<PAGE>
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MASSMUTUAL INSTITUTIONAL FUNDS
- --------------------------------------------------------------------------------
[PHOTO APPEARS HERE]
MassMutual Indexed Equity Fund
Semiannual Report * August 31, 1998
<PAGE>
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Table of Contents
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Letter to Shareholders ................................................... 1
MassMutual Indexed Equity Fund
Financial Statements ................................................. 3
Notes to Financial Statements ........................................ 7
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments ............................................. 10
Financial Statements ................................................. 20
Notes to Financial Statements ........................................ 23
<PAGE>
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MassMutual Indexed Equity Fund - Letter to Shareholders
- --------------------------------------------------------------------------------
September 30, 1998
To Our
Shareholders
[PHOTO APPEARS HERE]
Stuart H. Reese
The MassMutual Indexed Equity Fund (the "Fund") commenced operations on March 1,
1998. The Fund invests all of its assets in the S&P 500 Index Master
Portfolio* (the "Master Portfolio"). The Master Portfolio has substantially
the same fundamental investment objective as the Fund. For the six-month period
ended August 31, 1998, MassMutual Indexed Equity Fund Class S shares realized a
total return of -8.30%. The Standard & Poor's 500 Index returned -8.08% over the
same six-month period. The Fund's Class S per share net asset value (NAV)
declined from $10.00 to $9.17.
After a solid performance in the first half of 1998, the equity market started
its tumble on July 21 when Federal Reserve Chairman Alan Greenspan, testifying
before the Senate Banking Committee, disappointed investors by not hinting at a
rate cut and instead warning that stocks were overvalued. Concerns on soft
earnings and troubles in Asia resurfaced to quickly cool the record-shattering
market. The July-August swoon in stock prices was largely attributable to
Asia-related concerns over earnings. Reflecting the toll that Asia has taken on
U.S. companies, operating profits for companies in the S&P 500 Index grew only
4.4% during the first quarter of 1998, the smallest growth since 1991. Much of
the damage, however, can be traced to falling demand for two products: oil and
semiconductors. The Asian impact on earnings has been highly concentrated in
certain areas, while other sectors such as financial services and
pharmaceuticals have seen little effect. Retailers, airlines, and producers of
consumer non-durables have been less impacted. Disappointing earnings reports
from the "nifty-fifty" companies like Boeing, Merck, Disney and Hewlett-Packard
pushed the market lower. All this led to a near record point decline of the S&P
500 Index from a 12-month high of 1186.75 to a close of 957.28 on August 31.
From another perspective, 85% of the earnings generated by the companies in the
S&P 500 Index come from U.S., Canada, and Europe. These regions are enjoying
stable economic growth, and while the translation of earnings from Canada and
Europe will be hurt by the strong U.S. dollar, the earnings engine is running
smoothly.
The five-year annualized total return of the S&P 500 Index for the period ended
August 31, 1998 was 18.25%. The consensus in the market is that the remainder of
1998 will be volatile with daily 100-150 point moves in the Dow becoming
commonplace.
/s/ Stuart H. Reese
Stuart H. Reese
President
MassMutual Institutional Funds
*S&P does not sponsor the Fund or the Master Portfolio, nor is it affiliated
in any way with Barclays Global Fund Advisors, the Master Portfolio's investment
adviser, the Master Portfolio or the Fund. "Standard & Poor's(R)," "S&P(R),"
"S&P 500(R)," and "Standard & Poor's 500(R)," are trademarks of McGraw-Hill,
Inc. and have been licensed for use by the Fund and the Master Portfolio. The
Fund and the Master Portfolio are not sponsored, endorsed, sold, or promoted by
the S&P and S&P makes no representation or warranty, express or implied,
regarding the advisability of investing in the Fund and the Master Portfolio.
S&P's only relationship to the Fund and the Master Portfolio is the licensing of
certain trademarks and trade names of S&P and of the S&P 500 Index. The S&P 500
Index is determined, composed and calculated by S&P without regard to the Fund
or the Master Portfolio.
1
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MassMutual Indexed Equity Fund - Letter to Shareholders (Continued)
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Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Institutional Funds Classes A, Y, S and
the Standard & Poor's 500 Index
MassMutual Institutional Funds
Total Return Year-to-date
3/1/98 - 8/31/98
Class A (8.60)%
Class Y (8.40)%
Class S (8.30)%
Standard & Poor's (8.08)%
500 Index
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost. Investors should note that the Fund is a professionally managed
mutual fund, while the Standard & Poor's 500 Index is unmanaged and does not
incur expenses, and cannot be purchased directly by investors.
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[LINE GRAPH APPEARS HERE]
Class A Class Y Class S S&P 500 Index
3/1/98 10,000 10,000 10,000 10,000
3/31/98 10,500 10,510 10,510 10,512
4/30/98 10,600 10,610 10,610 10,618
5/31/98 10,410 10,420 10,420 10,435
6/30/98 10,820 10,840 10,840 10,859
7/31/98 10,690 10,710 10,720 10,743
8/31/98 9,140 9,160 9,170 9,192
2
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MassMutual Indexed Equity Fund - Financial Statements
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Statement of Assets and Liabilities
<TABLE>
<CAPTION>
August 31, 1998
(Unaudited)
---------------
<S> <C>
Assets:
Investment in S&P 500 Index Master Portfolio, at value (Note 1) ......... $ 206,858,607
Receivable for Fund shares sold ......................................... 732,738
------------
Total assets ...................................................... 207,591,345
------------
Liabilities:
Payables for:
Fund shares redeemed ................................................. 1,196,274
Directors' fees and expenses (Note 3) ................................ 2,907
Affiliates (Note 3):
Administration fees ............................................... 69,606
Service fees ...................................................... 45
Accrued expenses and other liabilities .................................. 8,630
------------
Total liabilities ................................................. 1,277,462
------------
Net assets .............................................................. $ 206,313,883
============
Net assets consist of:
Paid-in capital ......................................................... $ 228,529,593
Undistributed net investment income ..................................... 1,319,640
Accumulated net realized loss on investments and closed futures contracts (367,489)
Net unrealized depreciation on investments and open futures contracts ... (23,167,861)
------------
$ 206,313,883
============
Net assets:
Class A ................................................................. $ 91,416
============
Class Y ................................................................. $ 97,677
============
Class S ................................................................. $ 206,124,790
============
Shares outstanding:
Class A ................................................................. 10,000
============
Class Y ................................................................. 10,660
============
Class S ................................................................. 22,473,627
============
Net asset value, offering price and
redemption price per share:
Class A ................................................................. $ 9.14
============
Class Y ................................................................. $ 9.16
============
Class S ................................................................. $ 9.17
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
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MassMutual Indexed Equity Fund - Financial Statements (Continued)
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Statement of Operations
<TABLE>
<CAPTION>
Six months ended
August 31, 1998
(Unaudited)
----------------
<S> <C>
Net investment income allocated from Master Portfolio:
Dividends ............................................................... $ 1,435,708
Interest ................................................................ 336,946
Expenses ................................................................ (53,181)
-----------
Total net investment income allocated from Master Portfolio ...... 1,719,473
-----------
Expenses:
Audit and legal fees .................................................... 5,756
Directors' fees (Note 3) ................................................ 12,282
Miscellaneous ........................................................... 2,874
-----------
20,912
Administration fees (Note 3):
Class A ......................................................... 407
Class Y ......................................................... 305
Class S ......................................................... 378,077
Service fees (Note 3):
Class A ......................................................... 132
-----------
Total expenses .................................................. 399,833
-----------
Net investment income ............................................ 1,319,640
-----------
Realized and unrealized gain (loss) allocated from Master Portfolio:
Net realized loss on investment transactions and closed futures contracts (367,489)
Net change in unrealized appreciation (depreciation) on investments and
open futures contracts (23,167,861)
-----------
Net realized and unrealized loss allocated from Master Portfolio . (23,535,350)
-----------
Net decrease in net assets resulting from operations .................... $(22,215,710)
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
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MassMutual Indexed Equity Fund - Financial Statements (Continued)
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Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Six months ended
August 31, 1998
(Unaudited)
----------------
<S> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income ............................................................................. $ 1,319,640
Net realized loss on investment transactions and closed futures contracts ......................... (367,489)
Net change in unrealized appreciation (depreciation) on investments and open futures contracts..... (23,167,861)
------------
Net decrease in net assets resulting from operations ........................................... (22,215,710)
------------
Net fund share transactions (Note 4):
Class A ........................................................................................... 100,000
Class Y ........................................................................................... 107,016
Class S ........................................................................................... 228,322,577
------------
Increase in net assets from net fund share transactions ........................................ 228,529,593
------------
Total increase in net assets ...................................................................... 206,313,883
Net assets:
Beginning of period ............................................................................... --
------------
End of period (including undistributed net investment income
of $1,319,640 ) ................................................................................ $ 206,313,883
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
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MassMutual Indexed Equity Fund - Financial Statements (Continued)
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Financial Highlights
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
Class A Class Y Class S
------- ------- -------
Six months ended Six months ended Six months ended
8/31/98 8/31/98 8/31/98
(Unaudited) (Unaudited) (Unaudited)
---------------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 10.00 $ 10.00 $ 10.00
---------------- ----------------- ------------------
Income (loss) from investment operations:
Net investment income 0.03 0.05 0.06
Net realized and unrealized gain (loss) (0.89) (0.89) (0.89)
---------------- ----------------- ------------------
Total income (loss) from investment operations (0.86) (0.84) (0.83)
---------------- ----------------- ------------------
Net asset value, end of period $ 9.14 $ 9.16 $ 9.17
================ ================= ==================
Total Return (8.60)% (8.40)% (8.30)%@
Ratios / Supplemental Data:
Net assets, end of period (000's) $91 $98 $206,125
Net expenses to average daily net assets 1.09%* 0.64%* 0.4290%*
Net investment income to average daily net assets 0.60%* 1.05%* 1.25%*
</TABLE>
* Annualized
@ Employee retirement benefit plans that invest plan assets in the
Separate Investment Accounts (SIAs) may be subject to certain charges
as set forth in their respective Plan Documents. Total return figures
would be lower for the periods presented if they reflected these
charges.
The accompanying notes are an integral part of the financial statements.
6
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MassMutual Indexed Equity Fund - Notes to Financial Statements (Unaudited)
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1. The Fund
MassMutual Indexed Equity Fund (the "Fund") commenced operations on March 1,
1998 and is a series of the MassMutual Institutional Funds (the "Trust"), an
open-end, management investment company registered under the Investment Company
Act of 1940, as amended (the "1940 Act"). The Fund seeks to achieve its
investment objective by investing all of its assets in the S&P 500 Index Master
Portfolio (the "Master Portfolio") of Master Investment Portfolio ("MIP"), an
open end, management investment company. The Master Portfolio has substantially
the same fundamental investment objective as the Fund. Barclays Global Fund
Advisors serves as investment advisor for the Master Portfolio. The financial
statements for the Master Portfolio, including its Schedule of Investments, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements. Only information with respect to the Fund and the
Master Portfolio is included in this report. The other series of the Trust are
reported in a separate report and are not included herein.
The Fund has three classes of shares: Class A, Class Y, and Class S. The
principal economic difference among the Classes is the level of service and
administration fees borne by the Classes. Class A shares also bear a Contingent
Deferred Sales Charge (See Note 3). These classes of shares are offered to
different types of investors, as outlined in the Fund's Prospectus. Class S
shares are offered only to separate investment account ("SIAs") of Massachusetts
Mutual Life Insurance Company ("MassMutual").
2. Significant Accounting Policies
The value of the Fund's investment in the Master Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (8.96% at August
31,1998). The performance of the Fund is directly affected by the performance of
the Master Portfolio. The following is a summary of significant accounting
policies followed consistently by the Fund in the preparation of the financial
statements in accordance with generally accepted accounting principles. The
preparation of the financial statements in accordance with generally accepted
accounting principles 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.
Investment Valuation
Valuation of securities by the Master Portfolio is discussed in Note 1 of the
Master Portfolio's Notes to Financial Statements which are included elsewhere in
this report.
Accounting for Investments
The Fund earns income, net of Master Portfolio expenses, daily based on its
investment in the Master Portfolio. All the net investment income, realized and
unrealized gain or loss of the Master Portfolio is allocated pro rata, based on
respective ownership interests, among the Fund and the other investors in Master
Portfolio at the time of such determination.
Federal Taxes
The Fund's policy is to comply with the provisions of subchapter M of the
Internal Revenue Code of 1986, as amended (the "Code"), applicable to a
regulated investment company. Under such provisions, the Fund will not be
subject to federal income taxes on its ordinary income and net realized capital
gain to the extent they are distributed to their shareholders. Therefore, no
Federal income tax provision is required.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any realized capital
gains of the Fund are declared and paid annually and at other times as may be
required to satisfy tax or regulatory requirements. Distributions to
shareholders are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. As a result, net
investment income and net realized gain on investment transactions for a
reporting period may differ from distributions during such period. Accordingly,
the Fund may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Fund.
7
<PAGE>
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MassMutual Indexed Equity Fund - Notes to Financial Statements (Continued)
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3. Administration Fees and other Transactions with Affiliates
Administration Fees
Under an administrative and shareholder services agreement between the Fund and
MassMutual. MassMutual provides certain administrative and shareholder services
and bears some class specific administrative expenses. In return for these
services, MassMutual receives an administrative services fee monthly based upon
the average daily net assets of the applicable class of shares of the Fund at
the following annual rates:
Class A .7688%
Class Y .5688%
Class S .3588%
Service Fees
OppenheimerFunds Distributor, Inc. ("OFDI") acts as distributor to the Fund. MML
Investor Services, Inc. ("MMLISI") serves as sub-distributor to the Fund.
MassMutual has a controlling interest in OFDI and MMLISI is a wholly owned
subsidiary of MassMutual. Pursuant to a Rule 12b-1 Plan adopted by the Fund,
Class A shares of the Fund pay a service fee (the "Service Fee") at the annual
rate of .25% of the Fund's average daily net assets attributable to the Class A
shares. The Fund's Administrator, MassMutual, receives the Service Fee and may
pay all or portion of them to brokers and other financial intermediaries,
including the Fund's Distributor and Sub-Distributor, for personal services
rendered to investors in Class A shares and/or maintenance of Class A
shareholder accounts.
Contingent Deferred Sales Charge
The Class A Contingent Deferred Sales Charge may be deducted from the proceeds
on any redemption made within twelve months of the date on which the investor
first purchased Class A shares of the Fund. If imposed, the Class A Contingent
Deferred Sales Charge will be equal to 1% of the lesser of: (1) the aggregate
net asset value of the redeemed shares (not including shares purchased by
reinvestment of dividends or capital gains distributions); and (2) the original
offering price (which is the original net asset value of the redeemed shares).
No Class A Contingent Deferred Sales Charge is charged on exchange of shares, as
described by the Trust's Prospectus. However, if the shares acquired by exchange
are redeemed with 12 months of the initial purchase of the exchanged shares, the
Class A Contingent Deferred Sales Charge will apply.
Other
Certain officers and directors of the Fund are also officers of MassMutual. The
compensation of unaffiliated directors of the Fund is borne by the Fund.
At August 31, 1998, MassMutual or separate investment accounts thereof owned
100% of the outstanding shares of Class A and Class S and 94% of the outstanding
shares of Class Y.
8
<PAGE>
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MassMutual Indexed Equity Fund - Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
4. Shares of Beneficial Interest
The Fund is authorized to issue an unlimited number of shares. Changes in shares
outstanding were as follows:
Class A
Six months ended
August 31, 1998
Shares Amount
------ ------
Sold 10,000 $100,000
------------------ -----------------
Net increase 10,000 $100,000
================== =================
Class Y
Six months ended
August 31, 1998
Shares Amount
------ ------
Sold 10,660 $107,016
------------------ -----------------
Net increase 10,660 $107,016
================== =================
Class S
Six months ended
August 31, 1998
Shares Amount
------ ------
Sold 26,888,011 $274,844,999
Redeemed (4,414,384) (46,522,422)
------------------ -----------------
Net increase 22,473,627 $228,322,577
================== =================
9
<PAGE>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS-97.23%
ADVERTISING-0.10%
Omnicom Group 47,683 $ 2,270,903
-----------
TOTAL ADVERTISING
- VALUE $ 2,270,903
- COST $ 1,915,517
AEROSPACE & DEFENSE-1.44%
Allied Signal Inc 165,531 $ 5,679,748
Boeing Co 293,540 9,081,394
Briggs & Stratton Corp 7,318 269,394
General Dynamics Corp 36,926 1,756,293
Lockheed Martin Corp 57,061 4,989,271
Northrop Grumman Corp 19,543 1,238,538
Rockwell International Corp 58,867 2,133,929
Textron Inc 48,199 3,024,487
United Technologies Corp 68,350 4,959,647
-----------
TOTAL AEROSPACE & DEFENSE
- VALUE $33,132,701
- COST $29,281,270
AIRLINES-0.47%
AMR Corp 53,554 $ 2,918,693
Delta Air Lines Inc 21,958 2,239,716
FDX Corp# 43,035 2,154,440
Southwest Airlines Co 97,032 1,728,383
USAirways Group Inc# 29,636 1,726,297
-----------
TOTAL AIRLINES
- VALUE $10,767,529
- COST $ 8,364,122
APPAREL-0.43%
CVS Corp 112,230 $ 4,082,366
Fruit of the Loom Inc Class A# 21,551 483,551
Liz Claiborne Inc 19,491 555,494
Nike Inc Class B 85,234 2,956,554
Reebok International Ltd# 16,540 267,741
Russell Corp 10,649 336,775
VF Corp 35,770 1,354,789
-----------
TOTAL APPAREL
- VALUE $10,037,270
- COST $ 8,778,811
AUTO PARTS & EQUIPMENT-0.67%
Cooper Tire & Rubber Co 23,034 $ 368,544
Dana Corp 48,018 1,881,710
Deluxe Corp 23,823 690,867
Eaton Corp 22,471 1,315,958
Genuine Parts Co 52,513 1,644,314
Goodyear Tire & Rubber Co 45,834 2,245,866
Illinois Tool Works Inc 73,157 3,543,542
ITT Industries Inc 34,697 1,045,247
Navistar International Corp# 21,104 443,184
PACCAR Inc 22,817 935,497
Pep Boys-Manny Moe & Jack 18,510 271,866
TRW Inc 36,031 1,544,829
-----------
TOTAL AUTO PARTS &
EQUIPMENT
- VALUE $15,931,424
- COST $14,443,066
AUTOMOBILES-1.53%
Chrysler Corp 190,202 $ 8,487,764
Ford Motor Co 355,722 15,651,768
General Motors Corp Class A 195,827 11,309,009
-----------
TOTAL AUTOMOBILES
- VALUE $35,448,541
- COST $25,251,369
BANK & FINANCE-11.42%
Ahmanson (H F) & Co 32,104 $ 1,711,545
American Express Corp 136,251 10,627,578
Associates First Capital Corp 101,625 6,008,578
Banc One Corp 205,778 7,819,564
Bank of New York Inc 220,984 5,345,051
BankAmerica Corp 199,870 12,804,172
BankBoston Corp 85,324 3,045,000
Bankers Trust Corp 28,701 2,132,843
BB&T Corp 83,436 2,351,852
Bear Stearns Co Inc 33,209 1,226,657
Capital One Financial Corp 19,141 1,674,838
Chase Manhattan Bank 250,048 13,252,544
Citicorp 132,197 14,293,801
Comerica Inc 46,131 2,410,345
Countrywide Credit Industries Inc 31,790 1,190,138
Equifax Inc 44,097 1,570,956
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Federal Home Loan Mortgage Corp 198,600 $ 7,844,700
Federal National Mortgage Assoc 303,801 17,259,694
Fifth Third Bancorp 77,071 4,099,214
First Chicago NBD Corp 85,318 5,407,028
First Union Corp 283,860 13,767,210
Fleet Financial Group Inc 83,240 5,457,423
Franklin Resources Inc 74,154 2,391,467
Golden West Financial 16,720 1,272,810
Household International Inc 142,170 5,251,404
Huntington Bancshares Inc 61,550 1,400,263
Keycorp 128,908 3,287,154
Lehman Brothers Holdings 34,790 1,369,856
MBNA Corp 147,057 3,455,840
Mellon Bank Corp 74,787 3,888,924
Mercantile Bancorp 44,439 1,952,539
Merrill Lynch & Co Inc 101,301 6,685,866
MGIC Investment Corp 33,371 1,384,897
Morgan (J P) & Co Inc 52,106 4,845,858
Morgan Stanley Dean Witter 175,983 10,218,013
National City Corp 96,358 5,661,033
NationsBank Corp 280,620 15,995,326
Northern Trust Corp 32,706 1,823,360
Norwest Corp 221,507 6,589,833
PNC Bank Corp 89,504 3,848,672
Regions Financial Corp 96,740 3,349,623
Republic New York Corp 32,088 1,323,630
Ryder System Inc 22,592 532,324
Schwab (Charles) Corp 77,888 2,326,904
SLM Holding Corp 49,687 1,782,521
State Street Boston Corp 47,194 2,457,038
Summit Bancorp 51,628 1,761,806
SunTrust Banks Inc 61,918 3,467,408
Synovus Financial Corp 77,022 1,400,838
U.S. Bancorp 216,120 7,375,095
Wachovia Corp 60,330 4,422,943
Washington Mutual Inc 113,372 3,627,904
Wells Fargo & Co 25,408 7,161,880
-------------
TOTAL BANK & FINANCE
- VALUE $ 263,613,760
- COST $ 202,484,993
BASIC INDUSTRIES-1.23%
ASARCO Inc 12,263 195,442
Avery-Dennison Corp 34,425 1,848,192
Baker Hughes Inc 93,016 1,697,542
Bemis Co 15,479 555,309
Boise Cascade Corp 16,428 401,459
Champion International Corp 28,193 930,369
Cyprus Amax Minerals 27,269 250,534
Dover Corp 65,118 1,774,466
Fort James Corp 61,431 1,789,178
Georgia-Pacific Corp 27,137 1,163,499
Harnischfeger Industries Inc 14,128 226,931
Homestake Mining Co 59,567 528,657
Ikon Office Solutions Inc 39,452 219,452
Inco Ltd 48,906 409,588
Louisiana-Pacific Corp 32,011 604,208
Mead Corp 30,680 839,865
Minnesota Mining & Manufacturing Co 119,852 8,209,862
NACCO Industries Inc Class A 2,426 231,077
Newmont Mining Corp 45,722 625,820
Potlatch Corp 8,446 277,662
Sealed Air Corp# 24,187 870,732
Stone Container Corp# 28,996 302,646
Union Camp Corp 20,381 755,371
Westvaco Corp 29,899 627,879
Weyerhauser Co 58,599 2,201,125
Willamette Industries Inc 32,534 801,150
-------------
TOTAL BASIC INDUSTRIES
- VALUE $ 28,338,015
- COST $ 34,496,891
BEVERAGES-3.01%
Anheuser-Busch Inc 143,659 $ 6,626,271
Coca-Cola Co 722,817 47,073,457
Coors (Adolph) Co Class B 10,757 443,726
Diageo PLC ADR (UK) 17 643
Pepsico Inc 436,973 12,098,690
Seagrams Co Ltd 104,377 3,222,640
-------------
TOTAL BEVERAGES
- VALUE $ 69,465,427
- COST $ 49,006,513
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
BROADCASTING-1.01%
Clear Channel Communications Inc 72,442 $ 3,259,890
Kingworld Productions 21,594 453,474
MediaOne Group Inc# 178,050 7,300,050
Tele-Communications Inc Class A# 148,679 4,906,407
Tribune Co 36,041 2,322,392
Viacom Inc Class B# 103,615 5,141,894
------------
TOTAL BROADCASTING
- VALUE $ 23,384,107
- COST $ 15,105,005
BUILDING MATERIALS &
SERVICES-0.40%
Cooper Industries Inc 35,499 $ 1,510,926
Corning Inc 67,759 1,668,565
Owens Corning Fiberglass Corp 15,591 546,659
Owens Illinois Inc# 45,257 1,411,453
PPG Industries Inc 52,260 2,655,461
Snap-On Inc 17,744 465,780
Stanley Works 26,204 1,031,783
------------
TOTAL BUILDING MATERIALS &
SERVICES
- VALUE $ 9,290,627
- COST $ 9,867,902
BUSINESS SERVICES-0.22%
Cendant Corp# 249,382 $ 2,883,479
Dun & Bradstreet Corp 49,942 1,173,637
Ecolab Inc 37,764 1,050,311
------------
TOTAL BUSINESS SERVICES
- VALUE $ 5,107,427
- COST $ 7,947,131
CHEMICALS-2.27%
Air Products & Chemicals Inc 69,090 $ 2,111,563
Clorox Co 30,311 2,923,117
Dow Chemical Co 66,606 5,195,268
Du Pont (E I) De Nemours 331,932 19,148,327
Eastman Chemical Co 23,000 1,185,938
FMC Corp# 10,719 554,708
Goodrich (B F) Co 21,055 569,801
Great Lakes Chemical Corp 17,512 685,157
Hercules Inc 28,154 719,687
International Flavor & Fragrances 31,977 1,239,109
Monsanto Co 174,041 9,517,867
Morton International Inc 38,062 846,880
Nalco Chemical Co 19,418 561,908
Praxair Inc 46,198 1,657,353
Rohm & Haas Co 18,017 1,555,092
Rubbermaid Inc 43,816 1,114,570
Sigma-Aldrich Corp 29,422 816,461
Union Carbide Corp 39,916 1,604,124
W.R. Grace Co# 21,646 278,692
------------
TOTAL CHEMICALS
- VALUE $ 52,285,622
- COST $ 41,564,909
COMPUTER SOFTWARE-4.88%
3Com Corp# 104,053 $ 2,464,755
Adobe Systems Inc 19,936 523,320
Autodesk Inc 13,622 318,414
Automatic Data Processing 87,809 5,597,824
Bay Networks Inc# 64,338 1,930,140
Ceridian Corp# 21,204 1,028,394
Computer Associates International Inc 160,145 4,323,915
Computer Sciences Corp 45,694 2,584,567
Electronic Data Systems Corp 143,773 4,816,396
First Data Corp 125,931 2,605,198
HBO & Co 123,852 2,631,855
IMS Health Inc 47,642 2,620,310
Microsoft Corp 722,064 69,273,015
Novell Inc# 102,925 977,788
Oracle Systems Corp# 288,337 5,748,719
Parametric Technology Corp 75,622 775,126
Sun Microsystems Inc# 110,761 4,388,905
------------
TOTAL COMPUTER SOFTWARE
- VALUE $112,608,641
- COST $ 70,577,710
COMPUTER SYSTEMS-5.09%
Apple Computer Inc# 38,905 $ 1,213,350
Cabletron Systems Inc# 46,284 323,988
Cisco Systems Inc 300,012 24,563,483
Compaq Computer Corp 484,925 13,547,592
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Data General Corp# 14,271 $ 107,033
Dell Computer Corp 188,542 18,854,200
EMC Corp 145,447 6,572,386
Gateway 2000 Inc# 45,481 2,151,820
Harris Corp 23,429 746,799
Hewlett-Packard Co 305,138 14,818,264
International Business Machine Corp 276,292 31,117,387
Seagate Technology Inc# 71,372 1,249,010
Shared Medical System Corp 7,773 414,884
Silicon Graphics Inc# 54,959 498,066
Unisys Corp# 73,162 1,312,343
------------
TOTAL COMPUTER SYSTEMS
- VALUE $117,490,605
- COST $ 62,768,592
CONTAINER & PACKAGING-0.33%
Ball Corp 8,790 $ 328,526
Crown Cork & Seal Co 37,617 1,231,957
International Paper Co 88,752 3,283,824
Temple-Inland Inc 16,610 744,336
Tenneco Inc 50,027 1,585,231
Tupperware Corp 17,809 336,145
------------
TOTAL CONTAINER &
PACKAGING
- VALUE $ 7,510,019
- COST $ 9,159,695
ELECTRICAL EQUIPMENT-3.87%
Aeroquip-Vickers Inc 8,236 $ 332,014
General Electric Co 954,607 76,368,560
Grainger (W W) Inc 29,090 1,139,964
Masco Corp 97,098 2,233,254
Motorola Inc 175,136 7,541,794
National Service Industries Inc 12,574 468,382
Raychem Corp 25,057 726,653
Thomas & Betts Corp 16,132 549,496
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 89,360,117
- COST $ 54,454,921
ELECTRONICS-3.69%
Advanced Micro Devices# 41,500 $ 547,281
AMP Inc 64,530 2,302,914
Applied Materials Inc 107,367 2,637,202
CBS Corp 208,684 5,425,784
Commscope Inc# 2 27
EG&G Inc 13,229 310,055
Emerson Electric Co 130,049 7,412,793
General Instrument Corp# 43,305 860,687
General Signal Corp 14,530 533,978
Honeywell Inc 37,301 2,331,313
Intel Corp 496,963 35,377,554
Johnson Controls Inc 24,613 1,053,744
KLA Instruments Corp# 24,802 527,043
LSI Logic Corp# 41,348 506,513
Micron Technology Inc# 61,946 1,409,263
National Semiconductor# 48,114 439,040
Perkin-Elmer Corp 14,183 820,841
Pitney Bowes Inc 80,056 3,972,779
Raytheon Co Class B 99,355 4,533,072
Tektronix Inc 14,817 225,033
Texas Instruments Inc 114,506 5,460,505
Xerox Corp 95,646 8,398,914
------------
TOTAL ELECTRONICS
- VALUE $ 85,086,335
- COST $ 62,522,153
ENERGY & RELATED-7.40%
Amerada Hess Corp 26,842 $ 1,318,613
Amoco Corp 285,414 12,932,822
Anadarko Petroleum Corp 35,204 1,012,115
Apache Corp 28,122 643,291
Ashland Inc 21,979 1,001,418
Atlantic Richfield Corp 94,109 5,458,322
Burlington Resources Inc 51,614 1,525,839
Chevron Corp 192,534 14,259,549
Coastal Corp 62,330 1,620,580
Columbia Gas System Inc 24,338 1,210,816
Consolidated Natural Gas Co 27,952 1,224,647
Dresser Industries Inc 51,403 1,313,989
Eastern Enterprises 5,890 233,023
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Enron Corp 96,317 $ 4,075,413
Exxon Corp 717,008 46,919,211
Halliburton Co 76,912 2,042,975
Helmerich & Payne Inc 14,742 239,558
Kerr-McGee Corp 13,879 536,076
Mobil Corp 230,117 15,906,838
NICOR Inc 14,079 546,441
Occidental Petroleum Corp 107,663 1,991,766
ONEOK Inc 9,034 271,585
Oryx Energy Co# 30,997 385,525
Pennzoil Co 13,915 497,461
Peoples Energy Corp 10,313 341,618
Phillips Petroleum Co 77,111 3,147,093
Rowan Co Inc# 25,369 234,663
Royal Dutch Petroleum Corp 629,234 25,012,052
Schlumberger Ltd 145,942 6,394,084
Sonat Offshore Drilling Co 32,199 871,385
Sun Co Inc 27,598 912,459
Texaco Inc 160,615 8,924,171
Union Pacific Resources Group 74,129 634,730
Unocal Corp 72,190 2,260,449
USX-Marathon Group 84,704 2,202,304
Williams Co Inc 120,820 2,778,860
-------------
TOTAL ENERGY & RELATED
- VALUE $ 170,881,741
- COST $ 142,657,892
ENGINEERING &
CONSTRUCTION-0.14%
Armstrong World Industries Inc 11,921 $ 572,208
Centex Corp 17,434 616,728
Fleetwood Enterprises Inc 10,605 354,605
Fluor Corp 24,453 967,422
Foster Wheeler Corp 11,932 146,913
Kaufman & Broad Home Corp 11,355 242,713
Pulte Corp 12,854 371,159
TOTAL ENGINEERING &
CONSTRUCTION
- VALUE $ 3,271,748
- COST $ 3,486,520
ENTERTAINMENT & LEISURE-1.58%
Brunswick Corp 29,173 $ 435,772
Disney (Walt) Co 599,824 16,457,671
Harrah's Entertainment Inc# 29,564 426,830
Hasbro Inc 39,176 1,226,699
Mattel Inc 85,265 2,760,455
Mirage Resorts Inc# 52,654 783,228
Polaroid Corp 13,184 370,800
Time Warner Inc 173,049 13,908,813
-------------
TOTAL ENTERTAINMENT &
LEISURE
- VALUE $ 36,370,268
- COST $ 27,895,425
ENVIRONMENTAL CONTROL-0.40%
Browning-Ferris Industries Inc 56,767 $ 1,844,928
Waste Management Inc# 165,395 7,298,070
-------------
TOTAL ENVIRONMENTAL
CONTROL
- VALUE $ 9,142,998
- COST $ 9,704,534
FOOD & RELATED-4.00%
Albertson's Inc 72,025 $ 3,641,764
American Stores Co 80,278 2,328,062
Archer-Daniels-Midland Co 176,028 2,640,425
Bestfoods 84,400 4,235,825
Brown-Forman Corp Class B 20,228 1,213,680
Campbell Soup Co 133,824 6,741,364
ConAgra Inc 139,476 3,452,031
Darden Restaurants Inc 44,329 687,100
General Mills Inc 46,322 3,031,196
Great Atlantic & Pacific Tea Co 11,060 263,366
Harcourt General Inc 20,804 1,010,294
Heinz (H J) Co 107,202 5,715,207
Hershey Foods Corp 41,941 2,935,870
Kellogg Co 120,553 3,676,867
Kroger Co# 74,781 3,365,145
McDonald's Corp 202,127 11,331,745
Pioneer Hi Bred International Inc 71,664 2,418,660
Quaker Oats Co 40,598 2,156,769
Ralston-Purina Group 94,566 2,488,268
Sara Lee Corp 138,675 6,275,044
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Super Value Inc 35,338 $ 717,803
Sysco Corp 99,756 2,013,824
Tricon Global Restaurants# 44,559 1,651,468
Unilever NV (Netherlands) 187,912 11,908,923
UST Inc 53,937 1,409,104
Wendy's International Inc 38,543 773,269
Winn-Dixie Stores Inc 43,593 1,623,839
Wrigley (W M) Jr Co 34,143 2,646,083
-------------
TOTAL FOOD & RELATED
- VALUE $ 92,352,995
- COST $ 66,025,946
FURNITURE & APPLIANCES-0.10%
Maytag Corp 27,768 $ 1,197,495
Whirlpool Corp 22,028 1,093,140
-------------
TOTAL FURNITURE &
APPLIANCES
- VALUE $ 2,290,635
- COST $ 1,865,140
HEALTHCARE-0.36%
Cardinal Health Inc 39,084 $ 3,419,850
Healthsouth Corp# 123,311 2,335,202
St Jude Medical Inc# 24,427 538,921
United Healthcare Corp 55,260 1,996,268
-------------
TOTAL HEALTHCARE
- VALUE $ 8,290,241
- COST $ 9,078,261
HOSPITAL & MEDICAL SUPPLIES-
2.56%
ALZA Corp 24,983 $ 899,388
Bard (C R) Inc 16,650 545,288
Bausch & Lomb Inc 16,191 685,082
Baxter International Inc 82,170 4,375,553
Becton Dickinson & Co 71,534 2,382,976
Biomet Inc 32,730 879,619
Boston Scientific Corp# 57,090 3,953,483
Columbia/HCA Healthcare Corp 189,830 4,283,040
Guidant Corp 44,232 2,731,326
Johnson & Johnson 394,650 27,230,850
Mallinckrodt Group Inc 21,361 488,633
Manor Care Inc 18,556 445,344
Medtronic Inc 137,459 7,061,956
Tenet Healthcare Corp# 89,910 2,320,802
United States Surgical 22,101 882,659
-------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
- VALUE $ 59,165,999
- COST $ 40,659,343
HOUSEHOLD PRODUCTS-2.55%
Alberto-Culver Co Class B 16,644 $ 332,880
Avon Products Inc 38,683 2,432,194
Colgate-Palmolive Co 86,723 6,254,896
Gillette Co 328,710 13,518,199
Kimberly-Clark Corp 163,075 6,217,234
Procter & Gamble Co 393,837 30,128,531
-------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 58,883,934
- COST $ 39,663,317
INSURANCE-4.68%
Aetna Inc 43,500 $ 2,618,156
Allstate Corp 245,668 9,212,550
American General Corp 74,435 4,782,449
American International Group Inc 308,540 23,853,960
Aon Corp 49,190 3,077,449
Chubb Corp 49,888 3,118,000
CIGNA Corp 64,990 3,781,606
Cincinnati Financial Corp 48,341 1,625,466
Conseco Inc 91,761 2,534,898
General Re Corp 22,930 4,757,975
Hartford Financial Services Group 69,428 3,106,903
Humana Inc# 48,136 625,768
Jefferson-Pilot Corp 31,198 1,770,487
Lincoln National Corp 29,977 2,578,022
Loews Corp 33,713 2,844,534
Marsh & McLennan Companies Inc 74,808 3,628,188
MBIA Inc 28,714 1,611,573
Progressive Corp Ohio 21,272 2,072,691
Provident Co Inc 36,542 1,315,512
Providian Financial Corp 27,812 1,785,183
SAFECO Corp 41,265 1,676,391
St Paul Co 67,801 2,072,168
Sunamerica Inc 57,254 3,546,170
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Torchmark Corp 40,942 $ 1,463,677
Transamerica Corp 18,422 1,889,406
Travelers Inc 336,508 14,932,524
UNUM Corp 40,683 1,790,052
-------------
TOTAL INSURANCE
- VALUE $ 108,071,758
- COST $ 77,221,721
LODGING-0.16%
Hilton Hotels Corp 73,345 $ 1,521,909
Marriott International Inc Class A 74,840 2,100,197
-------------
TOTAL LODGING
- VALUE $ 3,622,106
- COST $ 3,011,315
MACHINERY-0.61%
Black & Decker Corp 27,766 $ 1,155,760
Case Corp 21,998 593,946
Caterpillar Inc 109,135 4,604,133
Cincinnati Milacron Inc 11,713 226,939
Cummins Engine Co Inc 11,080 450,818
Deere & Co 73,204 2,411,157
Ingersoll-Rand Co 48,600 1,931,850
McDermott International Inc 17,786 356,832
Pall Corp 36,837 755,159
Parker Hannifin Corp 32,620 945,980
Thermo Electron Corp# 46,592 757,120
TOTAL MACHINERY
- VALUE $ 14,189,694
- COST $ 14,606,791
MANUFACTURING-0.41%
Tyco International Ltd 170,953 $ 9,487,892
-------------
TOTAL MANUFACTURING
- VALUE $ 9,487,892
- COST $ 7,027,843
METAL FABRICATORS-0.61%
Alcan Aluminum Ltd 66,723 $ 1,267,737
Allegheny Teledyne Inc 57,357 863,940
Aluminum Co of America 54,874 3,285,581
Armco Inc# 31,439 129,686
Barrick Gold Corp 109,378 1,421,914
Battle Mountain Gold Co 67,386 206,370
Bethlehem Steel Corp# 37,437 269,078
Crane Co 13,436 540,799
Engelhard Corp 42,237 776,105
Freeport McMoRan Inc 56,333 654,871
Nucor Corp 25,808 927,475
Phelps Dodge Corp 17,172 768,447
Placer Dome Inc 72,356 583,370
Reynolds Metals Co 21,673 1,038,949
Timken Co 18,440 335,378
USX-U.S. Steel Group 25,225 528,148
Worthington Industries Inc 28,346 368,498
-------------
TOTAL METAL FABRICATORS
- VALUE $ 13,966,346
- COST $ 19,809,487
PHARMACEUTICALS-9.06%
Abbott Laboratories 452,662 $ 17,427,487
Allergan Inc 19,048 900,018
American Home Products Corp 384,444 19,270,256
Amgen Inc# 77,021 4,688,653
Bristol-Myers Squibb Co 291,798 28,559,729
Lilly (Eli) & Co 325,535 21,322,543
Merck & Co Inc 351,327 40,731,974
Millipore Corp 12,823 278,099
Pfizer Inc 382,567 35,578,731
Pharmacia and Upjohn Inc 148,774 6,183,419
Schering-Plough Corp 214,896 18,481,056
Warner Lambert Co 239,707 15,640,882
-------------
TOTAL PHARMACEUTICALS
- VALUE $ 209,062,847
- COST $ 103,110,618
PUBLISHING-0.96%
American Greetings Corp Class A 21,355 $ 805,818
Comcast Corp Class A 108,055 4,038,556
Donnelley (R R) & Sons Co 42,569 1,543,126
Dow Jones & Co Inc 28,163 1,402,869
Gannett Co Inc 83,214 4,909,626
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Interpublic Group Co Inc 39,978 $ 2,278,718
Knight-Ridder Inc 23,290 1,109,186
McGraw-Hill Inc 28,963 2,208,429
Meredith Corp 15,407 517,097
Moore Corp Ltd 25,970 248,338
New York Times Co Class A 56,162 1,628,698
Times Mirror Co Class A 25,996 1,486,646
-------------
TOTAL PUBLISHING
- VALUE $ 22,177,107
- COST $ 14,770,160
RETAIL & RELATED-5.50%
AutoZone Inc# 44,582 $ 1,156,335
Circuit City Stores Inc 28,858 890,991
Consolidated Stores Corp# 31,524 993,006
Costco Co Inc# 62,941 2,962,161
Dayton-Hudson Corp 128,192 4,614,912
Dillards Inc Class A 32,516 938,900
Dollar General Corp 42,795 1,150,116
Eastman Kodak Co 95,256 7,441,875
Federated Department Stores Inc# 61,534 2,680,575
Fred Myer Inc 43,771 1,720,747
Gap Inc 116,077 5,927,182
Home Depot Inc 429,496 16,535,596
Jostens Inc 11,308 224,747
K Mart Corp# 143,097 1,824,487
Kohls Corp 46,219 2,100,076
Limited Inc 72,491 1,513,250
Longs Drug Stores Corp 11,262 384,316
Lowe's Co Inc 102,626 3,598,324
May Department Stores Co 67,826 3,815,213
Newell Co 46,564 2,223,431
Nordstrom Inc 45,306 1,356,348
Penney (J C) Co Inc 73,245 3,630,205
Rite Aid Corp 75,624 2,736,644
Sears Roebuck & Co 114,972 5,224,040
Sherwin Williams Co 50,700 1,210,463
Tandy Corp 30,305 1,653,517
TJX Companies Inc 94,504 2,108,621
Toys R Us Inc# 83,145 1,543,379
Venator Group Inc# 39,479 357,779
Walgreen Co 145,262 5,592,587
WalMart Stores Inc 659,020 38,717,425
-------------
TOTAL RETAIL & RELATED
- VALUE $ 126,827,248
- COST $ 83,396,990
SERVICES-0.27%
Block (H R) Inc 30,680 $ 1,200,355
Public Service Enterprise Group 68,041 2,492,002
Service Corp International 73,995 2,506,581
-------------
TOTAL SERVICES
- VALUE $ 6,198,938
- COST $ 4,946,527
TELECOMMUNICATIONS-9.14%
Airtouch Communications# 167,903 $ 9,444,544
Alltel Corp 80,519 3,633,420
Ameritech Corp 321,187 15,135,937
Andrew Corp# 26,084 386,369
Ascend Communications Inc# 56,580 1,980,300
AT & T Corp 531,112 26,622,004
Bell Atlantic Corp 455,830 20,113,499
BellSouth Corp 290,918 19,946,065
Frontier Corp 48,204 1,464,197
GTE Corp 281,026 14,051,300
Lucent Technologies Inc 384,524 27,253,138
MCI Communications Corp 212,259 10,612,950
NEXTEL Communications Class A# 77,162 1,393,739
Northern Telecom Ltd 152,769 7,294,720
SBC Communication Inc 537,890 20,439,820
Scientific-Atlanta Inc 23,111 408,776
Sprint Corp 126,150 8,459,934
Tellabs Inc# 56,685 2,394,941
U.S. West Inc 146,695 7,628,140
WorldCom Inc# 302,448 12,381,465
-------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 211,045,258
- COST $ 142,231,327
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
TEXTILES-0.01%
Springs Industries Inc Class A 5,838 $ 193,019
--------------
TOTAL TEXTILES
- VALUE $ 193,019
- COST $ 239,539
TOBACCO-1.34%
Fortune Brands Inc 50,394 $ 1,388,985
Philip Morris Co Inc 711,525 29,572,758
--------------
TOTAL TOBACCO
- VALUE $ 30,961,743
- COST $ 21,678,583
TRANSPORTATION-0.59%
Burlington Northern Santa Fe 45,856 $ 4,267,474
CSX Corp 63,960 2,414,490
Laidlaw Inc Class B 96,132 829,139
Norfolk Southern Corp 110,585 3,117,115
Union Pacific Corp 72,452 2,884,495
--------------
TOTAL TRANSPORTATION
- VALUE $ 13,512,713
- COST $ 13,503,436
UTILITIES-2.74%
Ameren Corp 40,237 $ 1,591,876
American Electric Power Inc 55,646 2,517,982
Baltimore Gas & Electric Co 43,400 1,337,263
Carolina Power & Light Co 44,097 1,898,927
Central & South West Corp 62,265 1,626,673
Cinergy Corp 46,233 1,606,597
Consolidated Edison Inc 68,915 3,260,541
Dominion Resources Inc 56,755 2,365,974
DTE Energy Co 42,600 1,794,525
Duke Power Co 105,510 6,581,186
Edison International 111,530 3,171,634
Entergy Corp 71,471 2,059,258
FirstEnergy Corp 67,527 1,949,842
FPL Group Inc 53,398 3,554,304
GPU Inc 37,253 1,399,316
Houston Industries Inc 83,294 2,399,908
Niagara Mohawk Power Corp# 54,895 850,873
Northern States Power Co 43,582 1,154,923
Pacificorp 86,963 1,962,103
PECO Energy Co 65,066 2,228,511
PG & E Corp 111,632 3,586,178
PP & L Resources Inc 48,620 1,145,609
Sempra Energy# 70,084 1,782,764
Southern Co 202,478 5,694,694
Texas Utilities Co 81,856 3,478,880
Unicom Corp 63,541 2,263,648
--------------
TOTAL UTILITIES
- VALUE $ 63,263,989
- COST $ 50,052,177
TOTAL COMMON STOCKS
- VALUE $2,244,360,287
- COST $1,604,633,462
The accompanying notes are an integral part of the financial statements.
18
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Portfolio of Investments - August 31, 1998 (Unaudited) - Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Interest Maturity Principal/
Security Name Rate Date Shares Value
- ------------- ---- ---- ------ -----
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-6.68%
CASH EQUIVALENTS-2.86%
Dreyfus Institutional Money Market Fund## 1,842,547 $ 1,842,547
Janus Institutional Money Market Fund## 16,600,000 16,600,000
Merrimac Cash Fund-Premium Class## 47,600,000 47,600,000
---------------
$ 66,042,547
REPURCHASE AGREEMENTS-0.83%
Goldman Sachs Repurchase Agreements,
dated 8/31/98, due 9/02/98, with a maturity
value of $19,009,168 and an effective yield
of 5.79%, collateralized by a Federal Home
Loan Mortgage Corporation obligation and a
Federal National Mortgage Association obligation
with rates ranging from 6.00% to 6.60%, with
maturity dates ranging from 7/01/06 to 6/01/36
and with an aggregate market value of
$19,380,000.## $19,000,000 $ 19,000,000
---------------
U.S. TREASURY BILLS-2.99%
U.S. Treasury Bills 4.37%(*) 09/10/98 $ 7,708,000 $ 7,698,488
U.S. Treasury Bills 4.80%(*) 10/08/98 4,462,000 4,440,127
U.S. Treasury Bills 4.80%(*) 10/22/98 9,740,000 9,674,323
U.S. Treasury Bills 4.86%(*) 10/15/98 15,577,000 15,485,236
U.S. Treasury Bills 5.23%(*) 09/17/98 26,274,000 26,217,012
U.S. Treasury Bills 5.28%(*) 09/03/98 5,553,000 5,551,478
---------------
$ 69,066,664
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 154,109,211
- COST $ 154,105,840
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,758,739,302)(**) (Notes 1 and 3) 103.91% $ 2,398,469,498
Other Assets and Liabilities, Net (3.91)% (90,244,207)
----------- ---------------
TOTAL NET ASSETS 100.00% $ 2,308,225,291
=========== ===============
</TABLE>
# Non-income earning securities.
## Represents collateral received from securities lending transactions.
See Note 4.
(*) Yield to Maturity.
(**)Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
Gross Unrealized Appreciation $716,470,198
Gross Unrealized Depreciation (76,740,002)
------------
Net Unrealized Appreciation $639,730,196
============
The accompanying notes are an integral part of these financial statements.
19
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 1998 (Unaudited)
ASSETS
Investments:
In securities, at market value (see cost below) (Note 1) $ 2,398,469,498
Cash 180,356
Receivables:
Investment sold 811,564
Dividends and interest 4,022,757
-----------------
Total Assets 2,403,484,175
-----------------
LIABILITIES
Payables:
Variation margin on futures contracts 5,030,126
Investment securities purchased 4,859,056
Collateral for securities loaned (Note 4) 85,042,547
Due to BGI (Note 2) 327,155
-----------------
Total Liabilities 95,258,884
-----------------
TOTAL NET ASSETS $ 2,308,225,291
=================
INVESTMENTS AT COST $ 1,758,739,302
The accompanying notes are an integral part of these financial statements.
20
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements (Continued)
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STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 1998 (Unaudited)
NET INVESTMENT INCOME
Dividends $ 17,796,896
Interest# 4,246,787
-------------
Total Investment Income 22,043,683
-------------
EXPENSES (NOTE 2)
Advisory fees 661,201
-------------
Total Expenses 661,201
-------------
Less:
Waived fees by BGI (Note 2) 0
-------------
Net Expenses 661,201
-------------
NET INVESTMENT INCOME (LOSS) 21,382,482
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on sale of investments 7,494,643
Net realized gain (loss) on sale of futures contracts 13,913,003
Net change in unrealized appreciation (depreciation) of
investments (237,590,838)
Net change in unrealized appreciation (depreciation) of
futures contracts (22,277,925)
-------------
Net Gain (Loss) on Investments (238,461,117)
-------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $(217,078,635)
=============
#Interest income includes security lending income of: $ 31,974
The accompanying notes are an integral part of these financial statements.
21
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements (Continued)
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six
Months Ended For the
August 31, Year Ended
1998 February 28,
(Unaudited) 1998
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 21,382,482 $ 35,530,147
Net realized gain (loss) on sale of investments 7,494,643 52,551,777
Net realized gain on sale of futures contracts 13,913,003 18,816,662
Net change in unrealized appreciation
(depreciation) of investments (237,590,838) 452,651,075
Net change in unrealized appreciation
(depreciation) of futures contracts (22,277,925) 10,434,575
--------------- ---------------
Net increase (decrease) in net assets resulting
from operations (217,078,635) 569,984,236
--------------- ---------------
Net increase (decrease) in net assets resulting
from beneficial interest transactions 171,240,712 299,742,532
--------------- ---------------
Increase (decrease) in Net Assets (45,837,923) 869,726,768
--------------- ---------------
NET ASSETS:
Beginning net assets $ 2,354,063,214 $ 1,484,336,446
--------------- ---------------
Ending Net Assets $ 2,308,225,291 $ 2,354,063,214
=============== ===============
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements (Unaudited)
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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 May 26, 1994. MIP currently issues the following separate
portfolios (the "Master Portfolios"): the Asset Allocation, Bond Index, LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, S&P 500 Index
and U.S. Treasury Allocation Master Portfolios. These financial statements
present the operations of only one of the Master Portfolios, the S&P 500 Index
Master Portfolio.
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.
Security Valuation
The equity securities of the Master Portfolio is 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.
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. Bond
discounts and premiums are amortized under provisions of the Internal Revenue
Code of 1986, as amended (the "Code").
Federal Income Taxes
The Master Portfolio intends to qualify as a partnership for federal income tax
purposes. The 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 the Master Portfolio will be taxed on its allocable
share of the partnership's income and capital gains for purposes of determining
its federal income tax liability. The determination of such share will be made
in accordance with the applicable sections of 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 the
Code, assuming that the investment company invested all of its assets in the
corresponding Master Portfolio.
Futures Contracts
The S&P 500 Index Master Portfolio may purchase 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 S&P 500 Index Master
Portfolio is 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
Portfolio agrees 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 Portfolio
23
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements (Unaudited) - Continued
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records 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 Portfolio is required to segregate cash, U.S. Government
obligations or high quality, liquid debt instruments in connection with 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 August
31, 1998, the following S&P 500 Index Master Portfolio had open long futures
contracts outstanding:
S&P 500 Index Master Portfolio
<TABLE>
<CAPTION>
Expiration Notional Net Unrealized
Number of Contracts Type Date Contract Value Depreciation
<S> <C> <C> <C> <C>
264 S&P 500 Index September 1998 $62,964,000 $11,028,950
</TABLE>
The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills
for initial margin requirements with a par value of $2,653,200.
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 the Master
Portfolio's Portfolio of Investments. The adviser to the Master Portfolio may
pool the Master Portfolio's cash and invest in repurchase agreements entered
into by the other Master Portfolios. The 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 adviser'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 August 31, 1998 by the Master Portfolio 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 0.05% of the average daily net assets of the S&P 500 Index
as compensation for advisory services. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the 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 the Master
Portfolio.
Stephens Inc. ("Stephens") is the Funds' co-administrator, sponsor and placement
agent for the Master Portfolios. Certain officers and directors of MIP are also
officers of Stephens. As of August 31, 1998, these officers of Stephens
indirectly collectively owned less than 1% of the Master Portfolios' outstanding
beneficial interest.
24
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Master Investment Portfolio - S&P 500 Index Master
Notes to Financial Statements (Unaudited) - Continued
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3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for the
S&P 500 Index Master Portfolio for the six months ended August 31, 1998 are as
follows:
Aggregate Purchases S&P 500 Index
and Sales of: Master Portfolio
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $ 0
Sales proceeds 0
OTHER SECURITIES:
Purchases at cost $339,932,272
Sales proceeds 25,863,942
4. Portfolio Securities Loaned
As of August 31, 1998, the S&P 500 Index Master Portfolio had loaned securities
which were collateralized by cash. Each Master Portfolio receives transaction
fees for providing services in connection with the securities lending program.
The value of the securities on loan and the value of the related collateral were
as follows:
Securities Collateral
S&P 500 Index Master Portfolio $82,461,683 $85,042,547
5. Financial Highlights
The portfolio turnover rates, excluding short-term securities, for the S&P 500
Index Master Portfolio is as follows:
<TABLE>
<CAPTION>
For the
Period from
For the Six May 26, 1994
Months Ended For the For the For the (commencement
August 31, Year Ended Year Ended Year Ended of operations) to
1998 February 28, February 28, February 29, February 28,
(Unaudited) 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
S&P 500 Index Master Portfolio 1% 6% 4% 2% 5%
</TABLE>
25
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This report has been prepared for shareholders and may be distributed to others
only if preceded or accompanied by a current prospectus, containing more
complete information including fees, risks, and expenses. If used as sales
material, this report must be accompanied by a Performance Update for the most
recently completed calendar quarter. The figures in this report reflect past
results. The investment return and principal value of shares will fluctuate with
market conditions so that shares, when redeemed, may be worth more or less than
their original cost. All investments are subject to certain risks. For example,
stocks are sensitive to price changes and bonds are affected by interest rate
fluctuations. Investors should make investment decisions based on an investment
strategy that takes into consideration investment goals, the length of time
money can stay invested, and risk tolerance. Portfolio changes should not be
considered recommendations for action by individual investors.
