Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Fixed Income Portfolio
("Portfolio"), at value (Note 1A) $ 3,211,587,085
Receivable for Fund shares sold 1,019,855
Prepaid expenses 2,214
---------------
Total assets 3,212,609,154
Liabilities
Payable for Fund shares redeemed $ 1,565,163
Distributions payable 10,829,849
Accrued accounting, custody and transfer agent fees 14,221
Accrued trustees' fees and expenses (Note 2) 984
Accrued expenses and other liabilities 72,039
-----------
Total liabilities 12,482,256
---------------
Net Assets $ 3,200,126,898
===============
Net Assets consist of:
Paid-in capital $ 3,359,224,791
Accumulated net realized loss (28,186,093)
Undistributed net investment income 20,087,007
Net unrealized depreciation (150,998,807)
---------------
Total Net Assets $ 3,200,126,898
===============
Shares of beneficial interest outstanding 164,601,948
===============
Net Asset Value, offering price and redemption price
per share (Net Assets/Shares outstanding) $ 19.44
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income (Note 1B)
Interest income allocated from Portfolio $ 116,488,591
Dividend income allocated from Portfolio 2,876,772
Expenses allocated from Portfolio (5,843,868)
-------------
Net investment income allocated from Portfolio 113,521,495
Expenses
Accounting, custody and transfer agent fees $ 79,654
Legal and audit services 72,779
Registration fees 40,547
Trustees' fees and expenses (Note 2) 1,983
Insurance expense 1,768
Miscellaneous 33,668
-------------
Total expenses 230,399
-------------
Net investment income 113,291,096
-------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investment security transactions (40,985,383)
Financial futures contracts 5,868,335
Written options transactions 340,805
Foreign currency transactions and forward foreign
currency exchange contracts 10,239,092
-------------
Net realized loss (24,537,151)
Change in unrealized appreciation (depreciation)
allocated from Portfolio on:
Investment securities (110,128,244)
Financial futures contracts (2,768,380)
Written options 2,507,429
Foreign currency and forward foreign currency
exchange contracts 13,019,299
-------------
Change in net unrealized depreciation (97,369,896)
-------------
Net realized and unrealized loss on investments (121,907,047)
-------------
Net Decrease in Net Assets from Operations $ (8,615,951)
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Investment Operations
Net investment income $ 113,291,096 $ 224,925,663
Net realized gain (loss) (24,537,151) 63,199,662
Change in net unrealized depreciation (97,369,896) (113,212,330)
-------------- --------------
Net increase (decrease) in net assets from investment
operations (8,615,951) 174,912,995
-------------- --------------
Distributions to Shareholders (Note 1E)
From net investment income (99,007,170) (226,127,502)
From net realized gains (5,299,644) (59,722,110)
-------------- --------------
Total distributions to shareholders (104,306,814) (285,849,612)
-------------- --------------
Fund Share (Principal) Transactions (Note 4)
Net proceeds from sale of shares 162,242,952 721,049,156
Value of shares issued to shareholders in payment of
distributions declared 83,219,484 239,600,910
Cost of shares redeemed (324,982,401) (745,461,464)
-------------- --------------
Net increase in net assets from Fund share
transactions (79,519,965) 215,188,602
-------------- --------------
Total Increase (Decrease) in Net Assets (192,442,730) 104,251,985
Net Assets
At beginning of period 3,392,569,628 3,288,317,643
-------------- --------------
At end of period (including undistributed net
investment income of $20,087,007 and $5,803,081,
respectively) $3,200,126,898 $3,392,569,628
============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1999 --------------------------------------------------------------------
(Unaudited) 1998(1) 1997 1996(1) 1995 1994
------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 20.13 $ 20.80 $ 20.53 $ 20.92 $ 18.91 $ 21.25
---------- ----------- ----------- ----------- ----------- -----------
From Investment Operations:
Net investment income 0.69 1.37 1.46 1.46 1.35 1.25
Net realized and unrealized gain
(loss) on investments (0.75) (0.30) 0.45 (0.37) 2.08 (2.29)
---------- ----------- ----------- ----------- ----------- -----------
Total from investment operations (0.06) 1.07 1.91 1.09 3.43 (1.04)
---------- ----------- ----------- ----------- ----------- -----------
Less Distributions to Shareholders:
From net investment income (0.60) (1.38) (1.52) (1.48) (1.42) (1.10)
From net realized gain on investments (0.03) (0.36) (0.12) -- -- (0.04)
From paid-in capital -- -- -- -- -- (0.16)
---------- ----------- ----------- ----------- ----------- -----------
Total distributions to shareholders (0.63) (1.74) (1.64) (1.48) (1.42) (1.30)
---------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 19.44 $ 20.13 $ 20.80 $ 20.53 $ 20.92 $ 18.91
========== =========== =========== =========== =========== ===========
Total Return (0.28)% 5.25% 9.54% 5.48% 18.54% (4.86)%
Ratios/Supplemental Data:
Expenses (to average daily net
assets)(2) 0.36%+ 0.36% 0.37% 0.38% 0.38% 0.38%
Net Investment Income (to average
daily net assets) 6.79%+ 6.54% 6.76% 7.13% 7.80% 7.25%
Portfolio Turnover(3) -- -- -- 49% 132% 122%
Net Assets, End of Period (000's
omitted) $3,200,127 $ 3,392,570 $ 3,288,318 $ 2,603,628 $ 2,267,107 $ 1,642,933
</TABLE>
- ----------
(1) Calculated based on average shares outstanding.
(2) Includes the Fund's share of Standish Fixed Income Portfolio's allocated
expenses for the periods since May 3, 1996.
(3) Portfolio turnover represents the rate of portfolio activity for the
period while the Fund was investing directly in securities, including the
period from January 1, 1996 through May 2, 1996. The portfolio turnover
rates for the period since the Fund transferred substantially all of its
investable assets to the Portfolio are shown in the Portfolio's financial
statements which are included elsewhere in this report.
+ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment
company. Standish Fixed Income Fund (the "Fund") is a separate diversified
investment series of the Trust.
The Fund invests all of its investable assets in an interest of the
Standish Fixed Income Portfolio (the "Portfolio"), a subtrust of Standish,
Ayer & Wood Master Portfolio (the "Portfolio Trust"), which is organized
as a New York trust, and has the same investment objective as the Fund.
The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% 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
Fund's net investment income consists of the Funds 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.
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 by capital losses will be declared and
distributed at least annually. In determining the amounts of its
dividends, the Fund will take into account its share of the income, gains
or losses, expenses, and any other tax items of the Portfolio. Dividends
from net investment income and capital gains distributions, if any, are
reinvested in additional shares of the Fund unless a shareholder elects to
receive them in cash. Income and capital gain distributions are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for mortgage-backed
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
securities, forward foreign currency exchange contracts and foreign
currency transactions. Permanent book and tax basis differences relating
to shareholder distributions will result in reclassifications between
paid-in capital, undistributed net investment income and accumulated net
realized gain (loss).
(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, Ayer & Wood, Inc. ("SA&W") for such services. See
Note 2 of the Portfolio's Notes to Financial Statements which are included
elsewhere in this report. The Trust pays no compensation directly to its
trustees who are affiliated with SA&W or to its officers, all of whom
receive remuneration for their services to the Trust from SA&W. Certain of
the trustees and officers of the Trust are directors or officers of SA&W.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 1999, aggregated $161,695,372 and $358,170,612,
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
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
---------------- -----------------
<S> <C> <C>
Shares sold 8,114,329 34,411,735
Shares issued to shareholders in payment of
distributions declared 4,249,665 11,692,563
Shares redeemed (16,296,519) (35,637,930)
----------- -----------
Net increase (decrease) (3,932,525) 10,466,368
=========== ===========
</TABLE>
7
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 -- 97.1%
Asset Backed -- 5.8%
ARG Funding 1999-1A A3 6.020% 05/20/2005 $ 31,650,000 $ 30,663,410
Advanta Mortgage Loan Trust 1997-3 A7 ERISA 6.920% 10/25/2028 19,850,000 19,793,396
First U.S. Credit Card 144A 1999-3C 6.450% 01/19/2007 13,967,000 13,630,919
Green Tree Acceptance Corp. 1997-7 B2 Non-
ERISA 7.590% 07/15/2029 11,050,000 8,281,975
Green Tree Acceptance Corp. 1998-6 M1 6.630% 08/01/2028 9,675,000 9,022,693
Green Tree Acceptance Corp. 1998-7 B1 7.680% 07/01/2030 15,500,000 14,451,934
Green Tree Acceptance Corp. 1998-8 B1 7.690% 09/01/2030 6,265,000 5,986,834
Green Tree Acceptance Corp.1999-2 M1 6.800% 12/01/2030 10,550,000 10,170,859
Greentree Home Equity 1997-D M2 Non-ERISA 7.450% 09/15/2028 15,400,000 14,847,140
MBNA Credit Card 1999-A B 5.301% 07/17/2006 1,700,000 1,696,812
Team Fleet Financing 97-1A+ 7.350% 05/15/2003 28,850,000 29,201,624
Team Fleet Financing 98-3 A 6.130% 10/25/2004 24,925,000 24,255,141
---------------
Total Asset Backed (Cost $190,034,107) 182,002,737
---------------
Collateralized Mortgage Obligations -- 1.8%
Bear Stearns Mtg 1998-2 B 6.750% 04/30/2030 7,325,347 6,961,369
Bear Stearns Mtg. 1998-2C 6.750% 04/30/2030 23,784,377 22,498,534
FNMA P/O Trust 108 0.000% 03/01/2020 979,451 796,206
Prudential Home Mortgage 1993-B 1B1 144A Non-
ERISA 7.843% 04/28/2023 10,684,112 10,747,549
Prudential Home Mortgage 1993-B 3B 144A(a) 7.860% 04/28/2023 16,873,370 17,042,104
Veterans Affairs 1992-1 Cl D 7.750% 12/15/2014 165,024 165,385
---------------
Total Collateralized Mortgage Obligations
(Cost $60,126,586) 58,211,147
---------------
Convertible Corporate Bonds -- 0.1%
Tenet Healthcare Corp. Sub CVT Notes 6.000% 12/01/2005 5,150,000 4,223,000
---------------
Total Convertible Corporate Bonds (Cost $4,334,947) 4,223,000
---------------
Corporate -- 24.0%
Bank Bonds -- 3.7%
Advanta Corp. 7.000% 05/01/2001 5,850,000 5,402,182
Bank United Corp. Notes 8.875% 05/01/2007 5,175,000 5,148,866
Commercial Federal Sub Notes 7.950% 12/01/2006 1,750,000 1,607,947
First Security Bank Sub. Notes 5.875% 11/01/2003 5,000,000 4,806,050
First USA Bank Notes 7.000% 08/20/2001 4,650,000 4,690,734
GS Escrow Corp. 144A Notes 7.125% 08/01/2005 19,180,000 18,432,939
GS Escrow Corp. 144A Senior Notes+ 7.000% 08/01/2003 41,445,000 39,864,909
Imperial Credit Capital Trust Notes 9.980% 12/31/2026 8,425,000 7,937,100
Key Bank National Association+ 5.800% 04/01/2004 16,025,000 15,479,028
North Fork Capital Trust Notes 8.000% 12/15/2027 7,000,000 6,604,890
Popular Inc. Medium Term Notes 6.625% 10/27/2002 4,000,000 3,958,360
Webster Financial Capital 144A Notes 9.360% 01/29/2027 4,975,000 4,870,425
---------------
118,803,430
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 -- 9.2%
Advanta Capital Trust I 8.990% 12/17/2026 $ 3,500,000 $ 2,345,000
Amresco Inc. Corp. Senior Sub Notes 9.875% 03/15/2005 6,000,000 4,755,000
Amresco Inc. Corp. Senior Sub Notes 10.000% 03/15/2004 2,175,000 1,647,562
Chartwell Real Estate Holdings Senior Notes 10.250% 03/01/2004 3,058,000 3,177,635
Conseco Finance Trust Cap. Notes+ 8.796% 04/01/2027 26,943,000 24,638,565
Conseco Finance Trust II 8.700% 11/15/2026 17,075,000 15,388,331
Conseco Finance Trust Notes 6.800% 06/15/2005 2,600,000 2,455,492
Crescent Real Estate Notes 7.125% 09/15/2007 15,525,000 12,422,069
Criimi Mae Corp. Notes 9.125% 12/01/2002 15,000,000 12,300,000
Franchise Finance Corp., REIT 7.875% 11/30/2005 3,000,000 2,902,140
Fresenius Medical Capital Trust Notes 7.875% 02/01/2008 485,000 4,510,500
Goldman Sachs Group Notes 7.200% 11/01/2006 5,125,000 5,127,255
Goldman Sachs Notes NCL 6.340% 03/01/2006 5,525,000 5,309,138
Interpool Capital Trust Notes 7.350% 08/01/2007 4,175,000 3,741,323
Interpool Capital Trust Notes 9.875% 02/15/2027 4,500,000 3,931,852
Lehman Bros Holding Inc. 6.625% 04/01/2004 28,000,000 27,275,920
Liberty Mutual Insurance Co. 144A Notes 7.697% 10/15/2097 23,975,000 22,006,173
MMI Capital Trust Notes 7.625% 12/15/2027 7,225,000 5,545,172
Meditrust, REIT 7.820% 09/10/2026 5,000,000 4,368,750
Meditrust, REIT 144A Notes 7.114% 08/15/2004 19,950,000 17,098,147
Orion Capital Trust Notes 7.701% 04/15/2028 5,600,000 4,572,288
Paine Webber Notes 6.375% 05/15/2004 4,085,000 3,982,957
Phoenix Re-Insurance Corp. NC '07 8.850% 02/01/2027 7,325,000 6,137,837
Realty Income Corp. Notes 7.750% 05/06/2007 2,675,000 2,539,324
Shopping Center Associates, REIT 144A 6.750% 01/15/2004 17,000,000 16,630,760
Simon Debartolo Group LP Notes 6.750% 07/15/2004 11,500,000 11,208,475
Spieker Properties, REIT 6.900% 01/15/2004 10,000,000 9,860,100
Sun Communities, Ltd. Senior Notes 7.375% 05/01/2001 5,000,000 5,028,050
Trenwick Capital Trust 8.820% 02/01/2037 9,375,000 8,518,219
U.S. Bancorp Notes NCL 6.000% 05/15/2004 15,675,000 15,180,399
U.S. Home Corp. 8.250% 08/15/2004 11,555,000 11,257,629
UCFC Home Equity Loan 1996 7.700% 01/15/2004 7,000,000 1,750,000
UCFC Sub Notes 8.375% 07/01/2005 2,500,000 75,000
World Financial Properties 144A 1996 WFP-B 6.910% 09/01/2013 16,977,113 16,605,315
---------------
294,292,377
---------------
Industrial Bonds -- 11.1%
Adelphia Communications Senior Notes 9.250% 10/01/2002 3,000,000 3,037,500
Allied Waste Industries 144A Notes 7.375% 01/01/2004 5,000,000 4,737,500
Allied Waste Industries 144A Notes 7.625% 01/01/2006 12,025,000 11,153,187
American Standard Corp. Senior Notes 7.125% 02/15/2003 3,625,000 3,625,000
Aramark Services Inc. 7.000% 07/15/2006 7,000,000 6,675,550
Aramark Services Notes 6.750% 08/01/2004 8,310,000 8,003,527
Building Materials Corp. Senior Notes 8.000% 10/15/2007 3,400,000 3,230,000
Charter Communications Holdings LLC 8.250% 04/01/2007 13,275,000 12,644,437
Conmed Corp. Notes 9.000% 03/15/2008 4,400,000 4,312,000
Cox Enterprises 144A Notes 6.625% 06/14/2002 14,850,000 14,854,455
Enterprise Corp. 144A Notes 6.950% 03/01/2004 15,500,000 15,291,990
Enterprise Corp. 144A Notes 7.000% 06/15/2000 7,725,000 7,788,268
Enterprise Corp. Notes 6.375% 05/15/2003 5,000,000 4,869,300
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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>
Industrial Bonds (continued)
Foodmaker Inc. Senior Sub Notes 8.375% 04/15/2008 $ 2,075,000 $ 1,992,000
Grove Worldwide Senior Sub Notes 9.250% 05/01/2008 5,750,000 4,312,500
Horseshoe Gaming 144A Senior Sub Notes 8.625% 05/15/2009 5,000,000 4,837,500
IMC Global Notes 7.625% 11/01/2005 12,025,000 12,189,382
Integrated Health Senior Sub Notes 9.250% 01/15/2008 16,100,000 11,551,750
James River Corp. 6.700% 11/15/2003 8,000,000 8,006,240
Lear Corp. 8.110% 05/15/2009 4,000,000 3,861,620
McLeod USA Inc. 144A Senior Notes 9.500% 11/01/2008 6,605,000 6,605,000
McLeod USA Senior Notes 8.375% 03/15/2008 11,845,000 11,104,687
McLeod USA Senior Step Up Notes 0.000% 03/01/2007 3,475,000 2,667,062
NVR Inc. Senior Notes 8.000% 06/01/2005 3,000,000 2,910,000
News America Inc. Deb Notes 144A 7.625% 11/30/2028 11,525,000 10,986,157
Nextlink Communications 12.250% 06/01/2009 15,000,000 8,775,000
Nextlink Communications 144A Notes 10.750% 11/15/2008 3,000,000 3,060,000
Nextlink Communications Step Up Notes 0.000% 04/15/2008 17,200,000 10,320,000
Republic Service 7.125% 05/15/2009 7,000,000 6,827,520
Revlon Worldwide Senior Notes+ 0.000% 03/15/2001 41,600,000 28,808,000
Safeway Stores Notes 6.050% 11/15/2003 3,825,000 3,742,954
Salem Communications Corp. Senior Sub Notes 9.500% 10/01/2007 5,925,000 6,162,000
Southland Corp. Deb Notes 4.500% 06/15/2004 7,675,000 6,523,750
Southland Corp. Senior Sub Notes 5.000% 12/15/2003 6,500,000 5,622,500
TRW Inc. 144A 7.125% 06/01/2009 9,000,000 8,740,800
Tenet Healthcare Corp. 144A 7.625% 06/01/2008 7,125,000 6,661,875
Tenet Healthcare Corp. Notes 8.625% 12/01/2003 2,660,000 2,660,000
Tenet Healthcare Corp. Senior Notes 7.875% 01/15/2003 2,150,000 2,107,000
Tenet Healthcare Corp. Senior Notes 8.000% 01/15/2005 4,325,000 4,195,250
Time Warner Inc. 7.750% 06/15/2005 11,100,000 11,424,675
Time Warner Inc. Notes 6.625% 05/15/2029 6,375,000 5,659,470
Tricon Global Restaurant Inc. Senior Notes 7.450% 05/15/2005 5,825,000 5,813,641
USA Waste Services Inc. Senior Notes 6.500% 12/15/2002 8,000,000 7,992,560
Viacom Inc. Senior Notes 7.750% 06/01/2005 3,000,000 3,072,720
WMX Technologies 144A 6.875% 05/15/2009 15,600,000 15,085,203
Walt Disney Notes 5.125% 12/15/2003 18,575,000 17,685,072
Westinghouse Credit Corp. Deb Notes 8.875% 06/14/2014 2,800,000 3,102,204
---------------
355,288,806
---------------
Total Corporate (Cost $830,818,753) 768,384,613
---------------
Government/Other -- 13.7%
Denmark -- 0.9%
Danske Kredit 5.000% 10/01/2029 7,656,000 944,871
Denmark Bullet 7.000% 11/15/2007 28,400,000 4,528,776
Denmark Government 6.000% 11/15/2009 15,000,000 2,258,467
Denmark Nykredit 5.000% 10/01/2029 5,376,000 663,483
Denmark Nykredit 7.000% 10/01/2026 20,319,000 2,869,343
Denmark Realkredit 7.000% 10/01/2026 1,992,000 281,300
Denmark Realkredit 8.000% 10/01/2026 1,000 146
Denmark Unikredit Realkredit 6.000% 10/01/2029 29,765,000 3,924,964
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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)
Kingdom of Denmark 8.000% 11/15/2001 $ 56,300,000 $ 8,544,234
Kingdom of Denmark 8.000% 03/15/2006 33,800,000 5,589,091
---------------
29,604,675
---------------
EuroDollar -- 0.1%
Bonos DEL Tesoro Notes 8.750% 05/09/2002 1,950,000 1,767,187
Republic of Brazil (a) 6.063% 01/01/2001 1,357,920 1,295,116
---------------
3,062,303
---------------
France -- 0.4%
BTAN 5 Yr 4.500% 07/12/2002 8,000,000 8,503,590
France Oat 5.250% 04/25/2008 3,000,000 3,266,744
France Oat 6.000% 10/25/2025 2,012,327 2,261,616
---------------
14,031,950
---------------
Germany -- 2.8%
Baden Nurttemberg 6.200% 11/22/2013 1,533,875 1,773,127
Bundes Obligation Ser 116 Notes 5.750% 08/22/2000 5,521,138 5,888,677
Bundes Obligation Ser 130 Notes 3.250% 02/17/2004 2,400,000 2,421,475
Depfa Bank 144A Notes 4.750% 07/15/2008 2,403,071 2,473,423
Deutschland Republic 4.750% 07/04/2008 1,100,000 1,155,702
Deutschland Republic 6.000% 01/05/2006 11,000,000 12,507,208
Deutschland Republic 6.500% 07/04/2027 3,000,000 3,584,542
Deutschland Republic 9.000% 01/22/2001 7,669,378 8,628,987
Die Bundrep Deutschland Dm1000 8.250% 09/20/2001 7,260,344 8,285,192
Federal Republic of Germany 6.875% 05/12/2005 8,922,043 10,525,725
Fresenius Med Global 7.375% 02/01/2008 3,030,000 1,648,739
German Unity Fund 8.000% 01/21/2002 1,789,521 2,053,232
Treuhandanstalt 6.500% 04/23/2003 8,947,607 10,136,574
Treuhandanstalt 6.625% 07/09/2003 2,700,000 3,080,286
Treuhandanstalt 7.125% 01/29/2003 7,752,756 8,919,293
Treuhandanstalt 7.500% 09/09/2004 6,135,502 7,364,629
---------------
90,446,811
---------------
Italy -- 0.2%
Italian Government BTP Notes NCL 4.000% 10/01/2003 3,500,000 3,597,215
Italian Government BTP Notes NCL 5.000% 02/15/2003 2,200,000 2,362,043
---------------
5,959,258
---------------
Japan -- 1.0%
European Investment Bank 4.625% 02/26/2003 235,000,000 2,192,649
Italy Euroyen Notes 3.750% 06/08/2005 872,000,000 8,158,141
Italy Euroyen Notes 5.000% 12/15/2004 205,000,000 2,019,400
Italy Euroyen Notes 5.125% 07/29/2003 652,000,000 6,272,441
Japan 10 Year Issue #168 3.400% 03/22/2004 540,000,000 4,921,272
Republic of Finland 6.000% 01/29/2002 737,000,000 6,900,829
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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>
Japan (continued)
South Africa 3.350% 06/17/2004 $ 150,000,000 $ 1,215,152
Spanish Government 4.750% 03/14/2005 120,000,000 1,173,085
---------------
32,852,969
---------------
Netherlands -- 0.1%
Netherlands Government Notes NCL 3.750% 07/15/2009 4,250,000 4,083,585
---------------
New Zealand -- 0.3%
Fernz Capital 9.800% 04/15/2002 3,800,000 2,114,514
Fletcher Challenge 11.250% 12/15/2002 3,100,000 1,768,002
Fletcher Challenge CVT 10.000% 04/30/2005 1,500,000 833,632
New Zealand Government 8.000% 04/15/2004 4,675,000 2,674,946
New Zealand Government 10.000% 03/15/2002 4,525,000 2,673,450
---------------
10,064,544
---------------
Norway -- 0.0%
Vital Forsikring 7.850% 09/22/2003 8,100,000 1,077,497
---------------
Singapore -- 0.1%
Singapore Government 3.500% 02/01/2004 4,490,000 2,610,060
Singapore Government 5.125% 11/15/2004 2,085,000 1,280,295
---------------
3,890,355
---------------
Sweden -- 0.5%
Government of Sweden #1039 5.500% 04/12/2002 22,500,000 2,746,858
Kingdom of Sweden #1030 13.000% 06/15/2001 17,100,000 2,355,237
Sweden Government Bond #1038 6.500% 10/25/2006 51,500,000 6,676,962
Sweden Government Bond #1042 5.000% 01/15/2004 37,000,000 4,452,194
---------------
16,231,251
---------------
United Kingdom -- 1.3%
Alliance and Leicester Building Society 8.750% 12/07/2006 1,700,000 2,997,426
Bank of Greece 10.750% 09/06/2010 1,450,000 3,045,178
Birmingham Midshires Building Society 9.125% 01/05/2006 1,450,000 2,588,428
CSW Investments 8.875% 09/27/2006 3,000,000 5,216,443
European Investment Bank 7.625% 12/07/2006 1,380,000 2,383,894
FNMA Global Bond 6.875% 06/07/2002 3,700,000 5,976,801
IPC Magazines 144A 0.000% 03/15/2008 3,000,000 2,272,032
Merrill Lynch Notes 7.375% 12/17/2007 1,500,000 2,499,235
Stagecoach Holdings PLC 7.625% 10/31/2007 2,175,000 3,443,508
UK Treasury Gilt Stock 8.000% 06/10/2003 2,950,000 5,069,227
UK Treasury Gilt Stock 9.500% 10/25/2004 1,900,000 3,557,213
---------------
39,049,385
---------------
Yankee Bonds -- 6.0%
Abbey National PLC 7.350% 10/29/2049 13,000,000 12,667,070
Amvescap Senior Notes 6.600% 05/15/2005 25,000,000 24,327,500
Asia Pulp and Paper Global Financial Notes 11.750% 10/01/2005 3,450,000 2,639,250
British Sky Broadcasting 7.300% 10/15/2006 13,050,000 12,511,035
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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>
Yankee Bonds (Continued)
Colt Telecom Group PLC Senior Step Up Notes 0.000% 12/15/2006 $ 5,200,000 $ 4,290,000
Cominco Ltd. Notes+ 6.875% 02/15/2006 16,950,000 14,503,098
Edperbrascan Ltd. Notes+ 7.375% 10/01/2002 12,125,000 12,117,119
Global Crossing Holding Ltd. Notes 9.625% 05/15/2008 12,225,000 13,203,000
Guangdong Enterprises 144A Senior Notes 8.750% 12/15/2003 2,945,000 971,850
Guangdong Enterprises 144A Senior Notes NCL 8.875% 05/22/2007 16,755,000 5,006,562
ICI Wilmington Notes NCL 6.950% 09/15/2004 17,600,000 17,684,832
Pindo Deli Financial Notes 10.250% 10/01/2002 5,700,000 4,161,000
Royal Caribbean Cruise Senior Notes 7.500% 10/15/2027 13,375,000 12,542,674
SE Banken Step Up Notes 144A 6.500% 12/29/2049 27,500,000 26,015,000
Societe General Step Up 144A NC '07 7.850% 04/29/2049 8,075,000 7,856,571
St. Georges Bank 144A 7.150% 10/15/2005 18,700,000 18,432,777
Tyco International 7 Yr. Notes NCL 6.375% 06/15/2005 5,000,000 4,890,650
---------------
193,819,988
---------------
Total Government/Other (Cost $482,223,116) 444,174,571
---------------
Non-Agency -- 4.3%
Pass Thru Securities -- 4.3%
Amresco Communication Mortgage 1997-b A1 144A 6.728% 04/15/2014 17,121,137 16,805,466
Chase Commercial Mortgage Sec 6.6 1997-2D
Non-ERISA 6.600% 12/25/2007 13,419,581 12,564,083
Enterprise Mortgage 1999-1 A1 6.420% 09/15/2008 23,526,995 23,034,398
First Chicago/Lennar Trust 1997-CHL1-D 8.129% 05/29/2008 9,720,000 7,903,575
GMAC Mortgage Corp. 1997-C1 E Non-ERISA 7.085% 11/15/2010 31,109,000 29,929,045
Lehman Brothers Commercial Conduit Mortgage
Trust 1995-C2 Non-ERISA(a) 7.110% 05/25/2005 1,930,000 1,907,609
Merrill Lynch Investment Trust 1995-C2 E 8.154% 06/15/2021 1,109,735 1,025,395
Merrill Lynch Mortgage Investments 1997-C1 D
Non-ERISA 7.120% 06/18/2029 4,475,000 4,313,900
Morgan Stanley Capital 1998-HF1 E 7.600% 02/15/2008 5,500,000 5,184,609
Resolution Trust Corp. 1994 C2 E Non-ERISA 8.000% 04/25/2025 4,853,941 4,876,694
Resolution Trust Corp. 1994-1 Cl M2 7.750% 09/25/2029 3,078,441 2,952,418
Resolution Trust Corp. 1994-C2 D Al 1 Non-
ERISA 8.000% 04/25/2025 4,429,548 4,448,928
Resolution Trust Corp. 1995 Cl E 6.900% 02/25/2027 10,810,448 9,786,834
Resolution Trust Corp. 1995-2B1 7.450% 09/15/2025 1,111,640 1,106,776
Structured Asset Security Corp. 1994-C1 D
Non-ERISA 6.870% 08/25/2026 6,421,454 6,399,631
Structured Asset Security Corp. 1996-CFL C
Non-ERISA 6.525% 02/25/2028 7,000,000 6,945,039
---------------
Total Non-Agency (Cost $141,216,541) 139,184,400
---------------
U.S. Government Agency -- 35.3%
Pass Thru Securities -- 35.3%
FHLB 5.770% 12/22/1999 1,875,000 1,877,925
FMAC Loan Rec Trust 98-C Class A2 6.660% 01/15/2012 15,000,000 14,362,500
FNMA 5.125% 02/13/2004 7,000,000 6,711,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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>
Pass Thru Securities (continued)
FNMA 6.000% 06/01/2003 - 07/01/2029 187,726,714 176,514,524
FNMA# 6.500% 05/01/2014 - 07/01/2029 $ 328,305,658 $ 318,819,947
FNMA 9.000% 11/01/2025 13,477,083 14,222,501
GNMA 0.070% 09/15/2024 - 09/15/2028 2,376,367 2,344,545
GNMA 6.500% 01/15/2029 - 05/15/2029 59,294,986 57,015,686
GNMA+ 7.000% 09/15/2022 - 06/15/2029 341,461,049 337,168,185
GNMA# 8.000% 01/15/2024 - 07/15/2029 153,502,035 157,889,419
GNMA 9.000% 12/15/2016 - 02/15/2021 44,475,805 47,592,060
---------------
Total U.S. Government Agency
(Cost $1,153,294,151) 1,134,518,542
---------------
U.S. Treasury Obligations -- 12.1%
Treasury Bonds -- 5.0%
U.S. Treasury Bond+ 8.125% 05/15/2021 131,410,000 160,032,412
---------------
Treasury Notes -- 7.1%
U.S. Treasury Inflation Index Note(a) 3.493% 01/15/2007 2,831,625 2,716,590
U.S. Treasury Inflation Index Note(a) 3.625% 07/15/2002 19,821,438 19,629,417
U.S. Treasury Note+ 4.750% 11/15/2008 52,000,000 47,750,560
U.S. Treasury Note+ 5.750% 10/31/2002 7,000,000 7,019,670
U.S. Treasury Note+ 6.250% 10/31/2001 47,610,000 48,287,014
U.S. Treasury Note+ 6.500% 08/15/2005 6,675,000 6,880,457
U.S. Treasury Note+ 6.625% 06/30/2001 16,600,000 16,934,656
U.S. Treasury Note+ 6.625% 04/30/2002 34,850,000 35,775,616
U.S. Treasury Note+ 6.625% 05/15/2007 40,265,000 41,932,374
---------------
226,926,354
---------------
Total U.S. Treasury Obligations (Cost $399,873,110) 386,958,766
---------------
TOTAL BONDS AND NOTES (COST $3,261,921,311) 3,117,657,776
---------------
</TABLE>
<TABLE>
<CAPTION>
Shares
------------
<S> <C> <C>
PREFERRED STOCKS -- 3.0%
Australia & New Zealand Bank 293,350 7,993,787
Bank United of Texas 10.12 115,380 3,014,302
California Federal 9.125 227,000 5,930,375
Equity Office Properties Trust 144A CVT 748,000 31,883,500
Fuji JGB Inv. L.L.C. Pfd 144A Step Up 19,675,000 17,215,625
Global Crossing PIK Pfd 144A 68,325 7,174,125
Natexis Ambs Co. Perp Step Up 4,260,000 3,849,570
Pinto Totta Intl Pfd 144A Step Up 6,450 6,060,356
Primedia Inc. 8.625% Pfd 16,000 1,460,000
Societe Generale Preferred Step Up NC '07 13,985,000 13,085,765
---------------
TOTAL PREFERRED STOCKS (COST $101,573,947) 97,667,405
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Contract Value
Security Size (Note 1A)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
PURCHASED OPTIONS -- 0.3%
BRL Put/USD Call, Strike Price 1.35, 09/09/99 5,450,000 $ 1,413,185
BTP 6.75% Put, Strike Price 105.290, 01/31/00 4,950,000,000 0
BTP 6.75% Put, Strike Price 105.49, 02/03/00 4,950,000,000 4,950
BTP 6.75% Put, Strike Price 107.69, 02/07/00 9,775,000,000 19,550
DBR 4.75% Call, Strike Price 104.90, 11/02/99 9,200,000 7,277
DBR 4.75% Call, Strike Price 106.99, 02/08/99 2,500,000 1,805
DBR 4.75% Call, Strike Price 95.78, 03/13/00 2,525,000 23,712
DBR 5.25% Call, Strike Price 110.76, 12/15/99 4,700,000 992
DBR 5.25% Call, Strike Price 112.07, 01/25/00 3,650,000 752
DBR 5.25% Call, Strike Price 112.08, 01/26/00 4,850,000 1,504
DBR 5.625% Call, Strike Price 115.10, 10/01/99 9,300,000 2,065
DBR 6.00% Call, Strike Price 112.66, 07/04/07 16,000,000 16,032
DBR 6.00% Call, Strike Price 112.88, 10/22/99 9,300,000 5,394
DEM 3.75% Call, Strike Price 99.15, 04/17/00 2,500,000 3,870
DEM 4% Call, Strike Price 96.26, 06/23/00 2,400,000 24,842
DEM 4.75% Call, Strike Price 95.85, 05/11/00 2,400,000 20,558
DEM 4.75% Call, Strike Price 99.39, 04/27/00 3,450,000 16,377
DEM 4.75% Put, Strike Price 105.06, 08/25/99 2,400,000 101,498
DEM 5.25% Call, Strike Price 111.26, 01/10/00 4,250,000 438
DEM 5.625% Call, Strike Price 109.10, 11/23/99 4,600,000 12,857
EUR Put/JPY Call, Strike Price 146.70, 04/13/00 5,050,285 752,599
FRF 5.25% Call, Strike Price 108.15, 10/25/99 30,700,000 10,622
GBP 5.75% Call, Strike Price 106.23, 06/09/00 3,400,000 171,040
JPY 1.8% Call, Strike Price 104.669, 05/08/00 635,000,000 9,525
JPY 2.6% Call, Strike Price 102.558, 04/10/00 305,000,000 67,100
JPY 2.6% Call, Strike Price 106.682, 05/01/00 600,000,000 81,000
JPY Put, Strike Price 116.95, 12/24/99 5,600,000 201,040
JPY Put, Strike Price 121.5, 04/06/00 3,000,000 69,600
JPY Put, Strike Price 150.00, 02/08/01 2,775,000 4,995
JPY Put/USD Call, Strike Price 122, 03/08/00 2,600,000 59,020
JPY Put/USD Call, Strike Price 125.00, 10/14/99 3,000,000 25,500
JPY Put/USD Call, Strike Price 127.00, 11/10/99 5,500,000 42,350
JPY Put/USD Call, Strike Price 128.00, 11/12/99 2,750,000 19,250
JPY Put/USD Call, Strike Price 138.00, 09/08/99 4,075,000 481
JPY Put/USD Call, Strike Price 150.00, 08/26/99 5,225,000 0
UST 4.75% Call, Strike Price 95.00, 9/3/99 580,000 161,240
UST 4.75% Call, Strike Price 96.6093, 10/18/99 262,200 71,056
UST 5.25% Call, Strike Price 101.8281, 7/20/99 692,000 5,406
UST 5.25% Call, Strike Price 94.375, 02/29/00 28,000 33,544
UST 5.25% Put, Strike Price 90.1562, 12/1/99 298,000 943,170
UST 5.25% Put, Strike Price 90.5781, 12/1/99 300,000 1,072,266
UST 5.25% Put, Strike Price 90.6562, 12/1/99 300,000 1,038,300
UST 5.5% Call, Strike Price 100.1093, 11/8/99 612,000 394,128
UST 5.5% Call, Strike Price 100.4062, 8/9/99 363,500 127,225
UST 5.5% Call, Strike Price 100.4609, 8/9/99 1,300 142
UST 5.5% Call, Strike Price 96.5781, 9/22/99 493,290 612,759
UST 5.5% Call, Strike Price 96.7265, 9/22/99 398,650 467,168
UST 5.5% Call, Strike Price 97.1875, 9/2/99 181,400 201,173
UST 5.5% Call, Strike Price 98.1328, 9/2/99 155,250 135,999
---------------
TOTAL PURCHASED OPTIONS (COST $15,619,278) 8,455,356
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Schedule of Investments - June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Security Shares (Note 1A)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
Financial -- 0.0%
Equity Office Properties Warrants 220,000 $ 11,000
---------------
TOTAL WARRANTS (COST $176,000) 11,000
---------------
SHORT-TERM INVESTMENTS -- 1.8%
Repurchase Agreements -- 1.8%
Prudential-Bache Repurchase Agreement, dated 6/30/99,
due 7/1/99, with a maturity value of $58,339,707 and
an effective yield of 4.10%, collateralized by U.S.
Government Agency Obligations with rates ranging from
4.50% to 9.375%, maturity dates ranging from 9/30/00
to 5/1/07 and an aggregate market value of
$59,504,837. $ 58,333,063
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $58,333,063) 58,333,063
---------------
TOTAL INVESTMENTS -- 102.2% (COST $3,437,623,599) $ 3,282,124,600
Other Assets, Less Liabilities -- (2.2%) (70,537,391)
---------------
NET ASSETS -- 100.0% $ 3,211,587,209
===============
</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.
CVT - Convertible
FHLB - Federal Home Loan Bank
FMAC - Federal Mortgage Acceptance 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).
(a) Variable Rate Security; rate indicated is as of 6/30/99.
# All or a portion of these securities are delayed delivery contracts (Note
6).
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost,
$3,437,623,599) $ 3,282,124,600
Foreign currency, at value (identified cost,
$2,405,734) 2,402,912
Receivable for investments sold 120,509,068
Receivable for premiums on written options 538,364
Interest and dividends receivable 38,234,777
Unrealized appreciation on forward foreign currency
exchange contracts (Note 5) 6,749,395
Tax reclaim receivable 143,123
Deferred organization costs 27,489
Prepaid expenses 18,845
---------------
Total assets 3,450,748,573
Liabilities
Payable for investments purchased $ 20,741,664
Payable for variation margin on open financial
futures contracts 1,888,906
Unrealized depreciation on forward foreign currency
exchange contracts (Note 5) 446,296
Payable for delayed delivery transactions (Note 6) 199,620,337
Options written, at value (Note 5) (premiums
received, $16,545,038) 15,249,415
Accrued accounting and custody fees 78,892
Accrued trustees' fees and expenses (Note 2) 11,340
Payable for premium on purchased options 1,079,927
Accrued expenses and other liabilities 44,587
-------------
Total liabilities 239,161,364
---------------
Net Assets (applicable to investors' beneficial
interests) $ 3,211,587,209
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 $ 116,488,711
Dividend income 2,876,775
--------------
Total income 119,365,486
Expenses
Investment advisory fee (Note 2) $ 5,193,520
Accounting and custody fees 526,338
Trustees' fees and expenses (Note 2) 48,866
Legal and audit services 41,744
Insurance expense 15,079
Licensing fees 10,918
Amortization of organization expenses 7,406
--------------
Total expenses 5,843,871
--------------
Net investment income 113,521,615
--------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Investment security transactions (40,985,386)
Financial futures contracts 5,868,332
Written options transactions 340,807
Foreign currency transactions and forward foreign
currency exchange contracts 10,239,093
--------------
Net realized loss (24,537,154)
Change in unrealized appreciation (depreciation)
Investment securities (110,128,285)
Financial futures contracts (2,768,375)
Written options 2,507,433
Foreign currency and forward foreign currency
exchange contracts 13,019,311
--------------
Change in net unrealized depreciation (97,369,916)
--------------
Net realized and unrealized loss (121,907,070)
--------------
Net Decrease in Net Assets from Operations $ (8,385,455)
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 $ 113,521,615 $ 225,672,566
Net realized gain (loss) (24,537,154) 63,203,263
Change in net unrealized depreciation (97,369,916) (113,239,799)
-------------- ---------------
Net increase (decrease) in net assets from investment
operations (8,385,455) 175,636,030
-------------- ---------------
Capital Transactions
Contributions 161,695,413 726,662,277
Withdrawals (358,184,710) (811,459,061)
-------------- ---------------
Net decrease in net assets from capital transactions (196,489,297) (84,796,784)
-------------- ---------------
Total Increase (Decrease) in Net Assets (204,874,752) 90,839,246
Net Assets
At beginning of period 3,416,461,961 3,325,622,715
-------------- ---------------
At end of period $3,211,587,209 $ 3,416,461,961
============== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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) 0.35%+ 0.34% 0.36% 0.37%+
Net Investment Income (to average daily net
assets) 6.80%+ 6.56% 6.77% 7.14%+
Portfolio Turnover 94% 148% 89% 69%
Net Assets, End of Period (000's omitted) $3,211,587 $3,416,462 $3,325,623 $2,616,112
</TABLE>
- ----------
(1) For the period May 3, 1996 (commencement of operations) through December
31, 1996.
+ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the state of New York
on January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Fixed Income Portfolio (the "Portfolio") is a separate 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. Dividend income is recorded on the ex-dividend date.
Realized gains and losses from securities sold are recorded on the
identified cost basis. The Portfolio does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
D. Income taxes
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all
or substantially all of their assets in the Portfolio, the Portfolio
normally must satisfy the source of income and diversification
requirements applicable to regulated investment companies (under the
Internal Revenue Code) in order
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
for its investors to satisfy them. The Portfolio allocates 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.
E. Foreign currency transactions
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
F. Deferred organization expense
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized on a straight-line basis through
April, 2001.
(2) Investment Advisory Fee:
The investment advisory fee paid to Standish, Ayer & Wood, Inc. ("SA&W")
for overall investment advisory services is paid monthly at the annual
rate of 0.40% of the Portfolio's first $250,000,000 of average daily net
assets, 0.35% of the next $250,000,000 of average daily net assets, and
0.30% of the average daily net assets in excess of $500,000,000. The
Portfolio Trust pays no compensation directly to its trustees who are
affiliated with SA&W or to its officers, all of whom receive remuneration
for their services to the Portfolio Trust from SA&W. Certain of the
trustees and officers of the Portfolio Trust are directors or officers of
SA&W.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
-------------- --------------
<S> <C> <C>
U.S. Government Securities $2,580,155,688 $2,262,955,947
============== ==============
Investments (non-U.S.Government Securities) $ 607,902,643 $ 778,043,620
============== ==============
</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, 1999, as computed on a federal
income tax basis, were as follows:
Aggregate Cost $3,437,623,599
==============
Gross unrealized appreciation 12,838,115
Gross unrealized depreciation (168,337,114)
--------------
Net unrealized depreciation $ (155,498,999)
==============
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to 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 contracts 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 such transactions for the six months ended June 30, 1999 is
as follows:
Written Put Option Transactions
--------------------------------------------------------------------------
Number of Contracts Premiums
------------------- -----------
Outstanding, beginning of period 16 $ 3,216,788
Options written 17 7,839,771
Options expired (2) (839,844)
Options closed (15) (2,434,943)
--- -----------
Outstanding, end of period 16 $ 7,781,772
=== ===========
23
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Written Call Option Transactions
--------------------------------------------------------------------------
Number of Contracts Premiums
------------------- -----------
Outstanding, beginning of period 14 $ 4,205,751
Options written 27 6,137,804
Options exercised (1) (1,193,719)
Options expired (5) (1,344,315)
Options closed (11) (3,077,567)
--- -----------
Outstanding, end of period 24 $ 4,727,954
=== ===========
Written Cross Currency Option Transactions
--------------------------------------------------------------------------
Number of Contracts Premiums
------------------- -----------
Outstanding, beginning of period 15 $ 2,561,649
Options written 16 3,272,893
Options expired (2) (154,162)
Options closed (16) (1,645,068)
--- -----------
Outstanding, end of period 13 $ 4,035,312
=== ===========
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, 1999, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
Forward foreign currency exchange contracts
<TABLE>
<CAPTION>
U.S.$
Local 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>
British Pound Sterling 300,000 7/6/99 473,292 472,899 393
Euro Dollar 2,266,410 9/7/99 2,355,074 2,358,336 (3,262)
Hong Kong Dollar 28,791,260 10/14/99 3,703,279 3,519,861 183,418
Japanese Yen 1,341,008,534 7/12-8/10/99 11,106,769 11,094,449 12,320
New Zealand Dollar 7,240,016 7/15-8/13/99 3,864,025 4,013,452 (149,427)
Polish Zloty 2,876,930 7/24/2000 691,618 700,000 (8,382)
Swedish Krona 63,025,023 7/01-7/19/99 7,450,827 7,534,650 (83,823)
------------ ------------ ----------
TOTAL $ 29,644,884 $ 29,693,647 $ (48,763)
============ ============ ==========
</TABLE>
24
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.$
Local 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>
British Pound Sterling 25,507,957 7/02-8/26/99 40,232,503 41,372,979 1,140,476
Danish Krone 232,631,464 7/06-9/13/99 32,310,315 33,374,585 1,064,270
Euro Dollar 113,979,131 7/06-9/07/99 118,140,484 121,542,008 3,401,524
Hong Kong Dollar 65,894,458 10/14/99-1/14/00 8,470,904 8,310,000 (160,904)
Japanese Yen 5,194,596,051 7/01/99-5/17/01 44,424,003 44,565,671 141,668
New Zealand Dollar 30,480,771 7/15-11/05/99 16,269,067 16,739,836 470,769
Norwegian Krone 8,939,580 7/19/99 1,134,436 1,149,046 14,610
Polish Zloty 2,876,930 7/24/00 691,618 682,708 (8,910)
Singapore Dollar 6,841,134 9/14/99 4,051,765 4,020,177 (31,588)
Swedish Krona 181,124,306 7/19-9/02/99 21,448,420 21,628,430 180,010
------------- ------------- -----------
TOTAL $ 287,173,515 $ 293,385,440 $ 6,211,925
============= ============= ===========
</TABLE>
Forward Foreign Cross Currency Exchange Contracts
<TABLE>
<CAPTION>
U.S.$
U.S.$ Market U.S.$ Market Contract Unrealized
Contracts To Deliver Value In Exchange For Value Value Date Gain
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Euro Dollar 2,496,237 Greek Drachma 2,519,459 9/29/99 23,222
British Pound Sterling 2,644,088 New Zealand Dollar 2,755,006 11/5/99 110,918
New Zealand Dollar 2,638,291 British Pound Sterling 2,644,088 11/5/99 5,797
--------- --------- --------
TOTAL $7,778,616 $7,918,553 $139,937
========== ========== ========
</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.
25
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 1999, the Portfolio held the following financials futures
contracts:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount At Value Gain/Loss
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
U.S. Treasury Bond (90 Contracts) Long 9/30/99 $ 10,431,563 $ 48,463
U.S. 10 Year Note (1,981 Contracts) Short 9/30/99 220,262,438 (2,578,981)
U.S. Treasury Bond (197 Contracts) Short 9/30/99 22,833,531 (254,368)
-------------
$ (2,784,886)
=============
</TABLE>
At June 30, 1999, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
(6) Delayed Delivery Transactions:
The Portfolio may purchase securities on a when-issued or forward
commitment basis. Payment and delivery may take place a month or more
after the date of the transactions. The price of the underlying securities
and the date when the securities will be delivered and paid for are fixed
at the time the transaction is negotiated. The Portfolio instructs its
custodian to segregate securities having a value at least equal to the
amount of the purchase commitment.
At June 30, 1999, the Fund had entered into the following delayed delivery
transactions:
Type Security Settlement Date Payable Amount
--------------------------------------------------------------------------
Buy FNMA 7/16/99 $ 57,393,985
Buy FNMA 7/20/99 76,570,594
Buy GNMA 7/29/99 65,655,758
------------
$199,620,337
============
26
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