Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments, at value (Note 1A) (identified cost,
$44,461,060) $ 43,748,825
Cash 271,639
Receivable for investments sold 1,168,065
Receivable for premiums on written options 14,713
Interest receivable 313,300
Receivable for variation margin on open financial
futures contracts (Note 6) 797
Tax reclaim receivable 2,909
Prepaid expenses 3,994
------------
Total assets 45,524,242
Liabilities
Distributions payable $ 432,927
Payable for delayed delivery transactions (Note 7) 2,762,430
Options written, at value (Note 6) (premiums
received, $138,245) 146,875
Accrued accounting, custody and transfer agent fees 7,818
Accrued trustees' fees and expenses (Note 2) 1,785
Payable for premium on purchased options 14,660
Accrued expenses and other liabilities 9,362
----------
Total liabilities 3,375,857
------------
Net Assets $ 42,148,385
============
Net Assets consist of:
Paid-in capital $ 44,263,980
Accumulated net realized loss (1,533,342)
Undistributed net investment income 159,569
Net unrealized depreciation (741,822)
------------
Total Net Assets $ 42,148,385
============
Shares of beneficial interest outstanding 2,148,284
============
Net Asset Value, offering price and redemption price
per share (Net Assets/Shares outstanding) $ 19.62
============
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Statement of Operations
For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income
Interest income $ 1,468,685
-----------
Total investment income 1,468,685
Expenses
Investment advisory fee (Note 2) $ 52,483
Accounting, custody and transfer agent fees 45,717
Legal and audit services 15,876
Trustees' fees and expenses (Note 2) 3,448
Registration fees 2,963
Insurance expense 2,926
Miscellaneous 2,736
-----------
Total expenses 126,149
Deduct:
Waiver of investment advisory fee (Note 2) (31,680)
-----------
Net expenses 94,469
-----------
Net investment income 1,374,216
-----------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss)
Investment security transactions (483,982)
Financial futures contracts (79,927)
Written options transactions 53,436
-----------
Net realized loss (510,473)
Change in unrealized appreciation (depreciation)
Investment securities (1,094,362)
Financial futures contracts (5,989)
Written options (39,868)
-----------
Net change in unrealized depreciation (1,140,219)
-----------
Net realized and unrealized loss (1,650,692)
-----------
Net Decrease in Net Assets From Operations $ (276,476)
===========
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, 1999 December 31,
(Unaudited) 1998
----------------- -------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Investment Operations
Net investment income $ 1,374,216 $ 2,580,881
Net realized gain (loss) (510,473) 881,611
Change in unrealized depreciation (1,140,219) (534,892)
----------- -----------
Net increase (decrease) in net assets from investment
operations (276,476) 2,927,600
----------- -----------
Distributions to Shareholders (Note 1E)
From net investment income (1,070,236) (2,580,881)
In excess of net investment income -- (32,653)
----------- -----------
Total distributions to shareholders (1,070,236) (2,613,534)
----------- -----------
Fund Share (Principal) Transactions (Note 4)
Net proceeds from sale of shares 3,240,276 80,000
Value of shares issued to shareholders in payment of
distributions declared 204,381 311,696
Cost of shares redeemed (277) (779,817)
----------- -----------
Net increase (decrease) in net assets from Fund share
transactions 3,444,380 (388,121)
----------- -----------
Total Increase (Decrease) in Net Assets 2,097,668 (74,055)
Net Assets
At beginning of period 40,050,717 40,124,772
----------- -----------
At end of period (including undistributed net
investment income and distributions in excess of
net investment income of $159,569 and $144,411,
respectively) $42,148,385 $40,050,717
=========== ===========
</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, 1999 --------------------------------------------------------------
(Unaudited) 1998(1) 1997 1996 1995 1994
-------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 20.26 $ 20.10 $ 19.70 $ 20.25 $ 18.61 $ 20.24
------- ---------- ---------- ---------- ---------- ----------
Investment Operations:
Net investment income* 0.65 1.31 1.46 1.43 1.32 1.42
Net realized and unrealized gain
(loss) on investments (0.79) 0.18 0.37 (0.57) 1.66 (1.86)
------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (0.14) 1.49 1.83 0.86 2.98 (0.44)
------- ---------- ---------- ---------- ---------- ----------
Less Distributions to Shareholders:
From net investment income (0.50) (1.31) (1.43) (1.41) (1.34) (1.19)
In excess of net investment income -- (0.02) -- -- -- --
------- ---------- ---------- ---------- ---------- ----------
Total distributions to shareholders (0.50) (1.33) (1.43) (1.41) (1.34) (1.19)
------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 19.62 $ 20.26 $ 20.10 $ 19.70 $ 20.25 $ 18.61
======= ========== ========== ========== ========== ==========
Total Return (0.69)% 7.53% 9.50% 4.41% 16.32% (2.16)%
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)* 6.54%+ 6.39% 6.47% 6.99% 6.78% 6.79%
Portfolio Turnover 87% 123% 100% 212% 225% 138%
Net Assets, End of Period (000's
omitted) $42,148 $ 40,051 $ 40,125 $ 50,617 $ 55,201 $ 53,779
</TABLE>
- ----------
* For the periods indicated, the investment adviser did not impose a portion
of its advisory fee and/or reimbursed a portion of the Fund's operating
expenses. If this voluntary reduction had not been taken, the investment
income per share and the ratios would have been:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Net investment income per share $ 0.63 $ 1.29 $ 1.43 $ 1.40 $ 1.22 $ 1.41
Ratios (to average daily net assets):
Expenses 0.60%+ 0.56% 0.57% 0.51% 0.51% 0.49%
Net investment income 6.39%+ 6.28% 6.35% 6.93% 6.72% 6.76%
</TABLE>
(1) Calculated based on average shares outstanding.
+ Computed on an annualized basis.
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, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 98.6%
Asset Backed -- 9.7%
ARG Funding 1999-1A A3 6.020% 05/20/2005 $ 400,000 $ 387,531
Advanta Home Equity Trust 1997-2 M1 7.550% 06/25/2027 400,000 404,500
CIT Holdings 98-1 M2 Non-ERISA+ 6.720% 09/15/2027 400,000 388,250
CIT Marine Trust 1999-A4 6.250% 11/15/2019 400,000 390,000
Ford Credit Auto Owner Trust 6.650% 10/15/2003 400,000 397,562
Greentree Home Equity 1997-D M2 Non-ERISA 7.450% 09/15/2028 500,000 482,050
Newcourt Rec Asset Lease 98-2D 7.210% 09/15/2007 400,000 399,500
Residential Fund Mortgage Sec Inc. 6.320% 04/25/2030 425,000 408,000
Vanderbilt Mtg Fin 98-C 1M1+ 6.900% 10/07/2028 375,000 357,187
World Omni Auto Lease 1997-A B Non-ERISA 144A 7.300% 06/25/2003 495,048 499,652
------------
Total Asset Backed (Cost $4,200,439) 4,114,232
------------
Collateralized Mortgage Obligations -- 3.2%
Bear Stearns Mtg 1998-2 B 6.750% 04/30/2030 380,550 361,641
FNMA P/O Trust 108 0.000% 03/01/2020 597,191 485,462
GE Capital 1996-17 2A5 ERISA 7.250% 12/25/2011 442,967 443,798
Sears Credit Account 1987-B CL1 8.000% 05/25/2017 44,697 43,356
------------
Total Collateralized Mortgage Obligations (Cost
$1,357,599) 1,334,257
------------
Non-Agency -- 25.0%
Pass Thru Securities -- 25.0%
Chase 1997-1 E Non ERISA 7.370% 12/19/2007 500,000 471,250
Chase Commercial Mortgage Sec 6.6 1997-2D
Non-ERISA 6.600% 12/25/2007 425,000 397,906
DLJ Commercial Mortgage Corp. 6.080% 08/10/2008 419,382 406,146
FDIC REMIC Trust 1994-C1 2C Non-ERISA+ 8.450% 09/25/2025 800,000 806,000
FDIC REMIC Trust 1994-C1 2D Non-ERISA+ 8.700% 09/25/2025 500,000 501,875
First Union/Lehman 1997 C1-D Non-ERISA+ 7.500% 10/18/2008 400,000 395,484
GMAC #15 Put 9/01/00 7.450% 05/01/2021 1,003,607 1,003,607
GMAC Mortgage Corp. 1997-C1 E Non-ERISA 7.085% 11/15/2010 400,000 384,828
Lehman Brothers Commercial Conduit Mortgage
Trust 1995-C2 Non-ERISA(a)+ 7.110% 05/25/2005 575,000 568,329
Merrill Lynch Mortgage Investments 1996-C2 E
Non-ERISA+ 6.960% 11/21/2028 700,000 611,170
Midland 96 C2 A2 Seq 7.233+ 7.233% 01/25/2029 200,000 202,750
Morgan Stanley Capital 1997-WF1 E 7.490% 05/15/2009 475,000 450,285
Morgan Stanley Capital I 6.250% 07/15/2007 400,673 395,414
Mortgage Capital Funding 1996 MC1A-C
Non-ERISA 7.800% 04/15/2006 497,000 511,289
Mortgage Capital Funding 1997-MC2 D
Non-ERISA+ 7.117% 11/20/2007 800,000 768,000
Resolution Trust Corp. 1991-6 C-1 9.000% 09/25/2028 271,423 269,811
Resolution Trust Corp. 1994-C2 D Al 1
Non-ERISA 8.000% 04/25/2025 682,721 685,707
Resolution Trust Corp. 1995-C1 D 6.900% 02/25/2027 546,000 529,791
Resolution Trust Corp. P-T Ser. 1992-5 Sr. A6 9.239% 05/25/2026 456,494 454,069
Structured Asset Security Corp. 1994-C1 D
Non-ERISA+ 6.870% 08/25/2026 510,622 508,886
</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, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Security Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pass Thru Securities (continued)
Structured Asset Security Corp. 1996-CFL C
Non-ERISA+ 6.525% 02/25/2028 $ 200,000 $ 198,430
------------
Total Non-Agency (Cost $10,657,834) 10,521,027
------------
U.S. Government Agency -- 46.0%
Pass Thru Securities -- 46.0%
FHLMC+ 5.750% 07/15/2003 175,000 172,785
FMAC Loan Rec Trust 98-C Class A2 6.660% 01/15/2012 425,000 406,938
FNMA+ 5.125% 02/13/2004 1,600,000 1,534,000
FNMA 5.625% 05/14/2004 900,000 872,154
FNMA+ 6.000% 01/01/2029 - 06/01/2029 2,850,324 2,678,627
FNMA 6.400% 05/14/2009 800,000 775,128
FNMA# 6.500% 05/01/2014 - 07/01/2029 3,817,215 3,696,137
GNMA 6.500% 04/15/2029 429,249 412,749
GNMA 7.000% 11/15/2022 - 06/15/2029 5,407,892 5,336,002
GNMA# 8.000% 01/15/2026 - 07/15/2029 1,693,595 1,741,744
GNMA 9.000% 09/15/2016 - 12/15/2017 1,467,217 1,567,545
GNSF 8.000% 06/15/2026 193,062 198,551
------------
Total U.S. Government Agency
(Cost $19,728,198) 19,392,360
------------
U.S. Treasury Obligations -- 14.7%
Treasury Bonds -- 10.4%
U.S. Treasury Bond+ 7.625% 02/15/2025 925,000 1,091,065
U.S. Treasury Bond+ 8.125% 05/15/2021 1,950,000 2,374,730
U.S. Treasury Bond+ 11.250% 02/15/2015 625,000 935,544
------------
4,401,339
------------
Treasury Notes -- 4.3%
U.S. Treasury Note+ 4.625% 11/30/2000 900,000 890,298
U.S. Treasury Note+ 5.250% 05/31/2001 500,000 497,655
U.S. Treasury Note+ 5.875% 11/15/1999 25,000 25,074
U.S. Treasury Note+ 6.250% 10/31/2001 200,000 202,844
U.S. Treasury Note+ 6.375% 05/15/2000 200,000 201,812
------------
1,817,683
------------
Total U.S. Treasury Obligations
(Cost $6,317,523) 6,219,022
------------
TOTAL BONDS AND NOTES (COST $42,261,593) 41,580,898
------------
<CAPTION>
Contract
Size
----------
<S> <C> <C>
PURCHASED OPTIONS -- 0.2%
UST 4.75% Call, Strike Price 95.00, 9/3/99 9,000 2,502
UST 4.75% Call, Strike Price 96.6093, 10/18/99 1,500 407
UST 5.25% Put, Strike Price 90.1562, 12/1/99 4,000 12,660
UST 5.25% Put, Strike Price 90.5781, 12/1/99 4,000 14,297
UST 5.25% Put, Strike Price 90.6562, 12/1/99 4,000 13,844
UST 5.5% Call, Strike Price 100.1093, 11/8/99 9,000 5,796
UST 5.5% Call, Strike Price 100.4062, 8/9/99 4,800 1,680
</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, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/
Contract Value
Security Size (Note 1A)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
UST 5.5% Call, Strike Price 96.5781, 9/22/99 7,402 $ 9,195
UST 5.5% Call, Strike Price 96.7265, 9/22/99 3,330 3,902
UST 5.5% Call, Strike Price 97.1875, 9/2/99 1,600 1,774
UST 5.5% Call, Strike Price 98.1328, 9/2/99 5,906 5,174
------------
TOTAL PURCHASED OPTIONS (COST $100,896) 71,231
------------
WARRANTS -- 0.0%
Financial -- 0.0%
Equity Office Properties Warrants 2,500 125
------------
TOTAL WARRANTS (COST $2,000) 125
------------
SHORT-TERM INVESTMENTS -- 5.0%
Repurchase Agreements -- 5.0%
Prudential-Bache Repurchase Agreement, dated 6/30/99, due 7/1/99, with a
maturity value of $2,096,810 and an effective yield of 4.10%, collateralized by
a U.S. Treasury Bond with a rate of 11.125%, maturity date of 8/15/03 and
market value of $2,148,480. 2,096,571
------------
TOTAL SHORT-TERM INVESTMENTS (COST $2,096,571) 2,096,571
------------
TOTAL INVESTMENTS -- 103.8% (COST $44,461,060) $ 43,748,825
Other Assets, Less Liabilities -- (3.8%) (1,600,440)
------------
NET ASSETS -- 100.0% $ 42,148,385
============
</TABLE>
Notes to Schedule of Investments:
144A - Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration.
FDIC - Federal Depository Insurance Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FMAC - Federal Mortgage Acceptance Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
GNSF - Government National Mortgage Association
P/O - Principal Only
REMIC - Real Estate Mortgage Conduit
UST - United States Treasury
+ Denotes all or part of security pledged as a margin deposit (Note 6) or
collateral for delayed delivery transactions (Note 7).
(a) Variable Rate Security; rate indicated is as of 6/30/99.
# All or a portion of these securities are delayed delivery contracts (Note
7).
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 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 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 at amortized cost. 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 agreements,
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 accretion of 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 regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
At December 31, 1998, 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
$803,341 and $234,501 which expire on December 31, 2002 and December 31,
2004, respectively.
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
9
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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, distributions in excess of 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
Funds 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, 1999. Pursuant to this agreement,
SA&W voluntarily waived $31,680 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 months ended June 30, 1999 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $37,230,335 $32,996,125
=========== ===========
Investments (non-U.S.Government Securities) $ 2,458,706 $ 3,284,278
=========== ===========
(4) Shares of Beneficial Interest:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
---------------- -----------------
<S> <C> <C>
Shares sold 160,699 3,904
Shares issued to shareholders in payment of
distributions declared 10,353 15,319
Shares redeemed (14) (38,245)
------- -------
Net increase/decrease 171,038 (19,022)
======= =======
</TABLE>
At June 30, 1999, the Fund had one shareholder of record owning
approximately 70% 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, 1999, as computed on a federal
income tax basis, were as follows:
Aggregate Cost $44,461,060
===========
Gross unrealized appreciation 225,590
Gross unrealized depreciation (937,825)
-----------
Net unrealized depreciation $ (712,235)
===========
(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 instruments are set forth more fully in the
Fund's Prospectus and Statement of Additional Information.
The Fund trades the following 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 options is shown in the Schedule of Investments. This
amount reflects each contracts exposure to the underlying instrument at
period end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contracts,
or if the counterparties do not perform under the 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,
1999 is as follows:
Written Put Option Transactions
--------------------------------------------------------------------------
Number of Contracts Premiums
------------------- --------
Outstanding, beginning of period 5 $ 39,828
Options written 7 94,007
Options expired (2) (22,250)
Options closed (3) (17,578)
--- --------
Outstanding, end of period 7 $ 94,007
=== ========
11
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Written Call Option Transactions
--------------------------------------------------------------------------
Number of Contract Premiums
------------------- --------
Outstanding, beginning of period 6 $ 46,250
Options written 13 73,300
Options exercised (1) (14,875)
Options expired (5) (36,558)
Options closed (4) (23,879)
--- --------
Outstanding, end of period 9 $ 44,238
=== ========
Forward 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 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 Fund primarily to protect the value of 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, 1999, 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 indices, which may not correlate
with changes in the value of 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
contract's 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, 1999, the Fund held the following futures contracts:
<TABLE>
<CAPTION>
Expiration Underlying Face Unrealized
Contract Position Date Amount at Value Gain/loss
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Bond (CBT) (4 Contracts) Long 9/30/99 $ 463,625 $ 2,429
U.S. 5 Yr. Note (18 Contracts) Long 9/30/99 1,962,000 (1,586)
U.S. 2 Yr. Note (19 Contracts) Long 9/30/99 3,950,813 5,155
U.S. 10 Yr. Note (30 Contracts) Short 9/30/99 3,335,625 (26,955)
---------
$(20,957)
========
</TABLE>
12
<PAGE>
Standish, Ayer & Wood Investment Trust
Standish Securitized Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 1999, the Fund had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
(7) Delayed Delivery Transactions:
The Fund may purchase securities on a when-issued or forward commitment
basis. Payment and delivery may take place a month or more after the date
of the transactions. The price of the underlying securities and the date
when the securities will be delivered and paid for are fixed at the time
the transaction is negotiated. The Fund segregates securities having a
value at least equal to the amount of the purchase commitment.
At June 30, 1999, the Fund entered into the following delayed delivery
transactions:
Type Security Settlement Date Payable Amount
--------------------------------------------------------------------------
Buy FNMA 7/16/99 $ 479,883
Buy FNMA 7/16/99 1,151,438
Buy GNMA 7/29/99 1,131,109
----------
$2,762,430
==========
13
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