As filed with the Securities and Exchange Commission
on April 30, 1997
1940 Act File No. 811-4256
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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-1A
REGISTRATION STATEMENT UNDER THE
INVESTMENT COMPANY ACT OF 1940 [ ]
AMENDMENT NO. 14 [x]
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STATE STREET RESEARCH EXCHANGE TRUST
(Exact Name of Registrant as Specified in Charter)
One Financial Center, Boston, Massachusetts 02111
(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, Including Area Code (617) 357-1200
Francis J. McNamara, III, One Financial Center, Boston, MA 02111
(Name and Address of Agent for Service)
Copy to:
Thomas J. Kelly, Esq.
Mintz, Levin, Cohn, Ferris,
Glovsky and Popeo, P.C.
One Financial Center
Boston, Massachusetts 02111
<PAGE>
STATE STREET RESEARCH EXCHANGE TRUST
PART A - INFORMATION REQUIRED IN A PROSPECTUS
May 1, 1997
All information required by this Part of Form N-1A
except Items 1, 2, and 3 which are omitted pursuant
to Instruction F(4) is included in Part B.
<PAGE>
STATE STREET RESEARCH EXCHANGE TRUST
PART B - STATEMENT OF ADDITIONAL INFORMATION
May 1, 1997
The following Statement of Additional Information is not a Prospectus.
Registrant is not offering securities to the general public and maintains no
current prospectus. However, general information about Registrant which would
normally be included in a current prospectus, except such information as would
be applicable to an offering of Registrant's shares, has been included in this
Statement of Additional Information.
TABLE OF CONTENTS
Page
General Information and History ...............................2
Investment Policies............................................2
Trustees and Officers.........................................11
Controlling Persons and Principal Holders of Securities.......14
Investment Advisory and Other Services........................15
Portfolio Transactions........................................16
Shares of Beneficial Interest and Other Securities............18
Redemption and Pricing of Securities..........................20
Tax Status....................................................22
Financial Statements..........................................23
<PAGE>
General Information and History
Registrant's predecessor, State Street Exchange Fund, Inc., was
originally incorporated in Massachusetts on December 12, 1984 to
become the successor to State Street Exchange Fund (A Limited
Partnership) (the "Partnership") which was formed as a limited
partnership, and registered with the Securities and Exchange
Commission as an open-end, diversified management company, in 1975.
Effective May 1, 1985, in accordance with a Plan of Reorganization
and Liquidation which was approved by the partners of the
Partnership on December 11, 1984, State Street Exchange Fund, Inc.
succeeded to the business and operations of the Partnership.
Effective May 1, 1989 State Street Exchange Fund, Inc. was
reorganized as a Massachusetts business trust and carries on its
operations as State Street Research Exchange Fund (the "Fund")
(formerly known as State Street Exchange Fund), a series of State
Street Research Exchange Trust (the "Trust") (formerly known as
State Street Exchange Trust). References to Registrant here also
refer, where appropriate, to Registrant's predecessors.
Investment Policies
Investment Objective and Restrictions
The Fund's investment objective is to seek long-term growth of
capital and consequent long-term growth of income. This objective
cannot be changed without a vote of the shareholders. In order to
achieve this objective the Fund's assets normally will be invested
largely in a diversified and supervised portfolio of common stocks,
or securities convertible into common stocks, believed by management
to have growth potential over the years. However, there may be times
when, in management's judgment, the Fund's interests are best served
and the long range investment objective most likely to be achieved
by having a portion of the Fund's assets in cash or fixed income or
other defensive securities, and freedom to so administer the
portfolio is retained.
The Fund has no fundamental policy with respect to the issuance of
senior securities.
It is the Fund's policy not to purchase securities on margin or make
a short sale of any securities, or purchase or write puts, calls,
straddles or spreads except in connection with options on securities
and securities indices and options on futures with respect to
securities and securities indices.
It is the Fund's policy not to borrow money except for temporary,
emergency or extraordinary purposes and then only up to an amount
equal to 10% of its net assets.
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It is the Fund's policy not to underwrite securities of other
issuers except to the extent it may be deemed an "underwriter" when
it disposes of restricted securities. In addition, it is
Registrant's policy not to purchase or otherwise acquire securities
for its portfolio which are deemed by the Board of Trustees to be
restricted as to resale if such acquisition would cause more than
10% of the Fund's total assets (taken at market value) to be held in
such securities.
It is the Fund's policy not to make any investment which would cause
more than 25% of its total assets, taken at market value, to be
invested in any one industry.
It is the Fund's policy not to make any investment in real property.
The Fund has no fundamental policy with respect to investment in
real estate mortgage loans.
It is the Fund's policy not to invest in commodities or commodity
contracts except for futures and options on futures with respect to
securities and securities indices.
It is the Fund's policy not to make loans to other persons except
that Registrant may make loans of its portfolio securities
comprising not more than 10% of its total assets if such loans are
fully secured by cash when made. Registrant will lend portfolio
securities only when a determination has been made by the Board of
Trustees that the net return to the Fund in consideration of lending
the securities is reasonable and desirable, that any fee paid to the
broker placing such loan is reasonable and based solely upon
services rendered, that the lending of such securities is consistent
with the Fund's investment objective, and that no affiliate of the
Fund or of State Street Research & Management Company (the
"Management Company") is involved in such lending transaction or is
receiving any fees in connection therewith.
It is the Fund's policy not:
(a) To purchase oil, gas, or other mineral leases or
partnership interests in oil, gas, or other exploration
programs;
(b) To purchase for its portfolio, securities of any issuer
(other than the United States or its instrumentalities)
if such purchase at the time would cause more than 5% of
the total assets of Registrant (taken at market value)
to be invested in the securities of such issuer;
(c) To purchase for its portfolio, securities of any issuer
if such purchase at the time thereof would cause more
than 10% of any class of securities of such issuer to be
held by the Fund;
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(d) To make investments for the purpose of exercising
control or management of other companies;
(e) To purchase securities for its portfolio issued by any
other investment company;
(f) To purchase securities of any issuer which has a record
of less than three years' continuous operation if such
purchase would cause more than 5% of the Fund's total
assets (taken at market value) to be invested in the
securities of such issuers; provided that any such three
year period may include the operation of any predecessor
company, partnership, or individual enterprise if the
issuer whose securities are to be purchased came into
existence as a result of a merger, consolidation,
reorganization, or the purchase of substantially all the
assets of such predecessor company, partnership, or
individual enterprise; or
(g) To purchase or retain any securities of an issuer if, to
the knowledge of the Fund, those officers and trustees
of the Management Company who individually own
beneficially more than 1/2 of 1% of the shares or
securities of such issuer together own beneficially more
than 5% of such shares or securities.
Rule 144A Securities
Subject to the limitation on restricted securities noted above, the
Fund may buy or sell restricted securities in accordance with Rule
144A under the Securities Act of 1933 ("Rule 144A Securities").
Securities may be resold pursuant to Rule 144A under certain
circumstances only to qualified institutional buyers as defined in
the rule, and the markets and trading practices for such securities
are relatively new and still developing; depending on the
development of such markets, such Rule 144A Securities may be deemed
to be liquid as determined by or in accordance with methods adopted
by the Trustees. Under such methods the following factors are
considered, among others: the frequency of trades and quotes for the
security, the number of dealers and potential purchasers in the
market, marketmaking activity, and the nature of the security and
marketplace trades. Investments in Rule 144A Securities could have
the effect of increasing the level of the Fund's illiquidity to the
extent that qualified institutional buyers become, for a time,
uninterested in purchasing such securities. Also, the Fund may be
adversely impacted by the possible illiquidity and subjective
valuation of such securities in the absence of an active market for
them.
Foreign Investments
The Fund reserves the right to invest without limitation in
securities of non-U.S. issuers directly, or indirectly in the form
of American Depositary Receipts ("ADRs") and
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European Depositary Receipts ("EDRs"). Under current policy,
however, the Fund limits such investments, including ADRs and EDRs,
to a maximum of 35% of its total assets.
ADRs are receipts, typically issued by a U.S. bank or trust company,
which evidence ownership of underlying securities issued by a
foreign corporation or other entity. EDRs are receipts issued in
Europe which evidence a similar ownership arrangement. Generally,
ADRs in registered form are designed for use in U.S. securities
markets and EDRs are designed for use in European securities
markets. The underlying securities are not always denominated in the
same currency as the ADRs or EDRs. Although investment in the form
of ADRs or EDRs facilitates trading in foreign securities, it does
not mitigate all the risks associated with investing in foreign
securities.
ADRs are available through facilities which may be either
"sponsored" or "unsponsored." In a sponsored arrangement, the
foreign issuer establishes the facility, pays some or all of the
depository's fees, and usually agrees to provide shareholder
communications. In an unsponsored arrangement, the foreign issuer is
not involved, and the ADR holders pay the fees of the depository.
Sponsored ADRs are generally more advantageous to the ADR holders
and the issuer than are unsponsored ADRs. More and higher fees are
generally charged in an unsponsored program compared to a sponsored
facility. Only sponsored ADRs may be listed on the New York or
American Stock Exchanges. Unsponsored ADRs may prove to be more
risky due to (a) the additional costs involved to the Fund; (b) the
relative illiquidity of the issue in U.S. markets; and (c) the
possibility of higher trading costs in the over-the-counter market
as opposed to exchange-based trading. The Fund will take these and
other risk considerations into account before making an investment
in an unsponsored ADR.
The risks associated with investments in foreign securities include
those resulting from fluctuations in currency exchange rates,
revaluation of currencies, future political and economic
developments, including the risks of nationalization or
expropriation, the possible imposition of currency exchange
blockages, higher operating expenses, foreign withholding and other
taxes which may reduce investment return, reduced availability of
public information concerning issuers and the fact that foreign
issuers are not generally subject to uniform accounting, auditing
and financial reporting standards or to other regulatory practices
and requirements comparable to those applicable to domestic issuers.
Moreover, securities of many foreign issuers may be less liquid and
their prices more volatile than those of securities of comparable
domestic issuers.
It is anticipated that most of the foreign investments of the Fund
will consist of securities of issuers in countries with developed
economies. However, the Fund may also invest
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in the securities of issuers in countries with less developed
economies as deemed appropriate by the Management Company, although
the Fund does not presently expect to invest more than 5% of its
total assets in issuers in such less developed countries. Such
countries include countries that have an emerging stock market that
trades a small number of securities; countries with low- to
middle-income economies; and/or countries with economies that are
based on only a few industries. Eastern European countries are
considered to have less developed capital markets. To the extent the
Fund invests in such securities, it will be subject to a variety of
additional risks, including risks associated with political
instability, economies based on relatively few industries, lesser
market liquidity, high rates of inflation, significant price
volatility of portfolio holdings and high levels of external debt in
the relevant country.
Although the Fund may invest in securities denominated in foreign
currencies, the Fund values its securities and other assets in U.S.
dollars. As a result, the net asset value of the Fund's shares may
fluctuate with U.S. dollar exchange rates as well as with price
changes of the Fund's securities in the various local markets and
currencies. Thus, an increase in the value of the U.S. dollar
compared to the currencies in which the Fund makes its investments
could reduce the effect of increases and magnify the effect of
decreases in the prices of the Fund's securities in their local
markets. Conversely, a decrease in the value of the U.S. dollar will
have the opposite effect of magnifying the effect of increases and
reducing the effect of decreases in the prices of the Fund's
securities in the local markets.
Currency Transactions
In order to protect against the effect of uncertain future exchange
rates on securities denominated in foreign currencies, the Fund may
engage in currency exchange transactions either on a spot (i.e.,
cash) basis at the rate prevailing in the currency exchange market
or by entering into forward contracts to purchase or sell
currencies. Although such contracts tend to minimize the risk of
loss resulting from a correctly predicted decline in value of hedged
currency, they tend to limit any potential gain that might result
should the value of such currency increase. In entering a forward
currency transaction, the Fund is dependent upon the
creditworthiness and good faith of the counterparty. The Fund
attempts to reduce the risks of nonperformance by the counterparty
by dealing only with established, large institutions with which the
Management Company has done substantial business in the past.
The Fund's dealings in forward currency exchange contracts will be
limited to hedging involving either specific transactions or
aggregate portfolio positions. A forward currency contract involves
an obligation to purchase or sell a specific currency at a future
date, which may be any fixed
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number of days from the date of the contract agreed upon by the
parties, at a price set at the time of the contract. These contracts
are not commodities and are entered into in the interbank market
conducted directly between currency traders (usually large
commercial banks) and their customers. Although spot and forward
contracts will be used primarily to protect the Fund from adverse
currency movements, they also involve the risk that anticipated
currency movements will not be accurately predicted, which may
result in losses to the Fund. This method of protecting the value of
the Fund's portfolio securities against a decline in the value of a
currency does not eliminate fluctuations in the underlying prices of
the securities. It simply establishes a rate of exchange that can be
achieved at some future point in time. Although such contracts tend
to minimize the risk of loss due to a decline in the value of hedged
currency, they tend to limit any potential gain that might result
should the value of such currency increase.
Options and Futures
The Fund may buy and sell options, futures contracts and options on
futures contracts with respect to securities and securities indices,
and enter into closing transactions with respect to each of the
foregoing under circumstances in which the use of such techniques
are expected by the Management Company to aid in achieving the
investment objective of the Fund. In most cases, only futures and
options listed and traded on national securities exchanges or
registered commodities exchanges or which are readily marketable
will be used. These techniques will not be employed for speculation,
but only as a hedge against changes resulting from market conditions
and, subject to the limitations described below, to enhance return.
The Fund on occasion may also purchase instruments with
characteristics of both futures and securities (e.g., debt
instruments with interest and principal payments determined by
reference to the value of a commodity or a currency at a future
time) and which, therefore, possess the risks of both futures and
securities investments.
The Fund may write covered put and call options on securities to
enhance return. For example, the Fund may engage in "buy-and-write"
transactions pursuant to which the Fund purchases a security and
concurrently writes a call option against that security. The
principal reason for writing options on a securities portfolio is to
attempt to realize, through the receipt of premiums, a greater
return than would be realized on the securities alone. The Fund also
reserves the right to use futures or options thereon for such other
purposes, including enhancement of return, as may be permitted by
the Commodity Futures Trading Commission without subjecting the Fund
to regulation as a commodity pool operator.
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The Fund may not establish a position in a commodity futures
contract or purchase or sell a commodity option contract for other
than bona fide hedging purposes if immediately thereafter the sum of
the amount of initial margin deposits and premiums required to
establish such positions for such non-hedging purposes would exceed
5% of the market value of the Fund's net assets; similar policies
apply to options which are not commodities.
Instruments of the type described above enable the Fund to
participate in the market movement of a specific security, type of
security or commodity and thereby compensate for a decline in the
values of its portfolio assets, or enable the Fund to protect itself
against a rise in the prices of assets which it intends to purchase.
The use of options, futures and options on futures may involve risks
not associated with other types of instruments which the Fund
intends to purchase. In particular, the Fund's positions in futures
and options may be closed out only on an exchange which provides a
secondary market therefor. There can be no assurance that a liquid
secondary market will exist for any particular futures contract or
option at any specific time. The inability to close out options and
futures positions could have an adverse impact. The Fund will enter
into an option or futures position only if it appears to be a liquid
investment.
Swap Arrangements
The Fund may enter into various forms of swap arrangements with
counterparties with respect to interest rates, currency rates or
indices, including purchase of caps, floors and collars as described
below. In an interest rate swap the Fund could agree for a specified
period to pay a bank or investment banker the floating rate of
interest on a so-called notional principal amount (i.e., an assumed
figure selected by the parties for this purpose) in exchange for
agreement by the bank or investment banker to pay the Fund a fixed
rate of interest on the notional principal amount. In a currency
swap the Fund would agree with the other party to exchange cash
flows based on the relative differences in values of a notional
amount of two (or more) currencies; in an index swap, the Fund would
agree to exchange cash flows on a notional amount based on changes
in the values of the selected indices. Purchase of a cap entitles
the purchaser to receive payments from the seller on a notional
amount to the extent that the selected index exceeds an agreed upon
interest rate or amount whereas purchase of a floor entitles the
purchaser to receive such payments to the extent the selected index
falls below an agreed upon interest rate or amount. A collar
combines a cap and a floor.
Most swaps entered into by the Fund will be on a net basis; for
example, in an interest rate swap, amounts generated by application
of the fixed rate and the floating rate to the notional principal
amount would first offset one another,
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with the Fund either receiving or paying the difference between such
amounts. In order to be in a position to meet any obligations
resulting from swaps, the Fund will set up a segregated custodial
account to hold appropriate liquid assets, including cash; for swaps
entered into on a net basis, assets will be segregated having a
daily net asset value equal to any excess of the Fund's accrued
obligations over the accrued obligations of the other party, while
for swaps on other than a net basis assets will be segregated having
a value equal to the total amount of the Fund's obligations.
These arrangements will be made primarily for hedging purposes, to
preserve the return on an investment or on a part of the Fund's
portfolio. However, the Fund may enter into such arrangements for
income purposes to the extent permitted by the Commodities Futures
Trading Commission for entities which are not commodity pool
operators, such as the Fund. In entering a swap arrangement, the
Fund is dependent upon the creditworthiness and good faith of the
counterparty. The Fund attempts to reduce the risks of
nonperformance by the counterparty by dealing only with established,
reputable institutions. The swap market is still relatively new and
emerging; positions in swap arrangements may become illiquid to the
extent that nonstandard arrangements with one counterparty are not
readily transferable to another counterparty or if a market for the
transfer of swap positions does not develop. The use of interest
rate swaps is a highly specialized activity which involves
investment techniques and risks different from those associated with
ordinary portfolio securities transactions. If the Management
Company is incorrect in its forecasts of market values, interest
rates and other applicable factors, the investment performance of
the Fund would diminish compared with what it would have been if
these investment techniques were not used. Moreover, even if the
Management Company is correct in its forecasts, there is a risk that
the swap position may correlate imperfectly with the price of the
asset or liability being hedged.
Securities Lending
The Fund may lend portfolio securities with a value of up to 10%
of its total assets. The Fund will receive cash or cash equivalents
(e.g., U.S. Government obligations) as collateral in an amount equal
to at least 100% of the current market value of the loaned
securities plus accrued interest. Collateral received by the Fund
will generally be held in the form tendered, although cash may be
invested in securities issued or guaranteed by the U.S. Government
or its agencies or instrumentalities, irrevocable stand-by letters
of credit issued by a bank, or any combination thereof. The
investing of cash collateral received from loaning portfolio
securities involves leverage which magnifies the potential for gain
or loss on monies invested and, therefore, results in an increase in
the volatility of the Fund's outstanding securities. Such loans may
be
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terminated at any time. The Fund will retain most rights of
ownership including rights to dividends, interest or other
distributions on the loaned securities. Voting rights pass with the
lending, although the Fund may call loans to vote proxies if
desired. Should the borrower of the securities fail financially,
there is a risk of delay in recovery of the securities or loss of
rights in the collateral. Loans are made only to borrowers which are
deemed by the Management Company to be of good financial standing.
Industry Classifications
In determining how much of the portfolio is invested in a given
industry, the following industry classifications are currently used.
Securities issued or guaranteed as to principal or interest by the
U.S. Government or its agencies or instrumentalities or mixed-
ownership Government corporations or sponsored enterprises
(including repurchase agreements involving U.S. Government
securities to the extent excludable under relevant regulatory
interpretations) are excluded. Securities issued by foreign
governments are also excluded. Companies engaged in the business of
financing will be classified according to the industries of the
parent companies or industries that otherwise most affect such
financing companies. Issuers of asset-backed pools will be
classified as separate industries based on the nature of the
underlying assets, such as mortgages and credit card receivables.
"Asset-backed--Mortgages" includes private pools of nongovernment
backed mortgages.
Basic Industries Consumer Staple Science & Technology
---------------- --------------- --------------------
Chemical Business Service Aerospace
Diversified Container Computer Software &
Electrical Equipment Drug Service
Forest Products Food & Beverage Electronic Components
Machinery Hospital Supply Electronic Equipment
Metal & Mining Personal Care Office Equipment
Railroad Printing & Publishing
Truckers Tobacco
Utility Energy Consumer Cyclical
---------------- --------------- --------------------
Electric Oil Refining Airline
Gas & Marketing Automotive
Gas Transmission Oil Production Building
Telephone Oil Service Hotel & Restaurant
Photography
Other Finance Recreation
---------------- --------------- Retail Trade
Trust Certificates-- Bank Textile & Apparel
Government Related Financial Service
Lending Insurance
Asset-backed--Mortgages
Asset-backed--Credit
Card Receivables
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Trustees and Officers
Under Registrant's Master Trust Agreement, subject to the terms
thereof, Registrant's Board of Trustees has general management and control of
all the property and affairs of the Fund.
The Trustees and principal officers of the Trust, their addresses,
and their principal occupations and positions with certain affiliates of the
Management Company are set forth below.
*+Peter C. Bennett, One Financial Center, Boston, MA 02111, serves
as Vice President of the Trust. He is 58. His principal occupation is Executive
Vice President and Director of State Street Research & Management Company.
During the past five years he has also served as Senior Vice President and Vice
President of State Street Research & Management Company. Mr. Bennett's other
principal business affiliation is Director, State Street Research Investment
Services, Inc.
+Steve A. Garban, The Pennsylvania State University, 208 Old Main,
University Park, PA 16802, serves as Trustee of the Trust. He is 59. He is
retired and was formerly Senior Vice President Finance and Operations and
Treasurer Emeritus of The Pennsylvania State University.
+Malcolm T. Hopkins, 14 Brookside Road, Biltmore Forest, Asheville,
NC 28803, serves as Trustee of the Trust. He is 68. He is engaged principally
in private investments. Previously, he was Vice Chairman of the Board and Chief
Financial Officer of St. Regis Corp.
+Edward M. Lamont, Box 1234, Moores Hill Road, Syosset, NY 11791,
serves as Trustee of the Trust. He is 70. He is engaged principally in private
investments and civic affairs, and is an author of business history. Previously,
he was with Morgan Guaranty Trust Company of New York.
+Robert A. Lawrence, Saltonstall & Co., 50 Congress Street, Boston,
MA 02109, serves as Trustee of the Trust. He is 70. His principal occupation is
Associate of Saltonstall & Co., a private investment firm. During the past five
years he has also served as Partner of that firm.
*+Gerard P. Maus, One Financial Center, Boston, MA 02111, serves as
Treasurer of the Trust. He is 46. His principal occupation is Executive Vice
President, Treasurer and Director of State Street Research & Management Company.
During the past five years he has also served as Executive Vice President and
Chief Financial Officer of New England Investment Companies and as Senior Vice
President and Vice President of New England Mutual Life Insurance Company. Mr.
Maus's other principal business affiliations include Executive Vice President,
Treasurer, Chief Financial Officer and Director of State Street Research
Investment Services, Inc.
*+Francis J. McNamara, III, One Financial Center, Boston, MA 02111,
serves as Secretary and General Counsel of the Trust. He is 41. His principal
occupation is Executive Vice President, General Counsel and Secretary of State
Street Research & Management Company. During the past five years he has also
served as Senior Vice President of State Street Research & Management Company
and as Senior Vice President, General Counsel and Assistant Secretary of The
Boston Company, Inc., Boston Safe Deposit and Trust Company and The Boston
Company Advisors, Inc. Mr. McNamara's other principal business affiliations
include Senior Vice President, General Counsel and Clerk of State Street
Research Investment Services, Inc.
- ------------------------------------------------
* or + See footnotes on page 13
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+Dean O. Morton, 3200 Hillview Avenue, Palo Alto, CA 94304, serves
as Trustee of the Trust. He is 65. He is retired, having served during the past
five years, until October 1992, as Executive Vice President, Chief Operating
Officer and Director of Hewlett-Packard Company.
+Thomas L. Phillips, 141 Spring Street, Lexington, MA 02173, serves
as Trustee of the Trust. He is 72. He is retired and was formerly Chairman of
the Board and Chief Executive Officer of Raytheon Company, of which he remains a
Director.
+Toby Rosenblatt, 3409 Pacific Avenue, San Francisco, CA 94118,
serves as Trustee of the Trust. He is 58. His principal occupations during the
past five years have been President of The Glen Ellen Company, a private
investment company and Vice President of Founders Investments Ltd.
+Michael S. Scott Morton, Massachusetts Institute of
Technology, 77 Massachusetts Avenue, Cambridge, MA 02139, serves as Trustee of
the Trust. He is 59. His principal occupation during the past five years has
been Jay W. Forrester Professor of Management at Sloan School of Management,
Massachusetts Institute of Technology.
*+Ralph F. Verni, One Financial Center, Boston, MA 02111, serves as
Chairman of the Board, President, Chief Executive Officer and Trustee of the
Trust. He is 54. His principal occupation is Chairman of the Board, President,
Chief Executive Officer and Director of State Street Research & Management
Company. During the past five years he also served as President and Chief
Executive Office of New England Investment Companies and as Chief Investment
Officer and Director of New England Mutual Life Insurance Company. Mr. Verni's
other principal business affiliations include Chairman of the Board and
Director of State Street Research Investment Services, Inc. and until February
1996, prior positions as President and Chief Executive Officer.
- ------------------------------------------------
* or + See footnotes on page 13
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+Jeptha H. Wade, 251 Old Billerica Road, Bedford, MA 01730, serves
as Trustee of the Trust. He is 72. He is retired and was formerly Of Counsel for
the law firm Choate, Hall & Stewart. He was partner of that firm from 1960 to
1987.
*+James M. Weiss, One Financial Center, Boston, MA 02111, serves
as Vice President of the Trust. He is 50. His principal occupation is Senior
Vice President of State Street Research & Management Company. During the past
five years he has also served as President and Chief Investment Officer of IDS
Advisory Group, Inc. and as Senior Vice President of Stein, Roe & Farnham.
*+Kennard Woodworth, Jr., One Financial Center, Boston, MA 02111,
serves as Vice President of the Trust. He is 58. His principal occupation is
Senior Vice President of State Street Research & Management Company.
- ----------------------------
* These Trustees and/or officers are or may be deemed to be
"interested persons" of the Trust under the Investment Company Act
of 1940 (the "1940 Act") because of their affiliations with the
Trust's Management Company.
+ Serves as a Trustee and/or officer of one or more of the following
investment companies, each of which has an advisory or distribution
relationship with the Management Company or its affiliates: State
Street Research Equity Trust, State Street Research Financial Trust,
State Street Research Income Trust, State Street Research Money
Market Trust, State Street Research Tax-Exempt Trust, State Street
Research Capital Trust, State Street Research Exchange Trust, State
Street Research Growth Trust, State Street Research Master
Investment Trust, State Street Research Securities Trust, State
Street Research Portfolios, Inc. and Metropolitan Series Fund, Inc.
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Controlling Persons and Principal Holders of Securities
There are no persons who control Registrant.
There are no persons who own or are known by Registrant to own of
record or beneficially 5% or more of Registrant's outstanding
shares.
Registrant's Trustees and principal Officers as a group beneficially
owned, as of March 31, 1997, less than 1% of the outstanding shares
of the Registrant.
The Trustees were compensated as follows:
Name of Aggregate Total
Trustee Compensation Compensation
From Trust(a) From Trust and
Complex Paid
to Trustees(b)
Steve A. Garban $ 0* $ 34,750
Malcolm T. Hopkins $ 0* $ 34,750
Edward M. Lamont $4,000 $ 59,375
Robert A. Lawrence $4,000 $ 92,125
Dean Morton $4,200 $ 96,125
Thomas L. Phillips $4,000 $ 59,375
Toby Rosenblatt $4,000 $ 59,375
Michael S. Scott Morton $4,400 $100,325
Ralph F. Verni $ 0 $ 0
Jeptha H. Wade $4,200 $ 63,375
(a) For the Fund's fiscal year ended December 31, 1996.
(b) Includes compensation on behalf of all series of investment
companies for which the Management Company served directly or
indirectly as investment adviser or for which State Street Research
Investment Services, Inc. served as distributor. "Total Compensation
From Trust and Complex Paid to Trustees" is for the 12 months ended
December 31, 1996. The Trust does not provide any pension or
retirement benefits for the Trustees.
* Elected Trustee on February 5, 1997. Fees shown are for the fiscal
year ended December 31, 1996.
14
<PAGE>
Investment Advisory and Other Services
Registrant's Management Company is State Street Research &
Management Company, a Delaware corporation, with offices at One
Financial Center, Boston, Massachusetts 02111-2690. The Management
Company is an indirect wholly-owned subsidiary of Metropolitan Life
Insurance Company. It, and its predecessor, a Massachusetts
partnership having the same name, have been providing investment
advice and management to clients since 1927. As of February 28,
1997, the Management Company had assets of approximately $42.4
billion under direct or indirect management.
The advisory fee payable quarterly by Registrant to the Management
Company is computed as a percentage of the average of the values of
the net assets of Registrant as determined at the close of each
business day during the quarter at the annual rate of 1/2 of 1% of
the value of such net assets.
The total investment management fees paid by Registrant to the
Management Company for the fiscal years ended December 31, 1996,
1995 and 1994 were $1,281,051, $1,078,699 and $1,011,335,
respectively.
Registrant's investment advisory contract with the Management
Company provides that the Management Company shall furnish
Registrant with suitable office space and facilities and such
management, investment advisory, statistical and research facilities
and services as may be required from time to time by Registrant.
Although under such contract Registrant is responsible for all of
its other expenses and services, the Management Company currently
follows, and expects to continue to follow, the practice of keeping
Registrant's general books and accounts relative to the net asset
value of Registrant's shares and of calculating such net asset
value, both at no additional charge.
Under the Code of Ethics of the Management Company, its employees in
Boston, where investment management operations are conducted, are
only permitted to engage in personal securities transactions in
accordance with certain conditions relating to an employee's
position, the identity of the security, the timing of the
transaction, and similar factors. Such employees must report their
personal securities transactions quarterly and supply broker
confirmations of such transactions to the Management Company.
15
<PAGE>
State Street Bank and Trust Company (the "Bank") is the registrant's
custodian with main offices at 225 Franklin Street, Boston, MA
02110. As custodian the Bank maintains custody over all portfolio
securities and cash of Registrant. The Bank also acts as
Registrant's Dividend Disbursing Agent and as Transfer Agent (the
"Transfer Agent") with respect to shares of Registrant and in each
capacity maintains appropriate records relating to, and forwards
appropriate statements to, Registrant's shareholders.
Under a Shareholders' Administrative Services Agreement with the
Trust, State Street Research Investment Services, Inc. provides
shareholders' administrative services, such as responding to
inquiries and instructions from investors respecting shareholder
records and the redemption of shares of the Fund, and is entitled to
a fee for providing such services.
Registrant's independent accountants are Coopers & Lybrand L.L.P.,
One Post Office Square, Boston, MA 02109. This firm is responsible
for all required audit functions with respect to Registrant's
financial statements and reviews Registrant's semi-annual and annual
reports to Registrant's shareholders as well as Registrant's filings
with the Securities and Exchange Commission on Form N-1A.
PORTFOLIO TRANSACTIONS
Portfolio Turnover
The Fund's portfolio turnover rate is determined by dividing the
lesser of securities purchases or sales for a year by the monthly
average value of securities held by the Fund (excluding, for
purposes of this determination, securities the maturities of which
as of the time of their acquisition were one year or less). The
portfolio turnover rates for the fiscal years ended December 31,
1995 and 1996 were 11.67% and 5.39%, respectively.
Brokerage Allocation
The Management Company's policy is to seek for its clients,
including the Fund, what in the Management Company's judgment will
be the best overall execution of purchase or sale orders and the
most favorable net prices in securities transactions consistent with
its judgment as to the business qualifications of the various broker
or dealer firms with whom the Management Company may do business,
and the Management Company may not necessarily choose the broker
offering the lowest available commission rate. Decisions with
respect to the market where the transaction is to be completed, to
the form of transaction (whether principal or agency), and to the
allocation of orders among brokers or dealers are made in accordance
with this policy. In selecting brokers or dealers to effect
portfolio transactions, consideration is given to their proven
integrity and financial responsibility, their demonstrated execution
experience and capabilities both generally and with respect to
particular markets or securities, the competitiveness of their
commission rates in agency transactions (and their net prices in
principal transactions), their willingness to commit capital, and
their clearance and settlement capability. The Management Company
makes every effort to keep informed of commission rate structures
and prevalent bid/ask spread characteristics of the markets and
securities in which transactions for the Fund occur. Against this
background, the Management Company evaluates the reasonableness of a
commission or a net price with respect to a particular transaction
by considering such factors as difficulty of execution or security
positioning by the executing firm. The Management Company may or may
not solicit competitive bids based on its judgment of the expected
benefit or harm to the execution process for that transaction.
When it appears that a number of firms could satisfy the required
standards in respect of a particular transaction, consideration may
also be given to services other than execution services which
certain of such firms have provided in the past or may provide in
the future. Negotiated commission rates and prices, however, are
based upon the Management Company's judgment of the rate which
reflects the execution requirements of the transaction without
regard to whether the broker provides services in addition to
execution. Among such other services are the supplying of
supplemental investment research; general economic, political and
business information; analytical and statistical data; relevant
market information, quotation equipment and services; reports and
information about specific companies, industries and securities;
purchase and sale recommendations for stocks and bonds; portfolio
strategy services; historical statistical information; market data
services providing information on specific issues and prices;
financial publications; proxy voting data and analysis services;
technical analysis of various aspects of the securities markets,
including technical charts; computer hardware used for brokerage and
research purposes; computer
16
<PAGE>
software and databases (including those used for portfolio analysis
and modelling and including software providing investment personnel
with efficient access to current and historical data from a variety
of internal and external sources); portfolio evaluation services;
and data relating to the relative performance of accounts.
In the case of the Fund and other registered investment companies
advised by the Management Company, the above services may include
data relating to performance, expenses and fees of those investment
companies and other investment companies; this information is used
by the Trustees or directors of the investment companies to fulfill
their responsibility to oversee the quality of the Management
Company's advisory services and to review the fees and other
provisions contained in the advisory contracts between the
investment companies and the Management Company. The Management
Company considers these investment company services only in
connection with the execution of transactions on behalf of its
investment company clients and not its other clients.
Certain of the nonexecution services provided by broker-dealers
may in turn be obtained by the broker-dealers from third parties
who are paid for such services by the broker-dealers. The
Management Company has an investment in less than ten percent of
the outstanding equity of one such third party which is engaged in
the development and licensing of trading systems which include
portfolio analysis and modelling and other research and investment
decision-making capabilities. The Management Company may allocate
brokerage to broker-dealers who in turn pay this third party for
the portion of the third party's trading system provided to the
Investment Manager which is estimated by the Investment Manager
to provide appropriate assistance in the investment decision-making
process. Because of its minority interest in the third party, the
Investment Manager could be said to benefit indirectly from such
brokerage allocation.
The Management Company regularly reviews and evaluates the services
furnished by broker-dealers. Among other measures, the Management
Company's investment management personnel seek to evaluate the
quality of research and other services received, and the results
of this effort are made available to the equity trading department
which sometimes uses this information as a consideration in the
selection of brokers to execute portfolio transactions.
Some services furnished by broker-dealers may be used for research
and investment decision-making purposes, and also for marketing or
administrative purposes. Under these circumstances, the Management
Company allocates the cost of such services to determine the
appropriate proportion of the cost which is allocable to purposes
other than research or investment decision-making and the Management
Company pays for that proportion directly from its own funds. Some
research and execution services may benefit the Management
Company's clients as a whole, while others may benefit a specific
segment of clients. Not all such services will necessarily be used
exclusively in connection with the accounts which pay the
commissions to the broker-dealer producing the services.
The Management Company has no fixed agreements or understandings
with any broker-dealer as to the amount of brokerage business which
that firm may expect to receive for services supplied to the
Management Company or otherwise. There may be, however,
understandings with certain firms that in order for such firms to be
able to continuously supply certain services, they need to receive
allocation of a specified amount of brokerage business. These
understandings are honored to the extent possible in accordance with
the policies set forth above.
It is not the Management Company's policy to intentionally pay a
firm a brokerage commission higher than that which another firm
would charge for handling the same transaction in recognition of
services (other than execution services) provided. However, the
Management Company is aware that this is an area where differences
of opinion as to fact and circumstances may exist, and in such
circumstances, if any, relies on the provisions of Section 28(e) of
the Securities Exchange Act of 1934, to the extent applicable.
Brokerage commissions paid by Registrant during the fiscal years
ended December 31, 1996, 1995 and 1994 were $37,358, $77,724 and
$37,358, respectively. During and at the end of its most recent
fiscal year, the Fund held in its portfolio no securities of any
17
<PAGE>
entity that might be deemed to be a regular broker-dealer of the
Fund as defined under the 1940 Act.
In the case of the purchase of fixed income securities in
underwriting transactions, the Management Company follows any
instructions received from its clients as to the allocation of new
issue discounts, selling concessions and designations to brokers or
dealers which provide the client with research, performance
evaluation, master trustee and other services. In the absence of
instructions from the client, the Management Company may make such
allocations to broker-dealers which have provided the Management
Company with research and brokerage services.
When more than one client of the Management Company is seeking to
buy or sell the same security, the sale or purchase is carried out
in a manner which is considered fair and equitable to all accounts.
In allocating investments among various clients (including in what
sequence orders for trades are placed), the Management Company will
use its best business judgment and will take into account such
factors as the investment objectives of the clients, the amount of
investment funds available to each, the amount already committed for
each client to a specific investment and the relative risks of the
investments, all in order to provide on balance a fair and equitable
result to each client over time. Although sharing in large
transactions may sometimes affect price or volume of shares acquired
or sold, overall it is believed there may be an advantage in
execution. The Management Company may follow the practice of
grouping orders of various clients for execution to get the benefit
of lower prices or commission rates. In certain cases where the
aggregate order may be executed in a series of transactions at
various prices, the transactions are allocated as to amount and
price in a manner considered equitable to each so that each
receives, to the extent practicable, the average price of such
transactions. Exceptions may be made based on such factors as the
size of the account and the size of the trade. For example, the
Management Company may not aggregate trades where it believes that
it is in the best interests of clients not to do so, including
situations where aggregation might result in a large number of small
transactions with consequent increased custodial and other
transactional costs which may disproportionately impact smaller
accounts. Such disaggregation, depending on the circumstances, may
or may not result in such accounts receiving more or less favorable
execution relative to other clients.
Shares of Beneficial Interest and Other Securities
The Fund's only authorized and outstanding securities are shares of
beneficial interest ("Shares"). The following provisions are
applicable to the Shares.
(i) Distribution Rights
The Board of Trustees determines the amounts
of ordinary income and/or capital gains to
be distributed to the holders of Shares and
the time or times when such distributions
will be made. Distributions of net income,
exclusive of capital gains, to the extent
practicable will be made quarterly. Such
dividends are declared in additional Shares
with the option to each shareholder to elect
to receive the distribution in cash. The
Fund's current practice is to retain
long-term capital gains and to pay the
Federal
18
<PAGE>
taxes thereon at corporate capital gains tax
rates on behalf of the shareholders.
(ii) Voting Rights
Shareholders are entitled to one vote or
fraction thereof for each Share, or fraction
thereof, held. The Shares do not possess
cumulative voting rights.
(iii) Liquidation Rights
All Shares will participate on a pro rata
basis in net assets in the event of
liquidation.
(iv) Preemptive Rights
Shares and fractions thereof have no
Preemptive rights.
(v) Conversion Rights
Shares and fractions thereof have no
conversion rights.
(vi) Redemption Provisions
A Shareholder has the right to redeem his
Shares by delivering to the Fund either his
certificates, or an instrument of transfer
if no certificates have been issued, in good
order for transfer, with a separate written
request for redemption. Redemption is made
at the net asset value next computed after
such delivery. Good order means that
certificates or instruments of transfer must
be endorsed by the record owner(s) exactly
as the Shares are registered and the
signature(s) must be guaranteed by a bank, a
member firm of a national stock exchange, or
other eligible guarantor institution. The
Transfer Agent will not accept guarantees
(or notarizations) from notaries public. The
above requirements may be waived by the Fund
in certain instances.
Payment for Shares surrendered for
redemption is made within seven days. The
Fund may suspend the right of redemption or
postpone the date of payment of a redemption
or redemptions during any period when
trading on the New York Stock Exchange (the
"NYSE") is restricted or such Exchange is
closed (other than weekends or holidays), or
the Securities and Exchange Commission has
by order permitted such suspension, or the
Board of Trustees has determined an
emergency exists making disposal of
securities, or determination of the net
asset value of the Fund, not reasonably
practicable. The Fund, in the sole
discretion of
19
<PAGE>
the Board of Trustees, may pay, and
ordinarily will pay, the redemption price in
whole or in part by a distribution in kind
of securities from the portfolio of the Fund
in lieu of cash.
(vii) Sinking Fund Provisions
There are no sinking fund provisions.
(viii) Liability to Further Calls or to Assessment
There is no liability to further calls or to
assessment by the Registrant.
The rights of Registrant's shareholders set
forth in Registrant's Master Trust Agreement
may be modified by lawful amendment thereof
at any time, so long as such amendment does
not have a material adverse effect on the
rights of any shareholder with respect to
which such amendment is or purports to be
applicable by an instrument in writing
signed by a majority of Trustees (or by an
officer pursuant to a vote of a majority of
Trustees). Any such amendment that does have
a material adverse effect on the rights of
shareholders may be adopted as above
provided when authorized by vote of a
majority of shares then outstanding and
entitled to vote.
Under Massachusetts law, the shareholders of
the Trust could, under certain
circumstances, be held personally liable for
the obligations of the Trust. However, the
Master Trust Agreement of the Trust
disclaims shareholder liability for acts or
obligations of the Trust and provides for
indemnification for all losses and expenses
of any shareholder of the Fund held
personally liable for the obligations of the
Trust. Thus, the risk of a shareholder
incurring financial loss on account of
shareholder liability is limited to
circumstances in which the Fund would be
unable to meet its obligations. The
Management Company believes that, in view of
the above, the risk of personal liability to
shareholders is remote.
Shareholder inquiries should be made to
State Street Research Shareholder Services,
P.O. Box 8408, Boston, MA 02266-8408 or, if
by telephone, to 1-800-562-0032.
Redemption and Pricing of Securities
The Fund is not offering its Shares to the general public and
consequently has no offering price. Registrant has no principal
underwriter.
20
<PAGE>
As set forth above, redemptions of the Fund's Shares are made at
their net asset value next computed after delivery of such shares to
the Fund in good order for transfer under the conditions and in
accordance with the policies and procedures there stated.
The Fund reserves the right to pay redemptions in kind with
portfolio securities in lieu of cash. In accordance with its
election pursuant to Rule 18f-1 under the 1940 Act, the Fund may
limit the amount of redemption proceeds paid in cash. Although it
has no present intention to do so, the Fund may, under unusual
circumstances, limit redemptions in cash with respect to each
shareholder during any ninety-day period to the lesser of (i)
$250,000 or (ii) 1% of the net asset value of the Fund at the
beginning of such period. In connection with any redemptions paid in
kind with portfolio securities, brokerage and other costs may be
incurred by the redeeming shareholder in the sale of the securities
received.
The net asset value of the shares of the Fund is determined once
daily as of the close of the NYSE, ordinarily 4 P.M. New York
City time, Monday through Friday, on each day during which the NYSE
is open for unrestricted trading. The NYSE is currently closed for
New Year's Day, Presidents Day, Good Friday, Memorial Day,
Independence Day, Labor Day, Thanksgiving Day and Christmas Day.
The net asset value per share of the Fund is computed by dividing
the sum of the market value of the securities held by the Fund plus
any cash or other assets minus all liabilities by the total number
of outstanding shares of the Fund at such time. Any expenses, except
for extraordinary or nonrecurring expenses, borne by the Fund,
including the investment management fee payable to the Management
Company, are accrued daily.
In determining the values of the portfolio assets, the Trustees
utilize one or more pricing services to value, certain securities
for which market quotations are not readily available on a daily
basis. The pricing services may provide prices determined as of
times prior to the close of the NYSE.
In general, securities are valued as follows. Securities which are
listed or traded on the New York or American Stock Exchange are
valued at the price of the last quoted sale on the respective
exchange for that day. Securities which are listed or traded on a
national securities exchange or exchanges, but not on the New York
or American Stock Exchange, are valued at the price of the last
quoted sale on the exchange for that day prior to the close of the
NYSE. Securities not listed on any national securities exchange
which are traded "over the counter" and for which quotations are
available on the National Association of Securities Dealers' NASDAQ
System, or other system, are valued at the closing price supplied
through such system for that day at
21
<PAGE>
the close of the NYSE. Other securities are, in general, valued at
the mean of the bid and asked quotations last quoted prior to the
close of the NYSE if there are market quotations readily available,
or in the absence of such market quotations, then at the fair value
thereof as determined by or under authority of the Trustees of the
Trust with the use of such pricing services as may be deemed
appropriate or methodologies approved by the Trustees.
Short-term debt instruments issued with a maturity of one year or
less which have a remaining maturity of 60 days or less are valued
using the amortized cost method, provided that during any period in
which more than 25% of the Fund's total assets is invested in
short-term debt securities the current market value of such
securities will be used in calculating net asset value per share in
lieu of the amortized cost method. The amortized cost method is used
when the value obtained is fair value. Under the amortized cost
method of valuation, the security is initially valued at cost on the
date of purchase (or in the case of short-term debt instruments
purchased with more than 60 days remaining to maturity, the market
value on the 61st day prior to maturity), and thereafter a constant
amortization to maturity of any discount or premium is assumed
regardless of the impact of fluctuating interest rates on the market
value of the security.
Tax Status
Registrant intends to qualify under those sections of the Internal
Revenue Code which provide that Registrant, so long as it so
qualifies, will pay no federal income taxes on investment income or
on capital gains to the extent they are distributed to Registrant's
shareholders.
Dividends paid out of investment income are taxable to Registrant's
shareholders at ordinary income tax rates whether they are taken by
Registrant's shareholders in additional shares of Registrant or in
cash. In general, such dividends are eligible for the dividends
received deduction for corporations. The percentage of Registrant's
dividends eligible for such tax treatment may be less than 100% to
the extent that less than 100% of the Registrant's gross income may
be from qualifying dividends of domestic corporations. Distributions
of capital gains, if made, will ordinarily be taxable to
Registrant's shareholders at federal capital gain rates regardless
of how long the underlying shares of Registrant have been held and
regardless of whether they are taken by the shareholder in
additional shares of Registrant or in cash.
Registrant currently follows a policy of distributing substantially
all of its net investment income (ordinarily
22
<PAGE>
no less than 98% to avoid imposition of an excise tax under the
Internal Revenue Code) to its shareholders and of retaining net
realized capital gains and paying the Federal tax thereon on behalf
of its shareholders. Retention by Registrant of its net realized
long-term capital gains and payment of the tax thereon on behalf of
shareholders results in each shareholder including in his income tax
return his proportionate share of such gains and taking a credit for
the payment of the corporate tax thereon and of increasing the tax
basis of his shares in Registrant by an amount equal to the
difference between his proportionate share of such gains and the
amount of the tax paid on his behalf by Registrant.
Financial Statements
The Investment Portfolio, the Statement of Assets and Liabilities,
the Statement of Operations, the Notes to Financial Statements
(including Financial Highlights), the Report of Independent
Accountants and Management's Discussion of Fund Performance, each of
which is included in the Annual Report to Shareholders of State
Street Research Exchange Fund, for the fiscal year ended December
31, 1996, and the Statement of Changes in Net Assets for the year
ended December 31, 1996 and for the year ended December 31, 1995,
also included in said Annual Report, are hereby incorporated by
reference into this Statement of Additional Information.
23
<PAGE>
Part C
STATE STREET RESEARCH EXCHANGE TRUST
PART C
OTHER INFORMATION
Item 24. Financial Statements and Exhibits
(a) Financial Statements - Incorporated by reference in Part
B of this Registration Statement from the Annual Report
to Shareholders for the fiscal year ended December 31,
1996:
Investment Portfolio
Statement of Assets and Liabilities
Statement of Operations
Statement of Changes in Net Assets - Years
ended December 31, 1996 and December 31,
1995
Notes to Financial Statements (including
Financial Highlights)
Report of Independent Accountants
Management's Discussion of Fund Performance
(b) Exhibits
(1) Master Trust Agreement and
Amendment No. 1 to the
Master Trust Agreement (v)
(2)(a) By-Laws (i)*
(2)(b) No. 1 to By-Laws effective
September 30, 1992 (iv)*
(4) Specimen Share Certificate (i)
(5) Investment Advisory Contract (iii)
(8)(a) Custodian Contract (ii)
(11) Consent of Coopers & Lybrand L.L.P.
(12) Annual Report to Shareholders
for fiscal year ended December 31, 1996
(17) First Amended and Restated Multiple Class
Expense Allocation Plan
(18)(a) Power of Attorney (v)
(18)(b) Certificate of Board Resolution Respecting
Power of Attorney (v)
(27) Financial Data Schedule
- ----------------------
Filed as part of the Registration Statement as noted below and incorporated
herein by reference:
Footnote Investment Company Act of 1940
Reference Registration/Amendment Date Filed
i Amendment No. 5 to April 26, 1989
Registration Statement
ii Amendment No. 6 to April 27, 1990
Registration Statement
iii Amendment No. 8 to April 30, 1991
Registration Statement
iv Amendment No. 10 to April 30, 1993
Registration Statement
v Amendment No. 13 to
Registration Statement April 29, 1996
* Filed electronically April 24, 1996
C-1
<PAGE>
Item 25. Persons Controlled by or under Common Control with
Registrant
Inapplicable.
Item 26. Number of Holders of Securities
(1) (2)
Number of Record
Title of Class Holders (at 3/31/97)
Shares of
Beneficial Interest 422
Item 27. Indemnification
Article VI of Registrant's Master Trust Agreement provides: The
Trust shall indemnify (from the assets of the Sub-Trust or
Sub-Trusts in question) each of its Trustees and officers (including
persons who serve at the Trust's request as directors, officers or
trustees of another organization in which the Trust has any interest
as a shareholder, creditor or otherwise (hereinafter referred to as
a "Covered Person")) against all liabilities, including but not
limited to amounts paid in satisfaction of judgments, in compromise
or as fines and penalties, and expenses, including reasonable
accountants' and counsel fees, incurred by any Covered Person in
connection with the defense or disposition of any action, suit or
other proceeding, whether civil or criminal, before any court or
administrative or legislative body, in which such Covered Person may
be or may have been involved as a party or otherwise or with which
such person may be or may have been threatened, while in office or
thereafter, by reason of being or having been such a Trustee or
officer, director or trustee, except with respect to any matter as
to which it has been determined that such Covered Person had acted
with willful misfeasance, bad faith, gross negligence or reckless
disregard of the duties involved in the conduct of such Covered
Person's office (such conduct referred to hereafter as "Disabling
Conduct"). A determination that the Covered Person is entitled to
indemnification may be made by (i) a final decision on the merits by
a court or other body before whom the proceeding was brought that
the person to be indemnified was not liable by reason of Disabling
Conduct, (ii) dismissal of a court action or an administrative
proceeding against a Covered Person for insufficiency of evidence of
Disabling Conduct, or (iii) a reasonable determination, based upon a
review of the facts, that the indemnitee was not liable by reason of
Disabling Conduct by (a) a vote of a majority of a quorum of
Trustees who are neither "interested persons" of the Trust as
defined in section 2(a)(19) of the 1940 Act nor parties to the
proceeding, or (b) an independent legal counsel in a written
opinion.
C-2
<PAGE>
Item 28. Business and Other Connections of Investment Adviser
Describe any other business, profession, vocation or employment of a
substantial nature in which each investment adviser of the Registrant, and each
director, officer or partner of any such investment adviser, is or has been, at
any time during the past two fiscal years, engaged for his own account or in the
capacity of director, officer, employee, partner or trustee.
<TABLE>
<CAPTION>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
<S> <C> <C> <C>
State Street Investment Adviser Various investment Boston, MA
Research & advisory clients
Management
Company
Arpiarian, Tanya None
Vice President
Bangs, Linda L. None
Vice President
Bennett, Peter C. Vice President State Street Research Capital Trust Boston, MA
Director and Vice President State Street Research Exchange Trust Boston, MA
Executive Vice Vice President State Street Research Financial Trust Boston, MA
President Vice President State Street Research Growth Trust Boston, MA
Vice President State Street Research Master Investment Trust Boston, MA
Vice President State Street Research Equity Trust
Vice President State Street Research Income Trust Boston, MA
Director State Street Research Investment Services, Inc Boston, MA
Director Boston Private Bank & Trust Co. Boston, MA
President and Director Christian Camps & Conferences, Inc. Boston, MA
Chairman and Trustee Gordon College Wenham, MA
Bochman, Kathleen None
Vice President
Bray, Michael J. Employee Merrill Lynch & Co. Boston, MA
Vice President
Brown, Susan H. None
Vice President
Buffum, Andrea Project Manager BankBoston Boston, MA
Vice President (until 12/96)
Managing Director State Street Global Advisors Boston, MA
(until 12/95)
Burbank, John F. None
Senior Vice President
(Vice President until
7/96)
Cabrera, Jesus A. Vice President First Chicago Investment Management Co. Chicago, IL
Vice President (until 5/96)
Vice President State Street Research Capital Trust Boston, MA
Canavan, Joseph W. Assistant Treasurer State Street Research Equity Trust Boston, MA
Vice President Assistant Treasurer State Street Research Financial Trust Boston, MA
Assistant Treasurer State Street Research Income Trust Boston, MA
Assistant Treasurer State Street Research Money Market Trust Boston, MA
Assistant Treasurer State Street Research Tax-Exempt Trust Boston, MA
Assistant Treasurer State Street Research Capital Trust Boston, MA
Assistant Treasurer State Street Research Exchange Trust Boston, MA
Assistant Treasurer State Street Research Growth Trust Boston, MA
Assistant Treasurer State Street Research Master Investment Trust Boston, MA
Assistant Treasurer State Street Research Securities Trust Boston, MA
Assistant Controller State Street Research Portfolios, Inc. New York, NY
C-3
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Carmen, Michael Portfolio Manager Montgomery Asset Management San Francisco, CA
Vice President (until 11/96)
Vice President State Street Research & Management Company Boston, MA
(until 4/96)
Vice President State Street Research Capital Trust Boston, MA
Carstens, Linda C. None
Vice President
Clifford, Jr., Paul J. Vice President State Street Research Tax-Exempt Trust Boston, MA
Vice President
D'Vari, Ronald None
Vice President
DeVeuve, Donald None
Vice President
DiFazio, Susan M.W. Senior Vice President State Street Research Investment Services, Inc. Boston, MA
Vice President
Dillman, Thomas J Director of Research Bank of New York New York, NY
Senior Vice President (until 6/95)
Drake, Susan W. Vice President State Street Research Tax-Exempt Trust Boston, MA
Vice President (until 2/96)
Duggan, Peter J. None
Senior Vice
President
Evans, Gordon Senior Vice President State Street Research Investment Services, Inc. Boston, MA
Vice President (Vice President until 3/96)
Federoff, Alex G. None
Vice President
Feliciano, Rosalina None
Vice President
Gardner, Michael D. Partner Prism Group Seattle, WA
Senior Vice President
(Vice President until
6/95)
Geer, Bartlett R. Vice President State Street Research Equity Trust Boston, MA
Senior Vice President Vice President State Street Research Income Trust Boston, MA
Vice President State Street Research Securities Trust Boston, MA
Govoni, Electra None
Vice President
C-4
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Granger, Allison None
Vice President
Hamilton, Jr., William A. Treasurer and Director Ellis Memorial and Eldredge House Boston, MA
Senior Vice President Treasurer and Director Nautical and Aviation Publishing Company, Inc. Baltimore, MD
Treasurer and Director North Conway Institute Boston, MA
Hanson, Phyllis None
Vice President
Haverty, Jr., Lawrence J. None
Senior Vice President
Heineke, George R. None
Vice President
Jackson, Jr., Trustee Certain trusts of related and
F. Gardner non-related individuals
Senior Vice President Trustee and Chairman Vincent Memorial Hospital Boston, MA
of the Board
Jamieson, Frederick H. Vice President and Asst. Treasurer State Street Research Investment Services, Inc. Boston, MA
Senior Vice President Vice President and Asst. Treasurer SSRM Holdings, Inc. Boston, MA
(Vice President Vice President and Controller MetLife Securities, Inc. New York, NY
until 6/95) Assistant Treasurer State Street Research Energy, Inc. Boston, MA
Kallis, John H. Vice President State Street Research Financial Trust Boston, MA
Senior Vice President Vice President State Street Research Income Trust Boston, MA
Vice President State Street Research Money Market Trust Boston, MA
Vice President State Street Research Tax-Exempt Trust Boston, MA
Vice President State Street Research Securities Trust Boston, MA
Trustee 705 Realty Trust Washington, D.C.
Director and President K&G Enterprises Washington, D.C.
Kasper, M. Katherine None
Vice President
C-5
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Kluiber, Rudolph K. Vice President State Street Research Capital Trust Boston, MA
Vice President
Kobrick, Frederick R. Vice President State Street Research Equity Trust Boston, MA
Senior Vice Vice President State Street Research Capital Trust Boston, MA
President Vice President State Street Research Growth Trust Boston, MA
Member Harvard Business School Association Cambridge, MA
Member National Alumni Council, Boston University Boston, MA
Koski, Karen None
Vice President
Langholm, Knut None
Vice President
Leary, Eileen M. None
Vice President
McNamara, III, Francis J. Senior Vice President, Clerk State Street Research Investment Services, Inc. Boston, MA
Executive Vice and General Counsel
President, Secretary and General Counsel State Street Research Master Investment Trust Boston, MA
Secretary and Secretary and General Counsel State Street Research Capital Trust Boston, MA
General Counsel Secretary and General Counsel State Street Research Exchange Trust Boston, MA
(Senior Vice President Secretary and General Counsel State Street Research Growth Trust Boston, MA
until 7/96) Secretary and General Counsel State Street Research Securities Trust Boston, MA
Secretary and General Counsel State Street Research Equity Trust Boston, MA
Secretary and General Counsel State Street Research Financial Trust Boston, MA
Secretary and General Counsel State Street Research Income Trust Boston, MA
Secretary and General Counsel State Street Research Money Market Trust Boston, MA
Secretary and General Counsel State Street Research Tax-Exempt Trust Boston, MA
Secretary and General Counsel SSRM Holdings, Inc. Boston, MA
Clerk and Director State Street Research Energy, Inc. Boston, MA
C-6
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Maus, Gerard P. Treasurer State Street Research Equity Trust Boston, MA
Director, Executive Treasurer State Street Research Financial Trust Boston, MA
Vice President Treasurer State Street Research Income Trust Boston, MA
and Treasurer Treasurer State Street Research Money Market Trust Boston, MA
Treasurer State Street Research Tax-Exempt Trust Boston, MA
Treasurer State Street Research Capital Trust Boston, MA
Treasurer State Street Research Exchange Trust Boston, MA
Treasurer State Street Research Growth Trust Boston, MA
Treasurer State Street Research Master Investment Trust Boston, MA
Treasurer State Street Research Securities Trust Boston, MA
Director, Executive Vice President, State Street Research Investment Services, Inc. Boston, MA
Treasurer and Chief Financial Officer
Director and Treasurer State Street Research Energy, Inc. Boston, MA
Director Metric Holdings, Inc. San Francisco, CA
Director Certain wholly-owned subsidiaries
of Metric Holdings, Inc.
Treasurer and Chief Financial SSRM Holdings, Inc. Boston, MA
Officer
Treasurer MetLife Securities, Inc. New York, NY
Milder, Judith J. None
Senior Vice President
(Vice President
until 6/95)
Miller, Joan D. Senior Vice President State Street Research Investment Services, Inc. Boston, MA
Senior Vice President
(Vice President
until 7/96)
Moore, Jr., Thomas P. Vice President State Street Research Capital Trust Boston, MA
Senior Vice (until 11/96)
President Vice President State Street Research Exchange Trust Boston, MA
(until 2/97)
Vice President State Street Research Growth Trust Boston, MA
(until 2/97)
Vice President State Street Research Master Investment Trust Boston, MA
(until 2/97)
Vice President State Street Research Equity Trust Boston, MA
Vice President State Street Research Energy, Inc. Boston, MA
Director Hibernia Savings Bank Quincy, MA
Governor on the Association for Investment Management
Board of Governors and Research Charlottesville, VA
Mulligan, JoAnne C. Vice President State Street Research Money Market Trust Boston, MA
Senior Vice President
(Vice President
until 7/96)
Orr, Stephen C. Member Technology Analysts of Boston Boston, MA
Vice President Member Electro-Science Analysts (of NYC) New York, NY
C-7
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Paddon, Steven W. Employee Metropolitan Life Insurance Company New York, NY
Vice President (until 10/96)
Pannell, James C. None
Vice President
Peters, Kim M. Vice President State Street Research Securities Trust Boston, MA
Senior Vice President
Ragsdale, E.K. Easton None
Senior Vice President
(Vice President
until 7/96)
Rawlins, Jeffrey A. None
Senior Vice President
(Vice President
until 7/96)
Rice III, Daniel Joseph Vice President State Street Research Equity Trust Boston, MA
Senior Vice President
Richards, Scott None
Vice President
Romich, Douglas A. Assistant Treasurer State Street Research Equity Trust Boston, MA
Vice President Assistant Treasurer State Street Research Financial Trust Boston, MA
Assistant Treasurer State Street Research Income Trust Boston, MA
Assistant Treasurer State Street Research Money Market Trust Boston, MA
Assistant Treasurer State Street Research Tax-Exempt Trust Boston, MA
Assistant Treasurer State Street Research Capital Trust Boston, MA
Assistant Treasurer State Street Research Exchange Trust
Assistant Treasurer State Street Research Growth Trust Boston, MA
Assistant Treasurer State Street Research Master Investment Trust Boston, MA
Assistant Treasurer State Street Research Securities Trust Boston, MA
Assistant Controller State Street Research Portfolios, Inc. New York, NY
Saperstone, Paul None
Vice President
C-8
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Schrage, Michael None
Vice President
Schultz, David C. Director and Treasurer Mafraq Hospital Association Mafraq, Jordan
Executive Vice Member Association of Investment
President Management Sales Executives Atlanta, GA
Member, Investment Committee Lexington Christian Academy Lexington, MA
Shaver, Jr. C. Troy President and Chief Executive State Street Research Investment Services, Inc. Boston, MA
Executive Vice Officer
President President and Chief Executive John Hancock Funds, Inc. Boston, MA
Officer (until 1/96)
Shean, William G. None
Vice President
Shively, Thomas A. Vice President State Street Research Financial Trust Boston, MA
Director and Vice President State Street Research Money Market Trust Boston, MA
Executive Vice Vice President State Street Research Tax-Exempt Trust
President Director State Street Research Investment Services, Inc Boston, MA
Vice President State Street Research Securities Trust Boston, MA
Shoemaker, Richard D. None
Senior Vice President
Strelow, Dan R. None
Senior Vice President
C-9
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Swanson, Amy McDermott None
Senior Vice President
Trebino, Anne M. Vice President SSRM Holdings, Inc. Boston, MA
Senior Vice President
(Vice President
until 6/95)
Verni, Ralph F. Chairman, President, Chief State Street Research Capital Trust Boston, MA
Chairman, President, Executive Officer and Trustee
Chief Executive Chairman, President, Chief State Street Research Exchange Trust Boston, MA
Officer and Executive Officer and Trustee
Director Chairman, President, Chief State Street Research Growth Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Master Investment Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Securities Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Equity Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Financial Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Income Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Money Market Trust Boston, MA
Executive Officer and Trustee
Chairman, President, Chief State Street Research Tax-Exempt Trust Boston, MA
Executive Officer and Trustee
Chairman and Director State Street Research Investment Services, Inc. Boston, MA
(President and Chief Executive
Officer until 2/96)
President and Director State Street Research Energy, Inc. Boston, MA
Chairman and Director Metric Holdings, Inc. San Francisco, CA
Director and Officer Certain wholly-owned subsidiaries
of Metric Holdings, Inc.
Chairman of the Board and Director MetLife Securities, Inc. New York, NY
President, Chief Executive SSRM Holdings, Inc. Boston, MA
Officer and Director
Director CML Group, Inc. Boston, MA
Director Colgate University Hamilton, NY
C-10
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Wade, Dudley Vice President State Street Research Growth Trust Boston, MA
Freeman Vice President State Street Research Master Investment Trust Boston, MA
Senior Vice
President
Wallace, Julie K. None
Vice President
Ward, Geoffrey None
Senior Vice President
Weiss, James M. Vice President State Street Research Equity Trust Boston, MA
Senior Vice President Vice President State Street Research Exchange Trust Boston, MA
Vice President State Street Research Growth Trust Boston, MA
Vice President State Street Research Master Investment Trust Boston, MA
Vice President State Street Research Capital Trust Boston, MA
Chief Investment Officer IDS Equity Advisors Minneapolis, MN
(until 12/95)
Westvold, Vice President State Street Research Securities Trust Boston, MA
Elizabeth McCombs
Senior Vice President
(Vice President
until 7/96)
Wilson, John T. Vice President State Street Research Equity Trust Boston, MA
Vice President Vice President State Street Research Master Investment Trust Boston, MA
Vice President Phoenix Investment Counsel, Inc. Hartford, CT
(until 6/96)
Wing, Darman A. Senior Vice President and State Street Research Investment Services, Inc. Boston, MA
Vice President, Asst. Clerk (Vice President
Assistant Secretary until 6/95)
and Assistant Assistant Secretary State Street Research Capital Trust Boston, MA
General Counsel Assistant Secretary State Street Research Exchange Trust Boston, MA
Assistant Secretary State Street Research Growth Trust Boston, MA
Assistant Secretary State Street Research Master Investment Trust Boston, MA
Assistant Secretary State Street Research Securities Trust Boston, MA
Assistant Secretary State Street Research Equity Trust Boston, MA
Assistant Secretary State Street Research Financial Trust Boston, MA
Assistant Secretary State Street Research Income Trust Boston, MA
Assistant Secretary State Street Research Money Market Trust Boston, MA
Assistant Secretary State Street Research Tax-Exempt Trust Boston, MA
Assistant Secretary SSRM Holdings, Inc. Boston, MA
Woodbury, Robert S. Employee Metropolitan Life Insurance Company New York, NY
Vice President
Woodworth, Jr., Kennard Vice President State Street Research Exchange Trust Boston, MA
Senior Vice Vice President State Street Research Growth Trust Boston, MA
President (until 2/96)
C-11
<PAGE>
Principal business
Name Connection Organization address of organization
- ---- ---------- ------------ -----------------------
Wu, Norman N. Partner Atlantic-Acton Realty Framingham, MA
Senior Vice President Director Bond Analysts Society of Boston Boston, MA
</TABLE>
C-12
<PAGE>
Item 29. Principal Underwriters
Inapplicable.
Item 30. Location of Accounts and Records
Gerard P. Maus
State Street Research & Management Company
One Financial Center
Boston, MA 02111
Item 31. Management Services
Inapplicable.
Item 32. Undertakings
(a) Inapplicable
(b) Inapplicable
(c) The Registrant has elected to include the information
required by Item 5A of Form N-1A in its annual report to
shareholders. The Registrant undertakes to furnish each
person to whom a Statement of Additional Information is
delivered with a copy of the Registrant's latest annual
report to shareholders, upon request and without charge.
C-13
<PAGE>
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940,
the Registrant has duly caused this Registration Statement to be signed on its
behalf by the undersigned, thereunto duly authorized, in the City of Boston, and
Commonwealth of Massachusetts, on the 30th day of April, 1997.
STATE STREET RESEARCH EXCHANGE TRUST
Registrant
By /s/Francis J. McNamara, III
------------------------------
Francis J. McNamara, III
Secretary
Exhibit (11)
CONSENT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees of
State Street Research Exchange Trust
We consent to the inclusion in Amendment No. 14 to the Registration
Statement of the State Street Research Exchange Trust on Form N-1A (1940 Act
File No. 811-4256) of our report dated February 7, 1997 on our audit of the
financial statements and the financial highlights of State Street Research
Exchange Fund, which report is included in the Annual Report to Shareholders for
the year ended December 31, 1996, which report is also included in the
Registration Statement. We also consent to the reference to our Firm under the
caption "Investment Advisory and Other Services" in the Registration Statement.
/s/ Coopers & Lybrand L.L.P.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
April 30, 1997
Exhibit (12)
STATE STREET RESEARCH EXCHANGE FUND
INVESTMENT PORTFOLIO
December 31, 1996
Value
Shares (Note 1)
-------------------------------- --------- -------------
COMMON STOCKS 98.0
Basic Industries 12.8%
Chemicals 6.8%
Dow Chemical Co. 60,000 $ 4,702,500
E.I. Du Pont De Nemours & Co. 68,500 6,464,688
Monsanto Co. 193,500 7,522,312
-------------
18,689,500
-------------
Electrical Equipment 2.2%
General Electric Co. 32,495 3,212,943
General Signal Corp. 70,372 3,008,403
-------------
6,221,346
-------------
Forest Product 0.7%
Georgia-Pacific Corp. 26,251 1,890,072
-------------
Machinery 3.1%
Caterpillar Inc. 58,400 4,394,600
Millipore Corp. 99,400 4,112,675
-------------
8,507,275
-------------
Total Basic Industries 35,308,193
-------------
Consumer Cyclical 7.2%
Automotive 1.0%
General Motors Corp. 50,000 2,787,500
-------------
Recreation 3.1%
Tele-Communications Liberty
Media Group, Inc. Cl. A* 31,899 911,115
Walt Disney Co. 112,283 7,817,704
-------------
8,728,819
-------------
Retail Trade 3.1%
Dayton Hudson Corp. 150,552 5,909,166
Wal-Mart Stores, Inc. 111,600 2,552,850
-------------
8,462,016
-------------
Total Consumer Cyclical 19,978,335
-------------
Consumer Staple 31.3%
Drug 10.0%
American Home Products Corp. 103,472 6,066,046
Merck & Company, Inc. 117,259 9,292,776
Novartis AG ADR* 92,693 5,291,412
Pfizer Inc. 83,800 6,944,925
-------------
27,595,159
-------------
Food & Beverage 7.1%
Anheuser-Busch Companies, Inc. 112,600 4,504,000
Coca-Cola Co. 207,535 10,921,529
General Mills Inc. 69,200 4,385,550
-------------
19,811,079
-------------
Hospital Supply 5.6%
Columbia/HCA Healthcare Corp. 44,550 $ 1,815,412
Johnson & Johnson 272,992 13,581,352
-------------
15,396,764
-------------
Personal Care 5.7%
Gillette Co. 118,200 9,190,050
Procter & Gamble Co. 61,600 6,622,000
-------------
15,812,050
-------------
Tobacco 2.9%
Philip Morris Companies, Inc. 71,300 8,030,163
-------------
Total Consumer Staple 86,645,215
-------------
Energy 10.9%
Oil 8.1%
Amoco Corp. 71,032 5,718,076
Exxon Corp. 85,068 8,336,664
Mobil Corp. 68,400 8,361,900
-------------
22,416,640
-------------
Oil Service 2.8%
Halliburton Co. 35,012 2,109,473
Schlumberger Ltd. 54,619 5,455,073
-------------
7,564,546
-------------
Total Energy 29,981,186
-------------
Finance 11.4%
Bank 4.7%
Banc One Corp. 55,902 2,403,786
BankAmerica Corp. 68,400 6,822,900
Chase Manhattan Corp. 41,576 3,710,658
-------------
12,937,344
-------------
Financial Service 4.4%
American Express Co. 141,591 7,999,891
Federal National Mortgage
Association 110,400 4,112,400
-------------
12,112,291
-------------
Insurance 2.3%
General Re Corp. 40,941 6,458,443
-------------
Total Finance 31,508,078
-------------
Science & Technology 23.3%
Aerospace 6.5%
Boeing Co. 65,900 7,010,112
Raytheon Co. 225,742 10,863,834
-------------
17,873,946
-------------
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATE STREET RESEARCH EXCHANGE FUND
Value
Shares (Note 1)
-------------------------------- --------- -------------
Computer Software & Service 3.8%
First Data Corp. 65,338 $ 2,384,837
Microsoft Corp.* 99,500 8,221,188
-------------
10,606,025
-------------
Electronic Components 1.3%
AMP Inc. 96,000 3,684,000
-------------
Electronic Equipment 5.5%
L.M. Ericsson Telephone Co. ADR
Cl. B* 152,460 4,602,386
Lucent Technologies Inc.* 90,522 4,186,643
Motorola Inc. 50,600 3,105,575
Perkin-Elmer Corp. 58,000 3,414,750
-------------
15,309,354
-------------
Office Equipment 6.2%
Hewlett-Packard Co. 160,000 8,040,000
International Business Machines
Corp. 59,800 9,029,800
-------------
17,069,800
-------------
Total Science & Technology 64,543,125
-------------
Utility 1.1%
Telephone 1.1%
AirTouch Communications Inc.* 123,800 3,125,950
-------------
Total Utility 3,125,950
-------------
Total Common Stocks (Cost $90,335,478) 271,090,082
-------------
Principal Maturity Value
Amount Date (Note 1)
- - --------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS 3.6%
American General Finance Corp.,
6.15% $9,913,000 1/02/1997 9,913,000
Ford Motor Credit Co., 5.80% 120,000 1/07/1997 120,000
--------------
Total Short-Term Obligations (Cost $10,033,000) 10,033,000
--------------
Total Investments (Cost $100,368,478)--101.6% 281,123,082
Cash and Other Assets, Less Liabilities--(1.6%) (4,398,754)
--------------
Net Assets--100.0% $276,724,328
==============
Federal Income Tax Information:
At December 31, 1996, the net unrealized appreciation
of investments based on cost for Federal income tax
purposes of $87,311,334 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $193,922,713
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (110,965)
---------------
$193,811,748
===============
* Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of
foreign securities.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STATE STREET RESEARCH EXCHANGE FUND
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
Assets
Investments, at value (Cost $100,368,478) (Note 1) $281,123,082
Cash 20,027
Dividends and interest receivable 320,359
Other assets 18,877
--------------
281,482,345
Liabilities
Federal income tax payable 2,598,359
Dividends payable 1,419,088
Accrued management fee (Note 2) 345,421
Capital gain distribution payable 302,124
Payable for fund shares redeemed 27,153
Accrued trustees' fees (note 2) 8,480
Accrued transfer agent and shareholder services (Note 2) 7,189
Other accrued expenses 50,203
--------------
4,758,017
--------------
Net Assets $276,724,328
==============
Net Assets consist of:
Undistributed net investment income $ 77,382
Unrealized appreciation of investments 180,754,604
Shares of beneficial interest 95,892,342
--------------
$276,724,328
==============
Net Asset Value per share ($276,724,328 / 847,083 shares
of beneficial interest) $326.68
==============
STATEMENT OF OPERATIONS
For the year ended December 31, 1996
Investment Income
Dividends, net of foreign taxes of $19,559 $ 4,703,149
Interest 260,552
--------------
4,963,701
Expenses
Management fee (Note 2) 1,281,051
Custodian fee 70,511
Trustees' fees (Note 2) 32,519
Audit fee 25,286
Transfer agent and shareholder services (Note 2) 21,429
Reports to shareholders 15,258
Legal fees 5,707
Miscellaneous 21,339
--------------
1,473,100
--------------
Net investment income 3,490,601
--------------
Realized and Unrealized Gain on Investments
Net realized gain on investments (Notes 1 and 3) 15,724,519
Provision for federal income tax (2,598,359)
--------------
13,126,160
Net unrealized appreciation of investments 40,186,634
--------------
Net gain on investments 53,312,794
--------------
Net increase in net assets resulting from operations $56,803,395
==============
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH EXCHANGE FUND
STATEMENT OF CHANGES IN NET ASSETS
Year ended December 31
-------------------------------
1996 1995
--------------------------------- --------------- ---------------
Increase (Decrease) in Net Assets
Operations:
Net investment income $ 3,490,601 $ 3,205,778
--------------- ---------------
Net realized gain on investments* 15,724,519 26,724,341
Provision for federal income tax (2,598,359) (4,069,573)
--------------- ---------------
13,126,160 22,654,768
--------------- ---------------
Net unrealized appreciation of
investments 40,186,634 33,669,225
--------------- ---------------
Net increase resulting from
operations 56,803,395 59,529,771
--------------- ---------------
Dividends from net investment
income (3,498,914) (3,378,495)
--------------- ---------------
Distributions from net realized
gains (432,035) (236,946)
--------------- ---------------
Share transactions:
Net asset value of shares issued
in payment of:
Distributions from net
realized gains 130,117 80,260
Dividends from net
investment income 333,745 847,325
Cost of shares repurchased (10,034,082) (18,569,970)
--------------- ---------------
Net decrease from fund share
transactions (9,570,220) (17,642,385)
--------------- ---------------
Total increase in net assets 43,302,226 38,271,945
Net Assets
Beginning of year 233,422,102 195,150,157
--------------- ---------------
End of year (including
undistributed net investment
income of $77,382 and $85,983,
respectively) $276,724,328 $233,422,102
=============== ===============
Number of shares:
Issued upon reinvestment of:
Distributions from net
realized gains 398 302
Dividends from net
investment income 934 3,354
Repurchased (33,611) (80,284)
--------------- ---------------
Net decrease in fund shares (32,279) (76,628)
--------------- ---------------
*Net realized gain for Federal
income tax purposes
(Note 1) $ 7,855,919 $ 11,864,297
=============== ===============
NOTES TO FINANCIAL STATEMENTS
December 31, 1996
Note 1
State Street Research Exchange Fund (the "Fund"), is a series of State Street
Research 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. The Trust was organized in February,
1989 as a successor to State Street Exchange Fund, Inc., a Massachusetts
corporation. The Fund is presently the only series of the Trust.
The investment objective of the Fund is to provide long-term growth of capital
and, secondarily, long-term growth of income. In seeking to achieve its
investment objective, the Fund invests primarily in common stocks, or securities
convertible into common stocks, that have long-term growth potential.
The following significant policies are consistently followed by the Fund in
preparing 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
reported on the basis of average cost of securities delivered.
B. Federal Income Taxes
No provision for Federal income taxes is necessary with respect to net
investment income since the Fund has elected to qualify under Subchapter M of
the Internal Revenue Code and its policy is to distribute 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
Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized short-term capital gains, if any, are distributed
annually.
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
STATE STREET RESEARCH EXCHANGE FUND
NOTES (cont'd)
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles. The difference is primarily due to differing
treatments for nontaxable redemptions in kind and the disposition of
securities that have different bases for financial reporting and tax
purposes. The permanent book and tax basis difference relating to shareholder
distributions will result in reclassifications to shares of beneficial
interest.
D. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
Note 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into a contract that provides for an annual
fee equal to 0.50% of the Fund's average daily net assets. In consideration
of these fees, the Adviser furnishes the Fund with management, investment
advisory, statistical and research facilities and services. The Adviser also
pays all salaries, rent and certain other expenses of management. During the
year ended December 31, 1996, the fees pursuant to such agreement amounted to
$1,281,051.
State Street Research Shareholder Services, a division of State Street
Research Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. During the year ended December 31, 1996, the amount of
such expenses was $3,680.
The fees of the Trustees not currently affiliated with the Adviser amounted
to $32,519 during the year ended December 31, 1996.
Note 3
For the year ended December 31, 1996, exclusive of short-term investments and
U.S. Government obligations, purchases and sales of securities, including
$9,473,298 representing redemptions in kind, aggregated $13,559,897 and
$33,028,031, respectively.
Note 4
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
At December 31, 1996, the Adviser owned 13,766 shares of the Fund.
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each year:
<TABLE>
<CAPTION>
Year ended December 31
----------------------------------------------------------
1996 1995 1994 1993 1992
- - --------------------------------------------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $265.44 $204.13 $205.81 $205.98 $198.84
Net investment income 4.09 3.63 3.79 3.47 3.28
Net realized and unrealized gain (loss) on
investments* 61.76 61.75 (1.67) (0.24) 7.06
Dividends from net investment income (4.10) (3.80) (3.80) (3.40) (3.20)
Distributions from net realized gains (0.51) (0.27) -- -- --
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $326.68 $265.44 $204.13 $205.81 $205.98
=========== =========== =========== =========== ===========
Total return 26.06% 34.44% 3.44% 4.88% 6.75%
Net assets at end of year (000s) $276,724 $233,422 $195,150 $206,153 $209,922
Ratio of operating expenses to average net assets 0.57% 0.58% 0.57% 0.62% 0.59%
Ratio of net investment income to average net
assets 1.36% 1.49% 1.80% 1.65% 1.63%
Portfolio turnover rate 5.39% 11.67% 16.31% 22.10% 10.68%
Average commission rate@ $0.03 -- -- -- --
*After provision for Federal tax on retained
capital gains at end of year of $3.07 $4.64 $4.88 $6.79 $2.94
</TABLE>
@ For fiscal years beginning on or after January 1, 1996, the Fund is
required to disclose its average commission rate per share paid for
security trades.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of State Street Research Exchange Trust
and Shareholders of State Street Research Exchange Fund:
We have audited the accompanying statement of assets and liabilities of State
Street Research Exchange Fund, including the schedule of portfolio
investments, as of December 31, 1996, and the related statement of operations
for the year then ended, the statement of changes in net assets for each of
the two years in the period then ended, and the financial highlights for each
of the five years in the period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements.
Our procedures included confirmation of securities owned as of December 31,
1996 by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
State Street Research Exchange Fund as of December 31, 1996, the results of
its operations for the year then ended, the changes in its net assets for
each of the two years in the period then ended, and the financial highlights
for each of the five years in the period then ended, in conformity with
generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Boston, Massachusetts
February 7, 1997
8
<PAGE>
STATE STREET RESEARCH EXCHANGE FUND
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
State Street Research Exchange Fund had a good year in 1996, in line with
generally strong performance in U.S. equity markets. The Fund outperformed
both the S&P 500 and the average return for funds in Lipper Analytical
Services' Growth and Income Funds category.
Stocks in general did better than expected in 1996, with large-capitalization,
high-quality growth companies turning in the best results. This trend benefited
the Fund, which is composed primarily of high-quality names.
Fund management increased the Fund's emphasis on income by favoring stocks
that pay dividends.
Energy stocks--which accounted for about 11% of the portfolio--did well due
to the combination of industry restructuring and generally higher commodity
prices. Financial stocks had good returns, especially at the end of the year.
The Fund also participated in the growth of the technology sector. The
consumer staples sector, which Fund management typically considers to be a
repository of solid growth companies and represents a significant portion of
the Fund, did not help the portfolio this year.
December 31, 1996
All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate and shares, when redeemed, may be worth more or less
than their original cost. All returns assume reinvestment of capital gain
distributions and income dividends. The Standard & Poor's 500 Composite Index
(S&P 500) includes 500 widely traded common stocks and is a commonly used
measure of U.S. stock market performance. The index is unmanaged. Direct
investment in the index is not possible; results are for illustrative
purposes only.
Change In Value Of $10,000 Based On
The S&P 500 Compared To Change In Value
Of $10,000 Invested In Exchange Fund
- - ----------------------------------------
Average Annual Total Return
- - ----------------------------------------
1 Year 5 Years 10 Years
- - ----------------------------------------
+26.06% +14.44% +14.82
- - ----------------------------------------
[line chart]
Exchange Fund S&P 500
12/86 10,000 10,000
12/87 10,565 10,525
12/88 12,452 12,268
12/89 16,699 16,149
12/90 15,610 15,647
12/91 20,289 20,403
12/92 21,658 21,956
12/93 22,716 24,164
12/94 23,497 24,481
12/95 31,591 33,670
12/96 39,823 41,396
9
Exhibit (17)
First Amended and Restated
Multiple Class Expense Allocation Plan
WHEREAS, State Street Research Exchange Trust, an unincorporated
association of the type commonly known as a business trust organized under the
laws of the Commonwealth of Massachusetts (the "Trust"), engages in business as
an open-end management investment company and is registered as such under the
Investment Company Act of 1940, as amended (the "Act");
WHEREAS, the Trust (i) is authorized to issue shares of beneficial
interest ("Shares") in separate series, with the Shares of each such series
representing the interests in a separate portfolio of securities and other
assets, and (ii) is or may be authorized to divide the Shares within each such
series into two or more classes;
WHEREAS, the Trust has established one or more portfolio series as of
the date hereof (such portfolios being referred to collectively herein as the
"Initial Series", such series, together with all other series subsequently
established by the Trust and made subject to this Plan, being referred to herein
individually as a "Series" and collectively as the "Series"), and such Series,
and Series of affiliated investment companies, have or may establish classes
thereof designated as "Class A," "Class B," "Class C," "Class D" and "Class E"
shares;
WHEREAS, prior to the adoption of Rule 18f-3 by the Securities and
Exchange Commission the Trust received an Order from the Securities and Exchange
Commission under Section 6(c) of the Act for an exemption from Sections
2(a)(32), 2(a)(35), 18(f), 18(g), 18(i), 22(c) and 22(d) of the Act and Rule
22c-1 thereunder to permit the Trust to issue multiple classes of shares
representing interests in the same portfolio of securities, assess a contingent
deferred sales charge ("CDSC") on certain redemptions of shares, and waive the
CDSC in certain cases; and
WHEREAS, the Trustees have determined to operate under Rule 18f-3 and
pursuant to such Rule the Board of Trustees as a whole, and the Trustees who are
not interested persons of the Trust (as defined in the Act) (the "Qualified
Trustees"), having determined in the exercise of their reasonable business
judgment this Plan is in the best interest of each class of the Initial Series
individually and the Initial Series as a whole, have accordingly approved this
Plan.
NOW, THEREFORE, Trust hereby adopts this Plan in accordance with Rule
18f-3 under the Act, on the following terms and conditions:
1. Class Differences. Each class of Shares of each Initial Series shall
represent interests in the same portfolio of investments of Initial Series and
shall be identical in all respects, and except as otherwise set forth in this
Plan, shall differ solely with respect to: (i) arrangements for shareholder
services or the distribution of Shares, or both, as provided for in Sections 2
and 3 of this Plan; (ii) the exclusive right of a Class to vote on certain
matters relating to the Plan of Distribution Pursuant to Rule 12b-1 adopted by
the Trust with respect to such Class; (iii) such differences relating to
purchase minimums, sales charges and eligible investors as may be set forth in
the Prospectuses and Statement of Additional Information of the Initial Series,
as the same may be amended or supplemented from time to time (the "Prospectuses"
and "SAI"); (iv) the different exchange privileges of the classes of Shares; (v)
the fact that only certain classes will have a conversion feature; and (iv) the
designation of each Class of shares.
2. Differences in Distribution and Shareholder Services. Each
Class of Shares of the Initial Series shall have a different arrangement for
shareholder services or the distribution of Shares, or both, as follows:
Class A Shares shall be sold subject to a front-end sales
charge as set forth in the Prospectuses and SAI with respect to the applicable
Initial Series. Class A, Class B and Class D Shares shall be sold subject to a
contingent deferred sales charge as set forth in the Prospectuses and SAI with
respect to the applicable Initial Series. Class A, B and D Shares shall be
subject to a service fee of up to 0.25% of the nets assets of the Initial Series
allocable to such Class of Shares. Class B and D Shares shall also be subject to
an annual distribution fee of up to 0.75% of the nets assets of the Initial
Series allocable to such Class of Shares. Such service and distribution fees may
be used to finance activities in accordance with Rule 12b-1 under the Act and
the Plan of Distribution pursuant to Rule 12b-1 adopted by the Trust.
3. Allocation of Expenses. Expenses of the Series shall be
allocated as follows:
(a) Class Expenses. Expenses relating to different
arrangements for shareholder services or the distribution of Shares, or both,
shall be allocated to and paid by that class. A class may pay a different share
of other expenses, not including advisory or custodial fees or other expenses
related to the management of a Series' assets, if such expenses are actually
incurred in a different amount by that class, or if the class receives services
of a different kind or to a different degree than other classes.
(b) Other Allocations. All expenses of the Series not
allocated to a particular class pursuant to Sections 2 and 3(a) of this Plan
shall be allocated to each class on the basis of the net asset value of that
class in relation to the net asset value of the Series or on the basis of the
Dividend Assets of that class in relation to the aggregate Dividend Assets of
the Series for periodic income distribution funds and daily income distributions
funds, respectively. "Dividend Assets" are defined as the net asset value of
those shares eligible to receive a dividend on the current day as set forth in
the Fund's prospectus. Notwithstanding the foregoing, the underwriter, adviser,
or other provider of services to a Series may waive or reimburse the expenses of
a specific class or classes to the extent permitted under Rule 18f-3 under the
Act; provided, however, that the Board shall monitor the use of such waivers or
reimbursements intended to differ by class.
4. Term and Termination.
(a) Initial Series. This Plan shall become effective with
respect to the multiple classes, if any, of the Initial Series as of May 5,
1995, and shall continue in effect with respect to each Class of Shares of the
Initial Series (subject to Section 4(c) hereof) until terminated in accordance
with the provisions of Section 4(c) hereof.
(b) Additional Series or Classes. This Plan shall become
effective with respect to any class of the Initial Series other than Class A,
Class B, Class C, Class D, and Class E, and with respect to each additional
Series or class thereof established by the Trust after the date hereof and made
subject to this Plan, upon commencement of operations thereof or as otherwise
determined, and shall continue in effect with respect to each such additional
Series or class (subject to Section 4(c) hereof) until terminated in accordance
with the provisions of Section 4(c) hereof. An addendum hereto setting forth
such specific and different terms of such additional series of classes shall be
attached to this Plan.
(c) Termination. This Plan may be terminated at any time with
respect to the Trust or any Series or class thereof, as the case may be, by vote
of a majority of both the Trustees of the Trust and the Qualified Trustees. The
Plan may remain in effect with respect to a Series or class thereof even if it
has been terminated in accordance with this Section 4(e) with respect to such
Series or class or one or more other Series of the Trust.
5. Amendments. Any material amendment to this Plan shall require
the affirmative vote of a majority of both the Trustees of the Trust and the
Qualified Trustees.
Dated: May 8, 1996
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000766768
<NAME> STATE STREET RESEARCH EXCHANGE TRUST
<SERIES>
<NUMBER> 01
<NAME> STATE STREET RESEARCH EXCHANGE FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 100,368,478
<INVESTMENTS-AT-VALUE> 281,123,082
<RECEIVABLES> 320,359
<ASSETS-OTHER> 38,904
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 281,482,345
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,758,017
<TOTAL-LIABILITIES> 4,758,017
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 95,892,342
<SHARES-COMMON-STOCK> 847,083
<SHARES-COMMON-PRIOR> 879,362
<ACCUMULATED-NII-CURRENT> 77,382
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 180,754,604
<NET-ASSETS> 276,724,328
<DIVIDEND-INCOME> 4,703,149
<INTEREST-INCOME> 260,552
<OTHER-INCOME> 0
<EXPENSES-NET> 1,473,100
<NET-INVESTMENT-INCOME> 3,490,601
<REALIZED-GAINS-CURRENT> 13,126,160
<APPREC-INCREASE-CURRENT> 40,186,634
<NET-CHANGE-FROM-OPS> 56,803,395
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,498,914)
<DISTRIBUTIONS-OF-GAINS> (432,035)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (33,611)
<SHARES-REINVESTED> 1,332
<NET-CHANGE-IN-ASSETS> 43,302,226
<ACCUMULATED-NII-PRIOR> 85,983
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,281,051
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,473,100
<AVERAGE-NET-ASSETS> 256,210,000
<PER-SHARE-NAV-BEGIN> 265.44
<PER-SHARE-NII> 4.09
<PER-SHARE-GAIN-APPREC> 61.76
<PER-SHARE-DIVIDEND> (4.10)
<PER-SHARE-DISTRIBUTIONS> (0.51)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 326.68
<EXPENSE-RATIO> 0.57
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
