<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Financial Statements
For the Six Months Ended June 30, 1997
(Unaudited)
[LOGO APPEARS HERE]
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Global Fixed Income Portfolio
("Portfolio"), at value (Note 1A) $ 199,750,897
Other assets 4,527
-----------------
Total assets 199,755,424
Liabilities
Distribution payable $ 1,377,599
Accrued trustees' fees (Note 2) 311
Accrued expenses and other liabilities 1,340
--------------
Total liabilities 1,379,250
-----------------
Net Assets $ 198,376,174
=================
Net Assets consist of:
Paid-in capital $ 188,470,791
Accumulated net realized gain 5,836,889
Undistributed net investment income 1,681,611
Net unrealized appreciation 2,386,883
=================
Total Net Asssets $ 198,376,174
=================
Shares of beneficial interest outstanding 9,632,966
=================
Net Asset Value, Offering and Redemption Price Per Share
(Net assets/Shares outstanding) $ 20.59
=================
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statement of Operations
Six Months Ended June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income (Note 1B)
Dividend income allocated from Portfolio (net of withholding taxes, $11,651) $ 29,890
Interest income allocated from Portfolio 6,676,460
Expenses allocated from Portfolio (526,837)
------------
Net investment income from Portfolio 6,179,513
Expenses
Accounting, custody and transfer agent fees 11,772
Amortization of organization cost (Note 1D) 4,688
Miscellaneous 23,332
------------
Total expenses 39,792
Deduct:
Reimbursement of fund operating expenses (4,946)
------------
Net expenses 34,846
------------
Net investment income 6,144,667
------------
Realized and Unrealized Gain (loss)
Net realized gain (loss) allocated from Portfolio on:
Investment security transactions (350,299)
Financial futures contracts 3,662
Written options transactions 661,824
Foreign currency transactions and forward foreign currency exchange contracts 6,015,597
------------
Net realized gain 6,330,784
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investment securities (5,145,379)
Written options (514,854)
Foreign currency and forward foreign currency exchange contracts 1,940,617
------------
Change in net unrealized appreciation (depreciation) (3,719,616)
------------
Net realized and unrealized gain on investments 2,611,168
------------
Net increase in net assets resulting from operations $ 8,755,835
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1997 December 31,
(Unaudited) 1996
------------------- ---------------
<S> <C> <C>
Increase (decrease) in Net Assets
From operations
Net investment income $ 6,144,667 $ 10,803,956
Net realized gain 6,330,784 7,333,996
Change in net unrealized appreciation (depreciation) (3,719,616) 825,965
------------- -------------
Net increase in net assets from operations 8,755,835 18,963,917
------------- -------------
Distributions to Shareholders
From net investment income (4,827,216) (14,538,791)
------------- -------------
Total distributions to shareholders (4,827,216) (14,538,791)
------------- -------------
Fund share (principal) Transactions (Note 5)
Net proceeds from sale of shares 42,483,189 20,121,710
Net asset value of shares issued to shareholders in payment of
distributions declared 2,075,404 7,659,510
Cost of shares redeemed (5,841,601) (14,374,805)
------------- -------------
Increase in net assets from Fund share transactions 38,716,992 13,406,415
------------- -------------
Net increase in net assets 42,645,611 17,831,541
Net Assets
At beginning of period 155,730,563 137,899,022
------------- -------------
At end of period (including undistributed net investment income of
$1,681,611 and $364,160, respectively) $198,376,174 $155,730,563
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Financial Highlights
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1997 Year Ended December 31,
(Unaudited) ---------------------------------
1996/*/ 1995 1994/**/
----------------------- ---------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 20.09 $ 19.53 $ 17.99 $ 20.00
---------- ---------- ---------- ----------
Income from investment operations:
Net investment income/***/ 0.63 1.42 1.59 1.29
Net realized and unrealized gain (loss) on investments 0.37 1.05 1.60 (2.70)
---------- ---------- ---------- ----------
Total from investment operations 1.00 2.47 3.19 (1.41)
---------- ---------- ---------- ----------
Less distributions to shareholders
From net investment income (0.50) (1.91) (1.65) --
From tax return of capital -- -- -- (0.60)
---------- ---------- ---------- ----------
Total distributions (0.50) (1.91) (1.65) (0.60)
---------- ---------- ---------- ----------
Net asset value, end of period $ 20.59 $ 20.09 $ 19.53 $ 17.99
========== ========== ========== ==========
Total Return 5.02% 13.03% 18.13% (7.06)%
Ratios (to average daily net assets)/Supplemental Data:
Net assets, end of period (000 omitted) $ 198,376 $ 155,731 $ 137,889 $ 135,232
Expenses/(1)/ 0.62%+ 0.65% 0.62% 0.65%/+/
Net investment income 6.78%+ 7.11% 7.69% 7.73%/+/
Portfolio turnover/(2)/ -- 73% 163% 140%
</TABLE>
- -------------------
/***/ The investment adviser did not impose a portion of its investment advisory
fee and/or reimbursed the Fund for a portion of its operating expenses for
the period ended June 30, 1997 and the year ended December 31, 1994. If
this voluntary action had not been taken, the net investment income per
share and the ratios would have been:
<TABLE>
<S> <C> <C> <C> <C>
Net investment income per share $ 0.63 -- -- $ 1.27
Ratios (to average daily net assets):
Expenses/(1)/ 0.63%+ -- -- 0.73%
Net Investment Income 6.77%+ -- -- 7.65%
</TABLE>
/+/ Computed on an annualized basis.
/*/ Calculated based on average shares outstanding.
/**/ For the period from January 3, 1994 (start of business) to December 31,
1994.
/(1)/ Includes the Fund's share of Standish Global Fixed Income Portfolio's
allocated expenses for the six months ended June 30, 1997 and for the
period from May 3, 1996 to December 31, 1996.
/(2)/ Portfolio turnover represents the rate of portfolio activity for the
period while the Fund was investing 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.
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment
company. Standish Global Fixed Income Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The Fund invests all of its investable assets in an interest of
Standish Global Fixed Income Portfolio (the "Portfolio"), a subtrust of
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust"), which
is organized as a New York trust, and has the same investment objective
as the Fund. The value of the Fund's investment in the Portfolio
reflects the Fund's proportionate interest in the net assets of the
Portfolio (approximately 100% at June 30, 1997). The performance of the
Fund is directly affected by the performance of the Portfolio. The
financial statements of the Portfolio are included elsewhere in this
report and should be read in conjunction with the Fund's financial
statements.
The following is a summary of significant accounting policies followed
by the Fund in the preparation of the financial statements. The
preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A. Investment security valuations-
The Fund records its investment in the Portfolio at value. The method
by which the Portfolio values its securities is discussed in Note 1A of
the Portfolio's Notes to Financial Statements, which are included
elsewhere in this report.
B. Securities transactions and income-
Securities transactions are recorded as of the trade date. Currently,
the Fund's net investment income consists of the Fund's pro rata share
of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally
accepted accounting principles. The Fund does not isolate that portion
of the results of operations resulting from changes in foreign exchange
rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with
the net realized and unrealized gain or loss from investments.
C. Federal taxes-
As a qualified regulated investment company under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal
year.
At December 31, 1996, the Fund, for federal income tax purposes, had a
capital loss carryover 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 carryover is $402,973, which expires on December 31,
2002.
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.
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Global Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
E. Other-
All net investment income and realized and unrealized gains and losses
of the Portfolio are allocated pro rata among all of the investors in
the Portfolio.
(2) Distributions to Shareholders
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. In determining the amounts of its
dividends, the Fund will take into account its share of the income,
gains or losses, expenses, and any other tax items of the Portfolio.
Dividends from net investment income and capital gains distributions,
if any, are reinvested in additional shares of the Fund unless the
shareholder elects to receive them in cash. Distributions to
shareholders are recorded on the ex-dividend date. 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 and option and futures transactions. Permanent
book and tax basis differences relating to shareholder distributions
will result in reclassifications between paid-in capital, undistributed
net investment income and accumulated net realized gain (loss).
(3) Investment Advisory Fee:
The Fund does not directly pay any investment advisory fees, but
indirectly bears its pro rata share of the compensation paid by the
Portfolio to Standish International Management Company, L.P. ("SIMCO")
for such services. See Note 2 of the Portfolio's Notes to Fianancial
Statements which are included elsewhere in this report. For the period
ended June 30, 1997, SIMCO has voluntarily agreed to limit total annual
operating expenses of the Fund and Portfolio (excluding brokerage
commissions, taxes and extraordinary expenses) to 0.66% of the Fund's
average daily net assets. For the six months ended June 30, 1997, SIMCO
voluntarily reimbursed the Fund for its operating expenses of $4,946.
The Trust pays no compensation directly to its trustees who are
affiliated with SIMCO or to its officers, all of whom receive
remuneration for their services to the Trust from the SIMCO. Certain of
the trustees and officers of the Trust are limited partners or officers
of SIMCO.
(4) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the six months ended June 30, 1997 aggregated $42,527,664 and
$11,381,280, respectively.
(5) Shares of Beneficial Interest:
The Declaration of Trust permits the trustees to issue an unlimited
number of full and fractional shares of beneficial interest having a
par value of one cent per share. Transactions in Fund shares were as
follows:
<TABLE>
<CAPTION>
Six Month Ended
June 30, 1997 Year Ended
(unaudited) December 31, 1996
--------------------- -------------------
<S> <C> <C>
Shares sold......................................... 2,069,453 1,015,265
Shares issued to shareholders in
payment of distributions declared................ 102,079 384,287
Shares redeemed..................................... (291,204) (706,939)
------------ ---------
Net increase/(decrease)............................. 1,880,328 692,613
============ =========
</TABLE>
7
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 91.5%
Asset Backed -- 1.6%
GMAC Mortgage Corp. 1996-C1 7.860% 11/15/2006 $ 1,000,000 $ 957,813
The Money Store Home Equity 1995-C A3 6.550% 09/15/2021 500,000 497,031
The Money Store Home Equity 1996-B A5 7.180% 02/15/2015 525,000 530,414
UCFC Home Equity Loan Trust 1996 BA-1 6.500% 04/15/2016 500,000 497,422
World Omni Auto Lease 7.300% 06/25/2003 750,000 757,734
----------------
Total Asset Backed (Cost $3,162,809) 3,240,414
----------------
Corporate -- 15.6%
Basic Industry -- 0.4%
American Standard 10.875% 05/15/1999 500,000 532,500
United Dominion Realty 7.250% 01/15/2007 250,000 249,880
----------------
782,380
----------------
Consumer Stable -- 0.8%
Safeway, Inc. 9.650% 01/15/2004 500,000 564,320
Southland Corp. 5.000% 12/15/2003 500,000 420,625
Stop & Shop Companies 9.750% 02/01/2002 500,000 551,580
----------------
1,536,525
----------------
Financial -- 9.8%
Aames Financial Corp. 9.125% 11/01/2003 250,000 253,750
Advanta Corp. 7.000% 05/01/2001 450,000 435,771
Advanta Trust 8.990% 12/17/2026 1,250,000 1,189,500
Bank America Corp. Capital Securities 144A* 7.700% 12/31/2026 300,000 288,462
Bank United Corp. 8.875% 05/01/2007 775,000 800,730
Centura Capital Trust 8.845% 06/01/2027 725,000 745,481
Compass Trust Capital 8.230% 01/15/2027 225,000 223,754
Conseco Finance Trust 8.796% 04/01/2027 250,000 255,173
Contifinancial Corp. 8.375% 08/15/2003 500,000 513,750
Dime Bancorp Capital Trust 9.330% 05/06/2027 225,000 234,313
First Chicago Corp. Notes 144A* 7.750% 12/01/2026 300,000 285,687
First Nationwide 9.125% 01/15/2003 500,000 512,500
First Nationwide Holdings 10.625% 10/01/2003 1,350,000 1,468,125
First Tennessee Notes 8.070% 01/06/2027 550,000 540,282
General Motors Acceptance Corp. 6.700% 04/30/2001 1,000,000 998,560
Goldman Sachs, Inc. Group L.P. 144A 6.200% 02/15/2001 1,000,000 984,040
Imperial Capital Trust 144A 9.980% 12/31/2026 375,000 378,465
Liberty Mutual Insurance Co. 144A 8.500% 05/15/2025 1,000,000 1,064,340
Morgan Stanley Group, Inc. 6.700% 05/01/2001 900,000 898,452
PNC Financial Capital 144A 8.315% 05/15/2027 250,000 251,758
Providian 9.525% 02/01/2027 825,000 858,033
Reliance Group Holdings Corp. 9.000% 11/15/2000 1,500,000 1,545,000
Salomon Brothers, Inc. 7.250% 05/01/2001 500,000 505,800
Smith Barney Holdings 7.000% 03/15/2004 500,000 500,410
Sovereign Capital Trust 9.000% 04/01/2027 600,000 599,826
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Financial (continued)
Stage Stores, Inc. 8.500% 07/15/2005 $ 400,000 $ 399,000
Summit Bancorp Capital Trust 8.400% 03/15/2027 500,000 501,540
Tig Holdings Capital 144A 8.597% 01/15/2027 250,000 254,710
Trizec Finance 10.875% 10/15/2005 335,000 561,250
United Companies Financial Corp. 9.350% 11/01/1999 1,000,000 1,044,490
United Companies Financial Corp. 8.375% 07/01/2005 425,000 422,969
----------------
19,515,921
----------------
Health Care -- 0.1%
Tenet Healthcare Corp. 8.000% 01/15/2005 250,000 252,940
----------------
Media -- 1.0%
Century Communications 9.500% 08/15/2000 500,000 514,375
Jones Intercable 9.625% 03/15/2002 500,000 529,375
Time Warner, Inc. 9.125% 01/15/2013 250,000 276,430
Viacom, Inc. 7.750% 06/01/2005 575,000 570,647
Viacom, Inc. 7.625% 01/15/2016 225,000 208,154
----------------
2,098,981
----------------
Real Estate -- 2.1%
Corporate Property 144A, REIT 7.875% 03/15/2016 500,000 506,885
Equity Residential Property Operating LP 144A, REIT* 8.500% 05/15/1999 500,000 515,800
Irsa Parcks Cvt 144A, REIT 4.500% 08/02/2003 840,000 961,800
Taubman Realty Group, REIT 8.000% 06/15/1999 1,000,000 1,025,350
Wellsford, REIT 9.375% 02/01/2002 1,000,000 1,088,130
----------------
4,097,965
----------------
Services -- 0.6%
Enterprise Corp. 7.000% 06/15/2000 500,000 503,505
Time Warner Entertainment 8.875% 10/01/2012 450,000 496,503
Time Warner, Inc. 9.150% 02/01/2023 150,000 165,674
----------------
1,165,682
----------------
Technology -- 0.8%
MFS Communications Corp. 0.000% 01/15/2004 500,000 463,750
MFS Communications Corp. 0.000% 01/15/2006 1,475,000 1,167,890
----------------
1,631,640
----------------
Total Corporate (Cost $30,607,458) 31,082,034
----------------
Government/Other -- 58.1%
Argentina -- 1.5%
Bonos DEL Tesoro 8.750% 05/09/2002 1,200,000 1,199,400
Government of Argentina 6.875% 03/31/2023 2,000,000 1,727,500
----------------
2,926,900
----------------
Australia -- 3.9%
Government of Australia 10.000% 02/15/2006 800,000 717,223
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government of Australia 9.750% 03/15/2002 $ 2,950,000 $ 2,521,469
Government of Australia 10.000% 10/15/2007 2,086,000 1,902,577
New South Wales Treasury 0.000% 09/03/2010 1,300,000 384,442
News America Holdings 8.625% 02/07/2014 2,000,000 1,471,050
South Australia Government Finance 0.000% 12/21/2015 1,400,000 284,107
Treasury Corp. of Victoria 0.000% 08/31/2011 2,000,000 547,694
----------------
7,828,562
----------------
Brazil -- 1.5%
Republic of Brazil 6.875% 04/15/2024 3,500,000 2,940,000
----------------
Canada -- 1.9%
Government of Canada 6.500% 06/01/2004 650,000 481,217
Government of Canada 7.750% 09/01/1999 800,000 611,789
Government of Canada 7.500% 03/01/2001 875,000 674,846
Government of Canada 7.000% 09/01/2001 1,550,000 1,178,494
Government of Canada 6.250% 09/15/1998 1,250,000 924,964
----------------
3,871,310
----------------
Denmark -- 4.3%
Denmark Bullet 7.000% 11/15/2007 12,025,000 1,903,166
Denmark Nykredit 11.000% 10/01/2017 10,000 1,733
Denmark Nykredit 7.000% 10/01/2026 6,408,000 943,895
Denmark Realkredit 7.000% 10/01/2026 2,480,000 365,303
Kingdom of Denmark 9.000% 11/15/1998 8,000,000 1,286,267
Kingdom of Denmark 8.000% 03/15/2006 8,000,000 1,354,968
Kingdom of Denmark 8.000% 05/15/2003 11,040,000 1,879,669
Kingdom of Denmark 8.000% 11/15/2001 5,400,000 912,244
----------------
8,647,245
----------------
France -- 0.4%
France Oat ECU 5.500% 04/25/2007 800,000 895,342
----------------
Germany -- 11.7%
Baden Wurttemburg 6.200% 11/22/2013 2,000,000 1,206,649
Bundesobligation 5.125% 11/21/2000 2,250,000 1,329,106
Deutschland Republic 7.375% 01/03/2005 3,380,000 2,170,020
Deutschland Republic 9.000% 01/22/2001 3,300,000 2,182,975
Deutschland Republic 8.875% 12/20/2000 2,440,000 1,605,407
Deutschland Republic 7.250% 10/21/2002 4,745,000 3,007,751
Die Bundrep Deutschland DM1000 8.250% 09/20/2001 3,570,000 2,327,202
Federal Republic of Germany 8.375% 05/21/2001 6,000,000 3,926,397
Federal Republic of Germany 9.000% 10/20/2000 1,630,000 1,071,717
Republic of South Africa 7.000% 10/01/2003 1,500,000 907,137
United Mexican States 10.375% 01/29/2003 5,400,000 3,555,116
----------------
23,289,477
----------------
Ireland -- 2.3%
Irish Gilts 6.250% 04/01/1999 640,000 973,284
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Irish Gilts 8.000% 10/18/2000 $ 1,550,000 $ 2,489,849
Irish Gilts 9.250% 07/11/2003 608,000 1,069,420
----------------
4,532,553
----------------
Italy -- 4.6%
BTPS Italian Government 6.250% 03/01/2002 2,910,000,000 1,719,366
Government of Italy 12.000% 09/01/2001 2,000,000,000 1,413,040
Government of Italy 10.500% 11/01/2000 2,860,000,000 1,894,820
Government of Italy 9.500% 05/01/2001 3,300,000,000 2,155,233
Government of Italy (Strip) 0.000% 03/07/1999 1,017,500 1,066,437
Government of Italy (Strip) 0.000% 03/07/2005 351,500 248,943
Government of Italy (Strip) 0.000% 03/07/2010 222,000 107,661
Italy BTPS 10.500% 04/15/1998 920,000,000 555,934
----------------
9,161,434
----------------
Japan -- 2.7%
European Investment Bank 6.625% 03/15/2000 300,000,000 2,990,026
Interamer Development Bank 6.000% 10/30/2001 80,000,000 821,599
Kingdom of Spain 5.750% 03/23/2002 155,000,000 1,590,048
----------------
5,401,673
----------------
Mexico -- 0.6%
City Of Buenos Aires 10.500% 05/28/2004 1,100,000 1,124,750
----------------
New Zealand -- 3.4%
Fernz Capital 9.800% 04/15/2002 4,100,000 2,950,481
Fletcher Challenge 14.500% 09/30/2000 500,000 401,853
Fletcher Challenge 11.250% 12/15/2002 1,900,000 1,459,649
Fletcher Challenge 10.000% 04/30/2005 1,000,000 739,523
Government Property Services 7.250% 03/15/1999 2,000,000 1,357,284
----------------
6,908,790
----------------
Norway -- 0.4%
Vital Forsikring 7.850% 09/22/2003 6,000,000 892,106
----------------
Sweden -- 2.7%
Kingdom of Sweden 13.000% 06/15/2001 5,900,000 957,371
Kingdom of Sweden #1036 10.250% 05/05/2000 9,700,000 1,413,382
Sweden Government Bond 6.500% 10/25/2006 23,000,000 2,941,094
----------------
5,311,847
----------------
United Kingdom -- 12.9%
Alliance and Leicester Building Society 8.750% 12/07/2006 1,200,000 2,090,253
Bank of Greece 10.750% 09/06/2010 1,049,700 2,096,594
Birmingham Midshires Building Society 9.125% 01/05/2006 750,000 1,324,429
Inco Ltd. 15.750% 07/15/2006 200,000 487,208
MEPC PLC 12.000% 06/30/2006 750,000 1,579,002
Northern Rock Building Society 9.375% 10/17/2021 950,000 1,756,212
Royal Bank of Scotland 9.625% 06/22/2015 350,000 658,879
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.K. Treasury Bond 10.000% 02/26/2001 $ 400,000 $ 726,192
UK Gilt Treasury 9.000% 03/03/2000 296,000 515,511
UK Gilts 7.000% 11/06/2001 710,000 1,177,418
UK Treasury 8.500% 12/07/2005 2,430,000 4,428,560
UK Treasury 8.000% 12/07/2000 1,685,000 2,883,727
UK Treasury 9.000% 08/06/2012 350,000 679,491
UK Treasury 7.250% 12/07/2007 2,950,000 4,968,841
UK Treasury 7.500% 12/07/2006 200,000 341,762
----------------
25,714,079
----------------
Yankee Bonds -- 3.3%
Brascan Ltd. 7.375% 10/01/2002 500,000 503,250
Building Materials 0.000% 07/01/2004 800,000 728,000
Cominco Ltd. 6.875% 02/15/2006 525,000 505,029
Guandong Enterprises 8.875% 05/22/2007 1,050,000 1,078,728
Merita Bank 7.500% 12/29/2049 250,000 250,650
Methanex Corp. 7.400% 08/15/2002 250,000 253,143
Montell Finance Corp. 8.100% 03/15/2027 500,000 515,385
Se Banken 144A Euro Step Up* 8.125% 09/06/2049 1,500,000 1,560,120
Svenska Handelsbanken Step Up 7.125% 03/29/2049 500,000 489,530
Wharf International 7.625% 03/13/2007 825,000 821,321
----------------
6,705,156
----------------
Total Government/Other (Cost $115,996,494) 116,151,224
----------------
U.S. Government Agency -- 3.8%
Pass Thru Securities -- 3.8%
FHLMC 7.000% 03/01/2026 236,902 232,832
FHLMC 0.000% 07/25/1997 3,300,000 3,287,889
FHLMC Gold 15 Year 6.000% 07/01/2027 400,000 385,624
FNMA 7.000% 05/01/2024-
09/01/2025 795,038 782,909
FNMA Global 6.500% 07/10/2002 2,625,000 1,980,300
Resolution Trust Corp. 1995 C1 Cl C 6.900% 02/25/2027 500,000 494,063
RFC Series 1996 HS2 Al 7.600% 09/25/2012 350,000 355,797
----------------
7,519,414
----------------
Total U.S. Government Agency (Cost $7,457,354) 7,519,414
----------------
U.S. Treasury Obligations -- 12.4%
Treasury Bonds -- 3.9%
U.S. Treasury Bond+ 8.125% 08/15/2019 2,500,000 2,851,950
U.S. Treasury Bond 6.500% 08/15/2005 4,975,000 4,961,020
----------------
7,812,970
----------------
Treasury Notes -- 8.5%
U.S. Treasury Note 5.625% 11/30/1998 455,000 452,939
U.S. Treasury Note 5.750% 12/31/1998 725,000 722,847
U.S. Treasury Note 5.625% 01/31/1998 1,000,000 999,840
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Treasury Notes (continued)
U.S. Treasury Note 5.750% 08/15/2003 $ 5,000,000 $ 4,828,100
U.S. Treasury Note 6.500% 05/15/2005 4,600,000 4,591,352
U.S. Treasury Note 6.375% 03/31/2001 400,000 400,564
U.S. Treasury Note 6.875% 05/15/2006 1,175,000 1,199,417
U.S. Treasury Note 6.625% 06/30/2001 250,000 252,343
U.S. Treasury Note 6.250% 10/31/2001 3,500,000 3,483,585
----------------
16,930,987
----------------
Total U.S. Treasury Obligations (Cost $24,637,848) 24,743,957
----------------
TOTAL BONDS AND NOTES (COST $181,861,963) 182,737,043
----------------
<CAPTION>
Par Value
Security Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS -- 0.6%
Equity Residential Properties, REIT 3,000 77,250
Marquette Real Estate Fund 13.701% 500 486,180
Time Warner, Inc. 220 242,500
Texaco Capital LLC 14,000 315,000
TOTAL PREFERRED STOCKS (COST $1,140,162) 1,120,930
----------------
PURCHASED OPTIONS -- 0.4%
CAD Put/ITL Call, Str 1200, 0.000%, 4/2/98 8,400,000 87,587
HKD Put/USD Call, Str Pr 7.75, 0.000%, 2/5/98 3,200,000 37,440
DEM Put/USD Call, Str P 1.715, 0.000%, 9/5/97 6,120,000 126,684
SPGB 8.4% Put/Str Pr 108.860, 0.000%, 7/30/97 165,000,000 825
JGB 5.5% Put/Str Pr 113.37, 0.000%, 3/5/98 350,000,000 21,700
JGB 5.5% Put/Str Pr 115.84, 0.000%, 9/5/97 350,000,000 13,300
JGB Call, Str Pr 106.105, 0.000%, 7/3/97 700,000,000 --
CAD Put/ITL Call, Str Pr 1200.00, 0.000%, 5/11/98 6,300,000 72,532
JPY Put/USD Call, Str Pr 120.0, 0.000%, 5/14/98 5,000,000 44,000
DEM Put/USD Call, Str Pr 1.723, 0.000%, 6/24/98 3,200,000 87,520
DEM Put/USD Call, Str Pr 1.732, 0.000%, 9/2/97 3,000,000 44,100
SPGB 8% Call, Str Pr 109.62, 0.000%, 9/24/97 24,700,000 33,716
Belgian Government Str Pr 99.87, 0.000%, 8/25/97 129,500,000 3,238
BTPS 7.75% Put/Str Pr 104.99, 0.000%, 7/30/97 2,000,000,000 4,000
SPGB 7.9% Put/Str Pr 108.80, 0.000%, 9/2/97 410,000,000 13,530
BUND 6% Call, Str Pr 102.20, 0.000%, 6/17/98 6,750,000 34,047
BTAN 4.75% Call, Str Pr 100.27, 0.000%, 9/9/97 17,500,000 17,273
BTPS 6.25% Call, Str Pr 100.42, 0.000%, 9/29/97 7,000,000,000 42,000
AUD 10% Call, Str Pr 117.84, 0.000%, 8/29/97 5,200,000 131,737
DBR 6.00% Call, Str Pr 101.79, 0.000%, 8/5/97 4,800,000 18,158
DEM DBR Put/Str Pr 98.61, 0.000%, 8/27/97 3,300,000 2,650
JGB #190 Nts Call, Str Pr 102.368, 0.000%, 8/14/97 400,000,000 31,600
BTPS 6.75% Put/Str Pr 96.84, 0.000%, 9/19/97 6,750,000,000 27,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Schedule of Investments - June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TOTAL PURCHASED OPTIONS (COST $1,091,508) $ 894,637
----------------
REPURCHASE AGREEMENTS -- 5.2%
Prudential-Bache Repurchase Agreement, dated 6/30/97, 5.27% due 7/1/97, to pay
$9,983,632 (Collateralized by U.S. Treasury Note's with a rate of 5.75%, a
maturity date of 10/31/00, FNMA FNARM with a rate of 6.07% and a maturity date
of 5/01/34 with an aggregate market value of $10,183,330), 5.270%, 7/1/97 $ 9,983,632 $ 9,983,632
Safety Cash Overnite Investment, 4.850%, 7/1/97 457,814 457,814
----------------
Total Repurchase Agreements (Cost $10,441,446) 10,441,446
----------------
TOTAL SHORT-TERM INVESTMENTS (COST $10,441,446) 10,441,446
----------------
TOTAL INVESTMENTS-- 97.7% (COST $195,535,079) $ 195,194,056
Other Assets, Less Liabilites-- 2.3% 4,556,959
----------------
NET ASSETS-- 100% $ 199,751,015
================
144A - Securities exempt from registration under
Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from
registration.
FNMA - Federal National Mortgage Association
FHLMC - Federal Home Loan Mortgage Corporation
AUD Australian Dollar
DEM German Mark
GBP British Pound Sterling
ITL Italian Lira
JPY Japanese Yen
USD United States Dollar
*This security is restricted but eligible for resale under 144A
+Denotes all or part of security pledged as a margin deposit (See Note 6)
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost, $194,535,079) $ 195,194,056
Foreign currency, at value (identified cost, $332,338) 345,688
Receivable for investments sold 2,322,930
Interest and dividends receivable 3,882,688
Miscellaneous receivable 37,146
Unrealized appreciation on interest rate swap contracts (Note 5) 24,415
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 2,196,790
Prepaid expenses 18,879
Deferred organization costs (Note 1F) 57,484
--------------
Total assets 204,080,076
--------------
Liabilities
Payable for investments purchased 3,140,221
Options written, at value (premium received $694,976) (Note 5) 714,956
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 400,379
Accrued expenses and other liabilties 30,168
Miscellaneous payable 43,337
------------
Total liabilities 4,329,061
--------------
Net Assets (applicable to investors' beneficial interests) $ 199,751,015
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statement of Operations
Six Months Ended June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income (Note 1C)
Dividend income (net of foreign withholding taxes of $11,650) $ 29,891
Interest income 6,676,463
Miscellaneous income 4,655
------------
Total income 6,711,009
Expenses
Investment advisory fee (Note 2) 363,462
Accounting and custody fees 106,040
Legal and audit services 40,377
Registration costs 9,399
Amortization of organization cost (Note 1F) 7,119
Trustees fees (Note 2) 3,479
Insurance expense 2,170
------------
Total expenses 532,046
------------
Net investment income 6,178,963
------------
Realized and Unrealized Gain (loss)
Net realized gain (loss)
Investment securities transactions (350,299)
Financial futures contracts 3,663
Written options transactions 661,825
Foreign currency transactions and forward foreign currency exchange contracts 6,160,629
------------
Net realized gain 6,475,818
Change in unrealized appreciation (depreciation)
Investment securities (5,145,377)
Written options (514,854)
Foreign currency and forward foreign currency exchange contracts 1,795,583
------------
Change in net unrealized appreciation (depreciation) (3,864,648)
------------
Net realized and unrealized gain 2,611,170
------------
Net increase (decrease) in net assets from operations $ 8,790,133
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Period
Six Months Ended May 3, 1996
June 30, 1997 (commencement of operations)
(Unaudited) to December 31, 1996
------------------- --------------------------------
<S> <C> <C>
Increase (decrease) in Net Assets
From operations
Net investment income $ 6,178,963 $ 7,390,200
Net realized gain 6,475,818 4,871,948
Change in net unrealized appreciation
(depreciation) (3,864,648) 6,373,075
------------- -------------
Net increase in net assets from operations 8,790,133 18,635,223
------------- -------------
Capital transactions
Assets contributed by Standish Global
Fixed Income Fund at commencement
(including unrealized depreciation of
$266,576) -- 149,438,560
Contributions 42,527,664 3,371,618
Withdrawals (11,381,280) (11,630,993)
------------- -------------
Increase in net assets resulting from
capital transactions 31,146,384 141,179,185
------------- -------------
Total increase in net assets 39,936,517 159,814,408
Net Assets
At beginning of period 159,814,498 --
------------- -------------
At end of period $199,751,015 $159,814,408
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Supplementary Data
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
Six Months Ended May 3, 1996
June 30, 1997 (commencement of operations)
(Unaudited) through December 31, 1996
------------------- -------------------------------
<S> <C> <C>
Ratios (to average daily net assets):
Expenses 0.59%/+/ 0.62%/+/
Net investment income 6.80%/+/ 7.17%/+/
Portfolio Turnover 77% 111%
Net assets, end of period (000s omitted) $199,751 $159,814
</TABLE>
- -----------------------------
/+/ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the state of New
York on January 18, 1996 and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Global Fixed Income Portfolio (the "Portfolio") is a separate
non-diversified investment series of the Portfolio Trust.
The following is a summary of significant accounting policies
consistently followed by the Portfolio in the preparation of its
financial statements. The preparation of financial statements in
accordance with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
A. Investment security valuations-
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded.
Securities (including restricted securities) for which quotations are
not readily available are valued at their fair value as determined in
good faith under consistently applied procedures under the general
supervision of the Board of Trustees.
Short-term instruments with less than sixty-one days remaining to
maturity when acquired by the Portfolio are valued at amortized cost.
If the Portfolio acquires a short-term instrument with more than sixty
days remaining to its maturity, it is valued at current market value
until the sixtieth day prior to maturity and will then be valued at
amortized cost based upon the value on such date unless the trustees
determine during such sixty-day period that amortized cost does not
represent fair value.
B. Repurchase agreements-
It is the policy of the Portfolio to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book
Entry System or to have segregated within the custodian bank's vault,
all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the
Portfolio to monitor on a daily basis, the market value of the
repurchase agreements' underlying investments to ensure the existence
of a proper level of collateral.
C. Securities transactions and income-
Securities transactions are recorded as of trade date. Interest income
is determined on the basis of interest accrued, adjusted for
amortization of premium or discount on long-term debt securities when
required for federal income tax purposes. Realized gains and losses
from securities sold are recorded on the identified cost basis. The
Portfolio does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities
held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
D. Income taxes-
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio
is ultimately responsible for the payment of any taxes. Since some of
the Portfolio's investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolio, the
Portfolio normally must satisfy the source of income and
diversification requirements applicable to regulated investment
companies (under the Internal Revenue Code) in order for its investors
to satisfy them. The Portfolio will allocate at least annually among
its investors each investor's distributive share of the Portfolio's net
investment income, net realized capital gains, and any other items of
income, gain, loss deduction or credit.
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
E. Foreign currency transactions-
Investment security valuations, other assets and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based
upon current exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars
based upon currency exchange rates prevailing on the respective dates
of such transactions.
Section 988 of the Internal Revenue Code provides that gains or losses
on certain transactions attributable to fluctuations in foreign
currency exchange rates must be treated as ordinary income or loss. For
financial statement purposes, such amounts are included in net realized
gains or losses.
F. Deferred organization expense-
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized on a straight-line basis
through April, 2001. These costs were paid for by the investment
adviser and will be reimbursed by the Portfolio.
(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 monthly at the annual rate of 0.40% of
the Portfolio's average daily net assets. The advisory agreement
provides that if the total annual operating expenses of the Portfolio
(excluding brokerage commissions, taxes and extraordinary expenses) in
any fiscal year exceed 0.65% of the Portfolio's average daily net
assets, the compensation due the adviser shall be reduced by the amount
of the excess. The Portfolio Trust pays no compensation directly to its
trustees who are affiliated with SIMCO or to its officers, all of whom
receive remuneration for their services to the Portfolio Trust from
SIMCO. Certain of the trustees and officers of the Portfolio Trust are
limited partners or officers of SIMCO.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
investments, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
-------------- -------------
<S> <C> <C>
U.S. Government Securities...................... $ 39,040,338 $ 22,389,989
============== =============
Investments (non-U.S. government securities).... $ 132,423,232 $103,646,910
============== =============
</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, 1997, as computed on a federal
income tax basis, were as follows:
<TABLE>
<S> <C>
Aggregate Cost............................................. $ 194,535,079
==============
Gross unrealized appreciation.............................. $ 3,754,544
Gross unrealized depreciation.............................. $ (3,095,567)
--------------
Net unrealized appreciation (depreciation)................. $ 658,977
==============
</TABLE>
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to 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 Parts A and B.
The Portfolio trades the following financial instruments with
off-balance sheet risk:
Options--
Call and put options give the holder the right to purchase or sell,
respectively, a security or currency at a specified price on or before
a certain date. The Portfolio may use options to seek to hedge against
risks of market exposure and changes in security prices and foreign
currencies, as well as to seek to enhance returns. Writing put and
buying calls tend to increase the Portfolio's exposure to the
underlying instrument. Buying puts and writing calls tend to decrease
the Portfolio's exposure to the underlying instrument, or hedge the
Portfolio's investments. Options, both held and written by the
Portfolio, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying value of any open purchased
option is shown in the schedule of investments. This amount reflects
each contract's exposure to the underlying instrument at period end.
Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the
contracts, or if the counterparties do not perform under the contract's
terms.
Premiums received from writing options which expire are treated as
realized gains. Premiums received from writing options which are
exercised or are closed are added to or offset against the proceeds or
amount paid on the transaction to determine the realized gain or loss.
Realized gains and losses on purchased options are included in realized
gains and losses on investment securities, except purchased options on
foreign currency which are included in realized gains and losses on
foreign currency transactions. If a put option written by the Portfolio
is exercised, the premium reduces the cost basis of the securities
purchased by the Portfolio. The Portfolio, as a writer of an option,
has no control over whether the underlying securities may be sold
(call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option. A summary of such transactions for the six months ended June
30, 1997 is as follows:
Written Put Option Transactions
-----------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------------- ---------------
<S> <C> <C>
Outstanding, beginning of period.......................... 9 $ 418,590
Options written........................................... 21 491,956
Options exercised......................................... 0 0
Options expired........................................... (10) (281,646)
Options closed............................................ (13) (475,538)
--------------- ---------------
Outstanding, end of period................................ 7 $ 153,362
=============== ===============
</TABLE>
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
Written Call Option Transactions
----------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------------- ---------------
<S> <C> <C>
Outstanding, beginning of period.......................... 8 $178,659
Options written........................................... 16 331,452
Options exercised......................................... (1) (9,000)
Options expired........................................... (3) (20,132)
Options closed............................................ (11) (243,141)
--------------- ---------------
Outstanding, end of period................................ 9 $237,838
=============== ===============
</TABLE>
Written Cross Currency Option Transactions
-----------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------------- ---------------
<S> <C> <C>
Outstanding, beginning of period.......................... 5 $251,179
Options written........................................... 4 259,402
Options exercised......................................... 0 0
Options expired........................................... 0 0
Options closed............................................ (4) (206,805)
--------------- ---------------
Outstanding, end of period................................ 5 $303,776
=============== ===============
</TABLE>
Forward currency exchange contracts--
The Portfolio may enter into forward foreign currency and cross
currency exchange contracts for the purchase or sale of a specific
foreign currency at a fixed price on a future date. Risks may arise
upon entering these contracts from the potential inability of
counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to
the U.S. dollar and other foreign currencies. The forward foreign
currency and cross currency exchange contracts are marked to market
using the forward foreign currency rate of the underlying currency and
any gains or losses are recorded for financial statement purposes as
unrealized until the contract settlement date or upon the closing of
the contract. Forward currency exchange contracts are used by the
Portfolio primarily to protect the value of the Portfolio's foreign
securities from adverse currency movements. Unrealized appreciation and
depreciation of forward currency exchange contracts is included in the
Statement of Assets and Liabilities.
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
At June 30, 1997, the Portfolio held the following forward foreign
currency and cross currency exchange contracts:
Forward Foreign Currency Contracts
<TABLE>
<CAPTION>
Local U.S.$
Principal Contact U.S.$ Market U.S.$ Aggregate Unrealized
Contracts to Deliver Amount Value Date Value Face Amount Gain/(Loss)
-------------------------------- --------------- -------------------------------- ----------------- ----------------
<S> <C> <C> <C> <C> <C>
British Pound Sterling.......... 1,430,425 6/20/97-7/7/97 2,381,194 2,364,633 16,561
Danish Krone.................... 114,240 08/04/97 17,246 20,364 (3,118)
Deutsche Mark................... 16,848,974 7/31/97-11/10/97 9,695,265 9,859,818 (164,553)
European Currency Unit.......... 2,040,508 07/07/97 2,298,918 2,302,713 (3,795)
Finnish Markka.................. 6,960,722 7/23/97-1/21/98 1,344,274 1,366,002 (21,728)
Greek Drachma................... 330,000 08/01/97 1,196 1,289 (93)
Italian Lira.................... 11,847,709,823 7/2/97-1/20/98 6,966,116 7,069,901 (103,785)
Japanese Yen.................... 316,257,256 8/13/97-9/16/97 2,781,212 2,589,050 192,162
Spanish Peseta.................. 656,155,927 5/28/97-1/20/98 4,454,453 4,509,952 (55,499)
Swedish Krona................... 17,383,610 6/20/97-7/31/97 2,241,766 2,409,198 (167,432)
--------------- ============== =============== ==============
32,181,640 32,492,920 (311,280)
============== =============== ==============
<CAPTION>
Local U.S.$
Principal Contact U.S.$ Market U.S.$ Aggregate Unrealized
Contracts to Receive Amount Value Date Value Face Amount Gain/(Loss)
-------------------------------- -------------- ------------------ -------------- ----------------- ----------------
<S> <C> <C> <C> <C> <C>
Australian...................... 15,896,872 7/1/97-10/31/97 11,994,704 12,197,317 202,613
Canadian Dollar................. 5,484,071 9/24/97-12/18/97 4,004,045 4,013,480 9,435
Czech Koruna.................... 2,869,288 08/27/97 86,439 100,541 14,102
Deutsche Mark................... 58,793,795 7/97/97-12/29/97 33,967,497 35,290,674 1,323,177
Danish Krone.................... 56,145,764 7/10/97-12/16/97 8,503,326 8,909,613 406,287
Spanish Peseta.................. 653,635,927 5/28/97-8/25/97 4,437,291 4,653,784 216,493
Finnish Markka.................. 6,861,252 07/23/97 1,324,811 1,454,425 129,614
British Pound Sterling.......... 16,595,437 7/7/97-11/7/97 27,586,649 26,975,584 (611,065)
Greek Drachma................... 272,000 1/12/98 967 995 28
Irish Punt...................... 2,976,414 7/17/97-11/19/97 4,504,679 4,573,894 69,215
Italian Lira.................... 23,071,025,373 7/2/97-11/28/97 13,560,338 13,638,581 78,243
Japanese Yen.................... 903,539,202 8/5/97-9/18/97 7,955,598 7,764,731 (190,867)
Norwegian Krone................. 7,023,598 7/16/97-7/21/97 960,678 1,052,231 91,553
New Zealand..................... 9,886,555 8/13/97-9/15/97 6,714,461 6,777,876 63,415
Swedish Krone................... 57,899,495 7/31/97-11/28/97 7,485,720 7,785,938 300,218
European Currency Unit.......... 4,081,016 7/7/97-10/7/97 4,605,981 4,700,310 94,329
-------------- ============== =============== ===============
137,693,184 139,889,974 2,196,790
============== =============== ===============
</TABLE>
23
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Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
Forward Foreign Cross Currency Contracts
<TABLE>
<CAPTION>
U.S. $
U.S.$ Market U.S. $ Contact Unrealized
Contracts to Deliver Value In Exchange For Market Value Value Date Gain/(Loss)
------------------------------- -------------- ----------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Belgian Franc.................. 3,730,639 Deutsche Mark 3,727,825 04/24/97 (2,815)
Czech Koruna................... 2,475,847 French Franc 2,604,772 8/27/97 128,924
Danish Krone................... 1,765,209 Swedish Krona 1,649,588 8/4/97 (115,620)
Deutsche Mark.................. 1,396,909 Spanish Peseta 1,397,942 01/20/98 1,033
Deutsche Mark.................. 2,852,238 Finnish Markka 2,846,581 01/21/98 (5,657)
Deutsche Mark.................. 1,723,952 Greek Drachma 1,904,649 8/1/97 180,698
Deutsche Mark.................. 2,284,814 Italian lira 2,367,398 8/1/97-1/20/98 82,584
Finnish Markka................. 2,604,772 Czech Koruna 2,562,287 08/27/97 (42,485)
Finnish Markka................. 2,866,044 Deutsche Mark 2,852,238 01/21/98 (13,806)
French Franc................... 7,197,928 Deutsche Mark 7,177,542 9/3/97-9/8/97 (20,386)
French Franc................... 2,758,845 Greek Drachma 2,824,474 01/12/98 65,629
Greek Drachma.................. 3,670,525 Deutsche Mark 3,458,791 8/1/97-6/3/98 (211,734)
Greek Drachma.................. 2,823,507 French Franc 2,758,845 1/12/98 (64,662)
Italian lira................... 3,340,783 Deutsche Mark 3,120,861 8/1/97-1/20/98 (219,922)
Norwegian Krone................ 1,592,000 Swedish Krona 1,541,805 7/21/97 (50,195)
Spanish Peseta................. 1,415,104 Deutsche Mark 1,396,909 01/20/98 (18,195)
Swedish Krona.................. 1,541,805 Norwegian Krone 1,660,941 7/21/97 119,136
Swedish Krona.................. 1,649,588 Danish Krone 1,747,962 8/4/97 98,374
----------------- ================= ==================
47,601,409 (89,099)
================= ==================
</TABLE>
Futures contracts--
The Portfolio may enter into financial futures contracts for the
delayed sale or delivery of securities or contracts based on financial
indices at a fixed price on a future date. 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. Buying futures tends to increase the Portfolio's exposure
to the underlying instrument, while selling futures tends to decrease
the Portfolio's exposure to the underlying instrument or hedge other
Portfolio investments. In addition, there is the risk that the
Portfolio may not be able to enter into a closing transaction because
of an illiquid secondary market. Losses may arise if there is an
illiquid secondary market or if the counterparties do not perform under
the contract's terms. The Portfolio enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in security prices and foreign currencies. Gains and losses are
realized upon the expiration or closing of the futures contracts.
At June 30, 1997, the Portfolio held no futures contracts.
24
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- -------------------------------------------------------------------------------
Interest rate swap contracts--
Interest rate swaps involve the exchange by the Portfolio with another
party of their respective commitments to pay or receive interest, e.g.,
an exchange of floating rate payments for fixed rate payments with
respect to a notional amount of principal. Credit and market risk exist
with respect to these instruments. If forecasts of interest rates and
other market factors are incorrect, investment performance will
diminish compared to what performance would have been if these
investment techniques were not used. Even if the forecasts are correct,
there are risks that the positions may correlate imperfectly with the
asset or liability being hedged, a liquid secondary market may not
always exist, or a counterparty to a transaction may not perform. The
Portfolio expects to enter into these transactions primarily for
hedging purposes including, but not limited to, preserving a return or
spread on a particular investment or portion of its portfolio,
protecting against currency fluctuations, managing duration or
protecting against an increase in the price of securities the Portfolio
anticipates purchasing at a later date. Gains and losses are realized
upon the expiration or closing of the swap contracts.
At June 30, 1997, the Portfolio held an interest rate swap contract
with a notional amount of 2,250,000 Deutsche Marks and an expiration
date of 12/16/2000, which had unrealized appreciation of $24,415.
25
<PAGE>
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(800) 221-4795
