<PAGE> 1
MASTER INVESTMENT TRUST, SERIES 1 --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments
August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
ASSET BACKED SECURITIES -- 21.9%
AESOP Funding II, Series
1997-1, Class A1....... Aaa/AAA 6.220% 10/20/01 $ 2,000,000 $ 2,020,000
Asset Securitization
Corp., Series 1997-D5,
Class A1C.............. Aaa/AAA 6.750% 02/14/41 1,900,000 1,991,162
Chevy Chase Auto
Receivables Trust,
Series 1998, Class A... Aaa/AAA 5.910% 12/15/04 1,247,053 1,253,288
Circuit City Credit Card
Master Trust, Series
1995-1, Class A........ Aaa/AAA 6.375% 08/15/05 1,000,000 1,019,160
Citibank Credit Card
Master Trust I, Series
1997-6, Class A ZCB.... Aaa/AAA 5.040%* 08/15/06 2,000,000 1,431,008
Commercial Mortgage
Acceptance Corp.,
Series 1998-C1, Class
A2..................... Aaa/AAA 6.490% 05/15/08 1,850,000 1,900,412
Contimortgage Home Equity
Loan Trust, Series
1996-4, Class A5....... Aaa/AAA 6.600% 10/15/11 2,000,000 2,057,521
Contimortgage Home Equity
Loan Trust, Series
1997-3, Class A5....... Aaa/AAA 7.010% 08/15/13 2,000,000 2,080,881
First Chicago Master
Trust II............... Aaa/AAA 5.871% 02/15/04 1,340,000 1,346,298
General Growth
Properties, Series 1,
Class A2............... Aaa/NR 6.602% 11/15/07 1,900,000 1,952,845
GMAC Commercial Mortgage
Securities, Inc.,
Series 1997-C2, Class
A3..................... Aaa/NR 6.566% 11/15/07 2,300,000 2,376,153
</TABLE>
- ---------------
See Notes to Financial Statements.
50
<PAGE> 2
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
ASSET BACKED SECURITIES -- (CONTINUED)
Lehman Brothers
Commercial Conduit
Mortgage Trust, Series
1998-C1, Class A3...... Aaa/NR 6.480% 01/18/08 $ 2,100,000 $ 2,154,474
Nomura Asset Securities
Corp., Series 1998-D6,
Class A1B.............. Aaa/AAA 6.590% 03/17/28 2,180,000 2,259,134
Standard Credit Card
Master Trust, Series
1995-3, Class A........ Aaa/AAA 7.850% 02/07/02 2,500,000 2,573,191
The Money Store Home
Equity Trust, Series
1996-B, Class A6....... Aaa/AAA 7.380% 05/15/17 1,000,000 1,025,000
World Omni Automobile
Lease Securitization
Trust, Series 1997-A,
Class A4............... Aaa/AAA 6.900% 06/25/03 2,245,891 2,324,497
-----------
Total Asset Backed
Securities (Cost
$29,255,817)............. 29,765,024
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 9.5%
Credit Suisse First
Boston Mortgage
Securities Corp.,
Series 1998-C1, Class
A1B.................... Aaa/AAA 6.480% 05/17/08 1,250,000 1,284,775
Criimi Mae Corp., Series
1998-1, Class A1....... Aaa/AAA 5.697% 10/20/01 2,224,048 2,209,880
Donaldson Lufkin Jenrette
Commercial Mortgage
Corp., Series 1998-CG1,
Class A1B.............. NR/AAA 6.410% 06/10/31 1,300,000 1,329,120
First Union-Lehman
Brothers-Bank of
America Commercial
Mortgage, Series 1998-
C2, Class A2........... Aaa/AAA 6.560% 11/18/08 2,250,000 2,321,460
</TABLE>
- ---------------
See Notes to Financial Statements.
51
<PAGE> 3
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- (CONTINUED)
Mortgage Capital Funding,
Inc., Series 1998-MC1,
Class A2............... NR/AAA 6.663% 01/18/08 $ 2,950,000 $ 3,065,817
Mortgage Capital Funding,
Inc., Series 1998-MC2,
Class A2............... Aaa/NR 6.423% 05/18/08 1,300,000 1,328,496
Vendee Mortgage Trust,
Series 1998-1, Class 2,
Interest Only
Obligation............. NR/NR 0.455% 02/15/28 65,001,740 1,300,035
-----------
Total Collateralized
Mortgage Obligations
(Cost $12,789,996)....... 12,839,583
-----------
CORPORATE BONDS -- 34.9%
BANKS -- 2.0%
Banco Latinoamericano,
Series 144A............ Baa2/BBB 6.590% 10/16/01 1,500,000 1,470,000
Capital One Bank......... Baa3/BBB- 7.000% 04/30/01 1,250,000 1,276,562
-----------
2,746,562
-----------
BROKERAGE -- 2.3%
Bear Stearns Companies,
Inc.................... A2/A 6.125% 02/01/03 1,500,000 1,522,500
Salomon Smith Barney
Holdings, Inc.......... A2/A 6.250% 05/15/03 1,500,000 1,516,816
-----------
3,039,316
-----------
CABLE & MEDIA -- 3.1%
Cox Radio, Inc., Series
144A................... Baa2/A- 6.250% 05/15/03 1,300,000 1,316,250
TCI Communications,
Inc.................... Baa3/BBB- 6.375% 05/01/03 1,500,000 1,528,125
Time Warner Inc., Pass-
Through Certificates... Baa3/BBB- 6.100% 12/30/01 1,350,000 1,351,688
-----------
4,196,063
-----------
CHEMICALS -- 0.9%
Praxair, Inc............. A3/BBB+ 6.750% 03/01/03 1,200,000 1,234,500
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
52
<PAGE> 4
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS -- (CONTINUED)
COMMERCIAL SERVICES -- 2.2%
News America Holdings,
Inc.................... Baa3/BBB- 8.625% 02/01/03 $ 1,500,000 $ 1,638,750
Service Corp.
International.......... Baa1/BBB+ 6.300% 03/15/03 1,300,000 1,319,500
-----------
2,958,250
-----------
DIVERSIFIED MANUFACTURING -- 1.0%
Belo (A.H.) Corp......... Baa2/BBB- 6.875% 06/15/02 1,300,000 1,344,043
-----------
ENERGY -- 1.9%
PSE&G Capital Corp....... Baa2/BBB 6.740% 10/23/01 1,300,000 1,332,500
Williams Companies,
Inc.................... Baa2/BBB- 6.125% 02/01/01 1,200,000 1,212,000
-----------
2,544,500
-----------
FINANCIAL SERVICES -- 12.4%
AON Corp................. A3/AA- 7.400% 10/01/02 1,200,000 1,275,000
Associates Corp. of North
America................ Aa3/AA- 7.500% 04/15/02 2,000,000 2,118,012
Case Credit Corp......... Baa1/A- 6.125% 02/15/03 1,300,000 1,316,250
Finova Capital Corp...... Baa1/A- 6.625% 09/15/01 1,500,000 1,539,375
Ford Motor Credit Corp... A1/A 6.550% 09/10/02 1,800,000 1,863,000
General Motors Acceptance
Corp................... A2/A 6.875% 07/15/01 2,000,000 2,070,000
Hanson Overseas B.V...... A3/A- 7.375% 01/15/03 1,500,000 1,584,375
Household Finance Corp... A2/A 6.125% 07/15/12 1,300,000 1,316,250
Prudential Security
Financial Corp......... Aaa/NR 6.506% 07/15/08 2,200,000 2,255,000
USG Corp................. Baa3/BBB 9.250% 09/15/01 1,400,000 1,501,500
-----------
16,838,762
-----------
FOOD & KINDRED PRODUCTS -- 2.5%
James River Corp......... Baa2/BBB- 8.375% 11/15/01 1,550,000 1,668,187
Nabisco, Inc............. Baa2/BBB 6.125% 09/01/98 1,750,000 1,739,062
-----------
3,407,249
-----------
INSURANCE -- 2.8%
Aetna Services, Inc...... A3/A 6.750% 08/15/01 2,700,000 2,794,500
Hartford Life, Inc....... A2/A 6.900% 06/15/04 1,000,000 1,052,500
-----------
3,847,000
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
53
<PAGE> 5
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS -- (CONTINUED)
RETAIL STORES -- 1.9%
Federated Department
Stores................. Baa2/BBB- 8.125% 10/15/02 $ 1,220,000 $ 1,313,025
Sears Roebuck Acceptance
Corp................... A2/A- 6.000% 03/20/03 1,300,000 1,309,750
-----------
2,622,775
-----------
UTILITIES -- 1.9%
Consumers Energy Co.,
Series 144A............ Baa3/BBB+ 6.200% 05/01/03 1,400,000 1,419,250
KN Energy, Inc........... Baa2/BBB- 6.450% 03/01/03 1,200,000 1,197,000
-----------
2,616,250
-----------
Total Corporate Bonds (Cost
$46,723,645)............. 47,395,270
-----------
MEDIUM TERM NOTES -- 2.5%
Lehman Brothers
Holdings............... Baa1/A 6.900% 01/29/01 2,000,000 2,057,500
Worldcom Inc............. Baa2/BBB+ 6.400% 08/15/05 1,400,000 1,405,250
-----------
Total Medium Term Notes
(Cost $3,419,237)........ 3,462,750
-----------
U.S. TREASURY OBLIGATIONS -- 19.2%
U.S. TREASURY STRIPS -- 0.6%
U.S. Treasury Principal
Only Obligation
Strips................. 5.099%* 08/15/03 1,000,000 783,361
-----------
U.S. TREASURY NOTES -- 18.6%
U.S. Treasury Note....... 7.750% 01/31/00 5,700,000 5,903,020
U.S. Treasury Note....... 6.000% 08/15/00 3,750,000 3,820,276
U.S. Treasury Note....... 6.625% 06/30/01 1,000,000 1,040,949
U.S. Treasury Note....... 6.250% 10/31/01 1,000,000 1,033,707
U.S. Treasury Note....... 6.250% 02/15/03 1,000,000 1,047,074
U.S. Treasury Note....... 5.750% 08/15/03 8,650,000 8,917,614
U.S. Treasury Note....... 7.000% 07/15/06 3,150,000 3,525,236
-----------
25,287,876
-----------
Total U.S. Treasury
Obligations (Cost
$25,515,111)............. 26,071,237
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
54
<PAGE> 6
<TABLE>
<CAPTION>
MATURITY PRINCIPAL VALUE
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.1%
FannieMae 30 Year Fixed Obligation
(TBA)............................... 7.000% 04/01/00 $13,200,000 $13,428,938
FannieMae, Pool Association, Pool
#345858............................. 6.248% 08/01/36 1,262,352 1,292,333
Government National Mortgage
Association Pool #136688............ 10.000% 09/15/15 11,385 12,436
Government National Mortgage
Association Pool #166744............ 10.000% 07/15/16 196,446 214,556
Government National Mortgage
Association Pool #209480............ 10.000% 07/15/17 62,049 67,770
Government National Mortgage
Association Pool #227082............ 10.000% 08/15/17 85,419 93,293
-----------
Total U.S. Government Agency Obligations
(Cost $15,031,474).................... 15,109,326
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C> <C> <C> <C>
SHORT TERM INVESTMENTS -- 9.9%
Temporary Investment Cash Fund...... 6,727,319 6,727,319
Temporary Investment Fund........... 6,727,319 6,727,319
------------
Total Short Term Investments (Cost
$13,454,638)........................ 13,454,638
------------
TOTAL INVESTMENTS -- 109.0%
(COST $146,189,918)(A) 148,097,828
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (9.0%).................... (12,235,925)
------------
NET ASSETS -- 100.0%.................. $135,861,903
============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $135,861,903.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................... $2,070,740
Unrealized depreciation............................... (162,830)
----------
Net unrealized appreciation........................... $1,907,910
==========
</TABLE>
144A -- Security was purchased pursuant to Rule 144A under the securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 3.1% of net assets.
NR -- Not Rated.
ZCB -- Zero Coupon Bond
* Effective yield at purchase date.
See Notes to Financial Statements.
55
<PAGE> 7
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments in securities, at value (cost $146,189,918)... $148,097,828
Receivable for securities sold............................ 3,435,701
Contribution receivable................................... 1,030,583
Interest receivable....................................... 1,312,265
Deferred organization costs............................... 3,374
Prepaid expenses.......................................... 7,775
------------
Total Assets................................................ 153,887,526
------------
LIABILITIES:
Withdrawal payable........................................ 1,101,439
Payable for securities purchased.......................... 16,831,386
Advisory fees payable..................................... 27,766
Audit fees payable........................................ 16,806
Fund accounting fees payable.............................. 9,144
Legal fees payable........................................ 6,094
Administration fees payable............................... 7,589
Other accrued expenses.................................... 25,399
------------
Total Liabilities........................................... 18,025,623
------------
NET ASSETS.................................................. $135,861,903
============
</TABLE>
- ---------------
See Notes to Financial Statements.
56
<PAGE> 8
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Operations
For the six months ended August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest Income........................................... $4,050,523
----------
EXPENSES:
Advisory fees............................................. 197,505
Administration fees....................................... 32,918
Fund accounting fees and expenses......................... 48,572
Custodian fees............................................ 10,644
Amortization of organization costs........................ 6,992
Audit fees................................................ 2,254
Legal fees................................................ 4,473
Directors fees............................................ 1,843
Other operating expenses.................................. 5,264
----------
Total Expenses.......................................... 310,465
Less: Fee waivers and reimbursements........................ (100,772)
----------
Total Net Expenses.......................................... 209,693
----------
NET INVESTMENT INCOME....................................... 3,840,830
----------
REALIZED/UNREALIZED GAINS ON INVESTMENTS FROM MASTER
INVESTMENT TRUST, SERIES I -- INVESTMENT GRADE BOND
PORTFOLIO:
Net realized gains on investment transactions............. 1,274,708
Net change in unrealized appreciation on investments...... 497,474
----------
Net realized/unrealized gains on investments.............. 1,772,182
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $5,613,012
==========
</TABLE>
- ---------------
See Notes to Financial Statements.
57
<PAGE> 9
MASTER INVESTMENT TRUST, SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
FEBRUARY 28, YEAR ENDED
1998 FEBRUARY 28,
(UNAUDITED) 1998
------------ ------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.............................. $ 3,840,830 $ 8,006,884
Net realized gain on investment transactions....... 1,274,708 128,505
Net change in unrealized appreciation on
investments...................................... 497,474 2,039,776
------------ ------------
Change in net assets resulting from operations..... 5,613,012 10,175,165
------------ ------------
TRUST SHARE TRANSACTIONS:
Contributions...................................... 22,669,876 46,344,058
Withdrawals........................................ (17,987,545) (70,109,582)
------------ ------------
Change in net assets resulting from trust share
transactions....................................... 4,682,331 (23,765,524)
------------ ------------
Change in net assets................................. 10,295,343 (13,590,359)
NET ASSETS
Beginning of Period................................ 125,566,560 139,156,919
------------ ------------
End of Period...................................... $135,861,903 $125,566,560
============ ============
</TABLE>
- ---------------
See Notes to Financial Statements.
58
<PAGE> 10
PACIFIC HORIZON MASTER INVESTMENT TRUST, SERIES I--
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Master Investment Trust, Series I (the "Trust"), a Delaware business trust,
is registered under the Investment Company Act of 1940, as amended (the "Act"),
as an open-end management investment company. At August 31, 1998, the Trust
consisted of two portfolios. The accompanying financial statements and notes are
those of the Investment Grade Bond Portfolio (the "Portfolio") only.
The investment objective of the Investment Grade Bond Portfolio is to obtain
interest income and capital appreciation by investing in investment grade
intermediate and longer term bonds, including corporate and governmental fixed
income obligations and mortgage-backed securities.
Bank of America National Trust and Savings Association ("Bank of America"),
a subsidiary of BankAmerica Corporation ("BankAmerica"), serves as the
Portfolio's investment adviser. Effective September 15, 1997, PFPC, Inc.
("PFPC"), a wholly owned subsidiary of PNC Bank Corp., serves as administrator
for the Trust.
On October 1, 1998, BankAmerica, the Adviser's and Administrator's parent
company, completed its merger with NationsBank Corporation. The combined company
operates under the name BankAmerica. BankAmerica, continues to serve the Funds
on substantially identical terms as described in Note 3.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The policies are
in conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
PORTFOLIO VALUATIONS:
Securities for which market quotations are readily available (other than
debt securities with remaining maturities of 60 days or less) are valued at the
last reported sales price on the securities exchange on which such securities
are primarily traded or at the last reported sales price on the NASDAQ National
Securities Market. Securities not listed on an exchange or the NASDAQ National
59
<PAGE> 11
Securities Market, or securities for which there were no transactions on the day
of valuation, are valued at the mean of the most recent bid and ask prices. Bid
price is used when no ask price is available. The Portfolio may use an
independent pricing service, approved by the Board of Trustees, to value certain
of their securities. Such prices reflect market values which may be established
through the use of electronic data processing techniques and matrix systems.
Restricted securities and securities for which market quotations are not readily
available, if any, are valued at fair value using methods approved by the Board
of Trustees.
Debt securities with remaining maturities of 60 days or less are valued at
amortized cost, which approximates market value.
SECURITIES TRANSACTIONS AND RELATED INCOME:
Securities transactions are accounted for on a trade date basis. Interest
income, including accretion of discount and amortization of premium, is accrued
daily. Realized gains and losses on securities transactions are determined on
the identified cost basis.
EXPENSES:
Expenses directly attributable to a Portfolio are charged to that Portfolio,
while general Trust expenses are allocated among the respective portfolios of
the Trust.
FEDERAL INCOME TAXES:
The Portfolio will be treated as a partnership for Federal income tax
purposes. As such, each investor in the Portfolio will be taxed on their share
of that Portfolio's ordinary income and capital gains. It is intended that the
Portfolio will be managed in such a way that an investor will be able to satisfy
the requirements of the Internal Revenue Code applicable to regulated investment
companies.
NOTE 3 -- AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Portfolio has an Investment Advisory Agreement with Bank of America and
an Administration Agreement with PFPC.
As Adviser, Bank of America is responsible for managing the investment of
the assets of the Portfolio in conformity with the stated objectives and
policies of the Portfolio. Pursuant to the terms of the Investment Advisory
Agreement, Bank of America is entitled to a fee, which is accrued daily and
payable monthly, at an annual rate of 0.30% of the average daily net assets of
the Portfolio. For the
60
<PAGE> 12
six months ended August 31, 1998, Bank of America waived $100,772 in fees as
Adviser of the Portfolio.
As Administrator, PFPC assists in supervising the operations of the
Portfolio. Pursuant to the terms of the Administration Agreement, PFPC was
entitled to a fee which is accrued daily and payable monthly, at an annual rate
of 0.05% of the Portfolio's average daily net assets.
For services provided to each of the portfolios constituting the Trust, each
Trustee receives an annual fee of $2,000 and a meeting fee of $500 per meeting,
except any trustee not serving on other boards in the complex and whose
residence is off-shore will receive $7,000 and $1,000, respectively.
A partner of Drinker Biddle & Reath LLP ("DBR") serves as Secretary of the
Trust. Legal fees earned by DBR are stated in the statement of operations.
Certain officers of the Trust are affiliated with PFPC. Such persons are not
paid directly by the Trust for serving in these capacities.
NOTE 4 -- SECURITIES TRANSACTIONS
During the six months ended August 31, 1998, the Portfolio purchased and
sold portfolio securities, excluding short-term securities, in the following
amounts:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Government....................................... $ 72,944,845 $ 93,814,226
Other................................................. 58,468,652 29,051,729
------------ ------------
Total................................................. $131,413,497 $122,865,955
============ ============
</TABLE>
61
<PAGE> 13
MASTER INVESTMENT TRUST SERIES I --
INVESTMENT GRADE BOND PORTFOLIO
- --------------------------------------------------------------------------------
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED PERIOD
AUGUST 31, --------------------------------------------------------- ENDED
1998 FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28, FEBRUARY 28,
(UNAUDITED) 1998 1997 1996 1995 1994(a)
----------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Ratio of expenses to
average net assets.. 0.32%(b) 0.35% 0.35% 0.18% 0.25% 0.41%(b)
Ratio of net
investment income to
average net
assets.............. 6.15%(b) 5.99% 5.86% 6.47% 6.22% 4.93%(b)
Ratio of expenses to
average net
assets(a)........... 0.47%(b) 0.55% 0.65% 0.68% 0.75% 0.91%(b)
Ratio of net
investment income to
average net
assets*............. 6.00%(b) 5.79% 5.56% 5.97% 5.72% 4.43%(b)
Portfolio Turnover... 99% 127% 83% 172% 240% 32%
</TABLE>
- ---------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced and
expenses reimbursed. If such voluntary fee reductions and
expense reimbursements had not occurred, the ratios would
have been as indicated.
(a) For the period December 6, 1993 (commencement of operations)
through February 28, 1994.
(b) Annualized.
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 14
MASTER INVESTMENT TRUST, SERIES 1 --
BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments
August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCK -- 97.1%
AEROSPACE -- 1.4%
Goodrich (B.F.) Co..................................... 50,100 $ 1,355,831
United Technologies Corp............................... 117,600 8,533,350
------------
9,889,181
------------
AIRLINES -- 0.6%
AMR Corp. *............................................ 53,700 2,926,650
UAL Corp. *............................................ 21,100 1,272,594
------------
4,199,244
------------
APPAREL/TEXTILE -- 0.4%
VF Corp................................................ 74,700 2,829,263
------------
AUTOMOTIVE -- 2.0%
Chrysler Corp.......................................... 57,600 2,570,400
Dana Corp.............................................. 62,700 2,457,056
Ford Motor Co.......................................... 209,500 9,218,000
------------
14,245,456
------------
BANKS -- 8.7%
Banc One Corp.......................................... 130,000 4,940,000
BankBoston Corp........................................ 109,600 3,911,350
Chase Manhattan Corp................................... 194,900 10,329,700
Citicorp............................................... 50,900 5,503,562
First Union Corp....................................... 156,800 7,604,800
Fleet Financial Group, Inc............................. 144,500 9,473,781
Mellon Bank Corp....................................... 115,800 6,021,600
National City Corp..................................... 81,400 4,782,250
NationsBank Corp....................................... 138,406 7,889,142
State Street Corp...................................... 25,400 1,322,387
------------
61,778,572
------------
BEVERAGES -- 3.1%
Anheuser-Busch Cos., Inc............................... 60,000 2,767,500
Coca-Cola Co........................................... 193,100 12,575,637
PepsiCo, Inc........................................... 246,500 6,824,969
------------
22,168,106
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
42
<PAGE> 15
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
BUILDING RELATED/APPLIANCE -- 0.5%
Centex Corp............................................ 103,900 $ 3,675,462
------------
CHEMICALS -- 2.2%
Dow Chemical Co........................................ 70,000 5,460,000
Du Pont, (E.I.) de Nemours & Co........................ 59,000 3,403,562
P.P.G. Industries, Inc................................. 48,300 2,454,244
Praxair, Inc........................................... 83,400 2,991,975
Solutia, Inc........................................... 67,400 1,512,287
------------
15,822,068
------------
COMMUNICATIONS -- 3.7%
Cisco Systems, Inc. *.................................. 145,650 11,925,094
Lucent Technologies, Inc............................... 144,800 10,262,700
Tellabs, Inc. *........................................ 93,900 3,967,275
------------
26,155,069
------------
COMPUTER HARDWARE -- 5.7%
Compaq Computer Corp................................... 61,900 1,729,331
Dell Computer Corp. *.................................. 135,000 13,500,000
Eastman Kodak Co....................................... 45,000 3,515,625
EMC Corp. *............................................ 187,400 8,468,137
Solectron Corp......................................... 50,600 2,090,413
Sun Microsystems, Inc. *............................... 114,500 4,537,062
Xerox Corp............................................. 77,700 6,823,031
------------
40,663,599
------------
COMPUTER SERVICES & SOFTWARE -- 4.3%
HBO & Co............................................... 229,800 4,883,250
Microsoft Corp. *...................................... 244,100 23,418,344
Oracle Corp. *......................................... 106,000 2,113,375
------------
30,414,969
------------
COSMETIC & TOILETRIES -- 3.4%
Avon Products, Inc..................................... 118,100 7,425,537
Clorox Co.............................................. 23,500 2,266,281
Newell Co.............................................. 56,000 2,674,000
Procter & Gamble Co.................................... 88,600 6,777,900
Unilever NV............................................ 76,300 4,835,512
------------
23,979,230
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
43
<PAGE> 16
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRIC -- 2.8%
Edison International................................... 308,900 $ 8,784,344
FPL Group, Inc......................................... 162,800 10,836,375
------------
19,620,719
------------
ELECTRICAL EQUIPMENT -- 3.1%
General Electric Co.................................... 278,500 22,280,000
------------
ENERGY RELATED -- 0.5%
Transocean Offshore, Inc............................... 138,500 3,401,906
------------
ENTERTAINMENT & LEISURE -- 2.5%
Brunswick Corp......................................... 82,400 1,230,850
King World Productions, Inc. *......................... 60,900 1,278,900
Time Warner, Inc....................................... 85,800 6,896,175
Viacom, Inc., Class B *................................ 99,600 4,942,650
Walt Disney Co......................................... 122,134 3,351,052
------------
17,699,627
------------
FINANCIAL SERVICES -- 2.9%
Lehman Brothers Holdings, Inc.......................... 101,300 3,988,687
Morgan Stanley Dean Witter Discover & Co............... 207,100 12,024,744
Travelers Group, Inc................................... 112,300 4,983,313
------------
20,996,744
------------
FOOD & RELATED -- 2.3%
Campbell Soup Co....................................... 115,500 5,818,313
Pioneer Hi-Bred International, Inc..................... 89,200 3,010,500
Quaker Oats Co......................................... 114,500 6,082,813
SYSCO Corp............................................. 68,200 1,376,788
------------
16,288,414
------------
HOSPITAL MANAGEMENT -- 0.6%
United Healthcare Corp................................. 113,500 4,100,188
------------
HOSPITAL SUPPLY -- 3.1%
Abbott Laboratories.................................... 253,700 9,767,450
Biomet, Inc............................................ 138,200 3,714,125
Guidant Corp........................................... 63,500 3,921,125
Johnson & Johnson Co................................... 62,500 4,312,500
------------
21,715,200
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
44
<PAGE> 17
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
INDUSTRIAL SERVICES -- 0.5%
Fluor Corp............................................. 85,800 $ 3,394,462
------------
INSURANCE -- 3.9%
Allstate Corp.......................................... 208,594 7,822,275
American General Corp.................................. 103,700 6,662,725
Conseco, Inc........................................... 177,800 4,911,725
Equitable Cos., Inc.................................... 13,900 794,906
SunAmerica, Inc........................................ 120,800 7,482,050
------------
27,673,681
------------
MACHINERY & EQUIPMENT -- 0.7%
Case Corp.............................................. 33,800 912,600
Deere & Co............................................. 73,800 2,430,788
Ingersoll-Rand Co...................................... 46,200 1,836,450
------------
5,179,838
------------
METALS & MINING -- 0.6%
Aluminum Company of America............................ 27,600 1,652,550
USX -- U.S. Steel Group, Inc........................... 119,900 2,510,406
------------
4,162,956
------------
MULTI-INDUSTRY -- 2.5%
AlliedSignal, Inc...................................... 103,900 3,565,069
Honeywell, Inc......................................... 86,000 5,375,000
Tyco International Ltd................................. 158,500 8,796,750
------------
17,736,819
------------
OIL (DOMESTIC) -- 1.3%
Phillips Petroleum Co.................................. 88,100 3,595,581
Sun Co., Inc........................................... 62,000 2,049,875
USX -- Marathon Group.................................. 143,200 3,723,200
------------
9,368,656
------------
OIL (INTERNATIONAL) -- 5.3%
Chevron Corp........................................... 119,300 8,835,656
Exxon Corp............................................. 287,600 18,819,825
Mobil Corp............................................. 144,900 10,016,213
------------
37,671,694
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
45
<PAGE> 18
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PAPER & FOREST PRODUCTS -- 0.7%
Owens-Illinois, Inc. *................................. 103,800 $ 3,237,263
Temple Inland, Inc..................................... 46,500 2,083,781
------------
5,321,044
------------
PHARMACEUTICALS -- 8.3%
Bristol-Meyers Squibb Co............................... 166,700 16,315,763
Merck & Co., Inc....................................... 45,600 5,286,750
Pfizer, Inc............................................ 153,300 14,256,900
Schering-Plough Corp................................... 196,800 16,924,800
Warner-Lambert Co...................................... 98,200 6,407,550
------------
59,191,763
------------
PRINTING & PUBLISHING -- 1.0%
McGraw-Hill Cos., Inc.................................. 47,300 3,606,625
New York Times Co., Class A............................ 114,800 3,329,200
------------
6,935,825
------------
RESTAURANTS/LODGING -- 0.8%
Marriott International Inc., Class A................... 118,500 3,325,406
McDonald's Corp........................................ 44,100 2,472,356
------------
5,797,762
------------
RETAIL -- 4.9%
Dayton Hudson Corp..................................... 32,900 1,184,400
Gap, Inc............................................... 121,700 6,214,306
Home Depot, Inc........................................ 208,200 8,015,700
Lowe's Cos., Inc....................................... 226,800 7,952,175
TJX Cos., Inc.......................................... 503,400 11,232,113
------------
34,598,694
------------
RETAIL FOOD/DRUG -- 1.2%
Albertson's, Inc....................................... 59,600 3,013,525
Kroger Co.............................................. 124,400 5,598,000
------------
8,611,525
------------
SEMI-CONDUCTORS/INSTRUMENTATION -- 1.7%
Harris Corp............................................ 107,500 3,426,563
Intel, Inc............................................. 70,400 5,011,600
Maxim Integrated Products, Inc. *...................... 122,600 3,371,500
------------
11,809,663
------------
</TABLE>
- ---------------
See Notes to Financial Statements.
46
<PAGE> 19
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ---------- ------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TOBACCO -- 1.5%
Philip Morris Cos., Inc................................ 265,200 $ 11,022,375
------------
TRANSPORTATION -- 0.4%
Burlington Northern Santa Fe Corp...................... 30,500 2,838,406
------------
UTILITIES -- GAS & PIPELINE -- 0.5%
Coastal Corp........................................... 142,400 3,702,400
------------
UTILITIES -- TELEPHONE -- 7.5%
Ameritech Corp......................................... 183,700 8,656,863
AT&T Corp.............................................. 226,300 11,343,288
Bell Atlantic Corp..................................... 167,442 7,388,378
BellSouth Corp......................................... 188,800 12,944,600
U.S. West, Inc......................................... 131,200 6,822,400
WorldCom, Inc. *....................................... 158,400 6,484,500
------------
53,640,029
------------
TOTAL COMMON STOCKS (Cost $627,283,334)................. 690,580,609
------------
SHORT-TERM INVESTMENTS -- 3.0%
Temporary Investment Fund (Cost $21,281,765)........... 21,281,765 21,281,765
------------
</TABLE>
<TABLE>
<CAPTION>
MATURITY PRINCIPAL
RATE DATE AMOUNT
----- -------- ----------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 0.4%
U.S. Treasury Bill (Cost
$3,021,534).......................... 5.04% 10/15/98 $3,040,000 3,022,427
------------
TOTAL INVESTMENTS -- 100.5%
COST ($651,586,633)(a)............... 714,884,801
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.5%) (3,315,392)
------------
NET ASSETS -- 100.0%................... $711,569,409
============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $711,569,409.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation................................ $119,041,473
Unrealized depreciation................................ (55,743,305)
------------
Net unrealized appreciation............................ $ 63,298,168
============
</TABLE>
* Non-income producing security.
SCHEDULE OF OPEN FINANCIAL FUTURES CONTRACTS PURCHASED
<TABLE>
<CAPTION>
NET
UNREALIZED
NUMBER DEPRECIATION
EXPIRATION OF CONTRACT OF
DATE CONTRACTS CONTRACTS VALUE CONTRACTS
- ---------- --------- --------- -------- ------------
<S> <C> <C> <C> <C>
S&P 500 -- Sept.
09/21/98 100 1998 $21,925,000 $(1,925,000)
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 20
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $651,586,633).... $714,884,801
Dividend receivable....................................... 1,077,614
Interest receivable....................................... 155,953
Receivable for investment securities sold................. 4,485,224
Contribution receivable................................... 1,270,969
Deferred organization costs............................... 3,443
Prepaid expenses.......................................... 22,932
------------
Total Assets................................................ 721,900,936
------------
LIABILITIES
Payable for investment securities purchased............... 1,525,462
Withdrawal payable........................................ 6,405,795
Variation margin payable on futures contract.............. 1,925,000
Advisory fees payable..................................... 348,665
Administration fees payable............................... 35,092
Audit fees payable........................................ 11,472
Fund accounting fees and expense payable.................. 13,936
Custodian fees payable.................................... 12,529
Legal fees payable........................................ 7,659
Other accrued expenses.................................... 45,917
------------
Total Liabilities........................................... 10,331,527
------------
NET ASSETS, AUGUST 31, 1998................................. $711,569,409
============
</TABLE>
- ---------------
See Notes to Financial Statements.
48
<PAGE> 21
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statement of Operations
For the six months ended August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividend income........................................... $ 5,353,828
Interest income........................................... 958,613
------------
Total income................................................ 6,312,441
------------
Expenses
Advisory fees............................................. 2,066,127
Administration fees....................................... 206,613
Fund accounting fees and expenses......................... 117,366
Audit fees................................................ 1,847
Custodian fees and expenses............................... 64,938
Legal fees................................................ 36,765
Trustees' fees............................................ 11,636
Amortization of organization costs........................ 6,992
Other expenses............................................ 33,885
------------
Total Expenses.............................................. 2,546,169
------------
NET INVESTMENT INCOME....................................... 3,766,272
------------
NET REALIZED/UNREALIZED GAINS (LOSSES) ON INVESTMENTS:
Net realized gains on investment transactions and future
contracts............................................... 42,036,323
Net change in unrealized appreciation on investments and
futures................................................. (124,033,959)
------------
Net realized/unrealized losses on investments and futures... (81,997,636)
------------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $(78,231,364)
============
</TABLE>
- ---------------
See Notes to Financial Statements.
49
<PAGE> 22
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
AUGUST 31, YEAR ENDED
1998 FEBRUARY 28,
(UNAUDITED) 1998
------------ ------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.............................. $ 3,766,272 $ 6,579,844
Net realized gains on investment transactions...... 42,036,323 60,514,587
Net change in unrealized appreciation
(depreciation) on investments.................... (124,033,959) 111,253,126
------------ ------------
Change in net assets resulting from operations....... (78,231,364) 178,347,557
------------ ------------
TRUST SHARE TRANSACTIONS:
Contributions...................................... 174,792,536 188,684,069
Withdrawals........................................ (103,645,362) (124,944,597)
------------ ------------
Change in net assets from trust share transactions... 71,147,174 63,739,472
------------ ------------
Change in net assets................................. (7,084,190) 242,087,029
NET ASSETS
Beginning of Period................................ 718,653,599 476,566,570
------------ ------------
End of Period...................................... $711,569,409 $718,653,599
============ ============
</TABLE>
- ---------------
See Notes to Financial Statements.
50
<PAGE> 23
MASTER INVESTMENT TRUST, SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Master Investment Trust, Series I (the "Trust"), a Delaware business trust,
is registered under the Investment Company Act of 1940, as amended (the "Act"),
as an open-end management investment company. At August 31, 1998, the Trust
consisted of two portfolios. The accompanying financial statements and notes are
those of the Blue Chip Portfolio (the "Portfolio") only.
The investment objective of the Portfolio is as follows:
The investment objective of the Portfolio is to provide long term capital
appreciation. The Blue Chip Portfolio does so by investing primarily in a
diversified portfolio of blue chip stocks.
Adviser and Administrator
Bank of America National Trust and Savings Association ("Bank of America"),
a subsidiary of BankAmerica Corporation ("BankAmerica"), serves as the
Portfolio's investment adviser. PFPC, Inc. ("PFPC"), a wholly-owned subsidiary
of PNC Bank Corp., serves as administrator for the Trust.
On October 1, 1998, BankAmerica Corp., the Adviser's and Administrator's
parent company, completed its merger with NationsBank Corporation. The combined
company operates under the name BankAmerica. BankAmerica continues to serve the
funds on substantially identical terms as described in Note 3.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The policies are
in conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
PORTFOLIO VALUATIONS:
Securities for which market quotations are readily available (other than
debt securities with remaining maturities of 60 days or less) are valued at the
last reported sales price on the securities exchange on which such securities
are primarily traded or at the last reported sales price on the NASDAQ National
51
<PAGE> 24
Securities Market. Securities not listed on an exchange or the NASDAQ National
Securities Market, or securities for which there were no transactions on the day
of valuation, are valued at the mean of the most recent bid and ask prices. Bid
price is used when no ask price is available. The Portfolio may use an
independent pricing service, approved by the Board of Trustees, to value certain
of its securities. Such prices reflect market values which may be established
through the use of electronic data processing techniques and matrix systems.
Restricted securities and securities for which market quotations are not readily
available, if any, are valued at fair value using methods approved by the Board
of Trustees.
Debt securities with remaining maturities of 60 days or less are valued at
amortized cost, which approximates market value.
FUTURES:
A futures contract is an agreement to purchase or sell a specified quantity
of an underlying instrument at a specified future date or to make or receive a
cash payment based on the value of a securities index. The price at which the
purchase and sale will take place is fixed when the Portfolio enters into the
contract. Upon entering into such a contract the Portfolio is required to pledge
to the broker an amount of cash and/or securities equal to the minimum "initial
margin" requirements of the exchange. Pursuant to the contract, the Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time when it was closed. The Portfolio invests
in futures contracts solely for the purpose of hedging its existing portfolio
securities, or securities the Portfolio intends to purchase, against
fluctuations in value caused by changes in prevailing market interest rates. The
use of futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the underlying
hedged assets, and the possible inability of counterparties to meet the terms of
their contracts. The summary of open financial futures contracts at August 31,
1998 is included in the Portfolio's Schedule of Investments which is included
elsewhere in this report.
SECURITIES TRANSACTIONS AND RELATED INCOME:
Securities transactions are accounted for on a trade date basis. Interest
income, including accretion of discount and amortization of premium, is accrued
52
<PAGE> 25
daily. Dividend income is recorded on the ex-dividend date. Realized gains and
losses on securities transactions are determined on the identified cost basis.
EXPENSES:
Expenses directly attributable to a Portfolio are charged to that Portfolio,
while general Trust expenses are allocated among the respective portfolios of
the Trust.
FEDERAL INCOME TAXES:
The Portfolio will be treated as a partnership for Federal income tax
purposes. As such, each investor in the Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that the
Portfolio will be managed in such a way that an investor will be able to satisfy
the requirements of the Internal Revenue Code applicable to regulated investment
companies.
NOTE 3 -- AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Portfolio has an Investment Advisory Agreement with Bank of America and
an Administration Agreement with PFPC.
As Adviser, Bank of America is responsible for managing the investment of
the assets of the Portfolio in conformity with the stated objectives and
policies of the Portfolio. Pursuant to the terms of the Investment Advisory
Agreement, Bank of America is entitled to a fee, which is accrued daily and
payable monthly, at an annual rate of 0.50% of the average daily net assets of
the Portfolio.
As Administrator, PFPC assists in supervising the operations of the
Portfolio. Pursuant to the terms of the Administration Agreement, PFPC is
entitled to a fee which is accrued daily and payable monthly, at an annual rate
of 0.05% of the Portfolio's average daily net assets.
For services provided to each of the portfolios constituting the Trust, each
Trustee receives an annual fee of $2,000 and a meeting fee of $500 per meeting,
except any trustee not serving on other boards in the complex and whose
residence is off-shore will receive $7,000 and $1,000, respectively.
A partner of Drinker Biddle & Reath LLP ("DBR") serves as Secretary of the
Trust. Legal fees earned by DBR are stated in the statement of operations.
Certain officers of the Trust are affiliated with PFPC. Such persons are not
paid directly by the Trust for serving in these capacities.
53
<PAGE> 26
NOTE 4 -- SECURITIES TRANSACTIONS
During the six months ended August 31, 1998, the Portfolio purchased and
sold portfolio securities, excluding short-term securities, in the following
amounts:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Total Common Stocks.................................. $255,730,563 $190,927,398
</TABLE>
54
<PAGE> 27
MASTER INVESTMENT TRUST SERIES I -- BLUE CHIP PORTFOLIO
- --------------------------------------------------------------------------------
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED ------------------------------------------------------------------------
AUGUST 31, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28, FEBRUARY 28,
1998 1998 1997 1996 1995 1994(a)
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Ratio of expenses to
average net
assets.............. 0.62%(c) 0.65% 0.62% 0.31% 0.17% 0.27%(c)
Ratio of net
investment income to
average net
assets.............. 0.91%(c) 1.11% 1.62% 2.16% 2.30% 1.97%(c)
Ratio of expenses to
average net
assets*............. (b) 0.70% 0.90% 0.90% 0.97% 1.07%(c)
Ratio of net
investment income to
average net
assets*............. (b) 1.06% 1.34% 1.57% 1.50% 1.17%(c)
Portfolio Turnover... 25% 67% 91% 108% 44% 86%
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred, the ratios would have been as indicated.
(a) For the period December 6, 1993 (commencement of operations) through
February 28, 1994.
(b) There were no waivers or reimbursements during the period.
(c) Annualized.
See Notes to Financial Statements.
55
