<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Financial Statements
For the Six Months Ended June 30, 1997
(Unaudited)
[LOGO APPEARS HERE]
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Assets and Liabilities
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investment in Standish Fixed Income Portfolio ("Portfolio"), at value (Note 1A) $2,883,066,066
Receivable for Fund shares sold 12,786,824
Receivable from Investment Adviser (Note 3) 7,827
Other assets 64,747
---------------
Total assets 2,895,925,464
Liabilities
Distribution payable $ 9,130,657
Payable for Fund shares redeemed 849,388
Accrued trustees' fees (Note 3) 4,368
Accrued expenses and other liabilities 140,943
------------
Total liabilities 10,125,356
---------------
Net Assets $2,885,800,108
===============
Net Assets consist of:
Paid-in capital $2,834,448,501
Accumulated net realized gain 8,557,729
Accumulated undistributed net investment income 19,287,148
Net unrealized appreciation 23,506,730
===============
Total Net Assets $2,885,800,108
===============
Shares of beneficial interest outstanding 139,701,137
===============
Net Asset Value, Offering and Redemption Price Per Share
(Net assets/Shares outstanding) $ 20.66
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statement of Operations
Six Months Ended June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income (Note 1B)
Dividend income allocated from Portfolio (net of withholding taxes, $23,067) $ 2,578,687
Interest income allocated from Portfolio 97,127,177
Expenses allocated from Portfolio (4,779,217)
-----------
Net investment income from Portfolio 94,926,647
Expenses
Accounting and transfer agent fees 99,797
Registration costs 80,568
Legal and audit services 78,876
Miscellaneous 77,406
-----------
Total expenses 336,647
-----------
Net investment income 94,590,000
-----------
Realized and Unrealized Gain (loss)
Net realized gain (loss) allocated from Portfolio on:
Investment security transactions (3,296,967)
Financial futures contracts (59,687)
Written options transactions 1,505,375
Foreign currency transactions and forward foreign currency exchange contracts 11,628,267
-----------
Net realized gain 9,776,988
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investment securities 11,204,311)
Written options 1,645
Foreign currency and forward foreign currency exchange contracts 2,882,584
-----------
Change in net unrealized appreciation (depreciation) (8,320,082)
-----------
Net realized and unrealized gain on investments 1,456,906
-----------
Net increase in net assets resulting from operations $96,046,906
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1997 December 31,
(Unaudited) 1996
-------------- --------------
<S> <C> <C>
Increase (decrease) in Net Assets
From operations
Net investment income $ 94,590,000 $ 171,135,807
Net realized gain 9,776,988 21,284,879
Change in net unrealized appreciation (depreciation) (8,320,082) (57,299,336)
-------------- --------------
Net increase in net assets from operations 96,046,906 135,121,350
-------------- --------------
Distributions to Shareholders
From net investment income (80,602,003) (176,422,831)
-------------- --------------
Total distributions to shareholders (80,602,003) (176,422,831)
-------------- --------------
Fund share (principal) Transactions (Note 5)
Net proceeds from sale of shares 318,612,388 425,224,438
Net asset value of shares issued to shareholders in payment
of distributions declared
61,841,451 130,822,616
Cost of shares redeemed (113,726,903) (178,224,191)
-------------- --------------
Increase in net assets from Fund share transactions 266,726,936 377,822,863
-------------- --------------
Net increase in net assets 282,171,839 336,521,382
Net Assets
At beginning of period 2,603,628,269 2,267,106,887
-------------- --------------
At end of period (including undistributed net investment income of
$19,287,148 and $5,299,151, respectively) $2,885,800,108 $2,603,628,269
============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended December 31,
June 30, 1997 --------------------------------------------------------------
(Unaudited) 1996 1995 1994 1993 1992++
---------------- ---------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 20.53 $ 20.92 $ 18.91 $ 21.25 $ 20.55 $ 20.96
---------- ---------- ---------- ---------- ---------- --------
Income from operations:
Net investment income 0.70 1.46 1.35 1.25 1.50 1.59
Net realized and unrealized gain (loss) on
investments 0.03 (0.37) 2.08 (2.29) 1.45 (0.18)
---------- ---------- ---------- ---------- ---------- --------
Total from investment operations 0.73 1.09 3.43 (1.04) 2.95 1.41
---------- ---------- ---------- ---------- ---------- --------
Less distributions to shareholders
From net investment income (0.60) (1.48) (1.42) (1.10) (1.51) (1.52)
In excess of net investment income -- -- -- -- (0.04) --
From net realized gain on investments
-- -- -- (0.04) (0.70) (0.30)
From paid-in capital -- -- -- (0.16) -- --
---------- ---------- ---------- ---------- ---------- --------
Total distributions (0.60) (1.48) (1.42) (1.30) (2.25) (1.82)
---------- ---------- ---------- ---------- ---------- --------
Net asset value, end of period $ 20.66 $ 20.53 $ 20.92 $ 18.91 $ 21.25 $ 20.55
========== ========== ========== ========== ========== ========
Total return 3.60% 5.48% 18.54% (4.86)% 14.64% 6.88%
Ratios (to average daily net assets)/Supplemental Data
Net assets, end of period (000's omitted) $2,885,800 $2,603,628 $2,267,107 $1,642,933 $1,307,099 $919,909
Expenses/(1)/ 0.38%+ 0.38% 0.38% 0.38% 0.40% 0.41%
Net investment income 7.03%+ 7.13% 7.80% 7.25% 7.07% 7.61%
Portfolio turnover/(2)/ -- 49% 132% 122% 150% 217%
</TABLE>
- -------------------------
+ Computed on an annualized basis.
++ Audited by other auditors.
/(1)/Includes the Fund's shares of Standish 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 Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Fixed Income Fund (the "Fund") is a separate diversified
investment series of the Trust.
The Fund invests all of its investable assets in an interest of the
Standish Fixed Income Portfolio (the "Portfolio"), a subtrust of Standish,
Ayer & Wood Master Portfolio (the "Portfolio Trust"), which is organized as
a New York trust, and has the same investment objective as the Fund. The
value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% at June 30, 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 investments 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.
D. Other--
All net investment income and realized and unrealized gains and losses of
each Portfolio are allocated pro rata among its respective 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 by capital losses will be declared and
distributed at least annually. In determining the amounts of its dividends,
the Fund will take into account its share of the income, gains or losses,
expenses, and any other tax items of the Portfolio. Dividends from net
investment income and capital gains distributions, if any, are reinvested
in additional shares of the Fund unless 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
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
foreign currency transactions. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications
between paid-in capital, undistributed net investment income and
accumulated net realized gain (loss).
(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, Ayer & Wood, Inc. ("SA&W") for such services. SA&W has
voluntarily agreed to limit total annual operating expenses of the Fund and
Portfolio (excluding brokerage commissions, taxes and extraordinary
expenses) to 0.38% of the Fund's average daily net assets. See Note 2 of
the Portfolio's Notes to Financial Statements which are included elsewhere
in this report. The Trust pays no compensation directly to its trustees who
are affiliated with the SA&W or to its officers, all of whom receive
remuneration for their services to the Trust from SA&W. Certain of the
trustees and officers of the Trust are directors or officers of SA&W.
(4) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 1997 aggregated $317,015,500 and $146,444,468,
respectively.
(5) Shares of Beneficial Interest:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
For the Six Months
Ended
June 30, 1997 Period ended
(Unaudited) December 31, 1996
---------------------- ----------------------
<S> <C> <C>
Shares sold 15,431,010 20,679,081
Shares issued in payment of distributions declared 3,014,651 6,418,558
Shares redeemed (5,551,774) (8,638,095)
====================== =====================
Net increase 12,893,887 18,459,544
====================== =====================
</TABLE>
7
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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 -- 93.5%
Asset Backed -- 2.9%
Advanta Home Equity Trust Loan 1991-1A 9.000% 02/25/2006 $ 1,588,194 $ 1,629,885
AFC Home Equity Loan Trust 1993-2 A 6.000% 01/20/2013 100,874 98,541
Contimortgage Home Equity 1994-5 A2 9.070% 10/15/2009 6,861,957 6,930,577
Contimortgage Home Equity 1995 IA 8.600% 02/15/2010 2,379,950 2,388,503
Old Stone Credit Corp. Home Equity Trust 1992-3 A2 6.300% 09/25/2007 398,866 393,257
Old Stone Credit Corp. Home Equity Trust 1992-4 Cl A 6.550% 11/25/2007 91,864 91,290
Resolution Trust Corp. 1994 C2 E 8.000% 04/25/2025 5,209,675 5,248,748
Resolution Trust Corp. 1994-1 Cl M2 7.750% 09/25/2029 3,578,925 3,597,938
Resolution Trust Corp. 1995 Cl E 6.900% 02/25/2027 12,929,054 12,294,723
Resolution Trust Corp. 1995-2B1 7.450% 09/15/2025 1,945,577 1,931,897
The Money Store Home Equity 1992-B 6.900% 07/15/2007 508,841 506,297
The Money Store Home Equity 1994-DA4 8.750% 09/15/2020 3,250,000 3,358,672
The Money Store Home Equity 1996-B A5 7.180% 02/15/2015 18,638,000 18,830,204
UCFC Home Equity Loan 1996 7.700% 01/15/2004 7,500,000 7,393,575
UCFC Home Equity Loan Trust 1994 B-A6 7.100% 06/10/2023 1,359,084 1,368,003
UCFC Home Equity Loan Trust 1994-D A4 8.775% 02/10/2016 16,562,000 17,115,792
----------------
Total Asset Backed (Cost $79,900,359) 83,177,902
----------------
Collateralized Mortgage Obligations -- 0.6%
FNMA 5.500% 09/11/1997 13,950,000 13,947,768
FNMA P/O Trust 108 0.000% 03/01/2020 1,575,734 1,182,785
Merrill Lynch Investment Trust 1995-C2 8.206% 06/15/2021 2,595,525 2,565,514
Veterans Affairs 1992-1 Cl D 7.750% 12/15/2014 50,000 50,938
----------------
Total Collateralized Mortgage Obligations (Cost $17,678,064) 17,747,005
----------------
Corporate -- 32.0%
Basic Industry -- 2.1%
AK Steel Holding Corp. 10.750% 04/01/2004 17,575,000 18,893,125
American Standard 10.875% 05/15/1999 15,350,000 16,347,750
ISP Holdings, Inc. 9.000% 10/15/2003 8,825,000 9,200,063
Malette, Inc. 12.250% 07/15/2004 7,050,000 7,966,500
R. P. Scherer Corp. 6.750% 02/01/2004 50,000 48,453
Toro Co. 7.800% 06/15/2027 6,200,000 6,087,780
----------------
58,543,671
----------------
Consumer -- 0.4%
Southland Corp. 5.000% 12/15/2003 6,500,000 5,468,125
Southland Corp. 4.500% 06/15/2004 8,175,000 6,448,031
----------------
11,916,156
----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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 -- 20.5%
Aames Financial Corp. 9.125% 11/01/2003 $ 10,175,000 $ 10,327,625
Advanta Corp. 7.000% 05/01/2001 5,850,000 5,665,023
Advanta Trust 8.990% 12/17/2026 3,500,000 3,330,600
Albank Capital 9.270% 06/06/2027 8,700,000 8,775,951
Anchor Bancorp 8.938% 07/09/2003 7,325,000 7,508,125
Bank United Corp. 8.875% 05/01/2007 5,175,000 5,346,810
Bayview Capital 144A 8.420% 06/01/1999 11,000,000 11,260,700
BFC Capital Trust 144A 9.650% 01/15/2027 5,225,000 5,134,608
Capital One Bank Co. 6.844% 06/13/2000 8,675,000 8,643,944
Capital One Bank Co. 6.390% 06/29/1998 250,000 250,195
Capital One Bank Co. 5.950% 02/15/2001 10,000,000 9,668,900
Capital One Bank Co. 6.875% 04/24/2000 2,550,000 2,539,724
Capital One Bank Co. 7.000% 04/30/2001 5,000,000 4,995,800
Capital One Bank Co. 7.350% 06/20/2000 6,250,000 6,320,250
Centura Capital Trust 8.845% 06/01/2027 14,475,000 14,883,919
Chartwell Holdings 10.250% 03/01/2004 3,058,000 3,287,350
Coast Federal Bank 13.000% 12/31/2002 5,000,000 5,400,000
Commercial Federal 7.950% 12/01/2006 2,250,000 2,233,688
Compass Trust Capital 8.230% 01/15/2027 18,800,000 18,695,848
Conseco Finance Trust 8.700% 11/15/2026 8,450,000 8,648,491
Conseco Finance Trust 8.796% 04/01/2027 10,000,000 10,206,900
Contifinacial Corp. 8.375% 08/15/2003 10,225,000 10,506,188
Corestates Capital CFL 144A* 8.000% 12/15/2026 3,200,000 3,168,416
Dime Bancorp Capital Trust 9.330% 05/06/2027 7,475,000 7,784,390
First Chicago Corp. Notes 144A* 7.750% 12/01/2026 5,925,000 5,642,318
First Nationwide 12.250% 05/15/2001 13,200,000 14,553,000
First Nationwide 9.125% 01/15/2003 5,500,000 5,637,500
First Nationwide Holdings 10.625% 10/01/2003 27,000,000 29,362,500
First Tennessee Notes 8.070% 01/06/2027 12,950,000 12,721,174
First USA Bank 5.750% 01/15/1999 200,000 198,390
First USA Bank 5.850% 02/22/2001 250,000 242,520
First USA Bank 7.000% 08/20/2001 4,650,000 4,663,764
First USA Cap Trust I 9.330% 01/15/2027 11,925,000 13,327,380
General Motors Acceptance Corp. 6.500% 04/25/2000 5,075,000 5,062,363
General Motors Acceptance Corp. 6.700% 04/30/2001 12,135,000 12,117,526
Goldman Sachs, Inc. 144A 6.375% 06/15/2000 11,850,000 11,732,093
Goldman Sachs, Inc. 144A 6.200% 12/15/2000 16,725,000 16,458,738
Goldman Sachs, Inc. Group L.P. 144A 6.200% 02/15/2001 15,000,000 14,760,600
Hartford National Bank Corp. 9.850% 06/01/1999 300,000 318,246
Hubco Capital Trust 8.980% 02/01/2027 5,000,000 5,035,600
Imperial Capital Trust 144A 9.980% 12/31/2026 8,425,000 8,502,847
Interpool Capital Trust 9.875% 02/15/2027 5,000,000 4,996,500
Liberty Mutual Insurance Co. 144A 8.500% 05/15/2025 2,000,000 2,128,680
Liberty Mutual Insurance Co. 144A 7.875% 10/15/2026 11,300,000 11,275,140
Markel Capital I 8.710% 01/01/2046 4,500,000 4,566,960
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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)
Merrill Lynch & Co. 6.700% 08/01/2000 $ 500,000 $ 501,300
Merrill Lynch & Co. 6.000% 03/01/2001 9,705,000 9,485,570
Merrill Lynch & Co. 6.500% 04/01/2001 6,775,000 6,731,369
Midatlantic Bank 9.875% 12/01/1999 75,000 80,372
Morgan Stanley Group, Inc. 6.700% 05/01/2001 11,825,000 11,804,661
Orion Capital Trust I 8.730% 01/01/2037 5,500,000 5,624,135
Peoples Heritage 9.060% 02/01/2027 5,000,000 5,119,450
Phoenix Re-Insurance Capital Trust 8.850% 02/01/2027 7,825,000 7,981,657
PNC Financial Capital 144A 8.315% 05/15/2027 9,350,000 9,415,731
Providian 9.525% 02/01/2027 2,500,000 2,600,100
Reliance Group Holdings Corp. 9.000% 11/15/2000 17,375,000 17,896,250
Riggs National Corp. 9.650% 06/15/2009 125,000 141,700
Salomon Brothers, Inc. 7.125% 08/01/1999 1,950,000 1,964,469
Salomon Brothers, Inc. 7.750% 05/15/2000 6,640,000 6,819,678
Salomon Brothers, Inc. 7.250% 05/01/2001 9,190,000 9,296,604
Salomon Brothers, Inc. 7.000% 05/15/1999 2,275,000 2,295,248
Salomon Brothers, Inc. 7.300% 05/15/2002 6,500,000 6,559,735
Salomon Brothers, Inc. 5.826% 04/05/1999 4,300,000 4,285,380
Salomon Brothers, Inc. 6.820% 07/26/1999 8,625,000 8,652,945
Salomon Brothers, Inc. 6.625% 11/30/2000 13,625,000 13,505,100
Signet Bank 9.625% 06/01/1999 3,250,000 3,422,705
Sovereign Capital Trust 9.000% 04/01/2027 8,975,000 8,972,397
St. Georges Bank 144A 7.150% 10/15/2005 19,200,000 19,092,480
Summit Bancorp Capital Trust 8.400% 03/15/2027 3,750,000 3,761,550
Tig Holdings Capital 144A 8.597% 01/15/2027 4,750,000 4,839,490
Tig Holdings, Inc. 8.125% 04/15/2005 50,000 52,529
Trenwick Capital Trust 8.820% 02/01/2037 9,875,000 10,027,569
Union Planters Trust 8.200% 12/15/2026 11,975,000 11,739,811
United Companies Financial Corp. 9.350% 11/01/1999 11,175,000 11,672,176
United Companies Financial Corp. 7.000% 07/15/1998 5,050,000 5,069,746
United Companies Financial Corp. 8.375% 07/01/2005 2,500,000 2,488,050
USF&G Corp. 7.000% 05/15/1998 50,000 50,370
Webster Financial Capital 9.360% 01/29/2027 4,975,000 5,179,821
World Financial Properties 144A 6.910% 09/01/2013 16,784,389 16,524,755
----------------
591,542,187
----------------
Health Care -- 0.8%
Healthsouth Rehabilitation 9.500% 04/01/2001 6,659,000 6,991,950
Tenet Healthcare Corp. 7.875% 01/15/2003 3,150,000 3,182,792
Tenet Healthcare Corp. 8.000% 01/15/2005 12,425,000 12,571,118
----------------
22,745,860
----------------
Media -- 3.4%
Century Communications 9.500% 08/15/2000 2,700,000 2,777,625
Jones Intercable 9.625% 03/15/2002 7,950,000 8,417,063
News America Holdings Corp. 8.875% 04/26/2023 2,400,000 2,545,392
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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>
Media (continued)
News America Holdings Corp. 9.500% 07/15/2024 $ 4,250,000 $ 4,799,695
News America Holdings Corp. 7.700% 10/30/2025 5,075,000 4,805,619
Time Warner, Inc. 9.125% 01/15/2013 32,880,000 36,356,074
Time Warner, Inc. 6.850% 01/15/2026 6,000,000 5,902,020
Viacom, Inc. 7.750% 06/01/2005 20,780,000 20,622,695
Viacom, Inc. 6.750% 01/15/2003 7,200,000 6,862,032
Viacom, Inc. 7.625% 01/15/2016 5,525,000 5,111,343
----------------
98,199,558
----------------
Real Estate -- 2.8%
Avalon Property, REIT 7.375% 09/15/2002 175,000 177,716
Duke Realty, REIT 7.375% 09/22/2005 150,000 150,675
Healthcare Properties, REIT 6.500% 02/15/2006 7,875,000 7,485,266
Highwoods Properties, REIT 6.750% 12/01/2003 14,950,000 14,659,073
Irsa Parcks Cvt 144A, REIT 4.500% 08/02/2003 1,050,000 1,202,250
Meditrust 7.820% 09/10/2026 5,000,000 5,168,600
Merry Land Co., REIT 7.250% 10/01/2002 150,000 151,404
Realty Income Corp. 7.750% 05/06/2007 2,500,000 2,540,825
Shopping Center Associates, REIT 6.750% 01/15/2004 10,000,000 9,750,800
Spieker Properties, REIT 6.650% 12/15/2000 225,000 223,200
Spieker Properties, REIT 6.900% 01/15/2004 10,000,000 9,814,900
Sun Communities, REIT 7.375% 05/01/2001 5,425,000 5,468,237
Taubman Realty Group, REIT 8.000% 06/15/1999 10,025,000 10,279,134
United Dominion Realty Trust, REIT 7.950% 07/12/2006 5,850,000 6,075,576
Washington REIT Notes 7.250% 08/13/2006 6,225,000 6,172,772
Wellsford Residential Property, REIT 7.750% 08/15/2005 300,000 308,862
----------------
79,629,290
----------------
Services -- 1.1%
ADT Enterprise 8.250% 08/01/2000 8,360,000 8,778,000
Enterprise Corp 144A 6.950% 03/01/2004 15,500,000 15,380,495
Enterprise Corp. 7.000% 06/15/2000 8,225,000 8,282,657
Hertz Corp. 7.000% 04/15/2001 35,000 35,238
----------------
32,476,390
----------------
Technology -- 0.9%
MFS Communications Corp. 0.000% 01/15/2006 33,575,000 26,584,349
----------------
Total Corporate (Cost $911,796,311) 921,637,461
----------------
Government/Other -- 9.4%
Argentina -- 0.2%
Bonos DEL Tesoro 8.750% 05/09/2002 700,000 699,650
Government of Argentina 6.875% 03/31/2023 5,775,000 4,988,156
----------------
5,687,806
----------------
Australia -- 0.7%
Australia Government 10.000% 10/15/2002 4,900,000 4,259,176
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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 10.000% 02/15/2006 $ 6,600,000 $ 5,917,091
Government of Australia 9.750% 03/15/2002 1,350,000 1,153,893
Government of Australia 10.000% 10/15/2007 1,815,000 1,655,406
New South Wales Treasury 0.000% 09/03/2010 10,730,000 3,173,127
South Australia Government Finance 0.000% 12/21/2015 4,700,000 953,788
Treasury Corp. of Victoria 0.000% 08/31/2011 5,500,000 1,506,160
----------------
18,618,641
----------------
Austria -- 0.1%
Austria Rep. 5.000% 01/22/2001 300,000,000 2,928,874
----------------
Canada -- 0.3%
Government of Canada 6.500% 06/01/2004 4,000,000 2,961,332
Government of Canada 7.750% 09/01/1999 1,200,000 917,683
Government of Canada 7.500% 03/01/2001 4,100,000 3,162,136
----------------
7,041,151
----------------
Denmark -- 0.5%
Denmark Bullet 7.000% 11/15/2007 10,715,000 1,695,835
Denmark Nykredit 7.000% 10/01/2026 31,223,000 4,599,130
Denmark Realkredit 7.000% 10/01/2026 3,101,000 456,776
Kingdom of Denmark 8.000% 05/15/2003 36,280,000 6,177,029
Kingdom of Denmark 8.000% 11/15/2001 14,600,000 2,466,438
----------------
15,395,208
----------------
Finland -- 0.1%
Government of Finland 6.000% 01/29/2002 250,000,000 2,576,832
----------------
France -- 0.1%
France Oat ECU 5.500% 04/25/2007 2,900,000 3,245,615
----------------
Germany -- 1.6%
Baden Wurttemburg 6.200% 11/22/2013 3,000,000 1,809,974
Deutschland Republic 7.375% 01/03/2005 9,400,000 6,034,967
Deutschland Republic 9.000% 01/22/2001 4,000,000 2,646,030
Deutschland Republic 7.250% 10/21/2002 8,475,000 5,372,115
Deutschland Republic 6.750% 04/22/2003 5,500,000 3,430,840
Die Bundrep Deutschland DM1000 8.250% 09/20/2001 10,460,000 6,818,637
Federal Republic of Germany 8.375% 05/21/2001 13,500,000 8,834,394
Federal Republic of Germany 9.000% 10/20/2000 4,450,000 2,925,853
Federal Republic of Germany 8.000% 07/22/2002 6,620,000 4,342,371
Federal Republic of Germany 6.875% 05/12/2005 2,000,000 1,247,578
Federal Republic of Germany 5.875% 05/15/2000 6,355,000 3,830,486
----------------
47,293,245
----------------
Ireland -- 0.1%
Irish Gilts 6.250% 04/01/1999 640,000 973,284
Irish Gilts 8.000% 10/18/2000 1,000,000 1,606,355
----------------
2,579,639
----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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>
Italy -- 0.8%
BTPS Italian Government 6.250% 03/01/2002 $ 9,720,000,000 $ 5,743,038
Government of Italy 5.125% 07/29/2003 280,000,000 2,841,389
Government of Italy 10.500% 11/01/2000 5,000,000,000 3,312,622
Government of Italy 10.500% 11/01/2000 3,010,000,000 1,994,198
Government of Italy 9.500% 05/01/2001 3,640,000,000 2,377,287
Italy BTPS 10.500% 04/15/1998 4,780,000,000 2,888,439
Italy BTPS 7.750% 09/15/2001 6,150,000,000 3,824,961
---------------
22,981,934
---------------
Japan -- 0.2%
Interamer Development Bank 6.000% 10/30/2001 145,000,000 1,489,147
KFW International Finance 6.000% 11/29/1999 301,000,000 2,925,531
Kingdom of Spain 5.750% 03/23/2002 205,000,000 2,102,967
---------------
6,517,645
---------------
Mexico -- 0.0%
City Of Buenos Aires 10.500% 05/28/2004 600,000 613,500
---------------
New Zealand -- 0.3%
Fernz Capital 9.800% 04/15/2002 3,800,000 2,734,592
Fletcher Challenge 11.250% 12/15/2002 3,100,000 2,381,533
Fletcher Challenge 10.000% 04/30/2005 1,500,000 1,109,285
Government Property Services 7.250% 03/15/1999 4,850,000 3,291,414
---------------
9,516,824
---------------
Norway -- 0.1%
Union Bank of Norway 12.750% 10/26/2002 12,500,000 1,707,837
Vital Forsikring 7.850% 09/22/2003 8,100,000 1,204,343
---------------
2,912,180
---------------
Sweden -- 0.4%
Kingdom of Sweden 13.000% 06/15/2001 20,200,000 3,277,778
Kingdom of Sweden #1036 10.250% 05/05/2000 24,100,000 3,511,598
Sweden Government Bond 6.500% 10/25/2006 44,900,000 5,741,528
---------------
12,530,904
---------------
United Kingdom -- 1.4%
Alliance and Leicester Building Society 8.750% 12/07/2006 1,700,000 2,961,192
Bank of Greece 10.750% 09/06/2010 1,450,000 2,896,091
Birmingham Midshires Building Society 9.125% 01/05/2006 1,000,000 1,765,905
MEPC PLC 12.000% 06/30/2006 1,280,000 2,694,830
Northern Rock Building Society 9.375% 10/17/2021 1,100,000 2,033,508
Smithkline Beecham Corp. 8.125% 11/25/1998 1,500,000 2,513,560
U.K. Treasury Bond 10.000% 02/26/2001 600,000 1,089,288
UK Gilt Treasury 9.000% 03/03/2000 1,000,000 1,741,591
UK Gilts 7.000% 11/06/2001 3,290,000 5,455,924
UK Treasury 8.500% 12/07/2005 1,500,000 2,714,633
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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>
UK Treasury 6.750% 11/26/2004 $ 1,790,000 $ 2,923,713
UK Treasury 9.000% 08/06/2012 1,575,000 3,057,709
UK Treasury 7.250% 12/07/2007 2,535,000 4,269,834
UK Treasury 7.500% 12/07/2006 2,150,000 3,673,939
---------------
39,791,717
---------------
Yankee Bonds -- 2.5%
Brascan Ltd. 7.375% 10/01/2002 9,475,000 9,536,588
Cominco Ltd. 6.875% 02/15/2006 16,950,000 16,305,222
Guangdong Enterprises 144A 8.750% 12/15/2003 5,000,000 5,167,300
Methanex Corp. 7.400% 08/15/2002 4,500,000 4,556,565
Methanex Corp. 7.750% 08/15/2005 23,685,000 24,357,417
Montell Finance Corp. 8.100% 03/15/2027 7,000,000 7,215,390
Nova Chemical 6.500% 09/22/2000 525,000 518,684
Wharf International 7.625% 03/13/2007 4,225,000 4,206,157
---------------
71,863,323
---------------
Total Government/Other (Cost $272,341,163) 272,095,038
---------------
U.S. Government Agency -- 24.5%
Pass Thru Securities -- 24.5%
CSFB 1995-A 144A* 7.542% 11/15/2005 11,150,000 10,975,781
FDIC Remic Trust 1994-C1 2C 8.450% 09/25/2025 250,000 259,531
FHLMC 6.500% 03/01/2026 - 05/01/2026 35,157,653 33,718,298
FHLMC 0.000% 09/15/1997 - 09/16/1997 19,621,000 19,394,378
FHLMC 6.000% 08/01/2012 38,250,000 36,875,295
FHLMC Gold 15Yr 6.000% 07/01/2012 33,125,000 31,934,488
FMNA 7.000% 07/01/2025 897,447 883,429
FNCI Pool# 250530 6.000% 04/01/2011 2,449,553 2,369,943
FNMA 0.000% 07/24/1997 - 10/20/1997 109,645,000 108,402,456
FNMA 7.000% 11/01/2023 - 02/01/2026 217,560,602 213,844,888
FNMA 6.500% 01/01/2026 48,501 46,425
FNMA 7.000% 09/01/2025 13,439,368 13,198,718
FNMA 6.500% 12/01/2025 - 04/01/2026 39,777,334 38,074,466
FNMA 7.000% 04/01/2026 - 05/01/2026 16,196,578 15,892,891
FNMA Global 6.500% 07/10/2002 2,200,000 1,659,680
FNMA Pl# 251232 6.000% 06/01/2012 1,835,615 1,769,643
FNMA Pl# 303831 6.000% 04/01/2011 9,256,043 8,955,222
FNMA Pl# 303898 6.000% 05/01/2011 1,424,411 1,378,118
FNMA Pl# 322606 6.000% 04/01/2011 4,480,844 4,335,217
FNMA Pl# 337665 6.000% 04/01/2011 2,000,087 1,935,084
FNMA Pl# 337796 6.000% 02/01/2011 1,717,102 1,661,296
FNMA Pl# 338426 6.000% 05/01/2011 2,661,358 2,574,864
FNMA Pl# 338451 6.000% 05/01/2011 1,257,304 1,216,442
FNMA Pl# 341906 6.000% 04/01/2011 1,428,155 1,381,740
FNMA Pl# 343348 6.000% 04/01/2011 1,959,440 1,895,758
FNMA Pl# 343448 6.000% 04/01/2011 1,046,893 1,012,869
FNMA Pl# 343830 6.000% 04/01/2011 1,140,421 1,103,357
FNMA Pl# 346684 6.000% 02/01/2012 1,487,819 1,434,347
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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>
FNMA Pl# 352574 6.000% 02/01/2012 $ 1,661,694 $ 1,601,973
FNMA Pl# 366899 6.000% 02/01/2012 1,368,768 1,319,575
FNMA Pl# 366948 6.000% 03/01/2012 2,128,860 2,052,349
FNMA Pl# 367012 6.000% 05/01/2012 3,893,798 3,753,855
FNMA Pl# 367361 6.000% 01/01/2012 1,054,254 1,016,364
FNMA Pl# 370638 6.000% 02/01/2012 1,303,603 1,256,751
FNMA Pl# 371354 6.000% 03/01/2012 1,543,232 1,487,768
FNMA Pl# 371848 6.000% 02/01/2012 1,534,522 1,479,372
FNMA Pl# 372519 6.000% 02/01/2012 2,451,410 2,363,307
FNMA Pl# 372581 6.000% 02/01/2012 7,026,924 6,774,376
FNMA Pl# 372720 6.000% 02/01/2012 1,060,387 1,022,277
FNMA Pl# 373541 6.000% 03/01/2012 1,272,927 1,227,178
FNMA Pl# 373898 6.000% 03/01/2012 1,005,658 969,515
FNMA Pl# 374640 6.000% 03/01/2012 3,461,121 3,336,728
FNMA Pl# 390092 6.000% 05/01/2012 1,566,295 1,510,002
GNMA 7.000% 04/15/2022 - 09/15/2024 89,722,897 88,517,346
GNMA 9.000% 11/15/2017 800,147 855,397
Lehman Brothers Commercial Conduit
Mortgage Trust 1995-C2 7.054% 09/25/2025 1,930,000 1,882,956
Merrill Lynch Motge. Investments 1997-C1 D 7.120% 06/18/2029 4,600,000 4,531,719
Midstate Trust II A3 9.350% 04/01/1998 300,000 304,713
Resolution Trust Corp. 1994-C2 D Al 1 8.000% 04/25/2025 4,682,587 4,783,555
Resolution Trust Corp. P-T Ser. 1992-M4 A1 8.000% 09/25/2021 1,533,464 1,539,694
Structured Asset Security Corp. 1994-C1 D 6.870% 08/25/2026 10,000,000 9,740,625
Structured Asset Security Corp. 1996-CFL C 6.525% 02/25/2028 6,700,000 6,576,469
---------------
708,088,488
---------------
Total U.S. Government Agency (Cost $700,734,390) 708,088,488
---------------
U.S. Treasury Obligations -- 24.1%
Treasury Bonds -- 4.6%
U.S. Treasury Bond+ 8.125% 08/15/2019 46,725,000 53,302,946
U.S. Treasury Bond 6.500% 08/15/2005 80,475,000 80,248,865
---------------
133,551,811
---------------
Treasury Notes -- 19.5%
U.S. Treasury Note 5.750% 12/31/1998 6,925,000 6,904,433
U.S. Treasury Note 5.750% 08/15/2003 11,080,000 10,699,070
U.S. Treasury Note 6.875% 07/31/1999 9,325,000 9,460,492
U.S. Treasury Note 7.125% 02/29/2000 39,275,000 40,133,944
U.S. Treasury Note 6.875% 03/31/2000 23,425,000 23,805,656
U.S. Treasury Note 6.500% 05/15/2005 4,100,000 4,092,292
U.S. Treasury Note 6.125% 07/31/2000 67,600,000 67,367,456
U.S. Treasury Note 5.750% 10/31/2000 8,845,000 8,704,011
U.S. Treasury Note 6.375% 03/31/2001 23,525,000 23,558,170
U.S. Treasury Note 6.250% 04/30/2001 40,975,000 40,859,860
U.S. Treasury Note 6.875% 05/15/2006 44,900,000 45,833,022
U.S. Treasury Note 6.625% 06/30/2001 92,800,000 93,669,536
U.S. Treasury Note 6.250% 10/31/2001 176,565,000 175,736,910
U.S. Treasury Note (Strip) 0.000% 11/15/1999 3,605,000 3,120,668
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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.S. Treasury Note (Strip) 0.000% 08/15/2015 $ 4,965,000 $ 1,424,260
World Bank Discount Notes Dated 6/30/97 0.000% 09/22/1997 5,000,000 4,936,400
---------------
560,306,180
---------------
Total U.S. Treasury Obligations (Cost $696,397,016) 693,857,991
---------------
TOTAL BONDS AND NOTES (COST $2,678,847,303) 2,696,603,885
---------------
U.S. TREASURY NOTES -- 3.9%
U.S. Treasury Obligations -- 3.9%
Treasury Notes -- 3.9%
U.S. Treasury Note 5.625% 11/30/1998 112,025,000 111,517,527
---------------
Total U.S. Treasury Obligations (Cost $111,574,285) 111,517,527
---------------
TOTAL U.S. TREASURY NOTES (COST $111,574,285) 111,517,527
---------------
PREFERRED STOCKS -- 2.6%
Australia & New Zealand Bank 293,350 7,920,450
Bank United of Texas 148,380 3,978,439
California Federal Bank 11.5% 8,400 953,400
California Federal 9.125% 227,000 5,760,125
Capital Preferred Trust 449,200 11,538,600
Credit Lyon Capital 144A 244,250 6,289,438
Highwoods Properties, Inc. 17,900 17,871,002
Riggs National Corp. 15,475 439,103
Time Warner, Inc. 18,510 20,360,606
---------------
TOTAL PREFERRED STOCKS (COST $71,587,087) 75,111,163
---------------
PURCHASED OPTIONS -- 0.0%
CAD Put/ITL Call, Str 1200, 0.000%, 4/2/98 7,100,000 74,032
HKD Put/USD Call, Str Pr 7.75, 0.000%, 2/5/98 3,500,000 40,950
DEM Put/USD Call, Str P 1.715, 0.000%, 9/5/97 7,680,000 158,976
SPGB 8.4% Put/Str Pr 108.860, 0.000%, 7/30/97 253,000,000 1,265
BTPS 7.75% Put/Str Pr 104.990, 0.000%, 7/30/97 3,000,000,000 6,013
JGB 5.5% Put/Str Pr 113.37, 0.000%, 3/5/98 400,000,000 24,800
JGB 5.5% Put/Str Pr 115.84, 0.000%, 9/5/97 400,000,000 15,200
JGB Call, Str Pr 106.105, 0.000%, 7/3/97 800,000,000 --
CAD Put/ITL Call, Str Pr 1200.00, 0.000%, 5/11/98 5,300,000 61,019
JPY Put/USD Call, Str Pr 120.0, 0.000%, 5/14/98 4,350,000 38,280
DEM Put/USD Call, Str Pr 1.723, 0.000%, 6/24/98 3,000,000 82,050
DEM Put/USD Call, Str Pr 1.732, 0.000%, 9/2/97 3,350,000 49,245
UST 6.5% Put, Str 99.9921875, 0.000%, 9/2/97 513,000 224,438
SPGB 8% Call, Str Pr 109.62, 0.000%, 9/24/97 23,200,000 31,668
Belgian Government Str Pr 99.87, 0.000%, 8/25/97 115,000,000 2,875
SPGB 7.9% Put/Str Pr 108.80, 0.000%, 9/2/97 590,000,000 19,470
BUND 6% Call, Str Pr 102.20, 0.000%, 6/17/98 5,600,000 28,246
BTAN 4.75% Call, Str Pr 100.27, 0.000%, 9/9/97 16,000,000 15,792
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
Standish, Standish, Ayer & Wood Master Portfolio
Standish 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>
BTPS 6.25% Call, Str Pr 100.42, 0.000%, 9/29/97 $ 6,000,000,000 $ 36,000
AUD 10% Call, Str Pr 117.84, 0.000%, 8/29/97 4,600,000 116,536
AUD 10% Call, Str Pr 124.06, 0.000%, 9/18/97 4,600,000 21,804
DBR 6.00% Call, Str Pr 101.79, 0.000%, 8/5/97 4,200,000 15,889
DEM DBR Put/Str Pr 98.61, 0.000%, 8/27/97 5,400,000 4,336
JGB #190 Nts Call, Str Pr 102.368, 0.000%, 8/14/97 355,000,000 28,019
BTPS 6.75% Put/Str Pr 96.84, 0.000%, 9/19/97 5,600,000,000 22,400
------------------
Total Purchased Options (Cost $1,592,226) $ 1,119,303
------------------
Repurchase Agreements -- 1.3%
Prudential-Bache Repurchase Agreement, dated 6/30/97, 5.27% due 7/1/97, to pay
$38,221,611 (Collateralized by FMAC FMAR's with rates ranging from 5.63% to
7.95%, FNMA FNMS's with rates ranging from 7.00% to 8.50%, FNMA FNAR's with
rates ranging from 6.63% to 8.12%, FMAC FGST's with a rate of 7.00% and maturity
dates ranging from 2/1/17 to 6/1/27 with an aggregate market value of
$38,986,139) 38,221,611 38,221,611
Commercial Paper -- 0.4%
Province of Quebec 10,000,000 9,859,500
TOTAL SHORT-TERM INVESTMENTS (COST $48,081,111) 48,081,111
------------------
TOTAL INVESTMENTS-- 101.7% (COST 2,911,682,012) $ 2,932,432,989
Other Assets, Less Liabilites-- (1.7)% (49,366,811)
==================
NET ASSETS-- 100% $ 2,883,066,178
==================
</TABLE>
144A - Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration.
(1) - Denominated in United States currency unless otherwise noted
*This security is restricted but eligible for resale under 144A
+Denotes all or part of security pledged as a margin deposit (See Note 6)
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments, at value (Note 1A) (identified cost, $2,911,682,012) $2,932,432,989
Foreign currency, at value (identified cost, $304,397) 317,754
Receivable for investments sold 44,302,148
Interest and dividends receivable 40,688,727
Miscellaneous receivable 31,840
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 5,880,319
Deferred organization costs (Note 1F) 57,361
---------------
Total assets 3,023,711,138
Liabilities
Payable for investments purchased 136,784,180
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 3,011,091
Options written, at value (premium received $629,846) (Note 5) 628,202
Accrued expenses and other liabilties 162,466
Miscellaneous payable 37,146
Accrued trustees' fees 21,875
-------------
Total liabilities 140,644,960
---------------
Net Assets (applicable to investors' beneficial interests) $2,883,066,178
===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 $23,067) $ 2,578,687
Interest income 97,127,181
-------------
Total income 99,705,868
Expenses
Investment advisory fee (Note 2) 4,227,888
Accounting and custody fees 354,607
Legal and audit services 103,327
Trustees fees (Note 2) 52,544
Miscellaneous 24,209
Registration costs 9,399
Amortization of organization cost (Note 1F) 7,242
-------------
Total expenses 4,779,216
-------------
Net investment income 94,926,652
-------------
Realized and Unrealized Gain (loss)
Net realized gain (loss)
Investment securities transactions (3,296,968)
Financial futures contracts (59,687)
Written options transactions 1,505,375
Foreign currency transactions and forward foreign currency exchange contracts 11,806,750
-------------
Net realized gain 9,955,470
Change in unrealized appreciation (depreciation)
Investment securities (10,026,790)
Financial futures contracts 32,781
Written options (624,213)
Foreign currency and forward foreign currency exchange contracts 2,119,658
-------------
Change in net unrealized appreciation (depreciation) (8,498,564)
-------------
Net realized and unrealized gain 1,456,906
-------------
Net increase in net assets from operations $ 96,383,558
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 (loss) $ 94,926,652 $ 115,981,747
Net realized gain 9,955,470 1,871,609
Change in net unrealized appreciation (depreciation) (8,498,564) 87,004,141
--------------- ---------------
Net increase in net assets from operations 96,383,558 204,857,497
--------------- ---------------
Capital transactions
Assets contributed by Standish Fixed Income Fund at
commencement (including unrealized loss of
$55,177,329) -- 2,294,116,139
Contributions 317,015,500 268,522,894
Withdrawals (146,444,469) (151,384,941)
--------------- ---------------
Increase in net assets resulting from capital transactions 170,571,031 2,411,254,092
--------------- ---------------
Total increase in net assets 266,954,589 2,616,111,589
Net Assets
At beginning of period 2,616,111,589 --
--------------- ---------------
At end of period $2,883,066,178 $2,616,111,589
=============== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
Six Months May 3, 1996
Ended (commencement of operations)
June 30, 1997 through
(Unaudited) December 31, 1996
------------- ----------------------------
<S> <C> <C>
Ratios (to average daily net assets):
Expenses 0.35%+ 0.37%+
Net investment income 7.05%+ 7.14%+
Portfolio Turnover 39% 69%
Net assets, end of period (000s omitted) $2,883,066 $2,616,112
</TABLE>
- -------------------------
+ Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the State of New York on
January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Fixed Income Portfolio (the "Portfolio") is a separate diversified
investment series of the Portfolio Trust.
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
agreement's underlying investments to ensure the existence of a proper
level of collateral.
C. Securities transactions and income--
Securities transactions are recorded as of trade date. Interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount on long-term debt securities when required for federal
income tax purposes. Dividend income is recorded on the ex-dividend date.
Realized gains and losses from securities sold are recorded on the
identified cost basis. The Portfolio does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
D. Income Taxes--
The Portfolio is treated as a partnership for federal tax purposes. No
provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolio, the Portfolio normally
must satisfy the source of income and diversification requirements
applicable to regulated investment companies (under the Internal Revenue
Code) in order 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.
22
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish 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 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. 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, 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 Trust pays no compensation directly to its
trustees who are affiliated with SA&W or to its officers, all of whom
receive remuneration for their services to the Portfolio Trust from 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, short-term obligations,
were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------ ----------------
<S> <C> <C>
U.S. Government Securities $1,095,534,319 $762,873,734
================== ================
Investments (non-U.S. government securities) $334,484,889 $271,477,996
================== ================
</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 $ 2,911,682,012
=================
Gross unrealized appreciation $ 39,849,935
Gross unrealized depreciation $ (19,098,958)
=================
Net unrealized appreciation (depreciation) $ 20,750,977
=================
</TABLE>
23
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to 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 Parts A & 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 hedge against risks of
market exposure and changes in security prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Portfolio's exposure to the underlying instrument. Buying puts
and writing calls tend to decrease the Portfolio's exposure to the
underlying instrument, or hedge other Portfolio investments. Options, both
held and written by the Portfolio, are reflected in the accompanying
Statement of Assets and Liabilities at market value. The underlying face
amount at value of any open purchased 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
contracts' terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
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 six
months ended June 30, 1997 is as follows:
<TABLE>
<CAPTION>
Written Put Option Transactions
------------------------------------------------------------------
Number
of Contracts Premiums
-------------------------------
<S> <C> <C>
Outstanding, beginning of period 9 $209,122
Options written 21 1,361,435
Options exercised 1 (11,700)
Options expired (7) (646,455)
Options closed (17) (730,658)
===============================
Outstanding, end of period 7 $181,744
===============================
</TABLE>
24
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
Written Call Option Transactions
---------------------------------------------------------------------
Number
of Contracts Premiums
--------------------------------
<S> <C> <C>
Outstanding, beginning of period 8 $399,639
Options written 14 264,175
Options exercised 0 0
Options expired (5) (324,912)
Options closed (8) (153,652)
--------------------------------
Outstanding, end of period 9 $185,251
================================
</TABLE>
<TABLE>
<CAPTION>
Written Cross Currency Option Transactions
---------------------------------------------------------------------
Number
of Contracts Premiums
--------------------------------
<S> <C> <C>
Outstanding, beginning of period 5 $473,020
Options written 4 14,490
Options exercised 0 0
Options expired 0 0
Options closed (4) (224,659)
--------------------------------
Outstanding, end of period 5 $262,851
================================
</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 & Liabilities.
At June 30, 1997, the Portfolio held the following forward foreign currency
and cross currency exchange contracts:
25
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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>
Australian Dollar 5,751,081 07/02/97 4,338,497 4,320,212 18,285
Irish Punt 2,185,667 07/17/97 3,310,294 3,313,471 (3,177)
Danish Krone 19,925,269 07/02-08/04/97 3,006,563 3,002,323 4,240
Swedish Krona 32,580,047 06/16-07/02/97 4,196,841 4,211,153 (14,312)
Spanish Peseta 1,053,069,308 07/29-01/20/98 7,148,588 7,319,521 (170,933)
Italian Lira 14,621,234,430 07/02-01/20/98 8,607,064 8,825,384 (218,320)
Japanese Yen 588,130,556 07/02-08/05/97 5,144,853 4,999,429 145,424
Greek Drachma 545,050 08/01/97 1,975 2,129 (154)
Deutsche Mark 25,766,326 07/02-08/20/97 14,787,335 14,896,155 (108,820)
Finnish Markka 8,122,534 07/23-01/21/98 1,568,651 1,594,010 (25,359)
Great British Pound 4,520,499 06/09-07/07/97 7,526,392 7,513,114 13,278
European Currency Unit 2,947,125 07/07/97 3,320,349 3,325,831 (5,482)
------------------ ------------------------------------------------
16,364,777,891 62,957,402 63,322,732 (365,330)
================== ================================================
</TABLE>
<TABLE>
<CAPTION>
Local U.S. $ U.S. $ U.S. $
Principal Contract Market Aggregate Unrealized
Contracts to Deliver Amount Value Date Value Face Amount Gain/(Loss)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Japanese Yen 2,031,604,956 08/05-08/25/97 14,857,502 14,132,332 (725,170)
Italian Lira 39,491,689,733 07/02-11/28/97 19,321,478 19,423,794 102,316
Spanish Peseta 1,050,087,308 07/29-08/25/97 7,128,280 7,559,701 431,421
New Zealand Dollar 13,547,523 08/13-09/15/97 9,200,622 9,289,038 88,416
Norwegian Krone 14,155,344 07/17-07/21/97 1,936,192 2,027,501 91,309
Greek Drachma 323,000 01/12/98 1,148 1,181 33
Irish Punt 3,852,646 07/17-11/19/97 5,833,603 5,937,771 104,168
Canadian Dollar 10,075,687 11/28-12/18/97 7,367,076 7,359,092 (7,984)
Great British Pound 24,300,219 07/07-11/07/97 33,590,369 32,985,384 (604,985)
Deutsche Mark 93,641,315 07/09-12/31/97 43,899,861 46,514,879 2,615,018
Finnish Markka 8,004,794 07/23/97 1,545,613 1,696,829 151,216
European Currency Unit 5,894,250 10/07/97 6,652,465 6,788,705 136,240
Danish Krone 100,712,980 07/10-12/16/97 12,250,992 12,741,441 490,449
Czech Koruna 3,245,588 08/27/97 97,776 113,727 15,951
Australian Dollar 29,286,187 07/01-10/31/97 17,753,355 17,972,652 219,297
Swedish Krona 97,830,617 07/31-11/28/97 8,525,286 8,768,201 242,916
------------------ ------------------------------------------------
42,978,252,147 189,961,617 193,312,228 3,350,611
================== ================================================
</TABLE>
Forward Foreign Cross Currency Contracts
<TABLE>
<CAPTION>
U.S. $ U.S. $ U.S. $
Market Market Contract Unrealized
Contracts to Deliver Value In Exchange For Value Value Date Gain/(Loss)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Greek Drachma 1,585,221 Deutsche Mark 1,558,415 06/03/98 (26,806)
Spanish Peseta 1,674,540 Deutsche Mark 1,653,009 01/20/98 (21,531)
</TABLE>
26
<PAGE>
Standish, Ayer & Wood Master Portfolio
Standish Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
German Deutsche Mark 1,466,523 Italian Lira 1,577,135 08/01/97 110,612
Italian Lira 1,693,390 Deutsche Mark 1,653,009 01/20/98 (40,381)
German Deutsche Mark 1,653,009 Spanish Peseta 1,654,232 01/20/98 1,223
German Deutsche Mark 1,653,009 Italian Lira 1,671,486 01/20/98 18,477
Swiss Franc 2,474,383 Danish Krone 2,621,944 08/04/97 147,561
Danish Krone 2,647,813 Swiss Franc 2,474,383 08/04/97 (173,430)
French Franc 3,064,680 Deutsche Mark 3,052,708 09/03/97 (11,972)
Norwegian Krone 2,809,546 Swiss Franc 2,720,962 07/21/97 (88,584)
Czech Republic Koruna 2,800,549 French Franc 2,946,381 08/27/97 145,832
French Franc 3,223,400 Deutsche Mark 3,217,390 09/08/97 (6,010)
Greek Drachma 3,147,820 Deutsche Mark 2,847,393 08/01/97 (300,427)
Italian Lira 3,154,269 Deutsche Mark 2,847,393 08/01/97 (306,876)
Greek Drachma 3,352,915 French Franc 3,276,128 01/12/98 (76,787)
Swiss Franc 2,720,962 Norwegian Krone 2,931,212 07/21/97 210,250
Belgian Franc 3,308,865 Deutsche Mark 3,306,369 04/24/98 (2,496)
French Franc 2,946,381 Czech Koruna 2,898,324 08/27/97 (48,057)
German Deutsche Mark 2,847,394 Greek Drachma 3,145,846 08/01/97 298,452
Finnish Markka 3,392,460 Deutsche Mark 3,376,118 01/21/98 (16,342)
French Franc 3,276,128 Greek Drachma 3,354,063 01/12/98 77,935
German Deutsche Mark 3,376,118 Finnish Markka 3,369,422 01/21/98 (6,696)
--------------- ---------------- --------------
58,269,375 58,153,322 (116,053)
=============== ================ ==============
</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 contacts' 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 did not have any open financial futures
contracts.
Interest rate swap contracts--
Interest rate swaps involve the exchange by the Portfolio with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. Credit and market risk exist with respect
to these instruments. If forecasts of interest rates and other market
factors are incorrect, investment performance will 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.
27
<PAGE>
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Standish, Ayer & Wood Investment Trust
One Financial Center
Boston, MA 02111
(800) 221-4795
