Standish, Ayer & Wood Master Portfolio
Fixed Income Fund
Financial Statements for the
Six Months Ended June 30, 1998
(Unaudited)
[STANDISH LOGO]
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Assets and Liabilities
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Fixed Income Portfolio ("Portfolio"), at value (Note 1A) $ 3,501,851,201
Receivable for Fund shares sold 5,976,720
Prepaid expenses 2,386
---------------
Total assets 3,507,830,307
Liabilities
Distributions payable $10,220,602
Payable for Fund shares redeemed 25,790,223
Accrued trustees' fees and expenses (Note 3) 674
Accrued accounting and transfer agent fees 35,400
Accrued expenses and other liabilities 52,450
-----------
Total liabilities 36,099,349
---------------
Net Assets $ 3,471,730,958
===============
Net Assets consist of:
Paid-in capital $ 3,387,153,835
Accumulated net realized gain 28,559,252
Accumulated undistributed net investment income 10,556,838
Net unrealized appreciation 45,461,033
---------------
Total Net Assets $ 3,471,730,958
===============
Shares of beneficial interest outstanding 165,874,184
===============
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 20.93
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Operations
Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1B)
Interest income allocated from Portfolio $ 114,221,547
Dividend income allocated from Portfolio 3,209,013
Miscellaneous income 81,692
Expenses allocated from Portfolio (5,863,487)
-------------
Net investment income allocated from Portfolio 111,648,765
Expenses
Registration fees $ 131,145
Legal fees 84,326
Accounting and transfer agent fees 58,782
Audit services 17,821
Insurance expense 2,067
Miscellaneous 16,743
------------
Total expenses 310,884
-------------
Net investment income 111,337,881
-------------
Realized and Unrealized Gain
Net realized gain allocated from Portfolio on:
Investment security transactions 14,898,444
Financial futures contracts 1,648,686
Written options transactions 4,875,500
Foreign currency transactions and forward foreign currency exchange
contracts 8,963,798
------------
Net realized gain 30,386,428
Change in unrealized appreciation (depreciation) from Portfolio on:
Investment securities (11,227,857)
Financial futures contracts (467,361)
Written options 104,663
Foreign currency and forward foreign currency exchange contracts (2,531,831)
------------
Change in net unrealized appreciation (depreciation) (14,122,386)
-------------
Net realized and unrealized gain on investments 16,264,042
-------------
Net Increase in Net Assets from Operations $ 127,601,923
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1998 December 31,
(Unaudited) 1997
----------------- --------------
<S> <C> <C>
Increase (decrease) in Net Assets
From Investment Operations
Net investment income $ 111,337,881 $ 195,187,830
Net realized gain 30,386,428 42,948,049
Change in net unrealized appreciation (depreciation) (14,122,386) 27,756,607
-------------- --------------
Net increase in Net Assets from Investment Operations 127,601,923 265,892,486
-------------- --------------
Distributions to Shareholders
From net investment income (98,359,730) (217,278,174)
From net realized gain (9,428,054) (17,660,360)
-------------- --------------
Total distributions to shareholders (107,787,784) (234,938,534)
-------------- --------------
Fund Share (principal) Transactions (Note 5)
Net proceeds from sale of shares 395,675,652 922,120,316
Value of shares issued to shareholders in payment of distributions
declared 88,439,980 187,727,012
Cost of shares redeemed (320,516,456) (456,111,906)
-------------- --------------
Increase in Net Assets from Fund share transactions 163,599,176 653,735,422
-------------- --------------
Total Increase in Net Assets 183,413,315 684,689,374
Net Assets
At beginning of period 3,288,317,643 2,603,628,269
-------------- --------------
At end of period (including undistributed net investment income of
$10,556,838 and distributions in excess of net investment income of
$2,421,313, respectively) $3,471,730,958 $3,288,317,643
============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1998 -----------------------------------------------------------------
(Unaudited) 1997 1996 (1) 1995 1994 1993
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 20.80 $ 20.53 $ 20.92 $ 18.91 $ 21.25 $ 20.55
---------- ---------- ---------- ---------- ---------- ----------
Investment Operations:
Net investment income 0.68 1.46 1.46 1.35 1.25 1.50
Net realized and unrealized
gain (loss) on investments 0.11 0.45 (0.37) 2.08 (2.29) 1.45
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.79 1.91 1.09 3.43 (1.04) 2.95
---------- ---------- ---------- ---------- ---------- ----------
Less distributions to shareholders:
From net investment income (0.60) (1.52) (1.48) (1.42) (1.10) (1.51)
In excess of net
investment income -- -- -- -- -- (0.04)
From net realized gain
on investments (0.06) (0.12) -- -- (0.04) (0.70)
From paid-in capital -- -- -- -- (0.16) --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions to
shareholders (0.66) (1.64) (1.48) (1.42) (1.30) (2.25)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 20.93 $ 20.80 $ 20.53 $ 20.92 $ 18.91 $ 21.25
========== ========== ========== ========== ========== ==========
Total Return 3.82% 9.54% 5.48% 18.54% (4.86)% 14.64%
Ratios/Supplemental Data
Expenses (to average daily
net assets) (2) 0.36%+ 0.37% 0.38% 0.38% 0.38% 0.40%
Net investment (to average
daily net assets) income 6.55%+ 6.76% 7.13% 7.80% 7.25% 7.07%
Portfolio turnover (3) -- -- 49% 132% 122% 150%
Net assets, end of period
(000's omitted) $3,471,731 $3,288,318 $2,603,628 $2,267,107 $1,642,933 $1,307,099
</TABLE>
- -------------------
+ Computed on an annualized basis.
(1) Calculated based on average shares outstanding.
(2) Includes the Fund's share of Standish Fixed Income Portfolio's allocated
expenses for the six months ended June 30, 1998, for the year ended
December 31, 1997 and for the period from May 3, 1996 to December 31,
1996.
(3) Portfolio turnover represents the rate of portfolio activity for the
period while the Fund was investing directly in securities, including the
period from January 1, 1996 through May 2, 1996. The portfolio turnover
rates for the period since the Fund transferred substantially all of its
investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment
company. Standish Fixed Income Fund (the "Fund") is a separate diversified
investment series of the Trust.
The Fund invests all of its investable assets in an interest of the
Standish Fixed Income Portfolio (the "Portfolio"), a subtrust of Standish,
Ayer & Wood Master Portfolio (the "Portfolio Trust"), which is organized
as a New York trust, and has the same investment objective as the Fund.
The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100.0% at June 30, 1998). The performance of the Fund is directly affected
by the performance of the Portfolio. The financial statements of the
Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of the financial statements. The preparation
of 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.
A. Investment security valuations
The Fund records its investments in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. Securities transactions and income
Securities transactions are recorded as of the trade date. Currently, the
Fund's net investment income consists of the Fund's pro rata share of the
net investment income of the Portfolio, less all actual and accrued
expenses of the Fund determined in accordance with generally accepted
accounting principles. The Fund does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
C. Federal taxes
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
D. Other
All net investment income and realized and unrealized gains and losses of
each Portfolio are allocated pro rata among its respective investors in
the Portfolio.
(2) Distributions to Shareholders:
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction by capital losses will be declared and
distributed at least annually. In determining the amounts of its
dividends, the Fund will take into account its share of the income, gains
or losses, expenses, and any other tax items of the Portfolio. Dividends
from net investment income and capital gains distributions, if any, are
reinvested in additional shares of the Fund unless a shareholder elects to
receive them in cash. Income and capital gain distributions are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for mortgage-backed securities, forward
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
foreign currency exchange contracts and foreign currency transactions.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications between paid-in capital,
undistributed net investment income and accumulated net realized gain
(loss).
(3) Investment Advisory Fee:
The Fund does not directly pay any investment advisory fees, but
indirectly bears its pro rata share of the compensation paid by the
Portfolio to Standish, Ayer &Wood, Inc. ("SA&W") for such services. See
Note 2 of the Portfolio's Notes to Financial Statements which are included
elsewhere in this report. SA&W has voluntarily agreed to limit total
annual operating expenses of the Fund and Portfolio (excluding brokerage
commissions, taxes and extraordinary expenses) to 0.38% of the Fund's
average daily net assets. The Trust pays no compensation directly to its
trustees who are affiliated with SA&W or to its officers, all of whom
receive remuneration for their services to the Trust from SA&W. Certain of
the trustees and officers of the Trust are directors or officers of SA&W.
(4) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 1998, aggregated $393,297,235 and $344,981,437,
respectively.
(5) Shares of Beneficial Interest:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1998 Year ended
(Unaudited) December 31, 1997
------------------------ -----------------------
<S> <C> <C>
Shares sold 18,812,825 43,977,522
Shares issued in payment of distributions declared 4,235,760 9,043,534
Shares redeemed (15,242,506) (21,760,201)
------------------------- -----------------------
Net increase 7,806,079 31,260,855
========================= =======================
</TABLE>
7
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 91.0%
Asset Backed -- 4.5%
Advanta Home Equity Trust Loan 1991-1A FGIC 9.000% 02/25/2006 1,067,403 $1,080,912
Advanta Mortgage Loan Trust 1997-3 A7 ERISA 6.920% 10/25/2028 19,850,000 20,193,498
AFC Home Equity Loan Trust 1993-2 A FGIC 6.000% 01/20/2013 69,846 69,082
Amresco Communication Mortgage
1997-b A1 144A 6.728% 04/15/2014 17,815,991 18,186,815
Chase Credit Card Master Trust
1997-3 A Non-ERISA 6.777% 05/15/2007 28,475,000 28,691,899
Green Tree Acceptance Corp. 1997-7 B2 Non-ERISA 7.590% 08/21/2029 11,050,000 10,690,875
Green Tree Financial 1997-7 M1 Non-ERISA 7.030% 10/15/2028 16,950,000 17,334,023
Greentree Acceptance Corp. 1997-5 M1 6.950% 05/15/2029 25,425,000 25,858,020
Greentree Home Equity 1997-D M2 Non-ERISA 7.450% 09/15/2028 15,400,000 15,929,375
World Financial Properties 144A 1996 WFP-B 6.910% 09/01/2013 17,457,471 18,300,339
--------------
Total Asset Backed (Cost $153,869,462) 156,334,838
--------------
Collateralized Mortgage Obligations -- 4.3%
Bear Stearns Mtg 1998-2 B 6.750% 04/30/2030 7,672,655 7,621,419
Bear Stearns Mtg. 1998-2C 6.750% 04/30/2030 24,913,064 24,691,182
FNMA P/O Trust 108 0.000% 03/25/2020 1,236,226 1,030,271
GE Capital Mortgage 1997-10 A6 NAS 6.750% 10/25/2012 19,924,734 20,148,888
Norwest Asset Sec. Corp. 1998-8 A 6.500% 04/25/2013 61,903,432 61,768,019
Prudential Home Mortgage 1993-B 1B1
144A Non-ERISA 7.834% 04/28/2023 12,979,388 12,840,781
Prudential Home Mortgage 1993-B 3B 144A 7.840% 04/28/2023 20,498,192 20,117,716
Veterans Affairs 1992-1 Cl D 7.750% 12/15/2014 640,449 647,253
--------------
Total Collateralized Mortgage Obligations (Cost $148,835,909) 148,865,529
--------------
Corporate -- 23.7%
Bank Bonds -- 3.9%
Advanta Corp. 7.000% 05/01/2001 5,850,000 5,425,875
Albank Capital Trust 9.270% 06/06/2027 8,200,000 9,284,368
Bank United Corp. Notes 8.875% 05/01/2007 5,175,000 5,672,318
Bayview Capital Corp. Sub Notes 9.125% 08/15/2007 3,600,000 3,690,000
BFC Capital Trust 144A Notes 9.650% 01/15/2027 4,725,000 5,315,672
Centura Capital Trust 144A NC '07 8.845% 06/01/2027 1,025,000 1,143,295
Commercial Federal Sub Notes 7.950% 12/01/2006 1,750,000 1,758,348
Dime Bancorp Capital Trust 9.330% 05/06/2027 6,975,000 8,169,539
First Nationwide Senior Sub Notes 9.125% 01/15/2003 5,500,000 5,843,750
First Nationwide Senior Sub Notes 10.625% 10/01/2003 27,500,000 31,075,000
First USA Bank Notes 7.000% 08/20/2001 4,650,000 4,806,194
Hubco Capital Trust 8.980% 02/01/2027 4,000,000 4,546,840
Imperial Credit Capital Trust 9.980% 12/31/2026 8,425,000 9,980,676
North Fork Capital Trust Notes 8.000% 12/15/2027 7,000,000 7,430,080
Peoples Heritage 9.060% 02/01/2027 5,000,000 5,697,400
Popular Inc. Medium Term Notes 6.625% 10/27/2002 4,000,000 4,076,120
Providian Corp. Cap 144A Notes 9.525% 02/01/2027 2,500,000 2,885,625
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Bank Bonds (continued)
Signet Bank Sub Notes 9.625% 06/01/1999 3,250,000 $3,349,905
Sovereign Bancorp. 9.000% 04/01/2027 8,975,000 10,110,248
Webster Financial Capital 144A Notes 9.360% 01/29/2027 4,975,000 5,838,262
--------------
136,099,515
--------------
Financial -- 10.2%
Aames Financial Corp. Notes 9.125% 11/01/2003 9,175,000 9,175,000
Advanta Capital Trust I 8.990% 12/17/2026 3,500,000 2,730,000
Amresco Inc. Corp. Senior Sub Notes 10.000% 03/15/2004 2,175,000 2,253,844
Amresco Inc. Corp. Senior Sub Notes 9.875% 03/15/2005 6,000,000 6,060,000
Bradley Operating LP Notes, REIT 7.000% 11/15/2004 4,575,000 4,632,874
Chartwell Real Estate Holdings Senior Notes 10.250% 03/01/2004 3,058,000 3,241,480
Conseco Finance Trust Cap. Notes 8.700% 11/15/2026 17,075,000 19,289,286
Conseco Finance Trust Cap. Notes 8.796% 04/01/2027 26,943,000 30,750,046
Contifinancial Corp. Senior Notes 8.375% 08/15/2003 9,600,000 9,989,280
Crescent Real Estate 144A 7.125% 09/15/2007 15,525,000 15,346,773
Criimi Mae Corp. Notes 9.125% 12/01/2002 15,000,000 14,850,000
Florida Windstorm 144A Notes 6.700% 08/25/2004 8,250,000 8,431,748
Franchise Finance Corp., REIT 7.875% 11/30/2005 3,000,000 3,180,480
Fresenius Medical Capital Trust 144A 7.875% 02/01/2008 4,850 4,740,875
Hutchison Whampoa Finance Hong Kong 144A 7.450% 08/01/2017 10,650,000 8,483,790
Interpool Capital Trust Notes 9.875% 02/15/2027 4,500,000 5,197,905
Interpool Capital Trust Notes 7.350% 08/01/2007 4,175,000 4,202,054
Liberty Mutual Insurance Co. 144A Notes 7.697% 10/15/2097 23,975,000 26,180,460
Markel Capital Trust I Notes 8.710% 01/01/2046 4,500,000 4,961,790
Meditrust, REIT 7.820% 09/10/2026 5,000,000 5,320,600
Meditrust, REIT 144A 7.114% 08/15/2004 19,950,000 19,556,786
MMI Capital Trust Notes 7.625% 12/15/2027 7,225,000 7,435,970
Orion Capital Trust Notes 7.701% 04/15/2028 5,600,000 5,814,480
Phoenix Re-Insurance Corp. 8.850% 02/01/2027 7,325,000 7,928,067
Pindo Deli Financial 10.250% 10/01/2002 5,700,000 3,990,000
Realty Income Corp. Notes 7.750% 05/06/2007 2,675,000 2,841,305
Salomon Brothers, Inc. 7.125% 08/01/1999 1,450,000 1,467,226
Salomon Brothers, Inc. 7.000% 05/15/1999 2,275,000 2,295,066
Salomon Brothers, Inc. 6.820% 07/26/1999 8,125,000 8,203,325
Salomon Brothers, Inc. 6.625% 11/30/2000 13,125,000 13,305,863
Salomon Brothers, Inc. 3 Yr. CMT-10 FRN 5.994% 04/05/1999 4,300,000 4,267,750
Salomon Brothers, Inc. Senior Notes 7.750% 05/15/2000 6,140,000 6,325,182
Shopping Center Associates, REIT 144A 6.750% 01/15/2004 10,000,000 9,986,000
Simon Debartolo Group LP 6.750% 07/15/2004 11,500,000 11,486,545
Spieker Properties, REIT 6.900% 01/15/2004 10,000,000 10,143,800
Sun Communities, Ltd. Senior Notes 7.375% 05/01/2001 5,000,000 5,129,600
Taubman Realty Group REIT 8.000% 06/15/1999 9,000,000 9,147,420
TIG Holdings Capital 144A 8.597% 01/15/2027 4,750,000 5,134,323
Trenwick Capital Trust 8.820% 02/01/2037 9,375,000 10,498,031
U.S. Home Corp. 8.250% 08/15/2004 11,555,000 11,728,325
UCFC Home Equity Loan 1996 7.700% 01/15/2004 7,000,000 6,913,550
UCFC Sub Notes 8.375% 07/01/2005 2,500,000 2,511,050
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Financial (continued)
Wharf Capital Notes 7.625% 03/13/2007 3,725,000 $2,943,868
--------------
358,071,817
--------------
Industrial Bonds -- 9.6%
Adelphia Communications 9.250% 10/01/2002 6,000,000 6,210,000
American Standard Corp. Notes 7.375% 04/15/2005 6,425,000 6,376,813
American Standard Corp. Senior Notes 7.125% 02/15/2003 3,625,000 3,588,750
American Standard Corp. Senior Notes 7.625% 02/15/2010 4,175,000 4,091,500
Building Materials Corp. Senior Notes 8.000% 10/15/2007 3,400,000 3,400,000
CBS Inc. 7.125% 11/01/2023 2,900,000 2,769,529
Cominco Ltd. Notes 6.875% 02/15/2006 16,950,000 16,726,938
Conmed Corp. 9.000% 03/15/2008 4,400,000 4,367,000
Enterprise Corp. 7.000% 06/15/2000 7,725,000 7,882,281
Enterprise Corp. 144A 6.950% 03/01/2004 15,500,000 15,869,365
Enterprise Corp. 144A 6.375% 05/15/2003 5,000,000 5,010,700
Flag Limited 144A Senior Notes 8.250% 01/30/2008 5,000,000 5,037,500
Foodmaker Inc. 144A Senior Sub Notes 8.375% 04/15/2008 3,750,000 3,752,888
Grove Worldwide Senior Sub Notes 144A 9.250% 05/01/2008 5,750,000 5,606,250
Guandong Enterprises 144A 8.750% 12/15/2003 4,000,000 3,599,480
Guandong Enterprises 144A Senior Notes 8.875% 05/22/2007 15,700,000 11,676,090
Integrated Health Senior Sub Notes 9.250% 01/15/2008 16,100,000 16,723,875
Loewen Group International 144A 7.600% 06/01/2008 15,955,000 15,931,068
Mcleod USA Senior Step Up 0.000% 03/01/2007 6,400,000 4,752,000
Methanex Corp. 7.400% 08/15/2002 4,000,000 4,158,120
Methanex Corp. 7.750% 08/15/2005 23,185,000 24,887,475
NVR Inc. Senior Notes 8.000% 06/01/2005 3,000,000 2,955,000
Paxson Communications 11.625% 10/01/2002 10,360,000 11,111,100
Pharmerica Inc. 144A Senior Notes 8.375% 04/01/2008 6,300,000 6,315,750
Revlon Worldwide Senior Notes 0.000% 03/15/2001 24,950,000 19,398,625
Salem Communications Corp. Senior Sub Notes 9.500% 10/01/2007 5,925,000 6,162,000
Southland Corp. Deb Notes 4.500% 06/15/2004 7,675,000 6,216,750
Southland Corp. Senior Sub Notes 5.000% 12/15/2003 6,500,000 5,638,750
TCI Communications Inc. 7.125% 02/15/2028 20,225,000 21,114,900
Tenet Healthcare 144A 7.625% 06/01/2008 4,325,000 4,352,031
Tenet Healthcare Corp. 8.625% 12/01/2003 2,660,000 2,793,000
Tenet Healthcare Corp. 7.875% 01/15/2003 2,150,000 2,187,625
Tenet Healthcare Corp. 8.000% 01/15/2005 12,425,000 12,766,688
Tenet Healthcare Corp. 8.125% 12/01/2008 20,750,000 20,801,875
Toro Co. Deb. Notes 7.800% 06/15/2027 5,200,000 5,590,364
Tricon Global Restaurant Inc. Senior Notes 7.450% 05/15/2005 5,825,000 5,818,418
USA Waste Services, Inc. Senior Notes 6.500% 12/15/2002 8,000,000 8,032,320
Westinghouse Credit Corp. 8.875% 06/14/2014 7,000,000 7,984,550
Westinghouse Electric Deb Notes 8.625% 08/01/2012 8,275,000 8,979,368
Westinghouse Electric Deb Notes 7.875% 09/01/2023 5,900,000 6,063,843
--------------
336,700,579
--------------
Total Corporate (Cost $813,560,632) 830,871,911
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government/Other -- 13.5%
Argentina -- 0.0%
City of Buenos Aires 10.500% 05/28/2004 600,000 $ 498,750
----------
Australia -- 0.1%
Australian Government 9.000% 09/15/2004 3,200,000 2,343,735
----------
Denmark -- 0.5%
Denmark Nykredit 7.000% 10/01/2026 28,909,000 4,295,474
Denmark Realkredit 8.000% 10/01/2026 11,350,000 1,687,276
Denmark Realkredit 7.000% 10/01/2026 2,843,000 422,430
Kingdom of Denmark 7.000% 12/15/2004 35,500,000 5,778,566
Kingdom of Denmark 8.000% 11/15/2001 37,800,000 6,079,931
--------------
18,263,677
--------------
EuroDollar -- 0.3%
Bonos DEL Tesoro Notes 8.750% 05/09/2002 6,550,000 6,238,875
Republic of Argentina Global Notes 11.000% 10/09/2006 4,625,000 4,902,500
---------------
11,141,375
---------------
Finland -- 0.1%
Government of Finland 10.000% 09/15/2001 15,000,000 3,182,335
-----------
France -- 0.2%
France Oat ECU 5.250% 04/25/2008 35,000,000 5,950,681
-----------
Germany -- 2.5%
Baden Wurttemburg 6.200% 11/22/2013 3,000,000 1,775,596
Deutschland Republic 7.375% 01/03/2005 5,000,000 3,186,117
Deutschland Republic 7.250% 10/21/2002 12,475,000 7,667,157
Deutschland Republic 6.750% 04/22/2003 17,300,000 10,518,744
Deutschland Republic 6.500% 07/15/2003 3,550,000 2,142,174
Deutschland Republic 6.500% 10/14/2005 3,600,000 2,211,571
Deutschland Republic 6.000% 01/04/2007 20,350,000 12,205,498
Deutschland Republic 6.000% 07/04/2007 7,650,000 4,604,386
Die Bundrep Deutschland Dm1000 8.250% 09/20/2001 10,460,000 6,469,232
Federal Republic of Germany 8.000% 07/22/2002 17,420,000 10,924,113
Federal Republic of Germany 6.875% 05/12/2005 18,950,000 11,831,173
Fresenius Med Global 7.375% 02/01/2008 4,030,000 2,262,417
German Unity Fund 8.000% 01/21/2002 3,500,000 2,167,754
Treuhandanstalt 7.500% 09/09/2004 12,000,000 7,662,611
---------------
85,628,543
---------------
Japan -- 1.4%
Austria Republic 5.000% 01/22/2001 500,000,000 3,995,090
European Investment Bank 4.625% 02/26/2003 235,000,000 1,965,262
Government of Finland 6.000% 01/29/2002 737,000,000 6,267,799
Government of Italy 5.125% 07/29/2003 300,000,000 2,581,473
IBRD-Global Bond 4.750% 12/20/2004 505,000,000 4,410,455
Italy Euroyen Notes 3.750% 06/08/2005 872,000,000 7,232,185
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japan (continued)
Italy Euroyen Notes 5.000% 12/15/2004 330,000,000 $2,905,263
Kingdom of Spain 5.750% 03/23/2002 737,000,000 6,255,720
OKB 4.300% 02/14/2001 300,000,000 2,361,661
Republic of Portugal 4.500% 03/15/2002 300,000,000 2,439,401
South Africa 3.350% 06/17/2004 150,000,000 1,101,986
Spanish Government 4.750% 03/14/2005 120,000,000 1,049,095
Spanish Kingdom Euryen 3.100% 09/20/2006 325,000,000 2,618,655
World Bank 5.250% 03/20/2002 460,000,000 3,842,943
--------------
49,026,988
--------------
New Zealand -- 0.1%
Fernz Capital 9.800% 04/15/2002 3,800,000 2,057,730
Fletcher Challenge 10.000% 04/30/2005 1,500,000 845,561
Fletcher Challenge 11.250% 12/15/2002 3,100,000 1,767,612
--------------
4,670,903
--------------
Norway -- 0.1%
Norway Government 7.000% 05/31/2001 20,000,000 2,736,004
Vital Forsikring 7.850% 09/22/2003 8,100,000 1,136,816
--------------
3,872,820
--------------
South Africa -- 0.0%
Euro Bank Recon & Development 0.000% 12/31/2015 45,000,000 671,642
IBRD-Global Bond 0.000% 12/31/2025 135,000,000 503,731
--------------
1,175,373
--------------
Sweden -- 0.6%
Government of Sweden 5.500% 04/12/2002 22,500,000 2,911,879
Kingdom of Sweden 13.000% 06/15/2001 35,100,000 5,413,904
Sweden Government Bond 6.500% 10/25/2006 71,500,000 9,893,413
Swedish Government 5.000% 01/15/2004 18,500,000 2,349,252
--------------
20,568,448
--------------
United Kingdom -- 1.8%
Alliance and Leicester Building Society 8.750% 12/07/2006 1,700,000 3,157,953
Bank of Greece 10.750% 09/06/2010 1,450,000 3,106,214
Birmingham Midshires Building Society 9.125% 01/05/2006 1,000,000 1,873,914
Capital Shopping Euro Notes 6.875% 03/05/2013 1,200,000 1,961,729
CSW Investments 8.875% 09/27/2006 3,000,000 5,514,208
Deutsche Bank 0.000% 02/28/2001 545,000 759,038
FNMA Global Bond 6.875% 06/07/2002 2,800,000 4,681,472
GTD Export Finance Corp. 0.000% 09/29/2000 1,280,000 1,819,985
IPC Magazines 0.000% 03/15/2008 3,000,000 2,854,845
Northern Rock Building Society 9.375% 10/17/2021 2,600,000 5,653,762
P & O Steam Navigation 11.500% 07/03/2014 1,500,000 3,587,163
Republic of Argentina 11.500% 08/14/2001 420,000 718,720
Smithkline Beecham Corp. 8.125% 11/25/1998 1,500,000 2,505,502
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
United Kingdom (continued)
Stagecoach Holdings PLC 7.625% 10/31/2007 2,175,000 $3,685,790
UK Treasury 9.000% 07/12/2011 1,100,000 2,368,447
UK Treasury 7.750% 09/08/2006 3,955,000 7,341,569
UK Treasury 9.000% 02/26/2001 1,000,000 1,793,669
UK Treasury 8.000% 09/25/2009 4,175,000 8,231,326
United Mexican States 8.750% 05/30/2002 1,435,000 2,311,882
---------------
63,927,188
---------------
Yankee Bonds -- 5.8%
Amvescap 144A Senior Notes 6.600% 05/15/2005 25,000,000 25,273,750
Asia Pulp and Paper Global Financial 11.750% 10/01/2005 5,625,000 4,950,000
Edperbrascan Ltd. Notes 7.375% 10/01/2002 12,125,000 12,467,895
Global Crossing Holdings Ltd. 144A 9.625% 05/15/2008 16,575,000 17,279,438
ICI Wilmington Notes NCL 6.950% 09/15/2004 17,600,000 18,131,344
Republic of Argentina(a) 9.150% 11/30/2002 13,850,000 13,884,625
Republic of Lithuania Regs Notes 7.125% 07/22/2002 270,000 261,225
Republic of Panama 7.875% 02/13/2002 2,305,000 2,255,443
Republic of Panama 8.875% 09/30/2027 11,150,000 10,522,255
Royal Caribbean Cruise Senior Notes 7.500% 10/15/2027 13,375,000 13,977,678
Se Banken Step Up Notes 144A(a) 6.500% 12/29/2049 40,500,000 40,496,760
Societe Generale Step Up 144A NC '07 7.850% 04/29/2049 8,075,000 8,519,125
St. Georges Bank 144A 7.150% 10/15/2005 18,700,000 19,229,584
Tata Engineering & Locomotive 144A Notes 7.875% 07/15/2007 18,375,000 15,699,600
--------------
202,948,722
--------------
Total Government/Other (Cost $478,358,762) 473,199,538
--------------
Non-Agency -- 4.2%
Pass Thru Securities -- 4.2%
Chase Commercial Mortage Sec 6.6
1997-2D Non-ERISA 6.600% 12/25/2007 13,419,581 13,186,835
CSFB 1995-A 144A 7.093% 11/15/2005 10,700,000 10,553,410
First Chicago/Lennar Trust 1997-CHL1-D 8.134% 05/29/2008 9,720,000 9,683,550
GMAC Mortgage Corp. 1997-C1 E Non-ERISA 7.085% 11/15/2010 31,109,000 31,531,888
Lehman Brothers Commercial Conduit
Mortgage Trust 1995-C2 Non-ERISA 7.054% 09/25/2025 1,930,000 1,955,934
Merrill Lynch Investment Trust 1995-C2 7.927% 06/15/2021 1,433,142 1,434,038
Merrill Lynch Mortgage Investment
1997-D Non-ERISA 7.120% 06/18/2029 4,475,000 4,525,344
Morgan Stanley Capital 1998-HF1 E 7.600% 03/01/2030 5,500,000 5,611,719
Nationsbank Clmt 1997-2C(a) 6.338% 10/25/2002 27,000,000 27,000,000
Resolution Trust Corp. 1994 C2 E 8.000% 04/25/2025 4,972,989 5,025,827
Resolution Trust Corp. 1994-1 Cl M2 7.750% 09/25/2029 3,245,111 3,287,703
Resolution Trust Corp. 1994-C2 D Al 1 Non-ERISA 8.000% 04/25/2025 4,477,447 4,576,791
Resolution Trust Corp. 1995 Cl E 6.900% 02/25/2027 11,302,092 11,061,923
Resolution Trust Corp. 1995-2B1 7.450% 09/15/2025 1,489,304 1,504,430
Resolution Trust Corp. P-T Ser. 1992-M4 A1 8.000% 09/25/2021 357,692 357,692
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pass Thru Securities (continued)
Structured Asset Security Corp.
1994-C1 D Non-ERISA 6.870% 08/25/2026 9,200,000 $ 9,205,750
Structured Asset Security Corp.
1996-CFL C Non-ERISA 6.525% 02/25/2028 6,650,000 6,658,313
------------
Total Non-Agency (Cost $141,885,004) 147,161,147
------------
U.S. Government Agency -- 25.4%
Pass Thru Securities -- 25.4%
FHLMC 6.500% 03/01/2028 514,366 512,916
FHLMC Gold 6.000% 11/01/2012 -
02/01/2013 37,161,395 36,801,300
FHLMC Gold 6.500% 01/01/2028 -
04/01/2028 28,464,360 28,384,092
FHLMC Gold 15 Yr 6.000% 10/01/2010 -
10/01/2012 28,152,944 28,024,510
FHLMC Gold 30Yr 6.500% 04/01/2028 964,663 961,942
FNCI 6.000% 04/01/2011 2,174,762 2,153,014
FNMA 6.000% 06/01/2003 -
11/01/2012 57,399,225 56,802,258
FNMA 6.500% 12/01/2025 -
05/01/2028 104,748,765 104,340,855
FNMA 7.000% 11/01/2023 -
12/01/2025 165,132,082 167,525,029
FNMA 8.000% 12/01/2012 7,066,243 7,319,144
FNMA Medium Term Notes 4.920% 09/28/1998 2,600,000 2,596,750
FNMA WAM 29.8 412261 6.500% 02/01/2028 652,197 649,542
FNMA WAM 30.0 323159 7.500% 05/01/2028 29,842,029 30,606,582
GNMA 7.000% 09/15/2022 -
07/15/2024 79,823,700 81,203,404
GNMA 7.500% 11/15/2025 -
04/15/2028 60,937,844 62,634,021
GNMA+ 8.000% 01/15/2024 -
07/15/2028 269,206,023 278,964,844
GNMA 9.000% 11/15/2017 628,217 673,424
GNSF 7.500% 03/15/2026 -
06/15/2027 252,114 259,125
--------------
Total U.S. Government Agency (Cost $878,743,807) 890,412,752
--------------
U.S. Treasury Obligations -- 15.4%
Treasury Bonds -- 7.7%
U.S. Treasury Bond+ 8.125% 08/15/2019 94,440,000 121,886,153
U.S. Treasury Bond+ 6.625% 02/15/2027 130,000,000 146,798,600
------------
268,684,753
------------
Treasury Notes -- 7.7%
U.S. Treasury Inflation Index Note(a) 3.375% 01/15/2007 2,700,000 2,685,155
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Treasury Notes (continued)
U.S. Treasury Note+ 6.500% 08/15/2005 14,395,000 $ 15,191,187
U.S. Treasury Note+ 5.625% 11/30/2000 13,800,000 13,830,222
U.S. Treasury Note+ 6.625% 06/30/2001 16,600,000 17,085,052
U.S. Treasury Note+ 6.250% 10/31/2001 54,490,000 55,622,302
U.S. Treasury Note+ 5.875% 11/15/1999 161,675,000 162,407,388
U.S. Treasury Note (Strip)+ 0.000% 11/15/1999 3,605,000 3,345,440
------------
270,166,746
------------
Total U.S. Treasury Obligations (Cost $532,256,490) 538,851,499
--------------
TOTAL BONDS AND NOTES (COST $3,147,510,066) 3,185,697,214
--------------
<CAPTION>
Value
Security Shares (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS -- 3.5%
Australia & New Zealand Bank 293,350 7,993,788
Bank United of Texas 10.12 115,380 3,028,725
California Federal 9.125 227,000 6,242,500
Credit Lyon Capital 144A 9.5 244,250 6,106,250
Equity Office Properties Trust 144A CVT 748,000 33,099,000
Fuji JGB Inv. L.L.C. Pfd(a) 14,675,000 12,771,506
Highwoods Properties, Inc. 8.625 8,775 9,483,397
Natexis Ambs Co. Perp Step Up 6,385,000 6,370,059
Pinto Totta Intl 144A 6,450 6,630,729
Primedia Inc. 8.625% Pfd 16,000 1,568,000
Sumitomo Bank Step Up 144A 14,100,000 14,064,750
Societe Generale Step Up 15,435,000 15,240,519
---------------
TOTAL PREFERRED STOCKS (COST $125,549,172) 122,599,223
---------------
WARRANTS -- 0.0%
Financial -- 0.0%
Equity Office Properties Warrants 220,000 187,000
----------
TOTAL WARRANTS(COST $176,000) 187,000
----------
<CAPTION>
Contract Value
Security Size (2) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PURCHASED OPTIONS -- 0.1%
UST 5.50% Call, Strike Price 99.984, 7/8/98 2,490,000 155,625
UST 5.625% Call, Strike Price 100.648, 8/6/98 83,000 84,297
JPY Put/NZD Call, Strike Price 73.50, 4/6/99 10,100,000 124,705
JPY Put/USD Call, Strike Price 145.00, 5/19/99 8,850,000 189,390
JPY Put, Strike Price 145.00, 11/16/98 5,900,000 90,860
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Contract Value
Security Size (2) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
USD Put/DEM Call, Strike Price 1.70, 5/21/99 5,900,000 $ 44,840
USD Put/DEM Call, Strike Price 1.78, 8/4/98 5,850,000 21,060
UST 5.625% Call, Strike Price 101.39, 7/9/98 27,000 844
UST 6.125% Call, Strike Price 105.0156, 7/9/98 81,000 3,164
UST 6.125% Call, Strike Price 109.516, 11/9/98 732,750 996,082
DEM 6.00% Call, Strike Price 106.78, 5/12/99 10,570,000 88,513
DBR 6.00% Call, Strike Price 108.10, 8/27/98 4,800,000 21,240
BTP 6.75% Put, Strike Price 105.29, 1/31/00 4,950,000,000 14,850
BTP 6.75% Put, Strike Price 105.49, 2/3/00 4,950,000,000 14,850
BTP 6.75% Put, Strike Price 107.69, 2/7/00 9,775,000,000 58,650
DBR 5.625% Call, Strike Price 103.30, 11/27/98 4,800,000 50,707
JGB 2.00% Put, Strike Price 99.00, 1/25/99 690,000,000 27,600
JPY Put/USD Call, Strike Price 155.00, 6/15/99 6,600,000 108,240
JPY Put/USD Call, Strike Price 150.00, 6/9/99 3,000,000 46,200
JPY Put/USD Call, Strike Price 145.00, 12/7/98 10,000,000 144,000
UST 5.625% Call, Strike Price 100.469, 9/4/98 257,000 321,250
UST 5.625% Call, Strike Price 101.6093, 9/8/98 205,620 208,833
UST 5.625% Call, Strike Price 100.547, 9/9/98 202,650 249,354
UST 5.625% Call, Strike Price 103.906, 11/20/98 29,500 11,063
UST 5.625% Call, Strike Price 104.859, 12/18/98 31,000 7,750
DBR 6.00% Call, Strike Price 108.445, 12/10/98 9,500,000 34,219
DBR 6.00% Call, Strike Price 109.81, 12/14/98 8,850,000 15,319
DBR 5.625% Call, Strike Price 104.35, 12/1/98 5,250,000 41,522
JGB 2.60% Call, Strike Price 108.516, 11/27/98 825,000,000 53,625
JGB 2.60% Call, Strike Price 109.811, 12/3/98 381,500,000 19,838
JGB 3.00% Put, Strike Price 110.00, 6/2/99 1,221,000,000 216,117
JGB 3.00% Put, Strike Price 111.40, 12/2/98 1,221,000,000 173,382
-----------
TOTAL PURCHASED OPTIONS (COST $3,912,219) $ 3,637,989
-----------
<CAPTION>
Par Value
Rate Maturity Value (1) (Note 1A)
--------------- --------------- --------------- ------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 7.2%
COMMERCIAL PAPER -- 1.1%
General Electric Capital Corp. 5.530% 08/31/98 20,000,000 19,812,594
Sigma 144A 5.500% 07/15/98 20,000,000 19,834,000
Tribune 5.520% 07/08/98 1,250,000 1,230,125
------------
40,876,719
------------
U.S. GOVERNMENT AGENCY -- 5.5%
FHLMC Discount Note 5.470% 07/09/98 15,000,000 14,981,533
FHLMC 0.000% 08/20/98 15,000,000 14,885,700
FNMA Discount Note+ 5.500% 07/17/98 63,845,000 63,687,303
FNMA Discount Note++ 5.600% 07/27/98 6,000,000 5,975,940
FHLMC 5.400% 07/01/98 7,000,000 6,941,200
FHLMC 5.450% 07/20/98 87,000,000 86,592,565
------------
193,064,241
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Security (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS -- 0.6%
Prudential Bache Repurchase Agreement, dated 6/30/98, due 7/01/98, with a
maturity value of $20,136,802 and an effective yield of 5.32%, collateralized by
U.S. Government Agency Obligations with rates ranging from 5.942% to 7.844%,
with maturity dates ranging from 9/01/18 to 4/01/29 and with an aggregate market
value of $20,536,633. $ 20,133,827
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $254,222,459) 254,074,787
---------------
TOTAL INVESTMENTS-- 101.8% (COST $3,531,369,916) $ 3,566,196,213
Other Assets, Less Liabilities-- (1.8)% (64,339,884)
---------------
NET ASSETS-- 100% $ 3,501,856,329
===============
</TABLE>
Notes to the Schedule of Investments:
144A - Securities exempt from registration under Rule 144A of the Securities Act
of 1933.
These securities may be resold in transactions exempt from registration.
FNMA, FNCI - Federal National Mortgage Association
FHLMC - Federal Home Loan Mortgage Corporation
GNMA, GNSF - Government National Mortgage Association
IBRD - International Bank for Reconstruction and Development
REIT - Real Estate Investment Trust
BTP British Pound Sterling
DBR Deutsche Bundes Republik
DEM German Mark
JGB Japanese Government Bond
JPY Japanese Yen
NZD New Zealand Dollar
USD United States Dollar
UST United States Treasury
(1) Denominated in United States currency except for foreign country specific
bonds which are denominated in their respective local currency.
(2) Denominated in United States currency unless otherwise noted.
(a) Variable Rate Security; rate indicated is as of 6/30/98.
+ Denotes all or part of security pledged as a margin deposit (Note 5).
++ Denotes all or part of security pledged as collateral to cover margin
requirements on open financial futures contracts (Note 5).
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost, $3,531,369,916) $ 3,566,196,213
Cash 81,679
Interest and dividends receivable 45,334,656
Receivable for investments sold 26,808,935
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 12,802,489
Miscellaneous receivable 153,852
Deferred organization costs (Note 1F) 42,424
Prepaid expenses 28,991
---------------
Total assets 3,651,449,239
---------------
Liabilities
Payable for delayed delivery transactions (Note 6) $122,865,938
Payable for investments purchased 19,812,594
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 3,728,477
Options written, at value (premiums received $3,197,916) (Note 5) 1,668,325
Due to custodian 1,212,039
Accrued accounting and custody fees 176,499
Payable for daily variation margin on open financial futures contracts 53,906
Accrued trustees' fees and expenses (Note 2) 14,683
Accrued expenses and other liabilities 60,449
-----------
Total liabilities 149,592,910
---------------
Net Assets (applicable to investors' beneficial interests) $ 3,501,856,329
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Statement of Operations
Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1C)
Interest income $ 114,221,555
Dividend income 3,209,013
Miscellaneous income 81,692
-------------
Total income 117,512,260
Expenses
Investment advisory fee (Note 2) $ 5,286,385
Accounting and custody fees 435,320
Professional service fees 41,287
Trustees' fees and expenses (Note 2) 34,358
Insurance expense 18,089
Amortization of organization expense (Note 1F) 7,407
Registration fees 4,004
Miscellaneous 36,637
------------
Total expenses 5,863,487
-------------
Net investment income 111,648,773
-------------
Realized and Unrealized Gain (Loss)
Net realized gain
Investment securities transactions 14,898,444
Financial futures contracts 1,648,686
Written options transactions 4,875,500
Foreign currency transactions and forward foreign currency exchange
contracts 8,963,798
------------
Net realized gain 30,386,428
Change in unrealized appreciation (depreciation)
Investment securities (11,227,855)
Financial futures contracts (467,361)
Written options 104,663
Foreign currency and forward foreign currency exchange contracts (2,531,831)
------------
Change in net unrealized appreciation (depreciation) (14,122,384)
-------------
Net realized and unrealized gain 16,264,044
-------------
Net Increase in Net Assets from Operations $ 127,912,817
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1998 Year Ended
(Unaudited) December 31, 1997
-------------------- -------------------
<S> <C> <C>
Increase (decrease) in Net Assets
From Investment Operations
Net investment income $ 111,648,773 $ 195,707,479
Net realized gain 30,386,428 42,948,051
Change in net unrealized appreciation
(depreciation) (14,122,384) 27,756,610
-------------- --------------
Net increase in Net Assets
from Investment Operations 127,912,817 266,412,140
-------------- --------------
Capital Transactions
Contributions 393,302,234 930,076,128
Withdrawals (344,981,437) (486,977,142)
-------------- --------------
Increase in net assets resulting from
capital transactions 48,320,797 443,098,986
-------------- --------------
Total Increase in Net Assets 176,233,614 709,511,126
Net Assets
At beginning of period 3,325,622,715 2,616,111,589
-------------- --------------
At end of period $3,501,856,329 $3,325,622,715
============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended December 31,
June 30, 1998 -------------------------------------
(Unaudited) 1997 1996 (1)
------------- ----------- -----------
<S> <C> <C> <C>
Ratios:
Expenses (to average daily net assets) 0.34%+ 0.36% 0.37%+
Net investment income (to average
daily net assets) 6.57%+ 6.77% 7.14%+
Portfolio Turnover 75% 89% 69%
Net assets, end of period (000s omitted) $3,501,856 $3,325,623 $2,616,112
</TABLE>
- ---------------------------------
(1) For the period May 3, 1996 (commencement of operations) through December
31, 1996.
+ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the state of New York
on January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Fixed Income Portfolio (the "Portfolio") is a separate non-diversified
investment series of the Portfolio Trust.
The following is a summary of significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
The preparation of 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.
A. Investment security valuations
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded. Securities
(including restricted securities) for which quotations are not readily
available are valued at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the Board
of Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
when acquired by the Portfolio are valued at amortized cost. If the
Portfolio acquires a short-term instrument with more than sixty days
remaining to its maturity, it is valued at current market value until the
sixtieth day prior to maturity and will then be valued at amortized cost
based upon the value on such date unless the trustees determine during
such sixty-day period that amortized cost does not represent fair value.
B. Repurchase agreements
It is the policy of the Portfolio to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System or to have segregated within the custodian bank's vault, all
securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the
Portfolio to monitor on a daily basis, the market value of the repurchase
agreements' underlying investments to ensure the existence of a proper
level of collateral.
C. Securities transactions and income
Securities transactions are recorded as of trade date. Interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount on long-term debt securities when required for federal
income tax purposes. Dividend income is recorded on the ex-dividend date.
Realized gains and losses from securities sold are recorded on the
identified cost basis. The Portfolio does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
D. Income taxes
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all
or substantially all of their assets in the Portfolio, the Portfolio
normally must satisfy the source of income and diversification
requirements applicable to regulated investment companies (under the
Internal Revenue Code) in order for its investors to satisfy them. The
Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income,
net realized capital gains, and any other items of income, gain, loss
deduction or credit.
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
E. Foreign currency transactions
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
F. Deferred organization expense
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized on a straight-line basis through
April, 2001.
(2) Investment Advisory Fee:
The investment advisory fee paid to Standish, Ayer & Wood, Inc. ("SA&W")
for overall investment advisory services is paid monthly at the annual
rate of 0.40% of the Portfolio's first $250,000,000 of average daily net
assets, 0.35% of the next $250,000,000 of average daily net assets, and
0.30% of the average daily net assets in excess of $500,000,000. The
Portfolio Trust pays no compensation directly to its trustees who are
affiliated with SA&W or to its officers, all of whom receive remuneration
for their services to the Portfolio Trust from SA&W. Certain of the
trustees and officers of the Portfolio Trust are directors or officers of
SA&W.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
-------------- --------------
<S> <C> <C>
U.S. Government Securities...................... $2,400,520,210 $2,203,427,188
============== ==============
Investments (non-U.S. Government Securities).... $ 816,311,032 $ 708,182,205
============== ==============
</TABLE>
(4) Federal Income Tax Basis of Investment Securities:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 1998, as computed on a federal
income tax basis, were as follows:
Aggregate Cost.......................................... $ 3,531,369,916
===============
Gross unrealized appreciation........................... 70,909,136
Gross unrealized depreciation........................... (36,082,839)
---------------
Net unrealized appreciation............................. $ 34,826,297
===============
23
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to enhance
potential gain in circumstances where hedging is not involved. The nature,
risks and objectives of these instruments are set forth more fully in
Parts A & B of the Portfolio Trust's registration statement.
The Portfolio trades the following financial instruments with off-balance
sheet risk:
Options
Call and put options give the holder the right to purchase or sell,
respectively, a security or currency at a specified price on or before a
certain date. The Portfolio may use options to seek to hedge against risks
of market exposure and changes in security prices and foreign currencies,
as well as to seek to enhance returns. Writing puts and buying calls tend
to increase the Portfolio's exposure to the underlying instrument. Buying
puts and writing calls tend to decrease the Portfolio's exposure to the
underlying instrument, or hedge other Portfolio investments. Options, both
held and written by the Portfolio, are reflected in the accompanying
Statement of Assets and Liabilities at market value. The underlying face
amount at value of any open purchased option is shown in the Schedule of
Investments. This amount reflects each contract's exposure to the
underlying instrument at period end. Losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparties do not perform under
the contracts' terms.
Premiums received from writing options which expire are treated as
realized gains. Premiums received from writing options which are exercised
or are closed are added to or offset against the proceeds or amount paid
on the transaction to determine the realized gain or loss. Realized gains
and losses on purchased options are included in realized gains and losses
on investment securities, except purchased options on foreign currency
which are included in realized gains and losses on foreign currency
transactions. If a put option purchased by the Portfolio is exercised, the
premium reduces the cost basis of the securities purchased by the
Portfolio. The Portfolio, as a writer of an option, has no control over
whether the underlying securities may be sold (call) or purchased (put)
and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option. A summary of such
transactions for the six months ended June 30, 1998 is as follows:
Written Put Option Transactions
--------------------------------------------------------------------------
Number of
Contracts Premiums
---------- -----------
Outstanding, beginning of period............... 6 $ 2,607,527
Options written................................ 9 2,383,926
Options expired................................ (5) (3,588,043)
Options closed................................. (2) (339,329)
---------- -----------
Outstanding, end of period..................... 8 $ 1,064,081
========== ===========
24
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Written Call Option Transactions
--------------------------------------------------------------------------
Number of
Contracts Premiums
---------- -----------
Outstanding, beginning of period............... 5 $ 726,130
Options written................................ 10 2,046,667
Options expired................................ (5) (1,054,044)
Options closed................................. (1) (156,250)
---------- -----------
Outstanding, end of period..................... 9 $ 1,562,503
========== ===========
Written Cross Currency Option Transactions
--------------------------------------------------------------------------
Number of
Contracts Premiums
---------- -----------
Outstanding, beginning of period............... 14 $ 1,365,255
Options written................................ 11 755,526
Options expired................................ (5) (207,915)
Options closed................................. (13) (1,341,534)
---------- -----------
Outstanding, end of period..................... 7 $ 571,332
========== ===========
Forward currency exchange contracts
The Portfolio may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Portfolio primarily to protect the value of the Portfolio's foreign
securities from adverse currency movements. Unrealized appreciation and
depreciation of forward currency exchange contracts is included in the
Statement of Assets and Liabilities.
25
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 1998, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Local U.S.$ U.S.$
Principal Contract U.S.$ Market Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
------------------------------ ------------- ----------------- ------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Argentinian Peso 1,658,900 11/09/98 1,639,068 1,565,000 74,068
Australian Dollar 24,311,615 7/11-10/21/98 15,040,235 14,645,136 395,099
Belgian Franc 59,500,000 7/20/98 1,596,630 1,595,877 753
Danish Krone 53,467,255 7/14-8/06/98 7,772,290 7,909,048 (136,758)
German Deutsche Mark 36,974,328 7/15/98-4/22/99 20,522,107 20,889,125 (367,018)
British Pound Sterling 2,315,000 7/21/98 3,858,718 3,842,900 15,818
Hong Kong Dollar 65,838,222 12/29/98-10/14/99 8,169,847 8,237,887 (68,040)
Irish Punt 48,049 7/20/98 66,887 70,554 (3,667)
Japanese Yen 485,000,000 8/13/98 3,525,087 3,422,724 102,363
New Zealand Dollar 8,626,250 8/13/98-3/11/99 4,454,998 4,786,995 (331,997)
Republic of Korea Won 3,984,480,000 8/03/98 2,815,887 2,237,432 578,455
South African Commerical Rand 8,900,000 10/20/98 1,411,777 1,610,860 (199,083)
Swedish Krona 30,965,167 8/20/98 3,883,140 3,885,215 (2,075)
-------------- --------------- -------------
$74,756,671 $74,698,753 $57,918
============== =============== =============
<CAPTION>
Local U.S.$ U.S.$
Principal Contract U.S.$ Market Aggregate Unrealized
Contracts to Deliver Amount Value Date Value Face Amount Gain/(Loss)
------------------------------ ------------- ----------------- ------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Argentinian Peso 16,913,050 4/06-10/28/98 16,720,452 16,100,000 (620,452)
Australian Dollar 27,386,390 7/21-10/21/98 16,942,075 17,792,425 850,350
Danish Krone 187,675,542 7/13-9/16/98 27,306,226 27,280,181 (26,045)
Finnish Marka 19,227,600 8/26/98 3,511,493 3,587,239 75,746
French Franc 35,682,500 8/11/98 5,898,987 6,047,881 148,894
German Deutsche Mark 178,582,173 7/09-9/29/98 99,022,931 100,183,298 1,160,367
British Pound Sterling 40,834,754 7/07-12/10/98 67,885,365 66,889,747 (995,618)
Greek Drachma 581,081,250 4/22/99 1,818,466 1,758,620 (59,846)
Hong Kong Dollar 88,044,182 12/29/98-10/14/99 10,844,910 10,900,000 55,090
Irish Punt 1,106,504 7/20/98 1,540,334 1,595,877 55,543
Japanese Yen 7,302,088,574 7/28-11/27/98 53,307,027 57,765,048 4,458,021
New Zealand Dollar 21,065,082 8/10-12/17/98 10,856,705 11,663,238 806,533
Norwegian Krone 29,884,100 7/16/98 3,928,008 3,960,156 32,148
Polish Zlotty 21,498,799 9/18/98 5,955,951 5,350,000 (605,951)
Republic of Korean Won 3,984,480,000 8/03/98 2,815,887 4,220,000 1,404,113
South African Commercial Rand 28,037,466 10/20-10/23/98 4,446,567 5,359,205 912,638
Swedish Krona 192,372,011 7/17-8/31/98 24,115,347 24,719,581 604,234
-------------- --------------- -------------
$356,916,731 $365,172,496 $8,255,765
============== =============== =============
</TABLE>
26
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Forward Foreign Cross Currency Exchange Contracts
<TABLE>
<CAPTION>
U.S. $
U.S.$ Market U.S. $ Contract Unrealized
Contracts to Deliver Value In Exchange For Market Value Value Date Gain/(Loss)
------------------------- -------------- ------------------- -------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
German Deutsche Mark 1,433,126 Greek Drachma 1,479,511 4/22/99 46,385
German Deutsche Mark 1,433,126 Greek Drachma 1,474,723 4/22/99 41,597
Belgian Franc 1,596,630 Irish Punt 1,518,394 7/20/98 (78,236)
Belgian Franct 1,596,630 Irish Punt 1,517,003 7/20/98 (79,627)
Irish Punt 1,541,750 Belgian Franc 1,596,630 7/20/98 54,880
French Franc 1,692,257 Irish Punt 1,602,780 7/20/98 (89,477)
Irish Punt 1,622,980 French Franc 1,692,257 7/20/98 69,277
German Deutsche Mark 2,866,251 Greek Drachma 2,959,023 4/22/99 92,772
Australian Dollar 2,698,159 New Zealand Dollar 2,633,572 3/11/99 (64,587)
New Zealand Dollar 2,693,311 Australian Dollar 2,698,159 3/11/99 4,848
German Deutsche Mark 5,156,597 Polish Zlotty 5,919,094 9/18/98 762,497
-------------- -------------- -------------
$24,330,817 $25,091,146 $760,329
============== ============== =============
</TABLE>
Futures contracts
The Portfolio may enter into financial futures contracts for the delayed
sale or delivery of securities or contracts based on financial indices at
a fixed price on a future date. Pursuant to margin requirements the
Portfolio deposits either in cash or securities an amount equal to a
certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in
the value of the underlying security, and are recorded for financial
statement purposes as unrealized gains or losses by the Portfolio. There
are several risks in connection with the use of futures contracts as a
hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments or indices,
which may not correlate with changes in the value of hedged investments.
Buying futures tends to increase the Portfolio's exposure to the
underlying instrument, while selling futures tends to decrease the
Portfolio's exposure to the underlying instrument or hedge other Portfolio
investments. In addition, there is the risk that the Portfolio may not be
able to enter into a closing transaction because of an illiquid secondary
market. Losses may arise if there is an illiquid secondary market or if
the counterparties do not perform under the contracts' terms. The
Portfolio enters into financial futures transactions primarily to seek to
manage its exposure to certain markets and to changes in security prices
and foreign currencies. Gains and losses are realized upon the expiration
or closing of the futures contracts.
At June 30, 1998, the Portfolio held the following financials futures
contracts:
<TABLE>
<CAPTION>
Unrealized
Underlying Face Appreciation/
Contract Position Expiration Date Amount at Value (Depreciation)
----------------------------------- -------------- ----------------- ----------------- ----------------
<S> <C> <C> <C> <C>
U.S. Long Bond CBT (531 contracts) Long 9/30/98 $ 65,628,281 $ 128,172
U.S. 10 Year Note (1,084
contracts) Short 9/30/98 123,406,625 96,094
-------------
$ 224,266
=============
</TABLE>
27
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 1998 the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
(6) Delayed Delivery Transactions:
The Portfolio may purchase securities on a when-issued or forward
commitment basis. Payment and delivery may take place a month or more
after the date of the transactions. The price of the underlying securities
and the date when the securities will be delivered and paid for are fixed
at the time the transaction is negotiated. The Portfolio instructs its
custodian to segregate securities having a value at least equal to the
amount of the purchase commitment.
At June 30, 1998, the Fund had entered into the following delayed delivery
transactions:
<TABLE>
<CAPTION>
Type Security Settlement Date Amount
--------------------- ----------------- ---------------------- -------------------
<S> <C> <C> <C>
Buy GNMA 7/21/98 $122,865,938
</TABLE>
28
<PAGE>
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Standish, Ayer & Wood Investment Trust
One Financial Center
Boston, MA 02111-2662
(800) 221-4795
1000-98
