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Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
Financial Statements
For the Six Months Ended June 30, 1996
(Unaudited)
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets:
<S> <C> <C>
Investment in Standish Equity Portfolio, (Portfolio) at value (Note 1A) $ 100,676,859
Receivable for Fund shares sold 10,000
Other assets 2,721
-----------------
Total assets 100,689,580
Liabilities
Distribution payable $ 143,246
Accrued trustee fees 480
Accrued investment advisory fee (Note 3) 44,579
Accrued expenses and other liabilities 8,415
----------------
Total liabilities 196,720
-----------------
Net Assets $ 100,492,860
=================
Net Assets consist of:
Paid-in capital $ 82,146,942
Undistributed net investment income (loss) 14,379
Accumulated net realized gain (loss) 5,288,408
Net unrealized appreciation (depreciation) 13,043,131
-----------------
Total $ 100,492,860
=================
Shares of beneficial interest outstanding 2,723,227
=================
Net asset value, offering price and redemption price per share $ 36.90
=================
(Net assets/Shares outstanding)
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
Statement of Operations
For the Six Months Ended June 30, 1996
(Unaudited)
Investment Income (Note 1B):
Interest income $ 77,789
Dividend income (net of withholding tax of $3,344) 612,003
Interest income allocated from Portfolio 32,301
Dividend income allocated from Portfolio 434,765
Expenses allocated from Portfolio (111,006)
---------------
Total income 1,045,852
Expenses
Investment advisory fee (Note 3) $ 163,530
Accounting, custodian, and transfer agency fees 28,583
Trustee fees 1,413
Legal and audit services 26,421
----------------
Total expenses 219,947
---------------
Net investment income (loss) 825,905
---------------
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments from:
Investment security transactions 3,307,923
Financial futures 164,221
Net realized gain (loss) from Portfolio on:
Investment security transactions 1,776,675
Financial futures 159,275
----------------
Net realized gain (loss) 5,408,094
Change in unrealized appreciation (depreciation) of investments:
Investment securities 3,350,429
Financial futures (58,212)
From Portfolio (626,766)
----------------
Net change in unrealized appreciation (depreciation) 2,665,451
---------------
Net realized and unrealized gain (loss) on investments 8,073,545
---------------
Net increase (decrease) in net assets resulting from operations $ 8,899,450
===============
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
Statements of Changes in Net Assets
Six Months Ended
June 30, 1996 Year Ended
(Unaudited) December 31, 1995
-------------------- --------------------
Increase (Decrease) in Net Assets:
From operations
Net investment income $ 825,905 $ 2,196,110
Net realized gain (loss) 5,408,094 21,564,705
Change in net unrealized appreciation (depreciation) 2,665,451 10,229,026
-------------------- --------------------
Net increase (decrease) in net assets from operations 8,899,450 33,989,841
-------------------- --------------------
Distributions to shareholders
From net investment income (790,802) (2,203,103)
From net realized capital gains (2,604,831) (8,605,084)
-------------------- --------------------
Total distributions to shareholders (3,395,633) (10,808,187)
-------------------- --------------------
Fund share transactions, (Note 6)
Net proceeds from sale of shares 7,757,078 32,648,683
Net asset value of shares issued to shareholders
in payment of distributions declared 3,159,630 10,246,215
Cost of shares redeemed (4,460,048) (64,134,926)
-------------------- --------------------
Increase (decrease) in net assets from Fund share transactions 6,456,660 (21,240,028)
-------------------- --------------------
Net increase (decrease) in net assets 11,960,477 1,941,626
Net Assets:
At beginning of period 88,532,383 86,590,757
-------------------- --------------------
At end of period (including undistributed net investment income
of $14,379 and distributions in excess of net investment income of
$20,274 at June 30, 1996 and December 31, 1995, respectively) $ 100,492,860 $ 88,532,383
==================== ====================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
Financial Highlights
Six Months Ended
June 30, 1996 Year Ended December 31,
-----------------------------------------------------
(Unaudited) 1995 1994 1993
----------- ---------- ----------- -------------
Net asset value - Beginning of period $ 34.81 $ 28.66 $ 30.89 26.28 $
----------- ---------- ----------- -------------
Income from investment operations:
Net investment income ** 0.31 0.76 0.45 0.50
Net realized and unrealized gain
(loss) on investments 3.06 9.94 (1.62) 5.57
----------- ---------- ----------- -------------
Total from investment operations 3.37 10.70 (1.17) 6.07
----------- ---------- ----------- -------------
Less distributions to shareholders:
From net investment income (0.30) (0.78) (0.44) (0.47)
From net realized capital gains (0.98) (3.77) (0.62) (0.99)
From paid-in capital --- --- --- ---
----------- ---------- ----------- -------------
Total distributions declared to shareholders (1.28) (4.55) (1.06) (1.46)
----------- ---------- ----------- -------------
Net asset value - end of period $ 36.90 $ 34.81 $ 28.66 30.89 $
=========== ========== =========== =============
Total Return 9.71% 37.55% (3.78%) 20.79%
Ratios (to average net assets)/Supplemental Data:
Expenses (1) ** 0.+9% 0.69% 0.70% 0.80%
Net investment income ** 1.+3% 2.05% 1.55% 1.29%
Portfolio turnover (2) 41% 159% 182% 192%
Average broker commission rate (2) $ 0.0499
Net assets, end of period (000's omitted) 100,493 $ 88,532 $ 86,591 $ 72,916
+ Annualized.
* Audited by other auditors.
** For the three year period ended December 31, 1993, the investment adviser did not impose a portion of its
advisory fee. If this voluntary reduction had not been undertaken, the net investment income per share
and the ratios would have been:
Net investment income per share 0.47
Ratios (to average net assets):
Expenses 0.97%
Net Investment income 1.12%
<PAGE>
1992* 1991* (3)
----------- ------------
Net asset value - Beginning of period 25.66 $ 20.00
----------- ------------
Income from investment operations:
Net investment income ** 0.56 0.46
Net realized and unrealized gain
(loss) on investments 1.81 6.17
----------- ------------
Total from investment operations 2.37 6.63
----------- ------------
Less distributions to shareholders:
From net investment income (0.54) (0.35)
From net realized capital gains (1.19) (0.62)
From paid-in capital (0.02) ---
----------- ------------
Total distributions declared to shareholders (1.75) (0.97)
----------- ------------
Net asset value - end of period 26.28 $ 25.66
=========== ============
Total Return 9.52% 33.+5%
Ratios (to average net assets)/Supplemental Data:
Expenses (1) ** 0.00% 1.+0%
Net investment income ** 2.52% 1.+2%
Portfolio turnover (2) 92% 86%
Average broker commission rate (2)
Net assets, end of period (000's omitted) 14,679 $ 7,498
Net investment income per share 0.34 $ 0.23
Ratios (to average net assets):
Expenses 1.00% 1.+9%
Net Investment income 1.52% 0.+3%
(1) Includes the Fund's share of Portfolio allocated expenses for the period from May 3, 1996 through June 30, 1996.
(2) Portfolio turnover and average broker commission rate represents activity while the Fund was making investments
directly in securities. The portfolio turnover and average broker commission rate 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.
(3) For the period from January 2, 1991 (start of business) to December 31, 1991.
</TABLE>
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Equity Fund Series
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 Equity Fund (the "Fund") is a separate diversified
investment series of the Trust. On May 3, 1996, the Fund contributed
substantially all of its investable assets to the Standish Equity
Portfolio (the "Portfolio"), a subtrust of Standish, Ayer & Wood Master
Portfolio (the "Portfolio Trust"), which is organized as a New York
trust, in exchange for an interest in the Portfolio. The Fund invests
all of its investable assets in the interests in the Portfolio, which
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,
1996). The performance of the Fund is directly affected by the
performance of the Portfolio. The financial statements of the Portfolio
are included elsewhere in this report and should be read in conjunction
with the Fund's financial statements. The following is a summary of
significant accounting policies followed by the Fund in the preparation
of the financial statements. The preparation of financial statements in
accordance with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
A. Investment security valuations--
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B. Securities transactions and income--
Securities transactions are recorded as of the trade date. Currently,
the Fund's net investment income consists of the Fund's pro rata share
of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles. Prior to the Fund's investment in the
Portfolio, the Fund held its investments directly. For investments held
directly, interest income was determined on the basis of interest
accrued, dividend income was recorded on the ex-dividend date and
realized gains and losses from securities sold were recorded on the
identified cost basis.
C. Federal taxes-
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal
year.
(2).....Distributions to Shareholders:
The Fund's dividends from short-term and long-term capital gains, if
any, after reduction of capital losses will be declared and distributed
at least annually, as will dividends from net investment income. In
determining the amounts of its dividends, the Fund will take into
account its share of the income, gains or losses, expenses, and any
other tax items of the Portfolio. Dividends from net investment income
and capital gains distributions, if any, are automatically invested in
additional shares of the Fund unless the 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 futures and options transactions. Permanent
book and tax basis differences relating to shareholder distributions
will result in reclassifications to paid-in capital.
<PAGE>
(3).....Investment Advisory Fee:
Prior to May 3, 1996 (when the Fund transferred substantially all of
its assets to the Portfolio in exchange for an interest in the
Portfolio), the Fund retained Standish, Ayer & Wood, Inc. (SA&W) as its
investment adviser. The investment advisory fee paid to SA&W for
overall investment advisory and administrative services, and general
office facilities, was paid quarterly at the annual rate of 0.50% of
the Fund's average daily net assets. Currently, the Fund pays no
compensation directly to SA&W for such services now performed for the
Portfolio, but indirectly bears its pro rata share of the compensation
paid by the Portfolio to SA&W for such services. See Note 2 of the
Portfolio's Notes to Financial Statements which are included elsewhere
in this report. The Fund pays no compensation directly to its trustees
who are affiliated with the investment adviser or to its officers, all
of whom receive remuneration for their services to the Fund from the
investment adviser. Certain of the trustees and officers of the Trust
are directors or officers of SA&W.
(4).....Purchases and Sales of Investments:
Purchases and proceeds from sales of investments from January 1, 1996
through May 3, 1996, other than purchased option transactions and
short-term obligations, were as follows:
Purchases Sales
---------------------- ---------------------
Investments $38,138,153 $37,334,991
===================== =====================
For the period January 1, 1996 through May 3, 1996 there were no
written option transactions, as more fully described in Note 5 of the
Portfolio's Notes to Financial Statements which are included elsewhere
in this report.
(5).....Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the period from May 3, 1996 to June 30, 1996 aggregated $ 1,734,369 and
$ 717,268, respectively.
(6).....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, 1996 Year Ended
(Unaudited) December 31, 1995
--------------------- ----------------------
<S> <C> <C>
Shares sold 213,546 932,595
Shares issued to shareholders in payment of distributions declared 85,596 294,939
Shares redeemed (119,096) (1,705,536)
--------------------- ----------------------
Net increase (decrease) 180,046 (478,002)
===================== ======================
</TABLE>
<PAGE>
(7).....Special Meeting of Fund Shareholders:
On March 7, 1996, a special meeting of Fund shareholders was held at
which shareholders: (1) adopted a new investment policy that authorized
the Fund to invest all of its investable assets in the Portfolio and
amended certain investment restrictions that would permit such
investment; (2) authorized the Portfolio to vote as a holder of an
interest in the Portfolio (a) to elect trustees of Standish, Ayer &
Wood Master Portfolio, (b) to ratify the selection of accountants of
the Portfolio and (c) to approve the investment advisory agreement
between the Portfolio and SA&W; and (3) eliminated the Fund's
fundamental investment restriction regarding investment in investment
companies. The shareholder vote approving each of these proposals was
as follows:
<TABLE>
<CAPTION>
Proposal 1
<S> <C> <C>
FOR: 1,730,162.09 (66.093% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 47,713.57 (1.823% of the shares represented and outstanding)
Proposal 2 (a)
FOR: 1,730,162.09 (54.2570% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 47,713.57 (1.823% of the shares represented and outstanding)
Proposal 2 (b)
FOR: 1,730,087.93 (66.090% of the shares represented and outstanding)
AGAINST: 74.16 (0.003% of the shares represented and outstanding)
ABSTAIN: 47,713.57 (1.823% of the shares represented and outstanding)
Proposal 2 (c)
FOR: 1,730,162.09 (66.093% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 47,713.57 (1.823% of the shares represented and outstanding)
Proposal 3
FOR: 1,634,319.86 (62.432% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 143,555.79 (5.484% of the shares represented and outstanding)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
Portfolio of Investments
June 30, 1996
(Unaudited)
Value
Security Shares (Note 1A)
- ------------------------------------------------ ---------------- ------------------
Equities - 96.5%
- ------------------------------------------------
Basic Industry - 6.8%
- ------------------------------------------------
<S> <C> <C>
Avery-Dennison Corp. 25,200 $ 1,382,850
Bemis Co 15,600 546,000
Cleveland-Cliffs Inc. 8,200 320,825
CSX Corp. 24,600 1,186,950
Lafarge Corp. 22,500 455,625
Norfolk Southern Corp. 17,800 1,508,550
Sealed Air Corp. * 15,100 507,738
Union Carbide Corp. 23,900 950,025
------------------
6,858,563
------------------
Capital Goods - 12.9%
- ------------------------------------------------
Allied Signal Inc. 17,900 1,022,538
Case Corp. 13,000 624,000
Deere & Co. 30,200 1,208,000
Dover Corp. 21,500 991,688
Ingersoll Rand Co 22,800 997,500
Johnson Controls Corp. 9,400 653,300
McDonnell Douglas Corp. 34,400 1,668,400
Measurex Corp. 9,700 283,725
Rockwell International Corp. 26,400 1,511,400
Textron Inc. 12,200 974,475
Trinity Industries 14,000 476,000
United Technologies Corp. 22,300 2,564,500
------------------
12,975,526
------------------
Consumer Cyclical - 15.4%
- ------------------------------------------------
AMR Corp. 10,600 964,600
Black & Decker Corp. 32,900 1,270,763
Carnival Corp. 58,500 1,689,188
Chrysler Corp. 34,900 2,163,800
Goodyear Tire & Rubber Co. 15,800 762,350
Jones Apparel Group Inc. 27,000 1,326,375
Kingworld Productions Inc. * 22,700 825,713
Leggett & Platt Inc. 22,900 635,475
Mercantile Stores 17,500 1,025,938
Pier 1 Imports Inc. 73,100 1,087,363
Ross Stores Inc. 29,700 1,032,075
UAL Corp. 29,200 1,569,500
Waban Inc. 47,700 1,138,838
------------------
15,491,978
------------------
<PAGE>
Value
Security Shares (Note 1A)
- ------------------------------------------------ ---------------- ------------------
Consumer Stable - 18.0%
- ------------------------------------------------
Abbott Laboratories 25,500 $ 1,109,250
American Stores Co 15,100 622,875
Becton Dickinson & Co 10,800 866,700
Bristol-Myers Squibb Co 33,200 2,988,000
Equifax Inc. 22,100 580,125
Great Atlantic & Pacific Tea Co 15,400 506,275
Media General Inc. Cl A 12,000 447,000
Millipore Corp. 21,800 912,875
Omnicom Group 22,700 1,055,537
Philip Morris Companies, Inc. 14,600 1,518,400
RJR Holdings Group Inc. 43,800 1,357,800
Safeway Inc. 50,000 1,650,000
Schering-Plough Corp. 48,000 3,012,000
Wallace Computer Services 24,300 1,451,925
------------------
18,078,762
------------------
Energy - 9.4%
- ------------------------------------------------
Amoco Corp. 35,564 2,573,945
British Petroleum Plc 24,591 2,628,163
Kerr - Mcgee Corp. 13,700 833,988
Mobil Corp. 21,700 2,433,113
Phillips Petroleum Co. 23,300 975,688
------------------
9,444,897
------------------
Financial - 14.4%
- ------------------------------------------------
American Bankers Insurance Group 23,200 1,012,100
Bank of Boston Corp. 23,200 1,148,400
BankAmerica Corp. 27,400 2,075,550
Barnett Banks Inc. 14,900 908,900
Cigna Corp. 15,700 1,850,638
Comerica Inc. 17,800 794,325
Nationsbank Corp. 13,100 1,082,388
Northern Trust 20,900 1,206,975
Old Republic International Corp. 17,850 383,775
Reliastar Financial Corp. 23,500 1,013,438
SunAmerica Inc. 16,900 954,850
Travelers Group Inc. 30,700 1,400,688
UST Inc. 15,500 530,875
------------------
14,362,902
------------------
Real Estate - 1.1%
- ------------------------------------------------
Macerich Company (The) 36,100 758,100
South West Property Trust 29,700 397,238
------------------
1,155,338
------------------
<PAGE>
Value
Security Shares (Note 1A)
- ------------------------------------------------ ---------------- ------------------
Technology - 11.6%
- ------------------------------------------------
Adaptec Inc. * 10,100 $ 478,488
Analog Devices Inc., * 33,450 852,975
Atmel Corp. * 39,200 1,180,900
Cabletron Systems Comm * 20,700 1,420,538
Computer Associates Intl Inc. 18,350 1,307,438
Dell Computer Corp. * 9,500 483,313
Gateway 2000 Inc. * 22,000 748,000
Harris Corp.Inc. 11,300 689,300
Intel Corp. 12,300 903,281
Sci Sys Inc. * 11,500 467,188
Sprint Corp. 26,300 1,104,600
Sun Microsystems Corp. * 17,700 1,042,088
Texas Industries Inc. 9,600 658,800
Varian Associates Inc. 8,900 460,575
------------------
11,797,484
------------------
Utilities - 6.9%
- ------------------------------------------------
Ameritech Corp. 33,800 2,006,875
CMS Energy Corp. 28,500 879,938
DQE Inc. 21,750 598,125
DTE Energy Company 25,300 781,138
FPL Group Inc. 18,000 828,000
Panenergy Corp. 14,500 476,688
Unicom Corp. 49,200 1,371,450
------------------
6,942,214
------------------
Total Equities (Identified Cost $84,082,602) 97,107,664
------------------
Short-Term Investments - 3.3%
- ------------------------------------------------
Par
Repurchase Agreements - 3.2% Value
- ------------------------------------------------ ----------------
Prudential-Bache Repurchase Agreement, dated 6/28/96,
4.77% due 7/1/96, to pay $3,254,288 (Collateralized by
FNMAs with rates ranging from 6.225% to 7.075%
and maturity dates ranging from 5/01/23 to 4/01/24 with
an aggregate market value of $3,318,061. 3,252,995 3,252,995
------------------
<PAGE>
Par Value
Security Rate ** Maturity Value (Note 1A)
- ------------------------------------------------ ------------ ------------ ---------------- ------------------
U.S. Government - 0.1%
- ------------------------------------------------
U.S. Treasury Bill *** 5.%11 9/19/1996 140,000 $ 138,404
------------------
Total Short-Term Investments (Identified Cost $3,391,131) 3,391,399
------------------
Total INVESTMENTS (Identified Cost $87,473,733) - 99.8% 100,499,063
Other Assets less Liabilities - 0.2% 177,897
------------------
Net Assets - 100.0% $ 100,676,960
==================
Notes to the Schedule of Investments:
* Non-income producing security.
** Rate noted is Yield to maturity.
*** Denotes all or part of a security pledged as a margin deposit (Note 5).
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets:
<S> <C> <C>
Investments, at value (Note 1A) (identified cost, $87,473,733) $ 100,499,063
Receivable for daily variation margin on open
financial futures contracts (Note 6) 18,750
Receivable for investments sold 38,114
Interest and dividends receivable 225,427
Deferred organizational costs (Note 1E) 71,418
-----------------
Total assets 100,852,772
Liabilities:
Accrued investment advisory fee (Note 2) $ 77,253
Accrued trustee fees 537
Accrued expenses and other liabilities 98,022
---------------
Total liabilities 175,812
-----------------
Net Assets $ 676,960
=================
Net Assets consist of
Net proceeds from capital contributions and withdrawals $ 87,633,830
Unrealized appreciation (depreciation) of investments 13,043,130
-----------------
Total net assets $ 100,676,960
=================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
Statement of Operations
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Investment Income
Interest Income $ 32,301
Dividend income 434,765
---------------
Total income 467,066
Expenses
Investment advisory fee (Note 2) $ 77,253
Custodian and accounting expenses 18,812
Legal and audit services 8,488
Amortization of organization expense (Note 1E) 2,261
Trustee fees (Note 2) 537
Miscellaneous 3,655
----------------
Total expenses 111,006
---------------
Net investment income (loss) 356,060
---------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Investment security transactions 1,776,675
Financial futures 159,275
----------------
Net realized gain (loss) 1,935,950
Change in unrealized appreciation (depreciation)
Investment securities (644,566)
Financial futures 17,800
----------------
Change in net unrealized appreciation (depreciation) (626,766)
---------------
Net realized and unrealized gain (loss) 1,309,184
---------------
Net increase (decrease) in net assets from operations $ 1,665,244
===============
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Increase (Decrease) in Net Assets
From operations
Net investment income (loss) $ 356,060
Net realized gain (loss) 1,935,950
Change in net unrealized appreciation (depreciation) (626,766)
-----------------
Net increase (decrease) in net assets from operations 1,665,244
-----------------
Capital transactions
Assets contributed by Standish Equity Fund at commencement
(including unrealized gain of $13,669,896) 97,994,616
Contributions 1,734,368
Withdrawals (717,268)
-----------------
Increase in net assets resulting from capital transactions 99,011,716
-----------------
Total increase (decrease) in net assets 100,676,960
Net Assets
At beginning of period ---
-----------------
At end of period $ 100,676,960
=================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
Supplementary Data
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Ratios (to average daily net assets):
Expenses 0.69% *
Net investment income 2.30% *
Portfolio Turnover 77 %
Average Broker Commission Rate $ 0.0456
* Annualized
</TABLE>
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Equity Portfolio Series
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 Equity Portfolio Series (the "Portfolio") is a separate
diversified investment series of the Portfolio Trust. The following is
a summary of significant accounting policies followed by the Portfolio
in the preparation of the financial statements. The preparation of
financial statements in accordance with generally accepted accounting
principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
A. Investment security valuations--
Securities for which quotations are readily available are valued at the
last sale price, or if no sale, at the closing bid price in the
principal market in which such securities are normally traded.
Securities (including restricted securities) for which quotations are
not readily available are valued primarily using dealer-supplied
valuations or at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the
Board of Trustees. Short term instruments with less than sixty-one days
remaining to maturity when acquired by the Portfolio are valued on an
amortized cost basis. If the Portfolio acquires a short term instrument
with more than sixty days remaining to its maturity, it is valued at
current market value until the sixtieth day prior to maturity and will
then be valued at amortized cost based upon the value on such date
unless the trustees determine during such sixty-day period that
amortized cost does not represent fair value.
B. Repurchase agreements--
It is the policy of the Portfolio to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book
Entry System, or to have segregated within the custodian bank's vault,
all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the
Portfolio to monitor on a daily basis, the market value of the
repurchase agreement's underlying investments to ensure the existence
of a proper level of collateral.
C. Securities transaction and income--
Securities transactions are recorded as of the trade date. Interest
income is determined on the basis of interest accrued. Dividend income
is recorded on the ex-dividend date. Realized gains and losses from
securities sold are recorded on the identified cost basis.
D. Income Taxes--
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio
is ultimately responsible for the payment of any taxes. Since some of
the Portfolio`s investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolio, the
Portfolio normally must satisfy the source of income and
diversification requirements applicable to regulated investment
companies (under the Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income,
net realized capital gains, and any other items of income, gain, loss
deduction or credit.
E. Deferred Organizational Expenses--
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized on a straight-line basis
through April, 2001.
<PAGE>
(2).....Investment Advisory Fee:
The investment advisory fee paid to Standish, Ayer & Wood, Inc. (SA&W)
for overall investment advisory and administrative services is paid
monthly at the annual rate of 0.50% of the Portfolio's average daily
net assets. The Portfolio pays no compensation directly to its trustees
who are affiliated with the investment adviser or to its officers, all
of whom receive remuneration for their services to the Portfolio from
the investment adviser. 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 purchased
option transactions and short-term obligations, were as follows:
Purchases Sales
---------------------- ----------------------
Investments $95,547,365 $74,678,727
====================== ======================
(4).....Federal Income Tax Basis of Investment Securities:
The cost and unrealized appreciation in value of the investment
securities owned at June 30, 1996, as computed on a federal income tax
basis, were as follows:
Aggregate cost $87,473,733
=====================
Gross unrealized appreciation $14,039,419
Gross unrealized depreciation (1,014,089)
---------------------
Net unrealized appreciation (depreciation) $13,025,330
=====================
(5).....Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to enhance
potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these investments are set forth more
fully in the Portfolio's Prospectus and Statement of Additional
Information. 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 uses options to hedge against risks of
market exposure and changes in securities prices and foreign
currencies, as well as to enhance returns. Options, both held and
written by the Portfolio, are reflected in the accompanying Statement
of Assets and Liabilities at market value. 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. 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. The portfolio entered into no such
transactions during the period May 3, 1996 through June 30, 1996.
<PAGE>
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. The Portfolio is required to
deposit either in cash or securities an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations
in the value of the underlying security, and are recorded for financial
statement purposes as unrealized gains or losses by the Portfolio.
There are several risks in connection with the use of futures contracts
as a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments or index,
which may not correlate with changes in value of the hedged
investments. 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. The Portfolio enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in securities prices and foreign currencies. At June 30, 1996,
the Portfolio had entered into the following financial futures
contracts:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount at Value Gain/(Loss)
- ----------------------------------- ------------ ---------------- ------------------------- ----------------------------
<S> <C> <C> <C>
S+P 500 (IO Contracts) Long 09/20/96 $3,384,000 $17,800
========================= ============================
</TABLE>
At June 30, 1996, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Financial Statements
For the Six Months Ended June 30, 1996
(Unaudited)
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Assets:
<S> <C> <C>
Investment in Standish Small Capitalization Equity Portfolio, $ 234,153,798
(Portfolio) at value (Note 1A)
Receivable for Fund shares sold 5,000
Other assets 5,781
-----------------
Total assets 234,164,579
Liabilities
Distribution payable $ 428,156
Payable for Fund shares redeemed 190,000
Accrued investment advisory fee (Note 3) 116,704
Accrued expenses and other liabilities 14,192
----------------
Total liabilities 749,052
-----------------
Net Assets $ 233,415,527
=================
Net Assets consist of:
Paid-in capital $ 165,482,036
Undistributed net investment income (loss) (448,846)
Accumulated net realized gain (loss) 27,298,926
Net unrealized appreciation (depreciation) 41,083,411
-----------------
Total $ 233,415,527
=================
Shares of beneficial interest outstanding 3,823,952
=================
Net asset value, offering price and redemption price per share $ 61.04
=================
(Net assets/Shares outstanding)
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Statement of Operations
For the Six Months Ended June 30, 1996
(Unaudited)
Investment Income (Note 1B):
Interest income $ 108,348
Dividend income (net withholding tax of $1,008) 89,921
Interest income allocated from Portfolio 55,822
Dividend income allocated from Portfolio 54,429
Expenses allocated from Portfolio (268,112)
----------------
Total income 40,408
Expenses
Investment advisory fee (Note 3) $ 396,796
Accounting, custody and transfer agent fees 63,479
Trustee fees 4,308
Legal and audit services 19,414
Registration fees 2,435
Miscellaneous 2,822
----------------
Total expenses 489,254
----------------
Net investment income (loss) (448,846)
----------------
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments from:
Investment security transactions 15,760,827
Financial futures 87,425
Net realized gain (loss) from Portfolio on:
Investment security transactions 11,392,665
Financial futures 145,150
----------------
Net realized gain (loss) 27,386,067
Change in unrealized appreciation (depreciation) of investments:
Investments securities 20,543,632
Financial futures 82,425
From Portfolio (14,275,617)
----------------
Net change in unrealized appreciation (depreciation) 6,350,440
----------------
Net realized and unrealized gain (loss) on investments 33,736,507
----------------
Net increase (decrease) in net assets resulting from operations $ 33,287,661
================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Statements of Changes in Net Assets
Six Months Ended
June 30, 1996 Year Ended
(Unaudited) December 31, 1995
------------------- -------------------
Increase (Decrease) in Net Assets:
From operations
Net investment loss $ (448,846) $ (436,289)
Net realized gain (loss) 27,386,067 12,833,607
Change in net unrealized appreciation (depreciation) 6,350,440 27,572,436
------------------- -------------------
Net increase (decrease) in net assets from operations 33,287,661 39,969,754
------------------- -------------------
Distributions to shareholders
From net realized capital gains (6,669,173) (4,170,634)
------------------- -------------------
Total distributions to shareholders (6,669,173) (4,170,634)
------------------- -------------------
Fund share transactions, (Note 6)
Net proceeds from sale of shares 38,231,179 56,591,350
Net asset value of shares issued to shareholders
in payment of distributions declared 6,239,994 3,924,054
Cost of shares redeemed (18,144,100) (23,435,868)
------------------- -------------------
Increase (decrease) in net assets from Fund share transactions 26,327,073 37,079,536
------------------- -------------------
Net increase (decrease) in net assets 52,945,561 72,878,656
Net Assets:
At beginning of period 180,469,966 107,591,310
------------------- -------------------
At end of period (including net investment loss of $448,846
for the six months ended June 30, 1996) $ 233,415,527 $ 180,469,966
=================== ===================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Financial Highlights
Six Months Ended
June 30, 1996 Year End December 31,
---------------------------------------------------
(Unaudited) 1995 1994 1993
--------------- ------------ ------------ ------------
Net asset value - Beginning of period $ 53.46 $ 42.15$ 48.97$ 39.83$
--------------- ------------ ------------ ------------
Income from investment operations:
Net investment income (loss) (0.12) - - (0.07)
Net realized and unrealized gain
(loss) on investments 9.48 12.57 (1.84) 11.31
--------------- ------------ ------------ ------------
Total from investment operations 9.36 12.57 (1.84) 11.24
--------------- ------------ ------------ ------------
Less distributions to shareholders:
From net realized capital gains (1.78) (1.26) (4.98) (2.10)
From paid-in capital --- --- --- ---
--------------- ------------ ------------ ------------
Total distributions declared to shareholders ($1.78) ($1.26) ($4.98) ($2.10)
--------------- ------------ ------------ ------------
Net asset value - end of period $ 61.04 $ 53.46$ 42.15$ 48.97$
=============== ============ ============ ============
Total Return 17.55% 29.83% (3.66%) 28.21%
Ratios (to average net assets)/Supplemental Data:
Expenses (1) 0.+4% 0.75% 0.79% 0.88%
Net investment income (loss) (0.+4%) (0.30%) (0.27%) (0.18%)
Portfolio turnover (2) 28% 112% 130% 144%
Average broker commission rate (2) $ 0.0475 --- --- ---
Net assets, end of period (000 omitted) $ 233,416 $ 180,470 $ 107,591 $ 85,141 $
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
Financial Highlights
(Continued)
1992* 1991*
---------- -----------
Net asset value - Beginning of period 39.99$ 27.57
---------- -----------
Income from investment operations:
Net investment income (loss) (0.11) (0.04)
Net realized and unrealized gain
(loss) on investments 4.00 17.87
---------- -----------
Total from investment operations 3.89 17.83
---------- -----------
Less distributions to shareholders:
From net realized capital gains (4.05) (5.35)
From paid-in capital --- (0.06)
---------- -----------
Total distributions declared to shareholders ($4.05) ($5.41)
---------- -----------
Net asset value - end of period 39.83$ 39.99
========== ===========
Total Return 9.74% 64.71%
Ratios (to average net assets)/Supplemental Data:
Expenses (1) 1.04% 0.87%
Net investment income (loss) (0.38%) (0.15%)
Portfolio turnover (2) 101% 96%
Average broker commission rate (2) --- ---
Net assets, end of period (000 omitted) 50,950 $ 35,418
* Audited by other auditors.
+ Annualized.
(1) Includes the Fund's share of Portfolio allocated expenses for the period from May 3, 1996 through June 30, 1996.
(2) Portfolio turnover and average broker commission rate represents activity while the Fund was making investments
directly in securities. The portfolio turnover and average broker commission rate 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.
</TABLE>
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Small Capitalization Equity Fund Series
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 Small Capitalization Equity Fund (the "Fund") is a
separate diversified investment series of the Trust. On May 3, 1996,
the Fund contributed substantially all of its investable assets to the
Standish Small Capitalization Equity Portfolio (the "Portfolio"), a
subtrust of Standish, Ayer & Wood Master Portfolio (the "Portfolio
Trust"), which is organized as a New York trust, in exchange for an
interest in the Portfolio. The Fund invests all of its investable
assets in the interests in the Portfolio, which 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, 1996). The performance
of the Fund is directly affected by the performance of the Portfolio.
The financial statements of the Portfolio are included elsewhere in
this report and should be read in conjunction with the Fund's financial
statements. The following is a summary of significant accounting
policies followed by the Fund in the preparation of the financial
statements. The preparation of financial statements in accordance with
generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and
disclosures in the financial statements. Actual results could differ
from those estimates.
A...Investment security valuations--
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B...Securities transactions and income--
Securities transactions are recorded as of the trade date. Currently,
the Fund's net investment income consists of the Fund's pro rata share
of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles. Prior to the Fund's investment in the
Portfolio, the Fund held its investments directly. For investments held
directly, interest income was determined on the basis of interest
accrued, dividend income was recorded on the ex-dividend date and
realized gains and losses from securities sold were recorded on the
identified cost basis.
C...Federal taxes-
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal
year.
(2).....Distributions to Shareholders:
The Fund's dividends from short-term and long-term capital gains, if
any, after reduction of capital losses will be declared and distributed
at least annually, as will dividends from net investment income. In
determining the amounts of its dividends, the Fund will take into
account its share of the income, gains or losses, expenses, and any
other tax items of the Portfolio. Dividends from net investment income
and capital gains distributions, if any, are automatically invested in
additional shares of the Fund unless the 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 futures and options transactions. Permanent
book and tax basis differences relating to shareholder distributions
will result in reclassifications to paid-in capital.
<PAGE>
(3).....Investment Advisory Fee:
Prior to May 3, 1996 (when the Fund transferred substantially all of
its assets to the Portfolio in exchange for an interest in the
Portfolio), the Fund retained Standish, Ayer & Wood, Inc. (SA&W) as its
investment adviser. The investment advisory fee paid to SA&W for
overall investment advisory and administrative services, and general
office facilities, was paid quarterly at the annual rate of 0.60% of
the Fund's average daily net assets. Currently, the Fund pays no
compensation directly to SA&W for such services now performed for the
Portfolio, but indirectly bears its pro rata share of the compensation
paid by the Portfolio to SA&W for such services. See Note 2 of the
Portfolio's Notes to Financial Statements which are included elsewhere
in this report. The Fund pays no compensation directly to its trustees
who are affiliated with the investment adviser or to its officers, all
of whom receive remuneration for their services to the Fund from the
investment adviser. Certain of the trustees and officers of the Trust
are directors or officers of SA&W.
(4).....Purchases and Sales of Investments:
Purchases and proceeds from sales of investments from January 1, 1996
through May 3, 1996, other than short-term obligations, were as
follows:
Purchases Sales
------------------ -------------------
Investments $83,846,246 $54,111,851
================== ===================
(5).....Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the period from May 3, 1996 to June 30, 1996 aggregated $ 14,054,497
and $ 10,113,061, respectively.
(6).....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, 1996 Year Ended
(Unaudited) December 31, 1995
------------------ ---------------------------
<S> <C> <C>
Shares sold 652,148 1,215,183
Shares issued to shareholders in payment of distributions declared 102,228 73,432
Shares redeemed (306,233) (465,355)
------------------ ------------------
Net increase (decrease) 448,143 823,260
================== ==================
</TABLE>
<PAGE>
(7).....Special Meeting of Fund Shareholders:
On March 7, 1996, a special meeting of Fund shareholders was held at
which shareholders: (1) adopted a new investment policy that authorized
the Fund to invest all of its investable assets in the Portfolio and
amended certain investment restrictions that would permit such
investment; (2) authorized the Portfolio to vote as a holder of an
interest in the Portfolio (a) to elect trustees of Standish, Ayer &
Wood Master Portfolio, (b) to ratify the selection of accountants of
the Portfolio and (c) to approve the investment advisory agreement
between the Portfolio and SA&W; and (3) eliminated the Fund's
fundamental investment restriction regarding investment in investment
companies. The shareholder vote approving each of these proposals was
as follows:
<TABLE>
<CAPTION>
<S> <C> <C>
Proposal 1
FOR: 1,826,696.00 (54.193% of the shares represented and outstanding)
AGAINST: 1,991.64 (0.059% of the shares represented and outstanding)
ABSTAIN: 28,115.70 (0.834% of the shares represented and outstanding)
Proposal 2
FOR: 1,828,826.79 (54.257% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 27,976.55 (0.830% of the shares represented and outstanding)
Proposal 2 (b)
FOR: 1,828,790.55 (54.255% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 28,012.78 (0.831% of the shares represented and outstanding)
Proposal 2 (c)
FOR: 1,828,826.79 (54.257% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 27,976.55 (0.830% of the shares represented and outstanding)
Proposal 3
FOR: 1,803,811.14 (53.514% of the shares represented and outstanding)
AGAINST: 3,708.13 (0.110% of the shares represented and outstanding)
ABSTAIN: 49,284.07 (1.462% of the shares represented and outstanding)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
Portfolio of Investments
June 30, 1996
(Unaudited)
Value
Security Shares (Note 1A)
- -------------------------------------------------------------------------------- -------------- -----------------
Equities - 97.0%
- --------------------------------------------------------------------------------
Basic Industry - 5.1%
- --------------------------------------------------------------------------------
<S> <C> <C>
Greenfield Industries Inc. 64,100 $ 2,115,300
Hughes Supply Inc. 49,100 1,706,225
Intertape Polymer 109,400 2,215,350
Lydall Inc. * 47,100 1,036,200
NN Ball & Roller Inc. 127,650 2,648,738
Om Group Inc. 53,800 2,111,650
-----------------
11,833,463
-----------------
Capital Goods - 0.8%
- --------------------------------------------------------------------------------
Ultrak Inc. * 108,100 1,851,213
-----------------
Consumer Cyclical - 4.7%
- --------------------------------------------------------------------------------
Custom Chrome Inc. * 117,100 3,147,063
Gadzooks Inc. * 46,650 1,504,463
ITI Technologies Inc. * 89,500 2,953,500
Moovies Inc. * 172,100 1,355,288
Quiksilver Inc. * 68,100 2,043,000
-----------------
11,003,314
-----------------
Consumer Stable - 4.7%
- --------------------------------------------------------------------------------
Atlantic Coast Airlines Inc. * 183,800 2,400,888
Midwest Express Holdings * 58,500 1,879,313
Performance Food Group Co. * 136,600 3,551,590
Robert Mondavi Corp. Cl A * 98,500 3,102,750
-----------------
10,934,541
-----------------
Financial - 3.9%
- --------------------------------------------------------------------------------
American Travellers Corp. * 158,650 3,648,950
Olympic Financial Inc. * 161,800 3,721,400
Texas Regional Bancshares Cl A 70,600 1,765,000
-----------------
9,135,350
-----------------
Health Care - 30.1%
- --------------------------------------------------------------------------------
Agouron Pharmaceuticals Inc. * 46,700 1,821,300
Arbor Health Care Company * 104,100 2,836,725
Arris Pharmaceutical Corp. * 112,300 1,319,525
Ballard Medical Products 119,600 2,287,350
Cardiometrics Inc. * 109,200 709,800
Chirex Inc. * 162,000 1,863,000
Conmed Corp. * 97,200 2,587,950
Corvel Corp. * 91,500 3,271,125
Emcare Holdings Inc. * 66,800 1,987,300
FPA Medical Management * 142,300 2,214,544
Fuisz Technologies Ltd. * 123,100 2,338,900
<PAGE>
Value
Security Shares (Note 1A)
- -------------------------------------------------------------------------------- -------------- -----------------
Health Care - (continued)
- --------------------------------------------------------------------------------
Gynecare Inc. * 146,100 $ 1,150,538
Healthplan Services Corp. * 103,800 2,387,400
Horizon Mental Health Management * 103,800 2,958,300
Impath Inc. * 136,600 2,458,800
Innotech Inc. * 131,300 1,468,919
Inphynet Medical Management * 145,500 2,728,125
Martek Biosciences * 78,000 2,281,500
Matrix Pharmaceuticals Inc. * 94,100 1,693,800
Medarex Inc. * 150,900 1,226,063
Medcath Inc. * 89,900 1,078,800
Medquist Inc. * 84,800 1,537,000
Myriad Genetics Inc. * 45,700 1,142,500
National Surgery Centers Inc. * 91,350 2,420,775
Occusystems Inc. * 73,200 2,735,850
Optical Sensors Inc. * 171,900 1,783,463
Orthofix International N.V. * 133,700 1,470,700
Ostx International Inc. * 126,700 1,330,350
Possis Medical, Inc. * 125,900 2,093,088
Protocol Systems Inc. * 120,100 2,762,300
Rochester Medical Corp. * 87,000 1,609,500
Rural/Metro Corp. * 80,000 2,740,000
United Dental Care Inc. * 72,400 3,058,900
Vertex Pharmaceuticals Inc. * 99,500 3,022,313
-----------------
70,376,503
-----------------
Services - 23.0%
- --------------------------------------------------------------------------------
AFGL International Inc. * 111,900 489,563
Air Express International Corp. 90,100 2,545,325
Alternative Resources Corp * 50,100 1,841,175
Analysts International Corp. 71,500 3,003,000
Anchor Gaming * 1,100 66,275
Bet Holdings Inc. Cl A * 95,300 2,513,538
Central Parking Corp. 119,700 3,546,113
Coach Usa Inc. * 115,500 2,569,875
Computer Task Group Inc. 79,600 2,248,700
Continental Waste Industries Inc. * 157,200 3,458,400
Data Processing Resources Corp. * 61,500 1,698,938
Emmis Broadcasting Corp. Cl A * 62,700 3,135,000
May & Speh Inc. * 184,500 2,905,875
Norrell Corp. 62,700 3,080,138
Oacis Healthcare Holdings * 145,400 1,672,100
On Assignment Inc. * 70,200 2,614,950
Patterson Dental Company * 64,450 2,336,313
Personnel Group of America Inc. * 126,200 3,107,675
Prepaid Legal Services Inc. * 100,500 1,859,250
<PAGE>
Value
Security Shares (Note 1A)
- -------------------------------------------------------------------------------- -------------- -----------------
Services - continued
- --------------------------------------------------------------------------------
Right Management Consultants * 75,050 $ 2,739,325
Scandinavian Broadcast Systems * 109,300 2,677,850
Scientific Games Hldgs Corp. * 98,000 2,842,000
Techforce Corp. * 165,400 992,400
-----------------
53,943,778
-----------------
Technology - 24.7%
- --------------------------------------------------------------------------------
Advanced Technology Material * 123,000 1,660,500
Applix, Inc. * 86,600 2,489,750
Astea International Inc * 57,000 1,382,250
B I Inc. * 114,700 1,519,775
Black Box Corp. * 123,100 2,923,625
Brooks Automation Inc. * 91,100 1,047,650
Cidco Inc. * 86,600 3,052,650
Computational Systems Inc. * 120,600 2,607,975
Datastream Systems Inc. * 88,600 3,123,150
Elcom International Inc. * 213,000 2,715,750
Etec Systems Inc. * 69,200 1,539,700
Harbinger Corp * 58,000 1,609,500
Industry Group Inc. * 110,100 2,229,525
Inter Tel Inc. * 97,900 2,563,756
Lecroy Corp. * 72,800 1,456,000
Mdl Information Systems Inc. * 125,000 3,718,750
Meridian Data Inc. * 131,900 1,170,613
Nera As - Telecom ADR 68,100 2,153,663
P-Com Inc. * 72,600 2,286,900
Perceptron Inc. * 100,800 3,679,200
Periphonics Corp. * 62,000 2,108,000
Photronics Inc. * 72,500 1,903,125
Sanmina Corp. * 21,100 569,700
Telxon Corp. 96,800 1,137,400
TSX Corp. * 111,400 3,091,350
Ultradata Corp. * 219,600 1,701,900
Videoserver Inc. * 70,300 2,741,700
-----------------
58,183,857
-----------------
Total Equities (Identified Cost $186,146,966) 227,262,019
-----------------
<PAGE>
Par Value
Security Rate ** Maturity Value (Note 1A)
- -------------------------------------------------------------- ------------- ------------- -------------- ---------------
Short-Term Obligations - 2.8%
- ----------------------------------------------------------------
Repurchase Agreements - 2.7%
- ----------------------------------------------------------------
Prudential-Bache Repurchase Agreement, dated 6/28/96,
4.77% due 7/1/96, to pay $6,344,277 (Collateralized by
FNMA's and FHLMC's with rates ranging from 6.00%
to 8.00% and maturity dates ranging from 6/01/11 to
7/01/26 with an aggregate market value of $6,468,604. 6,341,757 6,341,757
------------
U.S. Government - 0.1%
- ----------------------------------------------------------------
U.S. Treasury Bill *** 5.%11 9/19/1996 190,000 187,834
------------
Total Short-Term Obligations (Identified Cost $6,529,189) 6,529,591
------------
Total Investments (Identified Cost $192,676,155) - 99.8% 233,791,610
Other assets less liabilities - 0.2% 362,287
------------
Net Assets - 100.0% $234,153,897
============
Notes to the Schedule of Investments:
* Non-income producing security.
** Rate noted is Yield to maturity.
*** Denotes all or part of a security pledged as a margin deposit (Note 5).
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets:
<S> <C> <C>
Investments, at value (Note 1A) (identified cost, $192,676,155) $ 233,791,610
Cash 60
Receivable for daily variation margin on open
financial futures contracts (Note 5) 60,525
Receivable for investments sold 2,387,677
Interest and dividends receivable 11,699
Deferred organization costs (Note 1E) 71,418
-----------------
Total assets 236,322,989
Liabilities:
Payable for investments purchased $ 1,840,596
Accrued investment advisory fee (Note 2) 223,806
Accrued trustee fees 1,491
Accrued expenses and other liabilities 103,199
----------------
Total liabilities 2,169,092
-----------------
Net Assets $ 234,153,897
=================
Net Assets consist of
Net proceeds from capital contributions and withdrawals $ 193,070,492
Unrealized appreciation (depreciation) of investments 41,083,405
-----------------
Total net assets $ 234,153,897
=================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
Statement of Operations
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Investment Income
Interest Income $ 55,822
Dividend income (net of withholding tax of $3,344) 54,429
-----------------
Total income 110,251
Expenses
Investment advisory fee (Note 2) $ 223,806
Custodian and accounting expenses 29,504
Legal and audit services 6,432
Registration costs 2,261
Insurance expense 1,491
Miscellaneous 4,618
----------------
Total expenses 268,112
-----------------
Net investment income (loss) (157,861)
-----------------
Realized and Unrealized Gain (Loss):
Net realized gain (loss)
Investment security transactions 11,392,665
Financial futures 145,150
----------------
Net realized gain (loss) 11,537,815
Change in unrealized appreciation (depreciation)
Investment securities (14,133,192)
Financial futures (142,425)
----------------
Change in net unrealized appreciation (depreciation) (14,275,617)
-----------------
Net realized and unrealized gain (loss) (2,737,802)
-----------------
Net increase (decrease) in net assets from operations $ (2,895,663)
=================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Increase (Decrease) in Net Assets
From operations
Net investment income (loss) $ (157,861)
Net realized Gain (loss) 11,537,815
Change in net unrealized appreciation (depreciation) (14,275,617)
-----------------
Net increase (decrease) in net assets from operations (2,895,663)
-----------------
Capital transactions
Assets contributed by Standish Small Capitalization Equity Fund at
commencement (including unrealized appreciation of $55,359,023) 233,108,124
Contributions 14,054,497
Withdrawals (10,113,061)
-----------------
Increase in net assets resulting from capital transactions 237,049,560
-----------------
Total increase (decrease) in net assets 234,153,897
Net Assets:
At beginning of period ---
-----------------
At end of period $ 234,153,897
=================
</TABLE>
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
Supplementary Data
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Ratios (to average daily net assets):
Expenses 0.*2%
Net investment income (loss) (0.*2%)
Portfolio Turnover 21%
Average Broker Commission Rate $0.0502
* Annualized
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Small Capitalization Equity Portfolio Series
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 Small Capitalization Equity Portfolio (the "Portfolio") is a
separate diversified investment series of the Portfolio Trust. The
following is a summary of significant accounting policies followed by
the Portfolio in the preparation of the financial statements. The
preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A...Investment security valuations--
Securities for which quotations are readily available are valued at the
last sale price, or if no sale, at the closing bid price in the
principal market in which such securities are normally traded.
Securities (including restricted securities) for which quotations are
not readily available are valued primarily using dealer-supplied
valuations or at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the
Board of Trustees. Short term instruments with less than sixty-one days
remaining to maturity when acquired by the Portfolio are valued on an
amortized cost basis. If the Portfolio acquires a short term instrument
with more than sixty days remaining to its maturity, it is valued at
current market value until the sixtieth day prior to maturity and will
then be valued at amortized cost based upon the value on such date
unless the trustees determine during such sixty-day period that
amortized cost does not represent fair value.
B...Repurchase agreements--
It is the policy of the Portfolio to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book
Entry System, or to have segregated within the custodian bank's vault,
all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the
Portfolio to monitor on a daily basis, the market value of the
repurchase agreement's underlying investments to ensure the existence
of a proper level of collateral.
C...Securities transactions and income--
Securities transactions are recorded as of the trade date. Interest
income is determined on the basis of interest accrued. Dividend income
is recorded on the ex-dividend date. Realized gains and losses from
securities sold are recorded on the identified cost basis.
D...Income Taxes--
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio
is ultimately responsible for the payment of any taxes. Since some of
the Portfolio`s investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolio, the
Portfolio normally must satisfy the source of income and
diversification requirements applicable to regulated investment
companies (under the Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income,
net realized capital gains, and any other items of income, gain, loss
deduction or credit.
E...Deferred Organizational Expenses--
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized, on a straight-line basis
through April 2001.
<PAGE>
(2).....Investment Advisory Fee:
The investment advisory fee paid to Standish, Ayer & Wood, Inc. (SA&W)
for overall investment advisory and administrative services is paid
monthly at the annual rate of 0.60% of the Portfolio's average daily
net assets. The Portfolio pays no compensation directly to its trustees
who are affiliated with the investment adviser or to its officers, all
of whom receive remuneration for their services to the Portfolio from
the investment adviser. 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, were as follows:
Purchases Sales
------------------ -------------------
Investments $49,839,272 $57,901,868
================== ===================
(4).....Federal Income Tax Basis of Investment Securities:
The cost and unrealized appreciation in value of the investment
securities owned at June 30, 1996, as computed on a federal income tax
basis, were as follows:
Aggregate cost $192,676,155
==================
Gross unrealized appreciation $51,629,861
Gross unrealized depreciation (10,546,456)
------------------
Net unrealized appreciation (depreciation) $41,083,405
==================
(5).....Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to enhance
potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these investments are set forth more
fully in the Portfolio's Prospectus and Statement of Additional
Information. 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 uses options to hedge against risks of
market exposure and changes in securities prices and foreign
currencies, as well as to enhance returns. Options, both held and
written by the Portfolio, are reflected in the accompanying Statement
of Assets and Liabilities at market value. 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. 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. The Portfolio entered into no such
transactions during the period May 3, 1996 through June 30, 1996.
<PAGE>
.........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. The Portfolio is required to
deposit 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 value of the hedged
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. The Portfolio enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in securities prices and foreign currencies. At June 30, 1996,
the Portfolio held the following futures contract:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount at Value Gain/(Loss)
- --------------------------------------- ------------------- ------------------- ---------------------------------------
<S> <C> <C>
Midcap Sept Futures (48 Contracts) Long 09/20/96 $5,685,600 ($32,050)
================== ==================
</TABLE>
At June 30, 1996, the Portfolio had segregated sufficient securities to cover
margin requirements on open future contracts.
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Financial Statements
For the Six Months Ended June 30, 1996
(Unaudited)
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets:
<S> <C> <C>
Investment in Standish Fixed Income Portfolio, (Portfolio) at value (Note 1A) $ 2,365,565,370
Receivable for Fund shares sold 12,411,687
Other assets 70,146
-------------------
Total assets 2,378,047,203
Liabilities
Distribution payable $ 9,053,443
Payable for Fund shares redeemed 435,441
Accrued expenses and other liabilities 43,423
---------------
Total liabilities 9,532,307
-------------------
Net Assets $ 2,368,514,896
===================
Net Assets consist of:
Paid-in capital $ 2,376,748,980
Undistributed net investment income (loss) 16,884,353
Accumulated net realized gain (loss) (4,354,658)
Net unrealized appreciation (depreciation) (20,763,779)
-------------------
Total $ 2,368,514,896
===================
Shares of beneficial interest outstanding 117,489,432
===================
Net asset value, offering price and redemption price per share $ 20.16
===================
(Net assets/Shares outstanding)
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Statement of Operations
For the Six Months Ended June 30, 1996
(Unaudited)
Investment Income (Note 1B):
Interest income $57,577,071
Dividend income (net of withholding tax of $8,394) 669,192
Interest income allocated from Portfolio 26,243,204
Dividend income allocated from Portfolio (net of withholding tax of $2,997) 1,035,928
Expenses allocated from Portfolio (1,337,759)
------------------
Total income 84,187,636
Expenses
Investment Advisory Fee (Note 3) $2,493,743
Trustees fees 46,174
Accounting, custody, and transfer agent fees 203,803
Legal and audit services 140,068
Insurance expense 15,048
Miscellaneous 16,156
------------------
Total expenses 2,914,992
------------------
Net investment income (loss) 81,272,644
------------------
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments from:
Investment security transactions 13,818,376
Financial futures (77,350)
Written option transactions 1,799,333
Foreign currency and forward foreign currency contracts 3,872,910
Net realized gain (loss) from Portfolio on:
Investment security transactions (9,180,083)
Financial futures 1,450,613
Written option transactions 47,795
Foreign currency and forward foreign currency contracts (369,316)
------------------
Net realized gain (loss) 11,362,278
Change in unrealized appreciation (depreciation) of investments:
Investment securities (145,526,933)
Financial futures 14,559
Written option transactions 560,849
Foreign currency and forward foreign currency contracts 648,048
From Portfolio 34,413,549
------------------
Net unrealized appreciation (depreciation) (109,889,928)
------------------
Net realized and unrealized gain (loss) on investments (98,527,649)
------------------
Net increase (decrease) in net assets resulting from operations $ (17,255,006)
==================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Statements of Changes in Net Assets
Six Months Ended
June 30, 1996 Year Ended
(Unaudited) December 31, 1995
----------------------- ------------------------
Increase (Decrease) in Net Assets:
From operations
Net investment income $ 81,272,644 $ 145,836,911
Net realized gain (loss) 11,362,278 23,525,323
Change in net unrealized appreciation (depreciation) (109,889,928) 166,624,878
----------------------- ------------------------
Net increase (decrease) in net assets from operations (17,255,006) 335,987,112
----------------------- ------------------------
Distributions to shareholders from net investment income (68,187,264) (142,241,343)
----------------------- ------------------------
Fund share transactions, (Note 6)
Net proceeds from sale of shares 211,961,563 569,023,301
Net asset value of shares issued to shareholders
in payment of distributions declared 49,648,397 100,609,209
Cost of shares redeemed (74,759,681) (239,204,674)
----------------------- ------------------------
Increase (decrease) in net assets from Fund share transactions 186,850,279 430,427,836
----------------------- ------------------------
Net increase (decrease) in net assets 101,408,009 624,173,605
Net Assets:
At beginning of period 2,267,106,887 1,642,933,282
----------------------- ------------------------
At end of period (including undistributed net investment income
of 16,884,353 and 3,798,973 at June 30, 1996 and
December 31, 1995, respectively) 2,368,514,896 2,267,106,887
======================= ========================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Financial Highlights
Six Months Ended
June 30, 1996 Year Ended December 31,
-----------------------------------------------
(Unaudited) 1995 1994
--------------------- ---------------- ----------------
Net asset value - Beginning of period 20.92 $ 18.91 $ 21.25 $
--------------------- ---------------- ----------------
Income from investment operations:
Net investment income 0.71 1.35 1.25
Net realized and unrealized gain
(loss) on investments (0.87) 2.08 (2.29)
--------------------- ---------------- ----------------
Total from investment operations (0.16) 3.43 (1.04)
--------------------- ---------------- ----------------
Less distributions to shareholders:
From net investment income (0.60) (1.42) (1.10)
In excess of net investment income --- --- ---
From net realized capital gains --- --- (0.04)
From paid-in capital --- --- (0.16)
--------------------- ---------------- ----------------
Total distributions declared to shareholders (0.60) (1.42) (1.30)
--------------------- ---------------- ----------------
Net asset value - end of period 20.16 $ 20.92 $ 18.91 $
===================== ================ ================
Total Return (0.75%) 18.54% (4.86%)
Ratios (to average net assets)/Supplemental Data:
Expenses 0.38% 0.38% 0.38%
Net investment income 7.17% 7.80% 7.25%
Portfolio turnover 49% 132% 122%
Net assets, end of period (000 omitted) 2,368,515 $ 2,267,107 $ 1,642,933 $
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
Financial Highlights
(Continued)
Year Ended December 31,
---------------------------------------------------
1993 1992* 1991*
--------------- ------------- --------------
Net asset value - Beginning of period 20.55 $ 20.96$ 19.56
--------------- ------------- --------------
Income from investment operations:
Net investment income 1.50 1.59 1.68
Net realized and unrealized gain
(loss) on investments 1.45 (0.18) 1.66
--------------- ------------- --------------
Total from investment operations 2.95 1.41 3.34
--------------- ------------- --------------
Less distributions to shareholders:
From net investment income (1.51) (1.52) (1.49)
In excess of net investment income (0.04) --- ---
From net realized capital gains (0.70) (0.30) (0.45)
From paid-in capital --- --- ---
--------------- ------------- --------------
Total distributions declared to shareholders (2.25) (1.82) (1.94)
--------------- ------------- --------------
Net asset value - end of period 21.25 $ 20.55$ 20.96
=============== ============= ==============
Total Return 14.64% 6.88% 17.65%
Ratios (to average net assets)/Supplemental Data:
Expenses 0.40% 0.41% 0.46%
Net investment income 7.07% 7.61% 8.28%
Portfolio turnover 150% 217% 176%
Net assets, end of period (000 omitted) 1,307,099 $ 919,909 $ 631,457
+ Annualized
* Audited by other auditors
(1) Includes the Fund's share of Standish Fixed Income Portfolio's allocated expenses for the
period from May 3, 1996 to June 30, 1996.
(2) Portfolio turnover represents the rate of portfolio activity for the period while the Fund was making
investments directly in securities. The portfolio turnover rate for the period since the Fund transferred
substantially all of its investable assets to the Portfolio is shown in the Portfolio's financial statements
which are included elsewhere in this report.
</TABLE>
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund Series
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.
On May 3, 1996, the Fund contributed substantially all of its
investable assets to 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, in exchange
for an interest in the Portfolio. The Fund invests all of its
investable assets in the interests in the Portfolio, which 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, 1996). The
performance of the Fund is directly affected by the performance of the
Portfolio. The financial statements of the Portfolio are included
elsewhere in this report and should be read in conjunction with the
Fund's financial statements. The following is a summary of significant
accounting policies followed by the Fund in the preparation of the
financial statements. The preparation of financial statements in
accordance with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
A...Investment security valuations--
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B...Securities transactions and income--
Securities transactions are recorded as of the trade date. Currently,
the Fund's net investment income consists of the Fund's pro rata share
of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles. Prior to the Fund's investment in the
Portfolio, the Fund held its investments directly. For investments held
directly interest income was determined on the basis of interest
accrued, dividend income was recorded on the ex-dividend date and
realized gains and losses from securities sold were recorded on the
identified cost basis. The Fund does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates
on investments from the fluctuations arising from changes in market
prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss from investments.
C...Federal taxes-
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal
year. At December 31,1995, the Fund, for federal income tax purposes,
had capital loss carryovers which will reduce the Fund's taxable income
arising from future net realized gain on investments, if any, to the
extent permitted by the Internal Revenue Code and thus will reduce the
amount of distributions of shareholders which would otherwise be
necessary to relieve the Fund of any liability for federal income tax.
Such capital loss carryovers are $14,954,615 which expire on December
31, 2002.
(2).....Distributions to Shareholders
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction by capital losses will be declared and
distributed at least annually. In determining the amounts of its
dividends, the Fund will take into account its share of the income,
gains or losses, expenses, and any other tax items of the Portfolio.
Dividends from net investment income and capital gains distributions,
if any, are automatically invested in additional shares of the Fund
unless the shareholder elects to receive them in cash. Income and
capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments
for mortgage backed securities and foreign currency transactions.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid-in capital.
<PAGE>
(3).....Investment Advisory Fee:
Prior to May 3, 1996 (when the Fund transferred substantially all of
its assets to the Portfolio in exchange for an interest in the
Portfolio), the Fund retained Standish, Ayer & Wood, Inc. (SA&W) as its
investment adviser. The investment advisory fee paid to SA&W for
overall investment advisory and administrative services, and general
office facilities, was paid monthly at the annual rate of 0.40% of the
Fund'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. Currently, the Fund pays no
compensation directly to SA&W for such services now performed for the
Portfolio, but indirectly bears its pro rata share of the compensation
paid by the Portfolio to SA&W for such services. See Note 2 of the
Portfolio's Notes to Financial Statements which are included elsewhere
in this report. The Fund pays no compensation directly to its trustees
who are affiliated with the investment adviser or to its officers, all
of whom receive remuneration for their services to the Fund from the
investment adviser. Certain of the trustees and officers of the Trust
are directors or officers of SA&W.
(4).....Purchases and Sales of Investments:
Purchases and proceeds from sales of investments from January 1, 1996
through May 3, 1996, other than short-term obligations, were as
follows: A summary of written option transactions, as more fully
described in Note 5 of the Portfolio's Notes to Financial Statements
which are included elsewhere in this report, for the period January 1,
1996 through May 3, 1996 is as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------- -------------------
<S> <C> <C>
U.S. Government Securities $827,067,931 $716,353,411
=================== ===================
Investments (non-U.S. Government Securities) $416,284,103 $379,043,531
=================== ===================
</TABLE>
A summary of written option transactions, as more fully described in Note 5 of
the Portfolio's Notes to Financial Statments which are included elsewhere in
this report, for the period January 1, 1996 through May 3, 1996 is as follows.
<TABLE>
<CAPTION>
Written Put Option Transactions
- --------------------------------------------------------------------------------------
Number
of Contracts Premiums
---------------- --------------------
<S> <C> <C>
Outstanding, beginning of period 5 $ 333,374
Options written 14 1,458,659
Options exercised (3) (229,294)
Options expired (6) (346,698)
Options closed (1) (37,976)
---------------- --------------------
Outstanding, end of period 9 $ 1,178,065
================ ====================
Written Call Option Transactions
- --------------------------------------------------------------------------------------
Number
of Contracts Premiums
---------------- --------------------
Outstanding, beginning of period 4 $ 694,054
Options written 17 1,687,282
Options exercised 0 0
Options expired (6) (1,066,295)
Options closed (4) (546,547)
---------------- --------------------
Outstanding, end of period 11 $ 768,494
================ ====================
Written Cross Currency Option Transactions
- --------------------------------------------------------------------------------------
Number
of Contracts Premiums
---------------- --------------------
Outstanding, beginning of period 3 $ 166,540
Options written 4 222,641
Options exercised 0 0
Options expired 0 0
Options closed (2) (91,982)
---------------- --------------------
Outstanding, end of period 5 $ 297,199
================ ====================
</TABLE>
<PAGE>
(5).....Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the period from May 3, 1996 to June 30, 1996 aggregated $53,999,410 and
$34,854,007, respectively.
(6).....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, 1996 Year Ended
(Unaudited) December 31, 1995
---------------- -------------------
<S> <C> <C>
Shares sold 10,336,885 28,240,659
Shares issued to shareholders in payment of distributions declared 2,455,086 4,933,561
Shares redeemed (3,650,245) (11,707,017)
---------------- ------------------
Net increase (decrease) 9,141,726 21,467,203
================ ==================
</TABLE>
(7).....Special Meeting of Fund Shareholders:
On March 7, 1996, a special meeting of Fund shareholders was held at
which shareholders: (1) adopted a new investment policy that authorized
the Fund to invest all of its investable assets in the Portfolio and
amended certain investment restrictions that would permit such
investment; and (2) authorized the Portfolio to vote as a holder of an
interest in the Portfolio (a) to elect trustees of Standish, Ayer &
Wood Master Portfolio, (b) to ratify the selection of accountants of
the Portfolio and (c) to approve an investment advisory agreement
between the Portfolio and SA&W. The shareholder vote approving each of
these proposals was as follows:
<TABLE>
<CAPTION>
<S> <C> <C>
.........Proposal 1
FOR: 57,144,794.55 (52.55% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 185,188.64 (0.17% of the shares represented and outstanding)
.........Proposal 2 (a)
FOR: 57,194,027.48 (52.595% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 135,955.71 (0.125% of the shares represented and outstanding)
.........Proposal 2 (b)
FOR: 56,599,512.19 (52.048% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 730,471.00 (0.672% of the shares represented and outstanding)
.........Proposal 2 (c)
FOR: 57,241,692.119 (52.639% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 88,291.08 (0.081% of the shares represented and outstanding)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
Portfolio of Investments
(Unaudited)
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- -------------------- -------------------
Bonds and Notes - 96.4%
- ----------------------------------------------
Asset Backed - 3.5%
- ----------------------------------------------
<S> <C> <C> <C> <C>
Advanta Home Equity Trust Loan 1991-1A 9.%0 2/25/2006 2,184,570 $ 2,251,473
AFC Home Equity Loan Trust 1993-2 6.00 1/20/2013 139,184 134,257
Contimortgage Home Equity 1994-5 A2 9.07 10/15/2009 17,454,272 17,713,359
Contimortgage Home Equity 1995 IA 8.60 2/15/2010 9,488,566 9,574,556
Greentree Securities Trust 1994-A 6.90 2/15/2004 4,776,338 4,730,067
Greentree Securities Trust 1995-A 7.25 7/15/2005 6,795,882 6,782,427
Old Stone Credit Corp. Home Equity Trust 1992-3 A2 6.30 9/25/2007 613,843 603,416
Old Stone Credit Corp. Home Equity Trust 1992-4 Cl A 6.55 11/25/2007 138,012 135,899
The Money Store Home Equity 1992-B 6.90 7/15/2007 693,660 687,590
The Money Store Home Equity 1994-DA4 8.75 9/15/2020 3,250,000 3,362,734
The Money Store Home Equity 1996-B A5 7.18 2/15/2015 18,563,000 18,644,213
UCFC Home Equity Loan Trust 1994 BA-6 7.10 3/10/2023 2,024,864 2,029,926
UCFC Home Equity Loan Trust 1994-D A4 8.78 2/10/2016 16,562,000 17,136,494
-------------------
83,786,411
-------------------
Collateralized Mortgage Obligations - 0.1%
- ------------------------------------------------------------
FNMA P/O Trust 108 0.00 3/01/2020 1,673,220 1,269,033
Midstate Trust II A3 9.35 4/01/1998 625,000 641,602
Veterans Affairs 1992-1 Cl D 7.75 12/15/2014 50,000 49,875
-------------------
1,960,510
-------------------
Corporate - 27.4%
- ----------------------------------------------
Basic Industry - 2.2%
- ----------------------------------------------
AK Steel Holding Corp. 10.75 4/01/2004 17,525,000 18,883,188
Georgia Pacific Corp. 9.95 6/15/2002 4,275,000 4,844,088
Inland Steel Co. 12.00 12/01/1998 3,000,000 3,240,000
Koppers Industries Inc. 8.50 2/01/2004 7,475,000 7,030,686
Owens-Illinois Inc. 11.00 12/01/2003 16,385,000 17,613,875
Ralcorp Holdings Inc. 8.75 9/15/2004 275,000 282,725
-------------------
51,894,562
-------------------
Consumer Cyclical - 2.8%
- ----------------------------------------------
Exide Corp. 10.75 12/15/2002 11,750,000 11,985,000
General Motors Acceptance Corp. 6.50 4/25/2000 5,000,000 4,955,550
General Motors Acceptance Corp. 6.70 4/30/2001 50,485,000 49,996,305
-------------------
66,936,855
-------------------
Consumer Stable - 0.8%
- ----------------------------------------------
ADT Operations 8.25 8/01/2000 8,285,000 8,409,275
Southland Corp. 4.50 6/15/2004 8,075,000 5,854,375
Southland Corp. 5.00 12/15/2003 6,500,000 5,070,000
-------------------
19,333,650
-------------------
Energy - 1.0%
- ----------------------------------------------
Clark Oil 10.50 12/01/2001 9,250,000 9,573,750
Kern River Funding 144A 6.72 9/30/2001 15,000,000 14,791,650
-------------------
24,365,400
-------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- ------------------- -------------------
Financial - 11.8%
- ----------------------------------------------
Advanta Corp. 7.%0 5/01/2001 5,850,000 $ 5,794,074
Anchor Bancorp 8.94 7/09/2003 7,325,000 7,316,210
Bank of Boston Corp. 8.38 12/15/2002 225,000 238,883
Bayview Capital 144A 8.42 6/01/1999 11,000,000 10,972,500
Capital One Bank Co. 5.95 2/15/2001 10,000,000 9,467,000
Capital One Bank Co. 6.39 6/29/1998 250,000 248,448
Capital One Bank Co. 6.84 6/13/2000 8,675,000 8,589,551
Capital One Bank Co. 6.88 4/24/2000 2,550,000 2,528,351
Capital One Bank Co. 7.00 4/30/2001 5,000,000 4,958,350
Capital One Bank Co. 7.35 6/20/2000 6,250,000 6,269,125
Capital One Bank Co. 8.13 3/01/2000 1,515,000 1,558,177
Chartwell Re Holdings 10.25 3/01/2004 3,058,000 3,249,125
Coast Federal Bank 13.00 12/31/2002 5,000,000 5,574,350
Equitable Life 6.95 12/01/2005 10,475,000 10,057,362
First Nationwide 9.13 1/15/2003 5,500,000 5,307,500
First Nationwide 12.25 5/15/2001 13,200,000 14,432,748
First USA Bank 5.75 1/15/1999 200,000 195,022
First USA Bank 5.85 2/22/2001 250,000 236,230
Goldman Sachs Inc. 144A 6.20 12/15/2000 16,725,000 16,251,014
Goldman Sachs Inc. 144A 6.38 6/15/2000 11,850,000 11,629,590
Goldman Sachs Inc. Group L P 144A 6.20 2/15/2001 15,000,000 14,549,100
Hartford National Bank Corp. 9.85 6/01/1999 300,000 322,587
Liberty Mutual Insurance Co. Inc. 144A 8.50 5/15/2025 2,000,000 2,066,000
Merrill Lynch & Co 6.00 3/01/2001 9,705,000 9,246,342
Merrill Lynch & Co 6.50 4/01/2001 11,775,000 11,567,760
Merrill Lynch & Co 6.70 8/01/2000 500,000 497,495
Midatlantic Bank 9.88 12/01/1999 75,000 81,473
Morgan Stanley Group Inc. 6.70 5/01/2001 15,750,000 15,610,613
New England Mutual Life 144A 7.88 2/15/2024 14,650,000 14,114,836
Reliance Group Holdings Corp. 9.00 11/15/2000 17,275,000 17,294,694
Riggs National Corp. 9.65 6/15/2009 125,000 139,813
Salomon Brothers Inc. 6.70 12/01/1998 5,850,000 5,833,854
Salomon Brothers Inc. 6.82 7/26/1999 8,625,000 8,544,443
Salomon Brothers Inc. 7.00 5/15/1999 2,275,000 2,276,160
Salomon Brothers Inc. 7.13 8/01/1999 1,950,000 1,952,399
Salomon Brothers Inc. 7.25 5/01/2001 9,190,000 9,167,209
Salomon Brothers Inc. 7.75 5/15/2000 6,515,000 6,634,811
Salomon Brothers Inc. (a) 5.77 4/05/1999 4,300,000 4,240,875
Signet Bank 9.63 6/01/1999 3,250,000 3,476,363
Smith Barney Holdings 6.63 6/01/2000 300,000 297,288
TIG Holdings Inc. 8.13 4/15/2005 50,000 50,826
United Companies Financial 7.00 7/15/1998 5,050,000 5,055,454
United Companies Financial 9.35 11/01/1999 11,175,000 11,793,089
USAT Holdings Inc. 144A 9.05 5/15/1998 10,000,000 9,800,000
USF&G Corp. 7.00 5/15/1998 50,000 50,310
-------------------
279,537,404
-------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- ------------------- -------------------
Health Care - 0.7%
- ----------------------------------------------
Healthsouth Rehabilitation 9.%0 4/01/2001 14,875,000 $ 15,470,000
R P Scherer Corp. 6.75 2/01/2004 50,000 46,986
-------------------
15,516,986
-------------------
Real Estate - 2.2%
- ----------------------------------------------
Avalon Property REIT 7.38 9/15/2002 175,000 172,324
Duke Realty REIT Investments 7.38 9/22/2005 150,000 144,716
Healthcare Properties REIT 6.50 2/15/2006 7,875,000 7,241,378
Merry Land Co. REIT 7.25 10/01/2002 150,000 149,234
Shopping Center Associates 6.75 1/15/2004 10,000,000 9,426,000
Spieker Properties 6.65 12/15/2000 150,000 145,460
Spieker Properties 6.90 1/15/2004 10,000,000 9,456,000
Sun Communities 7.38 5/01/2001 5,425,000 5,406,881
Taubman Realty Group 8.00 6/15/1999 9,900,000 9,999,000
United Dominion Realty Trust 8.50 9/15/2024 10,000,000 10,591,200
Wellsford Residential Property 7.75 8/15/2005 300,000 297,630
-------------------
53,029,823
-------------------
Services - 5.3%
- ----------------------------------------------
Enterprise Corp. 7.00 6/15/2000 8,225,000 8,247,372
Erac Usa Finance 7.88 3/15/1998 16,775,000 17,132,643
Hertz Corp. 6.70 6/15/2002 100,000 98,012
Hertz Corp. 7.00 4/15/2001 35,000 35,052
News America Holdings Corp. 7.70 10/30/2025 10,500,000 9,661,995
News America Holdings Corp. 8.88 4/26/2023 2,400,000 2,475,840
News America Holdings Corp. 9.50 7/15/2024 4,250,000 4,671,600
News America Holdings Corp. 12.00 12/15/2001 70,000 75,932
Time Warner Inc. 6.85 1/15/2026 6,000,000 5,747,220
Time Warner Inc. 9.13 1/15/2013 32,880,000 34,339,214
Viacom Inc. 6.75 1/15/2003 7,200,000 6,793,272
Viacom Inc. 7.63 1/15/2016 5,525,000 4,986,313
Viacom Inc. 7.75 6/01/2005 30,980,000 30,206,120
-------------------
124,470,585
-------------------
Technology - 0.2%
- ----------------------------------------------
Jones Intercable 9.63 3/15/2002 4,000,000 4,074,000
Utilities - 0.4%
- ----------------------------------------------
System Energy Resources Corp. 7.38 10/01/2000 350,000 338,125
System Energy Resources Corp. 10.50 9/01/1996 9,350,000 9,420,125
-------------------
9,758,250
-------------------
TOTAL Corporate 648,917,515
-------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- -------------------- -------------------
Australia - 0.2%
- ----------------------------------------------
Government
- ----------------------------------------------
New South Wales Treasury 0.%0 9/03/2010 AUD 8,030,000 $ 1,758,446
South Australia Government Finance 0.00 12/21/2015 AUD 8,500,000 1,156,254
Treasury Corp. of Victoria 0.00 8/31/2011 AUD 5,500,000 1,094,136
-------------------
4,008,836
-------------------
Canada - 0.2%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Canada 7.75 9/01/1999 CAD 1,200,000 908,091
Govt. of Canada 8.50 3/01/2000 CAD 2,800,000 2,167,312
Govt. of Canada 8.50 4/01/2002 CAD 1,200,000 934,037
-------------------
4,009,440
-------------------
Denmark - 0.8%
- ----------------------------------------------
Government
- ----------------------------------------------
Denmark Bullet 9.00 11/15/2000 DKK 23,075,000 4,352,662
Kingdom of Denmark 8.00 11/15/2001 DKK 9,700,000 1,764,657
Kingdom of Denmark 8.00 3/15/2006 DKK 9,900,000 1,753,513
Kingdom of Denmark 9.00 11/15/1998 DKK 5,200,000 960,078
-------------------
8,830,910
-------------------
Other
- ----------------------------------------------
Denmark Nykredit 7.00 10/01/2026 DKK 45,392,000 6,757,913
Denmark Nykredit 8.00 10/01/2026 DKK 12,695,000 2,050,383
Denmark Realkredit 7.00 10/01/2026 DKK 3,135,000 466,735
Denmark Realkredit 9.00 10/01/2006 DKK 9,090,000 1,671,326
-------------------
10,946,357
-------------------
TOTAL Denmark 19,777,267
-------------------
Finland - 0.2%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Finland 7.25 4/18/2006 FIM 10,000,000 2,132,096
Govt. of Finland 10.00 9/15/2001 FIM 14,000,000 3,514,140
-------------------
5,646,236
-------------------
France - 0.3%
- ----------------------------------------------
Government
- ----------------------------------------------
French Treasury Bill 7.00 11/12/1999 FRF 20,500,000 4,207,187
-------------------
Other
- ----------------------------------------------
Republic of Argentina 9.88 1/06/1998 FRF 15,300,000 3,089,409
-------------------
TOTAL France 7,296,596
-------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- ------------------- -------------------
Germany - 0.5%
- ----------------------------------------------
Government
- ----------------------------------------------
Baden Wurttemberg 6.%0 1/25/2006 DEM 1,150,000 $ 717,807
Baden Wurttemberg 6.20 11/22/2013 DEM 3,000,000 1,944,055
Federal Republic of Germany 5.88 5/15/2000 DEM 2,255,000 1,514,135
Federal Republic of Germany 6.88 5/12/2005 DEM 2,000,000 1,347,769
Federal Republic of Germany 8.00 7/22/2002 DEM 920,000 666,094
Federal Republic of Germany 8.38 5/21/2001 DEM 2,400,000 1,760,630
Federal Republic of Germany 9.00 10/20/2000 DEM 4,450,000 3,311,220
-------------------
11,261,710
-------------------
Other
- ----------------------------------------------
Province of Buenos Aires 10.00 12/07/1998 DEM 550,000 378,937
Province of Buenos Aires 10.00 3/05/2001 DEM 2,000,000 1,333,990
-------------------
1,712,927
-------------------
TOTAL Germany 12,974,637
-------------------
Ireland - 0.2%
- ----------------------------------------------
Government
- ----------------------------------------------
Irish Gilts 6.25 4/01/1999 IEP 640,000 1,016,717
Irish Gilts 6.50 10/18/2001 IEP 1,460,000 2,290,276
Irish Gilts 9.25 7/11/2003 IEP 1,265,000 2,239,619
-------------------
5,546,612
-------------------
Italy - 0.9%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Italy 8.50 1/01/1999 ITL 7,275,000,000 4,771,774
Govt. of Italy 9.00 11/01/2023 ITL 4,800,000,000 2,970,714
Govt. of Italy 9.50 12/01/1999 ITL 4,600,000,000 3,079,257
Govt. of Italy 10.50 11/01/2000 ITL 7,000,000,000 4,855,067
Govt. of Italy 10.50 11/01/2000 ITL 3,010,000,000 2,087,679
Govt. of Italy 12.50 3/01/2001 ITL 3,500,000,000 2,590,160
-------------------
20,354,651
-------------------
Other
- ----------------------------------------------
Bank Nederlandse 10.50 6/18/2003 ITL 1,300,000,000 902,248
-------------------
TOTAL Italy 21,256,899
-------------------
Japan - 0.4%
- ----------------------------------------------
Other
- ----------------------------------------------
KFW International Finance 6.00 11/29/1999 JPY 301,000,000 3,103,316
Kingdom of Belgium 5.00 12/17/1999 JPY 600,000,000 6,018,054
-------------------
9,121,370
-------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- ------------------- -------------------
New Zealand - 0.3%
- ----------------------------------------------
Government
- ----------------------------------------------
Government Property Services 7.%5 3/15/1999 NZD 4,850,000 $ 3,107,474
Govt. of New Zealand 8.00 11/15/2006 NZD 2,450,000 1,595,568
-------------------
4,703,042
-------------------
Other
- ----------------------------------------------
Fletcher Challenge 10.00 4/30/2005 NZD 1,500,000 1,000,491
Fletcher Challenge Cvt 11.25 12/15/2002 NZD 3,100,000 2,191,313
-------------------
3,191,804
-------------------
TOTAL New Zealand 7,894,846
-------------------
Norway - 0.2%
- ----------------------------------------------
Other
- ----------------------------------------------
Union Bank of Norway 12.75 10/26/2002 NOK 12,500,000 2,048,409
Uni-Storebrand As 11.15 1/15/2002 NOK 8,000,000 1,408,158
Vesta Forsikring 9.50 8/25/2000 NOK 2,000,000 330,358
Vital Forsikring 7.85 9/22/2003 NOK 8,100,000 1,230,601
-------------------
5,017,526
-------------------
Spain - 0.5%
- ----------------------------------------------
Government
- ----------------------------------------------
Castilla Junta 8.30 11/29/2001 ESB 85,000,000 669,532
Junta de Andalucia 11.10 12/02/2005 ESB 690,000,000 5,890,062
Kingdom of Spain 10.00 2/28/2005 ESB 150,820,000 1,260,164
Kingdom of Spain 10.30 6/15/2002 ESB 100,600,000 852,708
Kingdom of Spain 11.30 1/15/2002 ESB 168,000,000 1,478,086
Kingdom of Spain 12.25 3/25/2000 ESB 310,000,000 2,745,300
-------------------
12,895,852
-------------------
Sweden - 0.9%
- ----------------------------------------------
Government
- ----------------------------------------------
Kingdom of Sweden 9.00 4/20/2009 SEK 40,700,000 6,406,755
Kingdom of Sweden 10.25 5/05/2003 SEK 12,000,000 2,030,436
Kingdom of Sweden 13.00 6/15/2001 SEK 40,000,000 7,375,875
Sweden Caisse #1036 10.25 5/05/2000 SEK 24,100,000 4,005,812
------------------
19,818,878
------------------
Other
- ----------------------------------------------
Fulmar Mortgage Sec #1 7.65 11/01/2000 SEK 4,509,600 677,705
------------------
TOTAL Sweden 20,496,583
------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- -------------------- ------------------
Thailand - 0.1%
- ----------------------------------------------
Government
- ----------------------------------------------
Thailand Investment Bills of Exchange 0.%0 10/28/1996 THB 20,000,000 $ 764,827
Thailand Investment Bills of Exchange 0.00 10/29/1996 THB 30,000,000 1,146,957
Thailand Investment Bills of Exchange 0.00 10/31/1996 THB 35,000,000 1,337,455
------------------
3,249,239
------------------
United Kingdom - 1.2%
- ----------------------------------------------
Government
- ----------------------------------------------
UK Gilt Treasury 6.00 8/10/1999 GBP 612,000 926,551
UK Gilt Treasury 7.00 11/06/2001 GBP 2,250,000 3,432,615
UK Gilt Treasury 7.50 12/07/2006 GBP 840,000 1,266,850
UK Gilt Treasury 9.00 3/03/2000 GBP 1,000,000 1,645,832
UK Treasury 6.75 11/26/2004 GBP 2,850,000 4,139,353
UK Treasury 8.00 12/07/2000 GBP 1,850,000 2,956,002
------------------
14,367,203
------------------
Other
- ----------------------------------------------
Birmingham Midshares Soc 9.13 1/05/2006 GBP 1,000,000 1,563,478
Hanson Trust Plc 10.00 4/18/2006 GBP 2,350,000 3,941,538
Mepc Plc 12.00 6/30/2006 GBP 1,280,000 2,423,165
Seeboard Plc 8.50 10/03/2005 GBP 2,000,000 3,065,462
Smithkline Beecham Corp. 8.13 11/25/1998 GBP 1,500,000 2,387,474
Woolwich Building Society 11.63 12/18/2001 GBP 600,000 1,070,518
------------------
14,451,635
------------------
TOTAL United Kingdom 28,818,838
------------------
Yankee Bonds - 7.0%
- ----------------------------------------------
Banponce Corp. 6.75 12/15/2005 175,000 164,329
Brascan Ltd. 7.38 10/01/2002 9,350,000 9,161,037
Cominco Ltd. 6.88 2/15/2006 16,950,000 15,741,126
Doman Industries Limited 8.75 3/15/2004 12,300,000 11,070,000
Domtar Inc. 12.00 4/15/2001 9,500,000 11,067,500
Fletcher Challenge 7.75 6/20/2006 11,150,000 11,306,992
Govt. of Argentina (a) 6.31 3/31/2005 1,138,500 893,723
Hanson America Inc. 2.39 3/01/2001 1,700,000 1,445,000
Malette Inc. 12.25 7/15/2004 7,050,000 7,402,500
Methanex Corp. 7.40 8/15/2002 4,500,000 4,461,210
Methanex Corp. 7.75 8/15/2005 23,560,000 23,153,826
Novacor Chemical 6.50 9/22/2000 525,000 512,190
Republic of Argentina 5.25 3/31/2023 18,300,000 10,019,250
Rogers Cantel 9.38 6/01/2008 14,850,000 14,404,500
Se Banken 144A Euro Step Up 6.63 3/29/2049 15,000,000 14,401,650
St Georges Bank 144A 7.15 10/15/2005 19,200,000 18,569,472
Tembec Finance Corp. 9.88 9/30/2005 9,325,000 8,672,250
------------------
162,446,555
------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- -------------------- ------------------
U.S. Government Agency - 31.5%
- ----------------------------------------------
Other - 0.4%
- ----------------------------------------------
Federal Farm Credit Bank 6.%0 8/28/1998 100,000 $ 100,000
Federal Home Loan Bank 5.32 9/18/1996 9,300,000 9,176,426
------------------
9,276,426
------------------
Pass Thru Securities - 31.1%
- ----------------------------------------------
CSFB 1995-A 144A 6.69 11/15/2005 11,150,000 10,780,656
FDIC Remic Trust 1994-C1 2C 8.45 9/25/2025 250,000 256,016
FHLMC 6.50 3/01/2026 - 5/01/2026 36,464,457 34,151,153
FNMA 6.50 12/01/2025 - 5/01/2026 81,441,533 76,173,081
FNMA 7.00 12/01/1999 - 9/01/2025 256,740,642 247,791,311
GNMA 7.00 4/15/2022 - 1/15/2025 97,609,557 94,031,682
GNMA 7.50 12/15/2021 - 10/15/2025 82,854,640 81,984,053
GNMA 9.00 4/15/2016 - 8/15/2026 105,311,400 111,092,966
GS Mtg Sec Corp. II Erisa 1996-Pl 7.02 2/15/2027 9,549,303 9,483,651
Lehman Brothers Commercial Conduit Mortgage Trust 1995-C2 7.05 9/25/2025 1,930,000 1,788,869
Noranda Inc. 7.00 7/15/2005 7,200,000 6,921,936
Resolution Trust Corp. 1994 C2 E 8.00 4/25/2025 5,507,717 5,294,293
Resolution Trust Corp. 1994-1 Cl M2 7.75 9/25/2029 3,764,761 3,677,700
Resolution Trust Corp. 1994-C1 D 8.00 6/25/2026 7,777,415 7,682,627
Resolution Trust Corp. 1994-C2 D AL 1 8.00 4/25/2025 4,804,624 4,762,584
Resolution Trust Corp. 1995 Cl E 6.90 6/01/2025 13,781,983 11,309,839
Resolution Trust Corp. 1995-2B1 7.45 9/15/2025 2,462,892 2,442,112
Resolution Trust Corp. P-T Ser 1992-M4 A1 8.00 8/25/2023 2,428,580 2,437,687
SKW Ltd. Partnership 9.30 4/15/2005 7,942,000 7,949,446
Structured Asset Security Corp. 1994-C1 D 6.87 8/25/2026 10,000,000 9,309,375
Structured Asset Security Corp. 1996-Cfl C 6.53 2/25/2028 6,700,000 6,369,188
------------------
735,690,225
------------------
TOTAL U.S. Government Agency 744,966,651
------------------
U.S. Treasury Obligations - 20.0%
- ----------------------------------------------
Treasury Bonds - 5.8%
- ----------------------------------------------
U.S. Treasury Bond 7.25 5/15/2016 17,790,000 18,206,998
U.S. Treasury Bond 7.50 11/15/2016 3,825,000 4,018,622
U.S. Treasury Bond 7.63 2/15/2025 37,050,000 39,921,375
U.S. Treasury Bond 7.88 2/15/2021 64,420,000 70,670,673
U.S. Treasury Bond 8.13 8/15/2019 4,295,000 4,821,138
------------------
137,638,806
------------------
<PAGE>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------- --------- -------------- -------------------- ------------------
Treasury Notes - 14.2%
- ----------------------------------------------
U.S. Treasury Note 5.%3 1/31/1998 31,775,000 $ 31,581,490
U.S. Treasury Note 5.88 2/15/2004 77,240,000 73,824,447
U.S. Treasury Note 6.25 4/30/2001 41,400,000 40,998,938
U.S. Treasury Note 6.25 2/15/2003 32,875,000 32,294,428
U.S. Treasury Note 6.38 1/15/2000 14,795,000 14,792,633
U.S. Treasury Note 6.38 3/31/2001 1,400,000 1,393,868
U.S. Treasury Note 6.88 3/31/2000 43,425,000 44,055,965
U.S. Treasury Note 7.13 2/29/2000 43,150,000 44,127,779
U.S. Treasury Note 6.13 7/31/2000 10,180,000 10,067,104
U.S. Treasury Note (P/O) 0.00 11/15/2018 92,769,000 18,958,273
U.S. Treasury Note (Strip) 0.00 11/15/1999 3,475,000 2,810,823
U.S. Treasury Note (Strip) 0.00 8/15/2008 43,970,000 19,127,390
U.S. Treasury Note (Strip) 0.00 8/15/2015 4,965,000 1,283,651
------------------
335,316,789
------------------
TOTAL U.S. Treasury Obligations 472,955,595
------------------
TOTAL BONDS and NOTES (Identified Cost $2,304,013,422) 2,328,326,962
------------------
Preferred Stock - 1.9% Shares
- ---------------------------------------------- --------------------
Australia & New Zealand Bank 358,000 9,442,250
Bank United of Texas 148,380 3,839,333
Credit Lyon Capital 144A 244,250 5,465,094
First Nationwide Bank 8,400 919,800
Newscorp Overseas Ltd. Ser B 232,000 5,220,000
Public Service of New Hampshire 73,220 1,779,246
Riggs National Corp. 100,000 2,825,000
Time Warner Inc. 10.25% Ser K * 16,365 15,792,225
------------------
TOTAL Preferred Stock (Identified Cost $46,496,720) 45,282,948
------------------
<PAGE>
Principal
Amount of Value
Security Contracts (Note 1A)
- ---------------------------------------------- -------------------- ------------------
Purchased Options - 0.1%
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration
- ------------------------------------------------------------
AUD 10.00% Call, Str 106.163, 10/25/96 6,850,000 $ 111,744
AUD 10.00% Call, Str 107.541, 10/23/96 4,750,000 54,245
AUD 7.50% Call, Str 90.773, 10/25/96 700,000 11,184
CHF Put/ESB Call, Str 103.000, 8/29/96 4,800,000 25,656
CHF Put/GBP Call, Str 1.9385, 8/7/96 2,400,000 25,690
CHF Put/ITL Call, Str 1230.00, 6/17/97 4,800,000 39,826
CHF Put/USD Call, Str 1.27, 9/6/96 6,650,000 53,865
DEM 6.25% Call, Str 87.980, 11/07/96 10,245,000 93,916
DEM 6.25% Call, Str 99.00, 9/23/96 5,500,000 10,775
DEM 6.50% Call, Str 100.550, 8/20/96 5,500,000 14,438
DEM 7.375% Call, Str 105.910, 9/16/96 8,600,000 28,776
DEM Put / USD Call, Str 1.530, 10/24/96 4,150,000 53,120
DEM Put / USD Call, Str 1.535, 10/25/96 5,800,000 69,020
DEM Put/ESB Call, Str 83.550, 7/9/96 5,900,000 1,935
DEM Put/USD Call, Str 1.550, 4/22/97 3,700,000 62,530
ESB 10.15% Call, Str 105.650, 11/14/96 465,000,000 107,415
ESB Put/JPY Call, Str 1.200, 5/22/97 438,700,000 89,934
ITL 9.00% Call, Str 92.48, 9/17/96 4,800,000,000 100,800
ITL 9.00% Call, Str 95.07, 9/25/96 4,090,000,000 49,080
JPY 2.90% Call, Str 97.854, 7/3/96 440,000,000 440
JPY 3.20% Call, Str 99.512, 7/1/96 340,000,000 680
JPY 4.20% Call, Str 106.983, 7/3/96 440,000,000 880
JPY Put/ ESB Call, Str 1.180, 5/26/97 450,000,000 71,100
JPY Put/AUD Call, Str 85.150, 12/30/96 500,000,000 105,500
JPY Put/AUD Call, Str 86.400, 5/28/97 450,000,000 76,950
JPY Put/ESB Call, Str 1.200, 10/30/96 375,000,000 75,750
JPY Put/ITL Call, Str 14.555, 12/12/96 575,460,000 161,704
JPY Put/NZD Call, Str 72.000, 5/28/97 450,000,000 113,850
SEK 9.00% Call, Str 102.41, 9/17/96 40,800,000 171,278
USD Put/CAD Call, Str 1.35, 9/10/96 3,260,000 9,128
UST Call 5.625% 2/06, Str 97.781, 7/16/96 209,000 0
UST Call 7.625% 2/25, Str 112.484, 7/25/96 370,500 40,523
UST Put 6.00% 02/26, Str 86.0625, 7/26/96 212,000 62,938
UST Put 6.00% 2/26, Str 86.03125, 7/26/96 212,000 62,938
------------------
Total Purchased Options (Premiums Paid $2,686,410) 1,957,608
------------------
<PAGE>
Par Value
Security Value (Note 1A)
- ---------------------------------------------- -------------------- ------------------
Short-Term Investments - 0.3%
- ----------------------------------------------
Repurchase Agreements - 0.3%
- ----------------------------------------------
Prudential-Bache Repurchase Agreement, dated 6/28/96,
4.77% due 7/1/96, to pay $6,682,731 (Collateralized by
FNMAs and FHMLCs with rates ranging from
6.50% to 8.00% and maturity dates ranging from 5/01/06
to 7/01/26 with an aggregate market value of $6,813,689. 6,680,076 $ 6,680,076
------------------
TOTAL Short-Term Investments (Identified Cost $6,680,076) 6,680,076
------------------
TOTAL INVESTMENTS (Identified Cost $2,359,876,628) - 98.8% 2,336,964,646
------------------
Principal
Amount of
Contracts
--------------------
Written Options - 0.0%
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration
- ------------------------------------------------------------
AUD 10.00% Call, Str 110.163, 10/25/96 (6,850,000) (36,332)
AUD 10.00% Call, Str 111.541, 10/23/96 (4,750,000) (15,499)
AUD 10.00% Put, Str 102.163, 10/25/96 (6,850,000) (28,311)
AUD 10.00% Put, Str 103.541, 10/23/96 (4,750,000) (31,393)
AUD 7.50% Call, Str 94.773, 10/25/96 (700,000) (3,128)
AUD 7.50% Put, Str 86.773, 10/25/96 (700,000) (1,588)
AUD Put/JPY Call, Str 74.000, 5/28/97 (450,000,000) (63,000)
CAD Put/USD Call, Str 1.38, 9/10/96 (3,260,000) (7,824)
CHF Put/USD Call, Str 1.33, 9/6/96 (6,650,000) (8,645)
DEM 6.25% Call, Str 92.130, 11/7/96 (10,245,000) (15,890)
DEM 6.25% Put, Str 83.830, 11/07/96 (10,245,000) (35,540)
DEM 6.25% Put, Str 95.640, 11/14/96 (5,565,000) (27,753)
DEM Put / USD Call, Str 1.600, 10/24/96 (4,150,000) (12,865)
DEM Put / USD Call, Str 1.605, 10/25/96 (5,800,000) (12,760)
ESB 10.15% Call, Str 108.650, 11/14/96 (465,000,000) (48,360)
ESB Put JPY Call, Str 1.350, 5/22/97 (438,700,000) (26,322)
ESB Put/ JPY Call, Str 1.340, 5/26/97 (450,000,000) (31,950)
ESB Put/CHF Call, Str 111.000, 8/29/96 (4,800,000) (1,915)
ESB Put/JPY Call, Str 1.400, 10/30/96 (375,000,000) (1,875)
ITL 9.00% Call, Str 95.68, 9/17/96 (4,800,000,000) (48,000)
ITL 9.00% Call, Str 97.57, 9/25/96 (4,090,000,000) (24,540)
ITL 9.00% Put, Str 90.36, 9/17/96 (4,800,000,000) (14,400)
ITL 9.00% Put, Str 92.57, 9/25/96 (4,090,000,000) (28,630)
ITL Put/CHF Call, Str 1350.00, 6/17/97 (4,800,000) (44,808)
<PAGE>
Principal
Amount of Value
Security Contracts (Note 1A)
- ---------------------------------------------- -------------------- ------------------
Written Options - 0.0% (Continued)
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration
- ------------------------------------------------------------
NZD Put/JPY Call, Str 65.000, 5/28/97 (450,000,000) $ (85,950)
SEK 9.00% Call, Str 105.66, 9/17/96 (40,800,000) (68,136)
SEK 9.00% Put, Str 99.16, 9/17/96 (40,800,000) (24,562)
USD Put/CHF Call, Str 1.140, 10/24/96 (4,150,000) (7,470)
USD Put/CHF Call, Str 1.145, 10/25/96 (5,800,000) (12,180)
USD Put/CHF Call, Str 1.176, 7/10/96 (5,000,000) (2,000)
USD Put/DEM Call, Str 1.425, 4/22/97 (3,700,000) (51,430)
UST Call 7.625% 2/25, Str 112.484, 7/25/96 (370,500) (40,523)
UST Put 6.875% 5/06, Str 99.1875, 7/26/96 (371,000) (118,836)
UST Put 6.875% 5/06, Str 99.203125, 7/26/96 (371,000) (115,938)
------------------
TOTAL Written Options (Premiums Received $2,625,506) (1,098,353)
-------------------
Other Assets less Liabilities - 1.3% 29,699,179
-------------------
Net Assets - 100.0% $ 2,365,565,472
===================
The following abbreviations are used in this portfolio:
AUD - Australian Dollar GNMA - Government National Mortgage Association
DEM - Deutsche Mark IEP - Irish Punt
DKK - Danish Krane ITL - Italian Lira
ESP - Spanish Peseta JPY - Japanese Yen
FHLMC - Federal Home Loan Mortgage Corporation NOK - Norwegian Krone
FIM - Finnish Mark NZD - New Zealand Dollar
FNMA - Federal National Mortgage Association SEK - Swedish Krona
FRF - French Franc THB - Thai Baht
GBP - Great Britain Pound
</TABLE>
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Assets:
<S> <C> <C>
Investments, at value (Note 1A) (identified cost, $2,359,876,628) $ 2,336,964,646
Foreign currency, at value (cost, $3,478,484) 3,491,704
Receivable for investments sold 44,940,461
Interest and dividends receivable 35,309,989
Unrealized appreciation on forward foreign currency exchange contracts (Note 6) 690,973
Deferred organizational costs (Note 1F) 71,418
-------------------
Total assets 2,421,469,190
Liabilities:
Payable for investments purchased $ 47,311,221
Payable for delayed delivery transactions (Note 6) 6,732,294
Payable for daily variation margin on open
financial futures contracts (Note 5) 2,606
Written options outstanding, at value (premiums received, $2,625,506) 1,098,353
Accrued investment advisory fee (Note 2) 506,947
Accrued trustee fees 12,109
Accrued expenses and other liabilities 240,187
----------------
Total liabilities 55,903,718
-------------------
Net Assets $ 2,365,565,472
===================
Net Assets consist of
Net proceeds from capital contributions and withdrawals $ 2,386,329,250
Unrealized appreciation (depreciation) of investments (20,763,778)
-------------------
Total net assets $ 2,365,565,472
===================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
Statement of Operations
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Investment Income:
Interest Income $ 26,243,204
Dividend income (net of withholding tax of $2,997) 1,035,928
----------------
Total income 27,279,132
Expenses
Investment advisory fee (Note 2) $ 1,129,267
Trustees fees 12,109
Custodian and accounting expenses 129,480
Amortization of organization expense (Note 1F) 2,261
Legal and audit services 43,787
Insurance expense 17,789
Miscellaneous 3,067
----------------
Total expenses 1,337,759
----------------
Net investment income (loss) 25,941,373
----------------
Realized and Unrealized Gain (Loss)
Net realized gain(loss):
Investment security transactions (9,180,083)
Financial futures 47,795
Written options 1,450,613
Foreign currency and forward foreign
currency exchange contracts (369,316)
----------------
Net realized gain (loss) (8,050,991)
Change in unrealized appreciation (depreciation):
Investment securities 34,012,759
Financial futures (9,849)
Written options 1,053,756
Foreign currency transactions and forward foreign
currency contracts (643,117)
----------------
Change in net unrealized appreciation (depreciation) 34,413,549
----------------
Net realized and unrealized gain (loss) 26,362,558
----------------
Net increase (decrease) in net assets from operations $ 52,303,931
================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Increase (Decrease) in Net Assets
From operations
Net investment income (loss) $ 25,941,373
Net realized gain (loss) (8,050,991)
Change in net unrealized appreciation (depreciation) 34,413,549
-------------------
Net increase (decrease) in net assets from operations 52,303,931
-------------------
Capital transactions
Assets contributed by Standish Fixed Income Fund at commencement
(including unrealized depreciation of $55,177,327) 2,294,116,138
Contributions 53,999,410
Withdrawals (34,854,007)
-------------------
Increase in net assets resulting from capital transactions 2,313,261,541
-------------------
Total increase (decrease) in net assets 2,365,565,472
Net Assets
At beginning of period ---
-------------------
At end of period $ 2,365,565,472
===================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
Supplementary Data
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Ratios (to average daily net assets):
Expenses 0.*7%
Net investment income 7.*3%
Portfolio Turnover 19%
* Annualized
</TABLE>
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio Series
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. The following is
a summary of significant accounting policies consistently followed by
the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A...Investment security valuations--
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded.
Securities (including restricted securities) for which quotations are
not readily available are valued primarily using dealer-supplied
valuations or at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the
Board of Trustees. Short term instruments with less than sixty-one days
remaining to maturity when acquired by the Portfolio are valued 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 Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income,
net realized capital gains, and any other items of income, gain, loss
deduction or credit.
<PAGE>
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 Organizational Expenses--
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 and administrative 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 pays no
compensation directly to its trustees who are affiliated with the
investment adviser or to its officers, all of whom receive remuneration
for their services to the Portfolio from the investment adviser.
Certain of the trustees and officers of the Portfolio Trust are
partners or officers of SA&W.
(3).....Purchases and Sales of Investments:
<TABLE>
<CAPTION>
Purchases and proceeds from sales of investments, short-term
obligations, were as follows:
Purchases Sales
------------------- -------------------
<S> <C> <C>
U.S. Government Securities $268,971,984 $332,349,034
=================== ===================
Investments (non-U.S. government securities) $203,455,236 $96,086,604
=================== ===================
</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, 1996, as computed on a federal
income tax basis, were as follows:
Aggregate cost $2,360,257,184
=====================
Gross unrealized depreciation ($48,140,419)
Gross unrealized appreciation 24,847,701
---------------------
Net unrealized appreciation (depreciation) ($23,292,718)
=====================
(5).....Financial Instruments
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to enhance
potential gain in circumstances where hedging is not involved. The
nature, risks, and objectives of these instruments are set forth more
fully in the Portfolio's Prospectus and Statement of Additional
Information. The Portfolio trades the following financial instruments
with off-balance sheet risk:
<PAGE>
.........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 uses options to hedge against risks of
market exposure and changes in security prices and foreign currencies,
as well as to enhance returns. Options, both held and written by the
Portfolio, are reflected in the accompanying Statement of Assets and
Liabilities at market value. 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. If a put option purchased by the
Portfolio is exercised, the premium reduces the cost basis of the
securities purchased by the Portfolio. The Portfolio, as a writer of an
option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of
an unfavorable change in the price of the security underlying the
written option. A summary of such transactions for the period May 3,
1996 through June 30, 1996 is as follows:
<TABLE>
<CAPTION>
Written Call Option Transactions
- ----------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
-------------------- -------------------
<S> <C> <C>
Outstanding, beginning of period 9 $ 1,178,065
Options written 9 1,195,415
Options exercised 0 0
Options expired (3) (925,094)
Options closed (1) (27,250)
-------------- -------------------
Outstanding, end of period 14 $ 1,421,136
============== ===================
Written Call Option Transactions
- ----------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
-------------------- -------------------
Outstanding, beginning of period 11 $ 768,494
Options written 6 421,150
Options exercised 0 0
Options expired (2) (109,000)
Options closed (2) (292,016)
-------------- -------------------
Outstanding, end of period 13 $ 788,628
============== ===================
Written Cross Currency Option Transactions
- ----------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
-------------------- -------------------
Outstanding, beginning of period 5 $ 297,199
Options written 5 322,227
Options exercised 0 0
Options expired 0 0
Options closed (3) (203,684)
-------------- -------------------
Outstanding, end of period 7 $ 415,742
============== ===================
</TABLE>
<PAGE>
.........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. Forward currency
exchange contracts are used by the Portfolio primarily to protect the
value of the Portfolio's foreign securities from adverse currency
movements. At June 30, 1996, the Portfolio held the following forward
foreign currency and cross currency exchange contracts:
<TABLE>
<CAPTION>
Forward Foreign Currency Contracts
- --------------------------------------------------
Local U.S. $ U.S. U.S.
Principal Contract Market Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
- ------------------------------------------ ------------------ ------------------- --------------------- ----------------
<S> <C> <C> <C> <C> <C>
German Deutsche Mark 30,265,151 8/16/96-11/7/96 $19,987,179 $20,034,568 ($47,389)
Danish Krone 27,532,539 8/22/96 4,698,372 4,852,233 (153,861)
Finnish Markka 14,087,085 8/26/96-8/27/96 3,043,018 3,077,478 (34,460)
French Franc 62,125,574 8/7/96-10/23/96 12,110,325 12,031,459 78,865
British Pound Sterling 5,538,210 7/3/96-7/5/96 8,590,870 8,539,921 50,949
Italian Lira 5,767,659,570 7/2/96 3,757,123 3,750,289 6,834
Japanese Yen 1,728,893,565 8/14/96-8/23/96 15,885,078 16,446,978 (561,900)
Netherland Guilder 2,530,185 8/26/96 1,486,895 1,545,246 (58,350)
Norwegian Krone 41,918,923 9/12/96-1/13/97 6,454,108 6,415,550 38,558
Swedish Krona 42,394,056 7/23/96-8/19/96 6,375,765 6,386,001 (10,236)
European Currency Unit 4,347,427 8/9/96-9/12/96 5,418,681 5,413,538 5,143
------------------- --------------------- ----------------
$87,807,414 $88,493,259 ($685,846)
=================== ===================== ================
Local U.S. $ U.S. U.S.
Principal Contract Market Aggregate Unrealized
Contracts to Deliver Amount Value Date Value Face Amount Gain/(Loss)
- ------------------------------------------ ------------------ ------------------- --------------------- ----------------
Australian Dollars 2,726,024 8/6/96 $2,138,413 $2,156,285 $17,872
Canadian Dollar 4,874,973 8/9/96-9/25/96 3,578,246 3,578,880 634
German Deutsche Mark 49,758,750 7/25/96-11/8/96 32,869,411 33,352,348 482,937
Danish Krone 143,851,867 8/16/96-11/6/96 24,571,281 25,276,406 705,125
Spanish Peseta 1,523,046,402 7/29/96-9/23/96 11,830,011 11,799,898 (30,113)
Finnish Markka 41,001,552 8/26/96-11/18/96 8,880,679 8,887,297 6,618
French Franc 99,509,735 8/7/96-10/23/96 19,404,829 19,680,517 275,688
British Pound Sterling 23,339,887 7/3/96-9/30/96 36,195,394 35,593,158 (602,237)
Irish Pound 3,533,757 11/18/96-11/22/96 5,643,992 5,523,409 (120,583)
Italian Lira 36,634,593,649 7/2/96-1/2/97 23,765,512 23,288,782 (476,730)
Japanese Yen 2,803,675,966 8/13/96-9/13/96 25,770,243 27,086,282 1,316,039
Netherland Guilder 2,530,185 8/26/96 1,486,895 1,570,373 83,478
Norwegian Krone 86,815,101 7/2/96-1/13/97 13,366,540 13,441,880 75,340
New Zealand Dollars 9,271,976 7/10/96-8/14/96 6,332,726 6,225,182 (107,544)
Swedish Krona 177,835,039 7/23/96-12/17/96 26,744,599 26,289,895 (454,704)
Thai Baht 80,500,000 10/22/96 3,169,187 3,135,956 (33,231)
European Currency Unit 4,347,427 8/9/96-9/12/96 5,418,681 5,472,892 54,211
------------------- --------------------- ----------------
$251,166,642 $252,359,443 $1,192,801
=================== ===================== ================
Forward Foreign Cross Currency Contracts
U.S. $ U.S. $ U.S.
Market Market Contract Unrealized
Contracts to Deliver Value In Exchange for Value Value Date Gain/(Loss)
- ------------------------------------------ ---------------------------------------- --------------------- ----------------
German Deutsche Mark $1,839,427 Spanish Peseta $1,882,073 7/18/96 $42,646
German Deutsche Mark 7,034,129 Finnish Markka 7,230,733 7/25/96-8/30/96 196,604
Finnish Markka 5,393,008 Deutsche Mark 5,323,811 7/25/96-7/29/96 (69,197)
Finnish Markka 783,214 Swedish Krona 848,770 1/8/97 65,556
French Franc 4,045,932 Deutsche Mark 4,037,801 8/7/96 (8,131)
Netherlands Guilder 3,582,076 Danish Krone 3,601,558 9/25/96 19,482
Netherlands Guilder 3,360,851 Norwegian Krone 3,366,282 9/25/96 5,431
Swedish Krona 851,587 Finnish Markka 783,214 1/8/97 (68,373)
---------------- ------------------- ----------------
$26,890,223 $27,074,241 $184,018
================ =================== ================
</TABLE>
<PAGE>
.........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. The Portfolio is required to
deposit 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. 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. The Portfolio enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in security prices and foreign currencies. At June 30, 1996,
the Portfolio held the following futures contracts:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount at Value Gain/(Loss)
- ----------------------------------------- ------------------- ------------------ -------------------------------------
<S> <C> <C> <C> <C>
Australian 10 year bond (18 contracts) Short 09/17/96 $1,707,333 $3,870
=================== ================
</TABLE>
.........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. 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, as
a duration management technique or protecting against an increase in
the price of securities the Portfolio anticipates purchasing at a later
date. At June 30, 1996, there were no open interest rate swap
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, 1996, the
Portfolio had entered into the following delayed delivery transactions:
<TABLE>
<CAPTION>
Type Security Settlement Date Amount
- ----------------------------- ------------------------------------ -------------------------- -----------------------
<S> <C> <C>
Buy GNMA 08/21/96 $6,732,294
=======================
</TABLE>
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
Financial Statements
For the Six Months Ended June 30, 1996
(Unaudited)
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
Statements of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets
Investment in Standish Global Fixed Income Portfolio,
<S> <C> <C>
(Portfolio) at value (Note 1A) $ 152,749,344
Deferred organization expenses (Note 1D) 5,664
Other assets 4,068
-----------------
Total assets 152,759,076
Liabilities
Distribution payable $ 947,554
Accrued investment advisory fees (Note 3) 53,889
Accrued trustee fees 741
Accrued expenses and other liabilities 23,250
----------------
Total liabilities 1,025,434
-----------------
Net Assets $ 151,733,642
=================
Net Assets consist of
Paid-in capital $ 150,236,616
Undistributed net investment income (loss) 797,967
Accumulated net realized gain (loss) (741,532)
Net unrealized appreciation (depreciation) 1,440,591
-----------------
Total $ 151,733,642
=================
Shares of beneficial interest outstanding 7,762,724
=================
Net asset value, offering price and redemption price per share $ 19.55
=================
(Net Assets/Shares Outstanding)
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
Statement of Operations
For the Six Months Ended June 30, 1996
(Unaudited)
Investment Income (Note 1B)
Interest income $ 3,750,059
Dividend income (net of withholding tax of $3,425) 12,258
Interest income allocated from Portfolio 1,760,767
Dividend income allocated from Portfolio (net of withholding tax of $1,890) 17,270
Expenses allocated from Portfolio (152,122)
----------------
Total income 5,388,232
Expenses
Investment Advisory Fee (Note 3) $ 198,747
Trustees fees 2,947
Accounting, custody and transfer agent fees 90,174
Legal and audit services 24,209
Registration fees 4,718
Insurance expense 1,330
Amortization of organization expense (Note 1D) 1,125
Miscellaneous 1,481
---------------
Total expenses 324,731
----------------
Net investment income (loss) 5,063,501
----------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments from:
Investment security transactions 271,414
Financial futures (79,108)
Written option transactions 421,947
Foreign currency and forward foreign currency contracts 1,847,799
Net realized gain (loss) from Portfolio on:
Investment security transactions (144,759)
Financial futures 22,460
Written option transactions 210,120
Foreign currency and forward foreign currency contracts 13,181
---------------
Net realized gain (loss) 2,563,054
Change in unrealized appreciation (depreciation) of investments from:
Investment securities (6,161,680)
Financial futures 2,296
Written option transactions 189,117
Foreign currency and forward foreign currency contracts 423,160
From Portfolio 1,707,164
---------------
Change in net unrealized gain (loss) (3,839,943)
----------------
Net realized and unrealized gain (loss) (1,276,889)
----------------
Net increase (decrease) in net assets resulting from operations $ 3,786,612
================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
Statements of Changes in Net Assets
Six Months Ended
June 30, 1996 Year Ended
(Unaudited) December 31, 1995
------------------ --------------------------
Increase (Decrease) in Net Assets:
From operations
Net investment income $ 5,063,501 $ 10,692,949
Net realized gain (loss) 2,563,054 1,595,141
Change in net unrealized appreciation (depreciation) (3,839,943) 10,169,602
------------------ -------------------
Net increase (decrease) in net assets from operations 3,786,612 22,457,692
------------------ -------------------
Distributions to shareholders
From net investment income (3,841,224) (10,692,948)
In excess of net investment income --- (736,162)
------------------ -------------------
Total distributions to shareholders (3,841,224) (11,429,110)
------------------ -------------------
Fund share transactions, (Note 6)
Net proceeds from sale of shares 18,627,802 10,989,037
Net asset value of shares issued to shareholders
in payment of distributions declared 1,958,793 6,104,310
Cost of shares redeemed (6,697,363) (25,454,420)
------------------ -------------------
Increase (decrease) in net assets from Fund share transactions 13,889,232 (8,361,073)
------------------ -------------------
Net increase (decrease) in net assets 13,834,620 2,667,509
Net Assets:
At beginning of period 137,899,022 135,231,513
------------------ -------------------
At end of period (including undistributed net investment income of
$797,967 and distributions in excess of net investment income
$424,310 at June 30, 1996 and December 31, 1995, respectively) $ 151,733,642 $ 137,899,022
================== ===================
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
Financial Highlights
Six Months Ended
June 30, 1996 Year Ended December 31,
-----------------------------------------
(Unaudited) 1995 1994 +
--------------------- ---------------- ----------------
Net asset value - Beginning of period $ 19.53 $ 17.99 $ 20.00
--------------------- ---------------- ----------------
Income from investment operations:
Net investment income 0.66 1.59 1.29
Net realized and unrealized gain
(loss) on investments (0.14) 1.60 (2.70)
--------------------- ---------------- ----------------
Total from investment operations (0.52) $3.19 ($1.41)
--------------------- ---------------- ----------------
Less distributions to shareholders:
Tax return of capital --- --- (0.60)
From net investment income (0.50) (1.65) ---
--------------------- ---------------- ----------------
Total distributions declared to shareholders (0.50) (1.65) (0.60)
--------------------- ---------------- ----------------
Net asset value - end of period $ 19.55 $ 19.53 $ 17.99
===================== ================ ================
Total Return 2.64% 18.13% (7.06%)
Ratios (to average net assets)/Supplemental Data:
Expenses (1) 0.t5% 0.62% 0.t,*
Net investment income 7.t4% 7.69% 7.t,*
Portfolio Turnover (2) 73% 163% 140%
Net assets, end of period (000 omitted) $ 151,734 $ 137,889 $ 135,232
* The investment adviser voluntarily waived a portion of its investment advisory fee for
the year ended December 31, 1994. Had these actions not been taken, the net investment
income per share and the ratios would have been:
Net investment income per share $1.27
Ratios (to average daily net assets):
Expenses 0.t3%
Net Investment Income 7.t5%
+ For the period from January 3, 1994 (start of business) to December 31, 1994.
t Annualized
(1) Includes the Fund's share of Standish Global Fixed Income Portfolio's allocated expenses for the
period from May 3, 1996 to June 30, 1996.
(2) Portfolio turnover represents the rate of portfolio activity for the period while the Fund was making
investments directly in securities. The portfolio turnover rate for the period since the Fund transferred
substantially all of its investable assets to the Portfolio is shown in the Portfolio's financial statements
which are included elsewhere in this report.
</TABLE>
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund Series
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
diversified investment series of the Trust. On May 3, 1996, the Fund
contributed substantially all of its investable assets to the 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, in exchange for an interest in the
Portfolio. The Fund invests all of its investable assets in the
interests in the Portfolio, which 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, 1996). The performance of the Fund is
directly affected by the performance of the Portfolio. The financial
statements of the Portfolio are included elsewhere in this report and
should be read in conjunction with the Fund's financial statements. The
following is a summary of significant accounting policies followed by
the Fund in the preparation of the financial statements. The
preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A...Investment security valuations--
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B...Securities transactions and income--
Securities transactions are recorded as of the trade date. Currently,
the Fund's net investment income consists of the Fund's pro rata share
of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles. Prior to the Fund's investment in the
Portfolio, the Fund held its investments directly. For investments held
directly, interest income was determined on the basis of interest
accrued, dividend income was recorded on the ex-dividend date and
realized gains and losses from securities sold were recorded on the
identified cost basis. The Fund does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates
on investments from the fluctuations arising from changes in market
prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss from investments.
C...Federal taxes--
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal
year. At December 31, 1995, the Fund, for federal income tax purposes,
had capital loss carryovers which will reduce the Fund's taxable income
arising from future net realized gain on investments, if any, to the
extent permitted by the Internal Revenue Code and thus will reduce the
amount of distributions to shareholders which would otherwise be
necessary to relieve the Fund of any liability for federal income tax.
Such capital loss carryovers are $3,284,436 which expire on December
31, 2002.
<PAGE>
D...Deferred organization expense--
Costs incurred by the Fund in connection with its organization and
initial registration are being amortized on a straight-line basis
through December, 1998.
(2).....Distribution 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 automatically invested in additional shares of the Fund
unless the shareholder elects to receive them in cash. Distributions in
excess of net realized gain on investments, written options, and
foreign currency arise because of certain timing differences. 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 foreign currency transactions. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to paid-in capital.
(3).....Investment Advisory Fee:
Prior to May 3, 1996 (when the Fund transferred substantially all of
its assets to the Portfolio in exchange for an interest in the
Portfolio), the Fund retained Standish International Management
Company, L.P. (SIMCO) as its investment adviser. The investment
advisory fee paid to SIMCO for overall investment advisory and
administrative services, and general office facilities, was paid
quarterly at the annual rate of 0.40% of the Fund's average daily net
assets. The advisory agreement provided that if the total annual
operating expenses of the Fund (excluding brokerage commissions, taxes
and extraordinary expenses) in any fiscal year exceeded the lower of
(a) 0.65% of the Fund's average daily net assets or (b) the permissible
expense limitation applicable to the Fund in any state in which shares
of the Fund are then qualified for sale, the compensation due the
adviser shall be reduced by the amount of the excess. Currently, the
Fund pays no compensation directly to SIMCO for such services now
performed for the Portfolio, but indirectly bears its pro rata share of
the compensation paid by the Portfolio to SA&W for such services. See
Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. The Fund pays no compensation
directly to its trustees who are affiliated with the investment adviser
or to its officers, all of whom receive remuneration for their services
to the Fund from the investment adviser. Certain of the trustees and
officers of the Trust are directors or officers of SIMCO.
(4).....Purchases and Sales of Investments:
Purchases and proceeds from sales of investments from January 1, 1996
through May 3, 1996, other than short-term obligations, were as
follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------- ---------------------
<S> <C> <C>
U.S. Government Securities $19,228,296 $13,447,972
================== =====================
Investments (non-U.S. government securities) $99,130,363 $87,126,072
================== =====================
</TABLE>
<PAGE>
A summary of written option transactions, as more fully described in
Note 5 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report, for the period January 1, 1996
through May 3, 1996 is as follows:
Written Put Option Transactions
- --------------------------------------------------------------------------------
Number
of Contracts Premiums
--------------------------------------
Outstanding, beginning of period 4 $ 153,696
Options written 11 242,400
Options exercised (2) (34,728)
Options expired (5) (162,292)
Options closed (1) (29,088)
-------------- ---------------------
Outstanding, end of period 7 $ 169,988
============== =====================
Written Call Option Transactions
- --------------------------------------------------------------------------------
Number
of Contracts Premiums
--------------------------------------
Outstanding, beginning of period 2 $ 70,915
Options written 13 377,197
Options exercised 0 0
Options expired (4) (125,990)
Options closed (2) (43,878)
-------------- ---------------------
Outstanding, end of period 9 $ 278,244
============== =====================
Written Cross Currency Option Transactions
- --------------------------------------------------------------------------------
Number
of Contracts Premiums
--------------------------------------
Outstanding, beginning of period 3 $ 119,867
Options written 4 160,728
Options exercised 0 0
Options expired 0 0
Options closed (2) (66,180)
-------------- ---------------------
Outstanding, end of period 5 $ 214,410
============== =====================
(5).....Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the period from May 3, 1996 to June 30, 1996 aggregated $1,919,917 and
$2,043,202, respectively.
<PAGE>
(6).....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, 1996 December 31,
(Unaudited) 1,995
------------------- ---------------------
<S> <C> <C>
Shares sold 942,852 558,609
Shares issued to shareholders in payment of distributions declared 100,894 317,125
Shares redeemed (341,047) (1,332,915)
------------------- ---------------------
Net increase (decrease) 702,699 (457,181)
=================== =====================
</TABLE>
(7).....Special Meeting of Fund Shareholders:
On March 7, 1996, a special meeting of Fund shareholders was held at
which shareholders: (1) adopted a new investment policy that authorized
the Fund to invest all of its investable assets in the Portfolio and
amended certain investment restrictions that would permit such
investment; and (2) authorized the Portfolio to vote as a holder of an
interest in the Portfolio (a) to elect trustees of Standish, Ayer &
Wood Master Portfolio, (b) to ratify the selection of accountants of
the Portfolio and (c) to approve an investment advisory agreement
between the Portfolio and SIMCO. The shareholder vote approving each of
these proposals was as follows:
<TABLE>
<CAPTION>
<S> <C> <C>
Proposal 1
FOR: 5,215,064.25 (74.972% of the shares represented and outstanding)
AGAINST: 31,569.00 (0.454% of the shares represented and outstanding)
ABSTAIN: 0 (0.000% of the shares represented and outstanding)
Proposal 2 (a)
FOR: 5,246,633.26 (75.426% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 0 (0.000% of the shares represented and outstanding)
Proposal 2 (b)
FOR: 5,246,633.26 (75.426% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 0 (0.000% of the shares represented and outstanding)
Proposal 2 (c)
FOR: 5,246,633.26 (75.426% of the shares represented and outstanding)
AGAINST: 0 (0.000% of the shares represented and outstanding)
ABSTAIN: 0 (0.000% of the shares represented and outstanding)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Portfolio of Investments
(Unaudited)
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ----------------------------------- --------------------
BONDS and NOTES - 90.1%
Asset Backed - 1.2%
- ----------------------------------------------
<S> <C> <C> <C> <C>
Citibank Credit Card Master Trust 0.%0 2/07/2003 150,000 $ 109,969
Greentree Securities Trust 1994-A 6.90 2/15/2004 713,774 706,859
The Money Store Home Equity 1995-C A3 6.55 9/15/2021 500,000 484,375
The Money Store Home Equity 1996-B A5 7.18 2/15/2015 525,000 527,297
-------------------
1,828,500
-------------------
Collateralized Mortgage Obligations - 0.3%
- --------------------------------------------------------------
UCFC Home Equity Loan Trust 6.50 4/15/2016 500,000 490,000
-------------------
Corporate - 14.3%
- ----------------------------------------------
Basic Industry - 1.0%
- ----------------------------------------------
AK Steel Holding Corp. 10.75 4/01/2004 500,000 538,750
Koppers Industries Inc. 8.50 2/01/2004 500,000 470,280
Owens-Illinois Inc. 11.00 12/01/2003 500,000 537,500
-------------------
1,546,530
-------------------
Consumer Cyclical - 1.0%
- ----------------------------------------------
Exide Corp. 10.00 4/15/2005 500,000 488,125
General Motors Acceptance Corp. 6.70 4/30/2001 1,000,000 990,320
-------------------
1,478,445
-------------------
Consumer Stable - 0.4%
- ----------------------------------------------
Stop & Shop Companies 9.75 2/01/2002 500,000 547,500
-------------------
Energy - 0.7%
- ----------------------------------------------
Clark Oil 10.50 12/01/2001 1,000,000 1,035,000
-------------------
Financial - 6.5%
- ----------------------------------------------
Advanta Corp. 7.00 5/01/2001 450,000 445,698
Anchor Bancorp 8.94 7/09/2003 1,000,000 998,800
Capital One Bank Co. 5.95 2/15/2001 500,000 473,350
Enterprise Corp. 7.00 6/15/2000 500,000 501,360
First Nationwide 12.25 5/15/2001 500,000 546,695
Goldman Sachs Inc. Group L P 144A 6.20 2/15/2001 1,000,000 969,940
Liberty Mutual Insurance Co. Inc. 144A 8.50 5/15/2025 1,000,000 1,033,000
Merrill Lynch & Co 6.00 3/01/2001 500,000 476,370
Morgan Stanley Group Inc. 6.70 5/01/2001 900,000 892,035
Reliance Group Holdings Corp. 9.00 11/15/2000 1,500,000 1,501,704
Salomon Brothers Inc. 7.25 5/01/2001 500,000 498,760
Summit Bancorp 8.63 12/10/2002 538,000 577,150
United Companies Financial 9.35 11/01/1999 1,000,000 1,055,310
-------------------
9,970,172
-------------------
Health Care - 0.3%
- ----------------------------------------------
Healthsouth Rehabilitation 9.50 4/01/2001 500,000 520,000
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
Real Estate - 2.0%
- ----------------------------------------------
Corporate Property 144A 7.%8 3/15/2016 500,000 $ 488,535
Equity Residential Property Operating LP 144A 8.50 5/15/1999 500,000 516,575
Taubman Realty Group 8.00 6/15/1999 1,000,000 1,010,000
Wellsford REIT 9.38 2/01/2002 1,000,000 1,082,500
-------------------
3,097,610
-------------------
Services - 1.8%
- ----------------------------------------------
Comcast Corp. 10.63 7/15/2012 500,000 522,500
News America Holdings Corp. 7.70 10/30/2025 500,000 460,095
Time Warner Inc. 9.13 1/15/2013 250,000 261,095
Time Warner Inc. 9.15 2/01/2023 150,000 153,750
Time Warner Inc. 9.63 5/01/2002 500,000 551,025
Viacom Inc. 7.63 1/15/2016 225,000 203,063
Viacom Inc. 7.75 6/01/2005 575,000 560,637
-------------------
2,712,165
-------------------
Technology - 0.3%
- ----------------------------------------------
Jones Intercable 9.63 3/15/2002 500,000 509,250
-------------------
Utilities - 0.3%
- ----------------------------------------------
System Energy Resources Corp. 7.38 10/01/2000 500,000 483,035
-------------------
TOTAL Corporate 21,899,707
-------------------
Australia - 1.9%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Australia 10.00 10/15/2007 400,000 339,021
New South Wales Treasury 0.00 9/03/2010 600,000 131,391
South Australia Government Finance 0.00 12/21/2015 2,500,000 340,075
State Electric Commission of Victoria 0.00 1/11/2011 1,500,000 316,093
Treasury Corp. of Victoria 0.00 8/31/2011 2,000,000 397,868
-------------------
1,524,448
-------------------
Other
- ----------------------------------------------
News America Holdings 8.63 2/07/2014 2,000,000 1,316,266
-------------------
TOTAL Australia 2,840,714
-------------------
Canada - 1.7%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Canada 7.75 9/01/1999 800,000 605,394
Govt. of Canada 8.50 3/01/2000 1,700,000 1,315,868
Govt. of Canada 8.50 4/01/2002 800,000 622,691
-------------------
2,543,953
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
Denmark - 7.6%
- ----------------------------------------------
Government
- ----------------------------------------------
Kingdom of Denmark 9.%0 11/15/2000 10,600,000 $ 1,999,489
Kingdom of Denmark 8.00 11/15/2001 5,400,000 982,386
Kingdom of Denmark 8.00 3/15/2006 5,500,000 974,174
Kingdom of Denmark 9.00 11/15/1998 5,200,000 960,078
-------------------
4,916,127
-------------------
Other
- ----------------------------------------------
Denmark Nykredit 7.00 10/01/2026 25,695,000 3,825,444
Denmark Nykredit 8.00 10/01/2026 9,374,000 1,514,005
Denmark Realkredit 7.00 10/01/2026 2,507,000 373,240
Denmark Realkredit 9.00 10/01/2006 4,900,000 900,935
Denmark Nykredit 11.00 10/01/2017 15,000 2,803
6,616,427
-------------------
TOTAL Denmark 11,532,554
-------------------
Europe - 0.9%
- ----------------------------------------------
Other
- ----------------------------------------------
Govt. of Italy (Strip) 0.00 3/07/1999 1,017,500 1,065,920
Govt. of Italy (Strip) 0.00 3/07/2005 351,500 225,978
Govt. of Italy (Strip) 0.00 3/07/2010 222,000 87,353
-------------------
1,379,251
-------------------
Finland - 3.1%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Finland 7.25 4/18/2006 14,000,000 2,984,934
Govt. of Finland 10.00 9/15/2001 7,000,000 1,757,070
-------------------
4,742,004
-------------------
France - 1.9%
- ----------------------------------------------
Government
- ----------------------------------------------
French Treasury Bill 7.00 11/12/1999 7,400,000 1,518,692
-------------------
Other
- ----------------------------------------------
Republic of Argentina 9.88 1/06/1998 6,700,000 1,352,878
-------------------
TOTAL France 2,871,570
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
Germany - 4.1%
- ----------------------------------------------
Government
- ----------------------------------------------
Baden Wurttemberg 6.%0 1/25/2006 1,000,000 $ 624,180
Baden Wurttemberg 6.20 11/22/2013 2,000,000 1,296,037
Federal Republic of Germany 8.38 5/21/2001 2,000,000 1,467,192
Federal Republic of Germany 9.00 10/20/2000 1,630,000 1,212,874
-------------------
4,600,283
-------------------
Other
- ----------------------------------------------
Province of Buenos Aires 10.00 12/07/1998 400,000 275,591
Province of Buenos Aires 10.00 3/05/2001 2,000,000 1,333,990
-------------------
1,609,581
-------------------
TOTAL Germany 6,209,864
-------------------
Ireland - 2.9%
- ----------------------------------------------
Government
- ----------------------------------------------
Irish Gilts 6.25 4/01/1999 640,000 1,016,717
Irish Gilts 6.50 10/18/2001 860,000 1,349,067
Irish Gilts 8.00 10/18/2000 640,000 1,062,653
Irish Gilts 9.25 7/11/2003 608,000 1,076,434
-------------------
4,504,871
-------------------
Italy - 8.0%
- ----------------------------------------------
Government
- ----------------------------------------------
Govt. of Italy 8.50 8/01/2004 600,000,000 378,377
Govt. of Italy 9.00 11/01/2023 4,400,000,000 2,723,154
Govt. of Italy 9.50 12/01/1999 3,800,000,000 2,543,734
Govt. of Italy 10.50 11/01/2000 4,300,000,000 2,982,398
Govt. of Italy 12.50 3/01/2001 1,300,000,000 962,059
Italy Cvt 6.50 6/28/2001 1,700,000,000 1,127,240
-------------------
10,716,962
-------------------
Other
- ----------------------------------------------
Abbey National Treasury 10.00 8/24/2000 1,450,000,000 944,933
Bank Nederlandse 10.50 6/18/2003 800,000,000 555,230
-------------------
1,500,163
-------------------
TOTAL Italy 12,217,125
-------------------
Japan - 3.8%
- ----------------------------------------------
Other
- ----------------------------------------------
Glaxo Holdings 4.30 9/28/1998 50,000,000 474,150
International Bank Reconstruction & Development 6.75 3/15/2000 169,000,000 1,797,407
KFW International Finance 6.00 11/29/1999 133,000,000 1,371,233
Kingdom of Belgium 5.00 12/17/1999 210,000,000 2,106,319
-------------------
5,749,109
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
New Zealand - 4.0%
- ----------------------------------------------
Government
- ----------------------------------------------
Government Property Services 7.%5 3/15/1999 2,000,000 $ 1,281,433
Govt. of New Zealand 8.00 7/15/1998 2,200,000 1,473,489
Govt. of New Zealand 8.00 11/15/2006 1,500,000 976,879
-------------------
3,731,801
-------------------
Other
- ----------------------------------------------
Fletcher Challenge 10.00 4/30/2005 1,000,000 666,994
Fletcher Challenge 14.50 9/30/2000 500,000 386,208
Fletcher Challenge Cvt 11.25 12/15/2002 1,900,000 1,343,063
-------------------
2,396,265
-------------------
TOTAL New Zealand 6,128,066
-------------------
Norway - 1.8%
- ----------------------------------------------
Other
- ----------------------------------------------
Uni-Storebrand As 11.15 1/15/2002 11,750,000 1,303,622
Vesta Forsikring 9.50 8/25/2000 3,000,000 495,536
Vital Forsikring 7.85 9/22/2003 6,000,000 911,556
-------------------
2,710,714
-------------------
Spain - 3.8%
- ----------------------------------------------
Government
- ----------------------------------------------
Castilla Junta 8.30 11/29/2001 28,000,000 220,552
Junta de Andalucia 11.10 12/02/2005 248,000,000 2,117,008
Kingdom of Spain 10.00 2/28/2005 164,100,000 1,371,124
Kingdom of Spain 10.30 6/15/2002 84,000,000 712,003
Kingdom of Spain 11.30 1/15/2002 156,000,000 1,372,508
-------------------
5,793,195
-------------------
Sweden - 6.0%
- ----------------------------------------------
Government
- ----------------------------------------------
Kingdom of Sweden 9.00 4/20/2009 15,400,000 2,424,177
Kingdom of Sweden 10.25 5/05/2003 3,600,000 609,131
Kingdom of Sweden 13.00 6/15/2001 22,400,000 4,130,490
-------------------
7,163,798
-------------------
Other
- ----------------------------------------------
Fulmar Mortgage Sec #1 7.65 11/01/2000 2,818,500 423,566
Sweden Caisse #1036 10.25 5/05/2000 9,700,000 1,612,298
-------------------
2,035,864
-------------------
TOTAL Sweden 9,199,662
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
Thailand - 1.0%
- ----------------------------------------------
Government
- ----------------------------------------------
Thailand Investment Bills of Exchange 0.%0 10/28/1996 20,000,000 $ 764,827
Thailand Investment Bills of Exchange 0.00 10/29/1996 20,000,000 764,638
-------------------
1,529,465
-------------------
United Kingdom - 10.2%
- ----------------------------------------------
Government
- ----------------------------------------------
UK Treasury 7.00 11/06/2001 1,565,000 2,387,574
UK Treasury 7.50 12/07/2006 100,000 150,815
UK Treasury 9.00 3/03/2000 296,000 487,166
UK Treasury 6.75 11/26/2004 1,000,000 1,452,405
UK Treasury 8.00 12/07/2000 1,850,000 2,956,002
-------------------
7,433,962
-------------------
Other
- ----------------------------------------------
Birmingham Midshares Soc 9.13 1/05/2006 750,000 1,172,608
Hanson Trust Plc 10.00 4/18/2006 1,650,000 2,767,463
Inco Ltd. 15.75 7/15/2006 200,000 441,630
Mepc Plc 12.00 6/30/2006 750,000 1,419,823
Royal Bank of Scotland 9.63 6/22/2015 350,000 548,385
Seeboard Plc 8.50 10/03/2005 800,000 1,226,185
Woolwich Building Society 11.63 12/18/2001 400,000 713,679
-------------------
8,289,773
-------------------
TOTAL United Kingdom 15,723,735
-------------------
Yankee Bonds - 3.3%
- ----------------------------------------------
Brascan Ltd. 7.38 10/01/2002 500,000 489,895
Cominco Ltd. 6.88 2/15/2006 525,000 487,557
Domtar Inc. 11.75 3/15/1999 1,000,000 1,097,500
Govt. of Argentina (a) 6.31 3/31/2005 940,500 738,293
Methanex Corp. 7.40 8/15/2002 250,000 247,845
Methanex Corp. 7.75 8/15/2005 450,000 442,242
Republic of Argentina 5.25 3/31/2023 250,000 136,875
Se Banken 144A Euro Step Up 6.63 3/29/2049 500,000 480,055
Tembec Finance Corp. 9.88 9/30/2005 1,000,000 930,000
-------------------
TOTAL Yankee Bonds 5,050,262
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
U.S. Government Agency - 3.0%
- ----------------------------------------------
Pass Thru Securities - 3.0%
- ----------------------------------------------
FHLMC 6.%0 3/01/2026 - 3/01/2026 427,80$ 400,662
FHLMC 7.00 3/01/2026 2,015,093 1,940,152
FNMA 7.00 12/01/1999 - 9/01/2025 1,636,137 1,588,840
GNMA 9.00 6/15/2016 - 2/25/2027 224,532 237,449
Resolution Trust Corp. 1995 C1 Cl C 6.90 2/25/2027 500,000 466,250
-------------------
4,633,353
-------------------
TOTAL U.S. Government Agency 4,633,353
-------------------
U.S. Treasury Obligations - 5.3%
- ----------------------------------------------
U.S. Treasury Bond 7.88 2/15/2021 425,000 466,238
U.S. Treasury Note 6.25 4/30/2001 750,000 742,734
U.S. Treasury Note 5.63 11/30/2000 2,150,000 2,082,469
U.S. Treasury Note 5.63 1/31/1998 1,000,000 993,910
U.S. Treasury Note 5.88 2/15/2004 1,725,000 1,648,721
U.S. Treasury Note 6.25 2/15/2003 2,200,000 2,161,148
U.S. Treasury Note 7.13 2/29/2000 50,000 51,133
-------------------
TOTAL U.S. Treasury Obligations 8,146,353
-------------------
Total Bonds and Notes (Identified Cost $136,872,191) 137,724,027
-------------------
Preferred Stock - 0.7%
- ----------------------------------------------
Newscorp Overseas Ltd. Ser B 20,000 450,000
Texaco Capital Llc 14,000 299,250
Time Warner Inc. 10.25% Ser K 200 193,000
Wellsford Residential Property 3,000 74,250
-------------------
TOTAL Preferred Stock (Identified Cost $1,110,000) 1,016,500
-------------------
Principal
<PAGE>
Amount of Value
Security Contracts (Note 1A)
- ---------------------------------------------- -------------------- -------------------
Purchased Options - 0.8%
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration
- --------------------------------------------------------------
AUD 10.00% Call, Str 106.163, 10/25/96 1,000,000 $ 16,313
AUD 10.00% Call, Str 107.541, 10/23/96 3,800,000 43,396
AUD 7.50% Call, Str 90.773, 10/25/96 750,000 11,983
CHF Put/ESB Call, Str 103.000, 8/29/96 3,700,000 19,777
CHF Put/GBP Call, Str 1.9385, 8/7/96 1,700,000 18,197
CHF Put/ITL Call, Str 1230.00, 6/17/97 3,700,000 30,699
CHF Put/USD Call, Str 1.27, 9/6/96 4,790,000 38,799
DEM 6.25% Call, Str 87.980, 11/07/96 3,890,000 35,660
DEM 6.25% Call, Str 99.00, 9/23/96 4,250,000 8,326
DEM 6.50% Call, Str 100.550, 8/20/96 4,250,000 11,156
DEM 7.375% Call, Str 105.910, 9/16/96 5,400,000 18,068
DEM Put / USD Call, Str 1.530, 10/24/96 3,250,000 41,600
DEM Put / USD Call, Str 1.535, 10/25/96 4,600,000 54,740
DEM Put/ESB Call, Str 83.550, 7/9/96 4,500,000 1,476
DEM Put/USD Call, Str 1.550, 4/22/97 3,000,000 50,700
ESB 10.15% Call, Str 105.650, 11/14/96 385,000,000 88,935
ESB Put/JPY Call, Str 1.200, 5/22/97 363,800,000 74,579
ITL 9.00% Call, Str 92.48, 9/17/96 4,400,000,000 92,400
ITL 9.00% Call, Str 95.07, 9/25/96 3,750,000,000 45,000
JPY 2.90% Call, Str 97.854, 7/3/96 330,000,000 330
JPY 3.20% Call, Str 99.512, 7/1/96 300,000,000 600
JPY 4.20% Call, Str 106.983, 7/3/96 330,000,000 660
JPY Put/ ESB Call, Str 1.180, 5/26/97 365,000,000 57,670
JPY Put/AUD Call, Str 85.150, 12/30/96 350,000,000 73,850
JPY Put/AUD Call, Str 86.400, 5/28/97 365,000,000 62,415
JPY Put/ESB Call, Str 1.200, 10/30/96 270,000,000 54,540
JPY Put/ITL Call, Str 14.555, 12/12/96 336,936,000 94,679
JPY Put/NZD Call, Str 72.000, 5/28/97 365,000,000 92,345
SEK 9% Call, Str 102.41, 9/17/96 15,400,000 64,649
USD Put/CAD Call, Str 1.35, 9/10/96 2,700,000 7,560
-------------------
Total Purchased Options (Premiums Paid $1,271,125) 1,211,102
-------------------
Short-Term Investments - 6.6%
- ----------------------------------------------
Repurchase Agreements - 3.3%
- ----------------------------------------------
Prudential-Bache Repurchase Agreement, dated 6/28/96,
4.77% due 7/1/96, to pay $5,050,354 (Collateralized by
FNMA's with rates ranging from 7.075% to 7.445% and
and maturity dates ranging from 5/01/14 to 4/01/24
with an aggregate market value of $5,149,324. 5,048,347 5,048,347
-------------------
<PAGE>
Par Value
Security Rate Maturity Value + (Note 1A)
- ---------------------------------------------- ----------- ---------------------------------- -------------------
U.S. Government Agency - 3.3%
- ----------------------------------------------
Federal Home Loan Bank 5.%2 9/18/1996 5,100,000 $ 5,032,234
-------------------
TOTAL Short-Term Investments (Identified Cost $10,080,581) 10,080,581
-------------------
TOTAL INVESTMENTS (Identified Cost $149,333,897) - 98.2% 150,032,210
-------------------
Principal
Written Options - 0.4% Amount of
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration Contracts
- -------------------------------------------------------------- --------------------
AUD 10.00% Call, Str 110.163, 10/25/96 (1,000,000) (5,304)
AUD 10.00% Call, Str 111.541, 10/23/96 (3,800,000) (12,399)
AUD 10.00% Put, Str 102.163, 10/25/96 (1,000,000) (4,133)
AUD 10.00% Put, Str 103.541, 10/23/96 (3,800,000) (25,114)
AUD 7.50% Call, Str 94.773, 10/25/96 (750,000) (3,352)
AUD 7.50% Put, Str 86.773, 10/25/96 (750,000) (1,702)
AUD Put/JPY Call, Str 74.000, 5/28/97 (365,000,000) (51,100)
CAD Put/USD Call, Str 1.38, 9/10/96 (2,700,000) (6,480)
CHF Put/USD Call, Str 1.33, 9/6/96 (4,790,000) (6,227)
DEM 6.25% Call, Str 92.130, 11/7/96 (3,890,000) (6,033)
DEM 6.25% Put, Str 83.830, 11/07/96 (3,890,000) (13,494)
DEM 6.25% Put, Str 95.640, 11/14/96 (4,590,000) (22,890)
DEM Put / USD Call, Str 1.600, 10/24/96 (3,250,000) (10,075)
DEM Put / USD Call, Str 1.605, 10/25/96 (4,600,000) (10,120)
ESB 10.15% Call, Str 108.650, 11/14/96 (385,000,000) (40,040)
ESB Put JPY Call, Str 1.350, 5/22/97 (363,800,000) (21,828)
ESB Put/ JPY Call, Str 1.340, 5/26/97 (365,000,000) (25,915)
ESB Put/CHF Call, Str 111.000, 8/29/96 (3,700,000) (1,476)
ESB Put/JPY Call, Str 1.400, 10/30/96 (270,000,000) (1,350)
ITL 9.00% Call, Str 95.68, 9/17/96 (4,400,000,000) (44,000)
ITL 9.00% Call, Str 97.57, 9/25/96 (3,750,000,000) (22,500)
ITL 9.00% Put, Str 90.36, 9/17/96 (4,400,000,000) (13,200)
ITL 9.00% Put, Str 92.57, 9/25/96 (3,750,000,000) (26,250)
ITL Put/CHF Call, Str 1350.00, 6/17/97 (3,700,000) (34,540)
Principal
Written Options - 0.4% (Continued) Amount of
- ----------------------------------------------
Deliver/Receive, Excercise Price, Expiration Contracts
- -------------------------------------------------------------- --------------------
NZD Put/JPY Call, Str 65.000, 5/28/97 (365,000,000) $ (69,715)
SEK 9.00% Call, Str 105.66, 9/17/96 (15,400,000) (25,718)
SEK 9.00% Put, Str 99.16, 9/17/96 (15,400,000) (9,271)
USD Put/CHF Call, Str 1.140, 10/24/96 (3,250,000) (5,850)
USD Put/CHF Call, Str 1.145, 10/25/96 (4,600,000) (9,660)
USD Put/CHF Call, Str 1.176, 7/10/96 (3,900,000) (1,560)
USD Put/DEM Call, Str 1.425, 4/22/97 (3,000,000) (41,700)
-------------------
TOTAL Written Options (Premiums Received $937,152) (572,996)
-------------------
Other Assets less Liabilities - 2.2% 3,290,233
-------------------
Net Assets - 100.0% $ 152,749,447
===================
Notes to the Schedule of Investments:
+ The principal amounts of these bonds are stated in the currency of the country classification.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Statements of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets
<S> <C> <C>
Investments, at value (Note 1A) (identified cost, $149,333,897) $ 150,032,210
Foreign currency, at value (cost, $677,230) 673,889
Receivable for daily variation margin on open
financial futures contracts (Note 5) 10,575
Receivable for investments sold 4,643,186
Interest and dividends receivable 3,213,360
Unrealized appreciation on forward foreign currency
exchange contracts (Note 5) 385,348
Deferred organization expenses (Note 1F) 71,418
-----------------
Total assets 159,029,986
Liabilities
Payable for investments purchased $ 5,498,315
Options written, at value (premiums received $937,153) 572,997
Accrued investment advisory fee (Note 2) 92,370
Accrued trustee fees 772
Accrued expenses and other liabilities 116,085
----------------
Total liabilities 6,280,539
-----------------
Net Assets $ 152,749,447
=================
Net Assets consist of
Net proceeds from capital contributions and withdrawals $ 151,273,410
Unrealized appreciation (depreciation) of investments 1,476,037
-----------------
Total net assets $ 152,749,447
=================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Statement of Operations
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Investment Income (Note 1B)
Interest Income $ 1,760,767
Dividend income (net of withholding tax of $1,890) 17,270
----------------
Total income 1,778,037
Expenses
Investment adviser fee (Note 2) $ 92,370
Trustee fees 772
Custodian and accounting expenses 44,424
Legal and audit services 8,347
Insurance expense 881
Amortization of organization expenses (Note 1F) 2,261
Miscellaneous 3,067
----------------
Total expenses 152,122
----------------
Net investment income (loss) 1,625,915
----------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Investment security transactions (144,759)
Financial futures 22,460
Written options 210,120
Foreign currency and forward foreign
currency exchange contracts 13,181
----------------
Net realized gain (loss) 101,002
Change in unrealized appreciation (depreciation)
Investment securities 2,124,410
Financial futures 28,650
Written options 89,430
Foreign currency transactions and forward foreign
currency contracts (535,326)
----------------
Change in net unrealized appreciation (depreciation) 1,707,164
----------------
Net realized and unrealized gain (loss) 1,808,166
----------------
Net increase (decrease) in net assets from operations $ 3,434,081
================
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Statement of Changes in Net Assets
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Increase (Decrease) in Net Assets:
From operations
Net investment income (loss) $ 1,625,915
Net realized Gain (loss) 101,002
Change in net unrealized appreciation (depreciation) 1,707,164
-----------------
Net increase (decrease) in net assets from operations 3,434,081
-----------------
Capital transactions -
Assets contributed by Standish Global Fixed Income Fund at
commencement (including unrealized depreciation of $231,127) 149,438,650
Contributions 1,919,917
Withdrawals (2,043,201)
-----------------
Increase in net assets resulting from capital transactions 149,315,366
-----------------
Total increase (decrease) in net assets 152,749,447
Net Assets:
At beginning of period ---
-----------------
At end of period $ 152,749,447
=================
</TABLE>
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Supplementary Data
For the period May 3, 1996 (commencement of operations)
through June 30, 1996 (Unaudited)
Ratios (to average daily net assets):
Expenses 0.*5%
Net investment income 7.*2%
Portfolio Turnover 32%
* Annualized
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio Series
Notes to Financial Statements
(Unaudited)
(1).....Significant Accounting Policies:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as 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. The following
is a summary of significant accounting policies consistently followed
by the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A...Investment security valuations--
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded.
Securities (including restricted securities) for which quotations are
not readily available are valued primarily using dealer-supplied
valuations or at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the
Board of Trustees. Short term instruments with less than sixty-one days
remaining to maturity when acquired by the Portfolio are valued at
amortized cost. If the Portfolio acquires a short term instrument with
more than sixty days remaining to its maturity, it is valued at current
market value until the sixtieth day prior to maturity and will then be
valued at amortized cost based upon the value on such date unless the
trustees determine during such sixty-day period that amortized cost
does not represent fair value.
B...Repurchase agreements--
It is the policy of the Portfolio to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book
Entry System or to have segregated within the custodian bank's vault,
all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the
Portfolio to monitor on a daily basis, the market value of the
repurchase agreements' underlying investments to ensure the existence
of a proper level of collateral.
C...Securities transactions and income--
Securities transactions are recorded as of trade date. Interest income
is determined on the basis of interest accrued, adjusted for
amortization of premium or discount on long-term debt securities when
required for federal income tax purposes. 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 Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net investment income,
net realized capital gains, and any other items of income, gain, loss
deduction or credit.
<PAGE>
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 and
administrative services is paid quarterly 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 pays no compensation directly to its
trustees who are affiliated with the investment adviser or to its
officers, all of whom receive remuneration for their services to the
Portfolio from the investment adviser. Certain of the trustees and
officers of the Portfolio Trust are partners or officers of SIMCO.
(3).....Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
investments, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------- -------------------
<S> <C> <C>
U.S. Government Securities $4,587,246 $7,360,656
=================== ===================
Investments (non-U.S. government securities) $41,129,546 $42,348,464
=================== ===================
</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, 1996, as computed on a federal
income tax basis, were as follows:
Aggregate cost $149,354,048
===================
Gross unrealized appreciation $3,070,119
Gross unrealized depreciation (2,391,957)
-------------------
Net unrealized appreciation (depreciation) $678,162
===================
<PAGE>
(5).....Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to enhance
potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these investments are set forth more
fully in the Portfolio's Prospectus and Statement of Additional
Information. 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 uses options to hedge against risks of
market exposure and changes in security prices and foreign currencies,
as well as to enhance returns. Options, both held and written by the
Portfolio, are reflected in the accompanying Statement of Assets and
Liabilities at market value. Premiums received from writing options
which expire are treated as realized gains.
Premiumsreceived 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. 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
period May 3, 1996 through June 30, 1996 is as follows:
<TABLE>
<CAPTION>
Written Put Option Transactions
- ---------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
------------------- ------------------
<S> <C> <C>
Outstanding, beginning of period 7 $ 169,988
Options written 7 158,978
Options exercised 0 0
Options expired (1) (21,519)
Options closed (1) (21,255)
------------------- ------------------
Outstanding, end of period 12 $ 286,192
=================== ==================
Written Call Option Transactions
- ---------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
------------------- ------------------
Outstanding, beginning of period 9 $ 278,244
Options written 5 91,109
Options exercised 0 0
Options expired (1) (41,040)
Options closed (1) (6,397)
------------------- ------------------
Outstanding, end of period 12 $ 321,916
=================== ==================
Written Cross Currency Option Transactions
- ---------------------------------------------------------------------------------------------------------------------------
Number
of Contracts Premiums
------------------- ------------------
Outstanding, beginning of period 5 $ 214,410
Options written 5 260,750
Options exercised 0 0
Options expired 0 0
Options closed (3) (146,115)
------------------- ------------------
Outstanding, end of period 7 $ 329,045
=================== ==================
</TABLE>
<PAGE>
.........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. Forward currency
exchange contracts are used by the fund primarily to protect the value
of the Portfolio's foreign securities from adverse currency movements.
At June 30, 1996, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
Forward Foreign Currency Contracts
- --------------------------------------------------
<TABLE>
<CAPTION>
Local U.S. $ U.S. U.S.
Principal Contract Market Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
- ---------------------------------------------- -------------------- ------------------ ------------------- --------------
<S> <C> <C> <C> <C> <C>
German Deutsche Mark 11,889,652 8/21/96-11/7/96 $7,847,736 $7,831,732 $16,004
Finnish Markka 14,198,311 7/29/96-8/27/96 3,064,801 3,099,946 (35,145)
French Franc 34,617,798 8/7/96-10/23/96 6,745,707 6,705,166 40,541
British Pound Sterling 984,488 7/3/96 1,527,160 1,518,080 9,080
Italian Lira 6,253,415,450 6/28/96-7/2/96 4,074,002 4,067,338 6,665
Japanese Yen 948,259,990 8/14/96-8/23/96 8,713,757 9,022,376 (308,619)
Netherland Guilder 1,421,723 8/26/96 835,494 868,281 (32,787)
Norwegian Krone 16,577,694 9/30/96-1/13/97 2,553,207 2,539,598 13,609
Swedish Krona 19,301,678 7/23/96-8/19/96 2,902,951 2,895,123 7,828
European Currency Unit 1,716,736 8/9/96-10/4/96 2,141,208 2,143,179 (1,971)
------------------- --------------------- ----------------
$40,406,023 $40,690,818 ($284,795)
=================== ===================== ================
Local U.S. $ U.S. U.S.
Principal Contract Market Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
- ---------------------------------------------- -------------------- ------------------ ------------------- ---------------
Australian Dollars 3,046,703 8/6/96 $2,389,968 $2,409,942 $19,974
Canadian Dollar 3,183,560 8/9/96-9/25/96 2,336,644 2,336,935 291
German Deutsche Mark 22,744,293 7/25/96-11/8/96 15,015,265 15,304,059 288,795
Danish Krone 68,954,869 8/16/96-11/6/96 11,779,688 12,098,526 318,838
Spanish Peseta 734,114,649 7/29/96-9/23/96 5,705,802 5,688,465 (17,337)
Finnish Markka 30,434,871 8/26/96-11/18/96 6,594,214 6,578,551 (15,663)
French Franc 49,525,854 8/7/96-10/24/96 9,656,773 9,817,531 160,758
British Pound Sterling 10,410,892 7/3/96-9/30/96 16,144,526 15,828,292 (316,234)
Irish Pound 2,886,057 11/18/96-11/22/96 4,609,494 4,526,246 (83,247)
Italian Lira 22,605,489,541 7/2/96-1/2/97 14,655,241 14,377,807 (277,434)
Japanese Yen 1,573,465,172 8/13/96-9/13/96 14,459,514 15,185,422 725,908
Netherland Guilder 1,421,723 8/26/96 835,494 882,400 46,906
Norwegian Krone 48,311,317 7/2/96-1/13/97 7,440,655 7,448,286 7,632
New Zealand Dollars 6,736,804 7/10/96-8/14/96 4,602,230 4,518,258 (83,973)
Swedish Krona 80,161,386 7/23/96-12/17/96 12,055,750 11,845,214 (210,536)
Thai Baht 38,000,000 10/22/96 1,496,014 1,480,327 (15,687)
European Currency Unit 2,457,243 8/9/96-10/3/96 3,064,427 3,085,429 21,002
------------------- --------------------- ----------------
$132,841,697 $133,411,690 $569,993
=================== ===================== ================
Forward Foreign Cross Currency Contracts
- ----------------------------------------------------------------------
U.S. $ U.S. $ U.S.
Market Market Contract Unrealized
Contracts to Deliver Value In Exchange for Value Value Date Gain/(Loss)
- ------------------------ ---------------- -------------------- ---------------------------------------- -------------------
German Deutsche Mark $1,248,182 Spanish Peseta $1,277,121 7/18/96 $28,938
German Deutsche Mark 3,902,757 Finnish Markka 4,012,386 7/25/96-8/30/96 109,629
Finnish Markka 3,894,950 Deutsche Mark 3,844,975 7/25/96-7/29/96 (49,976)
Finnish Markka 652,678 Swedish Krona 707,309 1/8/97 54,630
French Franc 2,781,578 Deutsche Mark 2,776,016 8/7/96 (5,562)
Netherlands Guilder 2,936,128 Danish Krone 2,952,097 8/16/96 15,969
Netherlands Guilder 1,906,155 Norwegian Krone 1,909,234 9/25/96 3,080
Swedish Krona 709,656 Finnish Markka 652,678 1/8/97 (56,977)
---------------- ------------------- ----------------
$18,032,084 $18,131,815 $99,731
================ =================== ================
</TABLE>
<PAGE>
.........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. The Portfolio is required to
deposit 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. 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. The Portfolio enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in security prices and foreign currencies.
At June 30, 1996, the Portfolio held the following futures contracts:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount at Value Gain/(Loss)
- --------------------------------------- ------------------- ------------------- ----------------------------------------
<S> <C> <C> <C> <C>
Australian 10 year (10 contracts) Short 09/17/96 ($942,037) $2,301
British Pound (16 contracts) Long 09/02/96 1,323,260 29,260
------------------- ------------------
$381,223 $31,561
=================== ==================
</TABLE>
At June 30, 1996, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open future 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. 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, as
a duration management technique or protecting against an increase in
the price of securities the Portfolio anticipates purchasing at a later
date. At June 30, 1996, there were no open interest rate swap
contracts.
<PAGE>
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