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MASSMUTUAL INSTITUTIONAL FUNDS
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[GRAPHIC]
MassMutual Indexed Equity Fund
Semiannual Report . August 31, 1999
<PAGE>
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Table of Contents
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Letter to Shareholders .................................................... 1
MassMutual Indexed Equity Fund
Financial Statements ................................................... 4
Notes to Financial Statements .......................................... 8
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments ............................................... 12
Financial Statements ................................................... 22
Notes to Financial Statements .......................................... 25
<PAGE>
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MassMutual Indexed Equity Fund - Letter to Shareholders
- --------------------------------------------------------------------------------
To Our Shareholders
[PHOTO OF STUART G. REESE]
Stuart H. Reese
October 15, 1999
MassMutual Indexed Equity Fund (the "Fund") invests all of its assets in the S&P
500 Index/R/ 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/R/ (the "Index").
For the first six months of fiscal year 1999, the Fund returned 7.13% for Class
S shares; the Index returned 7.32%. The 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, and because a small
percentage of the Fund's assets are invested in low-risk, low-return money
market securities used to process transactions.
While the Master Portfolio returned 7.17% for the first half of the fiscal year,
the 15 largest companies in the S&P 500 Index/R/ returned 14.9% during this
period. Leading the charge were Microsoft, Intel, and IBM, which returned 22%,
40%, and 47%, respectively. America Online and Microsoft alone were responsible
for one-third of the Index's return in March.
Value and growth stocks were alternately in and out of favor throughout the
first six months of the fiscal year, but their overall returns for this period
were similar: value stocks returned 7.8% and growth stocks returned 6.9%.
In June, the Federal Reserve Board increased the short-term interest rate 0.25%
and moved to a neutral view on future increases. The stock market responded well
to the news. Large-cap stocks outpaced small-caps, and mid-caps lagged both
groups, but each asset class performed well in June. June also saw the addition
of specialty retailer Best Buy to the S&P 500 Index. Best Buy was one of the
best performing stocks in the Index, returning 48% for the month.
Federal Reserve Board Chairman Alan Greenspan reported in July that the Fed had
changed its view on interest rates again. The chairman warned of the potential
rise in inflation that could result from a slow down in productivity
improvements and a tightening of the labor market. He also reminded investors
that, in accordance with a now well established policy, any signs that indicate
the potential for inflation would compel the Fed to act "promptly and
forcefully."
Investors analyzed economic news carefully in August; there was significantly
less activity than in previous months among stocks in the S&P 500 Index.
Prompted by the tightening of the job market and strong domestic demand, the Fed
raised short-term interest rates by another 0.25%. The effect on the stock
market was minimal, however, since investors had already been anticipating
another rate increase.
* 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", "S&P", "S&P500",
and "Standard & Poor's 500", 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.
** The Fund does not have its own investment adviser. It is organized as a
"feeder" fund in a "master-feeder" structure. Instead of investing directly in
the individual securities in the portfolio, the feeder fund, which is offered to
the public, holds interests in the net assets of the Master Portfolio. It is the
Master Portfolio that actually invests in the individual securities. References
to "the Fund" are to MassMutual Indexed Equity Fund. Barclays Global Fund
Advisors advises the Master Portfolio. The Master Portfolio may accept
investments from other feeder funds. Certain events involving other feeder
funds, such as a substantial withdrawal, could affect the Master Portfolio.
1
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MassMutual Indexed Equity Fund - Letter to Shareholders - (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.
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
2
<PAGE>
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MassMutual Indexed Equity Fund
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Indexed Equity Fund Classes A, Y, S and
the Standard and Poor's 500 Composite Index.
- --------------------------------------------------------------------------------
MassMutual Indexed Equity Fund Total Return
Year To Date One Year Average Annual
3/1/99-8/31/99 9/1/98-8/31/99 3/1/98-8/31/99
Class A 6.88% 38.45% 16.95%
Class Y 7.07% 39.07% 17.46%
Class S 7.13% 39.17% 17.60%
- --------------------------------------------------------------------------------
Standard & Poor's 7.32% 39.81% 18.15%
500 Composite Index
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[LINE GRAPH]
Class A Class Y Class S S&P 500
3/1/98 10,000 10,000 10,000 10,000
5/98 10,410 10,420 10,420 10,435
8/98 9,140 9,160 9,170 9,192
11/98 11,120 11,160 11,180 11,215
2/99 11,840 11,898 11,913 11,974
5/99 12,452 12,533 12,558 12,631
8/99 12,655 12,739 12,762 12,851
Hypothetical Investments in MassMutual Indexed Equity Fund Class L and the
Standard and Poor's 500 Composite Index.
Year To Date
7/1/99-8/31/99
Class L -3.72%
- --------------------------------------------------------------------------------
Standard & Poor's -3.60%
500 Composite Index
- --------------------------------------------------------------------------------
[LINE GRAPH]
Class L S&P 500
7/1/99 10,000 10,000
7/31/99 9,680 9,688
8/31/99 9,628 9,640
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 Composite Index is unmanaged and
does not incur expenses, and cannot be purchased directly by investors.
3
<PAGE>
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MassMutual Indexed Equity Fund -- Financial Statements
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
August 31, 1999
(Unaudited)
---------------
Assets:
<S> <C>
Investment in S&P 500 Index Master Portfolio, at value (Note 1) .......... $670,394,155
Receivable for Fund shares sold ......................................... 1,789,376
------------
Total assets ........................................................... 672,183,531
------------
Liabilities:
Payables for:
Fund shares redeemed ................................................... 447,709
Directors' fees and expenses (Note 3) .................................. 771
Affiliates (Note 3):
Administration fees ................................................... 204,808
Service fees .......................................................... 112
Accrued expenses ........................................................ 3,719
------------
Total liabilities ..................................................... 657,119
------------
Net assets .............................................................. $671,526,412
============
Net assets consist of:
Paid-in capital ......................................................... $605,087,552
Undistributed net investment income ..................................... 3,772,757
Accumulated net realized gain on investments and closed futures contracts 17,693,939
Net unrealized appreciation on investments and open futures contracts ... 44,972,164
------------
$671,526,412
============
Net assets:
Class A ................................................................. $ 659,310
============
Class L ................................................................. $ 97,276
============
Class Y ................................................................. $ 17,395,165
============
Class S ................................................................. $653,374,661
============
Shares outstanding:
Class A ................................................................. 52,361
============
Class L ................................................................. 7,724
============
Class Y ................................................................. 1,381,186
============
Class S ................................................................. 51,712,080
============
Net asset value, offering price and redemption price per share:
Class A ................................................................. $ 12.59
============
Class L ................................................................. $ 12.59
============
Class Y ................................................................. $ 12.59
============
Class S ................................................................. $ 12.63
============
</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 Operations
<TABLE>
<CAPTION>
Six months ended
August 31, 1999
(Unaudited)
----------------
Net investment income allocated from Master Portfolio:
<S> <C>
Dividends ..................................................................................... $ 3,556,192
Interest ...................................................................................... 775,794
Expenses ...................................................................................... (142,657)
------------
Total net investment income allocated from Master Portfolio .................................. 4,189,329
------------
Expenses:
Audit and legal fees .......................................................................... 9,637
Directors' fees (Note 3) ...................................................................... 10,093
Miscellaneous ................................................................................. 9,198
------------
28,928
Administration fees (Note 3):
Class A ...................................................................................... 497
Class L* ..................................................................................... 90
Class Y ...................................................................................... 12,055
Class S ...................................................................................... 1,002,888
Service fees (Note 3):
Class A ...................................................................................... 218
------------
Total expenses ................................................................................ 1,044,676
------------
Net investment income ......................................................................... 3,144,653
------------
Realized and unrealized gain (loss) allocated from Master Portfolio:
Net realized gain on investment transactions and closed futures contracts .................... 17,366,411
Net change in unrealized appreciation (depreciation) on investments and open futures contracts 7,393,441
------------
Net realized and unrealized gain allocated from Master Portfolio ............................. 24,759,852
------------
Net increase in net assets resulting from operations ......................................... $ 27,904,505
============
</TABLE>
* For the period from July 1, 1999 (commencement of operations) through
August 31, 1999.
The accompanying notes are an integral part of the financial statements.
5
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MassMutual Indexed Equity Fund - Financial Statements (Continued)
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Six months ended
August 31, 1999 Year ended
(Unaudited) February 28, 1999
---------------- -----------------
Increase (Decrease) in Net Assets:
Operations:
<S> <C> <C>
Net investment income ................................................... $ 3,144,653 3,037,136
Net realized gain on investment transactions and closed futures contracts 17,366,411 2,030,590
Net change in unrealized appreciation (depreciation) on investments and
open futures contracts ................................................. 7,393,441 37,578,723
------------- ----------------
Net increase in net assets resulting from operations .................... 27,904,505 42,646,449
------------- ----------------
Distributions to shareholders (Note 2):
From net investment income:
Class A ................................................................. - (306)
Class L* ................................................................ - -
Class Y ................................................................. (1,476) (5,865)
Class S ................................................................. (1,960) (2,399,425)
------------- ----------------
Total distributions from net investment income ......................... (3,436) (2,405,596)
------------- ----------------
From net realized gains:
Class A ................................................................. (1,669) -
Class L* ................................................................ (248) -
Class Y ................................................................. (44,646) -
Class S ................................................................. (1,656,499) -
------------- ----------------
Total distributions from net realized gains ............................ (1,703,062) -
------------- ----------------
Net fund share transactions (Note 4):
Class A ................................................................. 543,867 100,306
Class L* ................................................................ 101,248 -
Class Y ................................................................. 17,045,318 806,844
Class S ................................................................. 199,974,033 386,515,936
------------- ----------------
Increase in net assets from net fund share transactions .............. 217,664,466 387,423,086
------------- ----------------
Total increase in net assets ........................................... 243,862,473 427,663,939
Net assets:
Beginning of period ..................................................... 427,663,939 -
------------- ----------------
End of period (including undistributed net investment income
of $3,772,757 and $631,540, respectively) ............................... $ 671,526,412 427,663,939
============= ================
</TABLE>
* For the period from July 1, 1999 (commencement of operations) through August
31, 1999.
The accompanying notes are an integral part of the financial statements.
6
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MassMutual Indexed Equity Fund - Financial Statements (Continued)
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Financial Highlights
(For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A Class L
--------- -------
Six months ended Period ended
8/31/99 Year ended 8/31/99
(Unaudited) 2/28/99 (Unaudited)+
----------- ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 11.81 $ 10.00 $ 13.11
--------- --------- ---------
Income (loss) from investment operations:
Net investment income 0.04 ** 0.06 ** 0.02 **
Net realized and unrealized gain (loss) 0.77 1.78 (0.51)
--------- --------- ---------
Total income (loss) from investment operations 0.81 1.84 (0.49)
--------- --------- ---------
Less distributions to shareholders:
From net investment income -- (0.03) --
From net realized gains (0.03) -- (0.03)
--------- --------- ---------
(0.03) (0.03) (0.03)
--------- --------- ---------
Net asset value, end of period $ 12.59 $ 11.81 $ 12.59
========= ========= =========
Total Return@ 6.88% 18.40% (3.72%)
Ratios / Supplemental Data:
Net assets, end of period (000's) $659 $118 $97
Net expenses to average daily net assets 0.88% * 1.09% 0.59% *
Net investment income to average daily net assets 0.67% * 0.57% 0.88% *
</TABLE>
<TABLE>
<CAPTION>
Class Y Class S
------- -------
Six months ended Six months ended
8/31/99 Year ended 8/31/99 Year ended
(Unaudited) 2/28/99 (Unaudited) 02/28/99
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.79 $ 10.00 $ 11.82 $ 10.00
------------- --------- ---------- ----------
Income (loss) from investment operations:
Net investment income 0.07 ** 0.12 ** 0.07 ** 0.13 **
Net realized and unrealized gain 0.76 1.78 0.77 1.78
------------- --------- ---------- ----------
Total income from investment operations 0.83 1.90 0.84 1.91
------------- --------- ---------- ----------
Less distributions to shareholders:
From net investment income 0.00 *** (0.11) 0.00 *** (0.09)
From net realized gains (0.03) - (0.03) -
------------- --------- ---------- ----------
(0.03) (0.11) (0.03) (0.09)
------------- --------- ---------- ----------
Net asset value, end of period $ 12.59 $ 11.79 $ 12.63 $ 11.82
============= ========= ========== ==========
Total Return@ 7.07% 18.98% 7.13% 19.13%
Ratios / Supplemental Data:
Net assets, end of period (000's) $17,395 $859 $653,375 $426,687
Net expenses to average daily net assets 0.44% * 0.52% 0.4154% * 0.4254%
Net investment income to average daily net assets 1.10% * 1.09% 1.10% * 1.23%
</TABLE>
* Annualized
+ For the period from July 1, 1999 (commencement of operations) through
August 31, 1999.
** 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.
*** Net investment income is less than $0.01 per share.
@ 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>
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MassMutual Indexed Equity Fund - Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
1. The Fund MassMutual Indexed Equity Fund (the "Fund") commenced
operations on March 1, 1998 and is a series of 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(R) Master Portfolio (the
"Master Portfolio") of Master Investment Portfolio ("MIP"),
an open-end, management investment company. The Master
Portfolio has substantially the same investment objective as
the Fund. Barclays Global Fund Advisors serves as investment
adviser 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 four classes of shares: Class A, Class L, Class
Y, and Class S. Class L commenced operations on July 1,
1999. The principal economic difference among the Classes is
the level of service and administration fees borne by the
Classes. These classes of shares are offered to different
types of investors, as outlined in the Fund's Prospectus.
2. Significant The value of the Fund's investment in the Master Portfolio
Accounting reflects the Fund's proportionate interest in the net assets
Policies of the Master Portfolio (15.4% at August 31,1999). 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 discussed
Valuation 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 daily, net of Master Portfolio
Investments expenses, 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 of
Distributions any realized capital gains of the Fund are declared and paid
to Shareholders 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
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MassMutual Indexed Equity Fund - Notes to Financial Statements - (Continued)
- --------------------------------------------------------------------------------
3. Administration
Fees and other
Transactions
with Affiliates
Administration Under an administrative and shareholder services agreement
Fees 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 .5345%
Class L .5345%
Class Y .3845%
Class S .3545%
Prior to April 6, 1999, MassMutual received an
administrative services fee at the following annual rates:
Class A .7688%
Class Y .3888%
Class S .3588%
Distribution MML Distributors, LLC (the "Distributor") acts as
and Service distributor to the Fund. The Distributor is a majority-owned
Fees subsidiary of MassMutual. The Fund has adopted a Rule 12b-1
Plan for Class A shares of the Fund. Under the Plan, the
Fund is permitted to pay distribution and service fees at
the annual rate of .25%, in the aggregate, of the Fund's
average daily net assets attributable to Class A shares.
Distribution fees may be paid to brokers or other financial
intermediaries for providing services in connection with the
distribution and marketing of Class A shares and for related
expenses. Service fees may be paid to brokers or other
financial intermediaries for providing personal services to
Class A shareholders and/or maintaining Class A shareholder
accounts and for related expenses.
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, 1999, MassMutual or separate investment
accounts thereof owned 100% of the outstanding shares of
Class L and 19.34%, 88.16% and 98.64% of the outstanding
shares of Class A, Class Y and Class S, respectively.
9
<PAGE>
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MassMutual Indexed Equity Fund - Notes to Financial Statements - (Continued)
- --------------------------------------------------------------------------------
4. Shares of The Fund is authorized to issue an unlimited number of
Beneficial shares. Changes in shares outstanding were as follows:
Interest
Class A
Six Months Ended Year Ended
August 31, 1999 February 28, 1999
----------------------- -----------------------
Shares Amount Shares Amount
-------- ----------- ---------- -----------
Sold 42,203 $ 542,198 10,000 $ 100,000
Issued as
reinvestment of
dividends 132 1,669 26 306
Redeemed - - - -
-------- ----------- ---------- -----------
Net increase 42,335 $ 543,867 10,026 $ 100,306
======== =========== ========== ===========
Class L
Period from July 1, 1999
(commencement of operations)
to August 31, 1999
--------------------------------------------
Shares Amount
--------------------- -------------------
Sold 7,704 $ 101,000
Issued as reinvestment
of dividends 20 248
Redeemed - -
--------------------- -------------------
Net increase 7,724 $ 101,248
===================== ===================
10
<PAGE>
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MassMutual Indexed Equity Fund - Notes to Financial Statements - (Continued)
- --------------------------------------------------------------------------------
Class Y
Six Months Ended Year Ended
August 31, 1999 February 28, 1999
----------------------------- --------------------------------
Shares Amount Shares Amount
------------ --------------- -------------- ---------------
Sold 1,357,153 $ 17,670,600 72,879 $ 807,017
Issued as
reinvestment
of dividends 3,652 46,122 497 5,865
Redeemed (52,471) (671,404) (524) (6,038)
------------ --------------- -------------- ---------------
Net increase 1,308,334 $ 17,045,318 72,852 $ 806,844
============ =============== ============== ===============
Class S
Six Months Ended Year Ended
August 31, 1999 February 28, 1999
----------------------------- --------------------------------
Shares Amount Shares Amount
------------ --------------- -------------- ---------------
Sold 24,403,404 $ 311,861,253 46,076,164 $ 493,701,831
Issued as
reinvestment
of dividends 130,897 1,658,459 202,483 2,399,425
Redeemed (8,908,170) (113,545,679) (10,192,698) (109,585,320)
------------ --------------- -------------- ---------------
Net increase 15,626,131 $ 199,974,033 36,085,949 $ 386,515,936
============ =============== ============== ===============
11
<PAGE>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS--95.87%
ADVERTISING--0.12%
Omnicom Group 68,759 $ 5,182,710
-----------
TOTAL ADVERTISING
-VALUE $ 5,182,710
- COST $ 3,464,154
AEROSPACE & DEFENSE--1.47%
Allied Signal Inc 212,485 $ 13,014,706
Boeing Co 374,457 16,967,583
Briggs & Stratton Corp 9,122 555,302
General Dynamics Corp 71,266 4,489,758
Lockheed Martin Corp 151,773 5,615,601
Northrop Grumman Corp 26,579 1,926,977
Rockwell International Corp 73,375 4,338,297
Textron Inc 58,104 4,691,898
United Technologies Corp 185,408 12,260,104
-----------
TOTAL AEROSPACE & DEFENSE
-VALUE $ 63,860,226
- COST $ 47,536,525
AIRLINES--0.35%
AMR Corp+ 59,167 $ 3,468,665
Delta Air Lines Inc 54,057 2,746,771
FDX Corp+ 114,517 4,859,815
Southwest Airlines Co 194,017 3,237,659
USAirways Group Inc+ 28,645 882,624
-----------
TOTAL AIRLINES
-VALUE $ 15,195,534
- COST $ 13,249,747
APPAREL--0.19%
Liz Claiborne Inc 24,521 $ 901,147
Nike Inc Class B 108,262 5,007,117
Reebok International Ltd+ 22,146 261,600
Russell Corp 13,707 229,592
VF Corp 46,340 1,668,240
-----------
TOTAL APPAREL
-VALUE $ 8,067,696
- COST $ 8,047,996
AUTO PARTS & EQUIPMENT--0.71%
Cooper Tire & Rubber Co 29,617 $ 562,723
Dana Corp 64,030 2,789,307
Delphi Automotive Systems Corp 216,361 4,056,769
Deluxe Corp 30,344 1,033,593
Eaton Corp 27,696 2,714,208
Genuine Parts Co 69,138 1,996,360
Goodyear Tire & Rubber Co 60,125 3,374,516
Illinois Tool Works Inc 96,386 7,512,084
ITT Industries Inc 34,073 1,152,093
Navistar International Corp+ 25,666 1,248,009
PACCAR Inc 30,273 1,668,799
The Pep Boys - Manny Moe & Jack 20,775 302,536
TRW Inc 46,477 2,532,996
-----------
TOTAL AUTO PARTS &
EQUIPMENT
-VALUE $ 30,943,993
- COST $ 21,969,352
AUTOMOBILES--0.94%
Ford Motor Co 465,310 $ 24,254,284
General Motors Corp Class A 249,229 16,480,268
-----------
TOTAL AUTOMOBILES
-VALUE $ 40,734,552
- COST $ 32,553,058
BANK & FINANCE--10.85%
American Express Corp 173,157 $ 23,809,087
Amsouth Bancorp 65,402 1,430,669
Associates First Capital Corp 279,960 9,606,128
Bank of America Corp 670,365 40,557,083
Bank of New York Inc 292,766 10,466,384
Bank One Corp 453,801 18,208,765
BankBoston Corp 114,237 5,304,881
BB&T Corp 120,484 4,036,214
Bear Stearns Co Inc 44,952 1,871,127
Capital One Financial Corp 76,100 2,872,775
Chase Manhattan 324,785 27,180,445
Citigroup Inc 1,298,214 57,689,385
Comerica Inc 60,198 3,134,058
Countrywide Credit Industries Inc 43,374 1,393,390
Equifax Inc 55,846 1,703,303
The accompanying notes are an integral part of the financial statements.
12
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS(Continued)
Federal Home Loan Mortgage Corp 267,231 $13,762,396
Federal National Mortgage Assoc 393,853 24,468,118
Fifth Third Bancorp 103,358 6,847,468
First Union Corp 372,082 15,441,403
Firstar Corp 254,506 6,823,942
Fleet Financial Group Inc 219,376 8,733,907
Franklin Resources Inc 97,131 3,490,645
Golden West Financial 21,678 1,968,633
Household International Inc 184,416 6,961,704
Huntington Bancshares Inc 89,157 2,669,138
Keycorp 172,399 4,999,571
Lehman Brothers Holdings 45,325 2,436,219
MBNA Corp 308,345 7,612,267
Mellon Bank Corp 200,463 6,690,453
Mercantile Bancorp 60,892 3,360,477
Merrill Lynch & Co Inc 141,507 10,559,960
MGIC Investment Corp 42,161 1,831,368
Morgan (J P) & Co Inc 68,179 8,807,875
Morgan Stanley Dean Witter 219,287 18,817,566
National City Corp 241,944 6,683,703
Northern Trust Corp 43,013 3,648,040
Paine Webber Group Inc 55,154 2,164,794
PNC Bank Corp 116,945 6,117,685
Regions Financial Corp 85,833 3,030,978
Republic New York Corp 40,554 2,813,434
Ryder System Inc 27,690 610,911
Schwab (Charles) Corp 313,908 12,399,366
SLM Holding Corp 62,784 2,774,268
State Street Boston Corp 62,052 3,715,364
Summit Bancorp 66,056 2,204,619
SunTrust Banks Inc 123,742 7,958,157
Synovus Financial Corp 103,581 1,955,091
U.S. Bancorp 279,559 8,631,384
Union Planters Corp 53,845 2,271,586
Wachovia Corp 78,040 6,116,385
Washington Mutual Inc 228,802 7,264,464
Wells Fargo & Co 635,204 25,289,059
------------
TOTAL BANK & FINANCE
- VALUE $471,196,092
- COST $368,598,868
BASIC INDUSTRIES--1.37%
Alcoa Inc 142,129 $ 9,176,204
ASARCO Inc 15,737 328,510
Avery-Dennison Corp 43,853 2,406,433
Baker Hughes Inc 126,058 4,285,972
Bemis Co 20,358 772,332
Boise Cascade Corp 22,043 801,814
Champion International Corp 36,981 2,033,955
Cyprus Amax Minerals 35,572 602,501
Dover Corp 82,213 3,180,615
Fort James Corp 85,088 2,744,088
Georgia-Pacific Corp 66,229 2,740,225
Homestake Mining Co 92,085 782,722
Ikon Office Solutions Inc 53,983 600,561
Inco Ltd 70,437 1,443,958
Louisiana-Pacific Corp 41,771 772,763
Mead Corp 39,296 1,466,232
Minnesota Mining & Manufacturing Co 154,761 14,624,914
NACCO Industries Inc Class A 3,027 235,728
Newmont Mining Corp 64,155 1,311,168
Potlatch Corp 11,371 439,205
Sealed Air Corp+ 32,207 1,892,161
Westvaco Corp 38,863 1,017,725
Weyerhauser Co 77,245 4,345,031
Willamette Industries Inc 42,972 1,702,766
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 59,707,583
- COST $ 49,359,697
BEVERAGES--2.40%
Anheuser-Busch Inc 182,844 $ 14,078,988
Coca-Cola Co 948,081 56,707,095
Coca-Cola Enterprises Co 163,218 4,641,512
Coors (Adolph) Co Class B 14,382 820,673
Diageo PLC ADR (UK) 17 704
Pepsico Inc 567,584 19,368,804
Seagrams Co Ltd 164,617 8,734,990
------------
TOTAL BEVERAGES
- VALUE $104,352,766
- COST $ 86,249,234
The accompanying notes are an integral part of the financial statements.
13
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- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
BROADCASTING--0.94%
Clear Channel Communications Inc+ 127,745 $ 8,950,134
Kingworld Productions+ 27,521 1,049,238
MediaOne Group Inc+ 232,765 15,304,299
Tribune Co 45,611 4,256,076
Viacom Inc Class B+ 265,469 11,166,290
-----------
TOTAL BROADCASTING
- VALUE $ 40,726,037
- COST $ 24,527,058
BUILDING MATERIALS & SERVICES--0.47%
Cooper Industries Inc 36,420 $ 1,889,288
Corning Inc 93,893 6,243,884
Danaher Corp 51,856 3,046,540
Owens Corning Fiberglass Corp 20,986 590,231
Owens Illinois Inc+ 60,369 1,494,133
PPG Industries Inc 66,894 4,017,821
Snap-On Inc 23,453 793,005
Stanley Works 34,452 908,672
Vulcan Materials Co 32,120 1,369,115
-----------
TOTAL BUILDING MATERIALS
& SERVICES
- VALUE $ 20,352,689
- COST $ 17,600,534
BUSINESS SERVICES--0.38%
Cendant Corp+ 276,369 $ 4,957,369
Dun & Bradstreet Corp 63,376 1,659,659
Ecolab Inc 50,020 1,878,876
Paychex Inc 94,861 2,792,471
Waste Management Inc 234,418 5,113,243
-----------
TOTAL BUSINESS SERVICES
- VALUE $ 16,401,618
- COST $ 23,325,867
CHEMICALS--1.57%
Air Products & Chemicals Inc 88,409 $ 3,005,906
Clorox Co 90,512 4,095,668
Dow Chemical Co 84,458 9,596,540
Du Pont (E I) De Nemours 375,155 23,775,452
Eastman Chemical Co 30,282 1,406,220
FMC Corp+ 12,392 721,834
Goodrich (B F) Co 34,653 1,279,995
Grace (W R) Co+ 27,178 519,779
Great Lakes Chemical Corp 22,691 934,586
Hercules Inc 38,616 1,257,434
International Flavor & Fragrances 40,998 1,670,668
Monsanto Co 242,852 9,972,110
Praxair Inc 60,801 2,857,647
Rohm & Haas Co 81,296 3,038,438
Sigma-Aldrich Corp 39,041 1,259,072
Union Carbide Corp 51,317 2,918,654
-----------
TOTAL CHEMICALS
- VALUE $ 68,310,003
- COST $ 58,101,063
COMPUTER SOFTWARE--7.66%
3Com Corp+ 139,468 $ 3,460,550
Adobe Systems Inc 23,548 2,345,970
America Online Inc+ 417,436 38,117,125
Autodesk Inc 20,332 467,636
Automatic Data Processing 237,977 9,355,471
BMC Software Inc+ 90,534 4,871,861
Ceridian Corp+ 55,853 1,563,884
Computer Associates International Inc 206,276 11,654,594
Computer Sciences Corp+ 61,171 4,232,269
Compuware Corp+ 141,575 4,273,795
Electronic Data Systems Corp 189,288 10,623,789
First Data Corp 166,183 7,312,052
IMS Health Inc 122,063 3,371,990
Microsoft Corp+ 1,959,084 181,337,713
Novell Inc+ 129,664 3,071,416
Oracle Systems Corp+ 553,231 20,192,932
Parametric Technology Corp+ 104,783 1,466,962
Peoplesoft Inc+ 90,560 1,279,160
Sun Microsystems Inc+ 297,468 23,648,706
-----------
TOTAL COMPUTER SOFTWARE
- VALUE $332,647,875
- COST $195,303,039
COMPUTER SYSTEMS--7.32%
Apple Computer Inc+ 60,296 $ 3,934,314
Cabletron Systems Inc+ 62,807 1,055,943
Cisco Systems Inc+ 1,227,206 83,219,907
Compaq Computer Corp 653,442 15,151,686
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
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Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Data General Corp+ 19,257 $ 355,051
Dell Computer Corp+ 974,506 47,568,074
EMC Corp+ 389,059 23,343,540
Gateway Inc+ 60,319 5,847,173
Harris Corp 31,034 814,642
Hewlett-Packard Co 390,024 41,098,779
International Business Machine Corp 697,229 86,848,587
Seagate Technology Inc+ 85,966 2,852,997
Shared Medical System Corp 10,340 580,979
Silicon Graphics Inc+ 73,128 836,402
Unisys Corp+ 103,275 4,440,825
-----------
TOTAL COMPUTER SYSTEMS
-VALUE $317,948,899
- COST $146,570,322
CONTAINER & PACKAGING--0.29%
Ball Corp 11,780 $ 529,364
Crown Cork & Seal Co 47,391 1,258,823
International Paper Co 157,917 7,431,969
Temple-Inland Inc 21,587 1,338,394
Tenneco Inc 65,875 1,325,734
Tupperware Corp 22,621 510,386
-----------
TOTAL CONTAINER &
PACKAGING
-VALUE $ 12,394,670
- COST $ 13,330,694
ELECTRICAL EQUIPMENT--3.90%
General Electric Co 1,256,906 $141,166,255
Grainger (W W) Inc 36,123 1,573,608
Masco Corp 129,783 3,674,481
Motorola Inc 231,748 21,378,753
National Service Industries Inc 15,998 511,936
Thomas & Betts Corp 21,793 980,685
-----------
TOTAL ELECTRICAL
EQUIPMENT
-VALUE $169,285,718
- COST $101,065,305
ELECTRONICS--5.27%
Advanced Micro Devices+ 55,827 $ 1,154,921
Applied Materials Inc+ 143,428 10,192,352
CBS Corp+ 273,701 12,863,947
EG&G Inc 17,648 561,427
Emerson Electric Co 167,372 10,481,672
General Instrument Corp+ 65,466 3,220,109
Honeywell Inc 48,534 5,508,609
Intel Corp 1,274,695 104,763,995
Johnson Controls Inc 32,858 2,246,666
KLA Instruments Corp+ 33,808 2,123,565
Lexmark International Group Class A+ 43,375 3,415,781
LSI Logic Corp+ 55,154 3,129,989
Micron Technology Inc+ 95,676 7,133,813
National Semiconductor+ 64,661 1,822,632
Pitney Bowes Inc 103,383 6,099,597
Raytheon Co Class B 129,293 8,808,086
Solectron Corp+ 97,952 7,664,744
Tektronix Inc 18,410 612,133
Texas Instruments Inc 301,213 24,718,292
Xerox Corp 254,226 12,139,291
-----------
TOTAL ELECTRONICS
-VALUE $228,661,621
- COST $120,465,061
ENERGY & RELATED--6.71%
Amerada Hess Corp 34,891 $ 2,165,423
Anadarko Petroleum Corp 46,745 1,589,330
Apache Corp 41,497 1,888,113
Ashland Inc 28,437 1,096,602
Atlantic Richfield Corp 123,780 10,884,904
Burlington Resources Inc 68,378 2,859,055
Chevron Corp 251,821 23,230,487
Coastal Corp 82,200 3,560,288
Columbia Gas System Inc 32,522 1,920,831
Conoco Inc Class B 243,868 6,553,947
Consolidated Natural Gas Co 36,921 2,351,406
Eastern Enterprises 8,432 378,913
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, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Enron Corp 271,940 $ 11,387,487
Exxon Corp 932,704 73,567,028
Halliburton Co 169,538 7,862,325
Helmerich & Payne Inc 19,470 536,642
Kerr-McGee Corp 32,874 1,840,944
Mobil Corp 300,646 30,778,634
NICOR Inc 18,445 713,591
Occidental Petroleum Corp 134,284 2,912,284
ONEOK Inc 12,234 380,019
Peoples Energy Corp 13,909 506,809
Phillips Petroleum Co 97,217 4,958,067
Rowan Co Inc+ 32,475 604,847
Royal Dutch Petroleum Corp 823,814 50,973,491
Schlumberger Ltd 210,312 14,038,326
Sonat Offshore Drilling Co 42,557 1,537,372
Sunoco Inc 35,137 1,144,149
Texaco Inc 206,300 13,100,050
Union Pacific Resources Group 97,483 1,748,601
Unocal Corp 93,353 3,909,157
USX - Marathon Group 118,917 3,701,292
Williams Co Inc 166,340 6,861,525
-----------
TOTAL ENERGY & RELATED
-VALUE $291,541,939
-COST $204,943,461
ENGINEERING & CONSTRUCTION--0.09%
Armstrong World Industries Inc 15,543 $ 754,807
Centex Corp 23,215 652,922
Fleetwood Enterprises Inc 13,708 279,301
Fluor Corp 29,408 1,216,770
Foster Wheeler Corp 15,952 206,379
Kaufman & Broad Home Corp 17,979 367,446
Pulte Corp 17,087 395,137
-----------
TOTAL ENGINEERING &
CONSTRUCTION
-VALUE $ 3,872,762
- COST $ 4,511,394
ENTERTAINMENT & LEISURE--1.33%
Brunswick Corp 35,682 $ 912,121
Disney (Walt) Co 791,454 21,962,848
Harrah's Entertainment Inc+ 48,115 1,082,587
Hasbro Inc 75,482 1,844,591
Mattel Inc 159,572 3,400,878
Mirage Resorts Inc+ 73,225 956,502
Polaroid Corp 17,470 473,874
Time Warner Inc 458,370 27,187,071
-----------
TOTAL ENTERTAINMENT &
LEISURE
-VALUE $ 57,820,472
- COST $ 48,565,248
ENVIRONMENTAL CONTROL--0.01%
Allied Waste Industries Inc+ 50,915 $ 649,166
-----------
TOTAL ENVIRONMENTAL
CONTROL
-VALUE $ 649,166
- COST $ 910,968
FOOD & RELATED--3.24%
Albertson's Inc 161,736 $ 7,753,220
Archer-Daniels-Midland Co 238,053 3,094,692
Bestfoods 107,572 5,284,475
Brown-Forman Corp Class B 26,460 1,554,525
Campbell Soup Co 167,791 7,414,265
ConAgra Inc 187,991 4,605,779
Darden Restaurants Inc 51,880 810,625
General Mills Inc 58,793 4,923,914
Great Atlantic & Pacific Tea Co 14,838 521,185
Heinz (H J) Co 138,292 6,456,508
Hershey Foods Corp 53,845 2,884,073
Kellogg Co 155,909 5,544,514
Kroger Co+ 317,760 7,348,200
McDonald's Corp 521,848 21,591,461
Nabisco Group Holdings Corp 125,413 2,226,081
Pioneer Hi Bred International Inc 92,295 3,611,042
Quaker Oats Co 51,978 3,472,780
Ralston-Purina Group 124,496 3,423,640
Safeway Inc+ 190,959 8,891,528
Sara Lee Corp 347,557 7,711,421
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Super Value Inc 46,279 $ 1,041,277
Sysco Corp 127,462 4,158,448
Tricon Global Restaurants+ 59,212 2,405,488
Unilever NV 219,729 15,133,835
UST Inc 68,036 2,155,891
Wendy's International Inc 47,843 1,339,604
Winn-Dixie Stores Inc 57,358 1,950,172
Wrigley (W M) Jr Co 44,737 3,503,466
-----------
TOTAL FOOD & RELATED
-VALUE $ 140,812,109
- COST $ 121,146,498
FURNITURE & APPLIANCES--0.20%
Maytag Corp 34,101 $ 2,135,575
Newell Rubbermaid Inc 108,510 4,448,910
Whirlpool Corp 29,131 2,059,198
-----------
TOTAL FURNITURE &
APPLIANCES
-VALUE $ 8,643,683
- COST $ 6,783,340
HEALTHCARE--0.40%
Cardinal Health Inc 104,862 $ 6,684,953
HCR Manor Care Inc+ 42,886 838,957
Healthsouth Corp+ 160,259 1,312,121
McKesson HBOC Inc 105,816 3,293,523
St Jude Medical Inc+ 32,653 1,183,671
United Healthcare Corp 66,713 4,056,984
-----------
TOTAL HEALTHCARE
-VALUE $ 17,370,209
- COST $ 22,445,162
HOSPITAL & MEDICAL SUPPLIES--2.48%
Bard (C R) Inc 19,978 $ 931,474
Bausch & Lomb Inc 21,821 1,441,550
Baxter International Inc 112,181 7,523,138
Becton Dickinson & Co 96,061 2,701,716
Biomet Inc 43,468 1,553,981
Boston Scientific Corp+ 152,221 5,166,000
Columbia/HCA Healthcare Corp 218,746 5,386,620
Guidant Corp 116,221 6,820,720
Johnson & Johnson 516,857 52,848,628
Mallinckrodt Group Inc 27,624 885,695
Medtronic Inc 224,528 17,569,316
PE Corp-Celera Genomics Group+ 1 14
PE Corp-PE Biosystems Group 38,586 2,655,199
Tenet Healthcare Corp+ 119,943 2,091,506
-----------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
-VALUE $ 107,575,557
- COST $ 71,203,180
HOUSEHOLD PRODUCTS--2.28%
Alberto-Culver Co Class B 21,777 $ 553,952
Avon Products Inc 100,873 4,425,803
Colgate-Palmolive Co 224,734 12,023,269
Gillette Co 426,333 19,877,776
Kimberly-Clark Corp 204,651 11,652,316
Procter & Gamble Co 510,391 50,656,307
-----------
TOTAL HOUSEHOLD PRODUCTS
-VALUE $ 99,189,423
- COST $ 67,996,257
INSURANCE--3.28%
Aetna Inc 54,289 $ 4,220,970
AFLAC Corp 102,592 4,610,228
Allstate Corp 310,289 10,181,358
American General Corp 96,513 6,852,423
American International Group Inc 594,915 55,141,184
Aon Corp 98,712 3,294,496
Chubb Corp 63,769 3,646,790
CIGNA Corp 78,247 7,027,559
Cincinnati Financial Corp 63,724 2,525,064
Conseco Inc 123,646 2,967,504
Hartford Financial Services Group 87,372 3,969,965
Humana Inc+ 64,704 586,380
Jefferson-Pilot Corp 40,814 2,724,335
Lincoln National Corp 77,137 3,615,797
Loews Corp 42,103 3,305,085
Marsh & McLennan Companies Inc 101,285 7,374,814
MBIA Inc 38,539 1,999,211
Progressive Corp Ohio 28,125 2,868,750
Providian Financial Corp 54,779 4,252,220
SAFECO Corp 52,652 1,875,728
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, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
St Paul Co 87,313 $ 2,799,473
Torchmark Corp 51,586 1,470,201
Unumprovident Corp 91,680 3,306,210
Wellpoint Health Networks+ 25,355 1,847,746
-----------
TOTAL INSURANCE
-VALUE $ 142,463,491
- COST $ 113,506,068
LODGING--0.10%
Hilton Hotels Corp 100,112 $ 1,226,372
Marriott International 96,163 3,293,583
-----------
TOTAL LODGING
-VALUE $ 4,519,955
- COST $ 3,933,445
MACHINERY--0.55%
Black & Decker Corp 33,627 $ 1,769,621
Case Corp 28,728 1,418,445
Caterpillar Inc 136,878 7,750,717
Cummins Engine Co Inc 15,900 942,075
Deere & Co 89,327 3,472,587
Ingersoll-Rand Co 63,926 4,067,292
McDermott International Inc 23,106 521,329
Milacron Inc 14,859 267,462
Pall Corp 48,399 961,930
Parker Hannifin Corp 41,881 1,832,294
Thermo Electron Corp+ 61,303 973,185
-----------
TOTAL MACHINERY
-VALUE $ 23,976,937
- COST $ 20,007,879
MANUFACTURING--0.74%
Tyco International Ltd 319,239 $ 32,342,901
-----------
TOTAL MANUFACTURING
-VALUE $ 32,342,901
- COST $ 18,191,587
METAL FABRICATORS--0.41%
Alcan Aluminum Ltd 87,215 $ 2,867,193
Allegheny Teledyne Inc 74,541 1,392,985
Barrick Gold Corp 147,998 2,867,461
Bethlehem Steel Corp+ 50,451 387,842
Crane Co 26,543 638,691
Engelhard Corp 48,653 970,019
Freeport McMoRan Inc 63,424 1,018,748
Nucor Corp 33,744 1,571,205
Phelps Dodge Corp 22,501 1,258,650
Placer Dome Inc 120,056 1,245,581
Reynolds Metals Co 24,983 1,581,736
Timken Co 24,501 430,299
USX - U.S. Steel Group 34,183 922,941
Worthington Industries Inc 36,040 540,600
-----------
TOTAL METAL FABRICATORS
-VALUE $ 17,693,951
- COST $ 19,735,825
PHARMACEUTICALS--7.72%
Abbott Laboratories 584,310 $ 25,344,446
Allergan Inc 25,530 2,549,809
ALZA Corp+ 37,839 1,906,140
American Home Products Corp 503,263 20,885,414
Amgen Inc+ 196,816 16,372,631
Bristol-Myers Squibb Co 762,998 53,695,984
Lilly (Eli) & Co 422,994 31,565,927
Merck & Co Inc 906,918 60,933,553
Millipore Corp 17,225 650,244
Pfizer Inc 1,491,826 56,316,431
Pharmacia and Upjohn Inc 194,916 10,184,361
Schering-Plough Corp 565,744 29,736,919
SouthTrust Corp 63,289 2,234,893
Warner Lambert Co 326,913 21,657,986
Watson Pharmaceutical Inc+ 35,421 1,270,728
-----------
TOTAL PHARMACEUTICALS
-VALUE $ 335,305,466
- COST $ 219,833,681
PUBLISHING--0.82%
American Greetings Corp Class A 26,270 $ 727,351
Comcast Corp Class A 284,668 9,287,294
Donnelley (R R) & Sons Co 50,585 1,587,104
Dow Jones & Co Inc 35,006 1,759,051
Gannett Co Inc 107,440 7,299,205
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
Interpublic Group Co Inc 107,953 $ 4,277,638
Knight-Ridder Inc 30,498 1,644,986
McGraw-Hill Inc 76,195 3,938,329
Meredith Corp 20,197 700,583
New York Times Co Class A 68,064 2,658,750
Times Mirror Co Class A 27,821 1,606,663
-------------
TOTAL PUBLISHING
- VALUE $ 35,486,954
- COST $ 24,459,043
RETAIL & RELATED--5.37%
AutoZone Inc+ 57,916 $ 1,379,115
Best Buy Co Inc+ 78,658 5,525,724
Circuit City Stores Inc 77,413 3,328,759
Consolidated Stores Corp+ 42,302 682,120
Costco Wholesale Corp+ 84,538 6,319,215
CVS Corp 150,314 6,266,215
Dayton-Hudson Corp 170,194 9,871,252
Dillards Inc Class A 41,422 973,417
Dollar General Corp 85,424 2,221,024
Eastman Kodak Co 123,771 9,089,433
Federated Department Stores Inc+ 80,067 3,683,082
Gap Inc 330,368 12,925,648
Harcourt General Inc 27,581 1,208,393
Home Depot Inc 569,324 34,799,930
Jostens Inc 13,796 277,645
K Mart Corp+ 190,959 2,398,922
Kohls Corp+ 62,454 4,449,848
Limited Inc 82,098 3,109,462
Longs Drug Stores Corp 15,054 473,260
Lowe's Co Inc 142,840 6,463,510
May Department Stores Co 128,623 5,024,336
Nordstrom Inc 54,895 1,554,215
Office Depot Inc+ 142,549 1,487,855
Penney (J C) Co Inc 101,249 3,670,276
Rite Aid Corp 100,031 1,850,574
Sears Roebuck & Co 146,604 5,497,650
Sherwin Williams Co 65,777 1,603,314
Staples Inc+ 178,979 3,892,793
Tandy Corp 74,595 3,524,614
TJX Companies Inc 123,913 3,577,988
Toys R Us Inc+ 96,145 1,328,003
Walgreen Co 385,178 8,931,315
WalMart Stores Inc 1,709,610 75,757,093
-------------
TOTAL RETAIL & RELATED
- VALUE $ 233,146,000
- COST $ 164,590,235
SERVICES--0.20%
Block (H R) Inc 37,527 $ 2,087,439
CMS Energy Corp 43,993 1,740,473
Public Service Enterprise Group 84,643 3,470,363
Service Corp International 101,954 1,408,240
-------------
TOTAL SERVICES
- VALUE $ 8,706,515
- COST $ 8,595,891
TELECOMMUNICATIONS--10.19%
ADC Telecommunications+ 43,031 $ 1,594,836
Alltel Corp 114,284 7,728,456
Ameritech Corp 422,254 26,654,784
Andrew Corp+ 32,217 563,798
AT & T Corp 1,222,528 55,013,760
Bell Atlantic Corp 596,395 36,529,194
BellSouth Corp 727,759 32,931,095
CenturyTel Inc 52,469 2,062,688
Frontier Corp 66,463 2,787,292
GTE Corp 373,425 25,626,291
Lucent Technologies Inc 1,167,863 74,816,224
MCI WorldCom Inc+ 714,889 54,152,842
Network Appliance Inc+ 26,625 1,748,930
NEXTEL Communications Class A+ 113,882 6,583,803
Nortel Networks Corp 509,968 20,940,553
Qualcom Inc+ 57,099 10,973,714
SBC Communication Inc 754,582 36,219,936
Scientific-Atlanta Inc 28,973 1,484,866
Sprint Corp 332,510 14,755,131
Sprint Corp (PCS Group)+ 169,096 10,103,486
Tellabs Inc+ 150,623 8,971,482
U.S. West Inc 193,600 10,115,600
-------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 442,358,761
- COST $ 286,309,612
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
Security Name Shares Value
- ------------- ------ -----
COMMON STOCKS (Continued)
TEXTILES--0.01%
Fruit of the Loom Inc Class A+ 28,406 $ 198,842
Springs Industries Inc Class A 7,142 268,271
--------------
TOTAL TEXTILES
- VALUE $ 467,113
- COST $ 949,040
TOBACCO--0.85%
Fortune Brands Inc 64,488 $ 2,418,300
Philip Morris Co Inc 927,070 34,707,183
--------------
TOTAL TOBACCO
- VALUE $ 37,125,483
- COST $ 33,941,721
TRANSPORTATION--0.71%
Burlington Northern Santa Fe 180,814 $ 5,243,606
Carnival Corp Class A 235,779 10,536,374
CSX Corp 83,707 3,656,950
Kansas City Southern Industries 41,791 1,935,446
Laidlaw Inc Class B 128,729 804,556
Norfolk Southern Corp 146,320 3,831,755
Union Pacific Corp 95,400 4,644,788
--------------
TOTAL TRANSPORTATION
- VALUE $ 30,653,475
- COST $ 31,520,874
UTILITIES--1.98%
AES Corp+ 73,105 $ 4,436,560
Ameren Corp 52,966 2,121,950
American Electric Power Inc 74,389 2,701,251
Carolina Power & Light Co 59,226 2,154,346
Central & South West Corp 82,182 1,859,368
Cinergy Corp 61,411 1,865,359
Consolidated Edison Inc 87,500 3,850,000
Constellation Energy Group 57,860 1,714,103
Dominion Resources Inc 74,016 3,423,240
DTE Energy Co 56,010 2,208,894
Duke Power Co 140,156 8,058,970
Edison International 133,784 3,394,769
Entergy Corp 95,192 2,837,912
FirstEnergy Corp 90,491 2,584,649
Florida Progress Corp 37,858 1,774,594
FPL Group Inc 69,406 3,747,924
GPU Inc 48,607 1,658,714
New Century Energies Inc 44,293 1,600,085
Niagra Mohawk Holdings Inc+ 72,680 1,099,285
Northern States Power Co 58,795 1,385,357
Pacificorp 114,826 2,346,756
PECO Energy Co 73,998 3,006,169
PG & E Corp 147,712 4,477,520
PP & L Resources Inc 59,377 1,662,556
Reliant Energy Inc 112,934 3,126,860
Sempra Energy 92,729 2,069,016
Southern Co 268,240 7,259,245
Texas Utilities Co 108,051 4,369,312
Unicom Corp 83,768 3,235,531
--------------
TOTAL UTILITIES
- VALUE $ 86,030,295
- COST $ 77,067,104
--------------
TOTAL COMMON STOCKS
- VALUE $4,163,722,899
- COST $2,902,465,087
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Portfolio of Investments - August 31, 1999 (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Interest Maturity Principal/
Security Name Rate Date Shares Value
- ------------- ---- ---- --------- -----
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-6.84%
CASH EQUIVALENTS-2.81%
Dreyfus Institutional Money Market Fund++ $ 197,584 $ 197,584
Janus International Money Market Fund++ 26,500,000 26,500,000
Merrimac Cash Fund-Premium Class++ 95,300,000 95,300,000
--------------
$121,997,584
U.S. TREASURY BILLS-0.42%
U.S. Treasury Bills 4.39%** 09/23/99 $ 18,300,000 $ 18,249,585
--------------
REPURCHASE AGREEMENTS-3.61%
Morgan Stanley Triparty Repurchase
Agreement dated 8/31/99 due 9/1/99
with a maturity value of $156,721,455
and an effective yield of 5.14%
collateralized by U.S. Treasury Bill
with a rate of 5.28%, a maturity of 9/15/99
and a market value of $159,834,332. $156,699,082 $156,699,082
TOTAL SHORT TERM INSTRUMENTS
- VALUE $296,946,231
- COST $296,946,012
TOTAL INVESTMENTS IN SECURITIES
(Cost $3,199,411,099) * (Notes 1 and 3) 102.71% $4,460,669,130
Other Assets and Liabilities, Net (2.71)% (117,663,470)
--------------- ---------------
TOTAL NET ASSETS 100.00% $4,343,005,660
--------------- ---------------
</TABLE>
+ Non-income earning securities.
++ Represents collateral received from securities lending transactions. See
Note 4.
* Cost for federal income tax purposes is $3,199,411,099 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $ 1,330,785,037
Gross Unrealized Depreciation (69,527,006)
----------------
NET UNREALIZED APPRECIATION $ 1,261,258,031
================
**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
August 31, 1999
(Unaudited)
----------------
Assets
Investments:
In securities, at market value (see cost below) (Note 1) $ 4,460,669,130
Receivables:
Dividends and interest 5,554,928
----------------
Total Assets 4,466,224,058
----------------
Liabilities
Payables:
Variation margin on futures contracts 827,686
Collateral for securities loaned (Note 4) 121,997,584
Due to Custodian 10
Due to BGI (Note 2) 393,118
----------------
Total Liabilities 123,218,398
----------------
Total Net Assets $ 4,343,005,660
----------------
Investments At Cost 3,199,411,099
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
For the Six
Months ended
August 31, 1999
(Unaudited)
----------------
Investment Income
Dividends+ $ 26,703,325
Interest++ 5,842,224
----------------
Total Investment Income 32,545,549
----------------
Expenses (Note 2)
Advisory fees 1,072,974
----------------
Total Expenses 1,072,974
----------------
Net Investment Income 31,472,575
----------------
Realized And Unrealized Gain (Loss) On
Investments
Net realized gain (loss) on sale of investments 106,419,073
Net realized gain (loss) on sale of futures contracts 18,907,189
Net change in unrealized appreciation (depreciation) of
investments 118,913,157
Net change in unrealized appreciation (depreciation) of
futures contracts (5,072,375)
----------------
Net Gain on Investments 239,167,044
----------------
Net Increase In Net Assets
Resulting From Operations $ 270,639,619
----------------
+ Net of foreign withholding tax of: $ 91,292
++ Interest income includes securities lending income of: $ 91,346
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
For the Six
Months Ended For the
August 31, 1999 Year Ended
(Unaudited) February 28, 1999
---------------- -----------------
Increase (Decrease) In Net Assets
Operations:
Net investment income $ 31,472,575 $ 43,674,276
Net realized gain on sale of investments 106,419,073 143,991,139
Net realized gain on sale of futures
contracts 18,907,189 37,982,701
Net change in unrealized appreciation
(depreciation) of investments 118,913,157 265,023,900
Net change in unrealized appreciation
(depreciation) of futures contracts (5,072,375) (14,225,550)
---------------- ----------------
Net increase in net assets resulting
from operations 270,639,619 476,446,466
---------------- ----------------
Net increase in net assets resulting
from beneficial interest transactions 385,273,263 856,583,098
---------------- ----------------
Increase in Net Assets 655,912,882 1,333,029,564
---------------- ----------------
Net Assets:
Beginning net assets $ 3,687,092,778 $ 2,354,063,214
---------------- ----------------
Ending Net Assets $ 4,343,005,660 $ 3,687,092,778
================ ================
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 (Unaudited)
- --------------------------------------------------------------------------------
1. Significant Master Investment Portfolio ( "MIP ") is registered under
Accounting the Investment Company Act of 1940, as amended (the "1940
Policies 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, 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 valued at
Valuation 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 date the
Transactions securities are purchased or sold (trade date). Dividend
and Income income is recognized on the ex-dividend date, and interest
Recognition 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 partnership for
Taxes 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 the purposes of determining its federal
income tax liability. The determination of such share will
be made in accordance with the applicable sections of the
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 futures
Contracts 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 records
25
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
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, 1999, the S&P 500 Index Master
Portfolio had the following open long futures contracts
outstanding:
<TABLE>
<CAPTION>
S&P 500 Index Master Portfolio
Expiration Notional Net Unrealized
Number of Contracts Type Date Contract Value Depreciation
<S> <C> <C> <C> <C> <C>
534 S&P 500 Index 09/17/99 $176,193,330 $(8,048,950)
</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 $9,828,900.
Repurchase Transactions involving purchases of securities under
Agreements 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 advisor's responsibility to value
collateral daily and to obtain additional collateral as
necessary to maintain the value at equal to or greater than
102% of market value. The repurchase agreements entered
into on August 31, 1999, by the Master Portfolio are
collateralized by U.S. Government Securities.
2. Agreements and Pursuant to an Investment Advisory Contract with the Master
Other Portfolio, Barclays Global Fund Advisors ("BGFA") provides
Transactions with investment guidance and policy direction in connection with
Affiliates 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. BFGA 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
SubAdministrator of the Master Portfolio.
Stephens Inc. ("Stephens"), is the co-administrator,
sponsor and placement agent for the Master Portfolio.
Certain officers and directors of MIP are also officers of
Stephens. As of August 31, 1999, these officers of Stephens
collectively owned less than 1% of the Master Portfolios'
outstanding beneficial interests.
26
<PAGE>
- --------------------------------------------------------------------------------
Master Investment Portfolio - S&P 500 Index Master Portfolio
Notes to Financial Statements (Unaudited) - (Continued)
- --------------------------------------------------------------------------------
3. Investment Purchases and sales of investments, exclusive of short-term
Portfolio securities, for the Master Portfolio for the six months
Transactions ended August 31, 1999, were 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 $ 651,820,860
Sales proceeds 174,985,256
4. Portfolio As of August 31, 1999, the S&P 500 Index Master Portfolio
Securities had loaned securities which were collateralized by cash. The
Loaned Master Portfolio receives transaction fees for providing
services in connection with the securities lending
program. The risk 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:
Securities Collateral
S&P 500 Index Master
Portfolio $121,832,694 $121,997,584
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 Six For the For the For the For the (commencement
Months Ended Year Ended Year Ended Year Ended Year Ended of operations) to
August 31, 1999 February 28, February 28, February 28, February 29, February 28,
(Unaudited) 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
S&P 500 Index 4% 11% 6% 4% 2% 5%
Master Portfolio
</TABLE>
27
<PAGE>
[This page intentionally left blank.]
<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
October 29, 1999 L7297 1099