Standish, Ayer & Wood Master Portfolio
Diversified Income Fund
Financial Statements for the
Six Months Ended June 30, 1998
(Unaudited)
[LOGO]
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Statement of Assets and Liabilities
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Diversified Income Portfolio ("Portfolio"),
at value (Note 1A) $ 50,680,111
Receivable from investment adviser (Note 3) 1,790
Deferred organization cost (Note 1D) 14,181
Prepaid Expenses 304
------------
Total assets 50,696,386
Liabilities
Distributions payable $ 407,401
Accrued accounting and transfer agent fees 6,375
Accrued trustees' fees and expenses (Note 3) 674
Accrued expenses and other liabilities 18,670
-----------
Total liabilities 433,120
------------
Net Assets $ 50,263,266
============
Net Assets consist of:
Paid-in capital $ 50,686,252
Accumulated net realized gain 317,650
Undistributed net investment income 313,038
Net unrealized depreciation (1,053,674)
============
Total Net Assets $ 50,263,266
============
Shares of beneficial interest outstanding 2,439,373
============
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 20.60
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified 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 $ 1,546,002
Dividend income allocated from Portfolio (net of withholding taxes, $75) 61,605
Expenses allocated from Portfolio 0
-----------
Net investment income allocated from Portfolio 1,607,607
Expenses
Accounting and transfer agent fees 14,416
Registration fees 6,569
Trustees' fees and expenses (Note 3) 1,971
Amortization of organization cost (Note 1D) 1,790
Legal and audit services 132
Miscellaneous 2,115
---------
Total expenses 26,993
Deduct:
Reimbursement of fund operating expenses (Note 3) (26,993)
---------
Net expenses 0
-----------
Net investment income 1,607,607
-----------
Realized and Unrealized Gain (Loss)
Net realized gain allocated from Portfolio on:
Investment security transactions $ 200,757
Financial futures contracts 25,265
Written options transactions 27,874
Foreign currency transactions and forward foreign currency exchange contracts 59,030
---------
Net realized gain 312,926
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investment securities (704,235)
Financial futures contracts 8,759
Written options 12,953
Foreign currency and forward foreign currency exchange contracts 6,773
---------
Change in net unrealized depreciation (675,750)
-----------
Net realized and unrealized loss on investments (362,824)
-----------
Net Increase in Net Assets from Operations $ 1,244,783
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Statement of Changes in Net Assets
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<TABLE>
<CAPTION>
Six Months Ended For the period June 2, 1997
June 30, 1998 (commencement of operations)
(Unaudited) to December 31, 1997
---------------------------------------------------
<S> <C> <C>
Increase (decrease) in Net Assets
From Investment Operations
Net investment income $ 1,607,607 $ 744,805
Net realized gain 312,926 132,118
Change in net unrealized depreciation (675,750) (377,924)
----------- -----------
Net increase in Net Assets from Investment
Operations 1,244,783 498,999
----------- -----------
Distributions to Shareholders (Note 2)
From net investment income (1,358,601) (678,973)
From net realized gain -- (129,194)
----------- -----------
Total distributions to shareholders (1,358,601) (808,167)
----------- -----------
Fund Share (principal) Transactions (Note 5)
Net proceeds from sale of shares 22,606,500 27,390,426
Value of shares issued to shareholders in payment
of distributions declared 626,013 454,376
Cost of shares redeemed (253,093) (137,970)
----------- -----------
Increase in Net Assets from Fund share
transactions 22,979,420 27,706,832
----------- -----------
Total Increase in Net Assets 22,865,602 27,397,664
Net Assets
At beginning of period 27,397,664 --
----------- -----------
At end of period (including undistributed net
investment income of $313,038 and $64,032, $50,263,266 $27,397,664
respectively) =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
June 2, 1997
Six Months Ended (commencement of
June 30, 1998 operations) to
(Unaudited) (1) December 31, 1997 (1)
-------------- --------------------
<S> <C> <C>
Net Asset Value, Beginning of Period $ 20.51 $ 20.00
------- -------
Investment Operations:
Net investment income * 0.82 0.98
Net realized and unrealized gain (loss) on investments (0.43) 0.26
------- -------
Total from investment operations 0.39 1.24
------- -------
Less distributions declared to shareholders:
From net investment income (0.30) (0.63)
From net realized gain on investments -- (0.10)
------- -------
Total distributions to shareholders (0.30) (0.73)
------- -------
Net Asset Value, End of Period $ 20.60 $ 20.51
======= =======
Total Return 3.36% 6.20%
Ratios/Supplemental Data
Expenses (to average daily net assets)* (2) --+ --+
Net investment income (to average daily net assets)* 7.92%+ 8.07%+
Net assets, end of period (000 omitted) $50,263 $27,398
- --------------
* The investment adviser voluntarily agreed not to impose its advisory fee on the Portfolio and reimbursed the
Fund and the Portfolio for their operating expenses. If these voluntary actions had not been taken, the Fund's
net investment income per share and the ratios would have been:
Net investment income per share $ 0.75 $ 0.74
Ratios (to average daily net assets):
Expenses (2) 0.81%+ 1.96%+
Net investment income 7.11%+ 6.11%+
(1) Calculated based on average shares outstanding.
(2) Includes the Fund's share of Standish Diversified Income Portfolio's
allocated expenses.
+ Computed on an annualized basis.
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified 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 Diversified 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 Diversified 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% 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 investment 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. 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.
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. Deferred organization expense
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized on a straight-line basis through May
2002. These costs were paid for by the investment adviser and will be
reimbursed by the Fund.
E. Other
All net investment income and realized and unrealized gains and losses of
the Portfolio are allocated pro rata among the respective investors in the
Portfolio.
(2) Distributions to Shareholders:
The Fund's dividends from short-term and long-term capital gains, if any,
after reduction of capital losses will be declared and distributed at
least annually, as will dividends from net investment income. 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. The differences
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
are primarily due to differing treatments for foreign currency, forward
foreign currency exchange contracts, options and financial futures
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 International Management Company, L.P. ("SIMCO") for
such services. See Note 2 of the Portfolio's Notes to Financial Statements
which are included elsewhere in this report. For the six months ended June
30, 1998, SIMCO voluntarily agreed to limit the operating expenses of the
Fund and the Portfolio (excluding brokerage commissions, taxes and
extraordinary expenses) to 0.00% of the Fund's average daily net assets.
Pursuant to this agreement, SIMCO voluntarily reimbursed the Fund for
$26,933 of operating expenses for the six months ended June 30, 1998. The
Trust pays no compensation directly to its trustees who are affiliated
with the investment adviser or to its officers, all of whom receive
remuneration for their services to the Trust from SIMCO. Certain of the
trustees and officers of the Trust are limited partners or officers of
SIMCO.
(4) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 1998 aggregated $22,633,378 and $982,287,
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>
For the period June 2,
1997 (commencement of
For the Six Months Ended operations)
June 30, 1998 (Unaudited) to December 31, 1997
--------------------------- ----------------------------
<S> <C> <C>
Shares sold 1,085,214 1,320,752
Shares issued to shareholders in payment of
distributions declared 30,149 22,092
Shares redeemed (12,104) (6,730)
========================= ==========================
Net increase 1,103,259 1,336,114
========================= ==========================
</TABLE>
At June 30, 1998, four shareholders were record owners of approximately
24%, 24%, 16% and 16%, respectively, of the Fund's outstanding shares.
7
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
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 -- 85.2%
Asset Backed -- 9.2%
Delta Funding Home Equity Loan 1997-2 M1 7.240% 06/25/2027 750,000 $ 763,594
Franchise Mortage Corp. 1997-A D 144A 8.140% 04/15/2019 350,000 367,445
Green Tree Financial Corp. 1997-6 B1 7.170% 01/15/2029 600,000 602,906
Green Tree Financial Corp. 1997-6 B2 Non-ERISA 7.750% 01/15/2029 875,000 856,475
IMC Home Equity Loan 1998-1 M1 Non-ERISA 7.030% 03/20/2028 375,000 380,508
Oakwood Mortage 1998-A B2 144A 8.735% 05/15/2028 450,000 436,359
Oakwood Mortgage Investments 1997-D B1 Non-ERISA 7.325% 02/15/2028 425,000 421,813
Vanderbilt Mortage Financial 1997-D 1B2 7.550% 12/07/2027 425,000 426,793
Vanderbilt Mortgage 1996-C B2 8.000% 11/07/2026 400,000 412,000
-------------
Total Asset Backed (Cost $4,591,569) 4,667,893
-------------
Collateralized Mortgage Obligations -- 0.9%
GE Capital Mortgage 1996-11 B3 7.500% 07/25/2026 245,262 235,676
GE Capital Mortgage Services Inc. 1994-1 B3 144A 6.500% 01/25/2024 259,354 229,557
-------------
Total Collateralized Mortgage Obligations (Cost
$443,695) 465,233
-------------
Convertible Corporate Bonds -- 3.3%
Exide Corp. 144A 2.900% 12/15/2005 460,000 286,350
Lukinter Finance Cvt 144A 1.000% 11/03/2003 925,000 638,250
Tenet Healthcare Corp. 6.000% 12/01/2005 850,000 724,625
-------------
Total Convertible Corporate Bonds (Cost $1,891,308) 1,649,225
-------------
Corporate -- 38.7%
Bank Bonds -- 2.3%
Bank United Corp. Notes+ 8.875% 05/01/2007 425,000 465,843
First Nationwide+ 12.500% 04/15/2003 150,000 170,250
First Nationwide Senior Sub Notes+ 10.625% 10/01/2003 275,000 310,750
First Palm Beach Notes 10.350% 06/30/2002 100,000 106,550
Webster Financial Capital 144A Notes 9.360% 01/29/2027 100,000 117,352
-------------
1,170,745
-------------
Financial -- 10.2%
Amresco Inc. Corp. Senior Sub Notes+ 10.000% 03/15/2004 175,000 181,344
Amresco Inc. Corp. Senior Sub Notes 9.875% 03/15/2005 275,000 277,750
Carramerica REIT 144A Notes 6.875% 03/01/2008 350,000 349,342
Conseco Finance Trust Cap. Notes 8.700% 11/15/2026 75,000 84,726
Conseco Finance Trust Cap. Notes 8.796% 04/01/2027 700,000 798,910
Constitution Capital Trust 9.150% 04/15/2027 175,000 201,227
Contifinancial Corp. Senior Notes+ 8.375% 08/15/2003 100,000 104,055
Fresenius Medical Capital Trust 144A 7.875% 02/01/2008 600 586,500
Imperial Credit Capital Trust(a) 10.250% 06/14/2002 50,000 50,500
Kaufman & Broad Home Corp. 7.750% 10/15/2004 300,000 297,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
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)
Markel Capital Trust I Notes+ 8.710% 01/01/2046 175,000 $ 192,959
Matrix Capital Corp. Notes+ 11.500% 09/30/2004 300,000 327,000
Ocwen Financial Capital Notes+ 11.875% 10/01/2003 150,000 168,000
Ocwen Financial Capital Notes+ 10.875% 08/01/2027 50,000 54,500
Phoenix Re-Insurance Corp.+ 8.850% 02/01/2027 175,000 189,408
Pindo Deli Financial 10.250% 10/01/2002 850,000 595,000
Tanger REIT+ 7.875% 10/24/2004 200,000 204,920
Toll Brothers Inc.+ 7.750% 09/15/2007 300,000 295,500
United Companies Financial Corp. Sub Notes+ 8.375% 07/01/2005 225,000 225,995
-------------
5,185,386
-------------
Industrial Bonds -- 26.2%
Adelphia Communications+ 9.250% 10/01/2002 300,000 310,985
American Standard Corp. Senior Notes 7.625% 02/15/2010 150,000 147,000
Building Materials Corp. Senior Notes 8.000% 10/15/2007 300,000 300,000
Chattem Inc. 144A 8.875% 04/01/2008 425,000 420,750
Conmed Corp. 9.000% 03/15/2008 175,000 173,688
Extendicare Health Sevices 9.350% 12/15/2007 484,000 488,840
Ferrellgas Corp. 9.375% 06/15/2006 200,000 206,000
Flag Limited 144A Senior Notes 8.250% 01/30/2008 600,000 604,500
Foodmaker Inc. 144A Senior Sub Notes 8.375% 04/15/2008 400,000 400,308
Genesis Multicare 9.000% 08/01/2007 175,000 173,250
Grove Worldwide Senior Sub Notes 144A 9.250% 05/01/2008 300,000 292,500
Guandong Enterprises 144A Senior Notes 8.875% 05/22/2007 875,000 650,738
Horseshoe Gaming L.L.C. 9.375% 06/15/2007 500,000 529,375
Integrated Health Senior Sub Notes 9.250% 01/15/2008 500,000 519,375
Mcleod USA Senior Step Up 0.000% 03/01/2007 675,000 501,188
Nextlink Communication 144A 0.000% 04/15/2008 950,000 586,625
Niagara Mohawk Power 7.375% 07/01/2003 100,000 99,895
NVR Inc. Senior Notes 8.000% 06/01/2005 500,000 492,500
Optel Inc.# 11.500% 07/01/2008 450,000 451,125
Panavision Inc. 144A 0.000% 02/01/2006 450,000 324,000
Paxson Communications+ 11.625% 10/01/2002 250,000 268,125
Pharmerica Inc. 144A Senior Notes 8.375% 04/01/2008 300,000 300,750
Premier Parks Inc. 9.250% 04/01/2006 50,000 51,565
Premier Parks Inc. 0.000% 04/01/2008 150,000 99,375
Revlon Worldwide Senior Notes+ 0.000% 03/15/2001 800,000 622,000
Rose Hills Co. 9.500% 11/15/2004 125,000 130,788
Salem Communications Corp. Senior Sub Notes 9.500% 10/01/2007 425,000 442,000
Sinclair Broadcast 9.000% 07/15/2007 225,000 233,168
Sinclair Broadcast 8.750% 12/15/2007 100,000 102,500
Smithfield Foods Inc. 144A 7.625% 02/15/2008 300,000 297,000
Southland Corp. Deb Notes+ 4.500% 06/15/2004 300,000 243,000
Speedway Motorsports Inc.+ 8.500% 08/15/2007 125,000 129,375
Stage Stores Inc.+ 8.500% 07/15/2005 100,000 102,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Bonds (continued)
Sun Healthcare Group Inc. 144A 9.500% 07/01/2007 125,000 $ 126,563
TCI Communications Inc. 7.125% 02/15/2028 350,000 365,400
Tenet Healthcare Corp.+ 8.625% 12/01/2003 100,000 105,000
UPM-Kymmene Corp. 144A 7.450% 11/26/2027 350,000 364,550
Westinghouse Credit Corp.+ 8.875% 06/14/2014 250,000 285,163
Westinghouse Electric Deb Notes 8.625% 08/01/2012 500,000 542,560
Westpoint Steven 144A 7.875% 06/15/2005 350,000 352,625
Winstar Communications 0.000% 10/15/2005 500,000 415,000
-------------
13,251,649
-------------
Total Corporate (Cost $19,830,343) 19,607,780
-------------
Government/Other -- 29.8%
Argentina -- 1.1%
City of Buenos Aires 10.500% 05/28/2004 125,000 103,906
Cointel 10.375% 08/01/2004 575,000 470,063
-------------
573,969
-------------
Denmark -- 0.2%
Denmark Nykredit 7.000% 10/01/2026 533,000 79,196
-------------
EuroDollar -- 0.7%
Bonos DEL Tesoro Notes+ 8.750% 05/09/2002 400,000 381,000
-------------
Germany -- 3.4%
Colt Telecom Group PLC 0.000% 12/15/2006 350,000 276,500
Exide Holding Europe 144A 9.125% 04/15/2004 400,000 222,345
RSL Communications PLC 0.000% 03/01/2008 625,000 368,750
Texon International PLC 10.000% 02/01/2008 240,000 133,075
United Mexican States 10.375% 01/29/2003 1,150,000 710,163
-------------
1,710,833
-------------
New Zealand -- 0.1%
Fletcher Challenge 10.000% 04/30/2005 110,000 62,008
-------------
South Africa -- 0.3%
European Investment Bank 0.000% 04/07/2027 18,000,000 80,597
IBRD-Global Bond 0.000% 12/31/2025 22,500,000 83,955
-------------
164,552
-------------
United Kingdom -- 2.7%
IPC Magazines 0.000% 03/15/2008 200,000 190,323
Northern Rock Building Society 9.375% 10/17/2021 190,000 413,160
P & O Steam Navigation 11.500% 07/03/2014 120,000 286,973
William Hill Finance 10.625% 04/30/2008 275,000 455,095
-------------
1,345,551
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Fund
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (1) (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Yankee Bonds -- 21.3%
Asia Pulp And Paper Global 144A 2.000% 07/25/2000 125,000 $ 109,375
Asia Pulp and Paper Global Financial+ 11.750% 10/01/2005 350,000 308,000
Brazil C Bond(a) 8.000% 04/15/2014 870,158 640,653
Call-Net Enterprises 0.000% 08/15/2007 300,000 210,000
Global Crossing Holdings Ltd. 144A 9.625% 05/15/2008 400,000 417,000
Gruma SA 144A Notes 7.625% 10/15/2007 700,000 665,350
ING Barings NV 0.000% 02/12/1999 800,000 826,000
Jamaica Government 144A Notes 9.625% 07/02/2002 950,000 921,500
Ministry Finance of Russia 9.250% 11/27/2001 350,000 295,750
Ministry Finance of Russia 10.000% 06/26/2007 450,000 340,875
Peru FLIRB(a) 3.250% 03/07/2017 1,425,000 794,438
Petroleos Mexicanos 144A Notes 8.375% 03/30/2005 600,000 576,000
Poland - Global Reg'd(a) 6.688% 10/27/2024 350,000 343,630
Republic of Argentina 8.375% 12/20/2003 600,000 598,500
Republic of Argentina(a) 9.150% 11/30/2002 1,100,000 1,102,750
Republic of Panama 7.875% 02/13/2002 1,650,000 1,614,525
Tata Engineering & Locomotive 144A Notes 7.875% 07/15/2007 725,000 619,440
TV Azteca 10.125% 02/15/2004 425,000 425,000
-------------
10,808,786
-------------
Total Government/Other (Cost $15,909,289) 15,125,895
-------------
U.S. Treasury Obligations -- 3.3%
Treasury Bonds -- 1.6%
U.S. Treasury Bond+ 8.125% 08/15/2019 50,000 64,531
U.S. Treasury Bond 6.625% 02/15/2027 670,000 756,577
-------------
821,108
-------------
Treasury Notes -- 1.7%
U.S. Treasury Note+ 6.250% 10/31/2001 670,000 683,923
U.S. Treasury Note+ 5.875% 11/15/1999 150,000 150,680
-------------
834,603
-------------
Total U.S. Treasury Obligations (Cost $1,651,330) 1,655,711
-------------
TOTAL BONDS AND NOTES (COST $44,317,534) 43,171,737
-------------
</TABLE>
<TABLE>
<CAPTION>
Value
Security Shares (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS -- 3.0%
California Federal 9.125 4,000 110,000
El Paso Electric Co. 4,826 531,956
Equity Office Properties Trust 144A CVT 8,000 354,000
Fuji JGB Inv. L.L.C. Pfd(a) 225,000 195,815
Paxson Communications 128 139,360
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
(Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Sumitomo Bank Step Up 144A 200,000 $ 199,500
-------------
TOTAL PREFERRED STOCKS (COST $1,534,790) 1,530,631
-------------
WARRANTS -- 0.0%
Equity Office Properties Warrants 2,750 2,338
-------------
TOTAL WARRANTS(COST $2,200) 2,338
-------------
<CAPTION>
Contract Size
--------------
<S> <C> <C>
PURCHASED OPTIONS -- 0.3%
UST 5.50% Call, Strike Price 99.984, 7/8/98 32,000 2,000
JPY Put/USD Call, Strike Price 145.00, 5/19/99 1,325,000 28,355
UST 6.125% Call, Strike Price 109.516, 11/9/98 8,000 10,875
BTP 6.75% Put, Strike Price 107.69, 2/7/00 1,325,000,000 7,950
Fujibank 9.87% Call, Strike Price 6.37, 2/26/99 4,500 13,950
JPY Put/USD Call, Strike Price 155.00, 6/15/99 450,000 7,380
JPY Put/USD Call, Strike Price 150.00, 6/9/99 500,000 7,700
JPY Put/USD Call, Strike Price 145.00, 12/7/98 1,000,000 14,400
UST 5.625% Call, Strike Price 100.547, 9/9/98 4,450 5,476
JGB 3.00% Put, Strike Price 110.00, 6/2/99 121,425,000 21,492
JGB 3.00% Put, Strike Price 111.40, 12/2/98 121,400,000 17,239
UST 5.625% Call, Strike Price 101.609, 9/8/98 4,520 4,591
JGB 3.00% Put, Strike Price 110.291, 12/17/98 124,000,000 13,516
-------------
TOTAL PURCHASED OPTIONS (COST $155,304) 154,924
-------------
</TABLE>
<TABLE>
<CAPTION>
Par Value
Rate Maturity Value (1) (Note 1A)
--------------- -------------- --------------- -------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 9.3%
COMMERCIAL PAPER -- 5.1%
Goldman Sachs Group , L.P. 6.250% 07/01/1998 1,300,000 1,299,774
Merck 6.150% 07/01/1998 1,300,000 1,299,783
-------------
2,599,557
-------------
U.S. GOVERNMENT AGENCY -- 0.1%
FHLMC 5.430% 09/08/1998 50,000 49,478
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Diversified Income Portfolio
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
(Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS -- 4.1%
Prudential Bache Repurchase Agreement, dated 6/30/98, due 7/1/98, with a
maturity value of $2,064,323 and an effective yield of 5.32%, collateralized by
a U.S. Government Agency Obligation with a rate of 6.237%, with a maturity date
of 2/1/37 and with a market value of $2,184,374., 7/1/98 $ 2,064,018
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $4,713,500) 4,713,053
-------------
TOTAL INVESTMENTS-- 97.8% (COST $50,723,328) $ 49,572,683
Other Assets, Less Liabilities-- 2.2% 1,107,538
-------------
NET ASSETS-- 100% $ 50,680,221
=============
</TABLE>
Notes to 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.
FHLMC - Federal Home Loan Mortgage Corp.
FLIRB - Front Loaded Interest Reduction Bond
IBRD - International Bank for Reconstruction and Development
BTP - British Pound
JGB - Japanese Government Bond
JPY - Japanese Yen
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.
+ Denotes all or part of security pledged as a margin deposit (Note 5).
(a) Variable Rate Security; rate indicated is as of 6/30/98.
# Delayed delivery contract (Note 6).
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Statement of Assets and Liabilities
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost, $50,723,328) $ 49,572,683
Cash 52,022
Interest and dividends receivable 782,275
Receivable for investments sold 689,283
Unrealized appreciation on forward foreign currency exchange contracts
(Note 5) 187,355
Deferred organization costs (Note 1E) 4,671
Receivable for daily variation margin on open financial futures contracts
(Note 5) 141
Miscellaneous receivable 16,854
Prepaid expenses 2,723
------------
Total assets 51,308,007
Liabilities
Payable for delayed delivery transactions (Note 6) $ 450,000
Payable to investment adviser (Note 2) 6,102
Accrued trustees' fees and expenses (Note 2) 1,576
Options written, at value (premiums received $57,578) (Note 5) 37,599
Unrealized depreciation on forward foreign currency exchange contracts
(Note 5) 110,810
Accrued accounting and custody fees 17,110
Accrued expenses and other liabilities 4,589
-----------
Total liabilities 627,786
------------
Net Assets (applicable to investors' beneficial interests) $ 50,680,221
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Statement of Operations
Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1C)
Interest income $ 1,546,006
Dividend income (net of foreign withholding taxes of $75) 61,605
-----------
Total income 1,607,611
Expenses
Investment advisory fee (Note 2) $ 101,245
Accounting and custody fees 35,549
Insurance expense 1,125
Amortization of organization expense (Note 1E) 582
Miscellaneous 118
---------
Total expenses 138,619
Deduct:
Waiver of investment advisory fee (Note 2) (101,245)
Reimbursement of operating expenses (Note 2) (37,374)
---------
Total waiver of investment advisory fee and reimbursement of operating
expenses (138,619)
---------
Net expenses 0
-----------
Net investment income 1,607,611
-----------
Realized and Unrealized Gain (Loss)
Net realized gain
Investment securities transactions $ 200,758
Financial futures contracts 25,265
Written options transactions 27,874
Foreign currency transactions and forward foreign currency exchange
contracts 59,030
---------
Net realized gain 312,927
Change in unrealized appreciation (depreciation)
Investment securities (704,236)
Financial futures contracts 8,759
Written options 12,953
Foreign currency and forward foreign currency exchange contracts 6,774
---------
Change in net unrealized depreciation (675,750)
-----------
Net realized and unrealized loss (362,823)
-----------
Net Increase in Net Assets from Operations $ 1,244,788
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
Six Months Ended June 2, 1997
June 30, 1998 (commencement of operations)
(Unaudited) to December 31, 1997
------------- ----------------------
<S> <C> <C>
Increase (decrease) in Net Assets
From Investment Operations
Net investment income $ 1,607,611 $ 744,809
Net realized gain 312,927 132,120
Change in net unrealized depreciation (675,750) (377,925)
----------- -----------
Net increase in Net Assets from Investment
Operations 1,244,788 499,004
----------- -----------
Capital Transactions
Contributions 22,633,378 27,429,704
Withdrawals (982,287) (144,366)
----------- -----------
Increase in Net Assets resulting from
capital transactions 21,651,091 27,285,338
----------- -----------
Total Increase in Net Assets 22,895,879 27,784,342
----------- -----------
Net Assets
At beginning of period 27,784,342 --
----------- -----------
At end of period $50,680,221 $27,784,342
=========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
June 2, 1997
Six Months Ended (commencement of
June 30, 1998 operations)
(Unaudited) to December 31, 1997
----------- --------------------
<S> <C> <C>
Ratios:
Expenses (to average daily net assets)* --+ --+
Net investment income (to average daily net assets)* 7.91%+ 8.07%+
Portfolio Turnover 60% 25%
Net assets, end of period (000s omitted) $ 50,680 $27,784
- --------------------------------------------------------------
* The investment adviser voluntarily agreed not to impose its investment advisory fee and reimbursed the
Portfolio for all of its operating expenses for the six months ended June 30, 1998 and for the period ended
December 31, 1997. If these voluntary actions had not been taken, the ratios would have been:
Ratios (to average daily net assets):
Expenses 0.68%+ 1.50%+
Net investment income 7.23%+ 6.57%+
</TABLE>
+ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified 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
Diversified Income Portfolio (the "Portfolio") is a separate diversified
investment series of the Portfolio Trust.
The following is a summary of significant accounting policies followed by
the Portfolio 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
Securities for which quotations are readily available are valued at the
last sale price, or if no sale, 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 primarily using dealer-supplied valuations or 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 on an amortized cost basis. 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
agreement's underlying investments to ensure the existence of a proper
level of collateral.
C. Securities transactions and income
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of interest accrued. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from
securities sold are recorded on the identified cost basis.
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.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
E. Deferred Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized, on a straight-line basis through
May 2002.
(2) Investment Advisory Fee:
The investment advisory fee paid to Standish Investment Management
Company, L.P. ("SIMCO") for overall investment advisory services is paid
monthly at the annual rate of 0.50% of the Portfolio's average daily net
assets. For the six months ended June 30, 1998, SIMCO voluntarily agreed
to limit the Portfolio's operating expenses (excluding brokerage
commissions, taxes and extraordinary expenses) to 0.00% of the Portfolio's
average daily net assets. Pursuant to this agreement, SIMCO voluntarily
did not impose $101,245 of its investment advisory fee and reimbursed the
Portfolio for its operating expenses of $37,374. The Portfolio Trust pays
no compensation directly to its trustees who are affiliated with SIMCO or
to its officers, all of whom receive remuneration for their services to
the Portfolio Trust from SIMCO. Certain of the trustees and officers of
the Portfolio Trust are limited partners or officers of SIMCO.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six month period ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------- ------------
<S> <C> <C>
U.S. Government Securities $ 7,228,419 $ 7,343,586
============= ============
Investments (non-U.S. Government Securities) $35,668,926 $14,063,730
============= ============
</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 $ 50,723,328
==============
Gross unrealized appreciation 563,508
Gross unrealized depreciation (1,714,153)
==============
Net unrealized appreciation (depreciation) $ (1,150,645)
==============
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified 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 investments are set forth more fully in
Parts A and 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 options 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 investments securities, except purchased options on foreign currency
which are included in realized gains and losses on foreign currency
transactions. If a put option written 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.
<TABLE>
<CAPTION>
Written Put Option Transactions
------------------------------------------------------------------------------------
Number of
Contracts Premiums
------------- -------------
<S> <C> <C>
Outstanding, beginning of period................... 5 $ 21,453
Options written.................................... 4 48,888
Options exercised.................................. (1) (2,700)
Options expired.................................... (3) (33,218)
Options closed..................................... (2) (4,391)
------------- -------------
Outstanding, end of period......................... 3 $ 30,032
============= =============
Written Call Option Transactions
------------------------------------------------------------------------------------
Number of
Contracts Premiums
------------- -------------
Outstanding, beginning of period................... 4 $ 5,930
Options written.................................... 5 21,859
Options expired.................................... (2) (7,547)
Options closed..................................... (1) (391)
------------- -------------
Outstanding, end of period......................... 6 $ 19,851
============= =============
</TABLE>
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Written Cross Currency Option Transactions
------------------------------------------------------------------------------------
Number of
Contracts Premiums
------------- -------------
<S> <C> <C>
Outstanding, beginning of period................... 3 $ 28,698
Options written.................................... 1 7,695
Options closed..................................... (3) (28,698)
------------- -------------
Outstanding, end of period......................... 1 $ 7,695
============= =============
</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. Pusuant 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 index, which
may not correlate with changes in value of the hedged investments. Buying
futures tends to increase the Portfolios exposure to the underlying
instrument, while selling futures tends to decrease the Portfolio's
exposure to the underlying instrument or hedge other 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 contract's terms. The Portfolio
enters into financial futures transactions primarily to seek to manage its
exposure to certain markets and to changes in securities 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 futures contracts:
<TABLE>
<CAPTION>
Underlying
Face/amount at Unrealized
Contract Position Expiration Date value Gain/(Loss)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. 5 Year Note (1 Contract) Long 9/30/98 $109,688 $ 474
=================
</TABLE>
At June 30, 1998, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
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.
At June 30, 1998, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Forward Foreign Currency Contracts
<TABLE>
<CAPTION>
Local U.S.$
Principal Contract U.S.$ Market U.S.$ Aggregate Unrealized
Contracts to Deliver Amount Value Date Value Face Amount Gain/(Loss)
--------------------------------- ---------- ----------------- ------------ ---------------- -------------
<S> <C> <C> <C> <C> <C>
Argentinian Peso................. 2,142,105 9/09-10/28/98 2,126,998 2,095,000 (31,998)
Australian Dollar................ 128,840 7/31-8/11/98 79,691 82,075 2,384
British Pound Sterling........... 718,405 8/07-12/10/98 1,191,711 1,173,827 (17,884)
German Deutsche Mark............. 1,701,602 7/09-8/26/98 942,654 944,227 1,573
Danish Krone..................... 552,128 8/06/98 80,314 81,555 1,241
Hong Kong Dollar................. 4,788,264 12/29/98-10/14/99 601,030 585,000 (16,030)
New Zealand Dollar............... 118,306 8/13/98 61,109 68,618 7,509
Polish Zloty..................... 100,461 9/18/98 27,831 25,000 (2,831)
Republic of Korea Won............ 28,320,000 8/03/98 20,014 30,000 9,986
South African Commercial Rand ... 4,197,421 10/20-10/23/98 665,580 802,000 136,420
------------ ------------- ------------
$5,796,932 $5,887,302 $90,370
============ ============= ============
<CAPTION>
Local U.S.$
Principal Contract U.S.$ Market U.S.$ Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
--------------------------------- ---------- ----------------- ------------ ---------------- -------------
<S> <C> <C> <C> <C> <C>
Australian Dollar................ 128,840 7/31-8/11/98 79,691 75,755 3,936
German Deutsche Mark............. 43,358 9/18/98 24,096 25,574 (1,478)
Hong Kong Dollar 4,569,584 12/29/98-10/14/99 574,478 577,923 (3,445)
Irish Punt....................... 426 7/20/98 592 625 (33)
Republic of Korea Won............ 28,320,000 8/03/98 20,014 15,942 4,072
South African Commercial Rand ... 1,460,000 10/20/98 231,595 264,253 (32,658)
------------ ------------- ------------
$930,466 $960,072 $ (29,606)
============ ============= ============
</TABLE>
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Diversified Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Forward Foreign Cross Currency Contracts
<TABLE>
<CAPTION>
U.S.$ U.S. $
Market U.S. $ Market Contract Unrealized
Contracts to Deliver Value In Exchange For Value Value Date Gain/(Loss)
--------------------------- --------- -------------------- ------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Irish Punt.................... 3,878 Belgian Franc 4,025 7/20/98 147
Irish Punt.................... 9,069 Belgian Franc 9,392 7/20/98 323
Belgian Franc................. 13,417 Irish Punt 12,760 7/20/98 (657)
Belgian Franc................. 13,417 Irish Punt 12,748 7/20/98 (669)
Irish Punt.................... 12,956 Belgian Franc 13,417 7/20/98 461
French Franc.................. 16,510 Irish Punt 15,637 7/20/98 (873)
Irish Punt.................... 15,834 French Franc 16,510 7/20/98 676
German Deutsche Mark.......... 119,427 Greek Drachma 123,293 4/22/99 3,866
German Deutsche Mark.......... 119,427 Greek Drachma 122,894 4/22/99 3,467
Greek Drachma................. 151,468 German Deutsche Mark 149,214 4/22/99 (2,254)
German Deutsche Mark.......... 238,854 Greek Drachma 246,585 4/22/99 7,.731
German Deutsche Mark.......... 24,096 Polish Zloty 27,659 9/18/98 3,563
-------- ------------- ------------
$738,353 $ 754,134 $ 15,781
======== ============= ============
</TABLE>
(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 Portfolio had entered into the following delayed
delivery transaction:
<TABLE>
<CAPTION>
Type Security Settlement Date Amount
-------- -------------- ----------------- --------------
<S> <C> <C> <C>
Buy .................... Optel,.Inc. 7/7/98 $450,000
</TABLE>
(7) Concentration of Risk:
The Portfolio invests in low rated (non-investment grade) and comparable
quality unrated high yield securities. Investments in high yield
securities are accompanied by a greater degree of credit risk and the risk
tends to be more sensitive to economic conditions than higher rated
securities. The risk of loss due to default of an issuer may be
significantly greater for holders of high yield securities, because such
securities are generally unsecured and are often subordinated to other
creditors of the issuer.
There are certain additional considerations and risks associated with
investing in foreign securities and currency transactions that are not
inherent with investments of domestic origin. The Portfolio's investment
in emerging market countries may involve greater risks than investments in
more developed markets and the price of such investments may be volatile.
These risks of investing in foreign and emerging markets may include
foreign currency exchange rate fluctuations, perceived credit risk,
adverse political and economic developments and possible adverse foreign
government intervention.
23
<PAGE>
[LOGO]
Standish, Ayer & Wood Investment Trust
One Financial Center
Boston, MA 02111-2662
(800) 221-4795
1041-98
