STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
ASSETS
<S> <C> <C>
Investment in Standish Global Fixed Income Portfolio
("Portfolio"), at value (Note 1A) $388,575,073
Receivable for Fund shares sold 7,475
Prepaid expenses 6,610
------------
Total assets 388,589,158
LIABILITIES
Payable for Fund shares redeemed $2,956,107
Distributions payable 1,601,346
Accrued accounting, custody and transfer agent fees 3,348
Accrued trustees' fees and expenses (Note 2) 989
Accrued expenses and other liabilities 9,613
----------
Total liabilities 4,571,403
------------
NET ASSETS $384,017,755
============
NET ASSETS CONSIST OF:
Paid-in capital $413,298,197
Accumulated net realized loss (21,144,559)
Undistributed net investment income 1,783,282
Net unrealized depreciation (9,919,165)
------------
TOTAL NET ASSETS $384,017,755
============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 20,299,289
============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE
(Net Assets/Shares outstanding) $ 18.92
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE>
STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1B)
Interest income allocated from Portfolio $11,993,355
Dividend income allocated from Portfolio (net of
foreign withholding taxes of $4,869) 30,995
Expenses allocated from Portfolio (1,003,539)
-----------
Net investment income allocated from Portfolio 11,020,811
EXPENSES
Accounting, custody, and transfer agent fees $ 19,640
Legal and audit services 15,921
Registration fees 9,001
Trustees' fees and expenses (Note 2) 1,989
Insurance expense 666
Miscellaneous 9,113
-----------
Total expenses 56,330
-----------
Net investment income 10,964,481
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio on:
Investment security transactions (18,938,652)
Financial futures contracts (52,511)
Written options transactions (1,355,845)
Foreign currency transactions and forward foreign
currency exchange contracts 21,032,874
-----------
Net realized gain 685,866
Change in unrealized appreciation (depreciation)
allocated from Portfolio on:
Investment securities 6,244,852
Financial futures contracts (115,681)
Written options 3,655,687
Foreign currency and forward foreign currency
exchange contracts (7,855,045)
-----------
Change in net unrealized appreciation
(depreciation) 1,929,813
-----------
Net realized and unrealized gain 2,615,679
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $13,580,160
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- --------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM INVESTMENT OPERATIONS
Net investment income $ 10,964,481 $ 28,249,003
Net realized gain (loss) 685,866 (21,650,039)
Change in net unrealized appreciation (depreciation) 1,929,813 (9,743,040)
------------ ------------
Net increase (decrease) in net assets from investment
operations 13,580,160 (3,144,076)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1E)
From net investment income (10,093,441) (30,568,392)
------------ ------------
Total distributions to shareholders (10,093,441) (30,568,392)
------------ ------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 24,132,304 22,530,903
Value of shares issued to shareholders in payment of
distributions declared 6,885,998 21,666,312
Cost of shares redeemed (29,733,584) (89,763,963)
------------ ------------
Net increase (decrease) in net assets from Fund share
transactions 1,284,718 (45,566,748)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,771,437 (79,279,216)
NET ASSETS
At beginning of period 379,246,318 458,525,534
------------ ------------
At end of period (including undistributed net
investment income of $1,783,282 and $912,242,
respectively) $384,017,755 $379,246,318
============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2000 -------------------------------------------------------------
(UNAUDITED)(1) 1999(1) 1998(1) 1997(1) 1996(1) 1995
------------------ ----------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.76 $ 20.28 $ 20.39 $ 20.09 $ 19.53 $ 17.99
-------- -------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income* 0.54 1.26 1.28 1.34 1.42 1.59
Net realized and unrealized gain
(loss) on investments 0.12 (1.38) 0.12 0.96 1.05 1.60
-------- -------- -------- -------- -------- --------
Total from investment operations 0.66 (0.12) 1.40 2.30 2.47 3.19
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.50) (1.40) (1.21) (1.98) (1.91) (1.65)
From net realized gain on investments -- -- (0.30) (0.02) -- --
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.50) (1.40) (1.51) (2.00) (1.91) (1.65)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 18.92 $ 18.76 $ 20.28 $ 20.39 $ 20.09 $ 19.53
======== ======== ======== ======== ======== ========
TOTAL RETURN++ 3.55%+++ (0.64)% 6.98% 11.68% 13.03% 18.13%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net
assets)*(2) 0.55%+ 0.54% 0.56% 0.65% 0.65% 0.62%
Net Investment Income (to average
daily net assets)* 5.70%+ 6.31% 6.18% 6.42% 7.11% 7.69%
Portfolio Turnover (3) -- -- -- -- 73% 163%
Net Assets, End of Period (000's
omitted) $384,018 $379,246 $458,526 $255,762 $155,731 $137,889
</TABLE>
-----------------
* For the period indicated, the investment adviser voluntarily agreed not to
impose any of its investment advisory fee and/or reimbursed the Fund for
all of its operating expenses. If this voluntary action had not been
taken, the investment income per share and ratios would have been:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Net investment income per share -- -- -- $ 1.33 -- --
Ratios (to average daily net assets):
Expenses (2) -- -- -- 0.66% -- --
Net investment income -- -- -- 6.41% -- --
</TABLE>
+ Computed on annualized basis.
++ Total return would have been lower in the absence of expense waivers.
+++ Not annualized.
(1) Calculated based on average shares outstanding.
(2) Includes the Fund's share of Standish Global Fixed Income Portfolio's
allocated expenses for the periods since May 3, 1996.
(3) Portfolio turnover represents the rate of portfolio activity for the
period while the Fund invested directly in securities, including the
period from January 1, 1996 through May 2, 1996. The portfolio turnover
rates for the period since the Fund transferred substantially all of its
investable assets to the Portfolio are shown in the Portfolio's financial
statements which are included elsewhere in this report.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Standish, Ayer & Wood Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment
company. Standish Global Fixed Income Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The Fund invests all of its investable assets in an interest of Standish
Global Fixed Income Portfolio (the "Portfolio"), a subtrust of Standish,
Ayer & Wood Master Portfolio (the "Portfolio Trust"), which is organized
as a New York trust, and has the same investment objective as the Fund.
The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% at June 30, 2000). 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 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
The Fund records its investment in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Currently, the
Fund's net investment income consists of the Fund's pro rata share of the
net investment income of the Portfolio, less all actual and accrued
expenses of the Fund determined in accordance with generally accepted
accounting principles. The Fund does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
C. FEDERAL TAXES
As a 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, 1999, 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 carryover is
$13,800,135 which expires on December 31, 2007. The Fund elected to defer
to its fiscal year ending December 31, 2000, $7,655,831 of losses
recognized during the period November 1, 1999 to December 31, 1999.
D. OTHER
All net investment income and realized and unrealized gains and losses of
the Portfolio are allocated pro rata among the investors in the Portfolio.
5
<PAGE>
STANDISH, AYER & WOOD INVESTMENT TRUST
STANDISH GLOBAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
E. DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. In determining the amounts of its
dividends, the Fund will take into account its share of the income, gains
or losses, expenses, and any other tax items of the Portfolio. Dividends
from net investment income and capital gains distributions, if any, are
reinvested in additional shares of the Fund unless a 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, which may result in
distribution reclassifications, are primarily due to differing treatments
for foreign currency transactions, passive foreign investment companies
(PFIC), litigation proceeds, market discount, non-taxable dividends,
capital loss carryforwards, losses deferred due to wash sales and excise
tax regulations.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions may
include temporary book and tax basis differences which will reverse in a
subsequent period. Any taxable income or gain remaining at fiscal year end
is distributed in the following year.
(2) INVESTMENT ADVISORY FEE:
The Fund does not directly pay any investment advisory fees, but
indirectly bears its pro rata share of the compensation paid by the
Portfolio to Standish International Management Company, LLC ("SIMCO") for
such services. 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 SIMCO or to
its officers, all of whom receive remuneration for their services to the
Trust from SIMCO. Certain of the trustees and officers of the Trust are
directors or officers of Standish, Ayer & Wood, Inc., the parent company
of SIMCO.
(3) INVESTMENT TRANSACTIONS:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2000, aggregated $24,124,829 and $28,790,168,
respectively.
(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, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
Shares sold 1,282,617 1,142,101
Shares issued to shareholders in payment of
distributions declared 365,209 1,119,756
Shares redeemed (1,565,806) (4,655,225)
---------- ----------
Net increase (decrease) 82,020 (2,393,368)
========== ==========
</TABLE>
At June 30, 2000, three shareholders held of record approximately 19%, 17%
and 11% of the total outstanding shares of the Fund, respectively.
Investment activity of these shareholders could have a material impact on
the Fund.
6
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR VALUE
SECURITY RATE MATURITY VALUE# (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BONDS AND NOTES -- 96.1%
ASSET BACKED -- 1.4%
Daimler Chrysler Auto Trust 2000-A A4+ 7.230% 01/06/2005 $ 1,025,000 $ 1,026,121
Ford Credit Auto Owner Trust 1997-B 2 7.370% 07/15/2004 2,200,000 2,194,500
Ford Credit Auto Owner Trust 2000-A A5 7.190% 03/15/2004 2,000,000 1,998,750
------------
Total Asset Backed (Cost $5,224,612) 5,219,371
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6%
Bear Stearns Mortgage 1998-2 B 6.750% 04/30/2030 1,502,191 1,383,189
GMAC Mortgage Corp.
1997-C1 E Non-ERISA 7.085% 11/15/2010 900,000 826,840
------------
Total Collateralized Mortgage
Obligations (Cost $2,396,444) 2,210,029
------------
CORPORATE -- 9.7%
BANK BONDS -- 0.7%
Bank United Corp. Notes+ 8.875% 05/01/2007 775,000 705,250
First Security Bank Sub. Notes+ 5.875% 11/01/2003 1,250,000 1,181,692
GS Escrow Corp. 144A Notes+ 7.125% 08/01/2005 730,000 646,765
Imperial Credit Capital Trust Notes+ 9.980% 12/31/2026 375,000 335,166
------------
2,868,873
------------
FINANCIAL -- 3.5%
Advanta Capital Trust I+ 8.990% 12/17/2026 750,000 375,000
Amresco Inc. Corp. Senior Sub Notes+ 9.875% 03/15/2005 525,000 241,500
Conseco Finance Trust Capital Notes+ 8.796% 04/01/2027 250,000 110,000
Conseco Finance Trust II+ 8.700% 11/15/2026 2,225,000 979,000
Crescent Real Estate Notes+ 7.500% 09/15/2007 450,000 358,263
Liberty Mutual Insurance Co. 144A Notes+ 7.697% 10/15/2097 850,000 620,547
US Bancorp(a) 6.998% 05/16/2001 2,350,000 2,356,970
Wachovia Bank+(a) 6.599% 10/18/2001 4,875,000 4,867,078
Wells Fargo(a) 6.418% 04/26/2002 3,850,000 3,847,105
------------
13,755,463
------------
INDUSTRIAL BONDS -- 5.5%
American Standard Corp. Notes+ 7.375% 04/15/2005 1,000,000 932,500
Aramark Services Inc.+ 6.750% 08/01/2004 2,000,000 1,907,666
Caterpillar Inc.+(a) 6.850% 11/17/2000 4,100,000 4,101,640
Conmed Corp. Notes+ 9.000% 03/15/2008 700,000 640,500
Ford Motor Credit Co+ 7.375% 10/28/2009 3,975,000 3,844,477
Horseshoe Gaming Holdings+ 8.625% 05/15/2009 1,000,000 930,000
Horseshoe Gaming LLC Notes+ 9.375% 06/15/2007 450,000 445,500
Kaufman & Broad Home Corp. Senior Notes+ 7.750% 10/15/2004 300,000 267,000
Lilly Industries Inc. Notes+ 7.750% 12/01/2007 300,000 279,932
McLeod USA Senior Notes+ 8.375% 03/15/2008 1,575,000 1,441,125
Panamsat Notes+ 6.000% 01/15/2003 1,550,000 1,472,307
Panamsat Notes+ 6.125% 01/15/2005 1,500,000 1,377,899
Panavision Inc. Step Up Sub Notes+(b) 0.000% 02/01/2006 500,000 100,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR VALUE
SECURITY RATE MATURITY VALUE# (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL BONDS (CONTINUED)
Tenet Healthcare Corp. Notes+ 8.625% 12/01/2003 $ 525,000 $ 521,062
USA Waste Services Inc. Senior Notes+ 6.500% 12/15/2002 1,200,000 1,135,764
WMX Technologies+ 6.375% 12/01/2003 950,000 881,048
Waste Management Inc.+ 6.875% 05/15/2009 1,250,000 1,103,398
------------
21,381,818
------------
Total Corporate (Cost $42,193,416) 38,006,154
------------
GOVERNMENT/OTHER -- 61.7%
CANADA -- 3.9%
Canada Government 5.500% 06/01/2009 5,900,000 3,886,192
Canada Government 6.000% 06/01/2008 5,620,000 3,813,707
Canada Government 6.000% 09/01/2005 11,085,000 7,513,998
------------
15,213,897
------------
DENMARK -- 0.0%
Denmark Realkredit 8.000% 10/01/2026 1,000 130
------------
EURODOLLAR -- 19.5%
American Standard Global+ 7.125% 06/01/2006 4,000,000 3,685,528
Bulgaria FLIRB Series A(a) 2.750% 07/28/2012 1,195,000 875,337
Bundes Obligation+ 4.500% 08/19/2002 12,255,000 11,586,403
Bundes Obligation Ser 117 Notes+ 5.125% 11/21/2000 6,200,000 5,928,640
Clear Channel Communications 144A 6.500% 07/07/2005 2,150,000 2,051,113
Deutschland Republic 5.375% 01/04/2010 14,460,000 13,905,814
Deutschland Republic+ 5.625% 01/04/2028 1,850,000 1,776,272
Deutschland Republic+ 6.250% 01/04/2024 9,320,000 9,592,837
Deutschland Republic+ 6.500% 07/04/2027 4,270,000 4,567,866
Federal Republic of Germany+ 4.750% 11/20/2001 5,535,000 5,267,907
Flextronics International+ 9.750% 07/01/2010 400,000 391,468
Ford Motor Credit Co.+ 3.750% 07/12/2004 1,700,000 1,501,921
Fort James Corp. Notes+ 4.750% 06/29/2004 2,095,000 1,879,069
General Motors Acceptance Corp.+ 5.500% 02/02/2005 2,740,000 2,566,620
Huntsman ICI Chemicals+ 10.125% 07/01/2009 2,000,000 1,962,114
Italian Government BTPS Notes NCL 6.500% 11/01/2027 3,885,000 3,982,039
Level 3 Communications Inc.+ 10.750% 03/15/2008 1,400,000 1,256,517
Level 3 Communications Inc.+ 11.250% 03/15/2010 525,000 471,194
Metromedia Fiber Network+ 10.000% 12/15/2009 2,280,000 2,089,866
Winstar Communications 144A+ 12.750% 04/15/2010 470,000 426,318
------------
75,764,843
------------
GERMANY -- 1.6%
Baden Nurttemberg+ 6.200% 11/22/2013 1,022,583 1,039,826
Banco Comercial 8.250% 10/04/2000 545,000 266,709
Colt Telecom Group PLC 144A Notes 7.625% 07/31/2008 8,625,000 3,831,614
Exide Holding Europe 144A Notes+ 9.125% 04/15/2004 1,700,000 780,114
------------
5,918,263
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR VALUE
SECURITY RATE MATURITY VALUE# (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
IRELAND -- 0.1%
Esat Telecom Group PLC+ 11.875% 11/01/2009 $ 400,000 $ 477,400
------------
JAPAN -- 17.8%
Austria Republic+ 6.250% 10/16/2003 370,000,000 4,108,208
Deutsche Telekom 1.500% 06/15/2005 320,000,000 3,013,145
Ford Motor Credit Corp. 1.200% 02/07/2005 570,000,000 5,327,099
General Motors+ 1.250% 12/20/2004 400,000,000 3,750,596
IBM Corp. Notes 0.900% 04/14/2003 349,000,000 3,282,891
Italy Euroyen Notes 1.800% 02/23/2010 900,000,000 8,545,183
Italy Euroyen Notes+ 5.125% 07/29/2003 844,000,000 9,037,386
Italy Euroyen Notes NCL 3.750% 06/08/2005 190,000,000 2,021,522
KFW International Finance 1.750% 03/23/2010 304,000,000 2,868,676
McDonald's Corp. 2.000% 03/09/2010 151,000,000 1,424,533
Mexican Notes NCL 3.100% 04/24/2002 490,000,000 4,723,750
Oesterreich KontrollBank 1.800% 03/22/2010 447,000,000 4,243,388
Procter & Gamble+ 1.500% 12/07/2005 560,000,000 5,279,448
Province of Ontario 1.875% 01/25/2010 363,000,000 3,428,430
Spanish Government 4.750% 03/14/2005 300,000,000 3,309,242
Westpac Banking+ 0.875% 09/22/2003 508,000,000 4,772,759
------------
69,136,256
------------
LUXEMBOURG -- 0.6%
PTC International Finance II SA+ 11.250% 12/01/2009 2,200,000 2,179,331
------------
NETHERLANDS -- 1.5%
Deutsche Telekom 6.125% 07/06/2005 1,650,000 1,581,722
KPN-Qwest B.V. 144A Private Placement+ 7.125% 06/01/2009 4,000,000 3,523,212
Koninklijke Ahold NV+ 4.000% 05/19/2005 720,000 749,327
------------
5,854,261
------------
NEW ZEALAND -- 0.9%
Fletcher Challenge+ 11.250% 12/15/2002 1,900,000 932,371
Fletcher Challenge 14.500% 09/30/2000 470,000 223,313
Fletcher Challenge CVT 10.000% 04/30/2005 605,000 292,106
Nufarm Ltd. Notes 9.800% 04/15/2002 4,100,000 1,959,965
------------
3,407,755
------------
SINGAPORE -- 1.7%
Singapore Government 3.500% 02/01/2004 7,250,000 4,157,533
Singapore Government 5.125% 11/15/2004 3,850,000 2,329,150
------------
6,486,683
------------
SLOVAKIA -- 0.3%
Slovak Wireless+ 11.250% 03/30/2007 1,365,000 1,342,401
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR VALUE
SECURITY RATE MATURITY VALUE# (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SWEDEN -- 2.2%
Sweden Government Bond #1038 6.500% 10/25/2006 $ 20,000,000 $ 2,415,214
Sweden Government Bond #1042+ 5.000% 01/15/2004 53,600,000 6,039,134
------------
8,454,348
------------
TURKEY -- 0.3%
Turkish Treasury Bill@ 34.164% 08/22/2001 1,017,000,000,000 1,170,262
------------
UNITED KINGDOM -- 9.2%
Abbey National Treasury 7.750% 12/31/2003 1,200,000 1,877,093
Alliance and Leicester Building Society+ 8.750% 12/07/2006 2,100,000 3,407,494
FNMA Global Bond 6.875% 06/07/2002 1,910,000 2,912,341
General Electric Capital Corp. 5.125% 01/12/2004 1,210,000 1,749,057
IPC Magazines 144A(b) 0.000% 03/15/2008 2,945,000 2,635,863
Inco Ltd.+ 15.750% 07/15/2006 200,000 421,571
Lehman Brothers Holdings PLC+ 6.950% 06/22/2004 1,450,000 2,167,441
National Westminister Bank 6.625% 10/29/2049 825,000 753,484
OTE PLC+ 6.125% 02/07/2007 3,325,000 3,121,475
Tate & Lyle International Finance+ 5.750% 10/06/2006 2,025,000 1,856,938
UK Treasury Gilt 9.000% 10/13/2008 1,550,000 2,900,625
UK Treasury Gilt Stock 5.750% 12/07/2009 5,065,000 8,001,706
UK Treasury Gilt Stock+ 6.000% 12/07/2028 1,335,000 2,504,559
William Hill Finance 10.625% 04/30/2008 1,175,000 1,867,143
------------
36,176,790
------------
YANKEE BONDS -- 2.1%
Cominco Ltd. Notes+ 6.875% 02/15/2006 525,000 454,703
Merita Bank Perpetual FLIRB 144A+ 7.500% 12/29/2049 250,000 235,108
Mexico Global Bond+ 11.375% 09/15/2016 1,000,000 1,130,000
Republic of Panama 144A Notes+ 7.875% 02/13/2002 2,340,000 2,299,050
Vodafone Airtouch PLC 6.962% 12/19/2001 3,800,000 3,798,928
------------
7,917,789
------------
Total Government/Other (Cost $243,315,335) 239,500,409
------------
NON-AGENCY -- 0.5%
PASS THRU SECURITIES -- 0.5%
Chase Commercial Mortgage
Sec 6.6 1997-2D Non-ERISA 6.600% 12/25/2007 500,000 451,250
GMAC Mortgage Corp.
1996-C1 F Non-ERISA 7.860% 11/15/2006 1,000,000 849,688
Mortgage Capital Funding
1997-MC2 D Non-ERISA 7.117% 11/20/2007 725,000 671,531
------------
Total Non-Agency (Cost $2,126,352) 1,972,469
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR VALUE
SECURITY RATE MATURITY VALUE# (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY -- 2.4%
FEDERAL AGENCY BONDS -- 2.0%
FHLMC+ 5.750% 06/15/2001 $ 4,000,000 $ 3,960,000
FHLMC+ 5.750% 03/15/2009 4,275,000 3,893,585
------------
7,853,585
------------
PASS THRU SECURITIES -- 0.4%
FNMA 6.000% 06/01/2029 1,863,033 1,705,439
------------
Total U.S. Government Agency (Cost $9,543,332) 9,559,024
------------
U.S. TREASURY OBLIGATIONS -- 19.8%
TREASURY BONDS -- 12.1%
U.S. Treasury Bond+ 6.250% 05/15/2030 1,885,000 1,977,780
U.S. Treasury Bond+ 8.125% 05/15/2021 18,810,000 22,951,210
U.S. Treasury Bond+ 9.250% 02/15/2016 8,350,000 10,835,461
U.S. Treasury Inflation Index Bond 3.875% 01/15/2009 10,900,000 11,204,706
------------
46,969,157
------------
TREASURY NOTES -- 7.7%
U.S. Treasury Note+ 6.000% 08/15/2009 10,770,000 10,684,163
U.S. Treasury Note+ 6.500% 02/15/2010 3,540,000 3,661,139
U.S. Treasury Note+ 6.625% 06/30/2001 575,000 575,719
U.S. Treasury Note+ 7.875% 11/15/2004 14,300,000 15,142,413
------------
30,063,434
------------
Total U.S. Treasury Obligations (Cost $75,438,847) 77,032,591
------------
TOTAL BONDS AND NOTES (COST $380,238,338) 373,500,047
------------
<CAPTION>
SHARES
-----------------
<S> <C> <C>
PREFERRED STOCKS -- 0.1%
Equity Office Properties Trust 144A CVT 6,000 249,000
------------
TOTAL PREFERRED STOCKS (COST $300,000) 249,000
------------
<CAPTION>
CONTRACT
SIZE
-----------------
<S> <C> <C>
PURCHASED OPTIONS -- 0.6%
DEM 3.75% Call, Strike Price 90.20, 09/13/2000 8,250,000 58,294
DEM 3.75% Call, Strike Price 91.05, 09/29/2000 4,500,000 20,839
DEM 4% Call, Strike Price 93.99, 07/07/2000 8,900,000 0
DEM 4% Call, Strike Price 95.43, 07/21/2000 4,250,000 0
DEM 4% Call, Strike Price 99.01, 08/03/2000 4,175,000 42
DEM 4.5% Call, Strike Price 101.20, 08/14/2000 4,300,000 0
DEM 4.5% Call, Strike Price 95.42, 11/02/2000 3,900,000 30,163
DEM 4.5% Call, Strike Price 95.54, 10/13/2000 3,775,000 23,790
DEM 4.75% Call, Strike Price 85.93, 09/11/2000 4,092,000 140,928
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT VALUE
SECURITY SIZE (NOTE 1A)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PURCHASED OPTIONS (CONTINUED)
DEM 5.38% Call, Strike Price 99.12, 02/01/2001 3,600,000 $ 81,806
DEM 5.38% Call, Strike Price 99.21, 01/03/2001 7,200,000 156,125
JPY Put, Strike Price 150.00, 02/08/2001 4,500,000 45
JPY Put/AUD Call, Strike Price 68.75, 01/09/2001 5,575,000 41,679
JPY Put/EUR Call, Strike Price 105.00, 11/09/2000 4,050,000 56,072
JPY Put/EUR Call, Strike Price 110.25, 12/06/2001 3,850,000 77,196
JPY Put/EUR Call, Strike Price 125.00, 08/29/2000 8,300,000 0
JPY Put/USD Call, Strike Price 115.00, 09/01/2000 4,325,000 3,027
JPY Put/USD Call, Strike Price 115.80, 08/14/2000 4,300,000 860
JPY Put/USD Call, Strike Price 120.00, 11/07/2001 4,000,000 32,000
USD Put/CAD Call, Strike Price 1.42, 10/19/2000 4,100,000 6,560
USD Put/EUR Call, Strike Price 0.97, 11/01/2000 3,700,000 103,600
USD Put/EUR Call, Strike Price 0.97, 11/09/2000 3,700,000 93,980
USD Put/MXP Call, Strike Price 10.00, 4/12/2001 1,140,000 23,346
USD Put/MXP Call, Strike Price 8.25, 04/12/2001 2,280,000 287
UST 5.88% Call, Strike Price 98.78, 08/28/2000 38,000 18,852
UST 6.00% Call, Strike Price 100.00, 09/29/2000 10,750 11,212
UST 6.00% Call, Strike Price 95.59, 02/01/2001 36,000 150,469
UST 6.00% Call, Strike Price 95.98, 01/05/2001 37,000 164,095
UST 6.00% Call, Strike Price 98.25, 12/14/2000 40,000 90,938
UST 6.00% Call, Strike Price 98.78, 12/04/2000 58,500 113,801
UST 6.00% Call, Strike Price 99.88, 10/27/2000 80,000 102,188
UST 6.50% Call, Strike Price 100.88, 02/22/2001 76,500 269,543
UST 6.50% Call, Strike Price 100.88, 03/05/2001 76,000 269,563
UST 6.50% Call, Strike Price 99.53, 02/16/2001 70,000 310,800
------------
TOTAL PURCHASED OPTIONS (COST $2,737,355) 2,452,100
------------
<CAPTION>
RATE MATURITY PAR VALUE
---------- ----------------------- -----------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 3.2%
U.S. GOVERNMENT AGENCY -- 0.8%
FHLMC Discount Note@+ 6.179% 08/17/2000 $ 3,200,000 3,174,208
------------
REPURCHASE AGREEMENTS -- 2.4%
Investors Bank & Trust Repurchase Agreement, dated 06/30/00, due 07/03/00, with a
maturity value of $9,078,142 and an effective yield of 5.75%, collateralized by a
U.S. Government Agency Obligation with a rate of 7.50%, maturity date of 11/02/27
and market value of $9,255,738. 9,073,794
------------
TOTAL SHORT-TERM INVESTMENTS (COST $12,246,575) 12,248,002
------------
TOTAL INVESTMENTS -- 100.0% (COST $395,522,268) $ 388,449,149
OTHER ASSETS, LESS LIABILITIES -- 0.0% 126,062
-------------
NET ASSETS -- 100.0% $ 388,575,211
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
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.
CVT - Convertible
FHLMC - Federal Home Loan Mortgage Corporation
FLIRB - Front Loaded Interest Reduction Bond
FNMA - Federal National Mortgage Association
NCL - Non-callable
UST - United States Treasury
AUD - Australian Dollar
CAD - Canadian Dollar
DEM - German Deutsche Mark
EUR - Euro
JPY - Japanese Yen
MXP - Mexican Peso
USD - United States Dollar
# Denominated in United States dollars except for foreign country specific
bonds which are denominated in their respective local currency.
+ Denotes all or part of security pledged as collateral.
(a) Variable Rate Security; rate indicated is as of 6/30/00.
(b) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date. The rate shown is the rate at
period end. The maturity date shown is the ultimate maturity.
@ Rate noted is yield to maturity.
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSETS
Investments, at value (Note 1A) (identified cost,
$395,522,268) $388,449,149
Cash 142,227
Foreign currency, at value (identified cost,
$456,078) 476,946
Receivable for investments sold 5,465,101
Interest receivable 6,652,351
Unrealized appreciation on forward foreign currency
exchange contracts (Note 5) 771,911
Deferred organization costs (Note 1F) 12,532
Prepaid expenses 7,727
------------
Total assets 401,977,944
LIABILITIES
Payable for investments purchased $7,008,406
Payable for variation margin on open financial
futures contracts (Note 5) 8,203
Unrealized depreciation on forward foreign currency
exchange contracts (Note 5) 3,805,168
Options written, at value (Note 5) (premiums
received, $2,707,769) 2,524,663
Accrued accounting and custody fees 30,030
Accrued trustees' fees and expenses (Note 2) 6,279
Accrued expenses and other liabilities 19,984
---------
Total liabilities 13,402,733
------------
NET ASSETS (APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS) $388,575,211
============
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1C)
Interest income $11,993,361
Dividend income (net of foreign withholding taxes of
$4,869) 30,995
-----------
Total income 12,024,356
EXPENSES
Investment advisory fee (Note 2) $ 769,470
Accounting and custody fees 183,023
Legal and audit services 20,378
Trustees' fees and expenses (Note 2) 11,369
Amortization of organization expenses (Note 1F) 7,427
Insurance expense 5,906
Licensing fees 5,966
-----------
Total expenses 1,003,539
-----------
Net investment income 11,020,817
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss)
Investment security transactions (18,938,658)
Financial futures contracts (52,511)
Written options transactions (1,355,845)
Foreign currency transactions and forward foreign
currency exchange contracts 21,032,878
-----------
Net realized gain 685,864
Change in unrealized appreciation (depreciation)
Investment securities 6,244,853
Financial futures contracts (115,681)
Written options 3,655,689
Foreign currency and forward foreign currency
exchange contracts (7,855,046)
-----------
Change in net unrealized appreciation
(depreciation) 1,929,815
-----------
Net realized and unrealized gain 2,615,679
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $13,636,496
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM INVESTMENT OPERATIONS
Net investment income $ 11,020,817 $ 28,357,532
Net realized gain (loss) 685,864 (21,650,045)
Change in net unrealized appreciation (depreciation) 1,929,815 (9,743,044)
------------ -------------
Net increase (decrease) in net assets from investment
operations 13,636,496 (3,035,557)
------------ -------------
CAPITAL TRANSACTIONS
Contributions 24,124,829 22,529,776
Withdrawals (28,790,168) (101,477,881)
------------ -------------
Net decrease in net assets from capital transactions (4,665,339) (78,948,105)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 8,971,157 (81,983,662)
NET ASSETS
At beginning of period 379,604,054 461,587,716
------------ -------------
At end of period $388,575,211 $ 379,604,054
============ =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
SUPPLEMENTAL DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2000 -----------------------------------------------
(UNAUDITED) 1999 1998 1997 1996(1)
------------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
RATIOS:
Expenses (to average daily net assets) 0.52%+ 0.52% 0.51% 0.61% 0.62%+
Net Investment Income (to average
daily net assets) 5.73%+ 6.33% 6.22% 6.47% 7.17%+
Portfolio Turnover 142%++ 172% 162% 176% 111%++
Net Assets, End of Period (000's
omitted) $388,575 $379,604 $461,588 $262,553 $159,814
</TABLE>
-----------------
(1) For the period May 3, 1996 (commencement of operations) through December
31, 1996.
+ Computed on an annualized basis.
++ Not annualized.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Standish, Ayer & Wood Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the state of New York
on January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Global Fixed Income Portfolio (the "Portfolio") is a separate
non-diversified investment series of the Portfolio Trust.
At June 30, 2000 there was one fund, Standish Global Fixed Income Fund
(the "Fund"), invested in the Portfolio. The value of the Fund's
investment in the Portfolio reflects the Fund's proportionate interest in
the net assets of the Portfolio. The Fund's proportionate interest at June
30, 2000 was approximately 100%.
The following is a summary of significant accounting policies 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 illiquid 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, which
approximates market value. 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 value based upon the value on such
date unless the trustees determine during such sixty-day period that
amortized value 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 and accrued
interest 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. 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 at least one of
the Portfolio's investors is a regulated investment company that invests
all or substantially all of its assets in the Portfolio, the Portfolio
normally must satisfy the source of income and diversification
18
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
requirements applicable to regulated investment companies (under the
Internal Revenue Code) in order for its investors to satisfy them. The
Portfolio allocates at least annually among its investors each investor's
distributive share of the Portfolio's net investment income, net realized
capital gains, and any other items of income, gain, loss deduction or
credit.
E. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
F. DEFERRED ORGANIZATION EXPENSE
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized on a straight-line basis through
April 2001.
(2) INVESTMENT ADVISORY FEE:
The investment advisory fee paid to Standish International Management
Company, LLC ("SIMCO") for overall investment advisory and administrative
services, and general office facilities, is paid monthly at the annual
rate of 0.40% of the Portfolio's average daily net assets. The advisory
agreement provides that if the total annual operating expenses of the
Portfolio (excluding brokerage commissions, taxes and extraordinary
expenses) in any fiscal year exceed 0.65% of the Portfolio's average daily
net assets, the compensation due the adviser shall be reduced by the
amount of the excess. The Portfolio Trust pays no compensation directly to
its trustees who are affiliated with SIMCO or to its officers, all of whom
receive remuneration for their services to the Portfolio Trust from SIMCO.
Certain of the trustees and officers of the Portfolio Trust are directors
or officers of Standish, Ayer & Wood, Inc., the parent company of SIMCO.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
investments, for the six months ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Government Securities $124,758,837 $ 98,712,367
============ ============
Investments (non-U.S.Government Securities) $369,433,372 $388,207,909
============ ============
</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, 2000 as computed on a federal
income tax basis, were as follows:
<TABLE>
<S> <C>
Aggregate Cost $395,522,268
===========
Gross unrealized appreciation 6,811,601
Gross unrealized depreciation (13,884,720)
-----------
Net unrealized depreciation $(7,073,119)
===========
</TABLE>
19
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
(5) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek 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 Parts A and B of the Portfolio Trust's registration statement.
The Portfolio trades the following financial instruments with off-balance
sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell,
respectively, a security or currency at a specified price on or before a
certain date. The Portfolio may use options to seek to hedge against risks
of market exposure and changes in security prices and foreign currencies,
as well as to seek to enhance returns. Writing 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 options 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 contract, or if the counterparty does not perform under the
contract's terms.
Premiums received from writing options which expire are treated as
realized gains. Premiums received from writing options which are exercised
or are closed are added to or offset against the proceeds or amount paid
on the transaction to determine the realized gain or loss. Realized gains
and losses on purchased options are included in realized gains and losses
on investment securities, except purchased options on foreign currency
which are included in realized gains and losses on foreign currency
transactions. If a put option written by the Portfolio is exercised, the
premium reduces the cost basis of the securities purchased by the
Portfolio. The Portfolio, as a writer of an option, has no control over
whether the underlying securities may be sold (call) or purchased (put)
and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option.
A summary of such transactions for the six months ended June 30, 2000 is
as follows:
WRITTEN PUT OPTION TRANSACTIONS
-------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
------------------- -------------
Outstanding, beginning of period 11 $1,040,060
Options written 10 421,208
Options expired (1) (74,025)
Options closed (7) (557,770)
---- ----------
Outstanding, end of period 13 $ 829,473
==== ==========
WRITTEN CALL OPTION TRANSACTIONS
-------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
------------------- -------------
Outstanding, beginning of period 11 $ 62,029
Options written 9 619,083
Options exercised (1) (54,844)
Options closed (9) (209,351)
---- ---------
Outstanding, end of period 10 $ 416,917
==== =========
20
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
WRITTEN CROSS CURRENCY OPTION TRANSACTIONS
--------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
------------------- -------------
Outstanding, beginning of period 10 $ 2,707,223
Options written 15 838,382
Options exercised (2) (161,258)
Options closed (13) (1,922,968)
---- -----------
Outstanding, end of period 10 $ 1,461,379
==== ===========
FORWARD CURRENCY EXCHANGE CONTRACTS
The Portfolio may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Portfolio primarily to protect the value of the Portfolio's foreign
securities from adverse currency movements. Unrealized appreciation and
depreciation of forward currency exchange contracts is included in the
Statement of Assets and Liabilities.
At June 30, 2000 the Portfolio held the following forward foreign currency
and cross currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
LOCAL PRINCIPAL CONTRACT MARKET AGGREGATE UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE VALUE FACE AMOUNT GAIN/(LOSS)
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C
Argentinian Peso 3,606,544 09/07/2000-04/17/2002 $ 3,545,718 $ 3,495,340 $ 50,378
Canadian Dollar 11,170,000 09/27/2000 7,558,840 7,610,703 (51,863)
Euro 21,807,839 07/06-09/20/2000 20,902,260 20,628,767 273,493
Hong Kong Dollar 31,480,000 08/13/2001 4,038,953 4,041,493 (2,540)
Japanese Yen 4,809,820,000 07/31/2000-05/17/2001 46,781,801 48,077,348 (1,295,547)
Polish Zloty 4,212,648 07/24/2000 958,727 1,025,000 (66,273)
Slovakia Koruna 41,136,604 09/11/2000 916,003 947,499 (31,496)
Thai Baht 81,657,000 09/11/2000 2,085,907 2,150,000 (64,093)
---------------- ---------------- ----------------
TOTAL $ 86,788,209 $ 87,976,150 $ (1,187,941)
================ ================ ================
</TABLE>
21
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOCAL PRINCIPAL CONTRACT MARKET AGGREGATE UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE VALUE FACE AMOUNT GAIN/(LOSS)
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Argentinian Peso 3,745,550 07/10/2000-04/17/2002 $ 3,555,150 $ 3,519,616 $ (35,534)
British Pound Sterling 20,965,000 09/20/2000 31,831,437 31,568,798 (262,639)
Canadian Dollar 22,675,000 09/20/2000 15,341,470 15,378,497 37,027
Danish Krone 6,450,000 09/20/2000 827,461 822,599 (4,862)
Euro 124,855,721 07/03/2000-08/22/2001 119,783,994 119,848,724 64,730
Hong Kong Dollar 91,189,357 08/13/2001 11,699,793 11,548,225 (151,568)
Japanese Yen 10,380,177,333 07/06/2000-08/17/2001 102,132,012 100,467,075 (1,664,937)
New Zealand Dollar 10,600,000 09/20/2000 4,969,442 5,074,806 105,364
Polish Zloty 4,212,648 07/24/2000 958,727 999,679 40,952
Singapore Dollar 11,580,000 09/27/2000 6,764,467 6,748,055 (16,412)
Swedish Krona 82,345,000 09/20/2000 9,420,626 9,616,934 196,308
Thai Baht 174,494,000 09/11/2000 4,457,404 4,300,000 (157,404)
----------------- ----------------- ----------------
TOTAL $ 311,741,983 $ 309,893,008 $ (1,848,975)
================= ================= ================
</TABLE>
FORWARD FOREIGN CROSS CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
MARKET MARKET CONTRACT UNREALIZED
CONTRACTS TO DELIVER VALUE IN EXCHANGE FOR VALUE VALUE DATE GAIN
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Euro $ 1,074,985 Hungarian Forint $ 1,078,644 08/08/2000 $ 3,659
---------------- ---------------- -------------
TOTAL $ 1,074,985 $ 1,078,644 $ 3,659
================ ================ =============
</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. Pursuant to margin requirements the
Portfolio deposits either cash or securities in 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
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 counterparty does not perform under the contract's terms. The
Portfolio enters into financial futures transactions primarily to seek 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, 2000, the Portfolio held the following financials futures
contracts:
<TABLE>
<CAPTION>
UNDERLYING FACE
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE UNREALIZED LOSS
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. 10 Year Note (75 contracts) Short 9/29/00 $ 7,386,328 $(53,481)
</TABLE>
At June 30, 2000 the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
22
<PAGE>
STANDISH, AYER & WOOD MASTER PORTFOLIO
STANDISH GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS
Interest rate swaps involve the exchange by the Portfolio with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. Credit and market risk exist with respect
to these instruments. If forecasts of interest rates and other market
factors are incorrect, investment performance will be diminished compared
to what performance would have been if these investment techniques were
not used. Even if the forecasts are correct, there are risks that the
positions may correlate imperfectly with the asset or liability being
hedged, a liquid secondary market may not always exist, or a counterparty
to a transaction may not perform. The Portfolio expects to enter into
these transactions primarily for hedging purposes including, but not
limited to, preserving a return or spread on a particular investment or
portion of its portfolio, protecting against currency fluctuations,
managing duration or protecting against an increase in the price of
securities the Portfolio anticipates purchasing at a later date. Gains and
losses are realized upon the expiration or closing of the swap contracts.
At June 30, 2000, the Portfolio held no open interest rate swap contracts.
(6) DELAYED DELIVERY TRANSACTIONS:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. The price of the underlying
securities and the date when the securities will be delivered and paid for
are fixed at the time the transaction is negotiated. The Portfolio
instructs the custodian to segregate securities having a value at least
equal to the amount of the purchase commitment.
At June 30, 2000, the Portfolio had no delayed delivery transactions.
23
