shareholder approval, the U.S. Treasury Allocation Fund merged with
the Bond Index Fund on October 29, 1999.
. The Funds' fiscal year end was changed from February 28 to December 31.
Accordingly, this report covers the ten-month period ending December 31.
Future semi-annual reports will cover the six-month period ending June 30,
and future annual reports will cover the 12-month period ending December
31.
. The Dow Jones Industrial Average, which measures the value of 30 actively
traded, well-established U.S. companies, surpassed 10,000 points on March
16, 1999.
. The return of the Standard and Poor's 500 Index, which measures the
performance of 500 widely-held industrial, transportation, financial, and
utility stocks of U.S. companies, surpassed 20% for the fifth consecutive
year.
. The Federal Reserve Board raised short-term interest rates three times
during the year.
As we look back on another year in which the Dow Jones Industrial Average
and the S&P 500 Index reached record-high levels, we urge investors 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 February 2000
1
<PAGE>
Barclays Global Investors Funds Market Overview
10-Month Period Ended December 31, 1999
U.S. Equity Markets
The fiscal period that began March 1, 1999 opened on a positive note for
large-cap stocks. The Dow Jones Industrial Average reached a new milestone on
March 16, breaking through the 10,000-point barrier. A healthy U.S. economy and
an appetite for technology stocks drove the market, with an emphasis on rising
earnings that left value stocks largely ignored in favor of growth stocks.
During the months of April and May, concern surfaced about an overheated
economy. Although unemployment figures remained benign, consumer and wholesale
prices had begun to heat up. A recovery in European countries compounded worries
of potential inflation and corresponding Federal Reserve intervention. Markets
reflected this apprehension, as investors shunned growth stocks for value. For
example, within the S&P 500 Index, value stocks returned 10.80%, while growth
stocks returned only 3.83% for the quarter ending June 30. The S&P 500 Index
returned 7.05% overall, closing the quarter at a new high.
Although it raised short-term interest rates by 0.25% on June 30, the
Federal Reserve Board indicated that there would not be additional increases in
the near future. The markets welcomed the news and enjoyed a brief rally.
However, worries over higher interest rates were rekindled as many companies
released favorable earnings reports in July. After reaching new highs on July
16, U.S. equities tumbled through the end of the third quarter and into the
second week of October, giving back some of the gains they had accumulated for
the year. Tightening labor markets and strong domestic demand figures released
in August contributed to the decline. For the quarter ended September 30, the
S&P 500 Index lost 6.24%. Only the technology-driven Nasdaq posted positive
returns for the quarter.
October began on a negative note as high producer price reports provided
further indications of an overheated economy. However, the tide soon changed and
markets rebounded sharply during the second half of the month. The S&P 500 Index
returned 6.33% for October, one of its best monthly returns in a decade. The
technology sector propelled the Nasdaq to new highs, setting 16 record closing
highs in November. The surge in equities continued through year end, and the S&P
500 Index gained 14.88% for the quarter. Its return of 21.04% for the year
marked the fifth year in a row that its performance has exceeded 20%. For the
Nasdaq, results were even more stunning, as technology stocks drove the index up
22% for the month of December alone, returning 86% for the year.
Not surprisingly, the technology sector was the largest contributor to U.S.
equity performance for the year. Although value stocks and growth stocks fell
alternately in and out of favor, growth stocks overwhelmingly outperformed value
stocks.
U.S. Fixed-income Markets
The 1999 fiscal period began with a dramatic shift in the economic landscape
that 1998 experienced. The turmoil sparked by Russia's devaluation of the ruble
and default on its debt in August 1998, had ultimately led to the Federal
Reserve Board's three consecutive monthly short-term interest rate cuts, a
cumulative 0.75%, in the fall of 1998. By January 1999, many investors had
anticipated an economic slowdown in the U.S., and expectations of further easing
of monetary policy were predominant.
However, investors were soon to learn that the U.S. economy had grown a
staggering 6.0% in the fourth quarter of 1998. Coupled with reports of the
lowest unemployment rates since 1970, the economic outlook caused market
participants to rethink their position.
As investors' fears about inflation mounted, interest rates rose. During the
second quarter of 1999, the yields on 30-year Treasury bonds rose to just over
6%. On June 30, the Federal Reserve Board raised short-term interest rates
0.25%, citing improved global conditions, recovering foreign economies, and
continued strength in the domestic economy. However, the bond market rallied in
response to the Fed's move to a neutral stance in regard to further tightening.
2
<PAGE>
Barclays Global Investors Funds Market Overview (continued)
In the third quarter, tightness in the labor market and weakness in the
dollar drove yields higher. The employment cost index, released at the end of
July, rose at its fastest rate in eight years. By August 6, the 30-year Treasury
bond yield had risen to 6.28%, its highest level in 20 months. In the midst of
these inflationary pressures, the Federal Reserve Board increased rates another
0.25% on July 16. After a bleak August, bonds staged a brief rally in September
as nervousness about technology stocks heightened and reassuring Gross Domestic
Product figures were released. The 30-year Treasury yield dropped to 6.05%
Discouraging manufacturing reports released on October 1 sent bond prices
falling sharply, as inflation fears resurfaced. Yields continued rising through
the month, reaching their highest levels since September 1997. On November 16,
the Federal Reserve Board raised short-term interest rates for a third time. The
cumulative 0.75% hike for the year exactly reversed the cuts made in the fall of
1998. Bonds reacted by falling for the remainder of the month. December marked
the ninth consecutive monthly decline in bond prices for 1999, as further signs
of a strong economy compounded existing inflation concerns. The 30-year Treasury
bonds finished the year with an annual return of -8.74%, marking the worst
returns in over twenty years.
3
<PAGE>
ASSET ALLOCATION FUND
Average Annual
PERFORMANCE AS OF 12/31/99 Total Return
- --------------------------------------------------------------------------------
Year to Date 9.95%
One Year (1/1/99-12/31/99) 9.64%
Five Year 19.47%
Since Inception Date (7/2/93-12/31/99) 15.13%
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 constantly monitors expected levels of risk and
return to determine the best mix of investments among the different asset
classes.
For the 10 months ended December 31, 1999, the Fund returned 9.95%, compared
to the benchmark's return of 9.10% for the same period. "Net investment income"
includes income from dividends and interest on the Fund's investments after
management and administrative fees have been deducted. Cumulative dividends on
net investment income were approximately $0.29 per share during this period. Of
course, past performance is no guarantee of future results.
The Asset Allocation Fund's benchmark is composed of 60% of the return of
the S&P 500 Index and 40% of the Lehman Brothers 20+ Bond Index. At the
beginning of the fiscal period, the Fund was slightly overweighted in equities,
with 80% of the Fund in large-cap stocks and 20% in long-term government bonds.
The Fund decreased its equity allocation in the following months, reaching its
benchmark allocation of 60% equities and 40% bonds by the end of June. The
Fund's allocation remained at its benchmark weightings through the end of the
year. The Fund's substantial overweighting in equities early in its fiscal year
enabled it to participate in a strong equity market. By gradually decreasing its
equity positions as the economic landscape began to look less optimistic, the
Fund was able to lock in gains made early in the year and reduce its equity
exposure in the event of a falling stock market.
Signs of a healthy economy in the first half of the year drove the stock
market higher, but led the bond market on a decline that would continue
throughout the year. On June 30, the Federal Reserve Board ("Fed") instituted
the first of three interest rate hikes in response to improved global financial
conditions and signs of a robust economy. Equity and bond markets alike staged
brief rallies in response; however, the surge in bonds was short-lived, and
interest rates remained at their highest levels in over a year.
The third quarter brought mixed results for both stocks and bonds.
Additional evidence of an inflated economy led the Fed to raise short-term rates
a second time, on August 24. As a result, the stock market slumped as the
average stock in the S&P 500 Index dropped 25% from its 52-week high. The bond
market rose on some of the fallout from the stock market, and surged briefly at
quarter end with a downward revision in second quarter Gross Domestic Product
figures.
The fourth quarter opened with renewed concerns about inflation. High
producer price numbers pulled the S&P 500 Index down, logging its worst one-week
performance in a decade. However, more encouraging reports of a healthy economy
in the following weeks brought the index roaring back. Although the Fed's third
interest rate hike on November 16 caused a small blip in performance, the index
resumed its march upward, returning an impressive 14.88% for the fourth quarter.
In contrast, bonds responded negatively as each report of economic strength
compounded concerns of inflation. Continued weakness caused 20+ Treasury bonds
to return a -5.87% for the 10-month period ending December 31, 1999.
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.
4
<PAGE>
ASSET ALLOCATION FUND (Continued)
Growth of $10,000 Investment
Asset Allocation Fund
Asset Lipper
Allocation S&P 500 Balanced
Fund Index Fund Index
$10,000.00 $10,000.00 $10,000.00
9/30/93 $10,467.00 $10,258.00 $10,366.00
12/31/93 $10,543.00 $10,494.96 $10,477.95
3/31/94 $10,111.00 $10,096.15 $10,158.38
6/30/94 $ 9,953.00 $10,138.56 $10,081.17
9/30/94 $10,138.00 $10,634.33 $10,376.55
12/31/94 $10,264.00 $10,632.20 $10,263.45
3/31/95 $11,047.00 $11,667.78 $10,883.36
6/30/95 $12,055.00 $12,782.05 $11,645.19
9/30/95 $12,610.00 $13,798.23 $12,270.54
12/31/95 $13,258.00 $14,628.88 $12,819.03
3/31/96 $13,441.00 $15,414.45 $13,106.18
6/30/96 $13,726.00 $16,106.56 $13,372.23
9/30/96 $13,944.00 $16,604.25 $13,722.59
12/31/96 $14,828.00 $17,989.05 $14,486.94
3/31/97 $14,660.00 $18,471.15 $14,550.68
6/30/97 $16,206.00 $21,696.22 $16,109.06
9/30/97 $17,266.00 $23,321.26 $17,143.26
12/31/97 $18,136.00 $23,990.58 $17,391.83
3/31/98 $20,004.01 $27,334.87 $18,767.53
6/30/98 $20,790.17 $28,236.92 $19,052.79
9/30/98 $19,646.71 $25,433.00 $17,949.64
12/31/98 $22,784.29 $30,845.14 $20,013.85
3/31/99 $23,369.84 $32,381.22 $20,336.07
6/30/99 $24,178.44 $34,664.10 $21,249.16
9/30/99 $23,220.97 $32,501.06 $20,369.44
12/31/99 $24,981.12 $37,333.97 $21,811.60
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.
5
<PAGE>
BOND INDEX FUND
Average Annual
PERFORMANCE AS OF 12/31/99 Total Return
- --------------------------------------------------------------------------------
Year to Date -.82%
One Year (1/1/99-12/31/99) -2.69%
Five Year 7.21%
Since Inception Date (7/2/93-12/31/99) 5.25%
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 10 months ended December 31, 1999, the Fund returned -0.82%,
compared to the index's return of -0.48%. As can be expected, the Fund's
performance lagged slightly, partially due to administrative and management fees
that are deducted from the Fund.
"Net investment income" includes income from interest on the Fund's
investments after management and administrative fees have been deducted.
Cumulative dividends on net investment income were approximately $0.50 per share
during this period. Of course, past performance is no guarantee of future
results.
The Fund invests in the same proportions of the same securities that
comprise the index it tracks. At the close of the year, the Fund had invested
51% of its assets in U.S. Treasury bonds, 34% in corporate bonds, and 15% in
U.S. agency securities.
The bond market endured a volatile year in 1999. Several factors led the
bond market to its worst annual performance in decades, including concerns of an
overheated economy and the unraveling of the international financial turmoil in
1998. Inflation fears mounted during the first half of the year as the U.S.
economy, now in its ninth year of expansion, continued growing at a robust pace.
In contrast to 1998, when the threat of an international financial crisis led to
an increased demand for the safety of U.S. Treasury bonds, investors became more
confident in foreign markets in early 1999. The "flight to quality" that had
occurred in 1998 was reversed as foreign economies recovered, and international
investors left the safe haven of U.S. Treasuries in favor of higher yields. This
lower demand for U.S. Treasury securities, coupled with rising anxiety about
inflation, caused interest rates to rise during the first half of the year. By
June, the strength of the economy convinced the Fed to raise short-term interest
rates by 0.25%.
Amid continued reports of a rapidly growing economy, the Fed raised interest
rates two additional times during the year, in August and in November. These
three rate increases represented a cumulative 0.75%, effectively erasing the
three cuts that the Fed had implemented to stem financial turmoil in 1998.
Inflationary concerns continued to plague the bond market through the end of the
year, resulting in the worst performance for long-term Treasury bonds in more
than twenty years.
Another contrast in the 1999 bond market compared to that of 1998 was the
performance of riskier low-quality bonds. In 1998, low-quality bonds suffered,
however, renewed confidence of investors in 1999 led them back to low-quality
bonds. As a result, low-quality bonds outperformed high-quality bonds for the
year and U.S. Treasury bond yields reached historic lows. This adversely
affected the performance of the Fund, which was underweighted in low-quality
bonds.
The Fund will continue to pursue its objective of tracking the Lehman
Brothers Government/Corporate Bond Index as closely as possible.
6
<PAGE>
BOND INDEX FUND (Continued)
Growth Of $10,000 Investment
Bond Index Fund
Lehman Brothers
Bond Index Govt/ Corp
Fund Bond Index
$10,000.00 $10,000.00
Sep-93 $10,281.00 $10,332.00
Dec-93 $10,230.00 $10,302.04
Mar-94 $9,937.00 $9,977.52
Jun-94 $9,776.00 $9,853.80
Sep-94 $9,820.00 $9,903.07
Dec-94 $9,846.00 $9,939.71
Mar-95 $10,326.00 $10,434.71
Jun-95 $10,998.00 $11,110.88
Sep-95 $11,186.00 $11,323.10
Dec-95 $11,696.00 $11,850.75
Mar-96 $11,397.00 $11,573.45
Jun-96 $11,432.00 $11,627.84
Sep-96 $11,626.00 $11,832.49
Dec-96 $11,945.00 $12,194.56
Mar-97 $11,848.00 $12,095.79
Jun-97 $12,269.00 $12,515.51
Sep-97 $12,691.00 $12,934.78
Dec-97 $13,112.00 $13,364.22
Mar-98 $13,275.90 $13,567.35
Jun-98 $13,638.33 $13,921.46
Sep-98 $14,327.07 $14,610.57
Dec-98 $14,337.10 $14,629.57
Mar-99 $14,144.98 $14,803.66
Jun-99 $13,935.63 $14,640.82
Sep-99 $14,020.64 $14,719.88
Dec-99 $13,950.54 $14,659.53
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.
7
<PAGE>
MONEY MARKET FUND
PERFORMANCE AS OF 12/31/99 Seven-Day Yield
- --------------------------------------------------------------------------------
5.52%
The seven-day yield is an annualized yield for the seven-day period ended
December 31, 1999. "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 half of its fiscal period, the Fund took
advantage of rising interest rates by extending the average maturity of its
portfolio and by purchasing floating-rate securities.
"Net investment income" includes income from interest on the Fund's
investments after management and administrative fees have been deducted.
Cumulative dividends on net investment income were approximately $0.04 per share
during this period. Of course, past performance is no guarantee of future
results.
Two key factors defined the fixed-income environment for 1999 --
inflationary concerns and preparation for potential Year 2000 technology
problems.
The Fund's fiscal year witnessed considerable evidence of renewed strength
in the economy. High housing and auto sales, as well as low unemployment figures
all pointed to an economy that was growing at a robust pace. Inflationary
concerns ensued. In response, the Federal Reserve Board raised short-term
interest rates three times during the course of the year in June, August, and
November effectively reversing the interest rate cuts implemented in 1998. The
market continued to expect higher rates through the end of the year.
The "Y2K" dynamic unfolded during the summer, when corporations began to
prepare for the uncertainties that the Year 2000 change might bring. In an
effort to build up liquidity, many corporations issued debt, flooding the market
with a large supply of short-term paper. The increased supply drove prices down
and raised yields.
The Fund was able to take advantage of both of these factors. The shorter
maturities and floating-rate securities in the Fund's portfolio benefited from
rising rates. Due to a relatively large amount of cash on hand in the second
half of the year, the Fund was able to purchase short-term debt at unusually
high yields. These factors are reflected in the Fund's strong performance for
the year.
We believe the Fund is well positioned going into the new year, and will
continue to pursue its investment objective of seeking a high level of income
consistent with liquidity and the preservation of capital.
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.
8
<PAGE>
S&P 500 STOCK FUND
Average Annual
PERFORMANCE AS OF 12/31/99 Total Return
- --------------------------------------------------------------------------------
Year to Date 19.67%
One Year (1/1/99-12/31/99) 20.59%
Five Year 28.21%
Since Inception Date (7/2/93-12/31/99) 22.25%
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 hold all of the stocks in -- and
match as closely as possible the performance of -- the Standard & Poor's 500
Index. For the 10 months ended December 31, 1999, the Fund returned 19.67%,
compared to the index's return of 19.90%. As can be expected, the Fund's
performance lagged slightly, largely due to administrative and management fees
that are deducted from the Fund.
"Net investment income" includes income from dividends and interest on the
Fund's investments after management and administrative fees have been deducted.
Cumulative dividends on net investment income were approximately $0.34 per share
during this period. Of course, past performance is no guarantee of future
results.
The S&P 500 Index's rise of 21.04% for the 1999 calendar year marked its
fifth consecutive year of returns exceeding 20%, unprecedented in the history of
the index. The technology stock sector of the index returned 75.13% for the
year. For example, QUALCOMM Inc., a manufacturer of communications technologies
and products, returned 94.50% for the month of December and 2,617.9% for the
year. Nortel Networks, a leading global supplier of data and telephone network
solutions and services, also contributed to the index's strong performance,
gaining 304.0% for the year. Although value and growth stocks were alternately
in and out of favor during the year, growth strongly outperformed value for the
year, gaining 28.25% compared to 12.72% for value stocks.
The year witnessed continued economic growth. Signs of a healthy economy
that prevailed early in the year turned intermittently to indications of an
overheated one throughout the year. As a result, the Federal Reserve Board
increased short-term interest rates three times in 1999, in June, August and
November, effectively reversing the three interest rate cuts implemented in
1998.
Inflationary concerns briefly interrupted the general upward trend in the
index in the third and fourth quarters. The index plunged 6.24% during the third
quarter, falling from an all-time high in July. Strong economic reports in early
October sent the index tumbling again, only to surge ahead and close the month
up 6.33%. The markets responded to the November 16 rate hike with mild
indifference, and the index continued its climb through year-end, returning an
impressive 14.88% for the fourth quarter.
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.
9
<PAGE>
S&P 500 STOCK FUND (Continued)
Growth Of $10,000 Investment
S&P 500 Stock Fund
S&P 500 S&P 500
Stock Fund Index
Sep-93 $10,347.00 $10,258.00
Dec-93 $10,569.00 $10,494.96
Mar-94 $10,179.00 $10,096.15
Jun-94 $10,180.00 $10,138.56
Sep-94 $10,652.00 $10,634.33
Dec-94 $10,652.00 $10,632.20
Mar-95 $11,676.00 $11,667.78
Jun-95 $12,782.00 $12,782.05
Sep-95 $13,794.00 $13,798.23
Dec-95 $14,609.00 $14,628.88
Mar-96 $15,398.00 $15,414.45
Jun-96 $16,076.00 $16,106.56
Sep-96 $16,553.00 $16,604.25
Dec-96 $17,914.00 $17,989.05
Mar-97 $18,384.00 $18,471.15
Jun-97 $21,576.00 $21,696.22
Sep-97 $23,177.00 $23,321.26
Dec-97 $23,838.00 $23,990.58
Mar-98 $27,137.18 $27,334.87
Jun-98 $28,016.42 $28,236.92
Sep-98 $25,234.39 $25,433.00
Dec-98 $30,611.84 $30,845.14
Mar-99 $32,081.21 $32,381.22
Jun-99 $34,323.69 $34,664.10
Sep-99 $32,147.57 $32,501.06
Dec-99 $36,915.05 $37,333.97
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.
10
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<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) $562,277,962 $132,309,116 $143,231,700 $2,852,633,661
Receivables:
Capital shares sold 668,665 1,257,408 888,452 1,658,357
Total Assets 562,946,627 133,566,524 144,120,152 2,854,292,018
LIABILITIES
Payables:
Capital shares redeemed 279,319 123,293 169,900 9,511,999
Distribution to shareholders 0 0 662,033 0
Due to BGI and Stephens (Note 2) 143,872 58,352 30,618 342,013
Total Liabilities 423,191 181,645 862,551 9,854,012
TOTAL NET ASSETS $562,523,436 $133,384,879 $143,257,601 $2,844,438,006
Net assets consist of:
Paid-in capital 473,231,082 141,765,550 143,342,288 1,459,790,093
Undistributed (distributions in excess of) net investment income 3,679 0 0 2,027,014
Undistributed net realized gain (loss) on investments 4,694,755 (431,866) (84,687) 27,229,032
Net unrealized appreciation (depreciation) on investments 84,593,920 (7,948,805) 0 1,355,391,867
TOTAL NET ASSETS $562,523,436 $133,384,879 $143,257,601 $2,844,438,006
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net Assets $562,523,436 $133,384,879 $143,257,601 $2,844,438,006
Shares outstanding 44,747,159 14,572,837 143,314,982 105,225,239
Net asset value and offering price per share $ 12.57 $ 9.15 $ 1.00 $ 27.03
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Asset Allocation Fund
-----------------------------------------
For the For the
Period Ended Year Ended
December 31, 1999* February 28, 1999
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 3,971,237 $ 5,940,051
Interest 10,711,162 8,449,263
Expenses (1,667,200) (1,941,048)
Net Investment Income (Loss) Allocated from Master Portfolio 13,015,199 12,448,266
EXPENSES (Note 2)
Advisory fees 0 0
Administration fees 1,900,856 2,215,108
Total Expenses 1,900,856 2,215,108
NET INVESTMENT INCOME (LOSS) 11,114,343 10,233,158
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM MASTER
PORTFOLIOS
Net realized gain (loss) 95,145,321 54,934,107
Net change in unrealized appreciation (depreciation) (51,937,790) 25,525,970
Net Gain (Loss) on Investments 43,207,531 80,460,077
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 54,321,874 $ 90,693,235
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
* For the ten months ended December 31, 1999. The Fund changed its fiscal
year end from February 28 to December 31.
** Includes interest income of $4,964,170 for the period from March 1, 1998 to
August 31, 1998. As of September 1, 1998, the Money Market Fund invests all
of its investable assets in the Master Investment Portfolio -- Money Market
Master Portfolio. See Note 1 to the Financial Statements.
*** This represents the advisory fee from March 1, 1998 to August 31, 1998.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
Bond Index Fund Money Market Fund S&P 500 Stock Fund
- ------------------------------------- ------------------------------------- ----------------------------------------
For The For The For The For The For the For the
Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended
December 31, 1999* February 28, 1999 December 31, 1999* February 28, 1999 December 31, 1999* February 28, 1999
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 0 $ 0 $ 0 $ 0 $ 27,818,139 $ 31,501,749
6,738,510 6,773,786 6,629,835 9,857,970** 6,156,698 7,241,331
(83,160) (85,135) (127,076) (92,663) (1,142,529) (1,164,190)
6,655,350 6,688,651 6,502,759 9,765,307 32,832,308 37,578,890
0 0 0 310,377*** 0 0
155,779 159,900 440,125 410,994 3,439,216 3,516,796
155,779 159,900 440,125 721,371 3,439,216 3,516,796
6,499,571 6,528,751 6,062,634 9,043,936 29,393,092 34,062,094
(812,122) 416,912 4,390 0 150,169,823 177,407,624
(6,734,904) (1,350,936) 0 0 306,323,963 202,382,736
(7,547,026) (934,024) 4,390 0 456,493,786 379,790,360
$ (1,047,455) $ 5,594,727 $ 6,067,024 $ 9,043,936 $ 485,886,878 $ 413,852,454
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
------------------------------------------------------------
For The For The For The
Period Ended Year Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income (loss) $ 11,114,343 $ 10,233,158 $ 15,538,218
Net realized gain (loss) 95,145,321 54,934,107 43,346,185
Net change in unrealized appreciation (depreciation) (51,937,790) 25,525,970 54,041,438
Net increase (decrease) in net assets resulting
from operations 54,321,874 90,693,235 112,925,841
Distributions to shareholders:
From net investment income (11,116,238) (10,229,071) (15,569,560)
From net realized gain on sale of investments (96,148,832) (58,094,782) (45,241,548)
Capital share transactions:
Proceeds from shares sold 124,350,359 163,909,555 142,241,923
Issued in reorganization of
U.S. Treasury Allocation Fun (Note 1) 0 0 0
Net asset value of shares issued in reinvestment of
dividends and distributions 104,874,686 66,692,075 60,810,816
Cost of shares redeemed (212,851,331) (188,624,236) (152,006,433)
Net increase (decrease) in net assets resulting
from capital share transactions 16,373,714 41,977,394 51,046,306
Increase (decrease) in net assets (36,569,482) 64,346,776 103,161,039
NET ASSETS:
Beginning net assets 599,092,918 534,746,142 431,585,103
Ending net assets $ 562,523,436 $ 599,092,918 $ 534,746,142
SHARES ISSUED AND REDEEMED:
Shares sold 8,537,983 11,550,910 11,061,652
Issued in reorganization of U.S. Treasury
Allocation Fund (Note 1) 0 0 0
Shares issued in reinvestment of dividends and distributions 8,236,096 4,826,308 4,795,265
Shares redeemed (14,605,085) (13,399,789) (11,869,232)
Net increase (decrease) in shares outstanding 2,168,994 2,977,429 3,987,685
- ---------------------------------------------------------------------------------------------------------------------------
</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.
14
<PAGE>
<TABLE>
<CAPTION>
Bond Index Fund Money Market Fund
- -------------------------------------------------------- -----------------------------------------------------------
For The For The For The For The For The For The
Period Ended Year Ended Year Ended Period Ended Year Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998 December 31, 1999* February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 6,499,571 $ 6,528,751 $ 7,019,694 $ 6,062,634 $ 9,043,936 $ 9,455,062
(812,122) 416,912 835,418 4,390 0 (4,762)
(6,734,904) (1,350,936) 1,840,981 0 0 0
(1,047,455) 5,594,727 9,696,093 6,067,024 9,043,936 9,450,300
(6,530,230) (6,537,256) (7,045,500) (6,062,634) (9,043,936) (9,455,062)
0 0 0 0 0 0
34,548,818 78,080,680 45,025,402 145,825,218 240,959,138 219,618,386
16,787,993 0 0 0 0 0
6,485,976 6,494,980 7,037,685 3,386,009 8,796,812 9,251,485
(43,593,061) (50,676,715) (90,406,487) (210,569,633) (225,467,337) (225,588,287)
14,229,726 33,898,945 (38,343,400) (61,358,406) 24,288,613 3,281,584
6,652,041 32,956,416 (35,692,807) (61,354,016) 24,288,613 3,276,822
126,732,838 93,776,422 129,469,229 204,611,617 180,323,004 177,046,182
$ 133,384,879 $ 126,732,838 $ 93,776,422 $ 143,257,601 $ 204,611,617 $ 180,323,004
3,643,231 7,837,305 4,679,516 145,825,218 240,959,138 219,618,386
1,801,287 0 0 0 0 0
689,542 656,638 738,294 3,386,009 8,796,812 9,251,485
(4,582,712) (5,111,552) (9,514,575) (210,569,633) (225,467,337) (225,588,287)
1,551,348 3,382,391 (4,096,765) (61,358,406) 24,288,613 3,281,584
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
S&P 500 Stock Fund
-------------------------------------------------------------
For The For The For The
Period Ended Year Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 29,393,092 $ 34,062,094 $ 31,240,614
Net realized gain (loss) 150,169,823 177,407,624 67,662,285
Net change in unrealized appreciation
(depreciation) 306,323,963 202,382,736 444,494,109
Net increase (decrease) in net assets
resulting from operations 485,886,878 413,852,454 543,397,008
Distributions to shareholders:
From net investment income (34,539,545) (34,259,853) (30,121,261)
From net realized gain on sale of
investments (221,767,624) (116,355,328) (39,697,846)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 685,106,140 1,128,532,649 859,737,151
Issued in reorganization of U.S. Treasury
Allocation Fund (Note 1) 0 0 0
Net asset value of shares issued in
reinvestment of dividends and
distributions 254,591,154 149,487,247 69,792,808
Cost of shares redeemed (868,295,351) (1,290,233,516) (533,699,383)
Net increase (decrease) in net assets resulting
from capital share transactions 71,401,943 (12,213,620) 395,830,576
Increase (decrease) in net assets 300,981,652 251,023,653 869,408,477
NET ASSETS:
Beginning net assets 2,543,456,354 2,292,432,701 1,423,024,224
Ending net assets $ 2,844,438,006 $ 2,543,456,354 $ 2,292,432,701
SHARES ISSUED AND REDEEMED:
Shares sold 25,862,069 48,280,596 44,359,193
Issued in reorganization of
U.S. Treasury Allocation Fund
(Note 1) 0 0 0
Shares issued in reinvestment of
dividends and distributions 9,600,367 6,314,659 3,561,316
Shares redeemed (32,815,935) (55,820,972) (27,667,316)
Net increase (decrease) in shares outstanding 2,646,501 (1,225,717) 20,253,193
- --------------------------------------------------------------------------------------------------------------
</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.
16
<PAGE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
Asset Allocation Fund
------------------------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, Feb. 28, Feb. 28, Feb. 28, Feb. 29, Feb. 28,
1999** 1999 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 14.07 $ 13.50 $ 12.12 $ 11.83 $ 9.93 $ 10.19
Income from investment operations:
Net investment income (loss) 0.29 0.26 0.44 0.47 0.40 0.44
Net realized and unrealized gain
(loss) on investments 1.08 2.07 2.68 1.02 1.90 (0.14)
Total from investment operations 1.37 2.33 3.12 1.49 2.30 0.30
Less distributions:
From net investment income (0.29) (0.26) (0.44) (0.47) (0.40) (0.44)
From net realized gains (2.58) (1.50) (1.30) (0.73) 0.00 (0.12)
Total distributions (2.87) (1.76) (1.74) (1.20) (0.40) (0.56)
Net Asset Value, end of period $ 12.57 $ 14.07 $ 13.50 $ 12.12 $ 11.83 $ 9.93
Total return (not annualized) 9.95% 17.83% 27.10% 13.09% 23.54% 3.28%
Ratios/Supplemental data:
Net Assets, end of period (000) $ 562,523 $ 599,093 $ 534,746 $ 431,585 $ 397,930 $ 293,696
Number of shares outstanding, end of
period (000) 44,747 42,578 39,601 35,613 33,634 29,585
Ratios to average net assets:+
Ratio of expenses to average net assets/(1)/ 0.75% 0.75% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income (loss) to
average net assets/(2)/ 2.36% 1.84% 3.37% 3.95% 3.62% 4.62%
Portfolio turnover++ 39% 33% 57% 43% 40% 24%*
- -------------------------------------------------------------------------------------------------------------------------------
(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 0.76%
(2) Ratio of net investment income (loss) to average
net assets prior to waived fees and reimbursed
expenses N/A N/A N/A N/A N/A 4.61%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period 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 of each Fund's Corresponding Master
portfolio.
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
Bond Index Fund
------------------------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, Feb. 28, Feb. 28, Feb. 28, Feb. 29, Feb. 28,
1999** 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 9.73 $ 9.73 $ 9.43 $ 9.66 $ 9.20 $ 9.76
Income from investment operations:
Net investment income (loss) 0.50 0.60 0.64 0.63 0.64 0.64
Net realized and unrealized gain
(loss) on investments (0.58) 0.00 0.30 (0.23) 0.46 (0.56)
Total from investment operations (0.08) 0.60 0.94 0.40 1.10 0.08
Less distributions:
From net investment income (0.50) (0.60) (0.64) (0.63) (0.64) (0.64)
From net realized gains 0.00 0.00 0.00 0.00 0.00 0.00
Total distributions (0.50) (0.60) (0.64) (0.63) (0.64) (0.64)
Net asset value, end of period $ 9.15 $ 9.73 $ 9.73 $ 9.43 $ 9.66 $ 9.20
Total return (not annualized) (0.82)% 6.24% 10.36% 4.32% 12.17% 1.12%
Ratios/supplemental data:
Net Assets, end of period (000) $133,385 $126,733 $93,776 $129,469 $58,090 $18,593
Number of shares outstanding, end of
period (000) 14,573 13,021 9,639 13,736 6,016 2,020
Ratios to average net assets:+
Ratio of expenses to average net assets/(1)/ 0.23% 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of net investment income (loss) to
average net assets/(2)/ 6.30% 6.10% 6.66% 6.69% 6.67% 7.08%
Portfolio turnover++ 25% 28% 59% 39% 21% 14%*
- --------------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A 0.32% 0.53% 0.71%
(2) Ratio of net investment income (loss) to average
net assets prior to waived fees and
reimbursed expenses N/A N/A N/A 6.60% 6.37% 6.61%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period 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 of each Fund's corresponding Master
Portfolio.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
Money Market Fund
------------------------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, Feb. 28, Feb. 28, Feb. 28, Feb. 29, Feb. 28,
1999* 1999 1998 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:
Net investment income (loss) 0.04 0.05 0.05 0.05 0.05 0.04
Net realized and unrealized gain
(loss) on investments 0.00 0.00 0.00 0.00 0.00 0.00
Total from investment operations 0.04 0.05 0.05 0.05 0.05 0.04
Less distributions:
From net investment income (0.04) (0.05) (0.05) (0.05) (0.05) (0.04)
From net realized gains 0.00 0.00 0.00 0.00 0.00 0.00
Total distributions (0.04) (0.05) (0.05) (0.05) (0.05) (0.04)
Net Asset Value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return (not annualized) 4.14% 5.15% 5.35% 5.10% 5.60% 4.40%
Ratios/Supplemental data:
Net Assets, end of period (000) $143,258 $205,317 $180,375 $177,046 $156,852 $147,269
Number of shares outstanding, end of
period (000) 143,315 205,378 180,437 177,103 156,910 147,280
Ratios to average net assets:+
Ratio of expenses to
average net assets/(1)/ 0.45% 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income (loss)
to average net assets/(2)/ 4.86% 4.62% 5.23% 4.96% 5.44% 4.44%
Portfolio turnover N/A N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees
and reimbursed expenses N/A N/A N/A 0.48% 0.49% 0.57%
(2) Ratio of net investment income
(loss) to average net assets
prior to waived fees and
reimbursed expenses N/A N/A N/A 4.93% 5.40% 4.32%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
S&P 500 Stock Fund
------------------------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, Feb. 28, Feb. 28, Feb. 28, Feb. 29, Feb. 28,
1999** 1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 24.80 $ 22.08 $ 17.03 $ 14.02 $ 10.83 $ 10.50
Income from investment operations:
Net investment income (loss) 0.29 0.34 0.33 0.32 0.31 0.27
Net realized and unrealized gain
(loss) on investments 4.47 3.87 5.46 3.23 3.36 0.41
Total from investment operations 4.76 4.21 5.79 3.55 3.67 0.68
Less distributions:
From net investment income (0.34) (0.34) (0.33) (0.32) (0.30) (0.27)
From net realized gains (2.19) (1.15) (0.41) (0.22) (0.18) (0.08)
Total distributions (2.53) (1.49) (0.74) (0.54) (0.48) (0.35)
Net Asset Value, end of period $ 27.03 $ 24.80 $ 22.08 $ 17.03 $ 14.02 $ 10.83
Total return (not annualized) 19.67% 19.50% 34.62% 25.82% 34.35% 6.71%
Ratios/Supplemental data:
Net Assets, end of period (000) $2,844,438 $2,543,456 $2,292,433 $1,423,024 $882,696 $448,776
Number of shares outstanding, end of
period (000) 105,225 102,579 103,804 83,551 62,951 41,427
Ratios to average net assets:+
Ratio of expenses to
average net assets/(1)/ 0.20% 0.20% 0.20% 0.20% 0.20% 0.21%
Ratio of net investment income (loss) to
average net assets/(2)/ 1.29% 1.45% 1.73% 2.15% 2.52% 2.93%
Portfolio turnover++ 7% 11% 6% 4% 2% 8%*
- ------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and reimbursed
expenses N/A N/A N/A 0.22% 0.26% 0.25%
(2) Ratio of net investment income
(loss) to average net assets prior to waived
fees and reimbursed expenses N/A N/A N/A 2.13% 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 of each Funds's corresponding Master
Portfolio.
The accompanying notes are an integral part of these Financial statements.
20
<PAGE>
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS
1. Significant Accounting Policies
Barclays Global Investors Funds, Inc. (formerly MasterWorks 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 (formerly LifePath
2000), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market
and S&P 500 Stock Funds (each, a "Fund", collectively, the "Funds"). These
financial statements relate to the Asset Allocation, Bond Index, Money Market
and S&P 500 Stock 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.
The Company's Board of Directors approved a change in fiscal year-end from
February 28 to December 31 for the Bond Index Fund, Money Market Fund and S&P
500 Stock Fund on February 10, 1999 and for the Asset Allocation Fund on
November 23, 1999. Accordingly, the financial statements of the Funds are
presented for the ten-month period ended December 31, 1999.
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%, 29.77%,
58.35% and 59.09% for the Asset Allocation, Bond Index, Money Market and S&P 500
Stock Funds, respectively, as of December 31, 1999). 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 Portfolio 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 (the
"Code"), 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 December 31, 1999.
21
<PAGE>
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS
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.
The Bond Index Fund had a return of capital of $18,270.
Reorganization of U.S. Treasury Allocation Fund
On October 29, 1999, the Bond Index Fund acquired all of the assets and
assumed certain identified liabilities of the U.S. Treasury Allocation Fund in
exchange for shares of beneficial interest of the Bond Index Fund. The Bond
Index Fund delivered to the U.S. Treasury Allocation Fund cash equal to
liabilities retained by the U.S. Treasury Allocation Fund, which were used by
the U.S. Treasury Allocation Fund to pay such liabilities. This acquisition was
accomplished through a taxable exchange of the respective shares of the Funds.
As a result, the cost basis of the securities acquired was equal to the market
value on the date of reorganization. The value of net assets acquired and number
of shares issued were as follows:
Value of Net Number of
Acquired Fund Assets Acquired Shares Issued
- --------------------------------------------------------------------------
U.S. Treasury Allocation Fund $ 16,787,993 1,801,287
The net assets of the Bond Index Fund immediately after the acquisition were
$133,542,265.
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 (expressed as a percentage of average
daily net assets) from each Fund as follows:
Fund Combined Fee
- -------------------------------------------------------------------------
Asset Allocation Fund 0.40%
Bond Index Fund 0.15%
Money Market Fund 0.35%
S&P 500 Stock Fund 0.15%
Certain officers and directors of the Company are also officers of Stephens.
As of December 31, 1999, these officers of Stephens collectively owned less than
1% of the outstanding shares of each Fund.
3. Capital Shares Transactions
As of December 31, 1999, there were 21.3 billion shares of $.001 par value
capital stock authorized by the Company. As of December 31, 1999, 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.
22
<PAGE>
BARCLAYS GLOBAL INVESTORS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS
Tax Information -- Unaudited
Pursuant to section 852 of the Internal Revenue Code, the Asset Allocation
Fund and S&P 500 Stock Fund designates $95,132,536 and $199,745,337
respectively, as capital gains dividends for the year ended December 31, 1999,
of which 100% represents 20% rate gains.
For corporate shareholders, 28.91% and 54.79% of the income dividends paid
by the Asset Allocation Fund and S&P 500 Stock Fund, respectively, during the
year ended December 31, 1999 qualified for the dividends received deduction.
23
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
24
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of Directors of
Barclays Global Investors Funds, Inc.:
We have audited the accompanying statements of assets and liabilities of
Asset Allocation Fund, Bond Index Fund, Money Market Fund, and S&P 500 Stock
Fund (four of the funds comprising Barclays Global Investors Funds, Inc.), as of
December 31, 1999, and the related statements of operations for the ten-month
period then ended and for the year ended February 28, 1999, the statements of
changes in net assets for the ten-month period then ended and for each of the
years in the two-year period ended February 28, 1999, and the financial
highlights for the ten-month period then ended, and for each of the years in the
five-year period ended February 28, 1999. These financial statements and
financial highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the aforementioned funds of Barclays Global Investors Funds, Inc. as of
December 31, 1999, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated above in
conformity with generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
February 11, 2000
25
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS-61.38%
ADVERTISING-0.17%
Interpublic Group Co Inc 7,895 $ 455,443
Omnicom Group 4,929 492,900
------------
TOTAL ADVERTISING
-VALUE $ 948,343
- COST $ 451,571
AEROSPACE / DEFENSE-0.75%
Boeing Co 26,228 $ 1,090,101
General Dynamics Corp 5,648 297,932
Goodrich (B F) Co 3,111 85,552
Honeywell International Inc 22,037 1,271,259
Lockheed Martin Corp 11,113 243,097
Northrop Grumman Corp 1,964 106,179
Raytheon Co Class B 9,472 251,600
United Technologies Corp 13,443 873,795
------------
TOTAL AEROSPACE / DEFENSE
-VALUE $ 4,219,515
- COST $ 4,172,262
AIRLINES-0.13%
AMR Corp+ 4,171 $ 279,457
Delta Air Lines Inc 3,726 185,601
Southwest Airlines Co 14,202 229,895
USAirways Group Inc+ 2,027 64,991
------------
TOTAL AIRLINES
-VALUE $ 759,944
- COST $ 779,800
APPAREL-0.10%
Liz Claiborne Inc 1,631 $ 61,366
Nike Inc Class B 7,875 390,305
Reebok International Ltd+ 1,685 13,796
Russell Corp 945 15,829
VF Corp 3,369 101,070
------------
TOTAL APPAREL
-VALUE $ 582,366
- COST $ 644,566
AUTO MANUFACTURERS-0.59%
Ford Motor Co 33,869 $ 1,809,875
General Motors Corp Class A 17,914 1,302,124
Navistar International Corp+ 1,752 83,001
PACCAR Inc 2,216 98,197
------------
TOTAL AUTO MANUFACTURERS
-VALUE $ 3,293,197
- COST $ 2,491,526
AUTO PARTS & EQUIPMENT-0.13%
Cooper Tire & Rubber Co 2,200 $ 34,238
Dana Corp 4,679 140,078
Delphi Automotive Systems Corp 15,831 249,338
Goodyear Tire & Rubber Co 4,439 125,124
TRW Inc 3,441 178,717
------------
TOTAL AUTO PARTS & EQUIPMENT
-VALUE $ 727,495
- COST $ 963,293
</TABLE>
26
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS (Continued)
BANKS-3.15%
Amsouth Bancorp 10,967 $ 211,800
Bank of New York Co Inc 20,627 825,080
Bank One Corp 32,190 1,032,092
BankAmerica Corp 47,828 2,400,368
BB&T Corp 9,059 247,990
Chase Manhattan Corp 23,131 1,796,990
Comerica Inc 4,434 207,012
Fifth Third Bancorp 8,556 627,797
First Union Corp 27,080 888,563
Firstar Corp 27,534 581,656
FleetBoston Financial Corp 25,710 895,029
Golden West Financial 4,536 151,956
Huntington Bancshares Inc 6,436 153,660
KeyCorp 12,527 277,160
Mellon Financial Corp 14,259 485,697
Morgan (J P) & Co Inc 4,862 615,651
National City Corp 17,291 409,581
Northern Trust Corp 6,208 329,024
Old Kent Financial Corp 3,283 116,136
PNC Bank Corp 8,300 369,350
Regions Financial Corp 6,150 154,519
Republic New York Corp 2,972 213,984
SouthTrust Corp 4,752 179,685
State Street Boston Corp 4,477 327,101
Summit Bancorp 4,922 150,736
SunTrust Banks Inc 9,009 619,911
Synovus Financial Corp 7,690 152,839
U.S. Bancorp 20,452 487,013
Union Planters Corp 3,970 156,567
Wachovia Corp 5,733 389,844
Washington Mutual Inc 16,225 421,850
Wells Fargo & Co 46,034 1,861,500
------------
TOTAL BANKS
-VALUE $ 17,738,141
- COST $ 19,689,787
BEVERAGES-1.21%
Anheuser-Busch Inc 13,039 $ 924,139
Brown-Forman Corp Class B 1,940 111,065
Coca-Cola Co 69,251 4,033,871
Coca-Cola Enterprises Co 11,964 240,776
Coors (Adolph) Co Class B 1,042 54,705
Pepsico Inc 40,792 1,437,918
------------
TOTAL BEVERAGES
-VALUE $ 6,802,474
- COST $ 7,248,848
BIOTECHNOLOGY-0.42%
Amgen Inc+ 28,595 $ 1,717,487
Monsanto Co 17,748 632,273
------------
TOTAL BIOTECHNOLOGY
-VALUE $ 2,349,760
- COST $ 1,278,093
BUILDING MATERIALS-0.09%
Armstrong World Industries Inc 1,119 $ 37,347
Masco Corp 12,568 318,913
Owens Corning Fiberglas Corp 1,549 29,915
</TABLE>
27
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS (Continued)
Vulcan Materials Co 2,833 $ 113,143
------------
TOTAL BUILDING MATERIALS
-VALUE $ 499,318
- COST $ 593,065
CHEMICALS-0.76%
Air Products & Chemicals Inc 6,402 $ 214,867
Ashland Inc 2,030 66,863
Dow Chemical Co 6,132 819,389
Du Pont (E I) de Nemours 29,252 1,926,976
Eastman Chemical Co 2,230 106,343
Engelhard Corp 3,598 67,912
Grace (W R) Co+ 2,028 28,139
Great Lakes Chemical Corp 1,652 63,086
Hercules Inc 3,008 83,848
Praxair Inc 4,423 222,532
Rohm & Haas Co 6,173 251,164
Sherwin Williams Co 4,704 98,784
Sigma-Aldrich Corp 2,885 86,730
Union Carbide Corp 3,772 251,781
------------
TOTAL CHEMICALS
-VALUE $ 4,288,414
- COST $ 3,931,555
COMMERCIAL SERVICES-0.31%
Block (H R) Inc 2,759 $ 120,706
Cendant Corp+ 19,939 529,630
Deluxe Corp 2,052 56,302
Donnelley (R R) & Sons Co 3,560 88,333
Dun & Bradstreet Corp 4,546 134,107
Ecolab Inc 3,691 144,410
Equifax Inc 4,007 94,415
McKesson HBOC Inc 7,870 177,567
Paychex Inc 6,876 275,040
Quintiles Transnational Corp+ 3,275 61,202
Service Corp International 7,696 53,391
------------
TOTAL COMMERCIAL SERVICES
-VALUE $ 1,735,103
- COST $ 2,293,509
COMPUTERS-6.13%
3Com Corp+ 9,727 $ 457,169
Adaptec Inc+ 2,832 141,246
Apple Computer Inc+ 4,556 468,414
Cabletron Systems Inc+ 4,966 129,116
Ceridian Corp+ 4,078 87,932
Cisco Systems Inc+ 91,628 9,815,650
Compaq Computer Corp 47,664 1,289,907
Computer Sciences Corp+ 4,530 428,651
Dell Computer Corp+ 71,185 3,630,435
Electronic Data Systems Corp 13,240 886,252
EMC Corp+ 28,500 3,113,625
Gateway Inc+ 8,881 639,987
Hewlett-Packard Co 28,596 3,258,157
International Business Machine Corp 50,542 5,458,536
Lexmark International Group Class A+ 3,558 321,999
Network Appliance Inc+ 4,155 345,125
Seagate Technology Inc+ 5,810 270,528
Silicon Graphics Inc+ 5,187 50,897
Sun Microsystems Inc+ 43,735 3,386,729
</TABLE>
28
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS (Continued)
Unisys Corp+ 8,681 $ 277,249
------------
TOTAL COMPUTERS
-VALUE $ 34,457,604
- COST $ 13,949,412
COSMETICS / PERSONAL CARE-1.37%
Alberto-Culver Co Class B 1,585 $ 40,913
Avon Products Inc 6,817 224,961
Colgate-Palmolive Co 16,310 1,060,150
Gillette Co 30,021 1,236,490
International Flavor & Fragrances Inc 2,927 110,494
Kimberly-Clark Corp 15,085 984,296
Procter & Gamble Co 36,827 4,034,858
------------
TOTAL COSMETICS / PERSONAL CARE
-VALUE $ 7,692,162
- COST $ 6,210,871
DISTRIBUTION / WHOLESALE-0.12%
Costco Wholesale Corp+ 6,247 $ 570,039
Genuine Parts Co 4,978 123,519
------------
TOTAL DISTRIBUTION / WHOLESALE
-VALUE $ 693,558
- COST $ 468,824
DIVERSIFIED FINANCIAL SERVICES-3.12%
American Express Corp 12,509 $ 2,079,621
Associates First Capital Corp 20,453 561,179
Bear Stearns Co Inc 3,352 143,298
Capital One Financial Corp 5,506 265,320
Citigroup Inc 94,473 5,249,156
Countrywide Credit Industries Inc 3,225 81,431
Federal Home Loan Mortgage Corporation 19,491 917,295
Federal National Mortgage Association 28,732 1,793,954
Franklin Resources Inc 7,051 226,073
Household International Inc 13,204 491,849
Lehman Brothers Holdings 3,396 287,599
MBNA Corp 22,447 611,681
Merrill Lynch & Co Inc 10,361 865,143
Morgan Stanley Dean Witter 15,614 2,228,898
Paine Webber Group Inc 4,023 156,143
Price (T Rowe) & Associates 3,342 123,445
Providian Financial Corp 4,026 366,618
Schwab (Charles) Corp 22,963 881,205
SLM Holding Corp 4,482 189,364
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
-VALUE $ 17,519,272
- COST $ 12,426,141
ELECTRIC-0.99%
AES Corp+ 5,840 $ 436,540
Ameren Corp 3,887 127,299
American Electric Power Inc 5,481 176,077
Carolina Power & Light Co 4,528 137,821
Central & South West Corp 6,034 120,680
Cinergy Corp 4,497 108,490
CMS Energy Corp 3,267 101,890
Consolidated Edison Inc 6,166 212,727
Constellation Energy Group 4,236 122,844
Dominion Resources Inc 5,348 209,909
DTE Energy Co 4,115 129,108
</TABLE>
29
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Duke Energy Corp 10,224 $ 512,478
Edison International 9,752 255,381
Entergy Corp 6,898 177,623
FirstEnergy Corp 6,532 148,195
Florida Progress Corp 2,784 117,798
FPL Group Inc 5,083 217,616
GPU Inc 3,453 103,374
New Century Energies Inc 3,269 99,296
Niagra Mohawk Holdings Inc+ 5,325 74,217
Northern States Power Co 4,404 85,878
PECO Energy Co 5,197 180,596
PG&E Corp 10,796 221,318
Pinnacle West Capital Corp 2,402 73,411
PP & L Resources Inc 4,071 93,124
Public Service Enterprise Group 6,118 212,983
Reliant Energy Inc 8,284 189,497
Southern Co 18,883 443,750
Texas Utilities Co 7,735 275,076
Unicom Corp 6,089 203,981
------------
TOTAL ELECTRIC
-VALUE $ 5,568,977
- COST $ 6,116,112
ELECTRICAL COMPONENTS & EQUIPMENT-0.17%
Emerson Electric Co 12,207 $ 700,377
Molex Inc 4,391 248,915
------------
TOTAL ELECTRICAL COMPONENTS & EQUIPMENT
-VALUE $ 949,292
- COST $ 919,561
ELECTRONICS-0.44%
Analog Devices Inc+ 4,901 $ 455,793
Johnson Controls Inc 2,420 137,638
Millipore Corp 1,244 48,050
Parker Hannifin Corp 3,067 157,375
PE Corp-PE Biosystems Group 2,892 347,944
PerkinElmer Inc 1,293 53,902
Solectron Corp+ 8,194 779,454
Tektronix Inc 1,336 51,937
Teradyne Inc+ 4,753 313,698
Thermo Electron Corp+ 4,502 67,530
Thomas & Betts Corp 1,598 50,936
------------
TOTAL ELECTRONICS
-VALUE $ 2,464,257
- COST $ 1,608,696
ENGINEERING & CONSTRUCTION-0.02%
Fluor Corp 2,145 $ 98,402
Foster Wheeler Corp 1,183 10,499
------------
TOTAL ENGINEERING & CONSTRUCTION
-VALUE $ 108,901
- COST $ 121,457
ENTERTAINMENT-0.03%
Harrah's Entertainment Inc+ 3,648 $ 96,444
Mirage Resorts Inc+ 5,500 84,219
------------
TOTAL ENTERTAINMENT
-VALUE $ 180,663
- COST $ 183,672
30
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
ENVIRONMENTAL CONTROL-0.06%
Allied Waste Industries Inc+ 5,363 $ 47,261
Waste Management Inc 17,370 298,547
------------
TOTAL ENVIRONMENTAL CONTROL
-VALUE $ 345,808
- COST $ 992,456
FOOD-1.22%
Albertson's Inc 11,921 $ 384,452
Archer-Daniels-Midland Co 17,126 208,723
Bestfoods 7,795 409,725
Campbell Soup Co 11,990 463,863
ConAgra Inc 13,846 312,400
General Mills Inc 8,570 306,377
Great Atlantic & Pacific Tea Co 1,091 30,412
Heinz (H J) Co 10,068 400,832
Hershey Foods Corp 3,858 183,255
Kellogg Co 11,397 351,170
Kroger Co+ 23,330 440,354
Nabisco Group Holdings Corp 9,142 97,134
Quaker Oats Co 3,781 248,128
Ralston-Purina Group 9,072 252,882
Safeway Inc+ 14,271 507,512
Sara Lee Corp 25,525 563,145
Super Value Inc 3,951 79,020
Sysco Corp 9,284 367,298
Unilever NV 15,991 870,510
Winn-Dixie Stores Inc 4,233 101,327
Wrigley (W M) Jr Co 3,297 273,445
------------
TOTAL FOOD
-VALUE $ 6,851,964
- COST $ 8,313,122
FOREST PRODUCTS & PAPER-0.41%
Boise Cascade Corp 1,586 $ 64,233
Champion International Corp 2,724 168,718
Fort James Corp 6,059 165,865
Georgia-Pacific Corp 4,761 241,621
International Paper Co 11,611 655,296
Louisiana-Pacific Corp 3,027 43,135
Mead Corp 2,897 125,838
Potlatch Corp 822 36,682
Temple-Inland Inc 1,558 102,731
Westvaco Corp 2,818 91,937
Weyerhauser Co 6,587 473,029
Willamette Industries Inc 3,157 146,603
------------
TOTAL FOREST PRODUCTS & PAPER
-VALUE $ 2,315,688
- COST $ 1,831,316
GAS-0.05%
Eastern Enterprises 752 $ 43,193
NICOR Inc 1,343 43,647
ONEOK Inc 901 22,638
Peoples Energy Corp 1,009 33,801
Sempra Energy 6,722 116,795
------------
TOTAL GAS
-VALUE $ 260,074
- COST $ 335,321
31
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C> <C>
COMMON STOCKS (Continued)
HAND / MACHINE TOOLS-0.07%
Black & Decker Corp 2,485 $ 129,841
Grainger (W W) Inc 2,646 126,512
Milacron Inc 1,046 16,082
Snap-On Inc 1,679 44,598
Stanley Works 2,538 76,457
------------
TOTAL HAND / MACHINE TOOLS
- VALUE $ 393,490
- COST $ 431,722
HEALTH CARE-1.42%
Allergan Inc 3,739 $ 186,015
Bard (C R) Inc 1,444 76,532
Bausch & Lomb Inc 1,626 111,279
Baxter International Inc 8,158 512,424
Becton Dickinson & Co 6,998 187,196
Biomet Inc 3,182 127,280
Boston Scientific Corp+ 11,632 254,450
Columbia/HCA Healthcare Corp 15,805 463,284
Guidant Corp+ 8,568 402,696
Healthsouth Corp+ 10,985 59,044
Humana Inc+ 4,784 39,169
Johnson & Johnson 38,958 3,627,972
Mallinckrodt Group Inc 1,923 61,175
Manor Care Inc+ 2,946 47,136
Medtronics Inc 33,229 1,210,782
St Jude Medical Inc+ 2,398 73,589
Tenet Healthcare Corp+ 8,799 206,776
United Healthcare Corp 4,721 250,803
Wellpoint Health Networks+ 1,767 116,512
------------
TOTAL HEALTH CARE
- VALUE $ 8,014,114
- COST $ 6,928,313
HOLDING COMPANIES-DIVERSIFIED-0.10%
Seagrams Co Ltd 12,162 $ 546,530
------------
TOTAL HOLDING COMPANIES-DIVERSIFIED
- VALUE $ 546,530
- COST $ 443,728
HOME BUILDERS-0.02%
Centex Corp 1,689 $ 41,697
Fleetwood Enterprises Inc 932 19,223
Kaufman & Broad Home Corp 1,369 33,113
Pulte Corp 1,214 27,315
------------
TOTAL HOME BUILDERS
- VALUE $ 121,348
- COST $ 148,420
HOME FURNISHINGS-0.07%
Leggett & Platt Inc 5,569 $ 119,385
Maytag Corp 2,359 113,232
Whirlpool Corp 2,135 138,908
------------
TOTAL HOME FURNISHINGS
- VALUE $ 371,525
- COST $ 339,508
HOUSEHOLD PRODUCTS / WARES-0.18%
American Greetings Corp Class A 1,809 $ 42,738
Avery-Dennison Corp 3,210 233,929
Clorox Co 6,594 332,173
</TABLE>
32
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C> <C>
COMMON STOCKS (Continued)
Fortune Brands Inc 4,618 $ 152,683
Jostens Inc 963 23,413
Newell Rubbermaid Inc 7,896 228,984
Tupperware Corp 1,620 27,439
------------
TOTAL HOUSEHOLD PRODUCTS / WARES
- VALUE $ 1,041,359
- COST $ 1,047,572
INSURANCE-1.84%
Aetna Inc 4,238 $ 236,533
AFLAC Corp 7,442 351,169
Allstate Corp 22,640 543,360
American General Corp 6,952 527,483
American International Group Inc 43,353 4,687,543
Aon Corp 7,167 286,680
Chubb Corp 4,894 275,593
CIGNA Corp 5,171 416,589
Cincinnati Financial Corp 4,581 142,870
Conseco Inc 9,162 163,771
Hartford Financial Services Group 6,213 294,341
Jefferson-Pilot Corp 2,980 203,385
Lincoln National Corp 5,529 221,160
Loews Corp 2,951 179,089
Marsh & McLennan Companies Inc 7,484 716,125
MBIA Inc 2,833 149,618
MGIC Investment Corp 3,001 180,623
Progressive Corp Ohio 2,063 150,857
SAFECO Corp 3,703 92,112
St Paul Cos 6,431 216,644
Torchmark Corp 3,701 107,553
UNUMProvident Corp 6,771 217,095
------------
TOTAL INSURANCE
- VALUE $ 10,360,193
- COST $ 8,966,487
IRON / STEEL-0.04%
Bethlehem Steel Corp+ 3,753 $ 31,431
Nucor Corp 2,481 135,990
USX - U.S. Steel Group 2,485 82,005
------------
TOTAL IRON / STEEL
- VALUE $ 249,426
- COST $ 229,251
LEISURE TIME-0.16%
Brunswick Corp 2,586 $ 57,538
Carnival Corp Class A 17,271 825,770
------------
TOTAL LEISURE TIME
- VALUE $ 883,308
- COST $ 826,183
LODGING-0.06%
Hilton Hotels Corp 10,344 $ 99,561
Marriott International 6,952 219,423
------------
TOTAL LODGING
- VALUE $ 318,984
- COST $ 373,096
MACHINERY-0.29%
Briggs & Stratton Corp 617 $ 33,087
Caterpillar Inc 9,985 469,919
Cummins Engine Co Inc 1,178 56,912
</TABLE>
33
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Deere & Co 6,529 $ 283,195
Dover Corp 5,711 259,137
Ingersoll-Rand Co 4,588 252,627
McDermott International Inc 1,682 15,243
NACCO Industries Inc Class A 224 12,446
Rockwell International Corp 5,329 255,126
------------
TOTAL MACHINERY
- VALUE $ 1,637,692
- COST $ 1,566,954
MANUFACTURERS-3.66%
Cooper Industries Inc 2,679 $ 108,332
Corning Inc 6,825 879,998
Crane Co 1,910 37,961
Danaher Corp 4,013 193,627
Eastman Kodak Co 8,873 587,836
Eaton Corp 2,047 148,663
FMC Corp+ 868 49,747
General Electric Co 91,916 14,224,001
Illinois Tool Works Inc 8,410 568,201
ITT Industries Inc 2,472 82,658
Minnesota Mining & Manufacturing Co 11,207 1,096,885
National Service Industries Inc 1,177 34,721
Pall Corp 3,534 76,202
Polaroid Corp 1,254 23,591
PPG Industries Inc 4,925 308,120
Textron Inc 4,158 318,867
Tyco International Ltd 47,291 1,838,438
------------
TOTAL MANUFACTURERS
- VALUE $ 20,577,848
- COST $ 12,450,205
MEDIA-2.16%
CBS Corp+ 21,399 $ 1,368,199
Clear Channel Communications Inc+ 9,474 845,554
Comcast Corp Class A 21,026 1,063,127
Disney (Walt) Co 57,821 1,691,264
Dow Jones & Co Inc 2,472 168,096
Gannett Co Inc 7,833 638,879
Knight-Ridder Inc 2,286 136,017
McGraw-Hill Inc 5,480 337,705
MediaOne Group Inc+ 17,180 1,319,639
Meredith Corp 1,452 60,530
New York Times Co Class A 4,838 237,667
Time Warner Inc 36,099 2,614,921
Times Mirror Co Class A 1,662 111,354
Tribune Co 6,715 369,745
Viacom Inc Class B+ 19,536 1,180,707
------------
TOTAL MEDIA
- VALUE $ 12,143,404
- COST $ 7,309,336
METAL FABRICATE / HARDWARE-0.02%
Allegheny Technologies Inc 2,677 $ 60,065
Timken Co 1,752 35,807
Worthington Industries Inc 2,510 41,572
------------
TOTAL METAL FABRICATE / HARDWARE
- VALUE $ 137,444
- COST $ 204,559
</TABLE>
34
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C> <C>
COMMON STOCKS (Continued)
METALS-DIVERSIFIED-0.30%
Alcan Aluminum Ltd 6,118 $ 251,985
Alcoa Inc 10,296 854,568
Freeport McMoRan Inc+ 4,598 97,133
Inco Ltd+ 5,389 126,641
Phelps Dodge Corp 2,209 148,246
Placer Dome Inc 9,185 98,739
Reynolds Metals Co 1,763 135,090
------------
TOTAL METALS-DIVERSIFIED
- VALUE $ 1,712,402
- COST $ 1,052,586
MINING-0.07%
Barrick Gold Corp 11,044 $ 195,341
Homestake Mining Co 7,372 57,594
Newmont Mining Corp 4,753 116,448
------------
TOTAL MINING
- VALUE $ 369,383
- COST $ 395,516
OFFICE / BUSINESS EQUIPMENT-0.14%
Pitney Bowes Inc 7,495 $ 362,102
Xerox Corp 18,605 422,101
------------
TOTAL OFFICE / BUSINESS EQUIPMENT
- VALUE $ 784,203
- COST $ 1,113,587
OIL & GAS PRODUCERS-3.11%
Amerada Hess Corp 2,575 $ 146,131
Anadarko Petroleum Corp 3,621 123,567
Apache Corp 3,253 120,158
Atlantic Richfield Corp 9,041 782,046
Burlington Resources Inc 6,071 200,722
Chevron Corp 18,378 1,591,994
Coastal Corp 6,045 214,220
Conoco Inc Class B 17,544 436,407
Exxon Mobil Corp 96,741 7,793,697
Helmerich & Payne Inc 1,392 30,363
Kerr-McGee Corp 2,455 152,210
Occidental Petroleum Corp 9,877 213,590
Phillips Petroleum Co 7,082 332,854
Rowan Co Inc+ 2,362 51,226
Royal Dutch Petroleum Corp 60,144 3,634,953
Sunoco Inc 2,596 61,006
Texaco Inc 15,553 844,722
Tosco Corp 4,028 109,511
Transocean Sedco Forex Inc 2,984 100,516
Union Pacific Resources Group 7,090 90,397
Unocal Corp 6,776 227,420
USX - Marathon Group 8,753 216,090
------------
TOTAL OIL & GAS PRODUCERS
- VALUE $ 17,473,800
- COST $ 14,966,774
OIL & GAS SERVICES-0.28%
Baker Hughes Inc 9,230 $ 194,407
Halliburton Co 12,419 499,865
</TABLE>
35
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Schlumberger Ltd 15,412 $ 866,925
------------
TOTAL OIL & GAS SERVICES
-VALUE $ 1,561,197
- COST $ 1,835,000
PACKAGING & CONTAINERS-0.08%
Ball Corp 862 $ 33,941
Bemis Co 1,452 50,639
Crown Cork & Seal Co 3,404 76,165
Owens Illinois Inc+ 4,222 105,814
Pactiv Corp+ 4,868 51,723
Sealed Air Corp+ 2,348 121,656
------------
TOTAL PACKAGING & CONTAINERS
-VALUE $ 439,938
- COST $ 694,099
PHARMACEUTICALS-3.81%
Abbott Laboratories 43,088 $ 1,564,633
ALZA Corp+ 2,877 99,616
American Home Products Corp 36,613 1,443,925
Bristol-Myers Squibb Co 55,613 3,569,659
Cardinal Health Inc 7,727 369,930
Lilly (Eli) & Co 30,555 2,031,908
Merck & Co Inc 65,502 4,392,728
Pfizer Inc 108,496 3,519,339
Pharmacia & Upjohn Inc 14,343 645,435
Schering-Plough Corp 41,191 1,737,745
Warner Lambert Co 24,105 1,975,103
Watson Pharmaceutical Inc+ 2,725 97,589
------------
TOTAL PHARMACEUTICALS
-VALUE $ 21,447,610
- COST $ 19,208,083
PIPELINES-0.33%
Columbia Energy Group 2,327 $ 147,183
Consolidated Natural Gas Co 2,724 176,890
El Paso Energy Corp 6,366 247,080
Enron Corp 20,016 888,210
Williams Co Inc 12,214 373,290
------------
TOTAL PIPELINES
-VALUE $ 1,832,653
- COST $ 1,355,083
RETAIL-4.08%
AutoZone Inc+ 4,047 $ 130,769
Bed Bath & Beyond Inc+ 3,981 138,340
Best Buy Co Inc+ 5,784 290,285
Circuit City Stores Inc 5,699 256,811
Consolidated Stores Corp+ 3,148 51,155
CVS Corp 11,011 439,752
Darden Restaurants Inc 3,714 67,316
Dayton-Hudson Corp 12,319 904,677
Dillards Inc Class A 2,967 59,896
Dollar General Corp 6,348 144,417
Federated Department Stores Inc+ 5,903 298,470
Gap Inc 23,993 1,103,678
Harcourt General Inc 1,995 80,299
Home Depot Inc 64,574 4,427,321
IKON Office Solutions Inc 4,141 28,211
Kmart Corp+ 13,898 139,849
36
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Kohls Corp+ 4,615 $ 333,145
Limited Inc 6,058 262,387
Longs Drug Stores Corp 1,085 28,007
Lowe's Co Inc 10,697 639,146
May Department Stores Co 9,374 302,312
McDonald's Corp 37,975 1,530,867
Nordstrom Inc 3,879 101,581
Office Depot Inc+ 9,313 101,861
Penney (J C) Co Inc 7,284 145,225
Pep Boys (The) - Manny Moe & Jack 1,521 13,879
Rite Aid Corp 7,345 82,172
Sears Roebuck & Co 10,594 322,455
Staples Inc+ 13,091 271,638
Tandy Corp 5,476 269,351
TJX Companies Inc 8,719 178,195
Toys R Us Inc+ 6,910 98,899
Tricon Global Restaurants+ 4,359 168,366
Wal-Mart Stores Inc 124,740 8,622,653
Walgreen Co 28,162 823,739
Wendy's International Inc 3,341 68,908
------------
TOTAL RETAIL
-VALUE $ 22,926,032
- COST $ 13,439,491
SEMICONDUCTORS-2.32%
Advanced Micro Devices Inc+ 4,100 $ 118,644
Applied Materials Inc+ 10,626 1,346,181
Intel Corp 93,633 7,707,166
KLA Instruments Corp+ 2,504 278,883
LSI Logic Corp+ 4,175 281,813
Micron Technology Inc+ 7,161 556,768
National Semiconductor+ 4,778 204,558
Texas Instruments Inc 22,334 2,163,606
Xilinx Inc+ 8,960 407,400
------------
TOTAL SEMICONDUCTORS
-VALUE $ 13,065,019
- COST $ 5,972,935
SOFTWARE-6.11%
Adobe Systems Inc 3,358 $ 225,826
America Online Inc+ 62,603 4,722,614
Autodesk Inc 1,661 56,059
Automatic Data Processing 17,527 944,267
BMC Software Inc+ 6,787 542,536
Citrix Systems Inc+ 2,479 304,917
Computer Associates International Inc 15,124 1,057,735
Compuware Corp+ 10,028 373,543
First Data Corp 11,726 578,238
IMS Health Inc 8,677 235,906
Microsoft Corp+ 144,588 16,880,649
Novell Inc+ 9,401 375,452
Oracle Corp+ 39,944 4,476,225
Parametric Technology Corp+ 7,541 204,078
PeopleSoft Inc+ 6,888 146,801
Shared Medical System Corp 733 37,337
Yahoo! Inc+ 7,351 3,180,686
------------
TOTAL SOFTWARE
-VALUE $ 34,342,869
- COST $ 16,202,746
37
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS (Continued)
TELECOMMUNICATION EQUIPMENT-3.20%
ADC Telecommunications+ 4,245 $ 308,028
Andrew Corp+ 2,363 44,749
Comverse Technology Inc+ 1,980 286,605
General Instrument Corp+ 4,912 417,520
Lucent Technologies Inc 87,751 6,564,872
Motorola Inc 17,093 2,516,944
Nortel Networks Corp 37,391 3,776,491
QUALCOMM Inc+ 18,348 3,231,542
Scientific-Atlanta Inc 2,153 119,761
Tellabs Inc+ 11,096 712,225
------------
TOTAL TELECOMMUNICATION EQUIPMENT
-VALUE $ 17,978,737
- COST $ 6,688,180
TELECOMMUNICATIONS-0.60%
Global Crossing Ltd+ 21,308 $ 1,065,400
NEXTEL Communications Class A+ 10,142 1,045,894
Sprint Corp (PCS Group)+ 12,066 1,236,765
------------
TOTAL TELECOMMUNICATIONS
-VALUE $ 3,348,059
- COST $ 1,157,245
TELEPHONE-4.28%
Alltel Corp 8,633 $ 713,841
AT&T Corp 89,597 4,547,048
Bell Atlantic Corp 43,491 2,677,415
BellSouth Corp 52,713 2,467,627
CenturyTel Inc 3,958 187,510
GTE Corp 27,288 1,925,510
MCI WorldCom Inc+ 79,580 4,222,687
SBC Communications Inc 95,611 4,661,036
Sprint Corp 24,468 1,647,002
U.S. West Inc 14,197 1,022,184
------------
TOTAL TELEPHONE
-VALUE $ 24,071,860
- COST $ 16,026,171
TEXTILES-0.00%
Springs Industries Inc Class A 525 $ 20,967
------------
TOTAL TEXTILES
-VALUE $ 20,967
- COST $ 25,352
TOBACCO-0.30%
Philip Morris Co Inc 66,350 $ 1,538,497
UST Inc 4,840 121,908
------------
TOTAL TOBACCO
-VALUE $ 1,660,405
- COST $ 2,932,923
TOYS/GAMES/HOBBIES-0.05%
Hasbro Inc 5,451 $ 103,910
Mattel Inc 11,825 155,203
------------
TOTAL TOYS/GAMES/HOBBIES
-VALUE $ 259,113
- COST $ 500,214
</TABLE>
38
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C>
COMMON STOCKS (Continued)
TRANSPORTATION-0.28%
Burlington Northern Santa Fe Corp 12,791 $ 310,182
CSX Corp 6,174 193,709
FDX Corp+ 8,339 341,378
Kansas City Southern Industries Inc 3,137 234,099
Norfolk Southern Corp 10,697 219,289
Union Pacific Corp 6,929 302,278
------------
TOTAL TRANSPORTATION
-VALUE $ 1,600,935
- COST $ 1,848,373
TRUCKING & LEASING-0.01%
Ryder System Inc 1,833 $ 44,794
------------
TOTAL TRUCKING & LEASING
-VALUE $ 44,794
- COST $ 57,572
------------
TOTAL COMMON STOCKS
-VALUE $345,088,931
- COST $244,752,100
</TABLE>
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES-35.95%
$ 6,250,000 U.S. Treasury Bonds 5.25% 11/15/28 $ 5,150,394
7,900,000 U.S. Treasury Bonds 5.25 02/15/29 6,534,785
6,800,000 U.S. Treasury Bonds 5.50 08/15/28 5,803,379
7,425,000 U.S. Treasury Bonds 6.00 02/15/26 6,791,558
12,800,000 U.S. Treasury Bonds 6.13 11/15/27 11,904,000
6,000,000 U.S. Treasury Bonds 6.13 08/15/29 5,720,628
13,475,000 U.S. Treasury Bonds 6.25 08/15/23 12,708,609
6,400,000 U.S. Treasury Bonds 6.38 08/15/27 6,144,000
6,100,000 U.S. Treasury Bonds 6.50 11/15/26 5,945,597
6,250,000 U.S. Treasury Bonds 6.63 02/15/27 6,189,456
5,850,000 U.S. Treasury Bonds 6.75 08/15/26 5,875,594
6,800,000 U.S. Treasury Bonds 6.88 08/15/25 6,923,250
11,420,000 U.S. Treasury Bonds 7.13 02/15/23 11,891,075
6,350,000 U.S. Treasury Bonds 7.25 08/15/22 6,695,281
6,900,000 U.S. Treasury Bonds 7.50 11/15/24 7,529,625
5,875,000 U.S. Treasury Bonds 7.63 11/15/22 6,444,141
7,800,000 U.S. Treasury Bonds 7.63 02/15/25 8,643,375
6,600,000 U.S. Treasury Bonds 7.88 02/15/21 7,375,500
19,850,000 U.S. Treasury Bonds 8.00 11/15/21 22,517,344
7,100,000 U.S. Treasury Bonds 8.13 05/15/21 8,140,597
6,750,000 U.S. Treasury Bonds 8.13 08/15/21 7,745,625
5,900,000 U.S. Treasury Bonds 8.50 02/15/20 6,973,063
5,850,000 U.S. Treasury Bonds 8.75 05/15/20 7,080,653
12,725,000 U.S. Treasury Bonds 8.75 08/15/20 15,417,139
------------
TOTAL U.S. TREASURY SECURITIES
-VALUE $202,144,668
- COST $218,058,764
</TABLE>
39
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<C> <S> <C> <C> <C>
SHORT TERM INSTRUMENTS-9.69%
CASH EQUIVALENTS-7.72%
$ 19,541,941 Goldman Sachs Financial Square Prime Obligation Fund++ 5.40% 01/03/00 $ 19,541,941
23,900,000 Investors Bank & Trust Depositary Receipt++ 5.53 01/03/00 23,900,000
------------
$ 43,441,941
REPURCHASE AGREEMENTS-1.87%
$ 10,517,369 Morgan Stanley Tri-party Repurchase Agreement dated 12/31/99,
due 01/03/00 with a maturity value of $10,519,472 and an
effective yield of 2.40%, collateralized by U.S. Treasury Notes
with a rate of 6.25%, a maturity date of 04/30/01 and market
value of $10,736,525. $ 10,517,369
------------
$ 10,517,369
U.S. TREASURY BILLS-0.10%
$ 550,000 U.S. Treasury Bills+++ 5.27%* 03/23/00 $ 543,494
------------
$ 543,494
------------
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 54,502,804
- COST $ 54,502,755
TOTAL INVESTMENTS IN SECURITIES
(Cost $517,313,619) ** (Notes 1 and 3) 107.02% $601,736,403
Other Assets and Liabilities, Net (7.02)% (39,458,421)
-------- ------------
TOTAL NET ASSETS 100.00% $562,277,982
======== ============
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
+ 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 futures contracts. See Note
1.
* Yield to Maturity.
** Cost for federal income tax purposes is $519,543,214 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $118,161,629
Gross Unrealized Depreciation (35,968,440)
------------
NET UNREALIZED APPRECIATION $ 82,193,189
============
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-30.17%
AEROSPACE/DEFENSE-1.04%
$ 2,800,000 Raytheon Co 5.95% 03/15/01 $ 2,761,503
1,000,000 Raytheon Co 7.38 07/15/25 864,220
1,000,000 United Technologies Corp 6.63 11/15/04 978,610
------------
$ 4,604,333
AUTO MANUFACTURERS-0.91%
$ 1,500,000 Chrysler Corp 7.45% 03/01/27 $ 1,456,089
1,000,000 Ford Motor Co 7.25 10/01/08 985,732
1,500,000 Ford Motor Co 8.88 04/01/06 1,606,360
------------
$ 4,048,181
AUTO PARTS & EQUIPMENT-0.41%
$ 1,000,000 Delphi Automotive Systems Corp 6.50% 05/01/09 $ 909,872
1,000,000 Goodyear Tire & Rubber Co 6.63 12/01/06 935,503
------------
$ 1,845,375
BANKS-4.05%
$ 500,000 ABN Amro Bank NV 7.30% 12/01/26 $ 456,279
1,000,000 Bank of New York Co Inc 6.50 12/01/03 969,276
1,000,000 Bank One Corp 8.10 03/01/02 1,017,743
1,870,000 BankAmerica Corp 6.25 04/01/08 1,720,000
1,000,000 Chase Manhattan Corp 5.75 04/15/04 946,695
1,000,000 Dresdner Bank AG 6.63 09/15/05 954,492
500,000 First Union Corp 6.63 07/15/05 479,686
1,500,000 KeyCorp 6.75 03/15/06 1,436,391
3,500,000 KFW International Finance Inc 7.63 02/15/04 3,580,843
250,000 KFW International Finance Inc 8.00 02/15/10 263,977
1,000,000 Korea Development Bank 7.38 09/17/04 981,839
500,000 Skandinaviska Enskilda 6.88 02/15/09 462,820
1,200,000 Swiss Bank Corp 7.38 07/15/15 1,151,563
4,000,000 Westdeutsche NY 6.05 01/15/09 3,577,540
------------
$ 17,999,144
BEVERAGES-0.92%
$ 1,500,000 Anheuser-Busch Companies 9.00% 12/01/09 $ 1,675,315
1,000,000 Coca-Cola Enterprises 8.00 09/15/22 1,006,282
1,000,000 Diageo PLC 6.13 08/15/05 946,108
500,000 J Seagram & Sons 7.50 12/15/18 472,541
------------
$ 4,100,246
CHEMICALS-0.23%
$ 500,000 Dow Chemical Co 8.63% 04/01/06 $ 527,218
500,000 ICI Wilmington 8.75 05/01/01 509,524
------------
$ 1,036,742
COMMERCIAL SERVICES-0.17%
$ 1,000,000 Service Corp International 6.00% 12/15/05 $ 743,191
------------
$ 743,191
COSMETICS/PERSONAL CARE-0.22%
$ 1,000,000 Procter & Gamble Co 6.88% 09/15/09 $ 977,869
------------
$ 977,869
DIVERSIFIED FINANCIAL SERVICES-7.20%
$ 2,500,000 Associates Corp NA 6.25% 11/01/08 $ 2,303,360
1,000,000 Associates Corp NA 6.95 11/01/18 925,652
1,000,000 AT&T Capital Corp 6.25 05/15/01 989,514
1,000,000 CIT Group Holdings 6.63 06/15/05 965,372
1,000,000 Citigroup Inc 7.88 05/15/25 1,003,818
1,000,000 Countrywide Funding Corp 6.88 09/15/05 969,087
2,000,000 First Union Capital Corp 8.04 12/01/26 1,859,078
</TABLE>
41
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (Continued)
$ 3,400,000 Ford Motor Credit Co 6.50% 02/28/02 $ 3,367,996
3,500,000 General Motors Acceptance Corp 5.80 04/09/01 3,461,724
1,000,000 General Motors Acceptance Corp 7.13 05/01/03 996,564
2,000,000 Household Finance Corp 6.00 05/01/04 1,899,078
1,000,000 Household Finance Corp 6.70 06/15/02 987,032
2,500,000 Lehman Brothers Inc 7.63 06/01/06 2,469,757
1,000,000 Mellon Capital II 8.00 01/15/27 940,602
3,000,000 Mellon Financial 6.00 03/01/04 2,862,543
4,000,000 Merrill Lynch & Co Inc 6.00 02/17/09 3,585,396
1,000,000 Merrill Lynch & Co Inc 6.38 10/15/08 921,966
1,500,000 Morgan Stanley Group Inc 6.70 05/01/01 1,498,313
------------
$ 32,006,852
ELECTRIC-2.44%
$ 2,000,000 Duke Energy Corp 6.00% 12/01/28 $ 1,574,154
1,000,000 Enersis SA 7.40 12/01/16 870,792
4,000,000 Houston Lighting & Power Co 6.50 04/21/03 3,906,836
756,098 Niagra Mohawk Power 7.38 07/01/03 753,095
529,268 Niagra Mohawk Power 7.63 10/01/05 529,999
1,500,000 Northern States Power Co 6.50 03/01/28 1,279,197
1,000,000 Texas Utilities Co 6.38 01/01/08 911,974
1,000,000 Virginia Electric & Power Co 7.38 07/01/02 1,002,385
------------
$ 10,828,432
FOOD-0.54%
$ 500,000 Archer-Daniels-Midland Co 8.38% 04/15/17 $ 528,658
1,000,000 Fred Meyer Inc 7.45 03/01/08 971,367
1,000,000 Kroger Co 7.00 05/01/18 890,811
------------
$ 2,390,836
HEALTH CARE-0.45%
$ 1,000,000 Baxter International Inc 7.63% 11/15/02 $ 1,012,695
1,000,000 Becton Dickinson & Co 7.15 10/01/09 971,185
------------
$ 1,983,880
INSURANCE-0.22%
$ 1,000,000 Aetna Services Inc 7.13% 8/15/06 $ 959,504
------------
$ 959,504
MANUFACTURERS-0.57%
$ 3,000,000 Tyco International Group 6.88% 01/15/29 $ 2,555,040
------------
$ 2,555,040
MEDIA-2.85%
$ 2,000,000 Comcast Cable Communications 8.38% 05/01/07 $ 2,067,354
2,000,000 Disney (Walt) Co 5.13 12/15/03 1,871,194
500,000 Disney (Walt) Co 6.75 03/30/06 488,713
2,500,000 Time Warner Entertainment 8.38 03/15/23 2,607,173
2,000,000 Time Warner Entertainment 9.63 05/01/02 2,105,236
3,500,000 Viacom Inc 7.75 06/01/05 3,538,035
------------
$ 12,677,705
MULTI-NATIONAL-0.48%
$ 500,000 African Development Bank 7.75% 12/15/01 $ 509,530
1,000,000 Inter-American Development Bank 5.75 02/26/08 918,131
200,000 Inter-American Development Bank 8.40 09/01/09 217,477
450,000 Inter-American Development Bank 8.50 03/15/11 495,644
------------
$ 2,140,782
OIL & GAS PRODUCERS-1.10%
$ 1,000,000 Amoco Canada 7.25% 12/01/02 $ 1,005,860
2,000,000 Conoco Inc 5.90 04/15/04 1,912,600
</TABLE>
42
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio Of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (Continued)
$ 1,120,000 Kerr-McGee Corp 6.63% 10/15/07 $ 1,026,778
1,000,000 Phillips 66 Capital Trust II 8.00 01/15/37 945,752
------------
$ 4,890,990
PHARMACEUTICALS-0.22%
$ 1,000,000 American Home Products Corp 6.50% 10/15/02 $ 987,090
------------
$ 987,090
REAL ESTATE-0.22%
$ 1,000,000 EOP Operating LP 6.38% 02/15/03 $ 963,255
------------
$ 963,255
REITS-0.42%
$ 1,000,000 Avalon Bay Communities 7.50% 08/01/09 $ 953,724
1,000,000 Prologis Trust 7.10 04/15/08 925,585
------------
$ 1,879,309
RETAIL-1.41%
$ 2,000,000 Penney (J C) Co Inc 8.25% 08/15/22 $ 1,779,520
1,500,000 Saks Inc 7.50 12/01/10 1,368,510
1,000,000 Wal-Mart Stores Inc 7.25 06/01/13 983,673
2,000,000 Wal-Mart Stores Inc 8.50 09/15/24 2,119,344
------------
$ 6,251,047
TELECOMMUNICATION EQUIPMENT-0.55%
$ 2,500,000 Motorola Inc 7.50% 05/15/25 $ 2,433,963
------------
$ 2,433,963
TELECOMMUNICATIONS-0.29%
$1,250,000 Bell Telephone Canada 9.50% 10/15/10 $ 283,680
1,000,000 Cable & Wireless Communications 6.63 03/06/05 990,293
------------
$ 1,273,973
TELEPHONE-2.23%
$ 1,500,000 AT&T Corp 6.00% 03/15/09 $ 1,351,875
500,000 New York Telephone Co 6.00 04/15/08 450,741
2,305,000 New York Telephone Co 7.00 12/01/33 1,979,995
4,000,000 Sprint Capital Corp 6.13 11/15/08 3,626,416
1,000,000 US West Communications 6.38 10/15/02 982,204
1,500,000 Worldcom Inc 7.55 04/01/04 1,519,638
------------
$ 9,910,869
TOBACCO-0.10%
$ 500,000 Imperial Tobacco Group PLC 7.13% 04/01/09 $ 451,717
------------
$ 451,717
TRANSPORTATION-0.93%
$ 1,300,000 Canadian National Railway Co 6.45% 07/15/00 $ 1,197,040
1,000,000 Norfolk Southern Corp 7.80 05/15/27 976,376
1,000,000 Stagecoach Holdings PLC 8.63 11/15/09 1,001,250
1,000,000 Union Pacific Corp 6.79 11/09/07 943,760
------------
$ 4,118,426
------------
TOTAL CORPORATE BONDS & NOTES
-VALUE $134,058,751
- COST $143,226,413
FOREIGN GOVERNMENT BONDS & NOTES++-2.42%
$ 1,000,000 British Columbia (Province of) 6.50% 01/15/26 $ 885,630
1,000,000 Chile (Republic of) 6.88 04/28/09 926,946
2,000,000 Corp Andina De Fomento 7.75 03/01/04 2,000,384
2,000,000 Hydro Quebec 8.40 01/15/22 2,115,220
1,200,000 New Brunswick 7.63 06/29/04 1,218,768
750,000 Ontario (Province of) 7.63 06/22/04 765,097
</TABLE>
43
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
FOREIGN GOVERNMENT BONDS & NOTES++ (Continued)
<S> <C> <C> <C> <C>
$ 2,300,000 Ontario (Province of) 7.75% 06/04/02 $ 2,339,560
500,000 Victoria (Province of) 8.45 10/01/01 514,012
-------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES
- VALUE $ 10,765,617
- COST $ 11,316,145
U.S. GOVERNMENT AGENCY SECURITIES-14.04%
$ 5,500,000 Federal Home Loan Bank 5.02% 02/11/02 $ 5,331,562
1,500,000 Federal Home Loan Bank 5.40 01/15/03 1,447,340
1,000,000 Federal Home Loan Bank 5.50 01/21/03 967,355
2,500,000 Federal Home Loan Bank 6.09 06/02/06 2,383,593
5,000,000 Federal Home Loan Mortgage Corporation 5.00 01/15/04 4,675,700
3,400,000 Federal Home Loan Mortgage Corporation 5.13 10/15/08 2,971,801
3,000,000 Federal Home Loan Mortgage Corporation 5.25 02/16/01 2,960,889
2,000,000 Federal Home Loan Mortgage Corporation 5.38 03/01/01 1,975,288
1,000,000 Federal Home Loan Mortgage Corporation 5.50 05/15/02 975,370
1,000,000 Federal Home Loan Mortgage Corporation 5.63 02/20/04 952,178
1,000,000 Federal Home Loan Mortgage Corporation 5.75 07/15/03 967,533
500,000 Federal Home Loan Mortgage Corporation 5.75 03/15/09 455,564
3,500,000 Federal Home Loan Mortgage Corporation 5.90 05/04/04 3,355,135
1,000,000 Federal Home Loan Mortgage Corporation 6.13 08/15/03 978,185
1,000,000 Federal Home Loan Mortgage Corporation 6.30 06/01/04 969,431
1,000,000 Federal National Mortgage Association 0.00 06/01/17 282,963
2,104,000 Federal National Mortgage Association 5.13 02/13/04 1,974,139
1,000,000 Federal National Mortgage Association 5.25 01/15/09 880,552
2,000,000 Federal National Mortgage Association 5.38 01/16/01 1,979,760
1,000,000 Federal National Mortgage Association 5.38 03/15/02 975,733
1,000,000 Federal National Mortgage Association 5.75 06/15/05 949,313
3,500,000 Federal National Mortgage Association 5.75 02/15/08 3,222,597
600,000 Federal National Mortgage Association 5.88 04/23/04 573,496
1,000,000 Federal National Mortgage Association 6.09 09/27/27 857,493
5,000,000 Federal National Mortgage Association 6.26 02/25/09 4,639,850
394,000 Federal National Mortgage Association 6.38 06/15/09 375,449
1,000,000 Federal National Mortgage Association 6.45 02/14/02 993,242
1,400,000 Federal National Mortgage Association 6.80 01/10/03 1,403,986
3,000,000 Federal National Mortgage Association 7.55 04/22/02 3,058,797
2,150,000 Financing Corp 8.60 09/26/19 2,446,304
500,000 Financing Corp 9.65 11/02/18 621,049
1,285,000 Financing Corp 9.80 04/06/18 1,609,460
500,000 Tennessee Valley Authority 6.13 07/15/03 484,915
2,600,000 Tennessee Valley Authority 6.25 12/15/17 2,347,922
1,500,000 Tennessee Valley Authority 6.88 12/15/43 1,344,375
-------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
- VALUE $ 62,388,319
- COST $ 65,326,331
U.S. TREASURY SECURITIES-50.34%
$ 700,000 U.S. Treasury Bonds 5.25% 02/15/29 $ 579,032
2,800,000 U.S. Treasury Bonds 5.50 08/15/28 2,389,626
1,200,000 U.S. Treasury Bonds 6.00 02/15/26 1,097,626
1,600,000 U.S. Treasury Bonds 6.13 11/15/27 1,488,000
800,000 U.S. Treasury Bonds 6.13 08/15/29 762,750
1,500,000 U.S. Treasury Bonds 6.50 11/15/26 1,462,032
1,000,000 U.S. Treasury Bonds 6.63 02/15/27 990,313
5,200,000 U.S. Treasury Bonds 7.13 02/15/23 5,414,500
4,100,000 U.S. Treasury Bonds 7.25 05/15/16 4,285,783
500,000 U.S. Treasury Bonds 7.50 11/15/16 534,844
500,000 U.S. Treasury Bonds 7.63 02/15/07 509,062
</TABLE>
44
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
U.S. TREASURY SECURITIES (Continued)
<S> <C> <C> <C> <C>
$ 7,300,000 U.S. Treasury Bonds 7.63% 02/15/25 $ 8,089,312
2,500,000 U.S. Treasury Bonds 7.88 02/15/21 2,793,750
7,100,000 U.S. Treasury Bonds 8.00 11/15/21 8,054,062
9,250,000 U.S. Treasury Bonds 8.13 08/15/19 10,539,219
300,000 U.S. Treasury Bonds 8.25 05/15/05 302,531
1,600,000 U.S. Treasury Bonds 8.75 05/15/17 1,910,000
3,100,000 U.S. Treasury Bonds 8.75 05/15/20 3,751,970
2,100,000 U.S. Treasury Bonds 8.75 08/15/20 2,544,282
1,000,000 U.S. Treasury Bonds 9.13 05/15/09 1,091,563
1,500,000 U.S. Treasury Bonds 9.13 05/15/18 1,858,594
2,300,000 U.S. Treasury Bonds 9.38 02/15/06 2,624,875
2,100,000 U.S. Treasury Bonds 10.38 11/15/12 2,551,500
2,250,000 U.S. Treasury Bonds 11.25 02/15/15 3,179,531
500,000 U.S. Treasury Bonds 11.75 11/15/14 676,094
1,100,000 U.S. Treasury Bonds 12.00 08/15/13 1,468,157
500,000 U.S. Treasury Bonds 12.75 11/15/10 646,250
2,000,000 U.S. Treasury Bonds 13.25 05/15/14 2,881,876
10,000,000 U.S. Treasury Notes 4.50 01/31/01 9,834,380
5,500,000 U.S. Treasury Notes 4.63 12/31/00 5,420,937
8,700,000 U.S. Treasury Notes 4.75 11/15/08 7,675,036
500,000 U.S. Treasury Notes 5.25 05/31/01 493,750
1,000,000 U.S. Treasury Notes 5.50 07/31/01 989,688
2,000,000 U.S. Treasury Notes 5.50 08/31/01 1,976,250
2,100,000 U.S. Treasury Notes 5.50 01/31/03 2,050,125
1,450,000 U.S. Treasury Notes 5.50 05/31/03 1,411,031
1,200,000 U.S. Treasury Notes 5.50 02/15/08 1,124,250
500,000 U.S. Treasury Notes 5.50 05/15/09 465,781
1,000,000 U.S. Treasury Notes 5.63 02/28/01 994,063
3,300,000 U.S. Treasury Notes 5.63 05/15/08 3,104,062
1,600,000 U.S. Treasury Notes 5.75 11/30/02 1,575,501
1,000,000 U.S. Treasury Notes 5.75 04/30/03 981,563
8,000,000 U.S. Treasury Notes 5.75 08/15/03 7,832,504
850,000 U.S. Treasury Notes 5.88 11/30/01 844,688
1,700,000 U.S. Treasury Notes 5.88 09/30/02 1,681,938
1,000,000 U.S. Treasury Notes 5.88 02/15/04 983,438
2,500,000 U.S. Treasury Notes 5.88 11/15/05 2,427,345
1,600,000 U.S. Treasury Notes 6.00 08/15/09 1,550,000
1,200,000 U.S. Treasury Notes 6.13 12/31/01 1,197,376
3,300,000 U.S. Treasury Notes 6.13 08/15/07 3,216,470
2,800,000 U.S. Treasury Notes 6.25 10/31/01 2,800,000
1,000,000 U.S. Treasury Notes 6.25 01/31/02 1,000,000
7,000,000 U.S. Treasury Notes 6.25 02/28/02 6,997,816
3,000,000 U.S. Treasury Notes 6.25 06/30/02 2,998,125
10,800,000 U.S. Treasury Notes 6.25 02/15/03 10,766,250
8,700,000 U.S. Treasury Notes 6.38 03/31/01 8,719,036
2,000,000 U.S. Treasury Notes 6.38 09/30/01 2,003,750
4,700,000 U.S. Treasury Notes 6.38 08/15/02 4,708,813
2,250,000 U.S. Treasury Notes 6.50 05/31/01 2,259,142
3,000,000 U.S. Treasury Notes 6.50 05/15/05 3,000,939
3,000,000 U.S. Treasury Notes 6.50 08/15/05 3,000,000
1,400,000 U.S. Treasury Notes 6.50 10/15/06 1,396,063
2,000,000 U.S. Treasury Notes 6.63 06/30/01 2,011,876
3,000,000 U.S. Treasury Notes 6.88 05/15/06 3,052,500
1,900,000 U.S. Treasury Notes 7.00 07/15/06 1,946,313
11,050,000 U.S. Treasury Notes 7.25 08/15/04 11,402,219
8,200,000 U.S. Treasury Notes 7.50 11/15/01 8,379,375
</TABLE>
45
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (Continued)
$ 3,000,000 U.S. Treasury Notes 7.50% 05/15/02 $ 3,079,689
1,300,000 U.S. Treasury Notes 7.50 02/15/05 1,356,063
4,300,000 U.S. Treasury Notes 7.88 08/15/01 4,404,813
3,000,000 U.S. Treasury Notes 7.88 11/15/04 3,173,439
2,900,000 U.S. Treasury Notes 8.00 05/15/01 2,966,158
------------
TOTAL U.S. TREASURY SECURITIES
-VALUE $223,729,689
- COST $235,125,106
SHORT TERM INSTRUMENTS-8.19%
CASH EQUIVALENTS-6.86%
$18,785,950 Goldman Sachs Financial Square
Prime Obligation Fund+ 5.40% 01/03/00 $ 18,785,950
11,700,000 Investors Bank & Trust Depositary
Receipt+ 5.53 01/03/00 11,700,000
------------
$ 30,485,950
REPURCHASE AGREEMENTS-1.33%
$ 5,927,275 Morgan Stanley Tri-party Repurchase
Agreement dated 12/31/99, due
01/03/00 with a maturity value of
$5,928,460, and an effective yield
of 2.40% collateralized by U.S.
Treasury Notes with a rate of
6.375%, a maturity of 03/31/01 and
market value of $6,045,821. $ 5,927,275
------------
$ 5,927,275
------------
TOTAL SHORT TERM INSTRUMENTS
-VALUE $ 36,413,225
- COST $ 36,413,225
TOTAL INVESTMENTS IN SECURITIES
(Cost $491,407,220) *(Notes 1 and 3) 105.16 % $467,355,601
Other Assets and Liabilities, Net (5.16)% (22,911,688)
------- ------------
TOTAL NET ASSETS 100.00 % $444,443,913
======= ============
- -------------------------------------------------------------------------------------
</TABLE>
+ Represents investment of collateral received from securities lending
transactions. See Note 4.
++ Investment is denominated in U.S. Dollars.
* Cost for federal income tax purposes is $491,526,454 and net
unrealized depreciation consists of:
Gross Unrealized Appreciation $ 10,369
Gross Unrealized Depreciation (24,181,222)
-------------
Net Unrealized Depreciation $(24,170,853)
=============
The accompanying notes are an integral part of these financial statements.
46
<PAGE>
MASTER INVESTMENT PORTFOLIO--MONEY MARKET
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Yield To Maturity
Principal Security Name Maturity Date Value
CERTIFICATES OF DEPOSIT-13.85%
<C> <S> <C> <C> <C>
$ 5,000,000 Abbey National Treasury Service 5.04% 02/08/00 $ 4,999,997
5,000,000 ABN Amro Bank NV 5.14 02/22/00 4,999,725
3,000,000 American Express Centurion 5.97 02/03/00 3,000,000
10,000,000 Bank of Montreal 5.09 04/14/00 9,998,902
3,000,000 Bayerische Hypo-Und Vereinsbank AG 5.23 03/01/00 3,000,048
5,000,000 Chase Manhattan Bank 5.18 03/15/00 4,999,414
3,000,000 Credit Suisse First Boston 5.60 06/04/00 3,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT $ 33,998,086
COMMERCIAL PAPER-52.39%
$ 3,000,000 Accor BNP 6.12% 02/04/00 $ 2,982,660
1,195,000 Atlantis One Funding Corp 5.93 03/23/00 1,178,859
8,096,000 BMW US Capital Corp 5.00 01/03/00 8,093,751
3,528,000 Countrywide Home Loans Inc 6.12 02/15/00 3,501,011
6,000,000 Countrywide Home Loans Inc 6.55 02/03/00 5,963,975
9,000,000 Dorada Finance Inc 5.82 03/08/00 8,902,515
5,000,000 Edison Asset Securization 5.86 02/11/00 4,966,659
4,270,000 Enterprises Funding Corp 6.50 01/14/00 4,259,977
2,977,000 Falcon Asset Securization 5.85 02/18/00 2,953,779
5,000,000 Falcon Asset Securization 5.86 02/08/00 4,969,072
2,184,000 Forrestal Funding 6.17 01/18/00 2,177,637
4,166,000 Forrestal Funding 6.22 01/18/00 4,153,763
3,000,000 General Electric Capital Corp 5.95 03/16/00 2,962,812
2,100,000 General Electric Capital Corp 6.00 02/07/00 2,087,050
3,000,000 General Electric Financial
Assurance Holding 5.93 04/10/00 2,950,584
8,000,000 Greenwich Funding Corp 5.85 02/10/00 7,948,000
3,000,000 International Securitization Corp 6.20 01/27/00 2,986,567
2,000,000 International Securitization Corp 6.85 01/18/00 1,993,531
5,000,000 Intrepid Funding 5.88 04/12/00 4,916,700
1,500,000 Kitty Hawk Funding Corp 5.86 02/15/00 1,489,013
2,000,000 Lexington Parker Capital Corp 6.10 01/28/00 1,990,850
8,000,000 Lexington Parker Capital Corp 6.59 02/07/00 8,000,000
2,296,000 Liberty Street Funding Corp 5.93 03/15/00 2,268,013
2,000,000 Liberty Street Funding Corp 5.95 02/07/00 1,987,770
2,000,000 Liberty Street Funding Corp 6.09 02/17/00 1,984,098
8,000,000 Merrill Lynch & Co Inc 6.15 02/02/00 7,956,267
4,300,000 Monte Rosa Capital Corp 5.87 02/04/00 4,276,161
2,000,000 Monte Rosa Capital Corp 5.95 03/21/00 1,973,556
2,204,000 Monte Rosa Capital Corp 6.00 03/20/00 2,174,980
2,000,000 Moriarty LLC 6.17 01/26/00 1,991,431
1,258,000 Silver Tower US Funding LLC 5.90 02/07/00 1,250,371
2,000,000 Special Purpose Accounts Receviable
Corp 5.86 02/10/00 1,986,978
2,000,000 Thames Asset Global Securitization
No. 1 Inc 6.00 01/18/00 1,994,333
3,000,000 Thames Asset Global Securitization
No. 1 Inc 6.02 02/15/00 2,977,425
3,000,000 Transportadora de Gas del Sur SA 6.00 03/31/00 2,955,000
1,411,000 Variable Funding Capital Corp 7.00 01/18/00 1,406,336
------------
TOTAL COMMERCIAL PAPER $128,611,484
MEDIUM TERM NOTES-4.89%
$ 7,000,000 Morgan Guaranty Trust Co 5.36% 04/05/00 $ 7,000,000
5,000,000 SNB Key Bank Notes 5.60 06/16/00 4,998,464
------------
TOTAL MEDIUM TERM NOTES $ 11,998,464
</TABLE>
47
<PAGE>
MASTER INVESTMENT PORTFOLIO--MONEY MARKET
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Yield to Maturity
Principal Security Name Maturity Date Value
<S> <C> <C> <C> <C>
TIME DEPOSITS-5.30%
$ 8,000,000 Bayerische Hypo-Und Vereinsbank AG 5.50% 01/03/00 $ 8,000,000
5,000,000 Canadian Imperial Bank of Commerce 5.00 01/03/00 5,000,000
------------
TOTAL TIME DEPOSITS $ 13,000,000
U.S. GOVERNMENT AGENCY SECURITIES-2.04%
$ 5,000,000 Federal Home Loan Bank 4.95% 02/17/00 $ 4,999,693
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 4,999,693
VARIABLE & FLOATING RATE NOTES-20.69%
$ 4,818,056 Associates Manufactured Housing
Certificates 6.69% 10/16/00 $ 4,818,056
7,000,000 Ford Motor Credit Co 5.74 08/18/00 6,995,629
10,000,000 GMAC Mortgage Corp 6.48 01/04/00 9,994,603
8,000,000 National City Bank 6.46 10/04/00 7,992,734
5,000,000 Norwest Financial Inc 6.49 09/07/00 4,997,984
5,000,000 Sigma Finance Inc 5.90 09/14/00 5,000,000
4,000,000 Sigma Finance Inc 5.99 03/29/00 3,999,807
7,000,000 Special Purpose Accounts Receivable
Corp 6.57 02/07/00 7,000,000
------------
TOTAL VARIABLE & FLOATING RATE NOTES $ 50,798,813
REPURCHASE AGREEMENTS-0.00%
$ 643 Morgan Stanley Tri-party Repurchase
Agreement dated 12/31/99, due
01/03/00 with a maturity value of $643
and an effective yield of
2.40%, collateralized by U.S
Treasury Notes with a rate of
6.25%, a maturity of 04/30/01 and
market value of $10,129. $ 643
------------
TOTAL REPURCHASE AGREEMENTS $ 643
TOTAL INVESTMENTS IN SECURITIES
(Cost $243,407,183) * (Notes 1 and 3) 99.16% $243,407,183
Other Assets and Liabilities, Net 0.84% 2,066,079
------- ------------
TOTAL NET ASSETS 100.00% $245,473,262
======= ============
</TABLE>
- --------------------------------------------------------------------------------
* Cost for income tax purposes is the same as for financial statement
purposes.
The accompanying notes are an integral part of these financial statements.
48
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS-96.26%
ADVERTISING-0.27%
Interpublic Group Co Inc 107,383 $ 6,194,657
Omnicom Group 67,509 6,750,900
--------------
TOTAL ADVERTISING
-VALUE $ 12,945,557
- COST $ 6,043,792
AEROSPACE / DEFENSE-1.18%
Boeing Co 356,357 $ 14,811,088
General Dynamics Corp 71,266 3,759,281
Goodrich (B F) Co 34,653 952,957
Honeywell International Inc 299,106 17,254,677
Lockheed Martin Corp 151,413 3,312,159
Northrop Grumman Corp 26,579 1,436,927
Raytheon Co Class B 129,063 3,428,236
United Technologies Corp 182,808 11,882,520
--------------
TOTAL AEROSPACE / DEFENSE
-VALUE $ 56,837,845
- COST $ 50,908,685
AIRLINES-0.22%
AMR Corp+ 57,567 $ 3,856,989
Delta Air Lines Inc 53,167 2,648,381
Southwest Airlines Co 193,037 3,124,786
USAirways Group Inc+ 28,465 912,659
--------------
TOTAL AIRLINES
-VALUE $ 10,542,815
- COST $ 9,589,571
APPAREL-0.17%
Liz Claiborne Inc 24,271 $ 913,196
Nike Inc Class B 107,232 5,314,686
Reebok International Ltd+ 22,146 181,320
Russell Corp 13,707 229,592
VF Corp 46,290 1,388,700
--------------
TOTAL APPAREL
-VALUE $ 8,027,494
- COST $ 8,026,371
AUTO MANUFACTURERS-0.93%
Ford Motor Co 458,260 $ 24,488,269
General Motors Corp Class A 243,639 17,709,510
Navistar International Corp+ 25,666 1,215,927
PACCAR Inc 30,273 1,341,472
--------------
TOTAL AUTO MANUFACTURERS
-VALUE $ 44,755,178
- COST $ 31,543,211
AUTO PARTS & EQUIPMENT-0.20%
Cooper Tire & Rubber Co 29,617 $ 460,915
Dana Corp 64,030 1,916,898
Delphi Automotive Systems Corp 216,361 3,407,686
Goodyear Tire & Rubber Co 60,125 1,694,773
TRW Inc 46,477 2,413,899
--------------
TOTAL AUTO PARTS & EQUIPMENT
-VALUE $ 9,894,171
- COST $ 11,608,581
BANKS-4.96%
Amsouth Bancorp 133,902 $ 2,585,982
Bank of New York Co Inc 279,156 11,166,240
Bank One Corp 437,601 14,030,582
BankAmerica Corp 647,205 32,481,601
BB&T Corp 120,484 3,298,250
49
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio Of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Chase Manhattan Corp 313,185 $ 24,330,560
Comerica Inc 59,938 2,798,355
Fifth Third Bancorp 109,658 8,046,156
First Union Corp 362,892 11,907,394
Firstar Corp 374,181 7,904,574
FleetBoston Financial Corp 349,568 12,169,336
Golden West Financial 63,654 2,132,409
Huntington Bancshares Inc 88,677 2,117,163
KeyCorp 171,409 3,792,424
Mellon Financial Corp 195,583 6,662,046
Morgan (J P) & Co Inc 66,489 8,419,170
National City Corp 235,464 5,577,554
Northern Trust Corp 85,146 4,512,738
Old Kent Financial Corp 34,400 1,216,900
PNC Bank Corp 114,295 5,086,127
Regions Financial Corp 85,833 2,156,554
Republic New York Corp 40,184 2,893,248
SouthTrust Corp 63,289 2,393,115
State Street Boston Corp 61,542 4,496,412
Summit Bancorp 66,056 2,022,965
SunTrust Banks Inc 122,242 8,411,778
Synovus Financial Corp 103,581 2,058,672
U.S. Bancorp 278,309 6,627,233
Union Planters Corp 53,845 2,123,512
Wachovia Corp 77,040 5,238,720
Washington Mutual Inc 220,472 5,732,272
Wells Fargo & Co 623,474 25,211,730
--------------
TOTAL BANKS
-VALUE $ 239,601,772
- COST $ 226,819,971
BEVERAGES-1.91%
Anheuser-Busch Inc 177,324 $ 12,567,839
Brown-Forman Corp Class B 26,460 1,514,835
Coca-Cola Co 934,391 54,428,276
Coca-Cola Enterprises Co 162,898 3,278,322
Coors (Adolph) Co Class B 14,382 755,055
Diageo PLC ADR (UK) 17 544
Pepsico Inc 553,554 19,512,779
--------------
TOTAL BEVERAGES
-VALUE $ 92,057,650
- COST $ 80,351,664
BIOTECHNOLOGY-0.66%
Amgen Inc+ 386,562 $ 23,217,880
Monsanto Co 240,552 8,569,739
--------------
TOTAL BIOTECHNOLOGY
-VALUE $ 31,787,619
- COST $ 15,323,757
BUILDING MATERIALS-0.13%
Armstrong World Industries Inc 15,543 $ 518,748
Masco Corp 156,883 3,980,906
Owens Corning Fiberglas Corp 20,986 405,292
Vulcan Materials Co 32,120 1,282,793
--------------
TOTAL BUILDING MATERIALS
-VALUE $ 6,187,739
- COST $ 6,873,934
CHEMICALS-1.20%
Air Products & Chemicals Inc 87,959 $ 2,952,124
Ashland Inc 28,437 936,644
Dow Chemical Co 83,558 11,165,438
50
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio Of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Du Pont (E I) de Nemours 394,057 $ 25,958,505
Eastman Chemical Co 30,282 1,444,073
Engelhard Corp 48,653 918,325
Grace (W R) Co+ 27,178 377,095
Great Lakes Chemical Corp 22,691 866,513
Hercules Inc 38,616 1,076,421
Praxair Inc 60,801 3,059,050
Rohm & Haas Co 81,296 3,307,731
Sherwin Williams Co 65,777 1,381,317
Sigma-Aldrich Corp 39,041 1,173,670
Union Carbide Corp 51,017 3,405,385
--------------
TOTAL CHEMICALS
-VALUE $ 58,022,291
- COST $ 47,443,341
COMMERCIAL SERVICES-0.49%
Block (H R) Inc 37,527 $ 1,641,806
Cendant Corp+ 274,479 7,290,848
Deluxe Corp 30,074 825,155
Donnelley (R R) & Sons Co 49,915 1,238,516
Dun & Bradstreet Corp 62,396 1,840,682
Ecolab Inc 50,020 1,957,033
Equifax Inc 55,846 1,315,871
McKesson HBOC Inc 105,816 2,387,474
Paychex Inc 94,001 3,760,040
Quintiles Transnational Corp+ 25,800 482,137
Service Corp International 101,954 707,306
--------------
TOTAL COMMERCIAL SERVICES
-VALUE $ 23,446,868
- COST $ 28,439,975
COMPUTERS-9.58%
3Com Corp+ 133,118 $ 6,256,546
Adaptec Inc+ 31,300 1,561,087
Apple Computer Inc+ 60,296 6,199,183
Cabletron Systems Inc+ 62,807 1,632,982
Ceridian Corp+ 55,853 1,204,330
Cisco Systems Inc+ 1,229,986 131,762,250
Compaq Computer Corp 644,412 17,439,400
Computer Sciences Corp+ 61,031 5,775,058
Dell Computer Corp+ 961,746 49,049,046
Electronic Data Systems Corp 179,898 12,041,922
EMC Corp+ 383,629 41,911,468
Gateway Inc+ 119,048 8,578,897
Hewlett-Packard Co 383,434 43,687,511
International Business Machine Corp 681,649 73,618,092
Lexmark International Group Class A+ 44,975 4,070,237
Network Appliance Inc+ 53,250 4,423,078
Seagate Technology Inc+ 79,776 3,714,570
Silicon Graphics Inc+ 73,128 717,569
Sun Microsystems Inc+ 585,786 45,361,803
Unisys Corp+ 108,675 3,470,808
--------------
TOTAL COMPUTERS
-VALUE $ 462,475,837
- COST $ 176,115,888
51
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
COSMETICS / PERSONAL CARE-2.16%
Alberto-Culver Co Class B 21,777 $ 562,119
Avon Products Inc 96,143 3,172,719
Colgate-Palmolive Co 221,134 14,373,710
Gillette Co 408,333 16,818,215
International Flavor & Fragrances Inc 40,998 1,547,674
Kimberly-Clark Corp 202,091 13,186,438
Procter & Gamble Co 497,231 54,477,871
--------------
TOTAL COSMETICS PERSONAL CARE
-VALUE $ 104,138,746
- COST $ 68,964,678
DISTRIBUTION / WHOLESALE-0.19%
Costco Wholesale Corp+ 83,938 $ 7,659,342
Genuine Parts Co 69,138 1,715,489
--------------
TOTAL DISTRIBUTION WHOLESALE
-VALUE $ 9,374,831
- COST $ 5,792,322
DIVERSIFIED FINANCIAL SERVICES-4.91%
American Express Corp 169,847 $ 28,237,064
Associates First Capital Corp 276,610 7,589,487
Bear Stearns Co Inc 47,199 2,017,757
Capital One Financial Corp 75,490 3,637,674
Citigroup Inc 1,275,154 70,850,744
Countrywide Credit Industries Inc 43,374 1,095,193
Federal Home Loan Mortgage
Corporation 263,711 12,410,899
Federal National Mortgage
Association 388,233 24,240,298
Franklin Resources Inc 96,631 3,098,231
Household International Inc 181,216 6,750,296
Lehman Brothers Holdings 45,325 3,838,461
MBNA Corp 304,775 8,305,119
Merrill Lynch & Co Inc 140,237 11,709,789
Morgan Stanley Dean Witter 211,367 30,172,639
Paine Webber Group Inc 55,154 2,140,665
Price (T Rowe) & Associates 35,000 1,292,812
Providian Financial Corp 54,109 4,927,301
Schwab (Charles) Corp 310,318 11,908,453
SLM Holding Corp 61,684 2,606,149
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
-VALUE $ 236,829,031
- COST $ 143,235,527
ELECTRIC-1.56%
AES Corp+ 73,105 $ 5,464,599
Ameren Corp 52,966 1,734,636
American Electric Power Inc 74,389 2,389,747
Carolina Power & Light Co 59,226 1,802,691
Central & South West Corp 82,182 1,643,640
Cinergy Corp 61,411 1,481,540
CMS Energy Corp 43,993 1,372,032
Consolidated Edison Inc 84,720 2,922,840
Constellation Energy Group 57,860 1,677,940
Dominion Resources Inc 73,506 2,885,110
DTE Energy Co 56,010 1,757,314
Duke Energy Corp 138,806 6,957,651
Edison International 132,874 3,479,638
Entergy Corp 94,882 2,443,211
FirstEnergy Corp 90,161 2,045,528
Florida Progress Corp 37,858 1,601,867
FPL Group Inc 68,706 2,941,476
GPU Inc 48,607 1,455,172
52
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
New Century Energies Inc 44,293 $ 1,345,400
Niagra Mohawk Holdings Inc+ 72,680 1,012,978
Northern States Power Co 58,795 1,146,502
PECO Energy Co 71,748 2,493,243
PG&E Corp 147,012 3,013,746
Pinnacle West Capital Corp 23,500 718,219
PP & L Resources Inc 59,377 1,358,249
Public Service Enterprise Group 84,063 2,926,443
Reliant Energy Inc 112,934 2,583,365
Southern Co 260,050 6,111,175
Texas Utilities Co 105,661 3,757,569
Unicom Corp 83,448 2,795,508
--------------
TOTAL ELECTRIC
-VALUE $ 75,319,029
- COST $ 77,602,095
ELECTRICAL COMPONENTS & EQUIPMENT-0.25%
Emerson Electric Co 165,032 $ 9,468,711
Molex Inc 50,600 2,868,387
--------------
TOTAL ELECTRICAL COMPONENTS &
EQUIPMENT
-VALUE $ 12,337,098
- COST $ 10,607,048
ELECTRONICS-0.66%
Analog Devices Inc+ 59,990 $ 5,579,070
Johnson Controls Inc 32,858 1,868,799
Millipore Corp 17,225 665,316
Parker Hannifin Corp 41,831 2,146,453
PE Corp-PE Biosystems Group 38,586 4,642,378
PerkinElmer Inc 17,648 735,701
Solectron Corp+ 106,352 10,116,734
Tektronix Inc 18,410 715,689
Teradyne Inc+ 56,740 3,744,840
Thermo Electron Corp+ 61,303 919,545
Thomas & Betts Corp 21,793 694,652
--------------
TOTAL ELECTRONICS
-VALUE $ 31,829,177
- COST $ 20,085,745
ENGINEERING & CONSTRUCTION-0.03%
Fluor Corp 29,408 $ 1,349,107
Foster Wheeler Corp 15,952 141,574
--------------
TOTAL ENGINEERING & CONSTRUCTION
-VALUE $ 1,490,681
- COST $ 1,940,013
ENTERTAINMENT-0.05%
Harrah's Entertainment Inc+ 48,115 $ 1,272,040
Mirage Resorts Inc+ 73,225 1,121,258
--------------
TOTAL ENTERTAINMENT
-VALUE $ 2,393,298
- COST $ 2,764,549
ENVIRONMENTAL CONTROL-0.09%
Allied Waste Industries Inc+ 50,915 $ 448,688
Waste Management Inc 234,418 4,029,059
--------------
TOTAL ENVIRONMENTAL CONTROL
-VALUE $ 4,477,747
- COST $ 12,258,279
FOOD-1.92%
Albertson's Inc 160,326 $ 5,170,514
Archer-Daniels-Midland Co 236,583 2,883,355
Bestfoods 106,212 5,582,768
53
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Campbell Soup Co 165,111 $ 6,387,732
ConAgra Inc 186,381 4,205,221
General Mills Inc 116,686 4,171,524
Great Atlantic & Pacific Tea Co 14,838 413,609
Heinz (H J) Co 136,452 5,432,495
Hershey Foods Corp 53,535 2,542,913
Kellogg Co 154,449 4,758,960
Kroger Co+ 316,160 5,967,520
Nabisco Group Holdings Corp 125,413 1,332,513
Quaker Oats Co 51,208 3,360,525
Ralston-Purina Group 123,746 3,449,420
Safeway Inc+ 190,959 6,790,979
Sara Lee Corp 343,377 7,575,755
Super Value Inc 46,279 925,580
Sysco Corp 126,212 4,993,262
Unilever NV 216,889 11,806,895
Winn-Dixie Stores Inc 57,358 1,373,007
Wrigley (W M) Jr Co 44,437 3,685,494
--------------
TOTAL FOOD
-VALUE $ 92,810,041
- COST $ 95,478,258
FOREST PRODUCTS & PAPER-0.65%
Boise Cascade Corp 22,043 $ 892,742
Champion International Corp 36,981 2,290,511
Fort James Corp 85,028 2,327,642
Georgia-Pacific Corp 65,839 3,341,329
International Paper Co 157,147 8,868,984
Louisiana-Pacific Corp 41,771 595,237
Mead Corp 39,296 1,706,920
Potlatch Corp 11,371 507,431
Temple-Inland Inc 21,587 1,423,393
Westvaco Corp 38,863 1,267,905
Weyerhauser Co 83,345 5,985,213
Willamette Industries Inc 42,972 1,995,512
--------------
TOTAL FOREST PRODUCTS & PAPER
-VALUE $ 31,202,819
- COST $ 24,681,546
GAS-0.07%
Eastern Enterprises 8,432 $ 484,313
NICOR Inc 18,445 599,463
ONEOK Inc 12,234 307,379
Peoples Energy Corp 13,909 465,952
Sempra Energy 92,729 1,611,166
--------------
TOTAL GAS
-VALUE $ 3,468,273
- COST $ 3,873,551
HAND / MACHINE TOOLS-0.11%
Black & Decker Corp 33,627 $ 1,757,011
Grainger (W W) Inc 36,123 1,727,131
Milacron Inc 14,859 228,457
Snap-On Inc 23,453 622,970
Stanley Works 34,452 1,037,867
--------------
TOTAL HAND / MACHINE TOOLS
-VALUE $ 5,373,436
- COST $ 4,908,947
HEALTH CARE-2.24%
Allergan Inc 50,800 $ 2,527,300
Bard (C R) Inc 19,978 1,058,834
Bausch & Lomb Inc 21,821 1,493,375
54
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
Baxter International Inc 110,721 $ 6,954,663
Becton Dickinson & Co 96,061 2,569,632
Biomet Inc 43,468 1,738,720
Boston Scientific Corp+ 152,221 3,329,834
Columbia/HCA Healthcare Corp 214,786 6,295,915
Guidant Corp+ 115,111 5,410,217
Healthsouth Corp+ 160,259 861,392
Humana Inc+ 64,704 529,764
Johnson & Johnson 520,147 48,438,689
Mallinckrodt Group Inc 27,624 878,789
Manor Care Inc+ 42,886 686,176
Medtronics Inc 444,856 16,209,441
St Jude Medical Inc+ 32,653 1,002,039
Tenet Healthcare Corp+ 119,123 2,799,391
United Healthcare Corp 66,303 3,522,347
Wellpoint Health Networks+ 25,355 1,671,845
--------------
TOTAL HEALTH CARE
-VALUE $ 107,978,363
- COST $ 84,180,983
HOLDING COMPANIES-DIVERSIFIED-0.15%
Seagrams Co Ltd 164,437 $ 7,389,388
--------------
TOTAL HOLDING COMPANIES-DIVERSIFIED
-VALUE $ 7,389,388
- COST $ 6,502,452
HOME BUILDERS-0.03%
Centex Corp 23,215 $ 573,120
Fleetwood Enterprises Inc 13,708 282,728
Kaufman & Broad Home Corp 17,979 434,867
Pulte Corp 17,087 384,458
--------------
TOTAL HOME BUILDERS
-VALUE $ 1,675,173
- COST $ 1,648,851
HOME FURNISHINGS-0.10%
Leggett & Platt Inc 56,700 $ 1,215,506
Maytag Corp 33,811 1,622,928
Whirlpool Corp 29,131 1,895,336
--------------
TOTAL HOME FURNISHINGS
-VALUE $ 4,733,770
- COST $ 4,062,818
HOUSEHOLD PRODUCTS / WARES-0.30%
American Greetings Corp Class A 26,270 $ 620,629
Avery-Dennison Corp 43,633 3,179,755
Clorox Co 90,052 4,536,370
Fortune Brands Inc 64,148 2,120,893
Jostens Inc 13,796 335,415
Newell Rubbermaid Inc 107,840 3,127,360
Tupperware Corp 22,621 383,143
--------------
TOTAL HOUSEHOLD PRODUCTS / WARES
-VALUE $ 14,303,565
- COST $ 12,785,042
INSURANCE-2.91%
Aetna Inc 54,289 $ 3,030,005
AFLAC Corp 101,382 4,783,963
Allstate Corp 303,349 7,280,376
American General Corp 94,773 7,190,901
American International Group Inc 585,625 63,320,703
Aon Corp 98,022 3,920,860
Chubb Corp 63,769 3,590,992
55
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
CIGNA Corp 70,827 $ 5,706,000
Cincinnati Financial Corp 63,644 1,984,897
Conseco Inc 123,646 2,210,172
Hartford Financial Services Group 86,412 4,093,769
Jefferson-Pilot Corp 40,464 2,761,668
Lincoln National Corp 76,197 3,047,880
Loews Corp 41,313 2,507,183
Marsh & McLennan Companies Inc 100,335 9,600,805
MBIA Inc 38,539 2,035,341
MGIC Investment Corp 41,931 2,523,722
Progressive Corp Ohio 28,125 2,056,641
SAFECO Corp 51,422 1,279,122
St Paul Cos 86,993 2,930,577
Torchmark Corp 51,586 1,499,218
UNUMProvident Corp 91,610 2,937,246
--------------
TOTAL INSURANCE
-VALUE $ 140,292,041
- COST $ 108,341,003
IRON / STEEL-0.07%
Bethlehem Steel Corp+ 50,451 $ 422,527
Nucor Corp 33,724 1,848,497
USX - U.S. Steel Group 34,183 1,128,039
--------------
TOTAL IRON / STEEL
-VALUE $ 3,399,063
- COST $ 3,375,440
LEISURE TIME-0.25%
Brunswick Corp 35,682 $ 793,925
Carnival Corp Class A 232,789 11,130,224
--------------
TOTAL LEISURE TIME
-VALUE $ 11,924,149
- COST $ 11,133,423
LODGING-0.08%
Hilton Hotels Corp 100,112 $ 963,578
Marriott International 95,283 3,007,370
--------------
TOTAL LODGING
-VALUE $ 3,970,948
- COST $ 3,919,019
MACHINERY-0.46%
Briggs & Stratton Corp 9,122 $ 489,167
Caterpillar Inc 135,328 6,368,874
Cummins Engine Co Inc 15,900 768,169
Deere & Co 89,327 3,874,559
Dover Corp 79,663 3,614,709
Ingersoll-Rand Co 63,286 3,484,685
McDermott International Inc 23,106 209,398
NACCO Industries Inc Class A 3,027 168,188
Rockwell International Corp 73,145 3,501,817
--------------
TOTAL MACHINERY
-VALUE $ 22,479,566
- COST $ 18,440,998
MANUFACTURERS-5.74%
Cooper Industries Inc 36,420 $ 1,472,734
Corning Inc 92,903 11,978,681
Crane Co 26,543 527,542
Danaher Corp 51,856 2,502,052
Eastman Kodak Co 120,341 7,972,591
Eaton Corp 27,696 2,011,422
FMC Corp+ 12,392 710,217
56
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
General Electric Co 1,239,186 $ 191,764,034
Illinois Tool Works Inc 107,786 7,282,292
ITT Industries Inc 34,073 1,139,316
Minnesota Mining & Manufacturing Co 152,721 14,947,568
National Service Industries Inc 15,998 471,941
Pall Corp 48,399 1,043,603
Polaroid Corp 17,470 328,654
PPG Industries Inc 66,344 4,150,647
Textron Inc 57,334 4,396,801
Tyco International Ltd 633,078 24,610,907
--------------
TOTAL MANUFACTURERS
-VALUE $ 277,311,002
- COST $ 143,990,320
MEDIA-3.40%
CBS Corp+ 288,983 $ 18,476,851
Clear Channel Communications Inc+ 127,745 11,401,241
Comcast Corp Class A 284,258 14,372,795
Disney (Walt) Co 781,324 22,853,727
Dow Jones & Co Inc 34,936 2,375,648
Gannett Co Inc 106,280 8,668,463
Knight-Ridder Inc 30,498 1,814,631
McGraw-Hill Inc 75,095 4,627,729
MediaOne Group Inc+ 229,855 17,655,737
Meredith Corp 20,197 841,962
New York Times Co Class A 66,704 3,276,834
Time Warner Inc 487,770 35,332,839
Times Mirror Co Class A 23,181 1,553,127
Tribune Co 90,382 4,976,659
Viacom Inc Class B+ 264,159 15,965,110
--------------
TOTAL MEDIA
-VALUE $ 164,193,353
- COST $ 91,189,951
METAL FABRICATE / HARDWARE-0.04%
Allegheny Technologies Inc 37,270 $ 836,246
Timken Co 24,501 500,739
Worthington Industries Inc 36,040 596,913
--------------
TOTAL METAL FABRICATE / HARDWARE
-VALUE $ 1,933,898
- COST $ 2,569,460
METALS-DIVERSIFIED-0.47%
Alcan Aluminum Ltd 86,465 $ 3,561,277
Alcoa Inc 139,199 11,553,517
Freeport McMoRan Inc+ 63,424 1,339,832
Inco Ltd+ 70,437 1,655,270
Phelps Dodge Corp 22,901 1,537,230
Placer Dome Inc 120,056 1,290,602
Reynolds Metals Co 24,353 1,866,049
--------------
TOTAL METALS-DIVERSIFIED
-VALUE $ 22,803,777
- COST $ 15,205,426
MINING-0.10%
Barrick Gold Corp 147,998 $ 2,617,715
Homestake Mining Co 92,085 719,414
Newmont Mining Corp 64,155 1,571,798
--------------
TOTAL MINING
-VALUE $ 4,908,927
- COST $ 6,518,262
57
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio Of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
OFFICE / BUSINESS EQUIPMENT-0.22%
Pitney Bowes Inc 102,053 $ 4,930,436
Xerox Corp 252,366 5,725,554
--------------
TOTAL OFFICE / BUSINESS EQUIPMENT
-VALUE $ 10,655,990
- COST $ 13,290,457
OIL & GAS PRODUCERS-4.87%
Amerada Hess Corp 34,891 $ 1,980,064
Anadarko Petroleum Corp 46,745 1,595,173
Apache Corp 41,497 1,532,795
Atlantic Richfield Corp 122,330 10,581,545
Burlington Resources Inc 70,978 2,346,710
Chevron Corp 248,501 21,526,399
Coastal Corp 81,860 2,900,914
Conoco Inc Class B 238,785 5,939,776
Exxon Mobil Corp 1,305,075 105,140,105
Helmerich & Payne Inc 19,470 424,689
Kerr-McGee Corp 32,874 2,038,188
Occidental Petroleum Corp 133,734 2,891,998
Phillips Petroleum Co 96,587 4,539,589
Rowan Co Inc+ 32,475 704,302
Royal Dutch Petroleum Corp 811,574 49,049,504
Sunoco Inc 35,137 825,720
Texaco Inc 206,300 11,204,669
Tosco Corp 43,600 1,185,375
Transocean Sedco Forex Inc 40,219 1,354,873
Union Pacific Resources Group 97,483 1,242,908
Unocal Corp 92,813 3,115,036
USX - Marathon Group 118,377 2,922,432
--------------
TOTAL OIL & GAS PRODUCERS
-VALUE $ 235,042,764
- COST $ 170,481,951
OIL & GAS SERVICES-0.44%
Baker Hughes Inc 126,058 $ 2,655,097
Halliburton Co 167,918 6,758,700
Schlumberger Ltd 207,742 11,685,488
--------------
TOTAL OIL & GAS SERVICES
-VALUE $ 21,099,285
- COST $ 18,232,858
PACKAGING & CONTAINERS-0.13%
Ball Corp 11,780 $ 463,838
Bemis Co 20,358 709,985
Crown Cork & Seal Co 47,391 1,060,374
Owens Illinois Inc+ 60,369 1,512,998
Pactiv Corp+ 65,875 699,922
Sealed Air Corp+ 32,207 1,668,725
--------------
TOTAL PACKAGING & CONTAINERS
-VALUE $ 6,115,842
- COST $ 9,121,867
PHARMACEUTICALS-5.99%
Abbott Laboratories 576,420 $ 20,931,251
ALZA Corp+ 37,839 1,310,175
American Home Products Corp 494,953 19,519,709
Bristol-Myers Squibb Co 750,938 48,200,833
Cardinal Health Inc 103,852 4,971,915
Lilly (Eli) & Co 413,744 27,513,976
Merck & Co Inc 884,208 59,297,199
Pfizer Inc 1,465,296 47,530,539
Pharmacia & Upjohn Inc 192,356 8,656,020
58
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Security Name Shares Value
<S> <C> <C> <C>
COMMON STOCKS (Continued)
Schering-Plough Corp 556,114 $ 23,461,059
Warner Lambert Co 323,703 26,523,415
Watson Pharmaceutical Inc+ 35,421 1,268,515
--------------
TOTAL PHARMACEUTICALS
-VALUE $ 289,184,606
- COST $ 213,451,375
PIPELINES-0.51%
Columbia Energy Group 32,122 $ 2,031,717
Consolidated Natural Gas Co 36,891 2,395,609
El Paso Energy Corp 77,357 3,002,419
Enron Corp 271,020 12,026,513
Williams Co Inc 165,460 5,056,871
--------------
TOTAL PIPELINES
-VALUE $ 24,513,129
- COST $ 17,444,082
RETAIL-6.40%
AutoZone Inc+ 57,606 $ 1,861,381
Bed Bath & Beyond Inc+ 41,600 1,445,600
Best Buy Co Inc+ 77,898 3,909,506
Circuit City Stores Inc 77,063 3,472,651
Consolidated Stores Corp+ 42,302 687,408
CVS Corp 149,244 5,960,432
Darden Restaurants Inc 51,880 940,325
Dayton-Hudson Corp 167,774 12,320,903
Dillards Inc Class A 41,422 836,207
Dollar General Corp 85,424 1,943,396
Federated Department Stores Inc+ 79,767 4,033,219
Gap Inc 325,148 14,956,808
Harcourt General Inc 27,581 1,110,135
Home Depot Inc 862,041 59,103,686
IKON Office Solutions Inc 53,983 367,759
Kmart Corp+ 190,809 1,920,016
Kohls Corp+ 62,134 4,485,298
Limited Inc 81,938 3,548,940
Longs Drug Stores Corp 15,054 388,581
Lowe's Co Inc 142,840 8,534,690
May Department Stores Co 127,673 4,117,454
McDonald's Corp 513,168 20,687,085
Nordstrom Inc 54,615 1,430,230
Office Depot Inc+ 138,149 1,511,005
Penney (J C) Co Inc 101,249 2,018,652
Pep Boys (The) - Manny Moe & Jack 20,775 189,572
Rite Aid Corp 100,031 1,119,097
Sears Roebuck & Co 145,124 4,417,212
Staples Inc+ 177,729 3,687,877
Tandy Corp 73,625 3,621,430
TJX Companies Inc 122,203 2,497,524
Toys R Us Inc+ 96,075 1,375,073
Tricon Global Restaurants+ 59,032 2,280,111
Wal-Mart Stores Inc 1,681,610 116,241,291
Walgreen Co 380,778 11,137,757
Wendy's International Inc 47,843 986,762
--------------
TOTAL RETAIL
-VALUE $ 309,145,073
- COST $ 172,421,820
</TABLE>
59
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
SEMICONDUCTORS-3.62%
Advanced Micro Devices Inc+ 55,827 $ 1,615,494
Applied Materials Inc+ 142,318 18,029,912
Intel Corp 1,255,365 103,332,232
KLA Instruments Corp+ 33,748 3,758,684
LSI Logic Corp+ 55,154 3,722,895
Micron Technology Inc+ 95,676 7,438,779
National Semiconductor+ 64,381 2,756,312
Texas Instruments Inc 298,263 28,894,228
Xilinx Inc+ 111,400 5,065,224
--------------
TOTAL SEMICONDUCTORS
-VALUE $ 174,613,760
- COST $ 75,366,825
SOFTWARE-9.57%
Adobe Systems Inc 46,726 $ 3,142,324
America Online Inc+ 838,542 63,257,512
Autodesk Inc 20,332 686,205
Automatic Data Processing 234,757 12,647,533
BMC Software Inc+ 90,534 7,237,062
Citrix Systems Inc+ 30,070 3,698,610
Computer Associates International Inc 203,896 14,259,977
Compuware Corp+ 136,195 5,073,264
First Data Corp 161,323 7,955,240
IMS Health Inc 119,883 3,259,319
Microsoft Corp+ 1,943,474 226,900,590
Novell Inc+ 128,514 5,132,528
Oracle Corp+ 538,861 60,386,111
Parametric Technology Corp+ 103,203 2,792,931
PeopleSoft Inc+ 90,560 1,930,060
Shared Medical System Corp 10,340 526,694
Yahoo! Inc+ 99,540 43,069,714
--------------
TOTAL SOFTWARE
-VALUE $ 461,955,674
- COST $ 206,608,210
TELECOMMUNICATION EQUIPMENT-4.97%
ADC Telecommunications+ 49,901 $ 3,620,941
Andrew Corp+ 32,217 610,109
Comverse Technology Inc+ 23,500 3,401,625
General Instrument Corp+ 65,466 5,564,610
Lucent Technologies Inc 1,176,833 88,041,819
Motorola Inc 229,918 33,855,426
Nortel Networks Corp 502,367 50,739,067
QUALCOMM Inc+ 245,196 43,185,146
Scientific-Atlanta Inc 28,973 1,611,623
Tellabs Inc+ 148,663 9,542,306
--------------
TOTAL TELECOMMUNICATION EQUIPMENT
-VALUE $ 240,172,672
- COST $ 85,508,910
TELECOMMUNICATIONS-0.93%
Global Crossing Ltd+ 283,449 $ 14,172,450
NEXTEL Communications Class A+ 133,682 13,785,956
Sprint Corp (PCS Group)+ 164,107 16,820,957
--------------
TOTAL TELECOMMUNICATIONS
-VALUE $ 44,779,363
- COST $ 15,127,390
60
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
Security Name Shares Value
COMMON STOCKS (Continued)
TELEPHONE-6.71%
Alltel Corp 114,284 $ 9,449,858
AT&T Corp 1,208,638 61,338,379
Bell Atlantic Corp 587,785 36,185,514
BellSouth Corp 713,419 33,396,927
CenturyTel Inc 52,469 2,485,719
GTE Corp 368,665 26,013,924
MCI WorldCom Inc+ 1,063,259 56,419,154
SBC Communications Inc 1,290,288 62,901,540
Sprint Corp 328,630 22,120,907
U.S. West Inc 191,430 13,782,960
--------------
TOTAL TELEPHONE
-VALUE $ 324,094,882
- COST $ 209,737,582
TEXTILES-0.01%
Springs Industries Inc Class A 7,142 $ 285,234
--------------
TOTAL TEXTILES
-VALUE $ 285,234
- COST $ 288,318
TOBACCO-0.47%
Philip Morris Co Inc 899,120 $ 20,848,345
UST Inc 67,406 1,697,789
--------------
TOTAL TOBACCO
-VALUE $ 22,546,134
- COST $ 33,540,360
TOYS / GAMES / HOBBIES-0.07%
Hasbro Inc 75,412 $ 1,437,541
Mattel Inc 159,572 2,094,383
--------------
TOTAL TOYS / GAMES / HOBBIES
-VALUE $ 3,531,924
- COST $ 5,755,424
TRANSPORTATION-0.45%
Burlington Northern Santa Fe Corp 177,184 $ 4,296,712
CSX Corp 83,427 2,617,522
FDX Corp+ 113,457 4,644,646
Kansas City Southern Industries Inc 41,791 3,118,653
Norfolk Southern Corp 145,750 2,987,875
Union Pacific Corp 94,580 4,126,053
--------------
TOTAL TRANSPORTATION
-VALUE $ 21,791,461
- COST $ 23,262,453
TRUCKING & LEASING-0.01%
Ryder System Inc 26,060 $ 636,841
--------------
TOTAL TRUCKING & LEASING
-VALUE $ 636,841
- COST $ 724,416
--------------
TOTAL COMMON STOCKS
-VALUE $4,647,088,660
- COST $2,955,509,045
61
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--DECEMBER 31, 1999
Portfolio of Investments
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS--4.67%
CASH EQUIVALENTS-1.02%
$ 44,072,532 Goldman Sachs Financial Square
Prime Obligation Fund++ 5.40% 01/03/00 $ 44,072,532
5,100,000 Investors Bank & Trust Depositary
Receipt++ 5.53 01/03/00 5,100,000
--------------
$ 49,172,532
REPURCHASE AGREEMENTS-3.33%
$ 160,459,092 Morgan Stanley Tri-party Repurchase
Agreement dated 12/31/99, due
01/03/00 with a maturity value of
$160,491,184 and an effective yield
of 2.40%, collateralized by U.S.
Treasury Notes with a rate of
6.25%, a maturity of 04/30/01 and
market value of $163,671,231. $ 160,459,092
--------------
$ 160,459,092
U.S. TREASURY BILLS-0.32%
$ 15,750,000 U.S. Treasury Bills+++ 5.04%* 03/23/00 $ 15,572,534
--------------
$ 15,572,534
--------------
TOTAL SHORT TERM INSTRUMENTS
-VALUE $ 225,204,158
- COST $ 225,192,218
TOTAL INVESTMENTS IN SECURITIES
(Cost $3,180,701,263) ** (Notes 1
and 3) 100.93% $4,872,292,818
Other Assets and Liabilities, Net (0.93)% (44,767,792)
-------- --------------
TOTAL NET ASSETS 100.00% $4,827,525,026
======== ==============
- -----------------------------------------------------------------------------------------
</TABLE>
+ 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 futures contracts. See
Note 1.
* Yield to Maturity.
** Cost for federal income tax purposes is $3,183,525,561 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $ 1,830,907,457
Gross Unrealized Depreciation (142,140,200)
---------------
NET UNREALIZED APPRECIATION $ 1,688,767,257
===============
The accompanying notes are an integral part of these financial statements.
62
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<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:
In securities, at market value (see cost below) (Note 1) $601,736,403 $467,355,601 $243,407,183 $4,872,292,818
Receivables:
Dividends and interest 4,287,677 7,643,636 2,140,308 4,418,560
Receivable for daily variation margin on open financial
futures contracts 22,100 0 0 413,112
Total Assets 606,046,180 474,999,237 245,547,491 4,877,124,490
LIABILITIES
Payables:
Collateral for securities loaned (Note 4) 43,441,941 30,485,950 0 49,172,532
Due to Bank 0 0 0 4,859
Due to BGI (Note 2) 326,257 69,374 74,229 422,073
Total Liabilities 43,768,198 30,555,324 74,229 49,599,464
TOTAL NET ASSETS $562,277,982 $444,443,913 $245,473,262 $4,827,525,026
INVESTMENTS AT COST $517,313,619 $491,407,220 $243,407,183 $3,180,701,263
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
63
<PAGE>
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Asset Allocation
Master Portfolio
-------------------------------------
For the For the
Period ended Year ended
December 31, 1999* February 28, 1999
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
Dividends+ $ 3,971,237 $ 5,940,051
Interest++ 10,711,162 8,449,263
Total Investment Income 14,682,399 14,389,314
EXPENSES (Note 2)
Advisory Fees 1,667,200 1,941,048
Total Expenses 1,667,200 1,941,048
NET INVESTMENT INCOME 13,015,199 12,448,266
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments 95,145,324 54,934,107
Net realized gain (loss) on sale of futures contracts 0 0
Net change in unrealized appreciation (depreciation) of investments (52,108,916) 25,525,980
Net change in unrealized appreciation (depreciation) of future contracts 171,125 0
Net Gain (Loss) on Investments 43,207,533 80,460,087
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 56,222,732 $ 92,908,353
- ---------------------------------------------------------------------------------------------------------------------
+Net of foreign withholding tax of: $ 4,853 $ 680
++Interest income includes securities lending income of: $ 59,473 $ 92,420
</TABLE>
* For the ten months ended December 31, 1999. The Master Portfolio changed
its fiscal year end from February 28 to December 31.
** Period from September 1, 1998 (commencement of operations) to February 28,
1999.
The accompanying notes are an integral part of these financial statements.
64
<PAGE>
<TABLE>
<CAPTION>
Bond Index Money Market S&P 500 Index
Master Portfolio Master Portfolio Master Portfolio
- ------------------------------------- --------------------------------------- --------------------------------------
For the For the For the For the For the For the
Period Ended Year Ended Period Ended Period Ended Period Ended Year Ended
December 31, 1999* February 28, 1999 December 31, 1999* February 28, 1999** December 31, 1999* February 28, 1999
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 0 $ 0 $ 0 $ 0 $ 44,329,664 $ 36,647,898
22,521,833 7,152,613 9,956,770 5,516,159 9,795,587 8,379,792
22,521,833 7,152,613 9,956,770 5,516,159 54,125,251 45,027,690
277,850 89,576 189,564 104,611 1,821,793 1,353,414
277,850 89,576 189,564 104,611 1,821,793 1,353,414
22,243,983 7,063,037 9,767,206 5,411,548 52,303,458 43,674,276
(2,713,060) 419,676 4,552 0 147,202,745 143,991,139
0 0 0 0 23,076,772 37,982,701
(22,407,564) (4,365,016) 0 0 549,246,681 265,023,900
0 0 0 0 12,849,150 (14,225,550)
(25,120,624) (3,945,340) 4,552 0 732,375,348 432,772,190
$ (2,876,641) $ 3,117,697 $ 9,771,758 $ 5,411,548 $ 784,678,806 $ 476,446,466
- ----------------------------------------------------------------------------------------------------------------------
$ 0 $ 0 $ 0 $ 0 $ 28,773 $ 5,288
$ 49,933 $ 24,075 $ 0 $ 0 $ 272,312 $ 78,935
</TABLE>
65
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Master Portfolio
--------------------------------------------------------
For the For the For the
Period Ended Year Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income (loss) $ 13,015,199 $ 12,448,266 $ 17,382,461
Net realized gain (loss) 95,145,324 54,934,107 43,346,192
Net change in unrealized appreciation (depreciation) (51,937,791) 25,525,980 54,041,425
Net increase (decrease) in net assets resulting from operations 56,222,732 92,908,353 114,770,078
Net Increase (decrease) in net assets resulting from beneficial
interest transactions (92,968,126) (29,021,715) (11,593,179)
Increase (decrease) in net assets (36,745,394) 63,886,638 103,176,899
NET ASSETS:
Beginning net assets 599,023,376 535,136,738 431,959,839
Ending net assets $ 562,277,982 $ 599,023,376 $ 535,136,738
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* For the ten months ended December 31, 1999. The Master Portfolio 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.
66
<PAGE>
<TABLE>
<CAPTION>
Bond Index Master Portfolio Money Market Master Portfolio S&P 500 Index Master Portfolio
- ------------------------------------------------------ -------------------------------------- ------------------------------------
For the For the For the For the For the For the For the
Period Ended Year Ended Year Ended Period Ended Period Ended Period Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998 December 31, 1999* February 28, 1999** December 31, 1999* February 28, 1999
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 22,243,983 $ 7,063,037 $ 12,426,184 $ 9,767,206 $ 5,411,548 $ 52,303,458 $ 43,674,276
(2,713,060) 419,676 3,123,379 4,552 0 170,279,517 181,973,840
(22,407,564) (4,365,016) 3,034,137 0 0 562,095,831 250,798,350
(2,876,641) 3,117,697 18,583,700 9,771,758 5,411,548 784,678,806 476,446,466
45,592,668 305,376,058 (146,679,073) (26,944,817) 257,234,773 355,753,442 856,583,098
42,716,027 308,493,755 (128,095,373) (17,173,059) 262,646,321 1,140,432,248 1,333,029,564
401,727,886 93,234,131 221,329,504 262,646,321 0 3,687,092,778 2,354,063,214
$ 444,443,913 $ 401,727,886 $ 93,234,131 $ 245,473,262 $ 262,646,321 $ 4,827,525,026 $ 3,687,092,778
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
S&P 500 Index
Master Portfolio
- -----------------
For the
Year Ended
February 28, 1998
- -----------------
$ 35,530,147
71,368,439
463,085,650
569,984,236
299,742,532
869,726,768
1,484,336,446
$ 2,354,063,214
- -----------------
67
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware business
trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and
had no operations prior to March 1, 1994. MIP currently issues the following
separate portfolios (the "Master Portfolios"): the Asset Allocation, Bond Index,
LifePath Income (formerly LifePath 2000), LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index, Extended Index, International
Index and U.S. Equity Index Master Portfolios. These financial statements relate
to the Asset Allocation, Bond Index, Money Market and S&P 500 Index Master
Portfolios.
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
The Board of Trustees of MIP approved a change in fiscal year-end from
February 28 to December 31 for the Bond Index, Money Market and S&P 500 Index
Master Portfolios on February 10, 1999 and for the Asset Allocation Master
Portfolio on November 23, 1999. Accordingly, the financial statements are
presented for the ten-month period ended December 31, 1999.
Security Valuation
The equity securities of each Master Portfolio are valued at the last
reported sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Any
securities, restricted securities or other assets for which market quotations
are not readily available, are valued at fair value as determined in good faith
in accordance with policies approved by MIP's Board of Trustees.
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 Portfolio, are accreted as interest income using a constant
yield to maturity method. Premiums on securities purchased, except for the Money
Market Master Portfolio, are not amortized. The Money Market Master Portfolio
amortizes premium and accretes discount on a straight line basis to maturity.
Federal Income Taxes
Each Master Portfolio intends to qualify as a partnership for federal
income tax purposes. Each Master Portfolio, therefore, believes that it will not
be subject to any federal income tax on its income and net realized capital
gains (if any). However, each investor in a Master Portfolio will be taxed on
its allocable share of the partnership's income and capital gains for the
purposes of determining its federal income tax liability. The determination of
such share will be made in accordance with the applicable sections of the
Internal Revenue Code of 1986, as amended (the "Code").
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in a
Master Portfolio will be able to satisfy the requirements of Subchapter M of
68
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
the Code, assuming that the regulated investment company invested all of its
assets in the corresponding Master Portfolio.
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 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 Master Portfolios as unrealized gains
or losses. When the contract is closed, the 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 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 December
31, 1999 the following Master Portfolios had open long futures contracts
outstanding:
Asset Allocation Master Portfolio
<TABLE>
<CAPTION>
Net
Expiration Notional Unrealized
Number of Contracts Type Date Contract Value Appreciation
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
26 S&P 500 Index 03/17/00 $ 9,647,300 $ 171,125
S&P 500 Index Master Portfolio
<CAPTION>
Net
Expiration Notional Unrealized
Number of Contracts Type Date Contract Value Appreciation
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
484 S&P 500 Index 03/17/00 $179,588,200 $9,872,575
</TABLE>
The Asset Allocation Master Portfolio and the S&P 500 Index Master
Portfolio have pledged to brokers U.S. Treasury Bills for initial margin
requirements with a par value of $550,000 and $15,750,000, 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 Portfolio of Investments. The advisor to the Master
Portfolios 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 102% of market value. The
repurchase agreements entered into on December 31, 1999, by the Master
Portfolios are collateralized by U.S. Government securities.
2. Agreements and Other Transactions with Affiliates
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 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.
69
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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
December 31, 1999, 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 ten months ended December 31, 1999, were as
follows:
<TABLE>
<CAPTION>
Asset Allocation Bond Index S&P 500 Index
Master Portfolio Master Portfolio Master Portfolio
----------------------------- ------------------------------ -------------------------------
Period ended Year ended Period ended Year ended Period ended Year ended
Aggregate Purchases and Sales of: Dec. 31,1999* Feb. 28, 1999 Dec. 31, 1999* Feb. 28, 1999 Dec. 31, 1999* Feb. 28, 1999
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $184,631,771 $ 59,762,796 $117,198,084 $212,693,399 $ 0 $ 0
Sales proceeds 66,864,507 104,374,234 81,492,202 31,894,221 0 0
OTHER SECURITIES:
Purchases at cost $ 33,187,296 $119,884,852 $ 48,301,376 $109,813,822 $751,324,556 $1,187,951,471
Sales proceeds 241,826,418 91,468,726 20,740,434 2,543,045 269,734,128 275,613,257
</TABLE>
* For the ten months ended December 31, 1999. The Master Portfolio changed its
fiscal year end from February 28 to December 31.
4. Portfolio Securities Loaned
As of December 31, 1999, certain Master Portfolios had loaned securities
which were collateralized by cash 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 $41,635,859 $43,441,941
Bond Index Master Portfolio $29,562,869 $30,485,950
S&P 500 Index Master Portfolio $47,645,223 $49,172,532
</TABLE>
70
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
5. FINANCIAL HIGHLIGHTS
The ratios of expenses and net investment income to average net assets and
portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For The For The For The
Period Ended Year Ended Year Ended
December 31, February 28, February 28,
1999* 1999 1998
- ----------------------------------------------------------------------------------------------------------------
<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+ 2.75% 2.24% 3.76%
Portfolio turnover 39% 33% 57%
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+ 6.44% 6.31% 6.73%
Portfolio turnover 25% 28% 59%
Money Market Master Portfolio
Ratio of expenses to average net assets+ 0.10% 0.10%++ N/A
Ratio of net investment income to average net assets+ 5.23% 5.17%++ N/A
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+ 1.44% 1.61% 1.89%
Portfolio turnover 7% 11% 6%
</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 of less than one year.
++ For the period from September 1, 1998 (commencement of operations) to
February 28, 1999.
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INDEPENDENT AUDITORS' REPORT
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Asset Allocation Master Portfolio,
Bond Index Master Portfolio, Money Market Master Portfolio, and S&P 500 Index
Master Portfolio (four of the portfolios comprising Master Investment Portfolio)
as of December 31, 1999, and the related statements of operations for the ten-
month period then ended and for the year-ended February 28, 1999, except for
Money Market Portfolio which is for the ten-month period then ended and the six-
month period ended February 28, 1999 and the statements of changes in net assets
for the ten-month period then ended and for each of the years in the two-year
period ended February 28, 1999, except for Money Market Portfolio which is for
the ten-month period ended December 31, 1999 and the six-month period ended
February 28, 1999. These financial statements are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of each of the aforementioned
portfolios of Master Investment Portfolio as of December 31, 1999, the results
of their operations and the changes in their net assets for the periods
indicated above in conformity with generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
February 11, 2000
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Barclays Global Investors Funds, Inc.
c/o Investors Bank and Trust Co.
200 Clarendon Street
Boston, MA 02111
