<PAGE> 1
STATE STREET EXCHANGE FUND
Report for the Six Months Ended June 30, 1995
To The Shareholders:
We are pleased to provide you with the State Street Exchange Fund
semiannual report for the six months ended June 30, 1995. Net asset value per
share was $241.46 on June 30, 1995, as compared to $204.13 per share on December
31, 1994. The list of securities owned by the Fund on June 30, 1995 begins on
page 2.
On July 3, 1995, the Fund paid a quarterly investment income dividend of
$.70 per share to shareholders of record on June 30, 1995. Dividends paid to
date in 1995 total $1.40 per share, consisting of $.70 paid in each of April and
July. Net investment income amounted to $1.82 per share for the six months ended
June 30, 1995. As in previous years, the excess of income earned in the first
six months over dividends paid will be reflected in the year-end dividend
scheduled to be declared in December.
Respectfully submitted,
/s/ RALPH F. VERNI
RALPH F. VERNI
Chairman of the Board
August 15, 1995
<PAGE> 2
<TABLE>
STATE STREET EXCHANGE FUND
Investment Portfolio
June 30, 1995
(Unaudited)
<CAPTION>
Value Value
Shares (Note 1) Shares (Note 1)
<S> <C> <C> <C> <C> <C>
AEROSPACE--6.0%
ELECTRONIC--9.0%
57,400 Boeing Co............ $ 3,594,675 96,000 AMP, Inc............. $ 4,056,000
117,700 Raytheon Co.......... 9,136,463
------------- 190,000 L.M. Ericsson
12,731,138 Telephone Co.
------------- Cl. B ADR*......... 3,800,000
AUTOMOTIVE--0.8% 80,000 Hewlett-Packard Co... 5,960,000
40,000 Goodyear Tire & 50,600 Motorola, Inc........ 3,396,525
Rubber Co.......... 1,650,000
------------- 58,000 Perkin-Elmer Corp.... 2,059,000
-------------
BANK--2.0% 19,271,525
50,820 Banc One Corp........ 1,638,945 -------------
49,300 BankAmerica Corp..... 2,594,412
------------- FINANCIAL SERVICE--3.5%
4,233,357 141,591 American Express Co... 4,973,384
------------- 27,600 Federal National
Mortgage Assn....... 2,604,750
BUSINESS SERVICE--0.8% -------------
20,600 First Financial 7,578,134
Management Corp.... 1,761,300 -------------
-------------
CHEMICAL--5.9%
60,000 Dow Chemical Co...... 4,312,500 FOOD & BEVERAGE--6.7%
68,500 E.I. du Pont 48,800 Campbell Soup Co..... 2,391,200
de Nemours & Co.... 4,709,375 118,056 Coca-Cola Co......... 7,526,070
38,700 Monsanto Co.......... 3,487,837 69,200 Darden Restaurants,
------------- Inc.*.............. 12,509,712
752,550
------------- 69,200 General Mills, Inc... 3,555,150
-------------
COMPUTER SOFTWARE & SERVICE--2.1% 14,224,970
49,750 Microsoft Corp.*..... 4,496,156 -------------
------------- FOREST PRODUCT--1.1%
DIVERSIFIED--1.0% 26,251 Georgia-Pacific Corp.. 2,277,274
64,700 Corning, Inc......... 2,118,925 -------------
------------- HOSPITAL SUPPLY--4.8%
DRUG--6.4% 24,700 Columbia/HCA
51,736 American HomeHealthcare Corp* 1,068,275
Products Corp...... 4,003,073 136,496 Johnson & Johnson.... 9,230,542
117,259 Merck & Co., Inc..... 5,745,691 -------------
41,900 Pfizer, Inc.......... 3,870,513 10,298,817
------------- -------------
13,619,277 INSURANCE--4.2%
------------- 169,300 Equitable Companies,
ELECTRIC--1.2% Inc................ 3,534,137
209,931 Citizens Utilities Co. 40,941 General Re Corp...... 5,480,976
Cl. A*............. 2,492,911 -------------
------------- 9,015,113
-------------
ELECTRICAL EQUIPMENT--4.5% MACHINERY--3.3%
120,143 General Electric Co.. 6,773,062 58,400 Caterpillar, Inc..... 3,752,200
70,372 General Signal Corp.. 2,797,287 49,700 Millipore Corp....... 3,354,750
------------- -------------
9,570,349 7,106,950
------------- -------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 3
<TABLE>
<CAPTION>
Value Value
Shares (Note 1) Shares (Note 1)
<S> <C> <C> <C> <C>
METAL & MINING--1.3% TELEPHONE--2.0%
51,600 Nucor Corp........... $ 2,760,600 30,000 AT&T Corp. .......... $ 1,593,750
------------- 96,300 AirTouch Communi-
OFFICE EQUIPMENT--3.2% cations, Inc.*..... 2,744,550
43,800 International -------------
Business Machines 4,338,300
Corp............... 4,204,800 -------------
21,800 Xerox Corp........... 2,556,050 TOBACCO--2.0%
------------- 56,000 Philip Morris
6,760,850 Companies, Inc..... 4,165,000
------------- -------------
OIL--9.8% TOTAL STOCKS--99.2%
71,032 Amoco Corp........... 4,732,507 (Cost $91,057,182)........... 211,314,408
85,068 Exxon Corp........... 6,007,927 -------------
68,400 Mobil Corp........... 6,566,400 Par Value
104,700 Phillips Petroleum Co 3,494,363
-------------
COMMERCIAL PAPER--1.0% 20,801,197 $1,902,000 Duke Power Co.,
------------- 6.14%, 7/3/95...... 1,901,350
OIL SERVICE--1.7% 209,000 Ford Motor Co.,
35,012 Halliburton Co....... 1,251,679 5.90%, 7/3/95...... 209,000
39,519 Schlumberger Ltd..... 2,455,118 -------------
------------- (Cost $2,110,350).... 2,110,350
3,706,797 -------------
------------- TOTAL INVESTMENTS--100.2%
PERSONAL CARE--4.5% (Cost $93,167,532)............. 213,424,758
118,200 Gillette Co.......... 5,274,675 CASH AND OTHER ASSETS,
61,600 Procter & Gamble Co.. 4,427,500 LESS LIABILITIES--(0.2%)....... (451,314)
------------- -------------
9,702,175 NET ASSETS--100.0%............. $ 212,973,444
------------- =============
FEDERAL INCOME TAX INFORMATION:
RAILROAD--1.4% At June 30, 1995, the net unreal-
38,800 CSX Corp............. 2,914,850 ized appreciation of investments
------------- based on cost for Federal income
RECREATION--5.8% tax purposes of $79,009,774 was
60,178 Capital Cities/ABC, as follows:
Inc................ 6,499,224
50,000 Walt Disney Co....... 2,781,250 Aggregate gross unrealized ap-
127,597 Tele-Communica- preciation for all investments
tions, Inc. Cl. A*.. 2,990,555 in which there is an excess of
------------- value over tax cost........... $ 134,564,893
12,271,029
------------- Aggregate gross unrealized de-
RETAIL TRADE--4.2% preciation for all investments
50,184 Dayton Hudson Corp... 3,600,702 in which there is an excess
80,400 Toys "R" Us, Inc.*... 2,351,700 of tax cost over value........ (149,909)
------------- -------------
111,600 Wal-Mart Stores, Inc. 2,985,300 $ 134,414,984
------------- =============
8,937,702
-------------
<FN>
* Nonincome-producing securities
ADR stands for American Depositary Receipt, representing ownership of foreign securities.
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 4
<TABLE>
STATE STREET EXCHANGE FUND
Statement of Assets and Liabilities
June 30, 1995
(Unaudited)
<S> <C> <C>
ASSETS
Investments, at value (Cost $93,167,532) (Notes 1 and 2)..... $213,424,758
Cash......................................................... 1,857
Dividends receivable......................................... 349,054
Other assets................................................. 8,699
------------
213,784,368
LIABILITIES
Dividend payable................................. $514,350
Accrued management fee (Note 4).................. 263,208
Other payables and accruals...................... 33,366 810,924
--------- ------------
NET ASSETS for 882,014 shares (Notes 3 and 7)..................... $212,973,444
============
NET ASSET VALUE PER SHARE
($212,973,444 / 882,014 shares).............................. $241.46
=======
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 5
<TABLE>
STATE STREET EXCHANGE FUND
Statement of Operations
Six months ended June 30, 1995
(Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends, net of foreign taxes of $5,272.................... $ 2,143,611
Interest..................................................... 54,495
-----------
2,198,106
Expenses:
Fee for management services (Note 4)............... $513,181
Custodian fee...................................... 31,500
Auditing and legal services........................ 13,685
Trustees' fees (Note 4)............................ 5,880
Printing........................................... 2,933
Other operating expenses........................... 9,832 577,011
-------- -----------
NET INVESTMENT INCOME............................................. 1,621,095
-----------
REALIZED AND UNREALIZED GAINS ON INVESTMENTS
Net realized gains on investments (Note 5)...................... 21,081,701
Net increase in unrealized appreciation......................... 13,358,481
-----------
NET GAIN ON INVESTMENTS........................................... 34,440,182
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................................... $36,061,277
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 6
<TABLE>
STATE STREET EXCHANGE FUND
Statement of Changes in Net Assets
<CAPTION>
Six months
ended Year
June 30 ended
1995 December 31
(Unaudited) 1994
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income........................... $ 1,621,095 $ 3,643,898
------------ ------------
Net realized gains on investments based on
average cost of securities delivered* (Notes
1 and 5)..................................... 21,081,701 19,577,484
Provision for Federal income tax (Note 5)....... -- (4,654,368)
------------ ------------
21,081,701 14,923,116
------------ ------------
Net increase (decrease) in unrealized
appreciation................................. 13,358,481 (16,465,650)
------------ ------------
Net increase in net assets resulting from
operations................................... 36,061,277 2,101,364
Dividends from net investment income.............. (1,269,960) (3,661,288)
Fund share transactions--net (Note 3)............. (16,968,030) (9,443,280)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS........... 17,823,287 (11,003,204)
NET ASSETS
Beginning of period............................. 195,150,157 206,153,361
------------ ------------
End of period (including accumulated
undistributed net investment income of
$609,835 and $258,700,
respectively)................................ $212,973,444 $195,150,157
============ ============
* Net realized gains for Federal income tax
purposes on basis of identified cost............ $ 6,790,339 $ 13,298,196
============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 7
STATE STREET EXCHANGE FUND
Notes to Unaudited Financial Statements
June 30, 1995
1. State Street Exchange Fund (the "Fund") is a series of State Street Exchange
Trust (the "Trust"), which is a Massachusetts business trust registered
under the Investment Company Act of 1940, as amended, as an open-end
management investment company with redeemable shares. The Trust was
organized on February 7, 1989 as successor to State Street Exchange Fund,
Inc., a Massachusetts corporation. The Fund is presently the only series of
the Trust. The following significant accounting policies are consistently
followed by the Fund in the preparation of its financial statements, and
such policies are in conformity with generally accepted accounting
principles for investment companies.
a) Investments in Securities: Values for listed securities represent the
last sale on national securities exchanges quoted prior to the close of
the New York Stock Exchange. Over-the-counter securities quoted on the
National Association of Securities Dealers Automated Quotation ("NASDAQ")
system are valued at the closing price supplied through such system. In
the absence of recorded sales and for those over-the-counter securities
not quoted on the NASDAQ system, valuations are at the mean of the
closing bid and asked quotations, except for securities that may be
restricted as to public resale, which are valued in accordance with
methods adopted by the Trustees. Security transactions are accounted for
on the trade date (date the order to buy or sell is executed), and
dividends declared but not received are accrued on the ex-dividend date.
Interest income is determined on the accrual basis. Realized gains and
losses from security transactions are based on the average cost of
securities delivered.
b) Federal Income Taxes: No provision for Federal income tax is believed
necessary with respect to net investment income since the Fund has
elected to qualify under Subchapter M of the Internal Revenue Code and
distributes substantially all of such income. It is also the intention of
the Fund to distribute an amount sufficient to avoid imposition of any
Federal Excise Tax under Section 4982 of the Internal Revenue Code. The
Fund retains and designates as undistributed gains all of its taxable net
long-term capital gains and pays Federal income taxes thereon on behalf
of the shareholders.
c) Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized short-term capital gains, if any, are distributed
annually.
7
<PAGE> 8
Income dividends and capital gain distributions are determined in
accordance with Federal income tax regulations which may differ from
generally accepted accounting principles.
2. Cost for financial reporting purposes represents the cost of securities
purchased or the market value of securities at the time they were acquired
by exchange. Cost for Federal income tax purposes represents the cost of
securities purchased or the Federal tax basis of securities at the time they
were acquired by exchange.
<TABLE>
3. The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. The Fund had 882,014 shares
outstanding at June 30, 1995 and 955,990 shares outstanding at December 31,
1994. Share transactions for the two periods ended June 30, 1995 and
December 31, 1994 were as follows:
<CAPTION>
Six months ended
June 30, 1995 Year ended
(Unaudited) December 31, 1994
---------------------- ---------------------
Shares Amount Shares Amount
------- ----------- ------- ----------
<S> <C> <C> <C> <C>
Shares issued in payment of
dividends from net
investment income........... 1,065 $ 244,676 2,727 $ 554,363
Shares redeemed............... (75,041) (17,212,706) (48,387) (9,997,643)
------- ------------ ------- -----------
Net decrease.................. (73,976) $(16,968,030) (45,660) $(9,443,280)
======= ============ ======= ===========
</TABLE>
4. The Trust and State Street Research & Management Company (the "Adviser")
have entered into a contract under which the Adviser will furnish the Fund
with management, investment advisory, statistical and research facilities
and services. The management contract provides for a quarterly fee equal to
1/8 of 1% ( 1/2 of 1% on an annual basis) of the average daily net assets of
the Fund. The Adviser also pays all salaries, rent and certain other
expenses of management. The fees of the Trustees not currently affiliated
with the Adviser amounted to $5,880 during the six months ended June 30,
1995.
5. For the six months ended June 30, 1995, net realized capital gains for
Federal income tax purposes amounted to $6,790,339. The difference between
net realized capital gains for financial reporting purposes and net realized
capital gains for Federal income tax purposes results primarily from
nontaxable redemptions in kind and from the disposition of securities
acquired by exchange that have different bases for financial reporting and
tax purposes. For the year ended December 31, 1994, net realized capital
gains for Federal income tax purposes amounted to $13,298,196 on which
$4,654,368 of Federal tax was provided.
8
<PAGE> 9
6. For the six months ended June 30, 1995, exclusive of U.S. Government
securities and commercial paper, aggregate sales of investment securities,
including $16,994,703 representing redemptions in kind, amounted to
$31,383,924, and aggregate purchases amounted to $10,245,713.
<TABLE>
7. Net assets of the Fund at June 30, 1995 consisted of:
<CAPTION>
Accumulated Net
undistributed unrealized
Accumulated net appreciation
undistributed realized in value of
Shares of net gains on investments
beneficial investment investment based on Net
interest income transactions average cost assets
----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
$71,024,682 $ 609,835 $21,081,701 $120,257,226 $212,973,444
=========== ========= =========== ============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
For a share outstanding throughout each period:
<CAPTION>
Six
months
ended
June 30 Year ended December 31
1995 -------------------------------------------------------
(Unaudited) 1994 1993 1992 1991 1990
----------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period............ $ 204.13 $ 205.81 $ 205.98 $ 198.84 $ 156.56 $ 173.79
Net investment income............ 1.82 3.79 3.47 3.28 3.43 3.73
Net realized and unrealized gains
(losses) on investments*....... 36.91 (1.67) (.24) 7.06 42.36 (17.21)
Dividends from net investment
income......................... (1.40) (3.80) (3.40) (3.20) (3.51) (3.75)
-------- -------- -------- -------- -------- --------
Net asset value, end of period... $ 241.46 $ 204.13 $ 205.81 $ 205.98 $ 198.84 $ 156.56
======== ======== ======== ======== ======== ========
Total return..................... 19.00%++ 3.44%+ 4.88%+ 6.75%+ 29.97%+ (6.52)%+
Net assets at end of period
(000s)......................... $212,973 $195,150 $206,153 $209,922 $211,721 $169,600
Ratio of operating expenses to
average net assets............. 0.57%++ 0.57% 0.62% 0.59% 0.60% 0.62%
Ratio of net investment income to
average net assets............. 1.59%++ 1.80% 1.65% 1.63% 1.89% 2.24%
Portfolio turnover rate.......... 5.01% 16.31% 22.10% 10.68% 8.21% 8.15%
<FN>
* After provision for Federal
income tax on retained capital
gains at end of period of...... -- $ 4.88 $ 6.79 $ 2.94 $ .88 $ 2.19
++ Annualized.
+ Total return figures do not reflect any front-end or contingent deferred sales charges.
++ Represents aggregate return for the period without annualization and does not reflect any front-end or
contingent deferred sales charges.
</TABLE>
9
<PAGE> 10
-----------------------------------------
STATE STREET
EXCHANGE FUND
ONE FINANCIAL CENTER, BOSTON,
MASSACHUSETTS 02111
STATE STREET
1-800-233-2089
EXCHANGE
Trustees
FUND
EDWARD M. LAMONT
ROBERT A. LAWRENCE (A SERIES OF STATE STREET EXCHANGE TRUST)
DEAN O. MORTON
THOMAS L. PHILLIPS
TOBY ROSENBLATT
MICHAEL S. SCOTT MORTON
RALPH F. VERNI
JEPTHA H. WADE
Officers
RALPH F. VERNI, Chairman, President and
Chief Executive Officer BOSTON, MASSACHUSETTS
PETER C. BENNETT, Vice President
THOMAS P. MOORE, Vice President
KENNARD WOODWORTH, JR., Vice
President
GERARD P. MAUS, Treasurer -----------------------------------------
JOSEPH W. CANAVAN, Assistant
Treasurer
DOUGLAS A. ROMICH, Assistant
Treasurer
FRANCIS J. MCNAMARA, III, Secretary
and General Counsel
DARMAN A. WING, Assistant Secretary
and Assistant General Counsel
Investment Adviser
STATE STREET RESEARCH & MANAGEMENT
COMPANY
Custodian and Transfer Agent
STATE STREET BANK AND TRUST COMPANY
SEMIANNUAL REPORT
June 30
1995
