<PAGE>
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MASSMUTUAL INSTITUTIONAL FUNDS
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[GRAPHIC]
MassMutual Indexed Equity Fund
Annual Report o February 28, 1999
<PAGE>
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Table of Contents
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<TABLE>
<S> <C>
Letter to Shareholders .................................................... 1
Performance Commentary .................................................... 2
MassMutual Indexed Equity Fund
Financial Statements .................................................... 4
Notes to Financial Statements ........................................... 8
Report of Independent Accountants ....................................... 11
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments ................................................ 12
Financial Statements .................................................... 22
Notes to Financial Statements ........................................... 25
Report of Independent Accountants ....................................... 28
</TABLE>
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Letter to Shareholders
================================================================================
April 16, 1999
To Our
Shareholders
[PHOTOGRAPH]
Stuart H. Reese
"Perhaps the best way to summarize the fiscal year that ended February 28, 1999,
is as a year of tremendous growth, significant volatility, and considerable
opportunity."
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.
Perhaps the best way to summarize the fiscal year that ended February 28, 1999,
is as a year of tremendous growth, significant volatility, and considerable
opportunity. Highlights of the last year include:
o The Standard & Poor's 500 Index, which measures the performance of 500
widely held industrial, transportation, financial, and utility stocks of
U.S. companies, increased more than 20% for the fourth calendar year in a
row.
o The Federal Reserve Board lowered interest rates three times during the
Fund's fiscal year.
o Financial and political turmoil abroad caused investors to turn to the
relative stability of U.S. bond and money market investments, resulting in
tremendous growth in these asset classes.
As we look back on a year marked by record-high levels in the Dow Jones
Industrial Average and the S&P 500 Index, the lowest U.S. Treasury bond yields
in 30 years, and dramatic changes in international markets, investors are
reminded to consider long-term goals when making investment decisions. While one
Fund's recent performance may be better than another's, it is important to
remember that past performance is no guarantee of future results. Even as market
conditions change, an investment strategy should be maintained as long as it
remains appropriate; temporary market swings should not drive investment
decisions.
We appreciate your confidence and look forward to continuing to help you meet
your investment goals.
/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. The S&P 500 Index is determined,
composed and calculated by S&P without regard to the Fund or the Master
Portfolio.
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Performance Commentary
================================================================================
<TABLE>
<CAPTION>
Performance as of 2/28/99 Average Annual Total Return
- --------------------------------------------------------------------------------
<S> <C> <C>
Class S Shares One Year 19.13%
Class Y Shares One Year 18.98%
Class A Shares One Year 18.40%
</TABLE>
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.
A fund's "net asset value per share," or NAV, is the market value of one share
of a fund. The MassMutual Indexed Equity Fund's NAV for Class S shares increased
from $10.00 on March 1, 1998 to $11.82 on February 28, 1999. "Net investment
income" includes income from dividends and interest on the Fund's investments
after management and administrative fees have been deducted. Dividends on net
investment income for Class S shares were $0.09 per share for the year ended
February 28, 1999. Of course, past performance is no guarantee of future
results.
The MassMutual Indexed Equity Fund invests all of its assets in the S&P 500
Index Master Portfolio, (the "Master Portfolio"). The goal of the Master
Portfolio is to hold all of the stocks in -- and match as closely as possible
the performance of -- the Standard & Poor's 500 Index. For the fiscal year ended
February 28, 1999, the MassMutual Indexed Equity Fund Class S shares returned
19.13%; the Index increase 19.74%. The MassMutual Indexed Equity Fund's
performance lagged slightly behind the performance of the Index, partially as a
result of the administrative and management fees that are deducted from the
total return.
The stocks of the 15 largest companies were responsible for half of the Index's
return during the last fiscal year; Microsoft, General Electric, Wal-Mart,
Lucent Technologies, and Cisco Systems were the largest contributors, accounting
for 25.2% of the increase in the S&P 500 Index.
Several major changes to the S&P 500 Index occurred in 1998. Chrysler and Amoco
were removed from the Index as a result of their mergers with Daimler Benz and
British Petroleum, respectively. The Index also included its first Internet
stock with the addition of America Online. Another technology company, Dell
Computer, had the top-performing stock in the Index, increasing 249% in 1998.
Although political and economic turmoil abroad could have negatively affected
the companies in the S&P 500 Index, investors purchased stocks at low prices and
prevented the Index from any considerable decline early in the fiscal year. The
Index had gained 4.35% by the end of the first fiscal quarter of 1998.
It wasn't until the summer months of 1998 that the Index started to slip.
Investors' worries over global financial events -- such as the devaluation of
the Russian ruble and economic struggles in Asia -- began to show; the Index
lost 11.93% by the end of the second fiscal quarter of 1998.
U.S. markets rebounded during the third fiscal quarter of 1998. The S&P 500
Index finished the third fiscal quarter up 22.03%, making 1998 the fourth year
in a row in which the Index boasted a gain greater than 20%. The performance of
the Index during the fourth fiscal quarter continued to rebound with a quarterly
return of 6.76% and closed out the period ending February 28, 1999 up 19.74%.
The Master Portfolio will continue to invest in the same securities that make up
the S&P 500 Index, tracking the performance of the Index as closely as possible.
2
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Performance Commentary (Continued)
================================================================================
Like other businesses and governments around the world, the Fund could be
adversely affected if the computer systems used by the Fund's service providers
and those with which they do business do not properly recognize the Year 2000.
This is commonly known as the "Year 2000 issue." In 1996, MassMutual began an
enterprise-wide process of identifying, evaluating, and implementing changes to
its computer systems to address the Year 2000 issue. MassMutual is addressing
the Year 2000 issue internally with modifications to existing programs and
conversions to new programs. MassMutual has advised the Fund that the Year 2000
issue is one of MassMutual's highest business operational priorities. MassMutual
is also seeking assurances from the Fund's other service providers in order to
identify and resolve Year 2000 issues. In addition, because the Year 2000 issue
affects virtually all organizations, the companies in which the Fund invests
could be adversely impacted by the Year 2000 issue. The extent of such impact
cannot be predicted.
- --------------------------------------------------------------------------------
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
<TABLE>
<CAPTION>
One Year
3/1/98 - 2/28/99
<S> <C>
Class A 18.40%
Class Y 18.98%
Class S 19.13%
- --------------------------------------------------------------------------------
Standard & Poor's 19.74%
500 Index
- --------------------------------------------------------------------------------
</TABLE>
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 not that the Fund is a professtionally managed
mutual fund, while the Standard & Poor's 500 Index is unmanaged and does not
incure expenses, and cannot be purchased directly by investors.
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<CAPTION>
Class A Class Y Class S S&P Index 500
------- ------- ------- -------------
<S> <C> <C> <C> <C>
March 1, 1998 10,000 10,000 10,000 10,000
March 31, 1998 10,500 10,510 10,510 10,512
April 30, 1998 10,600 10,610 10,610 10,618
May 31, 1998 10,410 10,420 10,420 10,435
June 30, 1998 10,820 10,840 10,840 10,859
July 31, 1998 10,690 10,710 10,720 10,743
August 31, 1998 9,140 9,160 9,170 9,192
September 30, 1998 9,720 9,750 9,760 9,779
October 31, 1998 10,500 10,530 10,550 10,574
November 30, 1998 11,120 11,160 11,180 11,215
December 31, 1999 11,770 11,807 11,833 11,861
January 31, 1999 12,232 12,281 12,306 12,357
February 28, 1999 11,840 11,898 11,913 11,974
</TABLE>
- --------------------------------------------------------------------------------
3
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Financial Statements
================================================================================
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
February 28, 1999
-----------------
<S> <C>
Assets:
Investment in S&P 500 Index Master Porfolio, at value (Note 1) ........................................ $426,835,528
Receivable for Fund shares sold ....................................................................... 1,413,251
------------
Total assets ..................................................................................... 428,248,779
------------
Liabilities:
Payables for:
Fund shares redeemed ................................................................................ 462,617
Directors' fees and expenses (Note 3) ............................................................... 302
Affiliates (Note 3):
Administration fees .............................................................................. 108,675
Service fees ..................................................................................... 47
Accrued expenses ...................................................................................... 13,199
------------
Total liabilities ................................................................................ 584,840
------------
Net assets ............................................................................................ $427,663,939
============
Net assets consist of:
Paid-in capital ....................................................................................... $387,423,086
Undistributed net investment income ................................................................... 631,540
Accumulated net realized gain on investments and closed futures contracts ............................. 2,030,590
Net unrealized appreciation on investments and open futures contracts ................................. 37,578,723
------------
$427,663,939
============
Net assets:
Class A ............................................................................................... $ 118,393
============
Class Y ............................................................................................... $ 858,791
============
Class S ............................................................................................... $426,686,755
============
Shares outstanding:
Class A ............................................................................................... 10,026
============
Class Y ............................................................................................... 72,852
============
Class S ............................................................................................... 36,085,949
============
Net asset value, offering price and
redemption price per share:
Class A ............................................................................................... $ 11.81
============
Class Y ............................................................................................... $ 11.79
============
Class S ............................................................................................... $ 11.82
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Financial Statements (Continued)
================================================================================
Statement of Operations
<TABLE>
<CAPTION>
Year ended
February 28, 1999
-----------------
<S> <C>
Net investment income allocated from Master Portfolio:
Dividends ................................................................................................. $ 3,332,240
Interest .................................................................................................. 753,659
Expenses .................................................................................................. (122,921)
------------
Total net investment income allocated from Master Portfolio .......................................... 3,962,978
------------
Expenses:
Audit and legal fees ...................................................................................... 13,906
Directors' fees (Note 3) .................................................................................. 18,448
Miscellaneous ............................................................................................. 8,776
------------
41,130
Administration fees (Note 3):
Class A .............................................................................................. 819
Class Y .............................................................................................. 1,140
Class S .............................................................................................. 882,487
Service fees (Note 3):
Class A .............................................................................................. 266
------------
Total expenses ....................................................................................... 925,842
------------
Net investment income ................................................................................ 3,037,136
------------
Realized and unrealized gain (loss) allocated from Master Portfolio:
Net realized gain on investment transactions and closed futures contracts ................................. 2,030,590
Net change in unrealized appreciation (depreciation) on investments and open futures contracts ............ 37,578,723
------------
Net realized and unrealized gain allocated from Master Portfolio ..................................... 39,609,313
------------
Net increase in net assets resulting from operations ...................................................... $ 42,646,449
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Financial Statements (Continued)
================================================================================
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Year ended
February 28, 1999
-----------------
<S> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income .................................................................................... $ 3,037,136
Net realized gain on investment transactions and closed futures contracts ................................ 2,030,590
Net change in unrealized appreciation (depreciation) on investments and open futures contracts ........... 37,578,723
-------------
Net increase in net assets resulting from operations ................................................ 42,646,449
-------------
Distributions to shareholders (Note 2):
From net investment income:
Class A .................................................................................................. (306)
Class Y .................................................................................................. (5,865)
Class S .................................................................................................. (2,399,425)
-------------
Total distributions from net investment income ...................................................... (2,405,596)
-------------
Net fund share transactions (Note 4):
Class A .................................................................................................. 100,306
Class Y .................................................................................................. 806,844
Class S .................................................................................................. 386,515,936
-------------
Increase in net assets from net fund share transactions ............................................. 387,423,086
-------------
Total increase in net assets ............................................................................. 427,663,939
Net assets:
Beginning of period --
-------------
End of period (including undistributed net investment income of $631,540) ................................ $ 427,663,939
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Financial Statements (Continued)
================================================================================
Financial Highlights
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Class A Class Y Class S
------- ------- -------
Year ended Year ended Year ended
02/28/99 02/28/99 02/28/99
------------- ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 10.00 $ 10.00 $ 10.00
------------- ------------- -------------
Income (loss) from investment operations:
Net investment income 0.06* 0.12* 0.13*
Net realized and unrealized gain 1.78 1.78 1.78
------------- ------------- -------------
Total income from investment operations 1.84 1.90 1.91
------------- ------------- -------------
Less distributions to shareholders:
From net investment income (0.03) (0.11) (0.09)
------------- ------------- -------------
Net asset value, end of period $ 11.81 $ 11.79 $ 11.82
============= ============= =============
Total Return 18.40% 18.98% 19.13%@
Ratios / Supplemental Data:
Net assets, end of period (000's) $ 118 $ 859 $ 426,687
Net expenses to average daily net assets 1.09% 0.52% 0.4254%
Net investment income to average daily net assets 0.57% 1.09% 1.23%
</TABLE>
* Per share amount calculated on the average shares method, which more
appropriately presents the per share data for the period since the use of
the undistributed income method does not accord with the results of
operations.
@ 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.
7
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Notes to Financial Statements
================================================================================
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 (See Note 5). These classes
of shares are offered to different types of
investors, as outlined in the Fund's Prospectus.
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). Effective April 6, 1999, the Class A
Contingent Deferred Sales Charge has been
eliminated for the MassMutual Indexed Equity Fund.
2. Significant The value of the Fund's investment in the Master
Accounting Portfolio reflects the Fund's proportionate
Policies interest in the net assets of the Portfolio
(11.58% at February 28,1999). 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 of securities by the Master Portfolio is
Valuation discussed in Note 1 of the Master Portfolio's
Notes to Financial Statements which are included
elsewhere in this report.
Accounting for The Fund earns income, net of Master Portfolio
Investments 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 Dividends from net investment income and
Distributions to distributions of any realized capital gains of the
Shareholders 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.
8
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Notes to Financial Statements (Continued)
================================================================================
3. Administration
Fees and other
Transactions with
Affiliates
Administration Under an administrative and shareholder services
Fees 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:
<TABLE>
<S> <C>
Class A .7688%
Class Y .5688%
Class S .3588%
</TABLE>
On December 1, 1998, the administrative services
fee for Class Y shares of the Fund was lowered to
.3888%. (See Note 5).
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
Fees 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.
Effective May 3, 1999, the Trustees approved MML
Distributors, LLC as the Distributor for the
Trust, including the Fund. MML Distributors, LLC
is an indirect, majority owned subsidiary of
MassMutual. Its address is 1414 Main Street,
Springfield, MA 01144. Effective May 3, 1999,
MMLISI will no longer serve as sub-distributor for
the Trust.
Contingent The Class A Contingent Deferred Sales Charge may
Deferred Sales be deducted from the proceeds on any redemption
Charge 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 within 12 months of the initial purchase
of the exchanged shares, the Class A Contingent
Deferred Sales Charge will apply. Effective April
6, 1999, the Class A Contingent Deferred Sales
charge has been eliminated for the MassMutual
Indexed Equity Fund.
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 February 28, 1999, MassMutual or separate
investment accounts thereof owned 100% of the
outstanding shares of Class A and Class S and 14%
of the outstanding shares of Class Y.
9
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Notes to Financial Statements (Continued)
================================================================================
4. Shares of The Fund is authorized to issue an unlimited
Beneficial number of shares. Changes in shares outstanding
Interest were as follows:
<TABLE>
<CAPTION>
Class A
Year ended
February 28, 1999
Shares Amount
----------- ------------
<S> <C> <C>
Sold 10,000 $100,000
Issued as reinvestment of
Dividends 26 306
----------- ------------
Net increase 10,026 $100,306
=========== ============
<CAPTION>
Class Y
Year ended
February 28, 1999
Shares Amount
----------- ------------
<S> <C> <C>
Sold 72,879 $807,017
Issued as reinvestment of
Dividends 497 5,865
Redeemed (524) (6,038)
----------- ------------
Net increase 72,852 $806,844
=========== ============
<CAPTION>
Class S
Year ended
February 28, 1999
Shares Amount
----------- ------------
<S> <C> <C>
Sold 46,076,164 $493,701,831
Issued as reinvestment of
Dividends 202,483 2,399,425
Redeemed (10,192,698) (109,585,320)
----------- ------------
Net increase 36,085,949 $386,515,936
=========== ============
</TABLE>
5. Subsequent On February 1, 1999, the Trustees approved changes
Events to the administrative fees payable to MassMutual.
The changes became effective April 6, 1999. The
Trustees also approved the creation of an
additional class of shares (Class L) for the Fund,
and approved the creation of four additional
series.
10
<PAGE>
================================================================================
MassMutual Indexed Equity Fund - Report of Independent Accountants
================================================================================
To the Board of Trustees and Shareholders of
MassMutual Indexed Equity Fund:
We have audited the accompanying statement of assets and liabilities of the
MassMutual Indexed Equity Fund as of February 28, 1999, and the related
statements of operations, changes in net assets and financial highlights for the
year then ended. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of the MassMutual Indexed Equity Fund as of
February 28, 1999, the results of its operations, the changes in its net assets,
and its financial highlights for the year then ended in conformity with
generally accepted accounting principles.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
New York, New York
April 8, 1999
11
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS-94.09%
ADVERTISING-0.11%
Omnicom Group 57,919 $ 3,837,134
---------------
TOTAL ADVERTISING
-VALUE $ 3,837,134
-COST $ 2,634,965
AEROSPACE & DEFENSE-1.26%
Allied Signal Inc 192,506 $ 7,964,936
Boeing Co 343,307 12,208,855
Briggs & Stratton Corp 8,142 397,431
General Dynamics Corp 43,650 2,638,097
Lockheed Martin Corp 134,914 5,084,571
Northrop Grumman Corp 23,400 1,458,113
Rockwell International Corp 65,783 2,923,232
Textron Inc 54,530 4,253,340
United Technologies Corp 77,458 9,595,110
---------------
TOTAL AEROSPACE & DEFENSE
-VALUE $ 46,523,685
-COST $ 38,060,675
AIRLINES-0.44%
AMR Corp** 62,790 $ 3,480,921
Delta Air Lines Inc 49,124 2,987,353
FDX Corp** 50,668 4,838,794
Southwest Airlines Co 115,120 3,467,990
USAirways Group Inc** 30,167 1,429,162
---------------
TOTAL AIRLINES
-VALUE $ 16,204,220
-COST $ 11,258,700
APPAREL-0.24%
Fruit of the Loom Inc Class A** 25,177 $ 319,433
Liz Claiborne Inc 22,371 753,623
Nike Inc Class B 98,482 5,281,097
Reebok International Ltd** 19,551 315,260
Russell Corp 12,682 247,299
VF Corp 41,207 1,983,087
---------------
TOTAL APPAREL
-VALUE $ 8,899,799
-COST $ 7,514,952
AUTO PARTS & EQUIPMENT-0.58%
Cooper Tire & Rubber Co 26,221 $ 517,865
Dana Corp 56,874 2,146,994
Deluxe Corp 27,778 940,980
Eaton Corp 24,588 1,705,793
Genuine Parts Co 61,946 1,854,509
Goodyear Tire & Rubber Co 53,526 2,475,578
Illinois Tool Works Inc 85,931 5,907,756
ITT Industries Inc 35,831 1,399,648
Navistar International Corp** 23,101 993,343
PACCAR Inc 26,968 1,129,285
The Pep Boys--Manny Moe & Jack 18,351 334,906
TRW Inc 41,140 1,943,865
---------------
TOTAL AUTO PARTS &
EQUIPMENT
-VALUE $ 21,350,522
-COST $ 17,929,784
AUTOMOBILES-1.17%
Ford Motor Co 415,523 $ 24,645,708
General Motors Corp Class A 224,829 18,562,444
---------------
TOTAL AUTOMOBILES
-VALUE $ 43,208,152
-COST $ 27,144,553
BANK & FINANCE-11.72%
American Express Corp 155,306 $ 16,850,701
Associates First Capital Corp 248,230 10,084,344
Bank of New York Inc 261,426 9,133,571
Bank One Corp 402,126 21,614,273
BankAmerica Corp 594,466 38,826,061
BankBoston Corp 100,964 4,082,732
Bankers Trust Corp 32,808 2,854,296
BB&T Corp 100,653 3,812,232
Bear Stearns Co Inc 40,609 1,738,573
Capital One Financial Corp 22,567 2,880,113
Chase Manhattan 290,441 23,126,365
Citigroup Inc 780,319 45,843,741
Comerica Inc 53,405 3,538,081
Countrywide Credit Industries Inc 38,182 1,446,143
Equifax Inc 50,701 1,913,963
Federal Home Loan Mortgage Corp 233,058 13,721,290
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
Federal National Mortgage Assoc 356,191 $ 24,933,370
Fifth Third Bancorp 91,514 6,045,644
First Union Corp 340,327 18,143,683
Firstar Corp 78,982 6,614,743
Fleet Financial Group Inc 195,298 8,385,608
Franklin Resources Inc 87,168 2,773,032
Golden West Financial 19,567 1,838,075
Household International Inc 165,381 6,718,603
Huntington Bancshares Inc 72,615 2,305,526
Keycorp 155,917 5,028,323
Lehman Brothers Holdings 39,943 2,116,979
MBNA Corp 274,917 6,666,737
Mellon Bank Corp 89,735 6,068,329
Mercantile Bancorp 53,608 2,445,865
Merrill Lynch & Co Inc 121,536 9,327,888
MGIC Investment Corp 37,612 1,281,159
Morgan (J P) & Co Inc 59,963 6,682,127
Morgan Stanley Dean Witter 198,350 17,950,675
National City Corp 113,728 7,946,744
Northern Trust Corp 38,174 3,411,801
PNC Bank Corp 103,389 5,382,690
Regions Financial Corp 75,659 2,875,042
Republic New York Corp 36,945 1,674,070
Ryder System Inc 24,801 669,627
Schwab (Charles) Corp 137,785 10,273,594
SLM Holding Corp 56,989 2,443,403
State Street Boston Corp 55,235 4,235,834
Summit Bancorp 59,690 2,305,526
SunTrust Banks Inc 109,269 7,423,463
Synovus Financial Corp 91,259 2,173,105
U.S. Bancorp 249,395 8,058,576
Union Planters Corp 46,322 2,093,175
Wachovia Corp 69,778 5,935,491
Washington Mutual Inc 204,080 8,163,200
Wells Fargo & Co 555,500 20,414,625
---------------
TOTAL BANK & FINANCE
-VALUE $ 432,272,811
-COST $ 302,099,858
BASIC INDUSTRIES-1.20%
Alcoa Inc 129,230 $ 5,233,815
ASARCO Inc 13,913 196,521
Avery-Dennison Corp 40,033 2,149,272
Baker Hughes Inc 111,342 2,004,156
Bemis Co 18,037 614,385
Boise Cascade Corp 19,443 603,948
Champion International Corp 32,971 1,219,927
Cyprus Amax Minerals 31,793 357,671
Dover Corp 76,799 2,611,166
Fort James Corp 75,901 2,267,542
Georgia-Pacific Corp 30,400 2,226,800
Harnischfeger Industries Inc 16,712 128,474
Homestake Mining Co 80,453 739,162
Ikon Office Solutions Inc 47,200 666,700
Inco Ltd 57,458 725,407
Louisiana-Pacific Corp 37,482 688,732
Mead Corp 35,487 1,080,136
Minnesota Mining & Manufacturing Co 137,901 10,213,293
NACCO Industries Inc Class A 2,652 233,376
Newmont Mining Corp 56,513 974,849
Potlatch Corp 10,034 348,054
Sealed Air Corp** 28,555 1,449,166
Union Camp Corp 23,854 1,595,236
Westvaco Corp 35,127 785,967
Weyerhauser Co 68,329 3,809,342
Willamette Industries Inc 38,139 1,389,690
---------------
TOTAL BASIC INDUSTRIES
-VALUE $ 44,312,787
-COST $ 44,415,464
BEVERAGES-2.63%
Anheuser-Busch Inc 164,223 $ 12,593,851
Coca-Cola Co 846,537 54,125,459
Coca-Cola Enterprises Co 134,742 4,177,002
Coors (Adolph) Co Class B 12,691 755,908
Diageo PLC ADR (UK) 17 769
Pepsico Inc 503,992 18,962,699
Seagrams Co Ltd 135,567 6,286,920
---------------
TOTAL BEVERAGES
-VALUE $ 96,902,608
-COST $ 71,102,447
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
BROADCASTING-1.15%
Clear Channel Communications Inc** 90,201 $ 5,412,060
Kingworld Productions** 25,313 669,212
MediaOne Group Inc** 208,464 11,361,288
Tele-Communications Inc Class A** 184,800 11,607,750
Tribune Co 40,831 2,707,606
Viacom Inc Class B** 119,572 10,567,176
---------------
TOTAL BROADCASTING
-VALUE $ 42,325,092
-COST $ 23,130,804
BUILDING MATERIALS &
SERVICES-0.39%
Cooper Industries Inc 35,732 $ 1,563,275
Corning Inc 79,569 4,256,942
Danaher Corp 45,577 2,199,090
Owens Corning Fiberglass Corp 18,462 587,322
Owens Illinois Inc** 53,386 1,277,927
PPG Industries Inc 61,000 3,175,813
Snap-On Inc 20,427 577,063
Stanley Works 30,760 747,853
---------------
TOTAL BUILDING MATERIALS &
SERVICES
-VALUE $ 14,385,285
-COST $ 13,739,756
BUSINESS SERVICES-0.30%
Cendant Corp** 293,228 $ 4,856,589
Dun & Bradstreet Corp 57,548 1,971,019
Ecolab Inc 44,444 1,772,205
Paychex Inc 56,349 2,387,789
---------------
TOTAL BUSINESS SERVICES
-VALUE $ 10,987,602
-COST $ 11,922,176
CHEMICALS-1.65%
Air Products & Chemicals Inc 79,694 $ 2,560,170
Clorox Co 37,729 4,463,812
Dow Chemical Co 76,172 7,493,421
Du Pont (E I) De Nemours 386,722 19,843,673
Eastman Chemical Co 27,144 1,280,858
FMC Corp** 11,492 588,247
Goodrich (B F) Co 25,061 855,207
Grace (W R) Co** 25,678 345,048
Great Lakes Chemical Corp 20,478 797,362
Hercules Inc 33,917 939,077
International Flavor & Fragrances 36,598 1,507,380
Monsanto Co 215,235 9,806,645
Morton International Inc 38,600 1,394,425
Nalco Chemical Co 22,680 637,875
Praxair Inc 54,319 1,897,770
Rohm & Haas Co 57,360 1,792,500
Rubbermaid Inc 51,667 1,708,240
Sigma-Aldrich Corp 34,800 917,850
Union Carbide Corp 45,779 2,014,276
---------------
TOTAL CHEMICALS
-VALUE $ 60,843,836
-COST $ 52,893,054
COMPUTER SOFTWARE-6.62%
3Com Corp** 123,240 $ 3,874,358
Adobe Systems Inc 22,666 912,307
America Online Inc 314,684 27,987,208
Autodesk Inc 16,038 643,525
Automatic Data Processing 207,611 8,252,537
BMC Software Inc** 73,630 3,009,626
Ceridian Corp** 24,613 1,762,906
Computer Associates International Inc 184,958 7,768,236
Computer Sciences Corp 54,243 3,613,940
Compuware Corp** 62,899 3,518,413
Electronic Data Systems Corp 169,350 7,874,775
First Data Corp 152,158 5,820,044
IMS Health Inc 110,162 3,910,751
Microsoft Corp** 856,349 128,559,394
Novell Inc** 121,091 2,346,138
Oracle Systems Corp** 333,857 18,654,260
Parametric Technology Corp** 92,386 1,420,435
Peoplesoft Inc** 79,743 1,505,149
Sun Microsystems Inc** 130,760 12,724,583
---------------
TOTAL COMPUTER SOFTWARE
-VALUE $ 244,158,585
-COST $ 143,456,022
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
COMPUTER SYSTEMS-5.91%
Apple Computer Inc** 46,096 $ 1,604,717
Cabletron Systems Inc** 55,039 447,192
Cisco Systems Inc** 542,249 53,038,730
Compaq Computer Corp 583,999 20,585,965
Data General Corp** 17,039 235,351
Dell Computer Corp** 437,319 35,040,185
EMC Corp 172,440 17,653,545
Gateway 2000 Inc** 53,600 3,896,050
Harris Corp 27,659 860,886
Hewlett-Packard Co 356,248 23,668,227
International Business Machine Corp 320,521 54,488,570
Seagate Technology Inc** 84,281 2,438,881
Shared Medical System Corp 9,110 464,610
Silicon Graphics Inc** 64,542 1,028,638
Unisys Corp** 87,169 2,598,726
TOTAL COMPUTER SYSTEMS
-VALUE $ 218,050,273
-COST $ 108,943,260
CONTAINER & PACKAGING-0.25%
Ball Corp 10,353 $ 433,532
Crown Cork & Seal Co 42,146 1,169,552
International Paper Co 105,240 4,420,080
Temple-Inland Inc 19,218 1,151,879
Tenneco Inc 58,722 1,757,990
Tupperware Corp 19,961 349,318
---------------
TOTAL CONTAINER &
PACKAGING
-VALUE $ 9,282,351
-COST $ 10,520,804
ELECTRICAL EQUIPMENT-3.64%
Aeroquip-Vickers Inc 9,543 $ 540,372
General Electric Co 1,125,405 112,892,189
Grainger (W W) Inc 32,777 1,458,577
Masco Corp 117,773 3,091,541
Motorola Inc 206,187 14,484,637
National Service Industries Inc 14,501 465,845
Raychem Corp 27,372 624,424
Thomas & Betts Corp 19,170 799,149
---------------
TOTAL ELECTRICAL EQUIPMENT
-VALUE $ 134,356,734
-COST $ 81,035,083
ELECTRONICS-4.21%
Advanced Micro Devices** 49,200 $ 879,450
AMP Inc 75,272 4,003,530
Applied Materials Inc** 127,012 7,065,043
CBS Corp 242,601 8,945,912
Commscope Inc** 2 37
EG&G Inc 15,572 412,658
Emerson Electric Co 151,371 8,694,372
General Instrument Corp** 57,035 1,668,274
Honeywell Inc 43,416 3,036,407
Intel Corp 572,559 68,671,295
Johnson Controls Inc 29,137 1,791,926
KLA Instruments Corp** 29,751 1,541,474
LSI Logic Corp** 48,795 1,265,620
Micron Technology Inc** 81,074 4,671,867
National Semiconductor** 57,040 598,920
Perkin-Elmer Corp 16,968 1,607,718
Pitney Bowes Inc 93,675 5,919,089
Raytheon Co Class B 115,852 6,190,841
Solectron Corp** 80,786 3,610,124
Tektronix Inc 16,446 320,697
Texas Instruments Inc 133,869 11,939,441
Xerox Corp 225,150 12,425,466
---------------
TOTAL ELECTRONICS
-VALUE $ 155,260,161
-COST $ 97,237,656
ENERGY & RELATED-5.30%
Amerada Hess Corp 31,121 $ 1,412,115
Anadarko Petroleum Corp 41,399 1,138,473
Apache Corp 33,296 663,839
Ashland Inc 26,196 1,165,722
Atlantic Richfield Corp 110,377 6,029,344
Burlington Resources Inc 61,090 1,977,789
Chevron Corp 224,051 17,223,921
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
Coastal Corp 73,165 $ 2,341,280
Columbia Gas System Inc 28,684 1,448,542
Consolidated Natural Gas Co 33,003 1,813,102
Eastern Enterprises 7,388 283,976
Enron Corp 113,724 7,392,060
Exxon Corp 835,005 55,580,020
Halliburton Co 151,220 4,271,965
Helmerich & Payne Inc 17,480 285,143
Kerr-McGee Corp 16,339 466,683
Mobil Corp 267,901 22,286,014
NICOR Inc 16,447 628,070
Occidental Petroleum Corp 119,175 1,795,073
ONEOK Inc 10,777 290,305
Oryx Energy Co** 33,958 352,314
Peoples Energy Corp 12,371 419,841
Phillips Petroleum Co 87,600 3,389,025
Rowan Co Inc** 29,327 252,945
Royal Dutch Petroleum Corp 736,514 32,314,552
Schlumberger Ltd 187,581 9,109,402
Sonat Offshore Drilling Co 37,778 956,256
Sunoco Inc 32,283 982,614
Texaco Inc 183,685 8,552,833
Union Pacific Resources Group 86,976 777,348
Unocal Corp 83,202 2,345,256
USX--Marathon Group 105,082 2,173,884
Williams Co Inc 147,098 5,442,626
---------------
TOTAL ENERGY & RELATED
-VALUE $ 195,562,332
-COST $ 167,611,434
ENGINEERING &
CONSTRUCTION-0.10%
Armstrong World Industries Inc 13,698 $ 673,770
Centex Corp 20,576 757,454
Fleetwood Enterprises Inc 12,106 392,688
Fluor Corp 26,114 918,898
Foster Wheeler Corp 14,070 175,875
Kaufman & Broad Home Corp 15,755 354,488
Pulte Corp 15,093 363,175
---------------
TOTAL ENGINEERING &
CONSTRUCTION
-VALUE $ 3,636,348
-COST $ 4,042,600
ENTERTAINMENT & LEISURE-1.61%
Brunswick Corp 33,178 $ 707,106
Disney (Walt) Co 703,705 24,761,620
Harrah's Entertainment Inc** 42,245 704,963
Hasbro Inc 45,095 1,668,515
Mattel Inc 99,077 2,613,156
Mirage Resorts Inc** 62,181 1,212,530
Polaroid Corp 15,445 368,749
Time Warner Inc 421,441 27,182,945
---------------
TOTAL ENTERTAINMENT &
LEISURE
-VALUE $ 59,219,584
-COST $ 39,209,547
ENVIRONMENTAL CONTROL-0.31%
Browning-Ferris Industries Inc 59,799 $ 1,883,669
Waste Management Inc 197,408 9,648,316
---------------
TOTAL ENVIRONMENTAL
CONTROL
-VALUE $ 11,531,985
-COST $ 11,502,357
FOOD & RELATED-3.68%
Albertson's Inc 84,309 $ 4,805,613
American Stores Co 94,382 3,185,393
Archer-Daniels-Midland Co 204,137 3,087,572
Bestfoods 98,199 4,609,216
Brown-Forman Corp Class B 23,697 1,562,521
Campbell Soup Co 153,980 6,188,055
ConAgra Inc 168,216 5,067,507
Darden Restaurants Inc 47,983 1,055,626
General Mills Inc 52,628 4,246,422
Great Atlantic & Pacific Tea Co 13,066 412,396
Heinz (H J) Co 124,425 6,773,386
Hershey Foods Corp 49,207 3,063,136
Kellogg Co 139,304 5,154,248
Kroger Co** 88,017 5,693,600
McDonald's Corp 232,442 19,757,570
Pioneer Hi Bred International Inc 83,214 1,950,328
Quaker Oats Co 46,919 2,562,950
Ralston-Purina Group 107,455 2,894,569
RJR Nabisco Holdings Corp 111,721 3,051,380
Safeway Inc** 167,144 9,652,566
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
Sara Lee Corp 313,894 $ 8,533,993
Super Value Inc 41,447 997,318
Sysco Corp 114,911 3,246,236
Tricon Global Restaurants** 52,553 3,258,286
Unilever NV (Netherlands) 219,882 15,927,702
UST Inc 63,844 1,887,388
Wendy's International Inc 43,018 1,029,743
Winn-Dixie Stores Inc 51,099 2,238,775
Wrigley (W M) Jr Co 39,970 3,717,210
---------------
TOTAL FOOD & RELATED
-VALUE $ 135,610,705
-COST $ 100,122,282
FURNITURE & APPLIANCES-0.08%
Maytag Corp 30,981 $ 1,736,872
Whirlpool Corp 26,133 1,136,786
---------------
TOTAL FURNITURE &
APPLIANCES
-VALUE $ 2,873,658
-COST $ 2,362,234
HEALTHCARE-0.52%
Cardinal Health Inc 89,203 $ 6,439,342
HCR Manor Care Inc** 37,755 844,768
Healthsouth Corp** 145,697 1,693,728
McKesson HBOC Inc 93,203 6,337,804
St Jude Medical Inc** 28,759 722,570
United Healthcare Corp 64,042 3,158,071
---------------
TOTAL HEALTHCARE
-VALUE $ 19,196,283
-COST $ 20,182,826
HOSPITAL & MEDICAL SUPPLIES-2.25%
Bard (C R) Inc 18,549 $ 1,045,700
Bausch & Lomb Inc 19,217 1,159,025
Baxter International Inc 97,977 6,895,131
Becton Dickinson & Co 84,666 2,836,311
Biomet Inc 38,788 1,423,035
Boston Scientific Corp** 135,132 3,580,998
Columbia/HCA Healthcare Corp 221,945 3,967,267
Guidant Corp 103,493 5,899,101
Johnson & Johnson 461,767 39,423,358
Mallinckrodt Group Inc 24,539 759,175
Medtronic Inc 196,643 13,887,912
Tenet Healthcare Corp** 106,214 2,091,088
---------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
-VALUE $ 82,968,101
-COST $ 57,433,800
HOUSEHOLD PRODUCTS-2.24%
Alberto-Culver Co Class B 19,190 $ 460,560
Avon Products Inc 90,256 3,756,906
Colgate-Palmolive Co 100,709 8,547,676
Gillette Co 381,016 20,431,983
Kimberly-Clark Corp 186,212 8,798,517
Procter & Gamble Co 455,589 40,775,216
---------------
TOTAL HOUSEHOLD PRODUCTS
-VALUE $ 82,770,858
-COST $ 55,587,829
INSURANCE-3.53%
Aetna Inc 49,127 $ 3,638,468
Allstate Corp 281,770 10,566,375
American General Corp 86,598 6,343,304
American International Group Inc 424,311 48,344,935
Aon Corp 58,340 3,438,414
Chubb Corp 56,055 3,349,286
CIGNA Corp 70,968 5,570,988
Cincinnati Financial Corp 57,248 2,007,258
Conseco Inc 108,091 3,235,974
Hartford Financial Services Group 80,323 4,342,462
Humana Inc** 57,061 998,568
Jefferson-Pilot Corp 36,517 2,476,309
Lincoln National Corp 34,772 3,292,474
Loews Corp 39,241 3,068,156
Marsh & McLennan Companies Inc 88,410 6,260,533
MBIA Inc 34,142 2,101,867
Progressive Corp Ohio 24,869 3,195,667
Provident Co Inc 46,552 1,524,578
Providian Financial Corp 48,734 4,976,960
SAFECO Corp 46,961 1,887,245
St Paul Co 80,403 2,603,047
Torchmark Corp 48,346 1,607,505
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
Transamerica Corp 43,074 $ 3,125,557
UNUM Corp 47,632 2,131,532
---------------
TOTAL INSURANCE
-VALUE $ 130,087,462
-COST $ 89,312,996
LODGING-0.12%
Hilton Hotels Corp 88,402 $ 1,397,857
Marriott International 86,020 3,096,720
---------------
TOTAL LODGING
-VALUE $ 4,494,577
-COST $ 3,326,589
MACHINERY-0.47%
Black & Decker Corp 30,387 $ 1,481,366
Case Corp 25,321 493,760
Caterpillar Inc 123,375 5,621,273
Cummins Engine Co Inc 13,957 572,237
Deere & Co 82,050 2,682,009
Ingersoll-Rand Co 56,608 2,688,880
McDermott International Inc 20,687 412,447
Milacron Inc 13,417 238,990
Pall Corp 42,864 908,181
Parker Hannifin Corp 37,462 1,390,777
Thermo Electron Corp** 54,991 759,563
---------------
TOTAL MACHINERY
-VALUE $ 17,249,483
-COST $ 17,374,354
MANUFACTURING-0.45%
Tyco International Ltd 221,393 $ 16,479,941
---------------
TOTAL MANUFACTURING
-VALUE $ 16,479,941
-COST $ 10,700,373
METAL FABRICATORS-0.38%
Alcan Aluminum Ltd 78,438 $ 1,907,024
Allegheny Teledyne Inc 67,656 1,395,405
Barrick Gold Corp 128,281 2,268,970
Battle Mountain Gold Co 79,036 266,747
Bethlehem Steel Corp** 44,531 392,429
Crane Co 23,789 652,711
Engelhard Corp 49,415 880,205
Freeport McMoRan Inc** 57,328 541,033
Nucor Corp 30,207 1,346,099
Phelps Dodge Corp 19,923 966,266
Placer Dome Inc 85,533 935,517
Reynolds Metals Co 22,303 953,453
Timken Co 21,647 382,881
USX - U.S. Steel Group 30,103 761,982
Worthington Industries Inc 32,184 408,335
---------------
TOTAL METAL FABRICATORS
-VALUE $ 14,059,057
-COST $ 18,280,519
PHARMACEUTICALS-8.94%
Abbott Laboratories 521,291 $ 24,207,451
Allergan Inc 22,471 1,831,387
ALZA Corp** 29,771 1,561,117
American Home Products Corp 452,762 26,939,339
Amgen Inc** 87,480 10,924,065
Bristol-Myers Squibb Co 341,187 42,968,238
Lilly (Eli) & Co 377,695 35,762,995
Merck & Co Inc 818,164 66,884,907
Millipore Corp 15,193 423,505
Pfizer Inc 445,648 58,797,683
Pharmacia and Upjohn Inc 174,381 9,503,765
Schering-Plough Corp 504,749 28,234,397
SouthTrust Corp 48,400 1,939,025
Warner Lambert Co 281,974 19,473,829
---------------
TOTAL PHARMACEUTICALS
-VALUE $ 329,451,703
-COST $ 170,732,360
PUBLISHING-0.86%
American Greetings Corp Class A 24,374 $ 577,359
Comcast Corp Class A 126,962 9,006,367
Donnelley (R R) & Sons Co 46,729 1,600,468
Dow Jones & Co Inc 32,341 1,520,027
Gannett Co Inc 96,778 6,145,403
Interpublic Group Co Inc 47,523 3,555,315
Knight-Ridder Inc 27,073 1,358,726
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
McGraw-Hill Inc 33,795 $ 3,698,440
Meredith Corp 17,996 607,365
Moore Corp Ltd 30,496 320,208
New York Times Co Class A 62,857 1,948,567
Times Mirror Co Class A 27,381 1,528,202
---------------
TOTAL PUBLISHING
-VALUE $ 31,866,447
-COST $ 20,546,989
RETAIL & RELATED-5.88%
AutoZone Inc** 52,665 $ 1,843,261
Circuit City Stores Inc 34,270 1,859,148
Consolidated Stores Corp** 37,242 938,033
Costco Co Inc** 74,466 5,980,551
CVS Corp 133,591 7,080,323
Dayton-Hudson Corp 151,216 9,460,451
Dillards Inc Class A 36,888 917,589
Dollar General Corp 63,330 1,895,942
Eastman Kodak Co 111,359 7,370,574
Federated Department Stores Inc** 70,575 2,686,261
Fred Myer Inc** 52,741 3,388,609
Gap Inc 199,195 12,885,427
Harcourt General Inc 24,402 1,117,917
Home Depot Inc 506,355 30,223,064
Jostens Inc 12,489 292,711
K Mart Corp** 169,360 2,963,800
Kohls Corp** 54,470 3,758,430
Limited Inc 78,359 2,781,745
Longs Drug Stores Corp 13,249 479,448
Lowe's Co Inc 121,059 7,180,312
May Department Stores Co 80,227 4,753,450
Newell Co 55,487 2,358,198
Nordstrom Inc 51,241 2,062,450
Penney (J C) Co Inc 86,954 3,141,213
Rite Aid Corp 88,890 3,677,824
Sears Roebuck & Co 131,764 5,352,913
Sherwin Williams Co 59,275 1,426,305
Staples Inc** 160,014 4,705,420
Tandy Corp 34,018 1,892,251
TJX Companies Inc 110,837 3,165,782
Toys R Us Inc** 90,058 1,272,069
Walgreen Co 342,734 10,967,488
WalMart Stores Inc 773,745 66,832,224
---------------
TOTAL RETAIL & RELATED
-VALUE $ 216,711,183
-COST $ 129,837,297
SERVICES-0.16%
Block (H R) Inc 34,686 $ 1,573,877
Public Service Enterprise Group 78,639 2,988,282
Service Corp International 88,888 1,366,653
---------------
TOTAL SERVICES
-VALUE $ 5,928,812
-COST $ 5,980,052
TELECOMMUNICATIONS-10.11%
Airtouch Communications** 196,513 $ 17,894,965
Alltel Corp 94,192 5,639,746
Ameritech Corp 378,946 24,773,595
Andrew Corp** 29,958 453,115
Ascend Communications Inc** 74,376 5,722,304
AT & T Corp 620,398 50,950,209
Bell Atlantic Corp 533,223 30,626,996
BellSouth Corp 671,663 31,064,414
Frontier Corp 58,504 2,102,488
GTE Corp 331,566 21,510,344
Lucent Technologies Inc 451,742 45,880,047
MCI WorldCom Inc** 629,764 51,955,530
NEXTEL Communications Class A** 98,965 2,975,135
Northern Telecom Ltd 223,972 13,004,398
SBC Communication Inc 671,763 35,519,469
Scientific-Atlanta Inc 25,911 840,488
Sprint Corp 147,924 12,693,728
Sprint Corp (PCS Group)** 144,169 4,613,408
Tellabs Inc** 66,814 5,349,296
U.S. West Inc 172,767 9,210,641
---------------
TOTAL TELECOMMUNICATIONS
-VALUE $ 372,780,316
-COST $ 216,959,379
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
<TABLE>
<CAPTION>
=====================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
=====================================================================================
Security Name Shares Value
- ------------- ------ -----
<S> <C> <C>
COMMON STOCKS (Continued)
TEXTILES-0.01%
Springs Industries Inc Class A 6,323 $ 210,240
---------------
TOTAL TEXTILES
-VALUE $ 210,240
-COST $ 257,099
TOBACCO-0.94%
Fortune Brands Inc 58,969 $ 1,776,441
Philip Morris Co Inc 836,135 32,713,782
---------------
TOTAL TOBACCO
-VALUE $ 34,490,223
-COST $ 29,258,140
TRANSPORTATION-0.70%
Burlington Northern Santa Fe 161,139 $ 5,337,729
Carnival Corp Class A 204,207 9,087,212
CSX Corp 75,064 2,946,262
Laidlaw Inc Class B 113,589 873,215
Norfolk Southern Corp 130,297 3,656,460
Whitman Corp 78,000 1,209,000
Union Pacific Corp 84,967 3,982,828
---------------
TOTAL TRANSPORTATION
-VALUE $ 25,883,706
-COST $ 25,297,077
UTILITIES-1.98%
AES Corp** 61,496 $ 2,286,883
Ameren Corp 47,237 1,762,531
American Electric Power Inc 65,829 2,740,132
Baltimore Gas & Electric Co 51,369 1,316,331
Carolina Power & Light Co 52,116 2,078,126
Central & South West Corp 73,169 1,815,506
Cinergy Corp 54,690 1,596,264
Consolidated Edison Inc 80,152 3,747,106
Dominion Resources Inc 67,261 2,597,956
DTE Energy Co 49,909 1,971,406
Duke Power Co 124,394 7,074,909
Edison International 121,202 3,090,651
Entergy Corp 84,706 2,392,945
FirstEnergy Corp 80,784 2,362,932
FPL Group Inc 62,169 3,197,818
GPU Inc 44,040 1,756,095
New Century Energies Inc 39,002 1,582,019
Niagara Mohawk Power Corp** 64,631 945,228
Northern States Power Co 51,821 1,337,630
Pacificorp 102,402 1,836,836
PECO Energy Co 76,965 2,727,447
PG & E Corp 131,627 4,146,251
PP & L Resources Inc 52,270 1,332,885
Reliant Energy Inc 97,893 2,624,756
Sempra Energy 82,745 1,737,645
Southern Co 239,654 6,006,328
Texas Utilities Co 96,745 4,105,616
Unicom Corp 74,743 2,658,048
---------------
TOTAL UTILITIES
-VALUE $ 72,828,280
-COST $ 65,757,726
TOTAL COMMON STOCKS
-VALUE $ 3,469,052,921
-COST $ 2,326,715,872
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
====================================================================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - February 28, 1999 (Continued)
====================================================================================================================================
Interest Maturity Principal/
Security Name Rate Date Shares Value
- ------------- ---- ---- ------ -----
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-10.45%
CASH EQUIVALENTS-2.24%
Dreyfus Institutional Money Market Fund**** $ 937,119 $ 937,119
Janus International Money Market Fund**** 63,300,000 63,300,000
Merrimac Cash Fund-Premium Class**** 18,500,000 18,500,000
------------
$ 82,737,119
U.S. TREASURY BILLS-0.46%
U.S. Treasury Bills 3.57*** 03/25/9 $ 16,850,000 $ 16,804,938
------------
REPURCHASE AGREEMENTS-7.75%
Morgan Stanley Triparty Repurchase
Agreement dated 2/26/99 due 3/1/99
with a maturity value of $286,086,410
and an effective yield of 4.85%
collateralized by U.S. Treasury Bonds
with rates ranging from 9.875% to
12.00%, maturity dates ranging from
05/15/03 to 11/15/15, and aggregate
market value of $105,479,493, U.S.
Treasury Notes with rates ranging
from 6.00% to 6.50%, maturity dates
ranging from 08/31/01 to 08/15/19
and an aggregate market value of
$110,650,813 and U.S. Treasury Bills,
with a yield to maturity of 4.49%, a
maturity date of 05/23/99, and a
market value of $75,568,681 $285,978,454 $285,978,454
TOTAL SHORT TERM INSTRUMENTS
-VALUE $385,520,511
-COST $385,512,686
TOTAL INVESTMENTS IN SECURITIES
(Cost $2,712,228,558)* (Notes 1 and 3) 104.54% $3,854,573,432
Other Assets and Liabilities, Net (4.54)% (167,480,654)
--------------- --------------
TOTAL NET ASSETS 100.00% $3,687,092,778
=============== ==============
</TABLE>
** Non-income earning securities.
**** Represents collateral received from securities lending transactions. See
Note 4.
* Cost for federal income tax purposes is $2,713,771,575 and net unrealized
appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 1,196,082,998
Gross Unrealized Depreciation (55,281,141)
---------------
NET UNREALIZED APPRECIATION $ 1,140,801,857
===============
</TABLE>
*** Yield to Maturity.
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements
================================================================================
Statement Of Assets & Liabilities
<TABLE>
<CAPTION>
February 28, 1999
-----------------
<S> <C>
Assets
Investments:
In securities, at market value (see cost below) (Note 1) $3,854,573,432
Receivables:
Beneficial interests sold 184,800,000
Dividends and interest 3,990,156
--------------
Total Assets 4,043,363,588
--------------
Liabilities
Payables:
Variation margin on futures contracts 1,533,119
Investment securities purchased 271,774,548
Collateral for securities loaned (Note 4) 82,737,119
Due to BGI (Note 2) 226,024
--------------
Total Liabilities 356,270,810
--------------
Total Net Assets $3,687,092,778
==============
Investments At Cost $2,712,228,558
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements - (Continued)
================================================================================
Statement Of Operations
<TABLE>
<CAPTION>
Year ended
February 28, 1999
-----------------
<S> <C>
Net Investment Income
Dividends** $ 36,647,898
Interest**** 8,379,792
-------------
Total Investment Income 45,027,690
-------------
Expenses (Note 2)
Advisory fees 1,353,414
-------------
Total Expenses 1,353,414
-------------
Net Investment Income (Loss) 43,674,276
-------------
Realized And Unrealized Gain (Loss) On
Investments
Net realized gain (loss) on sale of investments 143,991,139
Net realized gain (loss) on sale of futures contracts 37,982,701
Net change in unrealized appreciation (depreciation) of
investments 265,023,900
Net change in unrealized appreciation (depreciation) of
futures contracts (14,225,550)
-------------
Net Gain (Loss) on Investments 432,772,190
-------------
Net Increase (Decrease) In Net Assets
Resulting From Operations $ 476,446,466
=============
** Net of foreign withholding tax of: $ 5,288
**** Interest income includes securities lending income of: $ 78,935
</TABLE>
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Financial Statements - (Continued)
================================================================================
Statements Of Changes In Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
February 28, 1999 February 28, 1998
<S> <C> <C>
Increase (Decrease) In Net Assets
Operations:
Net investment income (loss) $ 43,674,276 $ 35,530,147
Net realized gain (loss) on sale of investments 143,991,139 52,551,777
Net realized gain (loss) on sale of futures
contracts 37,982,701 18,816,662
Net change in unrealized appreciation
(depreciation) of investments 265,023,900 452,651,075
Net change in unrealized appreciation
(depreciation) of futures contracts (14,225,550) 10,434,575
--------------- ---------------
Net increase (decrease) in net assets resulting
from operations 476,446,466 569,984,236
--------------- ---------------
Net increase (decrease) in net assets resulting
from beneficial interest transactions 856,583,098 299,742,532
--------------- ---------------
Increase (decrease) in Net Assets 1,333,029,564 869,726,768
--------------- ---------------
Net Assets:
Beginning net assets $ 2,354,063,214 $ 1,484,336,446
--------------- ---------------
Ending Net Assets $ 3,687,092,778 $ 2,354,063,214
=============== ===============
</TABLE>
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements
================================================================================
1. Significant Master Investment Portfolio ("MIP") is registered
Accounting under the Investment Company Act of 1940, as
Policies 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"),
Asset Allocation, Bond Index, LifePath 2000,
LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040, Money Market, S&P 500 Index,
Extended Index, U.S. Equity 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 The equity securities of the Master Portfolio are
Valuation 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 Security transactions are accounted for on the
Transactions date the securities are purchased or sold (trade
and Income date). Dividend income is recognized on the
Recognition 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 The Master Portfolio intends to qualify as a
Taxes 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 the Master Portfolio's assets,
income and allocations will be managed in such a
way that a regulated investment company investing
in the 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 Master Portfolio.
Futures The S&P 500 Index Master Portfolio may purchase
Contracts 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 Portfolio
as unrealized gains or losses. When the contract
is closed, the Master Portfolio
25
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements - (Continued)
================================================================================
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
February 28, 1999, the 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>
978 S&P 500 Index March 1999 $302,079,750 $(2,976,575)
</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 $9,828,900.
Repurchase Transactions involving purchases of securities
Agreements 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 February 28, 1999 by the Master
Portfolio are collateralized by U.S. Government
Securities.
2. Agreements and Pursuant to an Investment Advisory Contract with
Other the Master Portfolio, Barclays Global Fund
Transactions with Advisors ("BGFA") provides investment guidance and
Affiliates policy direction in connection with the management
of the Master Portfolio's assets. BGFA is entitled
to receive 0.05% of the average daily net assets
of the S&P 500 Index Master Portfolio, 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.
26
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements - (Continued)
================================================================================
3. Investment Purchases and sales of investments, exclusive of
Portfolio short-term securities, for the S&P 500 Index
Transactions Master Portfolio for the year ended February 28,
1999 are as follows:
<TABLE>
<CAPTION>
Aggregate Purchases S&P 500 Index
and Sales of: Master Portfolio
<S> <C>
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $ 0
Sales proceeds 0
OTHER SECURITIES:
Purchases at cost $1,187,951,471
Sales proceeds 275,613,257
</TABLE>
4. Portfolio As of February 28, 1999, the S&P 500 Index Master
Securities Portfolio had loaned securities which were
Loaned collateralized by cash. The Master Portfolio
receives transaction fees for providing services
in connection with the securities lending program.
The risks to the Portfolio of securities lending
are that the borrower may not provide additional
collateral when required or return the securities
when due. The value of the securities on loan and
the value of the related collateral were as
follows:
<TABLE>
<CAPTION>
Securities Collateral
<S> <C> <C>
S&P 500 Index Master Portfolio $80,346,100 $82,737,119
</TABLE>
5. Financial The portfolio turnover rates, excluding short-term
Highlights securities, for the S&P 500 Index Master Portfolio
are as follows:
<TABLE>
<CAPTION>
For the
Period from
May 26, 1994
For the For the For the For the (commencement
Year Ended Year Ended Year Ended Year Ended of operations) to
February 28, February 28, February 28, February 29, February 28,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
S&P 500 Index
Master Portfolio 11% 6% 4% 2% 5%
</TABLE>
27
<PAGE>
================================================================================
Master Investment Portfolio - S&P 500 Index Master Portfolio
Report of Independent Accountants
================================================================================
To the Shareholders and Board of Trustees
Master Investment Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of S&P 500 Index Master Portfolio (one of the
portfolios comprising Master Investment Portfolio) as of February 28, 1999, and
the related statement of operations for the year then ended, the statements of
changes in net assets for each of the years in the two-year period then ended
and the financial highlights for each of the years in the four-year period then
ended. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The period indicated in Note 5 ending prior to March 1, 1995, was
audited by other auditors whose report dated April 20, 1995, expressed an
unqualified opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
February 28, 1999 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of S&P
500 Index Master Portfolio as of February 28, 1999, the results of its
operations, the changes in its net assets and the financial highlights for the
periods indicated herein, except as noted above, in conformity with generally
accepted accounting
principles.
/s/ KPMG LLP
San Francisco, California
April 2, 1999
28
<PAGE>
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.
<PAGE>
Distributor
MML Distributors, LLC
1414 Main Street
Springfield, MA 01144
April 29, 1999 L7297 499
