<PAGE>
STANDARD AND POOR'S DEPOSITARY RECEIPTSTM ("SPDRS")TM
SPDR TRUST SERIES 1
A UNIT INVESTMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1996
"S&P", "S&P 500", "Standard & Poor's", "Standard & Poor's Depositary
Receipts", and "SPDRs" are trademarks of McGraw-Hill, Inc. and have been
licensed for use by PDR Services Corporation and the American Stock Exchange,
Inc. The Trust, however, is not sponsored by or affiliated with Standard &
Poor's Corporation or McGraw-Hill, Inc.
<PAGE>
SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
3Com Corp. * . . . . . . . . . . . . . . . . . . 62,132 $ 4,558,935
Abbott Lab.. . . . . . . . . . . . . . . . . . . 276,766 14,045,874
Advanced Micro Devices, Inc. * . . . . . . . . . 47,746 1,229,460
Aetna, Inc.. . . . . . . . . . . . . . . . . . . 53,756 4,300,480
Ahmanson (H.F.) & Co.. . . . . . . . . . . . . . 37,559 1,220,668
Air Products & Chemicals, Inc. . . . . . . . . . 39,712 2,745,092
Airtouch Communications, Inc. * . . . . . . . . 178,479 4,506,595
Alberto-Culver Co., Class B . . . . . . . . . . 10,103 484,944
Albertson's, Inc.. . . . . . . . . . . . . . . . 90,093 3,209,563
Alcan Aluminum Ltd.. . . . . . . . . . . . . . . 80,727 2,714,445
Alco Standard Corp.. . . . . . . . . . . . . . . 45,675 2,357,972
Alexander & Alexander Services, Inc. . . . . . . 16,027 278,469
Allegheny Teledyne, Inc. . . . . . . . . . . . . 62,446 1,436,258
Allergan Pharmaceuticals, Inc. . . . . . . . . . 22,689 808,296
Allied Signal, Inc.. . . . . . . . . . . . . . . 101,065 6,771,355
Allstate Corp. . . . . . . . . . . . . . . . . . 158,684 9,183,836
Alltel Corp. . . . . . . . . . . . . . . . . . . 67,173 2,107,553
Aluminum Co. of America. . . . . . . . . . . . . 62,629 3,992,599
Alza Corp., Class A *. . . . . . . . . . . . . . 29,649 767,168
Amdahl Corp. * . . . . . . . . . . . . . . . . . 43,506 527,510
Amerada Hess Corp. . . . . . . . . . . . . . . . 32,980 1,908,717
American Brands, Inc.. . . . . . . . . . . . . . 60,935 3,023,899
American Electric Power Co., Inc. . . . . . . . 66,536 2,736,293
American Express Co. . . . . . . . . . . . . . . 169,584 9,581,496
American General Corp. . . . . . . . . . . . . . 72,490 2,963,029
American Greetings Corp., Class A . . . . . . . 27,030 766,976
American Home Products Corp. . . . . . . . . . . 226,576 13,283,018
American International Group, Inc. . . . . . . . 167,717 18,155,365
American Stores Co.. . . . . . . . . . . . . . . 53,037 2,167,887
Ameritech Corp.. . . . . . . . . . . . . . . . . 196,383 11,905,719
Amgen, Inc. *. . . . . . . . . . . . . . . . . . 94,937 5,162,199
Amoco Corp.. . . . . . . . . . . . . . . . . . . 177,542 14,292,131
AMP, Inc.. . . . . . . . . . . . . . . . . . . . 78,308 3,005,069
AMR Corp. *. . . . . . . . . . . . . . . . . . . 31,318 2,759,899
Andrew Corp. * . . . . . . . . . . . . . . . . . 21,492 1,140,419
Anheuser-Busch Cos., Inc.. . . . . . . . . . . . 177,254 7,090,160
Aon Corp.. . . . . . . . . . . . . . . . . . . . 38,924 2,418,153
Apple Computer, Inc. . . . . . . . . . . . . . . 44,461 928,123
Applied Materials, Inc. *. . . . . . . . . . . . 64,369 2,313,261
Archer-Daniels-Midland Co. . . . . . . . . . . . 195,106 4,292,332
Armco, Inc. *. . . . . . . . . . . . . . . . . . 39,136 161,436
Armstrong World Industries, Inc. . . . . . . . . 12,953 900,234
ASARCO, Inc. . . . . . . . . . . . . . . . . . . 15,154 376,956
Ashland, Inc.. . . . . . . . . . . . . . . . . . 23,020 1,010,003
AT & T Corp. . . . . . . . . . . . . . . . . . . 576,964 25,097,934
Atlantic Richfield Co. . . . . . . . . . . . . . 57,462 7,613,715
Autodesk, Inc. . . . . . . . . . . . . . . . . . 16,023 448,644
Automatic Data Processing, Inc. . . . . . . . . 103,525 4,438,634
Autozone, Inc. * . . . . . . . . . . . . . . . . 50,600 1,391,500
Avery Dennison Corp. . . . . . . . . . . . . . . 38,360 1,356,985
Avon Products, Inc.. . . . . . . . . . . . . . . 47,902 2,736,402
Baker Hughes, Inc. . . . . . . . . . . . . . . . 51,646 1,781,787
Ball Corp. . . . . . . . . . . . . . . . . . . . 10,985 285,610
Baltimore Gas & Electric Co. . . . . . . . . . . 52,185 1,395,949
Banc One Corp. . . . . . . . . . . . . . . . . . 152,316 6,549,588
Bank of Boston Corp. . . . . . . . . . . . . . . 54,585 3,507,086
Bank of New York, Inc. . . . . . . . . . . . . . 139,473 4,707,214
BankAmerica Corp.. . . . . . . . . . . . . . . . 127,867 12,754,733
Bankers Trust Co. (N.Y.) . . . . . . . . . . . . 28,247 2,436,304
Bard (C.R.), Inc.. . . . . . . . . . . . . . . . 20,369 570,332
Barnett Banks, Inc.. . . . . . . . . . . . . . . 67,851 2,790,372
Barrick Gold Corp. . . . . . . . . . . . . . . . 126,673 3,641,849
Battle Mountain Gold Co. . . . . . . . . . . . . 79,040 543,400
Bausch & Lomb, Inc.. . . . . . . . . . . . . . . 20,715 725,025
Baxter International, Inc. . . . . . . . . . . . 97,254 3,987,414
Bay Networks, Inc. * . . . . . . . . . . . . . . 66,528 1,388,772
Becton, Dickinson & Co.. . . . . . . . . . . . . 45,016 1,952,569
Bell Atlantic Corp.. . . . . . . . . . . . . . . 156,579 10,138,490
BellSouth Corp.. . . . . . . . . . . . . . . . . 353,960 14,291,135
Bemis Co., Inc.. . . . . . . . . . . . . . . . . 18,778 692,439
Beneficial Corp. . . . . . . . . . . . . . . . . 19,241 1,219,398
Bethlehem Steel Corp. *. . . . . . . . . . . . . 37,947 341,523
Beverly Enterprises, Inc. * . . . . . . . . . . 33,173 422,956
Biomet, Inc. . . . . . . . . . . . . . . . . . . 41,956 634,585
Black & Decker Corp. . . . . . . . . . . . . . . 31,502 948,998
Block (H&R), Inc.. . . . . . . . . . . . . . . . 37,392 1,084,368
Boatmen's Bancshares, Inc. . . . . . . . . . . . 55,148 3,557,046
Boeing Co. . . . . . . . . . . . . . . . . . . . 127,325 13,544,152
Boise Cascade Corp.. . . . . . . . . . . . . . . 16,698 530,162
Boston Scientific Corp. *. . . . . . . . . . . . 63,247 3,794,820
Briggs & Stratton Corp.. . . . . . . . . . . . . 10,589 465,916
Bristol-Myers Squibb Co. . . . . . . . . . . . . 178,826 19,447,327
Brown-Forman Corp., Class B . . . . . . . . . . 25,069 1,146,907
Browning-Ferris Industries, Inc. . . . . . . . . 76,446 2,006,707
Brunswick Corp.. . . . . . . . . . . . . . . . . 35,079 841,896
Burlington Northern Santa Fe . . . . . . . . . . 54,150 4,677,206
Burlington Resources, Inc. . . . . . . . . . . . 44,818 2,257,707
Cabletron Systems, Inc. *. . . . . . . . . . . . 52,654 1,750,746
Caliber System, Inc. . . . . . . . . . . . . . . 14,199 273,331
Campbell Soup Co.. . . . . . . . . . . . . . . . 83,911 6,733,858
Carolina Power & Light Co. . . . . . . . . . . . 54,394 1,985,381
Case Corp. . . . . . . . . . . . . . . . . . . . 25,824 1,407,408
Caterpillar, Inc.. . . . . . . . . . . . . . . . 68,241 5,135,135
Centex Corp. . . . . . . . . . . . . . . . . . . 10,311 387,951
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
1
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SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
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COMMON STOCKS SHARES VALUE
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Central & South West Corp. . . . . . . . . . . . 75,146 $ 1,925,616
Ceridian Corp. * . . . . . . . . . . . . . . . . 24,182 979,371
Champion International Corp. . . . . . . . . . . 34,155 1,477,204
Charming Shoppes, Inc. * . . . . . . . . . . . . 38,180 193,286
Chase Manhattan Corp.. . . . . . . . . . . . . . 155,978 13,921,036
Chevron Corp.. . . . . . . . . . . . . . . . . . 233,237 15,160,405
Chrysler Corp. . . . . . . . . . . . . . . . . . 260,489 8,596,137
Chubb Corp.. . . . . . . . . . . . . . . . . . . 62,963 3,384,261
CIGNA Corp.. . . . . . . . . . . . . . . . . . . 26,869 3,670,977
Cincinnati Milacron, Inc.. . . . . . . . . . . . 12,926 282,756
CINergy Corp.. . . . . . . . . . . . . . . . . . 55,866 1,864,528
Circuit City Stores, Inc.. . . . . . . . . . . . 35,350 1,064,919
Cisco Systems, Inc. *. . . . . . . . . . . . . . 229,987 14,632,923
Citicorp . . . . . . . . . . . . . . . . . . . . 167,673 17,270,319
Clorox Co. . . . . . . . . . . . . . . . . . . . 18,329 1,839,773
Coastal Corp.. . . . . . . . . . . . . . . . . . 37,338 1,824,895
Coca Cola Co.. . . . . . . . . . . . . . . . . . 886,470 46,650,484
Cognizant Corp.. . . . . . . . . . . . . . . . . 60,627 2,000,691
Colgate-Palmolive Co.. . . . . . . . . . . . . . 52,530 4,845,892
Columbia / HCA Healthcare Corp. . . . . . . . . 239,434 9,756,935
Columbia Gas Systems, Inc. . . . . . . . . . . . 19,063 1,212,883
Comcast Corp., Class A . . . . . . . . . . . . . 118,833 2,116,713
Comerica, Inc. . . . . . . . . . . . . . . . . . 38,238 2,002,715
Compaq Computer Corp. *. . . . . . . . . . . . . 95,356 7,080,183
Computer Associates International, Inc. . . . . 129,835 6,459,291
Computer Sciences Corp. *. . . . . . . . . . . . 26,945 2,212,858
ConAgra, Inc.. . . . . . . . . . . . . . . . . . 85,800 4,268,550
Conrail, Inc.. . . . . . . . . . . . . . . . . . 28,039 2,793,385
Consolidated Edison Co. of N.Y., Inc. . . . . . 84,501 2,471,654
Consolidated Natural Gas Co. . . . . . . . . . . 33,659 1,859,660
Cooper Industries, Inc.. . . . . . . . . . . . . 38,158 1,607,406
Cooper Tire & Rubber Co. . . . . . . . . . . . . 30,346 599,334
Coors (Adolph) Co., Class B . . . . . . . . . . 14,016 266,304
CoreStates Financial Corp. . . . . . . . . . . . 79,351 4,116,333
Corning, Inc.. . . . . . . . . . . . . . . . . . 82,594 3,819,972
CPC International, Inc.. . . . . . . . . . . . . 51,856 4,018,840
Crane Co.. . . . . . . . . . . . . . . . . . . . 16,401 475,629
Crown Cork & Seal Co., Inc. . . . . . . . . . . 45,357 2,466,287
CSX Corp.. . . . . . . . . . . . . . . . . . . . 75,363 3,184,087
Cuc International, Inc. *. . . . . . . . . . . . 140,666 3,340,817
Cummins Engine Co., Inc. . . . . . . . . . . . . 13,692 629,832
CVS Corp. *. . . . . . . . . . . . . . . . . . . 37,553 1,553,755
Cyprus Amax Minerals Co. . . . . . . . . . . . . 33,697 787,667
Dana Corp. . . . . . . . . . . . . . . . . . . . 36,288 1,183,896
Darden Restaurants, Inc. . . . . . . . . . . . . 57,752 505,330
Data General Corp. * . . . . . . . . . . . . . . 13,539 196,316
Dayton-Hudson Corp.. . . . . . . . . . . . . . . 76,769 3,013,183
Dean Witter Discover & Co. . . . . . . . . . . . 57,287 3,795,264
Deere & Co.. . . . . . . . . . . . . . . . . . . 93,385 3,793,766
Dell Computer Corp. *. . . . . . . . . . . . . . 61,884 3,287,587
Delta Air Lines, Inc.. . . . . . . . . . . . . . 26,623 1,886,905
Deluxe Corp. . . . . . . . . . . . . . . . . . . 29,503 966,223
Digital Equipment Corp. *. . . . . . . . . . . . 54,291 1,974,835
Dillard Department Stores, Inc., Class A . . . . 40,053 1,236,636
Disney (Walt) Co. (The). . . . . . . . . . . . . 242,430 16,879,189
Dominion Resources, Inc. . . . . . . . . . . . . 63,510 2,445,135
Donnelley (R.R.) & Sons Co. . . . . . . . . . . 54,474 1,709,122
Dover Corp.. . . . . . . . . . . . . . . . . . . 41,007 2,060,602
Dow Chemical Co. . . . . . . . . . . . . . . . . 86,630 6,789,626
Dow Jones & Co., Inc.. . . . . . . . . . . . . . 35,146 1,190,571
Dresser Industries, Inc. . . . . . . . . . . . . 62,578 1,939,918
DSC Communications Corp. * . . . . . . . . . . . 41,858 748,212
DTE Energy Co. . . . . . . . . . . . . . . . . . 51,473 1,666,438
Du Pont (E.I.) de Nemours & Co., Inc. . . . . . 200,526 18,924,641
Duke Power Co. . . . . . . . . . . . . . . . . . 72,728 3,363,670
Dun & Bradstreet Corp. . . . . . . . . . . . . . 60,595 1,439,131
Eastern Enterprises. . . . . . . . . . . . . . . 7,305 258,414
Eastman Chemical Co. . . . . . . . . . . . . . . 28,326 1,565,012
Eastman Kodak Co.. . . . . . . . . . . . . . . . 118,749 9,529,607
Eaton Corp.. . . . . . . . . . . . . . . . . . . 27,962 1,950,349
Echlin, Inc. . . . . . . . . . . . . . . . . . . 22,146 700,367
Echo Bay Mines Ltd.. . . . . . . . . . . . . . . 44,499 294,806
Ecolab, Inc. . . . . . . . . . . . . . . . . . . 23,353 878,657
Edison International . . . . . . . . . . . . . . 154,332 3,067,348
EG & G, Inc. . . . . . . . . . . . . . . . . . . 17,366 349,491
EMC Corp. *. . . . . . . . . . . . . . . . . . . 81,926 2,713,799
Emerson Electric Co. . . . . . . . . . . . . . . 80,163 7,755,770
Engelhard Corp.. . . . . . . . . . . . . . . . . 51,526 985,435
Enron Corp.. . . . . . . . . . . . . . . . . . . 90,103 3,885,692
ENSERCH Corp.. . . . . . . . . . . . . . . . . . 25,087 577,001
Entergy Corp.. . . . . . . . . . . . . . . . . . 81,856 2,271,504
Exxon Corp.. . . . . . . . . . . . . . . . . . . 442,462 43,361,276
Federal Express Corp. *. . . . . . . . . . . . . 40,967 1,823,032
Federal Home Loan Mortgage Corp. . . . . . . . . 63,706 7,015,623
Federal National Mortgage Assn. . . . . . . . . 390,352 14,540,612
Federated Department Stores, Inc. * . . . . . . 72,743 2,482,355
Fifth Third Bancorp. . . . . . . . . . . . . . . 36,945 2,320,608
First Bank Systems, Inc. . . . . . . . . . . . . 47,895 3,268,834
First Chicago NBD Corp.. . . . . . . . . . . . . 112,809 6,063,484
First Data Corp. . . . . . . . . . . . . . . . . 159,865 5,835,072
First Union Corp.. . . . . . . . . . . . . . . . 101,397 7,503,378
Fleet Financial Group, Inc. . . . . . . . . . . 93,984 4,687,452
Fleetwood Enterprises, Inc. . . . . . . . . . . 12,388 340,670
Fleming Cos., Inc. . . . . . . . . . . . . . . . 13,799 238,033
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
2
<PAGE>
SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
Fluor Corp.. . . . . . . . . . . . . . . . . . . 30,070 $ 1,886,893
FMC Corp. *. . . . . . . . . . . . . . . . . . . 12,895 904,262
Ford Motor Co. . . . . . . . . . . . . . . . . . 421,029 13,420,299
Foster Wheeler Corp. . . . . . . . . . . . . . . 14,153 525,430
FPL Group, Inc.. . . . . . . . . . . . . . . . . 65,866 3,029,836
Freeport McMoran Copper & Gold . . . . . . . . . 69,972 2,090,413
Frontier Corp. . . . . . . . . . . . . . . . . . 55,200 1,248,900
Fruit of the Loom, Inc. *. . . . . . . . . . . . 25,813 977,667
Gannett Co., Inc.. . . . . . . . . . . . . . . . 50,240 3,761,720
Gap, Inc. (The). . . . . . . . . . . . . . . . . 102,493 3,087,602
General Dynamics Corp. . . . . . . . . . . . . . 22,294 1,571,727
General Electric Co. . . . . . . . . . . . . . . 586,645 58,004,524
General Instrument Corp. * . . . . . . . . . . . 45,571 985,473
General Mills, Inc.. . . . . . . . . . . . . . . 55,788 3,535,564
General Motors Corp. . . . . . . . . . . . . . . 269,714 15,036,555
General Reinsurance Corp.. . . . . . . . . . . . 29,110 4,592,102
General Signal Corp. . . . . . . . . . . . . . . 17,190 734,873
Genuine Parts Co.. . . . . . . . . . . . . . . . 43,446 1,933,347
Georgia-Pacific Corp.. . . . . . . . . . . . . . 32,785 2,360,520
Giant Foods, Inc., Class A . . . . . . . . . . . 21,549 743,441
Giddings & Lewis, Inc. . . . . . . . . . . . . . 12,477 160,641
Gillette Co. . . . . . . . . . . . . . . . . . . 198,267 15,415,259
Golden West Financial Corp. . . . . . . . . . . 21,210 1,338,881
Goodrich (B.F.) Co.. . . . . . . . . . . . . . . 19,202 777,681
Goodyear Tire & Rubber Co. (The) . . . . . . . . 55,317 2,841,911
GPU, Inc.. . . . . . . . . . . . . . . . . . . . 42,323 1,423,111
Grace (W.R.) & Co. . . . . . . . . . . . . . . . 31,550 1,632,713
Grainger (W.W.), Inc.. . . . . . . . . . . . . . 18,311 1,469,458
Great Atlantic & Pacific Tea Co., Inc. . . . . . 12,930 412,144
Great Lakes Chemical Corp. . . . . . . . . . . . 22,845 1,068,004
Great Western Financial Corp. . . . . . . . . . 48,464 1,405,456
Green Tree Financial Corp. . . . . . . . . . . . 48,986 1,892,084
GTE Corp.. . . . . . . . . . . . . . . . . . . . 342,789 15,596,899
Guidant Corp.. . . . . . . . . . . . . . . . . . 24,268 1,383,276
Halliburton Co.. . . . . . . . . . . . . . . . . 44,533 2,683,113
Harcourt General, Inc. . . . . . . . . . . . . . 25,577 1,179,739
Harland (John H.) Co.. . . . . . . . . . . . . . 11,117 366,861
Harnischfeger Industries, Inc. . . . . . . . . . 17,161 825,873
Harrahs Entertainment, Inc. * . . . . . . . . . 37,388 743,087
Harris Corp. . . . . . . . . . . . . . . . . . . 14,211 975,230
Hasbro, Inc. . . . . . . . . . . . . . . . . . . 31,018 1,205,825
Heinz (H.J.) Co. . . . . . . . . . . . . . . . . 132,179 4,725,399
Helmerich & Payne, Inc.. . . . . . . . . . . . . 9,156 477,257
Hercules, Inc. . . . . . . . . . . . . . . . . . 36,501 1,578,668
Hershey Foods Corp.. . . . . . . . . . . . . . . 54,865 2,400,344
Hewlett Packard Co.. . . . . . . . . . . . . . . 362,261 18,203,615
HFS, Inc. *. . . . . . . . . . . . . . . . . . . 43,544 2,601,754
Hilton Hotels Corp.. . . . . . . . . . . . . . . 86,831 2,268,460
Home Depot, Inc. (The) . . . . . . . . . . . . . 171,021 8,572,428
Homestake Mining Co. . . . . . . . . . . . . . . 51,283 730,783
Honeywell, Inc.. . . . . . . . . . . . . . . . . 45,221 2,973,281
Household International, Inc. . . . . . . . . . 34,490 3,181,702
Houston Industries, Inc. . . . . . . . . . . . . 83,785 1,895,636
Humana, Inc. * . . . . . . . . . . . . . . . . . 57,748 1,104,431
Illinois Tool Works, Inc.. . . . . . . . . . . . 42,938 3,429,673
Inco, Ltd. . . . . . . . . . . . . . . . . . . . 60,151 1,917,313
Ingersoll Rand Co. . . . . . . . . . . . . . . . 39,056 1,737,992
Inland Steel Industries, Inc. . . . . . . . . . 17,032 340,640
Intel Corp.. . . . . . . . . . . . . . . . . . . 292,527 38,302,754
Intergraph Corp. * . . . . . . . . . . . . . . . 17,358 177,920
International Business Machines Corp. . . . . . 184,413 27,846,363
International Flavors & Fragrances, Inc. . . . . 39,354 1,770,930
International Paper Co.. . . . . . . . . . . . . 107,034 4,321,498
Interpublic Group of Cos., Inc. . . . . . . . . 28,564 1,356,790
ITT Corp. *. . . . . . . . . . . . . . . . . . . 42,126 1,827,215
ITT Hartford Group, Inc. . . . . . . . . . . . . 42,126 2,843,505
ITT Industries, Inc. . . . . . . . . . . . . . . 42,291 1,036,130
James River Corp. of Virginia . . . . . . . . . 30,245 1,001,866
Jefferson-Pilot Corp.. . . . . . . . . . . . . . 25,193 1,426,554
Johnson & Johnson. . . . . . . . . . . . . . . . 474,444 23,603,589
Johnson Controls, Inc. . . . . . . . . . . . . . 14,908 1,235,501
Jostens, Inc.. . . . . . . . . . . . . . . . . . 14,056 296,933
K Mart Corp. * . . . . . . . . . . . . . . . . . 172,890 1,793,734
Kaufman & Broad Home Corp. . . . . . . . . . . . 13,231 170,349
Kellogg Co.. . . . . . . . . . . . . . . . . . . 75,777 4,972,866
Kerr-McGee Corp. . . . . . . . . . . . . . . . . 17,746 1,277,712
Keycorp. . . . . . . . . . . . . . . . . . . . . 80,320 4,056,160
Kimberly-Clark Corp. . . . . . . . . . . . . . . 100,671 9,588,913
King World Productions, Inc. * . . . . . . . . . 13,487 497,333
Knight Ridder, Inc.. . . . . . . . . . . . . . . 34,701 1,327,313
Kroger Co. * . . . . . . . . . . . . . . . . . . 44,173 2,054,044
Laidlaw, Inc.. . . . . . . . . . . . . . . . . . 102,120 1,174,380
Lilly (Eli) & Co.. . . . . . . . . . . . . . . . 195,110 14,243,030
Limited, Inc. (The). . . . . . . . . . . . . . . 96,754 1,777,855
Lincoln National Corp. . . . . . . . . . . . . . 37,580 1,972,950
Liz Claiborne, Inc.. . . . . . . . . . . . . . . 25,755 994,787
Lockheed Martin Corp.. . . . . . . . . . . . . . 68,814 6,296,481
Loews Corp.. . . . . . . . . . . . . . . . . . . 40,980 3,862,365
Longs Drug Stores Corp.. . . . . . . . . . . . . 7,204 353,897
Louisiana Land & Exploration Co. . . . . . . . . 11,696 627,198
Louisiana Pacific Corp.. . . . . . . . . . . . . 39,445 833,276
Lowes Cos., Inc. . . . . . . . . . . . . . . . . 58,847 2,089,068
LSI Logic Corp. *. . . . . . . . . . . . . . . . 46,400 1,241,200
Luby's Cafeterias, Inc.. . . . . . . . . . . . . 192 3,816
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
3
<PAGE>
SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
Lucent Technologies, Inc.. . . . . . . . . . . . 227,670 $10,529,724
Mallinckrodt, Inc. . . . . . . . . . . . . . . . 26,734 1,179,638
Manor Care, Inc. . . . . . . . . . . . . . . . . 22,159 598,293
Marriot International, Inc. . . . . . . . . . . 44,866 2,478,846
Marsh & McLennan Cos., Inc. . . . . . . . . . . 25,945 2,698,280
Masco Corp.. . . . . . . . . . . . . . . . . . . 57,620 2,074,320
Mattel, Inc. . . . . . . . . . . . . . . . . . . 97,976 2,718,834
May Department Stores Co.. . . . . . . . . . . . 89,565 4,187,164
Maytag Corp. . . . . . . . . . . . . . . . . . . 37,191 734,522
MBIA, Inc. . . . . . . . . . . . . . . . . . . . 15,460 1,565,325
MBNA Corp. . . . . . . . . . . . . . . . . . . . 79,136 3,284,144
McDermott International, Inc. . . . . . . . . . 19,809 329,325
McDonald's Corp. . . . . . . . . . . . . . . . . 248,621 11,250,100
McDonnell Douglas Corp.. . . . . . . . . . . . . 75,572 4,836,608
McGraw-Hill, Inc.. . . . . . . . . . . . . . . . 35,495 1,637,207
MCI Communications Corp. . . . . . . . . . . . . 245,572 8,027,135
Mead Corp. . . . . . . . . . . . . . . . . . . . 18,793 1,092,343
Medtronic, Inc.. . . . . . . . . . . . . . . . . 84,311 5,733,148
Mellon Bank Corp.. . . . . . . . . . . . . . . . 46,506 3,301,926
Mercantile Stores Co., Inc. . . . . . . . . . . 13,000 641,875
Merck & Co., Inc.. . . . . . . . . . . . . . . . 429,654 34,050,079
Meredith Corp. . . . . . . . . . . . . . . . . . 9,996 527,289
Merrill Lynch & Co., Inc.. . . . . . . . . . . . 58,873 4,798,149
MGIC Investment Corp.. . . . . . . . . . . . . . 21,094 1,603,144
Micron Technology, Inc.. . . . . . . . . . . . . 73,910 2,152,629
Microsoft Corp. *. . . . . . . . . . . . . . . . 425,812 35,182,716
Millipore Corp.. . . . . . . . . . . . . . . . . 15,375 636,141
Minnesota Mining & Manufacturing Co. . . . . . . 149,554 12,394,288
Mobil Corp.. . . . . . . . . . . . . . . . . . . 140,370 17,160,232
Monsanto Co. . . . . . . . . . . . . . . . . . . 210,352 8,177,434
Moore Corp. Ltd. . . . . . . . . . . . . . . . . 36,607 745,868
Morgan (J.P.) & Co., Inc.. . . . . . . . . . . . 66,783 6,519,690
Morgan Stanley Group, Inc. . . . . . . . . . . . 54,673 3,123,195
Morton International, Inc. . . . . . . . . . . . 51,734 2,108,160
Motorola, Inc. . . . . . . . . . . . . . . . . . 211,678 12,991,737
Nacco Industries, Inc., Class A . . . . . . . . 3,220 172,270
Nalco Chemical Co. . . . . . . . . . . . . . . . 23,481 848,251
National City Corp.. . . . . . . . . . . . . . . 79,294 3,558,318
National Semiconductor Corp. * . . . . . . . . . 46,925 1,143,797
National Service Industries, Inc. . . . . . . . 17,421 651,110
NationsBank Corp.. . . . . . . . . . . . . . . . 102,395 10,009,111
Navistar International Corp. * . . . . . . . . . 26,927 245,709
New York Times Co. (The), Class A . . . . . . . 34,710 1,318,980
Newell Co. . . . . . . . . . . . . . . . . . . . 57,267 1,803,911
Newmont Mining Corp. . . . . . . . . . . . . . . 35,714 1,598,202
Niagara Mohawk Power Corp. * . . . . . . . . . . 53,047 523,839
NICOR, Inc.. . . . . . . . . . . . . . . . . . . 18,005 643,679
Nike, Inc., Class B. . . . . . . . . . . . . . . 102,277 6,111,051
Noram Energy Corp. . . . . . . . . . . . . . . . 47,236 726,254
Nordstrom, Inc.. . . . . . . . . . . . . . . . . 28,732 1,018,190
Norfolk Southern Corp. . . . . . . . . . . . . . 44,518 3,895,325
Northern States Power Co.. . . . . . . . . . . . 24,768 1,136,232
Northern Telecom Ltd.. . . . . . . . . . . . . . 91,774 5,678,516
Northrop Corp. . . . . . . . . . . . . . . . . . 20,416 1,689,424
Norwest Corp.. . . . . . . . . . . . . . . . . . 130,807 5,690,104
Novell, Inc. * . . . . . . . . . . . . . . . . . 122,576 1,160,642
Nucor Corp.. . . . . . . . . . . . . . . . . . . 31,599 1,611,549
NYNEX Corp.. . . . . . . . . . . . . . . . . . . 155,573 7,486,951
Occidental Petroleum Corp. . . . . . . . . . . . 115,252 2,694,015
Ohio Edison Co.. . . . . . . . . . . . . . . . . 53,832 1,224,678
ONEOK, Inc.. . . . . . . . . . . . . . . . . . . 10,004 300,120
Oracle Systems Corp. * . . . . . . . . . . . . . 233,878 9,764,406
Oryx Energy Co. *. . . . . . . . . . . . . . . . 37,603 930,674
Owens Corning. . . . . . . . . . . . . . . . . . 18,507 788,861
P P & L Resources, Inc.. . . . . . . . . . . . . 56,685 1,303,755
PACCAR, Inc. . . . . . . . . . . . . . . . . . . 14,161 962,948
Pacific Enterprises. . . . . . . . . . . . . . . 29,694 901,955
Pacific Gas & Electric Co. . . . . . . . . . . . 149,075 3,130,575
Pacific Telesis Group. . . . . . . . . . . . . . 153,121 5,627,197
PacifiCorp . . . . . . . . . . . . . . . . . . . 103,943 2,130,831
Pall Corp. . . . . . . . . . . . . . . . . . . . 41,347 1,054,349
PanEnergy Corp.. . . . . . . . . . . . . . . . . 53,147 2,391,615
Parker-Hannifin Corp.. . . . . . . . . . . . . . 26,939 1,043,886
Peco Energy Co.. . . . . . . . . . . . . . . . . 78,875 1,991,594
Penney (J.C.) Co., Inc.. . . . . . . . . . . . . 80,533 3,925,984
Pennzoil Co. . . . . . . . . . . . . . . . . . . 16,664 941,516
Peoples Energy Corp. . . . . . . . . . . . . . . 12,927 437,902
Pep Boys-Manny Moe & Jack. . . . . . . . . . . . 22,224 683,388
PepsiCo, Inc.. . . . . . . . . . . . . . . . . . 553,546 16,191,220
Perkin-Elmer Corp. . . . . . . . . . . . . . . . 15,570 916,684
Pfizer, Inc. . . . . . . . . . . . . . . . . . . 228,386 18,927,490
Pharmacia & Upjohn, Inc. . . . . . . . . . . . . 181,585 7,195,306
Phelps Dodge Corp. . . . . . . . . . . . . . . . 23,702 1,599,885
Philip Morris Cos., Inc. . . . . . . . . . . . . 290,177 32,681,185
Phillips Petroleum Co. . . . . . . . . . . . . . 93,729 4,147,508
Pioneer Hi Bred International, Inc. . . . . . . 29,335 2,053,450
Pitney Bowes, Inc. . . . . . . . . . . . . . . . 53,453 2,913,188
Placer Dome, Inc.. . . . . . . . . . . . . . . . 84,979 1,848,293
PNC Financial Corp.. . . . . . . . . . . . . . . 121,844 4,584,380
Polaroid Corp. . . . . . . . . . . . . . . . . . 16,316 709,746
Potlatch Corp. . . . . . . . . . . . . . . . . . 10,552 453,736
PPG Industries, Inc. . . . . . . . . . . . . . . 65,322 3,666,197
Praxair, Inc.. . . . . . . . . . . . . . . . . . 55,699 2,569,116
Price-Costco, Inc. * . . . . . . . . . . . . . . 69,693 1,751,037
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
Procter & Gamble Co. . . . . . . . . . . . . . . 243,002 $26,122,715
Providian Corp.. . . . . . . . . . . . . . . . . 33,572 1,724,762
Public Service Enterprise, Inc. . . . . . . . . 84,958 2,315,105
Pulte Corp.. . . . . . . . . . . . . . . . . . . 9,418 289,604
Quaker Oats Co.. . . . . . . . . . . . . . . . . 47,696 1,818,410
Ralston Purina Co. . . . . . . . . . . . . . . . 37,608 2,759,487
Raychem Corp.. . . . . . . . . . . . . . . . . . 15,899 1,273,907
Raytheon Co. . . . . . . . . . . . . . . . . . . 84,114 4,047,986
Reebok International Ltd.. . . . . . . . . . . . 20,028 841,176
Republic New York Corp.. . . . . . . . . . . . . 19,730 1,610,461
Reynolds Metals Co.. . . . . . . . . . . . . . . 23,023 1,297,922
Rite Aid Corp. . . . . . . . . . . . . . . . . . 43,834 1,742,402
Rockwell International Corp. * . . . . . . . . . 77,811 4,736,745
Rohm & Haas Co.. . . . . . . . . . . . . . . . . 23,464 1,915,249
Rowan Cos., Inc. * . . . . . . . . . . . . . . . 30,713 694,882
Royal Dutch Petroleum Co.. . . . . . . . . . . . 191,056 32,622,812
Rubbermaid, Inc. . . . . . . . . . . . . . . . . 54,194 1,232,914
Russell Corp.. . . . . . . . . . . . . . . . . . 13,882 412,990
Ryans Family Steak Houses, Inc. * . . . . . . . 408 2,805
Ryder Systems, Inc.. . . . . . . . . . . . . . . 29,093 818,241
SAFECO Corp. . . . . . . . . . . . . . . . . . . 45,461 1,792,868
Safety-Kleen Corp. . . . . . . . . . . . . . . . 21,471 351,588
Salomon, Inc.. . . . . . . . . . . . . . . . . . 37,588 1,771,335
Santa Fe Energy Resources, Inc. * . . . . . . . 33,486 464,618
Santa Fe Pacific Gold Corp. . . . . . . . . . . 46,468 714,446
Sara Lee Corp. . . . . . . . . . . . . . . . . . 173,133 6,449,204
SBC Communications, Inc. . . . . . . . . . . . . 215,203 11,136,755
Schering-Plough Corp.. . . . . . . . . . . . . . 131,794 8,533,661
Schlumberger Ltd.. . . . . . . . . . . . . . . . 86,881 8,677,240
Scientific-Atlanta, Inc. . . . . . . . . . . . . 27,961 419,415
Seagate Technology, Inc. * . . . . . . . . . . . 89,440 3,532,880
Seagram Co. Ltd. (The) . . . . . . . . . . . . . 133,197 5,161,384
Sears, Roebuck & Co. . . . . . . . . . . . . . . 140,368 6,474,474
Service Corp. International . . . . . . . . . . 84,287 2,360,036
Shared Medical System. . . . . . . . . . . . . . 8,542 420,694
Sherwin-Williams Co. . . . . . . . . . . . . . . 30,259 1,694,504
Shoney's, Inc. * . . . . . . . . . . . . . . . . 384 2,688
Sigma Aldrich Corp.. . . . . . . . . . . . . . . 18,122 1,131,492
Silicon Graphics, Inc. * . . . . . . . . . . . . 59,076 1,506,438
Snap On, Inc.. . . . . . . . . . . . . . . . . . 21,987 783,287
Sonat, Inc.. . . . . . . . . . . . . . . . . . . 31,059 1,599,539
Southern Co. . . . . . . . . . . . . . . . . . . 240,235 5,435,317
Southwest Airlines Co. . . . . . . . . . . . . . 52,047 1,151,540
Springs Industries, Inc. . . . . . . . . . . . . 6,969 299,667
Sprint Corp. . . . . . . . . . . . . . . . . . . 153,360 6,115,230
St. Jude Medical Center, Inc. * . . . . . . . . 28,703 1,223,465
St. Paul Cos., Inc.. . . . . . . . . . . . . . . 29,932 1,754,764
Stanley Works (The). . . . . . . . . . . . . . . 31,109 839,943
Stone Container Corp.. . . . . . . . . . . . . . 34,328 510,629
Stride Rite Corp.. . . . . . . . . . . . . . . . 18,628 186,280
Sun Co., Inc.. . . . . . . . . . . . . . . . . . 26,350 642,281
Sun Microsystems, Inc. * . . . . . . . . . . . . 131,626 3,381,143
Suntrust Banks, Inc. . . . . . . . . . . . . . . 79,502 3,915,473
Supervalu, Inc.. . . . . . . . . . . . . . . . . 24,507 695,386
Sysco Corp.. . . . . . . . . . . . . . . . . . . 64,984 2,120,103
Tandem Computers, Inc. * . . . . . . . . . . . . 42,692 587,015
Tandy Corp.. . . . . . . . . . . . . . . . . . . 21,550 948,200
Tektronix, Inc.. . . . . . . . . . . . . . . . . 11,905 610,131
Tele-Communications, Inc. * . . . . . . . . . . 233,670 3,052,314
Tellabs, Inc. *. . . . . . . . . . . . . . . . . 63,145 2,375,831
Temple-Inland, Inc.. . . . . . . . . . . . . . . 19,671 1,064,693
Tenet Healthcare Corp. * . . . . . . . . . . . . 74,609 1,632,072
Tenneco, Inc. *. . . . . . . . . . . . . . . . . 61,935 2,794,817
Texaco, Inc. . . . . . . . . . . . . . . . . . . 94,468 9,269,672
Texas Instruments, Inc.. . . . . . . . . . . . . 67,540 4,305,675
Texas Utilities Co.. . . . . . . . . . . . . . . 80,297 3,272,103
Textron, Inc.. . . . . . . . . . . . . . . . . . 28,888 2,722,694
Thermo Electron Corp.. . . . . . . . . . . . . . 50,300 2,074,875
Thomas & Betts Corp. . . . . . . . . . . . . . . 18,981 842,282
Time Warner, Inc.. . . . . . . . . . . . . . . . 203,953 7,648,237
Times Mirror Co., Class A. . . . . . . . . . . . 35,234 1,752,892
Timken Co. . . . . . . . . . . . . . . . . . . . 11,630 533,526
TJX Cos., Inc. (The) . . . . . . . . . . . . . . 26,299 1,245,915
Torchmark Corp.. . . . . . . . . . . . . . . . . 25,801 1,302,951
Toys R Us Co. *. . . . . . . . . . . . . . . . . 97,733 2,931,990
Transamerica Corp. . . . . . . . . . . . . . . . 24,208 1,912,432
Travelers, Inc.. . . . . . . . . . . . . . . . . 226,907 10,295,905
Tribune Co.. . . . . . . . . . . . . . . . . . . 22,041 1,738,484
Trinova Corp.. . . . . . . . . . . . . . . . . . 10,517 382,556
TRW, Inc.. . . . . . . . . . . . . . . . . . . . 46,342 2,293,929
Tupperware Corp. . . . . . . . . . . . . . . . . 22,200 1,190,475
Tyco Laboratories, Inc.. . . . . . . . . . . . . 54,936 2,904,741
U.S. Bancorp . . . . . . . . . . . . . . . . . . 54,990 2,471,113
U.S. Surgical Corp.. . . . . . . . . . . . . . . 21,526 847,586
Unicom Corp. . . . . . . . . . . . . . . . . . . 76,267 2,068,742
Unilever N. V. . . . . . . . . . . . . . . . . . 57,172 10,019,393
Union Camp Corp. . . . . . . . . . . . . . . . . 24,398 1,165,005
Union Carbide Corp.. . . . . . . . . . . . . . . 45,408 1,856,052
Union Electric Co. . . . . . . . . . . . . . . . 36,122 1,390,697
Union Pacific Corp.. . . . . . . . . . . . . . . 87,159 5,240,435
Union Pacific Resources Group, Inc. . . . . . . 88,986 2,602,840
Unisys Corp. * . . . . . . . . . . . . . . . . . 62,201 419,857
United Healthcare Corp.. . . . . . . . . . . . . 65,502 2,947,590
United States West, Inc. * . . . . . . . . . . . 223,294 4,130,939
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
SPDR TRUST SERIES 1
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
COMMON STOCKS SHARES VALUE
- --------------------------------------------------------------------------------
United Technologies Corp.. . . . . . . . . . . . 85,694 $5,655,804
Unocal Corp. . . . . . . . . . . . . . . . . . . 88,613 3,599,903
Unum Corp. . . . . . . . . . . . . . . . . . . . 26,338 1,902,921
US West, Inc.. . . . . . . . . . . . . . . . . . 170,033 5,483,564
USAir Group, Inc. *. . . . . . . . . . . . . . . 22,023 514,788
USF&G Corp.. . . . . . . . . . . . . . . . . . . 41,201 860,071
USLIFE Corp. . . . . . . . . . . . . . . . . . . 12,717 422,840
UST, Inc.. . . . . . . . . . . . . . . . . . . . 67,195 2,175,438
USX-Marathon Group . . . . . . . . . . . . . . . 102,757 2,453,323
USX-U. S. Steel Group. . . . . . . . . . . . . . 30,199 947,494
V.F. Corp. . . . . . . . . . . . . . . . . . . . 22,514 1,519,695
Viacom, Inc. * . . . . . . . . . . . . . . . . . 127,341 4,441,017
Wachovia Corp. . . . . . . . . . . . . . . . . . 58,898 3,327,737
Wal-Mart Stores, Inc.. . . . . . . . . . . . . . 817,245 18,694,479
Walgreen Co. . . . . . . . . . . . . . . . . . . 88,423 3,536,920
Warner-Lambert Co. . . . . . . . . . . . . . . . 96,280 7,221,000
Wells Fargo & Co.. . . . . . . . . . . . . . . . 32,907 8,876,663
Wendy's International, Inc. . . . . . . . . . . 45,698 936,809
Western Atlas, Inc. *. . . . . . . . . . . . . . 19,131 1,355,910
Westinghouse Electric Corp. . . . . . . . . . . 218,639 4,345,450
Westvaco Corp. . . . . . . . . . . . . . . . . . 36,384 1,046,040
Weyerhaeuser Co. . . . . . . . . . . . . . . . . 71,148 3,370,636
Whirlpool Corp.. . . . . . . . . . . . . . . . . 26,806 1,249,830
Whitman Corp.. . . . . . . . . . . . . . . . . . 38,270 875,426
Willamette Industries, Inc. . . . . . . . . . . 19,427 1,352,605
Williams Cos., Inc. (The). . . . . . . . . . . . 55,463 2,079,844
Winn-Dixie Stores, Inc.. . . . . . . . . . . . . 53,864 1,703,449
WMX Technologies, Inc. . . . . . . . . . . . . . 172,798 5,637,535
Woolworth Corp. *. . . . . . . . . . . . . . . . 48,322 1,057,044
WorldCom, Inc. * . . . . . . . . . . . . . . . . 145,914 3,802,884
Worthington Industries, Inc. . . . . . . . . . . 32,688 592,470
Wrigley (Wm) Jr. Co. . . . . . . . . . . . . . . 41,487 2,333,644
Xerox Corp.. . . . . . . . . . . . . . . . . . . 115,804 6,094,185
--------------
Total Investments - (Cost $1,602,910,207) $2,013,053,706
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--------------
(*) Denotes non-income producing security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
SPDR TRUST SERIES 1
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ASSETS
Investments in securities, at value
(cost $1,602,910,207) (Note 2) . . . . . . . . . . $2,013,053,706
Cash . . . . . . . . . . . . . . . . . . . . . . . 8,269,040
Receivable for investments sold. . . . . . . . . . 5,899,624
Dividends receivable (Note 2). . . . . . . . . . . 3,364,372
Deferred organization costs (Note 2) . . . . . . . 117,328
--------------
TOTAL ASSETS . . . . . . . . . . . . . . . . . . . . . 2,030,704,070
LIABILITIES
Payable for investments purchased. . . . . . . . . 9,864,528
Distributions payable (Note 2) . . . . . . . . . . 10,784,119
Due to Sponsor (Note 3). . . . . . . . . . . . . . 716,864
Accrued Trustee fees (Note 3). . . . . . . . . . . 532,136
Accrued expenses and other liabilities . . . . . . 479,254
--------------
TOTAL LIABILITIES. . . . . . . . . . . . . . . . . . . 22,376,901
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $2,008,327,169
--------------
--------------
NET ASSETS REPRESENTED BY:
Paid in surplus relating to 27,108,981 units
of fractional undivided interest ("SPDRs")
outstanding; unlimited units
authorized (Note 4). . . . . . . . . . . . . . . . $1,599,050,773
Distribution in excess of net realized gain
on investments . . . . . . . . . . . . . . . . . . (867,103)
Net unrealized appreciation on investments . . . . 410,143,499
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $2,008,327,169
--------------
--------------
NET ASSET VALUE PER SPDR
($2,008,327,169 / 27,108,981 SPDRs). . . . . . . . . $74.08
------
------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
7
<PAGE>
SPDR TRUST SERIES 1
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995 DECEMBER 31, 1994
----------------- ----------------- -----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividend income (Note 2) . . . . . . . . . . . . . . . . $ 29,620,992(a) $ 16,060,887(a) $ 13,330,201
------------ ------------ ------------
EXPENSES
Trustee expense (Note 3) . . . . . . . . . . . . . . . . 1,806,689 909,805 668,953
S & P license fee. . . . . . . . . . . . . . . . . . . . 347,506 218,098 --
Marketing materials expense (Note 3) . . . . . . . . . . 436,049 -- --
SEC registration expense . . . . . . . . . . . . . . . . 203,447 136,000 --
Printing and postage expense . . . . . . . . . . . . . . 40,000 20,000 15,250
Legal and audit services . . . . . . . . . . . . . . . . 135,000 80,000 174,823
Amortization of organization costs (Note 2). . . . . . . 110,000 110,000 110,000
Miscellaneous expenses . . . . . . . . . . . . . . . . . 1,002 1,000 3,992
------------ ------------ ------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . 3,079,693 1,474,903 973,018
Rebate from Sponsor (Note 3) . . . . . . . . . . . . . . (434,407) (180,244) (27,593)
------------ ------------ ------------
Net expenses . . . . . . . . . . . . . . . . . . . . . . . 2,645,286 1,294,659 945,425
Trustee earnings credit (Note 3) . . . . . . . . . . . . (176,370) (107,356) --
------------ ------------ ------------
Net expenses after Trustee earnings credit . . . . . . . . 2,468,916 1,187,303 945,425
------------ ------------ ------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . 27,152,076 14,873,584 12,384,776
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investment transactions. . . 12,398,283 6,289,657 (9,680,642)
Net increase (decrease) in unrealized appreciation . . . 236,120,771 170,848,065 (10,145,765)
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS . . 248,519,054 177,137,722 (19,826,407)
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS. . . $275,671,130 $192,011,306 $ (7,441,631)
------------ -------------- ------------
------------ -------------- ------------
</TABLE>
(a) Net of withholding tax expense of $182,561 and $109,162 for 1996 and 1995,
respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
SPDR TRUST SERIES 1
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995 DECEMBER 31, 1994
----------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . $ 27,152,076 $ 14,873,584 $ 12,384,776
Net realized gain (loss) on investment transactions. . 12,398,283 6,289,657 (9,680,642)
Net increase (decrease) in unrealized appreciation . . 236,120,771 170,848,065 (10,145,765)
-------------- -------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS. . . 275,671,130 192,011,306 (7,441,631)
-------------- -------------- ------------
UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN
PRICE OF UNITS ISSUED AND REDEEMED, NET. . . . . . . . 1,962,474 325,692 374,852
-------------- -------------- ------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income. . . . . . . . . . . . . . . . . (27,037,456) (14,873,584) (12,844,467)
In excess of net investment income . . . . . . . . . . -- (310,588) --
Net realized gains . . . . . . . . . . . . . . . . . . (3,078,255) (128,321) --
-------------- -------------- ------------
TOTAL DISTRIBUTIONS TO UNITHOLDERS . . . . . . . . . . . . (30,115,711) (15,312,493) (12,844,467)
-------------- -------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE
AND REDEMPTION OF SPDRS (NOTE 4) . . . . . . . . . . . 759,578,491 401,629,719 (19,069,514)
-------------- -------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS DURING PERIOD. . . . 1,007,096,384 578,654,224 (38,980,760)
NET ASSETS AT BEGINNING OF PERIOD. . . . . . . . . . . . . 1,001,230,785 422,576,561 461,557,321
-------------- -------------- ------------
NET ASSETS END OF PERIOD, including undistributed/
(distribution in excess of) net
investment income of $0, ($1,122,255) and $235,408,
respectively . . . . . . . . . . . . . . . . . . . . . $2,008,327,169 $1,001,230,785 $422,576,561
-------------- -------------- ------------
-------------- -------------- ------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
SPDR TRUST SERIES 1
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SPDR OUTSTANDING DURING THE PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995 DECEMBER 31, 1994 DECEMBER 31, 1993(1)
----------------- ----------------- ----------------- --------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . $61.61 $45.93 $46.62 $43.54
------ ------ ------ ------
Investment Operations:
Net investment income (2). . . . . . 1.35 1.26 1.22 1.15
Net realized and unrealized gain
(loss) on investments. . . . . . . 12.52 15.70 (0.68) 3.06
------ ------ ------ ------
Total from investment operations . . . 13.87 16.96 0.54 4.21
------ ------ ------ ------
Less distributions from:
Net investment income. . . . . . . . (1.28) (1.24) (1.23) (1.10)
In excess of net investment income . -- (0.03) -- --
Net realized gains . . . . . . . . . . (0.12) (0.01) 0.00 (0.03)
------ ------ ------ ------
Total distributions. . . . . . . . . . (1.40) (1.28) (1.23) (1.13)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD . . . . $74.08 $61.61 $45.93 $46.62
------ ------ ------ ------
------ ------ ------ ------
TOTAL INVESTMENT RETURN. . . . . . . . 22.67% 37.23% 1.15% 9.78%
RATIOS AND SUPPLEMENTAL DATA
Ratio to average net assets:
Total expenses (2) . . . . . . . . . 0.20% 0.20% 0.20% 0.20%(3)
Net expenses after Trustee
earnings credit (2). . . . . . . . . 0.18% 0.19% -- --
Net investment income (2). . . . . . 2.03% 2.35% 2.63% 2.62%(3)
Portfolio turnover rate (4). . . . . . 4.37% 4.02% 4.07% 2.40%
Average Commission Rate (5). . . . . . $0.02 -- -- --
NET ASSETS, END OF PERIOD (000'S). . . $2,008,327 $1,001,231 $422,577 $461,557
</TABLE>
(1) The Trust commenced operations on January 22, 1993.
(2) Net of expenses reimbursed by the Sponsor. If the Trust had borne all
expenses, net investment income per unit would have decreased by $0.02,
$0.01, $0.01 and $0.04 in 1996, 1995, 1994 and 1993, respectively, and
the ratio of expenses to average net assets would have increased by
0.03%, 0.03%, 0.01% and 0.10% (on an annualized basis) in 1996, 1995, 1994
and 1993, respectively.
(3) Annualized.
(4) Portfolio turnover ratio excludes securities received or delivered from
processing creations or redemptions of SPDRs.
(5) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate for security transactions
on which a commission is charged.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
SPDR TRUST SERIES 1
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
SPDR Trust Series 1 (the "Trust") is a unit investment trust created under the
laws of the State of New York and registered under the Investment Company Act of
1940. The Trust was created to provide investors with the opportunity to
purchase a security representing a proportionate undivided interest in a
portfolio of securities consisting of substantially all of the common stocks, in
substantially the same weighting, which comprise the Standard & Poor's 500
Composite Price Index (the "S&P Index"). Each unit of fractional undivided
interest in the Trust is referred to as a Standard & Poor's Depositary Receipt
("SPDR"). The Trust commenced operations on January 22, 1993 upon the initial
issuance of 150,000 SPDRs (equivalent to three "Creation Units" - see Note 4) in
exchange for a portfolio of securities assembled to reflect the intended
portfolio composition of the Trust.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
effect the reported amounts and disclosures in the financial statements. Actual
results could differ from these estimates. The following is a summary of
significant accounting policies followed by the Trust.
SECURITY VALUATION
Portfolio securities are valued based on the closing sale price on the exchange
which is deemed to be the principal market for the security. If no closing sale
price is available, then the security is valued at the closing bid price on the
exchange which is deemed to be the principal market for the security. If there
is no closing bid price available, valuation will be determined by the Trustee
in good faith based on available information.
INVESTMENT TRANSACTIONS
Investment transactions are recorded on the trade date. Realized gains and
losses from the sale or disposition of securities are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date.
DISTRIBUTIONS TO UNITHOLDERS
The Trust declares and distributes dividends from net investment income to its
unitholders quarterly. The Trust will distribute net realized capital gains, if
any, at least annually.
ORGANIZATION COSTS
The Trust incurred organization costs of $549,500, which have been capitalized
and are being charged to operations ratably over a period of 60 months from the
commencement of operations.
11
<PAGE>
SPDR TRUST SERIES 1
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX
The Trust has qualified and intends to qualify for and elect treatment as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, the Trust will not be subject to federal
income taxes to the extent it distributes its taxable income, including any net
realized capital gains, for each fiscal year. In addition, by distributing
during each calendar year substantially all of its net investment income and
capital gains, if any, the Trust will not be subject to federal excise tax.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for income
equalization, in-kind transactions and losses deferred due to wash sales.
During 1996, the Trust reclassified $10,027,215 of non-taxable security gains
realized in the in-kind redemption of Creation Units (Note 4) as an increase of
paid in surplus in the Statement of Assets and Liabilities. The Trust incurred
net capital losses of $808,260 during the period from November 1 through
December 31, 1996. These losses will be used to offset any net realized capital
gains realized during 1997, any losses not utilized in 1997 will be carried
forward with an expiration date of December 31, 2005.
NOTE 3 -- TRANSACTIONS WITH THE TRUSTEE AND SPONSOR
In accordance with the Trust Agreement, State Street Bank and Trust Company (the
"Trustee") maintains the Trust's accounting records, acts as custodian and
transfer agent to the Trust, and provides administrative services, including
filing of all required regulatory reports. The Trustee is also responsible for
determining the composition of the portfolio of securities which must be
delivered in exchange for the issuance of Creation Units of the Trust, and for
adjusting the composition of the Trust's portfolio from time to time to conform
to changes in the composition and/or weighting structure of the S&P Index. For
these services, the Trustee receives a fee at the following annual rates:
<TABLE>
<CAPTION>
Net asset value of the Trust Fee as a percentage of net asset value of the Trust
- ---------------------------- ---------------------------------------------------
<S> <C>
$0 - $499,999,999 15/100 of 1% per annum plus or minus the Adjustment Amount
$500,000,000 - $999,999,999 13/100 of 1% per annum plus or minus the Adjustment Amount
$1,000,000,000 - and above 11/100 of 1% per annum plus or minus the Adjustment Amount
</TABLE>
The Adjustment Amount is the sum of (a) the excess or deficiency of transaction
fees received by the Trustee, less the expenses incurred in processing orders
for creation and redemption of SPDRs and (b) the amounts earned by the Trustee
with respect to the cash held by the Trustee for the benefit of the Trust.
During the year ended December 31, 1996, the Adjustment Amount reduced the
Trustee's fee by $141,551. The Adjustment Amount included a deficiency of net
transaction fees from processing orders of ($34,819) and a Trustee earnings
credit of $176,370.
For the fiscal year ended December 31, 1996, PDR Services Corporation (the
"Sponsor", a wholly-owned subsidiary of the American Stock Exchange, Inc.)
agreed to reimburse the Trust for, or assume, the ordinary operating expenses of
the Trust which exceeded 18.45/100 of 1% per annum of the daily net asset value
of the Trust. The amount of such reimbursement for the year ended December 31,
1996 was $434,407. In addition, during 1996 the Trust incurred printing and
distribution of marketing materials expenses of $436,049.
12
<PAGE>
SPDR TRUST SERIES 1
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
NOTE 4 -- TRUST TRANSACTIONS IN SPDRS
Transactions in SPDRs were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31, 1996 December 31, 1995 December 31, 1994
SPDRs Amount SPDRs Amount SPDRs Amount
----- ------ ----- ------ ----- -------
<S> <C> <C> <C> <C> <C> <C>
SPDRs sold 15,750,000 $1,100,700,575 11,700,000 $640,975,632 8,750,000 $407,202,862
Dividend reinvestment
SPDRs issued 7,625 506,869 1,291 69,292 65 3,079
SPDRs redeemed (4,900,000) (339,666,479) (4,650,000) (239,089,513) (9,450,000) (425,900,603)
Net income equalization -- (1,962,474) -- (325,692) -- (374,852)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease) 10,857,625 $ 759,578,491 7,051,291 $401,629,719 (699,935) $(19,069,514)
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
Except for under the Trust's dividend reinvestment plan, SPDRs are issued and
redeemed by the Trust only in Creation Unit size aggregations of 50,000 SPDRs.
Such transactions are only permitted on an in-kind basis, with a separate cash
payment which is equivalent to the undistributed net investment income per SPDR
(income equalization) and a balancing cash component to equate the transaction
to the net asset value per unit of the Trust on the transaction date.
Transaction fees at scheduled amounts ranging from $1,500 to $3,000 per Creation
Unit are charged to those persons creating or redeeming Creation Units.
Transaction fees are received by the Trustee and used to offset the expense of
processing orders.
NOTE 5 -- INVESTMENT TRANSACTIONS
For the year ended December 31, 1996, the Trust had in-kind contributions,
redemptions, purchases and sales of investment securities of $1,098,261,770,
$339,190,147, $63,461,464 and $59,142,945, respectively. At December 31, 1996,
the cost of investments for federal income tax purposes was $1,602,969,050,
accordingly, gross unrealized appreciation was $426,548,219 and gross unrealized
depreciation was $16,463,563, resulting in net unrealized appreciation of
$410,084,656.
NOTE 6 -- TAX INFORMATION NOTICE (UNAUDITED)
For Federal income tax purposes, the Fund designated long term capital gain
distributions of $2,378,339, for its fiscal year ending December 31, 1996.
During the year ended December 31, 1996, 100% of the Trust's dividends paid
qualified for the dividends received deduction for corporate shareholders.
13
<PAGE>
SPDR TRUST SERIES 1
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustee and Unitholders of
SPDR Trust Series 1
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of SPDR Trust Series 1 (the "Trust")
at December 31, 1996, and the results of its operations, the changes in its net
assets and the financial highlights for the periods indicated, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments owned at December 31, 1996 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 17, 1997
14
<PAGE>
SPDR TRUST SERIES 1
- --------------------------------------------------------------------------------
SPONSOR
PDR Services Corporation
c/o American Stock Exchange, Inc.
86 Trinity Place
New York, NY 10006
TRUSTEE
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
DISTRIBUTOR
PDR Distributors, Inc. (a wholly-owned subsidiary
of Signature Financial Group, Inc.)
6 St. James Avenue
Boston, MA 02116
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
LEGAL COUNSEL
Orrick, Herrington & Sutcliffe
599 Lexington Street
New York, NY 10022
