Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Financial Statements for the
Six Months Ended June 30, 1998
(Unaudited)
[LOGO]
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Statement of Assets and Liabilities
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Assets
Investments at value (Note 1A) (identified cost, $39,321,529) $ 40,229,660
Receivable for investments sold 7,480
Interest receivable 367,281
Miscellaneous receivable 2,909
Receivable for variation margin on open financial futures contracts (Note 6) 1,500
Prepaid expenses 3,549
------------
Total assets 40,612,379
Liabilities
Distribution payable $ 432,927
Options written, at value (premiums received, $37,461) (Note 6) 22,361
Accrued accounting, custody and transfer agent fees 12,413
Accrued trustees' fees and expenses (Note 2) 1,289
Accrued expenses and other liabilities 14,327
-----------
Total liabilities 483,317
------------
Net Assets $ 40,129,062
============
Net Assets consist of:
Paid-in capital $ 40,483,835
Undistributed net investment income 279,262
Accumulated net realized loss (1,578,568)
Net unrealized appreciation 944,533
============
Total Net Assets $ 40,129,062
============
Shares of beneficial interest outstanding 1,966,109
============
Net Asset Value, offering price and redemption price per share
(Net Assets/Shares outstanding) $ 20.41
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Statement of Operations
Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income
Interest income $ 1,370,323
-----------
Total investment income 1,370,323
Expenses
Investment advisory fee (Note 2) $ 49,666
Accounting, custody and transfer agent fees 35,314
Professional services 11,415
Registration fees 3,683
Insurance expense 2,933
Trustees' fees and expenses (Note 2) 2,747
Miscellaneous 1,491
--------
Total expenses 107,249
Deduct:
Waiver of investment advisory fee (Note 2) (17,850)
--------
Net expenses 89,399
-----------
Net investment income 1,280,924
-----------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss)
Investment security transactions 231,152
Financial futures contracts (11,684)
Written option transactions 88,325
--------
Net realized gain 307,793
Change in unrealized appreciation (depreciation)
Investment securities 383
Financial futures contracts 23,828
Written options (12,967)
--------
Net change in unrealized appreciation (depreciation) 11,244
-----------
Net realized and unrealized gain 319,037
-----------
Net Increase in Net Assets from Operations $ 1,599,961
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1998 December 31,
(Unaudited) 1997
---------------- ------------
<S> <C> <C>
Increase (decrease) in Net Assets
From Investment Operations
Net investment income $ 1,280,924 $ 3,054,490
Net realized gain 307,793 183,436
Change in unrealized appreciation (depreciation) 11,244 910,398
----------- -----------
Net increase in Net Assets from Investment Operations 1,599,961 4,148,324
----------- -----------
Distributions to Shareholders
From net investment income (980,324) (3,102,532)
----------- -----------
Total distributions to shareholders (980,324) (3,102,532)
----------- -----------
Fund Share (principal) Transactions (Note 4)
Net proceeds from sale of shares 50,000 --
Value of shares issued to shareholders in payment of distributions declared 114,470 367,563
Cost of shares redeemed (779,817) (11,905,839)
----------- -----------
Net decrease in Net Assets from Fund share transactions (615,347) (11,538,276)
----------- -----------
Total Increase (Decrease) in Net Assets 4,290 (10,492,484)
Net Assets
At beginning of period 40,124,772 50,617,256
----------- -----------
At end of period (including undistributed net investment income and
distributions in excess of net investment income of $279,262 and $21,338, $40,129,062 $40,124,772
respectively) =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1998 ---------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
------------- ------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 20.10 $ 19.70 $ 20.25 $ 18.61 $ 20.24 $ 20.14
-------- ------- ------- ------- -------- --------
Investment Operations
Net investment income * 0.65 1.46 1.43 1.32 1.42 1.45
Net realized and unrealized gain (loss)
on investments 0.16 0.37 (0.57) 1.66 (1.86) 0.54
-------- ------- ------- ------- -------- --------
Total from investment operations 0.81 1.83 0.86 2.98 (0.44) 1.99
-------- ------- ------- ------- -------- --------
Less distributions to shareholders
From net investment income (0.50) (1.43) (1.41) (1.34) (1.19) (1.48)
In excess of net investment income -- -- -- -- -- (0.05)
From net realized gains on investments -- -- -- -- -- (0.36)
-------- ------- ------- ------- -------- --------
Total distributions declared to shareholders (0.50) (1.43) (1.41) (1.34) (1.19) (1.89)
-------- ------- ------- ------- -------- --------
Net Asset Value, End of Period $ 20.41 $ 20.10 $ 19.70 $ 20.25 $ 18.61 $ 20.24
======== ======= ======= ======= ======== ========
Total Return 4.06% 9.50% 4.41% 16.32% (2.16)% 10.02%
Ratios/Supplemental Data
Expenses (to average daily net assets)* 0.45%+ 0.45% 0.45% 0.45% 0.45% 0.45%
Net investment income (to average daily net
assets)* 6.45%+ 6.47% 6.99% 6.78% 6.79% 6.75%
Portfolio Turnover 48% 100% 212% 225% 138% 130%
Net Assets, End of Period (000's omitted) $ 40,129 $40,125 $50,617 $55,201 $ 53,779 $ 78,054
- -----------------------------------------------
* The investment adviser voluntarily agreed not to impose a portion of its investment advisory fee and/or reimbursed
the Fund for a portion of its operating expenses. In the absense of this agreement, the net investment income per
share and the ratios would have been:
Net investment income per share $ 0.64 $ 1.43 $ 1.40 $ 1.22 $ 1.41 $ 1.44
Ratios (to average daily net assets):
Expenses 0.54%+ 0.57% 0.51% 0.51% 0.49% 0.48%
Net investment income 6.36%+ 6.35% 6.93% 6.72% 6.76% 6.72%
+ Computed on an annualized basis.
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 98.4%
Asset Backed -- 8.3%
Advanta Home Equity Trust 1997-2 M1 7.550% 06/25/2027 $ 400,000 $ 410,625
Greentree Financial Corp. 1996-10 M1 7.240% 11/15/2028 500,000 513,359
Greentree Home Equity 1997-D M2 Non-ERISA 7.450% 09/15/2028 500,000 517,188
Greentree Home Equity 1997-M1 7.220% 03/15/2028 500,000 514,316
Oakwood Mtg Invs 1997-C B2 7.700% 11/15/2027 375,000 378,164
Vanderbilt Mtg 1998-A 1B2 Non-ERISA 7.690% 04/07/2028 500,000 507,031
World Omni Auto Lease 1997-A B Non-ERISA 144A 7.300% 06/25/2003 500,000 504,297
----------
Total Asset Backed (Cost $3,284,467) 3,344,980
----------
Collateralized Mortgage Obligations -- 6.9%
Bear Stearns Mtg 1998-2 B 6.750% 04/30/2030 398,593 395,915
FNMA P/O Trust 108 0.000% 03/25/2020 877,225 731,080
FNMA REMIC 1994-81 PJ+ 8.000% 07/25/2023 975,000 1,063,055
GE Capital 1996-17 2A5 ERISA 7.250% 12/25/2011 465,463 475,936
Sears Credit Account 1987-B CL1 8.000% 05/25/2017 84,228 79,129
----------
Total Collateralized Mortgage Obligations (Cost $2,665,420) 2,745,115
----------
Non-Agency -- 31.1%
Pass Thru Securities -- 31.1%
Chase 1997-1 E Non Erisa 7.370% 12/19/2007 500,000 504,063
Chase Commercial Mortage Sec 6.6
1997-2D Non-ERISA 6.600% 12/25/2007 425,000 417,629
CSFB 1995-A 144A 7.093% 11/15/2005 1,100,000 1,084,930
FDIC REMIC Trust 1994-C1 2C Non-ERISA 8.450% 09/25/2025 500,000 513,594
FDIC REMIC Trust 1994-C1 Non-ERISA 8.700% 09/25/2025 500,000 513,828
First Union/Lehman 1997 C1-D Non-ERISA 7.500% 10/18/2008 400,000 414,719
GMAC Mortgage Corp. 1997-C1 E Non-ERISA 7.085% 11/15/2010 400,000 405,438
Lehman Brothers Commercial Conduit
Mortgage Trust 1995-C2 Non-ERISA 7.054% 09/25/2025 575,000 582,727
Merrill Lynch Mortgage Investments
1996-C2 E Non-ERISA 6.960% 11/21/2028 700,000 680,750
Morgan Stanley Capital 1997-WF1 E 7.490% 05/15/2009 475,000 484,871
Mortgage Capital Funding 1996 MC1A-C Non-ERISA 7.800% 04/15/2006 497,000 532,411
Mortgage Capital Funding 1997-MC2 D Non-ERISA 7.117% 11/20/2007 800,000 811,000
Residential Funding 1998-S9 A1 6.500% 04/25/2013 760,424 782,821
Resolution Trust Corp. 1991-6 C-1 9.000% 09/25/2028 359,145 363,802
Resolution Trust Corp. 1994-C2 D Al 1 Non-ERISA 8.000% 04/25/2025 690,103 705,415
Resolution Trust Corp. 1995 C1 C 6.900% 02/25/2027 900,000 900,844
Resolution Trust Corp. 1995-C1 D 6.900% 02/25/2027 546,000 544,294
Resolution Trust Corp. P-T Ser. 1992-5 Sr. A6 9.239% 05/25/2026 1,153,255 1,160,462
Resolution Trust Corp. P-T Ser. 1992-M4 A1 8.000% 09/25/2021 62,833 62,833
Structured Asset Security Corp.
1994-C1 D Non-ERISA+ 6.870% 08/25/2026 825,000 825,516
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Structured Asset Security Corp.
1996-CFL C Non-ERISA 6.525% 02/25/2028 $ 200,000 $ 200,250
----------
Total Non-Agency (Cost $12,118,912) 12,492,197
----------
U.S. Government Agency -- 30.2%
Pass Thru Securities -- 30.2%
FHLMC+ 6.500% 12/01/2023 - 04/01/2028 1,869,794 1,868,678
FNMA+ 7.000% 10/01/2023 - 07/01/2028 3,568,553 3,619,096
FNMA WAM 29.8 412261 6.500% 02/01/2028 469,264 467,354
FNMA WAM 30.0 251569 7.000% 03/01/2028 520,925 528,332
FNMA WAM 30.0 323159 7.500% 05/01/2028 1,123,350 1,152,130
GMAC #15 Put 9/01/00 7.450% 05/01/2021 1,376,581 1,391,722
GNMA+ 7.000% 11/15/2022 - 05/15/2024 1,122,821 1,142,331
GNMA 8.000% 01/15/2026 - 05/15/2027 1,406,686 1,457,677
GNMA WAM 29.2 453981 7.500% 09/15/2027 482,285 495,698
----------
Total U.S. Government Agency (Cost $12,003,193) 12,123,018
----------
U.S. Treasury Obligations -- 21.9%
Treasury Bonds -- 11.1%
U.S. Treasury Bond+ 7.625% 02/15/2025 1,425,000 1,794,160
U.S. Treasury Bond+ 6.625% 02/15/2027 2,350,000 2,653,666
----------
4,447,826
----------
Treasury Notes -- 10.8%
U.S. Treasury Note+ 6.625% 04/30/2002 2,375,000 2,461,464
U.S. Treasury Note+ 6.375% 05/15/2000 600,000 608,904
U.S. Treasury Note+ 5.750% 08/15/2003 530,000 535,629
U.S. Treasury Note+ 5.875% 11/15/1999 725,000 728,284
----------
4,334,281
----------
Total U.S. Treasury Obligations (Cost $8,510,219) 8,782,107
----------
TOTAL BONDS AND NOTES (COST $38,582,211) 39,487,417
----------
<CAPTION>
Shares/ Value
Security Contract Size (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
Financial -- 0.0%
Equity Office Properties Warrants 2,500 2,125
----------
TOTAL WARRANTS (COST $2,000) 2,125
----------
PURCHASED OPTIONS -- 0.2%
UST 5.50% Call, Strike Price 99.984, 7/8/98 31,000 1,938
UST 5.625% Call, Strike Price 100.648, 8/6/98 3,000 3,047
UST 6.125% Call, Strike Price 109.516, 11/9/98 8,000 10,875
UST 5.625% Call, Strike Price 100.469, 9/4/98 4,000 5,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Schedule of Investments - June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Contract Value
Security Size (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
UST 5.625% Call, Strike Price 100.547, 9/9/98 6,520 $ 8,023
UST 5.625% Call, Strike Price 101.609, 9/8/98 6,620 6,723
JGB 3.00% Put, Strike Price 110.291, 12/17/98 220,000,000 23,980
----------
TOTAL PURCHASED OPTIONS (COST $56,786) 59,586
----------
SHORT-TERM INVESTMENTS -- 1.7%
Repurchase Agreements -- 1.7%
Prudential Bache Repurchase Agreement, dated 6/30/98, due 7/1/98, with a
maturity value of $680,633 and an effective yield of 5.32%, collateralized by a
U.S. Government Agency Obligation with a rate of 6.128%, with a maturity date of
1/1/22 and with a market value of $694,570. 680,532
----------
TOTAL SHORT-TERM INVESTMENTS (COST $680,532) 680,532
----------
TOTAL INVESTMENTS-- 100.3% (COST $39,321,529) $ 40,229,660
Other Assets, Less Liabilities-- (0.3)% (100,598)
=================
NET ASSETS-- 100% $ 40,129,062
=================
</TABLE>
Notes to the Schedule of Investments:
144A - Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration.
FNMA - Federal National Mortgage Association
FHLMC - Federal Home Loan Mortgage Corporation
FDIC - Federal Depository Insurance Corporation
FHA - Federal Housing Authority
GNMA - Government National Mortgage Association
REMIC - Real Estate Mortgage Conduit
+ Denotes all or part of security pledged as a margin deposit (Note 6).
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized 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 Securitized Fund (the "Fund") is a separate diversified
investment series of the Trust.
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
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 primarily 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 Fund are valued on an amortized cost basis. If the
Fund 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 Fund 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 Fund to
monitor on a daily basis, the market value of the repurchase agreement's
underlying investments to ensure the existence of a proper level of
collateral.
C. Securities transactions and income
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of interest accrued, 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.
D. 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, 1997, the Fund, for federal income tax purposes, had a
capital loss carryover which will reduce the Fund's taxable income arising
from net realized gain on investments, if any, to the extent permitted by
the Internal Revenue Code and thus will reduce the amount of distributions
to shareholders which would otherwise be necessary to relieve the Fund of
any liability for federal income tax. Such capital loss carryovers are
$1,636,907 and $234,501 which expire on December 31, 2002 and December 31,
2004, respectively. The Fund elected to defer to its fiscal year ending
December 31, 1998, $3,241 of losses recognized during the period of
November 1, 1997 to December 31, 1997.
9
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
E. Distributions to shareholders
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 mortgage backed
securities, futures and options transactions and foreign currency
transactions. Permanent book and tax basis differences relating to
shareholder distributions will result in reclassifications between paid-in
capital, undistributed net investment income and accumulated net realized
gain (loss).
(2) Investment Advisory Fee:
The investment advisory fee paid to Standish, Ayer & Wood, Inc. ("SA&W")
for overall investment advisory and administrative services, and general
office facilities, is paid monthly at the annual rate of 0.25% of the
Fund's average daily net assets up to the first $500,000,000 and 0.20% of
assets in excess of this amount. SA&W voluntarily agreed to limit the
Fund's total operating expenses to 0.45% of the Fund's average daily net
assets for the six months ended June 30, 1998. Pursuant to this agreement,
SA&W voluntarily did not impose $17,850 of its investment advisory fee.
The Trust pays no compensation directly to its trustees who are affiliated
with SA&W or to its officers, all of whom receive remuneration for their
services to the Trust from SA&W. Certain trustees and officers of the
Trust are directors or officers of SA&W.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six month period ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
----------- -----------
<S> <C> <C>
U.S. Government Securities.................................. $16,991,858 $15,574,650
=========== ===========
Investments (non-U.S. Government Securities)................ $ 2,566,940 $ 4,090,553
=========== ===========
</TABLE>
(4) Shares of Beneficial Interest:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
---------------- -----------------
<S> <C> <C>
Shares sold............................................... 2,439 --
Shares issued to shareholders in payment of distributions
declared .............................................. 5,647 18,431
Shares redeemed........................................... (38,245) (591,543)
--------- ---------
Net increase/(decrease)................................... (30,159) (573,112)
========= =========
</TABLE>
At June 30, 1998, three shareholders were record owners of approximately
61%, 12% and 10%, respectively, of the total outstanding shares of the
Fund.
10
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Federal Income Tax Basis of Investment Securities:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30,1998, as computed on a federal
income tax basis, were as follows:
Aggregate Cost......................................... $39,321,529
============
Gross unrealized appreciation.......................... 1,035,075
Gross unrealized depreciation.......................... (126,944)
------------
Net unrealized appreciation............................ $ 908,131
============
(6) 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
Fund's Prospectus and Statement of Additional Information.
The Fund 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 Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies,
as well as to seek to enhance returns. Writing puts and buying calls tend
to increase the Fund's exposure to the underlying instrument. Buying puts
and writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and
written by the Fund, 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 written by the Fund is exercised, the
premium reduces the cost basis of the securities purchased by the Fund.
The Fund, as writer of an option, has no control over whether the
underlying securities may be sold (call) or purchased (put) and as a
result bears the market risk of an unfavorable change in the price of the
security underlying the written option. A summary of written option
transactions for the six months ended June 30, 1998 is as follows:
<TABLE>
<CAPTION>
Number of
Written Put Option Transactions Contracts Premiums
--------------------------------- ----------- ------------
<S> <C> <C>
Outstanding, beginning of period.......................... 5 $49,390
Options written........................................... 2 26,500
Options expired........................................... (3) (47,398)
Options closed............................................ (2) (21,742)
--------- --------
Outstanding, end of period................................ 2 $6,750
========= ========
</TABLE>
11
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of
Written Call Option Transactions Contracts Premiums
--------------------------------- ------------ ------------
<S> <C> <C>
Outstanding, beginning of period.......................... 4 $16,544
Options written........................................... 6 34,618
Options expired........................................... (2) (15,563)
Options closed............................................ (1) (4,888)
--------- ----------
Outstanding, end of period................................ 7 $30,711
========= ==========
</TABLE>
Forward foreign currency and cross currency exchange contracts
The Fund 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 counterparts 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 Fund primarily to protect the Fund's foreign securities from adverse
currency movements. Unrealized appreciation and depreciation of forward
currency exchange contracts is included in the Statement of Assets and
Liabilities. At June 30, 1998, there were no open forward foreign currency
contracts.
Futures Contracts
The Fund may enter into financial futures contracts for the delayed sale
or delivery of securities or contracts based on financial indices at a
fixed price on a future date. Pursuant to margin requirements the Fund
deposits either in cash or securities an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or
received by the Fund 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 Fund. There are several
risks in connection with the use of futures contracts as a hedging device.
The change in value of futures contracts primarily corresponds with the
value of their underlying instruments or index, which may not correlate
with changes in value of the hedged investments. Buying futures tends to
increase the Fund's exposure to the underlying instrument, while selling
futures tends to decrease the Fund's exposure to the underlying instrument
or hedge other Fund investments. In addition, there is the risk that the
Fund 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
contracts' terms. The Fund enters into financial futures transactions
primarily to manage its exposure to certain markets and to changes in
securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. At June 30, 1998,
the Fund held the following futures contracts:
<TABLE>
<CAPTION>
Underlying
Expiration Face/amount Unrealized
Contract Position Date at value Gain/(Loss)
---------- ---------- ------------- --------------- -----------
<S> <C> <C> <C> <C>
U.S. Bond (CBT) (14 Contracts) ....... Long 9/30/98 $1,730,313 $ 19,197
U.S. 10 Yr. Note (13 Contracts) ...... Short 9/30/98 1,479,969 2,105
-----------
$ 21,302
===========
</TABLE>
At June 30, 1998, the Fund had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
12
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Standish, Ayer & Wood Investment Trust
One Financial Center
Boston, MA 02111-2662
(800) 221-4795
