Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Global Fixed Income Portfolio
("Portfolio"), at value (Note 1A) $ 464,155,069
Prepaid expenses 859
-------------
Total assets 464,155,928
Liabilities
Payable for Fund shares redeemed $ 938,308
Distributions payable 1,648,086
Accrued accounting, custody and transfer agent fees 4,240
Accrued trustees' fees and expenses (Note 2) 984
Accrued expenses and other liabilities 8,690
----------
Total liabilities 2,600,308
-------------
Net Assets $ 461,555,620
=============
Net Assets Consist Of:
Paid-in capital $ 469,724,727
Accumulated net realized gain 2,665,637
Undistributed net investment income 6,512,662
Net unrealized depreciation (17,347,406)
-------------
Total Net Assets $ 461,555,620
=============
Shares Of Beneficial Interest Outstanding 23,210,183
=============
Net Asset Value, Offering Price And Redemption Price
Per Share
(Net Assets/Shares outstanding) $ 19.89
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statement Of Operations
For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1B)
Interest income allocated from Portfolio $ 16,004,647
Dividend income allocated from Portfolio 41,130
Expenses allocated from Portfolio (1,178,616)
-------------
Net investment income allocated from Portfolio 14,867,161
Expenses
Accounting, custody and transfer agent fees $ 21,478
Legal and audit services 13,970
Registration fees 13,876
Trustees' fees and expenses (Note 2) 1,983
Insurance expense 588
Miscellaneous 6,239
------------
Total expenses 58,134
-------------
Net investment income 14,809,027
-------------
Realized And Unrealized Gain (Loss)
Net realized gain (loss) allocated from
Portfolio on:
Investment security transactions (5,831,872)
Financial futures contracts (1,174,872)
Written options transactions (819,266)
Foreign currency transactions and forward foreign
currency exchange contracts 10,572,824
------------
Net realized gain 2,746,814
Change in unrealized appreciation (depreciation)
allocated from Portfolio on:
Investment securities (30,329,213)
Financial futures contracts 61,174
Written options 5,131,121
Foreign currency and forward foreign currency
exchange contracts 9,895,450
------------
Change in net unrealized depreciation (15,241,468)
-------------
Net realized and unrealized loss on investments (12,494,654)
-------------
Net Increase In Net Assets From Operations $ 2,314,373
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
----------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Investment Operations
Net investment income $ 14,809,027 $ 23,410,641
Net realized gain 2,746,814 8,805,534
Change in net unrealized depreciation (15,241,468) (7,075,746)
------------- -------------
Net increase in net assets from investment operations 2,314,373 25,140,429
------------- -------------
Distributions to Shareholders (Note 1E)
From net investment income (11,428,787) (23,734,875)
From net realized gain -- (6,298,437)
------------- -------------
Total distributions to shareholders (11,428,787) (30,033,312)
------------- -------------
Fund Share (Principal) Transactions (Note 4)
Net proceeds from sale of shares 11,526,351 195,822,857
Value of shares issued to shareholders in payment of
distributions declared 8,127,935 22,737,669
Cost of shares redeemed (7,509,786) (10,904,532)
------------- -------------
Net increase in net assets from Fund share
transactions 12,144,500 207,655,994
------------- -------------
Total Increase in Net Assets 3,030,086 202,763,111
Net Assets
At beginning of period 458,525,534 255,762,423
------------- -------------
At end of peroid (including undistributed net
investment income of $6,512,662 and $3,132,422
respectively) $ 461,555,620 $ 458,525,534
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1999 -------------------------------------------------------------------
(Unaudited) 1998(1) 1997(1) 1996(1) 1995 1994(2)
-------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 20.28 $ 20.39 $ 20.09 $ 19.53 $ 17.99 $ 20.00
-------------- ----------- ----------- ----------- ----------- -----------
From Investment Operations:
Net investment income* 0.64 1.28 1.34 1.42 1.59 1.29
Net realized and unrealized gain
(loss) on investments (0.53) 0.12 0.96 1.05 1.60 (2.70)
-------------- ----------- ----------- ----------- ----------- -----------
Total from investment operations 0.11 1.40 2.30 2.47 3.19 (1.41)
-------------- ----------- ----------- ----------- ----------- -----------
Less Distributions to Shareholders:
From net investment income (0.50) (1.21) (1.98) (1.91) (1.65) --
From net realized gain on investments -- (0.30) (0.02) -- -- --
From tax return of capital -- -- -- -- -- (0.60)
-------------- ----------- ----------- ----------- ----------- -----------
Total distributions to shareholders (0.50) (1.51) (2.00) (1.91) (1.65) (0.60)
-------------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 19.89 $ 20.28 $ 20.39 $ 20.09 $ 19.53 $ 17.99
============== =========== =========== =========== =========== ===========
Total Return 0.54% 6.98% 11.68% 13.03% 18.13% (7.06)%
Ratios/supplemental Data:
Expenses (to average daily net
assets)*(3) 0.54%+ 0.56% 0.65% 0.65% 0.62% 0.65%+
Net Investment Income (to average
daily net assets)* 6.41%+ 6.18% 6.42% 7.11% 7.69% 7.73%+
Portfolio Turnover (4) -- -- -- 73% 163% 140%
Net Assets, End of Period (000's
omitted) $461,556 $ 458,526 $ 255,762 $ 155,731 $ 137,889 $ 135,232
</TABLE>
- -----------------
* For the periods indicated, the investment adviser did not impose a portion
of its advisory fee and/or reimbursed a portion of the Fund's operating
expenses. If this voluntary reduction had not been taken, the investment
income per share and the ratios would have been:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Net investment income per share -- -- $ 1.33 -- -- $ 1.27
Ratios (to average daily net assets):
Expenses (3) -- -- 0.66% -- -- 0.73%+
Net investment income -- -- 6.41% -- -- 7.65%+
</TABLE>
+ Computed on an annualized basis.
(1) Calculated based on average shares outstanding.
(2) For the period from January 3, 1994 (start of business) to December 31,
1994.
(3) Includes the Fund's share of Standish Global Fixed Income Portfolio's
allocated expenses for the periods since May 3, 1996.
(4) Portfolio turnover represents the rate of portfolio activity for the
period while the Fund invested 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 are 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 Global 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 Global Fixed Income Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The Fund invests all of its investable assets in an interest of Standish
Global 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% at June 30, 1999). 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 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
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. Currently, the
Funds 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 regulated investment company qualified 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.
The Fund elected to defer to its fiscal year ending December 31, 1999
losses of $99,117 recognized during the period from November 1, 1998 to
December 31, 1998.
D. Other
All net investment income and realized and unrealized gains and losses of
the Portfolio are allocated pro rata among the investors in the Portfolio.
E. 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 of 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
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Notes To Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 foreign currency, forward foreign currency exchange contracts, option
and financial futures transactions. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications between paid-in capital, distributions in excess of net
investment income and accumulated net realized gain (loss).
(2) 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. The 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
Trust from the SIMCO. Certain of the trustees and officers of the Trust
are limited partners or officers of SIMCO.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 1999, aggregated $11,526,351 and $11,331,371,
respectively.
(4) 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 Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
----------------- -------------
<S> <C> <C>
Shares sold 564,720 9,481,481
Shares issued to shareholders in payment of
distributions declared 405,690 1,113,065
Shares redeemed (370,864) (524,367)
-------- ----------
Net increase 599,546 10,070,179
======== ==========
</TABLE>
At June 30, 1999, two shareholders were record owners of approximately 17%
and 15% of the total outstanding shares of the Fund, respectively.
7
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 95.3%
Asset Backed -- 2.8%
Advanta Home Equity Loan Trust 1999-2 A3 6.440% 05/25/2029 $ 350,000 $ 350,437
Advanta Mortgage Trust 1997-4 M1 7.040% 01/25/2029 1,300,000 1,293,094
BankBoston Home Equity 98-2 A7 6.140% 06/25/2013 5,000,000 4,754,883
Delta Funding Home Equity Line 1998-4 A7 6.190% 02/15/2031 2,750,000 2,613,682
IMC Home Equity 1997-7 A8 6.650% 02/20/2029 925,000 912,570
Residential Funding 1997-HS5 M1 7.010% 05/25/2027 900,000 901,125
Vanderbilt Mortgage Financial 1996-C B2 8.000% 11/07/2026 1,200,000 1,119,000
World Omni Auto Lease 1997-A B Non-ERISA 144A 7.300% 06/25/2003 742,572 749,478
-----------
Total Asset Backed (Cost $13,186,038) 12,694,269
-----------
Collateralized Mortgage Obligations -- 0.5%
Bear Stearns Mtg 1998-2 B 6.750% 04/30/2030 1,608,203 1,528,295
Prudential Home Mortgage 1993-B 1B1 144A
Non-ERISA 7.843% 04/28/2023 1,034,401 1,040,543
-----------
Total Collateralized Mortgage Obligations (Cost $2,666,100) 2,568,838
-----------
Convertible Corporate Bonds -- 0.3%
Integrated Health+ 5.750% 01/01/2001 1,750,000 1,207,500
-----------
Total Convertible Corporate Bonds (Cost $1,606,639) 1,207,500
-----------
Corporate -- 13.4%
Bank Bonds -- 2.1%
Bank of America Corp. 6.625% 06/15/2004 2,150,000 2,155,310
Bank United Corp. Notes+ 8.875% 05/01/2007 775,000 771,086
City National Bank Corp. Notes+ 6.375% 01/15/2008 900,000 848,547
First Security Bank Sub. Notes+ 5.875% 11/01/2003 1,250,000 1,201,512
GS Escrow Corp. 144A Notes 7.125% 08/01/2005 730,000 701,566
GS Escrow Corp. 144A Senior Notes 7.000% 08/01/2003 620,000 596,362
Imperial Credit Capital Trust Notes+ 9.980% 12/31/2026 375,000 353,283
Key Bank National Association+ 5.800% 04/01/2004 2,225,000 2,149,194
Star Banc Corp. Notes+ 5.875% 11/01/2003 1,000,000 974,210
-----------
9,751,070
-----------
Financial -- 4.1%
Advanta Capital Trust I+ 8.990% 12/17/2026 750,000 502,500
Amresco Inc. Corp. Senior Sub Notes+ 9.875% 03/15/2005 525,000 416,062
Colonial Realty Notes 7.000% 07/14/2007 700,000 641,699
Conseco Finance Trust Cap. Notes+ 8.796% 04/01/2027 250,000 228,617
Conseco Finance Trust II+ 8.700% 11/15/2026 2,225,000 2,005,214
Conseco Finance Trust Notes+ 6.800% 06/15/2005 1,150,000 1,086,083
Crescent Real Estate Notes 7.125% 09/15/2007 900,000 720,120
Criimi Mae Corp. Notes+ 9.125% 12/01/2002 1,075,000 881,500
EOP Operating LP Notes+ 6.376% 02/15/2002 500,000 493,115
Florida Windstorm 144A Notes+ 7.125% 02/25/2019 2,225,000 2,177,963
Health Care REIT Inc. Senior Notes 7.625% 03/15/2008 500,000 456,205
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Financial (Continued)
Kaufman & Broad Home Corp. Senior Notes+ 7.750% 10/15/2004 $ 300,000 $ 298,500
Liberty Media Group 144A # 7.875% 07/15/2009 4,425,000 4,398,627
Liberty Mutual Insurance Co. 144A Notes 7.697% 10/15/2097 850,000 780,198
MMI Capital Trust Notes+ 7.625% 12/15/2027 1,300,000 997,747
Orion Capital Trust Notes+ 7.701% 04/15/2028 800,000 653,184
Simon Debartolo Group LP Notes+ 6.750% 07/15/2004 925,000 901,551
Simon Debartolo Group LP Notes NCL+ 6.875% 10/27/2005 425,000 408,149
Wellsford REIT Senior Notes+ 9.375% 02/01/2002 1,000,000 1,060,040
-----------
19,107,074
-----------
Industrial Bonds -- 7.2%
American Standard Corp. Notes+ 7.375% 04/15/2005 1,000,000 945,692
Aramark Services Notes+ 6.750% 08/01/2004 2,000,000 1,926,240
Choice Hotels Senior Notes 7.125% 05/01/2008 750,000 699,953
Conmed Corp. Notes 9.000% 03/15/2008 700,000 686,000
Enterprise Corp. 144A Notes 7.000% 06/15/2000 500,000 504,095
Enterprise Corp. Notes+ 6.375% 05/15/2003 950,000 925,167
Flag Limited Senior Notes 8.250% 01/30/2008 925,000 862,563
Fred Meyer Inc 7.375% 03/01/2005 625,000 633,581
Horseshoe Gaming 144A Senior Sub Notes 8.625% 05/15/2009 1,000,000 967,500
Horseshoe Gaming LLC Notes 9.375% 06/15/2007 450,000 456,750
IMC Global Notes+ 7.625% 11/01/2005 2,225,000 2,255,416
Lilly Industries Inc. Notes 7.750% 12/01/2007 300,000 280,147
McLeod USA Inc. 144A Senior Notes 9.500% 11/01/2008 300,000 300,000
McLeod USA Inc. Series 144A+ 8.125% 02/15/2009 1,025,000 953,250
McLeod USA Senior Notes+ 8.375% 03/15/2008 1,150,000 1,078,125
News America Inc. Deb Notes 144A 7.625% 11/30/2028 1,875,000 1,787,336
Panamsat Notes+ 6.000% 01/15/2003 3,050,000 2,961,733
Panamsat Notes+ 6.125% 01/15/2005 1,500,000 1,398,780
Panavision Inc. Step Up Sub Notes 0.000% 02/01/2006 1,000,000 610,000
Revlon Worldwide Senior Notes+ 0.000% 03/15/2001 7,925,000 5,488,063
Southland Corp. Senior Sub Notes+ 5.000% 12/15/2003 500,000 432,500
Tenet Healthcare Corp. 144A 7.625% 06/01/2008 275,000 257,125
Tenet Healthcare Corp. Notes+ 8.625% 12/01/2003 525,000 525,000
Tricon Global Restaurant Inc. Senior Notes+ 7.450% 05/15/2005 775,000 773,489
USA Waste Services Inc. Senior Notes+ 6.500% 12/15/2002 1,200,000 1,198,884
Viacom Inc. Senior Notes+ 7.750% 06/01/2005 750,000 768,180
WMX Technologies 6.375% 12/01/2003 950,000 942,562
WMX Technologies 144A 6.875% 05/15/2009 2,500,000 2,417,501
Westinghouse Credit Corp. Deb Notes+ 8.875% 06/14/2014 275,000 304,681
-----------
33,340,313
-----------
Total Corporate (Cost $66,221,204) 62,198,457
-----------
Government/Other -- 59.6%
Argentina -- 0.1%
Cointel 144A Notes NCL 10.375% 08/01/2004 500,000 390,000
-----------
Denmark -- 3.6%
Danske Kredit 5.000% 10/01/2029 7,105,000 876,869
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Denmark (Continued)
Denmark Bullet 7.000% 11/15/2007 $ 6,000,000 $ 956,784
Denmark Nykredit 5.000% 10/01/2029 8,660,000 1,068,780
Denmark Nykredit 7.000% 10/01/2026 4,171,000 589,007
Denmark Realkredit 7.000% 10/01/2026 1,594,000 225,096
Denmark Realkredit 8.000% 10/01/2026 1,000 146
Denmark Unikredit Realkredit 6.000% 10/01/2029 48,254,000 6,363,018
Kingdom of Denmark 8.000% 11/15/2001 46,500,000 7,056,960
-----------
17,136,660
-----------
EuroDollar -- 1.8%
American Standard Global 7.125% 06/01/2006 4,000,000 4,138,000
Huntsman ICI 144A NC'04 0.000% 07/01/2009 2,000,000 2,074,173
Republic of Brazil(a) 6.063% 01/01/2001 2,410,800 2,299,301
-----------
8,511,474
-----------
France -- 3.1%
BTAN 5 Yr 4.500% 07/12/2002 6,000,000 6,377,693
France Oat 4.000% 04/25/2009 1,000,000 985,982
France Oat 6.000% 10/25/2025 3,155,694 3,546,624
Remy Cointreau 144A 10.000% 07/30/2005 3,550,000 3,961,682
-----------
14,871,981
-----------
Germany -- 17.8%
Baden Nurttemberg+ 6.200% 11/22/2013 1,022,583 1,182,084
Banco Comercial 8.250% 10/04/2000 545,000 294,746
Bundes Obligation Ser 116 Notes 5.750% 08/22/2000 2,045,167 2,181,313
Bundes Obligation Ser 127 Notes 4.500% 05/19/2003 13,000,000 13,794,126
Bundes Obligation Ser 130 Notes 3.250% 02/17/2004 4,300,000 4,338,476
Bundesrepub. Deutschland 4.750% 07/04/2008 2,100,000 2,206,340
Colt Telecom Group PLC 144A Notes+ 7.625% 07/31/2008 8,625,000 4,579,141
Depfa Bank 144A Notes+ 4.750% 07/15/2008 3,476,784 3,578,570
Deutschland Republic 6.500% 10/14/2005 2,950,000 3,434,162
Deutschland Republic 6.500% 07/04/2027 230,081 274,912
Deutschland Republic 7.250% 10/21/2002 3,029,404 3,478,023
Deutschland Republic 8.375% 05/21/2001 2,311,039 2,611,318
Die Bundrep Deutschland Dm1000+ 8.250% 09/20/2001 11,000,000 12,552,726
Exide Holding Europe 144A Notes 9.125% 04/15/2004 1,700,000 914,919
Fresenius Med Global+ 7.375% 02/01/2008 720,000 391,780
German Unity Fund+ 8.000% 01/21/2002 1,533,875 1,759,913
German Unity Fund+ 8.500% 02/20/2001 3,809,124 4,269,574
RSL Communications PLC Reg 0.000% 03/15/2008 5,790,000 1,902,586
Texon International PLC 144A Senior Notes+ 10.000% 02/01/2008 3,650,000 1,727,887
Treuhandanstalt 6.500% 04/23/2003 3,118,880 3,533,320
Treuhandanstalt 7.125% 01/29/2003 5,100,000 5,867,384
Treuhandanstalt+ 7.500% 09/09/2004 6,400,000 7,682,114
-----------
82,555,414
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Italy -- 1.9%
Italian Government BTP Notes NCL 4.000% 10/01/2003 $ 4,700,000 $ 4,830,546
Italian Government BTP Notes NCL 5.000% 02/15/2003 3,750,000 4,026,209
-----------
8,856,755
-----------
Japan -- 7.2%
Austria Republic+ 6.250% 10/16/2003 370,000,000 3,732,233
European Investment Bank 4.625% 02/26/2003 363,000,000 3,386,942
Italy Euroyen Notes+ 5.125% 07/29/2003 1,244,000,000 11,967,664
Japan 10 Year Issue #168 3.400% 03/22/2004 900,000,000 8,202,119
South Africa 3.350% 06/17/2004 175,000,000 1,417,677
Spanish Government 4.750% 03/14/2005 480,000,000 4,692,339
-----------
33,398,974
-----------
Netherlands -- 3.4%
KPN-Qwest B.V. 144A Private Placement 7.125% 06/01/2009 4,000,000 4,145,759
Netherlands Government Notes 5.750% 09/15/2002 3,600,000 3,953,425
Netherlands Government Notes NCL 3.750% 07/15/2009 7,900,000 7,590,664
-----------
15,689,848
-----------
New Zealand -- 2.7%
Fernz Capital+ 9.800% 04/15/2002 4,100,000 2,281,449
Fletcher Challenge+ 11.250% 12/15/2002 1,900,000 1,083,614
Fletcher Challenge 14.500% 09/30/2000 500,000 287,296
Fletcher Challenge CVT 10.000% 04/30/2005 1,000,000 555,755
New Zealand Government 8.000% 04/15/2004 7,475,000 4,277,053
New Zealand Government 10.000% 03/15/2002 7,200,000 4,253,887
-----------
12,739,054
-----------
Norway -- 0.2%
Vital Forsikring+ 7.850% 09/22/2003 6,000,000 798,146
-----------
Singapore -- 1.4%
Singapore Government 3.500% 02/01/2004 7,250,000 4,214,462
Singapore Government 5.125% 11/15/2004 3,850,000 2,364,095
-----------
6,578,557
-----------
Sweden -- 2.9%
Kingdom of Sweden #1030 13.000% 06/15/2001 18,700,000 2,575,610
Kingdom of Sweden #1033 10.250% 05/05/2003 10,000,000 1,420,412
Sweden Government Bond #1038 6.500% 10/25/2006 20,000,000 2,592,995
Sweden Government Bond #1042 5.000% 01/15/2004 58,400,000 7,027,247
-----------
13,616,264
-----------
United Kingdom -- 11.7%
Abbey National Treasury 7.750% 12/31/2003 1,200,000 1,991,720
Alliance and Leicester Building Society+ 8.750% 12/07/2006 3,700,000 6,523,809
Bank of Greece 10.750% 09/06/2010 350,000 735,043
Bank of Greece 10.750% 09/06/2010 699,700 1,469,456
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
United Kingdom (Continued)
Birmingham Midshires Building Society+ 9.125% 01/05/2006 $ 750,000 $ 1,338,842
CSW Investments+ 8.875% 09/27/2006 2,500,000 4,347,036
European Investment Bank 7.625% 12/07/2006 2,400,000 4,145,902
FNMA Global Bond+ 6.875% 06/07/2002 1,910,000 3,085,322
IPC Magazines 144A 0.000% 03/15/2008 3,120,000 2,362,913
Inco Ltd.+ 15.750% 07/15/2006 200,000 465,956
Merrill Lynch Notes 7.375% 12/17/2007 1,050,000 1,749,465
Republic of Argentina 11.500% 08/14/2001 1,605,000 2,567,003
Slough Estates 7.125% 02/17/2010 1,825,000 2,956,943
Stagecoach Holdings PLC 7.625% 10/31/2007 1,725,000 2,731,058
UK Treasury Gilt 10.000% 09/08/2003 2,790,000 5,128,402
UK Treasury Gilt Stock 8.000% 06/10/2003 3,700,000 6,358,013
UK Treasury Gilt Stock 9.500% 10/25/2004 1,865,000 3,491,686
William Hill Finance 10.625% 04/30/2008 1,475,000 2,379,618
-----------
53,828,187
-----------
Yankee Bonds -- 1.8%
Canada Notes+ 5.250% 11/05/2008 2,000,000 1,799,690
Cominco Ltd. Notes+ 6.875% 02/15/2006 525,000 449,211
Edperbrascan Ltd. Notes+ 7.375% 10/01/2002 500,000 499,675
Merita Bank Perpetual Step Up 144A 7.500% 12/29/2049 250,000 241,230
Merita Bank Pfd Step Up 144A Notes+ 7.150% 12/29/2049 650,000 645,801
Republic of Panama 144A Notes+ 7.875% 02/13/2002 2,290,000 2,221,300
Republic of Panama Notes 8.875% 09/30/2027 1,350,000 1,120,500
Se Banken Perpetual 10 Yr. Step Up 144A 8.125% 09/06/2049 1,500,000 1,483,350
-----------
8,460,757
-----------
Total Government/Other (Cost $292,323,613) 277,432,071
-----------
Non-Agency -- 0.6%
Pass Thru Securities -- 0.6%
Chase Commercial Mortgage Sec 6.6 1997-2D
Non-ERISA 6.600% 12/25/2007 500,000 468,125
GMAC Mortgage Corp. 1996-C1 F Non-ERISA 7.860% 11/15/2006 1,000,000 781,563
GMAC Mortgage Corp. 1997-C1 E Non-ERISA 7.085% 11/15/2010 900,000 865,863
Mortgage Capital Funding 1997-MC2 D Non-ERISA 7.117% 11/20/2007 725,000 696,000
-----------
Total Non-Agency (Cost $3,018,942) 2,811,551
-----------
U.S. Government Agency -- 8.1%
Pass Thru Securities -- 8.1%
FNMA+ 5.125% 02/13/2004 825,000 790,969
FNMA 6.000% 06/01/2029 1,400,000 1,320,816
FNMA# 6.500% 07/01/2029 13,000,000 12,473,906
GNMA 7.000% 03/15/2026 - 06/15/2029 15,684,055 15,473,262
GNMA# 8.000% 05/15/2026 - 07/15/2029 6,283,639 6,462,285
GNMA 9.000% 12/15/2017 810,831 868,603
-----------
Total U.S. Government Agency (Cost $37,857,709) 37,389,841
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value* (Note 1A)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury Obligations -- 10.0%
Treasury Bonds -- 2.7%
U.S. Treasury Bond+ 6.625% 02/15/2027 $ 2,000,000 $ 2,112,180
U.S. Treasury Bond+ 8.125% 05/15/2021 8,525,000 10,381,830
-------------
12,494,010
-------------
Treasury Notes -- 7.3%
U.S. Treasury Note+ 4.625% 11/30/2000 2,000,000 1,978,440
U.S. Treasury Note+ 4.750% 11/15/2008 10,075,000 9,251,671
U.S. Treasury Note+ 5.250% 05/31/2001 3,775,000 3,757,295
U.S. Treasury Note+ 5.750% 10/31/2002 2,125,000 2,130,971
U.S. Treasury Note+ 5.750% 11/30/2002 1,275,000 1,277,588
U.S. Treasury Note+ 6.250% 06/30/2002 250,000 254,103
U.S. Treasury Note+ 6.625% 06/30/2001 13,510,000 13,782,362
U.S. Treasury Note+ 6.625% 05/15/2007 1,200,000 1,249,692
-------------
33,682,122
-------------
Total U.S. Treasury Obligations (Cost $47,322,779) 46,176,132
-------------
TOTAL BONDS AND NOTES (COST $464,203,024) 442,478,659
-------------
<CAPTION>
Shares
--------------
<S> <C> <C>
PREFERRED STOCKS -- 0.8%
Equity Office Properties Trust 144A CVT 6,000 255,750
Equity Residential Properties Pfd 9.65 3,000 75,937
Fuji JGB Inv. L.L.C. Pfd 144A Step Up 1,875,000 1,640,625
Pinto Totta Intl Pfd 144A Step Up 550 516,775
Societe Generale Preferred Step Up NC '07 925,000 865,522
Texaco Capital LLC FLT Ser B(a) 14,000 274,750
-------------
TOTAL PREFERRED STOCKS (COST $3,591,854) 3,629,359
-------------
<CAPTION>
Contract
Size
--------------
<S> <C> <C>
PURCHASED OPTIONS -- 1.2%
BRL Put/USD Call, Strike Price 1.35, 09/09/99 8,700,000 2,255,910
BTP 6.75% Put, Strike Price 105.290, 01/31/00 4,545,000,000 0
BTP 6.75% Put, Strike Price 105.49, 02/03/00 4,545,000,000 4,545
BTP 6.75% Put, Strike Price 107.69, 02/07/00 9,085,000,000 18,170
DBR 4.75% Call, Strike Price 104.90, 11/02/99 14,900,000 11,786
DBR 4.75% Call, Strike Price 106.99, 02/08/99 4,200,000 3,032
DBR 4.75% Call, Strike Price 95.78, 03/13/00 4,220,000 39,630
DBR 5.25% Call, Strike Price 110.76, 12/15/99 7,600,000 1,604
DBR 5.25% Call, Strike Price 112.07, 01/25/00 5,925,000 1,221
DBR 5.25% Call, Strike Price 112.08, 01/26/00 7,900,000 2,449
DBR 5.625% Call, Strike Price 115.10, 10/01/99 15,150,000 3,363
DBR 6.00% Call, Strike Price 112.66, 10/22/99 4,670,000 4,679
DBR 6.00% Call, Strike Price 112.88, 10/22/99 15,050,000 8,729
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Contract Value
Security Size (Note 1A)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
DEM 3.75% Call, Strike Price 99.15, 04/17/00 4,300,000 $ 6,656
DEM 4% Call, Strike Price 96.26, 06/23/00 4,350,000 45,027
DEM 4.75% Call, Strike Price 99.39, 04/27/00 6,325,000 30,025
DEM 4.75% Put, Strike Price 105.06, 08/25/99 4,000,000 169,164
DEM 5.25% Call, Strike Price 111.26, 01/10/00 7,050,000 726
DEM 5.625% Call, Strike Price 109.10, 11/23/99 7,500,000 20,962
EUR Put/JPY Call, Strike Price 146.70, 04/13/00 8,142,325 1,213,377
FRF 5.25% Call, Strike Price 108.15, 10/25/99 50,000,000 17,300
GBP 5.75% Call, Strike Price 106.23, 06/09/00 5,650,000 284,229
JPY 1.8% Call, Strike Price 104.669, 05/08/00 1,060,000,000 15,900
JPY 2.6% Call, Strike Price 102.558, 04/10/00 515,000,000 113,300
JPY 2.6% Call, Strike Price 106.682, 05/01/00 1,000,000,000 135,000
JPY Put, Strike Price 116.95, 12/24/99 9,175,000 329,383
JPY Put, Strike Price 121.5, 04/06/00 4,700,000 109,040
JPY Put, Strike Price 150.00, 02/08/01 4,500,000 8,100
JPY Put/USD Call, Strike Price 122, 03/08/00 4,425,000 100,448
JPY Put/USD Call, Strike Price 125.00, 10/14/99 5,000,000 42,500
JPY Put/USD Call, Strike Price 127.00, 11/10/99 8,925,000 68,723
JPY Put/USD Call, Strike Price 128.00, 11/12/99 4,400,000 30,800
JPY Put/USD Call, Strike Price 138.00, 09/08/99 6,525,000 770
JPY Put/USD Call, Strike Price 150.00, 08/26/99 7,800,000 0
UST 5.25% Call, Strike Price 101.8281, 7/20/99 77,500 605
UST 5.25% Call, Strike Price 94.375, 02/29/00 45,000 53,910
UST 5.25% Put, Strike Price 90.34375, 12/01/99 45,000 147,780
UST 5.5% Call, Strike Price 96.5781, 9/22/99 80,640 100,170
-------------
TOTAL PURCHASED OPTIONS (COST $9,774,695) 5,399,013
-------------
<CAPTION>
Par
Rate Maturity Value*
---------- ---------- --------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 3.5%
U.S. Government Agency -- 1.0%
FHLMC Discount Note 0.000% 07/22/1999 $ 4,825,000 4,810,718
-------------
Repurchase Agreements -- 2.5%
Prudential-Bache Repurchase Agreement, dated 06/30/99, due 07/01/99, with a
maturity value of $11,689,087 and an effective yield of 4.10%, collateralized by
U.S. Government Agency Obligations with rates ranging from 6.42% to 7.00%,
maturity dates ranging from 08/01/98 to 06/01/99 and an aggregate market value
of $11,912,511. $ 11,687,756
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $16,499,530) 16,498,474
-------------
TOTAL INVESTMENTS -- 100.8% (COST $494,069,103) $ 468,005,505
Other Assets, Less Liabilities -- (0.8%) (3,850,301)
-------------
NET ASSETS -- 100.0% $ 464,155,204
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
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.
CVT - Convertible
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
NCL - Non-callable
REIT - Real Estate Investment Trust
UST - United States Treasury
BRL - Brazilian Real
BTP - British Pound
DBR - Deutsche Bundes Republik
DEM - German Deutsche Mark
EUR - EuroDollar
FRF - French Franc
GBP - Great British Pound
JPY - Japanese Yen
USD - United States Dollar
* 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) or
collateral for delayed delivery transactions (Note 6).
# All or a portion of these securities are delayed delivery contracts (Note
6).
(a) Variable Rate Security; rate indicated is as of 6/30/99.
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost,
$494,069,103) $ 468,005,505
Foreign currency, at value (identified cost,
$6,787,704) 6,768,716
Receivable for investments sold 30,854,734
Receivable for premiums on written options 117,612
Interest and dividends receivable 9,350,358
Receivable for variation margin on open financial
futures contracts (Note 5) 116,906
Unrealized appreciation on forward foreign currency
exchange contracts (Note 5) 7,385,960
Tax reclaim receivable 20,392
Deferred organization costs (Note 1F) 27,489
Prepaid expenses 7,579
-------------
Total assets 522,655,251
Liabilities
Payable for investments purchased $29,762,643
Unrealized depreciation on forward foreign currency
exchange contracts (Note 5) 703,040
Payable for delayed delivery transactions (Note 6) 21,422,678
Options written, at value (Note 5) (premiums
received, $8,741,212) 6,433,603
Accrued accounting and custody fees 32,971
Accrued trustees' fees and expenses (Note 2) 5,546
Payable for premium on purchased options 117,045
Accrued expenses and other liabilities 22,521
-----------
Total liabilities 58,500,047
-------------
Net Assets (Applicable To Investors' Beneficial
Interests) $ 464,155,204
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statement of Operations
For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1C)
Interest income $ 16,004,651
Dividend income 41,130
------------
Total income 16,045,781
Expenses
Investment advisory fee (Note 2) $ 924,358
Accounting and custody fees 201,312
Legal and audit services 18,150
Trustees' fees and expenses (Note 2) 12,622
Amortization of organization expenses (Note 1F) 7,406
Insurance expense 4,849
Licensing fees 9,919
------------
Total expenses 1,178,616
------------
Net investment income 14,867,165
------------
Realized And Unrealized Gain (Loss)
Net realized gain (loss)
Investment security transactions (5,831,874)
Financial futures contracts (1,174,872)
Written options transactions (819,266)
Foreign currency transactions and forward foreign
currency exchange contracts 10,572,827
------------
Net realized gain 2,746,815
Change in unrealized appreciation (depreciation)
Investment securities (30,329,221)
Financial futures contracts 61,174
Written options 5,131,123
Foreign currency and forward foreign currency
exchange contracts 9,895,452
------------
Change in net unrealized depreciation (15,241,472)
------------
Net realized and unrealized loss (12,494,657)
------------
Net Increase In Net Assets From Operations $ 2,372,508
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
---------------- -------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Investment Operations
Net investment income $ 14,867,165 $ 23,583,542
Net realized gain 2,746,815 8,805,536
Change in net unrealized depreciation (15,241,472) (7,075,748)
------------- -------------
Net increase in net assets from investment operations 2,372,508 25,313,330
------------- -------------
Capital Transactions
Contributions 11,526,351 195,976,864
Withdrawals (11,331,371) (22,255,635)
------------- -------------
Net increase in net assets from capital transactions 194,980 173,721,229
------------- -------------
Total Increase in Net Assets 2,567,488 199,034,559
Net Assets
At beginning of period 461,587,716 262,553,157
------------- -------------
At end of period $ 464,155,204 $ 461,587,716
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1999 ----------------------------------------
(Unaudited) 1998 1997 1996(1)
-------------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Ratios:
Expenses (to average daily net assets) 0.51%+ 0.51% 0.61% 0.62%+
Net Investment Income (to average daily net
assets) 6.43%+ 6.22% 6.47% 7.17%+
Portfolio Turnover 86% 162% 176% 111%
Net Assets, End of Period (000's omitted) $464,155 $ 461,588 $ 262,553 $ 159,814
</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.
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global 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
Global Fixed Income Portfolio (the "Portfolio") is a separate
non-diversified investment series of the Portfolio Trust.
At June 30, 1999 there is one Fund invested in the Portfolio. The value of
the Fund's investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. The proportionate interest at
June 30, 1999 is approximately 100%.
The following is a summary of significant accounting policies 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
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 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. 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
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes To Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
for its investors to satisfy them. The Portfolio allocates at least
annually among its investors each investors distributive share of the
Portfolio's net investment income, net realized capital gains, and any
other items of income, gain, loss deduction or credit.
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 International Management
Company, L.P. ("SIMCO") for overall investment advisory services is paid
monthly at the annual rate of 0.40% of the Portfolio's average daily net
assets. The advisory agreement provides that if the total annual operating
expenses of the Portfolio (excluding brokerage commissions, taxes and
extraordinary expenses) in any fiscal year exceed 0.65% of the Portfolio's
average daily net assets, the compensation due the adviser shall be
reduced by the amount of the excess. 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
investments, for the six months ended June 30, 1999 were as follows:
Purchases Sales
------------ ------------
U.S. Government Securities $175,161,687 $130,953,015
============ ============
Investments (non-U.S.Government Securities) $247,755,163 $259,573,292
============ ============
(4) Federal Income Tax Basis of Investment Securities:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at, as computed on a federal income tax basis,
were as follows:
Aggregate Cost $494,069,103
============
Gross unrealized appreciation 2,239,010
Gross unrealized depreciation (28,302,608)
------------
Net unrealized depreciation $(26,063,598)
============
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global 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 seek 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 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 contract's 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 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 written option transactions for the six months ended June 30,
1999 is as follows:
<TABLE>
<CAPTION>
Written Put Option Transactions
--------------------------------------------------------------------------------------
Number Of Contracts Premiums
-------------------- ----------------
<S> <C> <C>
Outstanding, beginning of period 14 $ 1,289,493
Options written 9 1,588,643
Options expired (2) )(84,766
Options closed (13) (1,306,093)
--- ----------------
Outstanding, end of period 8 $ 1,487,277
=== ================
<CAPTION>
Written Call Option Transactions
-------------------------------------------------------------------------------------
Number Of Contracts Premiums
-------------------- ---------------
<S> <C> <C>
Outstanding, beginning of period 13 $ 1,048,866
Options written 12 1,042,282
Options exercised (1) (141,312)
Options expired (2) )(92,577
Options closed (10) (932,374)
--- ---------------
Outstanding, end of period 12 $ 924,885
=== ================
</TABLE>
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed 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 15 $ 3,992,115
Options written 14 5,077,458
Options expired (2) (202,373)
Options closed (14) (2,538,150)
-- ----------------
Outstanding, end of period 13 $ 6,329,050
== ================
</TABLE>
Forward Currency Exchange Contracts
The Portfolio may enter into for ward 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, 1999, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
U.S.$ U.S.$ U.S.$
Local Principal Contract Market Aggregate Unrealized
Contracts To Receive Amount Value Date Value Face Amount Gain/(loss)
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
British Pound Sterling 695,178 7/06-8/26/99 1,096,631 1,103,830 (7,199)
Danish Krone 27,967,940 8/9/99 3,883,537 4,000,564 (117,027)
Euro Dollar 12,499,186 8/16-9/07/99 12,984,482 13,020,193 (35,711)
Hong Kong Dollar 19,838,740 10/14/99 2,551,760 2,425,311 126,449
Japanese Yen 1,095,731,772 7/12-8/10/99 9,057,263 9,068,047 (10,784)
New Zealand Dollar 15,018,720 7/15-8/13/99 8,015,642 8,318,062 (302,420)
Polish Zloty 4,212,648 7/24/2000 1,012,726 1,025,000 (12,274)
Swedish Krona 36,472,994 7/1/99 4,308,681 4,316,126 (7,445)
------------- ------------- ------------
Total $ 42,910,722 $ 43,277,133 $ (366,411)
============= ============= ============
</TABLE>
23
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes To Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.$ U.S.$ U.S.$
Local Principal Contract Market Aggregate Unrealized
Contracts To Deliver Amount Value Date Value Face Amount Gain/(loss)
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
British Pound Sterling 35,573,765 7/02-8/26/99 56,111,935 57,465,495 1,353,560
Danish Krone 162,777,653 7/06-8/18/99 22,590,943 23,383,935 792,992
Euro Dollar 136,930,253 7/02-9/07/99 142,058,002 145,999,228 3,941,226
Hong Kong Dollar 66,367,900 10/14/99-1/14/00 8,528,652 8,385,000 (143,652)
Japanese Yen 4,829,137,978 7/01/99-5/17/01 41,911,750 42,017,885 106,135
New Zealand Dollar 42,081,859 7/15-11/05/99 22,459,723 23,201,848 742,125
Norwegian Krone 6,741,381 7/19/99 855,484 866,501 11,017
Polish Zloty 4,212,648 7/24/2000 1,012,726 999,679 (13,047)
Singapore Dollar 11,582,484 9/14/99 6,859,900 6,806,419 (53,481)
Swedish Krona 114,344,976 8/18-9/02/99 13,553,810 13,638,998 85,188
-------------- -------------- ------------
Total $ 315,942,925 $ 322,764,988 $ 6,822,063
============== ============== ============
</TABLE>
Forward Foreign Cross Currency Exchange Contracts
<TABLE>
<CAPTION>
U.S.$ U.S.$ U.S.$
Market Market Contract Unrealized
Contracts To Deliver Value In Exchange For Value Value Date Gain
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
British Pound Sterling 4,293,683 New Zealand Dollar 4,473,802 11/5/99 180,119
Euro Dollar 4,056,384 Greek Drachma 4,094,120 9/29/99 37,736
New Zealand Dollar 4,284,270 British Pound Sterling 4,293,683 11/5/99 9,413
------------ ------------ -----------
Total $ 12,634,337 $ 12,861,605 $ 227,268
============ ============ ===========
</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
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, 1999, the Portfolio held the following financials futures
contracts:
<TABLE>
<CAPTION>
Underlying Face
Contract Position Expiration Date Amount At Value Unrealized Loss
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. 10 Year Note (129 contracts) Long 9/30/99 $14,343,188 $(63,136)
</TABLE>
24
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes To Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 1999 the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
Interest Rate Swap Contracts
Interest rate swaps involve the exchange by the Portfolio with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. Credit and market risk exist with respect
to these instruments. If forecasts of interest rates and other market
factors are incorrect, investment performance will be diminished compared
to what performance would have been if these investment techniques were
not used. Even if the forecasts are correct, there are risks that the
positions may correlate imperfectly with the asset or liability being
hedged, a liquid secondary market may not always exist, or a counterparty
to a transaction may not perform. The Portfolio expects to enter into
these transactions primarily for hedging purposes including, but not
limited to, preserving a return or spread on a particular investment or
portion of its portfolio, protecting against currency fluctuations,
managing duration or protecting against an increase in the price of
securities the Portfolio anticipates purchasing at a later date. Gains and
losses are realized upon the expiration or closing of the swap contracts.
At June 30, 1999, the Portfolio held no interest rate swap contracts.
(6) Delayed Delivery Transactions:
The Fund 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 the custodian to
segregate securities having a value at least equal to the amount of the
purchase commitment.
At June 30, 1999, the Fund entered into the following delayed delivery
transactions:
<TABLE>
<CAPTION>
Type Security Settlement Date Payable Amount
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Buy FNMA 7/20/99 $12,473,906
Buy GNMA 7/29/99 4,550,145
Buy Liberty Media Group 144A 7/7/99 4,398,627
-----------
$21,422,678
===========
</TABLE>
25
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