STATE STREET RESEARCH SECURITIES TRUST, N-30D, 1997-07-01

STATE STREET RESEARCH SECURITIES TRUST
N-30D, 1997-07-01

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STATE STREET RESEARCH
INTERMEDIATE BOND FUND

ANNUAL REPORT
April 30, 1997

WHAT'S INSIDE

From the Chairman
The markets kept
us on our toes

Portfolio Manager's Review
Fair performance from
intermediate bonds

Fund Information
Facts and figures

Plus, Complete Portfolio Holdings
and Financial Statements

[DALBAR Logo]

For Excellence
in
Shareholder Service

STATE STREET RESEARCH FUNDS
<PAGE>

FROM THE CHAIRMAN

[picture of Ralph Verni]

Dear Shareholder:

The markets kept us on our toes, but the past 12 months brought another year of
positive returns for many investors. For a good portion of the year ended April
30, 1997, there were strong profits, low inflation and slow to moderate economic
growth. The Lehman Brothers Aggregate and Government/Corporate Intermediate Bond
Indices gained +7.08% and +6.41%, respectively, and the Standard & Poor's 500
Composite Index increased +25.12% for the year ended April 30, 1997.(1)

However, the first quarter of 1997 saw an increase in economic growth that
exceeded expectations. This growth prompted the Federal Reserve to raise the
Federal Funds rate by one-quarter point in March, the first such increase since
early 1995.

The Fed's tightening had a predictable effect on both the stock and bond
markets. The bond market anticipated and reacted to the Fed's action by
experiencing negative returns for the first quarter. Bonds rallied in April,
however, bringing all sectors back into positive territory for the year, as of
this writing. The stock market, as measured by the Dow Jones Industrial
Average, experienced its most sizable correction since 1990, then continued to
rise, setting a new high. We believe the correction in the stock market was
normal and long overdue. At current levels, we see stock market valuations as
fairly reasonable, given today's relatively low interest rates and inflation.

What's the outlook?
The economy remains quite healthy, with unemployment low and job creation
strong. Corporate profitability and consumer confidence also remain high.
Therefore our outlook remains positive. We recommend that investors stay true
to their long-term investment goals. In time, the markets tend to recover from
short-term setbacks. If you are concerned about the current market environment,
it is always a good idea to consult your investment professional.

Thank you for investing with State Street Research.

Sincerely,

[Ralph F. Verni signature]

Ralph F. Verni
Chairman

April 30, 1997

Please note that the discussion throughout this shareholder report is dated as
indicated and, because of possible changes in viewpoint, data and transactions,
should not be relied upon as being current thereafter.

Performance results for the Fund are increased by the voluntary reduction of
fund fees and expenses. The first figure reflects expense reduction; the second
shows what results would have been without subsidization.

(1)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 Lehman Brothers Aggregate and Government/Corporate Intermediate
Bond Indices are commonly used measures of bond market performance. The indices
are unmanaged. Direct investment in the indices is not possible; results are for
illustrative purposes only.

(2)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.

(3)"C" shares, offered without a sales charge, are available only to certain
employee benefit plans and large institutions.

(4)Cumulative total returns are not annualized.

- --------------------------------------------------------------------------------

FUND INFORMATION (all data are for periods ended April 30, 1997 except where
otherwise noted)
- --------------------------------------------------------------------------------

SEC Average Annual Compound Rates
of Return for periods ended 3/31/97(2,3)

<TABLE>
<CAPTION>
Life of Fund
(since 5/16/94) 1 Year
----------------- --------------
<S> <C> <C>
Class C +6.32%/+5.11% +4.20%/+2.92%
</TABLE>

Average Annual Compound Rates of Return(2,3)

<TABLE>
<CAPTION>
Life of Fund
(since 5/16/94) 1 Year
----------------- --------------
<S> <C> <C>
Class C +6.56%/+5.34% +5.85%/+4.54%
</TABLE>

Cumulative Total Returns(2,4)

<TABLE>
<CAPTION>
Life of Fund
(since 5/16/94) 1 Year
----------------- --------------
<S> <C> <C>
Class C +20.69%/+16.66% +5.85%/+4.54%
</TABLE>

SEC Yield

<TABLE>
<S> <C>
Class C 6.45%/5.32%
</TABLE>

SEC yield is based on the net investment income produced for the 30 days ended
April 30, 1997.

<PAGE>

PORTFOLIO MANAGER'S REVIEW

[picture of John H. Kallis]
John H. Kallis
Portfolio Manager

The following is a discussion with Intermediate Bond Fund portfolio manager John
H. Kallis. Jack has 35 years of investment experience.

Q: How did the Fund perform over the past twelve months?
A: I think the Fund did reasonably well and is positioned for the longer term.
Although interest rates ended the period modestly higher, they experienced wide
fluctuations within that time, which presented a challenging investment
environment.

For the twelve months ended April 30, 1997, Intermediate Bond Fund's Class C
shares generated a total return of +5.85%. The Fund underperformed the Lipper
Analytical Services' Intermediate Investment Grade category, which provided an
average total return of 6.46% for its 181 fund classes. We invested in bonds
with longer maturities as interest rates were rising, aiming for higher yields.
This strategy may have had a negative effect on Fund performance in the short
term, but we believe it could help provide higher total returns in the future.

Q: What factors influenced the investment environment for high-quality bonds?
A: Simply put, it was investors' expectations of economic strength and its
effect on future inflation. The economy showed both bursts of growth and
slowdowns. As that occurred, investors adjusted their outlooks, which caused
interest rates--and bond prices--to fluctuate. Despite these fluctuations,
interest rates were only marginally higher and bond prices modestly lower at
the end of the period. Throughout, inflation was contained.

Foreign investors were attracted to the U.S. bond market because of the U.S.'s
favorable economic outlook and a strengthening dollar. Strong foreign demand
also helped drive bond prices up.

As we ended the period, accelerating economic growth during both the fourth
quarter of 1996 and the first quarter of 1997 had again raised investors'
concerns about future inflation. The Federal Reserve raised the Federal Funds
rate by one-quarter point in March 1997.

What strategies did you use in managing the portfolio?
A: We reduced the portfolio's holdings in mortgage-
backed securities and increased its position in U.S. Treasury securities.
Yields in mortgage-backed securities declined relative to U.S. Treasuries and
we believed that U.S. Treasuries represented better long-term value.

We increased the Fund's duration. Duration measures a portfolio's sensitivity
to changes in interest rates. The Fund's focus on intermediate maturities will
continue to limit its price fluctuations. However, the longer duration improved
the Fund's yield.

The Fund continues to be well-diversified, with 32% of net assets invested in
corporate securities and foreign bonds, which performed well over the past
twelve months.

What is your outlook for high-quality bonds going forward?
A: We think that interest rates could rise modestly over the near term and
decline longer term as higher interest rates slow economic growth. Inflation is
low, but investors are concerned that record-low unemployment and strong
economic growth could stimulate inflation in the future. We think that the
Federal Reserve may raise rates again as a preemptive strike against inflation.
We are looking for a positive environment for intermediate high-quality bonds
as investors benefit from solid economic growth and low inflation.

April 30, 1997

- --------------------------------------------------------------------------------

Asset Allocation
(by percentage of net assets)

[tabular representation of Pie Chart]
U.S. Treasury Securities 54%
Corporate Bonds 31%
Mortgage Securities 7%
Cash 7%
Foreign Government Bonds 1%

[tabular representation of Pie Chart]
Bond Quality Ratings
(by percentage of net assets)

AAA 78%
AA 5%
A 13%
BBB 4%

As rated by Standard & Poor's Corporation or Moody's Investors Service, Inc.,
or unrated but equivalent.
2

<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- --------------------------------------------------------------------------------
April 30, 1997

- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES 93.4%
U.S. Treasury 54.0%
U.S. Treasury Bond, 9.875% ...... $ 175,000 11/15/2015 $ 226,460
U.S. Treasury Note, 6.75% ......... 675,000 5/31/1999 680,798
U.S. Treasury Note, 7.125% ...... 1,475,000 9/30/1999 1,500,119
U.S. Treasury Note, 6.875% ...... 1,175,000 3/31/2000 1,188,583
U.S. Treasury Note, 6.625% ...... 525,000 7/31/2001 526,475
U.S. Treasury Note, 7.50% ......... 200,000 11/15/2001 207,218
U.S. Treasury Note, 6.25% ......... 475,000 2/28/2002 468,616
U.S. Treasury Note, 7.25% ......... 1,325,000 5/15/2004 1,367,851
U.S. Treasury Note, 7.875% ...... 1,725,000 11/15/2004 1,843,059
U.S. Treasury Note, 6.50% ......... 750,000 8/15/2005 738,870
U.S. Treasury Note, 3.375% ...... 151,086 1/15/2007 148,678
---------
8,896,727
---------
U.S. Agency 2.6%
Federal Home Loan Mortgage
Corp. Note, 7.24% ............... 150,000 5/15/2002 149,250
Guaranteed Export Trust
Notes, Series 95-B, 6.13% 264,706 6/15/2004 259,896
Guaranteed Export Trust
Notes, Series 96-A, 6.55% 22,059 6/15/2004 21,916
-------
431,062
-------
U.S. Agency Mortgage 4.1%
Federal National Mortgage
Association, 8.00% ............ 198,867 4/01/2008 204,708
Government National Mortgage
Association, 6.50%............... 64,787 2/15/2009 63,380
Government National Mortgage
Association, 6.50%............... 86,810 5/15/2009 84,924
Government National Mortgage
Association, 9.00%............... 72,682 11/15/2016 77,393
Government National Mortgage
Association REMIC Series
96-6-B, 6.50% .................. 250,000 10/16/2017 244,962
-------
675,367
-------
Canadian-Yankee 6.3%
Hydro Quebec Deb., 13.25% ......... 250,000 12/15/2013 285,777
Province of Manitoba Global
Note, 6.75% ..................... 75,000 3/01/2003 74,202
Province of Ontario Deb.,
11.50 % ........................ 175,000 3/10/2013 189,453
Province of Quebec Deb.,
8.80 % ........................ 250,000 4/15/2003 270,060
Southern Investments Sr.
Note, 6.375% .................. 75,000 11/15/2001 73,077

Principal Maturity Value
Amount Date (Note 1)
------------ ------------ ------------
Talisman Energy Inc. Deb.,
7.125% ........................ $ 150,000 6/01/2007 $ 146,489
-----------
1,039,058
-----------
Foreign Government 1.4%
Australian Dollar
Government of Australia, 10.00% 150,000 2/15/2006 133,152
Canadian Dollar
Government of Canada, 0.00% ...... 50,000 10/16/1997 35,309
European Currency Unit
Government of France, 8.00% . 50,000 4/25/2003 63,176
-----------
231,637
-----------
Finance/Mortgage 18.5%
Associates Corp. of North
America Note, 6.375% ............ $ 150,000 10/15/2002 145,499
Capital One Bank Sr. Note,
7.08 % ........................ 150,000 10/30/2001 149,220
Chase Mortgage Finance
Corp. Series 93L-5, 6.25% ...... 75,000 10/25/2024 72,375
CIT Group Holdings Inc. Note,
6.75 % ........................ 100,000 5/15/2001 99,501
CNA Financial Corp. Note,
6.75 % ........................ 175,000 11/15/2006 166,302
Columbia / HCA Healthcare
Corp. Master Trust Note,
6.87 % ........................ 125,000 9/15/2003 123,751
Countrywide Funding Corp.
Master Trust Note, 6.28% ...... 175,000 1/15/2003 168,131
Countrywide Mortgage Inc.
Series 1994-2 Class A-7,
6.50 % ........................ 150,000 4/25/2008 149,484
Discover Credit Card Trust
Series 1993 A, 6.25% ............ 150,000 8/16/2000 149,859
Finova Capital Corp. Note,
6.375% ........................ 100,000 10/15/2000 98,260
General Motors Acceptance
Corp. Master Trust Note,
7.85 % ........................ 275,000 11/17/1997 277,365
Household Affinity Credit Card
Master Trust Series
1994-1A, 5.57% .................. 150,000 5/15/2001 150,187
Household Finance Corp.
Note, 6.875% .................. 75,000 3/01/2003 74,152
Los Angeles County, California
Pension Series 94-D,
6.65 % ........................ 100,000 6/30/2003 98,702
NationsBank Master Trust
Series 1995-1, 6.45% ............ 575,000 4/15/2003 571,763
</TABLE>

The accompanying notes are an integral part of the financial statements.
3
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------

- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Finance/Mortgage (cont'd)
Prudential Home Mortgage
Securities Co. Series 93-29
A-6 PAC, 6.75% .................................... $ 86,762 8/25/2008 $ 86,355
Prudential Home Mortgage
Series 19 A-5, 7.00% .............................. 110,062 6/25/2023 109,855
Sears Credit Account Master
Trust Series 1995-2, 8.10% 125,000 6/15/2004 128,633
Structured Assets Security
Corp. Series 1996-CFL
A-1C, 5.94% ....................................... 225,000 2/25/2028 221,695
-----------
3,041,089
-----------
Corporate 5.7%
Case Credit Corp. Note, 6.125%. 100,000 2/15/2003 94,921
Chevron Corp. Profit Sharing
Note, 8.11% ....................................... 125,000 12/01/2004 130,130
Darden Restaurants Inc.
Note, 6.375% ....................................... 175,000 2/01/2006 159,630
DeBartolo Capital Partnership
A-2, 7.48%+ ....................................... 150,000 5/01/2004 153,000
Electronic Data Systems Corp.
Note, 6.85%+ ....................................... 250,000 5/15/2000 250,530
Southern California Edison Co.
Deb., 5.875% .................................... 150,000 1/15/2001 144,999
-----------
933,210
-----------

Principal Maturity Value
Amount Date (Note 1)
------------ ------------ ---------------
Trust Certificates 0.8%
Rural Electric Cooperative
Grantor Trust Certificates,
10.11% .......................................... $125,000 12/15/2017 $ 133,774
-----------
Total Fixed Income Securities (Cost $15,591,716)...... 15,381,924
-----------
SHORT-TERM OBLIGATIONS 4.9%
American Express Credit
Corp., 5.50% ....................................... 254,000 5/01/1997 254,000
American Express Credit
Corp., 5.48% ....................................... 176,000 5/01/1997 176,000
American Express Credit
Corp., 5.38% ....................................... 373,000 5/01/1997 373,000
-----------
Total Short-Term Obligations (Cost $803,000) ......... 803,000
-----------
Total Investments (Cost $16,394,716)--98.3% ......... 16,184,924
Cash and Other Assets, Less Liabilities--1.7% ...... 284,048
-----------
Net Assets--100.0% ................................. $16,468,972
===========
Federal Income Tax Information:
At April 30, 1997, the net unrealized depreciation of
investments based on cost for Federal income tax
purposes of $16,404,299 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost .................................... $ 44,094
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value ....................................... (263,469)
-----------
$ (219,375)
===========
</TABLE>

- --------------------------------------------------------------------------------

+ Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
buyers. The total cost and market value of Rule 144A securities owned at April
30, 1997 were $406,108 and $403,530 (2.45% of net assets), respectively.

Forward currency exchange contracts outstanding at April 30, 1997 are as
follows:
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Value
- -------------------------------------------------------------------------------
<S> <C>
Sell Australian dollars, Buy U.S. dollars 32,000 AUD
Sell Australian dollars, Buy U.S. dollars 150,000 AUD
Buy Australian dollars, Sell U.S. dollars 22,000 AUD
Sell Canadian dollars, Buy U.S. dollars 90,000 CAD
Buy Canadian dollars, Sell U.S. dollars 90,000 CAD
Sell Danish krone, Buy U.S. dollars 710,300 DKK
Buy Danish krone, Sell U.S. dollars 352,300 DKK
Buy Danish krone, Sell U.S. dollars 358,000 DKK
Sell European currency units, Buy U.S. dollars 56,000 XEU

<CAPTION>
Unrealized Delivery
Contract Price Appreciation (Depreciation) Date
- ---------------------------------------------------------------------- ---------------------------- ----------
<S> <C> <C> <C>
Sell Australian dollars, Buy U.S. dollars .75560 AUD $ (773) 5/14/97
Sell Australian dollars, Buy U.S. dollars .77920 AUD (41) 7/24/97
Buy Australian dollars, Sell U.S. dollars .77567 AUD 90 5/14/97
Sell Canadian dollars, Buy U.S. dollars .74223 CAD 2,310 5/14/97
Buy Canadian dollars, Sell U.S. dollars .74267 CAD (2,350) 5/14/97
Sell Danish krone, Buy U.S. dollars .15684 DKK 3,541 5/14/97
Buy Danish krone, Sell U.S. dollars .15533 DKK (1,223) 5/14/97
Buy Danish krone, Sell U.S. dollars .15316 DKK (467) 5/14/97
Sell European currency units, Buy U.S. dollars 1.16180 XEU 1,880 5/14/97
-------
$ 2,967
=======
</TABLE>

The accompanying notes are an integral part of the financial statements.
4
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND

- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------

April 30, 1997

<TABLE>
<S> <C>
Assets
Investments, at value (Cost $16,394,716) (Note 1) ...... $16,184,924
Cash ................................................... 9,216
Interest receivable .................................... 277,389
Receivable for securities sold ........................ 226,430
Receivable from Distributor (Note 3) .................. 30,818
Receivable for open forward contracts .................. 7,821
Deferred organization costs and other assets (Note 1).... 48,270
-----------
16,784,868
Liabilities
Payable for securities purchased ..................... 228,715
Accrued transfer agent and shareholder services
(Note 2) ............................................. 14,344
Accrued management fee (Note 2) ........................ 7,373
Payable for open forward contracts ..................... 4,854
Accrued trustees' fees (Note 2) ........................ 4,002
Payable for fund shares redeemed ..................... 149
Other accrued expenses ................................. 56,459
-----------
315,896
-----------
Net Assets $16,468,972
===========
Net Assets consist of:
Undistributed net investment income .................. $ 105,503
Unrealized depreciation of investments ............... (209,792)
Unrealized appreciation of forward contracts and
foreign currency .................................... 2,589
Accumulated net realized loss ........................ (74,047)
Shares of beneficial interest ........................ 16,644,719
-----------
$16,468,972
===========
Net Asset Value, offering price and redemption price
per share of Class C shares ($16,468,972 [divided by]
1,727,276 shares of beneficial interest) ............ $9.53
===========
</TABLE>

- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------

For the year ended April 30, 1997

<TABLE>
<S> <C>
Investment Income
Interest, net of foreign taxes of $750 .................. $1,159,165
Expenses
Management fee (Note 2) .............................. 92,595
Custodian fee .......................................... 76,842
Transfer agent and shareholder services (Note 2) ...... 33,291
Reports to shareholders .............................. 29,167
Audit fee ............................................. 20,354
Registration fees .................................... 18,194
Amortization of organization costs (Note 1) ............ 17,626
Trustees' fees (Note 2) .............................. 15,352
Legal fees ............................................. 10,643
Service fee--Class A (Note 5) ........................ 1,361
Miscellaneous .......................................... 13,150
----------
328,575
Expenses borne by the Distributor (Note 3) ............ (200,948)
----------
127,627
----------
Net investment income ................................. 1,031,538
----------
Realized and Unrealized Gain (Loss)
on Investments, Forward Contracts
and Foreign Currency
Net realized loss on investments (Notes 1 and 4) ...... (91,465)
Net realized gain on forward contracts and foreign
currency (Note 1) .................................... 24,568
----------
Total net realized loss .............................. (66,897)
----------
Net unrealized depreciation of investments ............ (5,765)
Net unrealized depreciation of forward contracts and
foreign currency .................................... (5,041)
----------
Total net unrealized depreciation ..................... (10,806)
----------
Net loss on investments, foreign currency and
forward contracts .................................... (77,703)
----------
Net increase in net assets resulting from operations . $ 953,835
==========
</TABLE>

The accompanying notes are an integral part of the financial statements.
5
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND

- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
Year ended April 30
-------------------------------
1997 1996
--------------- -------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net investment income ............ $ 1,031,538 $ 983,058
Net realized gain (loss) on
investments, forward
contracts and foreign
currency* ..................... (66,897) 426,304
Net unrealized depreciation of
investments, forward
contracts and foreign
currency ..................... (10,806) (341,461)
----------- -----------
Net increase resulting from
operations ..................... 953,835 1,067,901
----------- -----------
Dividends from net
investment income:
Class A ........................ (28,352) (499,811)
Class C ........................ (1,049,495) (491,281)
----------- -----------
(1,077,847) (991,092)
----------- -----------
Distributions from net
realized gains:
Class A ........................ (4,744) (85,667)
Class C ........................ (129,421) (52,497)
----------- -----------
(134,165) (138,164)
----------- -----------
Net increase from fund share
transactions (Note 6) ......... 59,232 2,769,590
----------- -----------
Total increase (decrease) in
net assets .................. (198,945) 2,708,235
Net Assets
Beginning of year ............... 16,667,917 13,959,682
----------- -----------
End of year (including
undistributed net
investment income of
$105,503 and $156,154,
respectively) ............... $16,468,972 $16,667,917
=========== ===========
*Net realized gain (loss) for
Federal income tax
purposes (Note 1) ............ $ (13,811) $ 310,547
=========== ===========
</TABLE>

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
April 30, 1997

Note 1

State Street Research Intermediate Bond Fund (the "Fund"), is a series of State
Street Research Securities Trust (the "Trust"), which was organized as a
Massachusetts business trust in January, 1994 and is registered under the
Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund commenced operations in May, 1994. The Trust
presently consists of two separate funds: State Street Research Intermediate
Bond Fund and State Street Research Strategic Income Fund.

The investment objective of the Fund is to provide total return, consisting
primarily of current income and secondarily of capital appreciation,
commensurate with reasonable investment risk. In seeking to achieve this
investment objective, the Fund invests primarily in a diversified portfolio of
debt securities considered investment grade by one or more nationally
recognized rating agencies or of comparable quality by the Fund's investment
manager.

The Fund is authorized to issue four classes of shares. Only Class C shares are
presently available for purchase. Class A, Class B and Class D shares are not
being offered at this time. Effective March 27, 1997, the Fund discontinued
offering Class A shares. Class A shares were subject to an initial sales charge
of up to 4.50% and an annual service fee of 0.25% of average daily net assets.
Class B shares are subject to a contingent deferred sales charge on certain
redemptions made within five years of purchase and pay annual distribution and
service fees of 1.00%. Class B shares automatically convert into Class A shares
(which pay lower ongoing expenses) at the end of eight years after the issuance
of the Class B shares. Class C shares are only offered to certain employee
benefit plans and large institutions. No sales charge is imposed at the time of
purchase or redemption of Class C shares. Class C shares do not pay any
distribution or service fees. Class D shares are subject to a contingent
deferred sales charge of 1.00% on any shares redeemed within one year of their
purchase. Class D shares also pay annual distribution and service fees of
1.00%. The Fund's expenses are borne pro-rata by each class, except that each
class bears expenses, and has exclusive voting rights with respect to
provisions of the Plan of Distribution, related specifically to that class. The
Trustees declare separate dividends on each class of shares.

The following significant accounting 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. Investment Valuation
Securities are valued by a pricing service, which utilizes market transactions,
quotations from dealers, and various relationships among securities in
determining value. Short-term securities maturing within sixty days are valued
at amortized cost. Securities quoted in foreign currencies are translated into
U.S. dollars at the current exchange rate.

The accompanying notes are an integral part of the financial statements.
6
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
NOTES (cont'd)
- --------------------------------------------------------------------------------

B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered. Gains and losses that arise from
changes in exchange rates are not segregated from gains and losses that arise
from changes in market prices of investments.

C. Net Investment Income
Net investment income is determined daily and consists of interest accrued and
discount earned, less the estimated daily expenses of the Fund. Interest income
is accrued daily as earned. Discount on debt obligations is amortized under the
effective yield method. The Fund is charged for expenses directly attributable
to it, while indirect expenses are allocated between both funds in the Trust.

D. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations. For the year ended April 30, 1997, the Fund has designated as
long-term $89,443 of the distributions from net realized gains.

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 foreign currency transactions.

E. Federal Income Taxes
No provision for Federal income taxes is necessary because the Fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods. At April 30, 1997, the Fund had a capital
loss carryforward of $13,811 available, to the extent provided in regulations,
to offset future capital gains, if any, which expires on April 30, 2005.

In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the Fund is required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the Fund is
permitted to defer into its next fiscal year any net capital losses incurred
between each November 1 and the end of its fiscal year. From November 1, 1996
through April 30, 1997, the Fund incurred net capital losses of approximately
$51,000 and intends to defer and treat such losses as arising in the fiscal
year ended April 30, 1998.

F. Deferred Organization Costs
Certain costs incurred in the organization and registration of the Fund were
capitalized and are being amortized under the straight-line method over a
period of five years.

G. Forward Contracts and Foreign Currencies
The Fund enters into forward foreign currency exchange contracts in order to
hedge its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings and to hedge certain purchase and sale commitments
denominated in foreign currencies. A forward foreign currency exchange contract
is an obligation by the Fund to purchase or sell a specific currency at a
future date, which may be any fixed number of days from the origination date of
the contract. Forward foreign currency exchange contracts establish an exchange
rate at a future date. These contracts are transferable in the interbank market
conducted directly between currency traders (usually large commercial banks)
and their customers. Risks may arise from the potential inability of a
counterparty to meet the terms of a contract and from unanticipated movements
in the value of foreign currencies relative to the U.S. dollar. The aggregate
principal amount of forward currency exchange contracts is recorded in the
Fund's accounts. All commitments are marked-to-market at the applicable
transaction rates resulting in unrealized gains or losses. The Fund records
realized gains or losses at the time the forward contracts are extinguished by
entry into a closing contract or by delivery of the currency. Neither spot
transactions nor forward currency exchange contracts eliminate fluctuations in
the prices of the Fund's portfolio securities or in foreign exchange rates, or
prevent loss if the price of these securities should decline.

H. 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 an agreement under which the Adviser earns
monthly fees at an annual rate of 0.55% 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 April 30, 1997, the fees pursuant to such agreement
amounted to $92,595.

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. In addition, Metropolitan receives a fee for maintenance of
the accounts of certain shareholders who are participants in sponsored
arrangements, employee benefit plans and similar programs or plans, through or
under which shares of the Trust may be purchased. During the year ended April
30, 1997, the amount of such expenses was $9,712.

The fees of the Trustees not currently affiliated with the Adviser amounted to
$15,352 during the year ended April 30, 1997.

7
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------

- --------------------------------------------------------------------------------

Note 3

The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the Fund.
During the year ended April 30, 1997, the amount of such expenses assumed by
the Distributor and its affiliates was $200,948.

Note 4

For the year ended April 30, 1997, purchases and sales of securities, exclusive
of short-term obligations, aggregated $11,484,016 and $10,323,425 (including
$9,318,683 and $7,614,420 of U.S. Government securities), respectively.

Note 5

The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the
"Plan") under the Investment Company Act of 1940. Under the Plan, the Fund pays
annual service fees to the Distributor at a rate of 0.25% of average daily net
assets for Class A, Class B and Class D shares. In addition, the Fund pays
annual distribution fees of 0.75% of average daily net assets for Class B and
Class D shares. The Distributor uses such payments for personal service and/or
the maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing
expenses. For the period May 1, 1996 to March 27, 1997, fees pursuant to such
plan amounted to $1,361 for Class A.

Note 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. At April 30, 1997, Metropolitan
owned 1,406,327 Class C shares of the Fund and the Adviser owned 10,548 Class C
shares of the Fund.

Share transactions were as follows:

<TABLE>
<CAPTION>
Year ended April 30
-----------------------------
1997
-----------------------------
<S> <C> <C>
Class A Shares Amount
- ------------------------------------------------------------------- -------------- --------------
Shares sold ...................................................... -- $ --
Issued upon reinvestment of distribution from net realized gains -- --
Shares repurchased ................................................ (60,764) (585,159)
-------- ----------
Net decrease ................................................... (60,764) $ (585,159)
======== ==========
Class C Shares Amount
- ------------------------------------------------------------------- -------------- --------------
Shares sold ...................................................... 74,900 $ 718,964
Issued upon reinvestment of:
Dividends from net investment income ........................... 18,873 180,151
Distributions from net realized gains ........................... 13,453 129,421
Shares repurchased ............................................. (39,884) (384,145)
-------- ----------
Net increase ................................................... 67,342 $ 644,391
======== ==========

<CAPTION>
1996
--------------------------------
<S> <C> <C>
Class A Shares Amount
- ----------------------------------------------------------------------------------- ----------------
Shares sold ...................................................... 270 $ 2,653
Issued upon reinvestment of distribution from net realized gains 8,595 84,835
Shares repurchased ................................................ (1,005,714) (10,003,474)
----------- ------------
Net decrease ................................................... (996,849) $ (9,915,986)
=========== ============
Class C Shares Amount
- ----------------------------------------------------------------------------------- -------------
Shares sold ...................................................... 1,290,402 $ 12,860,137
Issued upon reinvestment of:
Dividends from net investment income ........................... 12,035 118,427
Distributions from net realized gains ........................... 5,319 52,496
Shares repurchased ............................................. (34,534) (345,484)
----------- ------------
Net increase ................................................... 1,273,222 $ 12,685,576
=========== ============
</TABLE>

8
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

For a share outstanding throughout each year:

<TABLE>
<CAPTION>
Class A
------------------------------------------------------------------
Year ended April 30
May 1, 1996 to ---------------------------------------
March 27, 1997 1996** 1995***
-------------------------- ------------ --------------------------
<S> <C> <C> <C>
Net asset value, beginning of year $ 9.75 $ 9.66 $ 9.55
------ ------ ------
Net investment income* 0.57 0.59 0.54
Net realized and unrealized gain (loss) on investments,
foreign currency and forward contracts (0.15) 0.10 0.01
------ ------ ------
Total from investment operations 0.42 0.69 0.55
------ ------ ------
Dividends from net investment income (0.46) (0.52) (0.44)
Distributions from net realized gains (0.08) (0.08) --
------ ------ -------
Total distributions (0.54) (0.60) (0.44)
------ ------ -------
Net asset value, end of year $ 9.63 $ 9.75 $ 9.66
====== ====== ======
Total return 4.40%++ 7.13%+ 5.96%++
Net assets at end of year (000s) -- $593 $10,222
Ratio of operating expenses to average net assets* 1.00%[dbldag] 1.00% 1.00%[dbldag]
Ratio of net investment income to average net assets* 5.87%[dbldag] 5.91% 5.92%[dbldag]
Portfolio turnover rate 68.61% 117.28% 157.75%
*Reflects voluntary assumption of fees or expenses per share
in each year (Note 3) $0.12 $0.09 $0.11

<CAPTION>
Class C
------------------------------------------------------------------
Year ended April 30
------------------------------------------------------------------
1997** 1996** 1995***
---------------------- ----------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of year $ 9.68 $ 9.67 $ 9.55
------ ------ ------
Net investment income* 0.60 0.61 0.56
Net realized and unrealized gain (loss) on investments,
foreign currency and forward contracts (0.05) 0.09 0.02
------ ------ -----
Total from investment operations 0.55 0.70 0.58
------ ------ -----
Dividends from net investment income (0.62) (0.61) (0.46)
Distributions from net realized gains (0.08) (0.08) --
------ ------ -----
Total distributions (0.70) (0.69) (0.46)
------ ------ -----
Net asset value, end of year $ 9.53 $ 9.68 $ 9.67
====== ====== ======
Total return 5.85%+ 7.25%+ 6.30%++
Net assets at end of year (000s) $16,469 $16,075 3,738
Ratio of operating expenses to average net assets* 0.75% 0.75% 0.75%[dbldag]
Ratio of net investment income to average net assets* 6.14% 6.16% 6.17%[dbldag]
Portfolio turnover rate 68.61% 117.28% 157.75%
*Reflects voluntary assumption of fees or expenses per share
in each year (Note 3). $0.11 $0.11 $0.10
</TABLE>

- --------------------------------------------------------------------------------

[dbldag] Annualized

+ Total return figures do not reflect any front-end or contingent
deferred sales charges. Total return would be lower if the
Distributor and its affiliates had not voluntarily assumed a portion
of the Fund's expenses.
++ Represents aggregate return for the period without annualization and
does not reflect any front-end or contingent deferred sales charges.
Total return would be lower if the Distributor and its affiliates had
not voluntarily assumed a portion of the Fund's expenses.
** Per share figures have been calculated using the average shares method.
*** May 16, 1994 (commencement of operations) to April 30, 1995.

9
<PAGE>

- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------

To the Trustees of State Street Research
Securities Trust and Shareholders of
State Street Research Intermediate Bond Fund:

We have audited the accompanying statement of assets and liabilities of State
Street Research Intermediate Bond Fund, including the schedule of portfolio
investments, as of April 30, 1997, 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
periods indicated therein. 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
April 30, 1997, 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 Intermediate Bond Fund as of April 30, 1997, 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 periods indicated therein, in conformity with generally accepted accounting
principles.

Coopers & Lybrand L.L.P.
Boston, Massachusetts
June 3, 1997

10
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND

- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
- --------------------------------------------------------------------------------

For the twelve months ended April 30, 1997, Intermediate Bond Fund
underperformed Lipper Analytical Services' Intermediate Investment Grade
category. Fund management invested in bonds with longer maturities as interest
rates were rising, aiming for higher yields. This strategy may have had a
negative effect on Fund performance in the short term.

Investor expectations of economic strength and its effect on future inflation
had a sizable impact on high-quality bonds. The economy showed both bursts of
growth and slowdowns. As that occurred, investors adjusted their outlooks, which
caused interest rates-- and bond prices--to fluctuate. Foreign investors were
attracted to the U.S. bond market because of the U.S.'s favorable economic
outlook and a strengthening dollar. Strong foreign demand also helped drive bond
prices up.

Fund management reduced the portfolio's holdings in mortgage-backed securities
and increased the Fund's position in U.S. Treasury securities. Yields in
mortgage-backed securities declined relative to U.S. Treasuries and management
believed that U.S. Treasuries represented better long-term value. Fund
management also increased the Fund's duration, which improved its yield.

April 30, 1997

Change In Value Of $10,000 Based On
The Lehman Brothers Government/Corporate
Intermediate Bond Index
Compared To Change In Value Of $10,000
Invested In Intermediate Bond Fund

[tabular representation of line chart]

Average Annual Total Return
1 Year Life of Fund
+5.85%/+4.54% +6.56%/+5.34%

Class C Shares
Intermediate LB Gov't/Corporate
Bond Fund Bond Index
5/16/94 $ 1,000 $ 1,000
4/30/95 10,630 10,644
4/30/96 11,402 11,479
4/30/97 12,069 12,214

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. "C" shares, offered without a sales charge,
are available only to certain employee benefit plans and large institutions.
Performance results for the Fund are increased by the voluntary reduction of
fund fees and expenses. The first figure reflects expense reduction; the second
shows what results would have been without subsidization. The Lehman Brothers
Government/Corporate Intermediate Bond index is a commonly used measure of bond
market performance. The index is unmanaged. Direct investment in the index is
not possible; results are for illustrative purposes only.

11
<PAGE>

STATE STREET RESEARCH INTERMEDIATE BOND FUND

- --------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH SECURITIES
TRUST
- --------------------------------------------------------------------------------

Fund Information

State Street Research
Intermediate Bond Fund
One Financial Center
Boston, MA 02111

Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111

Distributor
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111

Shareholder Services
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032

Custodian
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 02110

Legal Counsel
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, MA 02109

Independent Accounts
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109

Officers

Ralph F. Verni
Chairman of the Board,
President and
Chief Executive Officer

Bartlett R. Geer
Vice President

John H. Kallis
Vice President

Kim M. Peters
Vice President

Thomas A. Shively
Vice President

Elizabeth McCombs Westvold
Vice President

Gerard P. Maus
Treasurer

Joseph W. Canavan
Assistant Treasurer

Douglas A. Romich
Assistant Treasurer

Francis J. McNamara, III
Secretary and General Counsel

Darman A. Wing
Assistant Secretary and
Assistant General Counsel

Amy L. Simmons
Assistant Secretary

Trustees

Ralph F. Verni
Chairman of the Board,
President, Chief Executive
Officer and Director,
State Street Research &
Management Company

Steve A. Garban
Retired; formerly Senior Vice President for Finance and Operations and
Treasurer, The Pennsylvania State University

Malcolm T. Hopkins
Former Vice Chairman of the Board and Chief Financial
Officer, St. Regis Corp.

Edward M. Lamont
Formerly in banking
(Morgan Guaranty Trust
Company of New York);
presently engaged in private
investments and civic affairs

Robert A. Lawrence
Associate, Saltonstall & Co.

Dean O. Morton
Retired; formerly Executive
Vice President, Chief
Operating Officer and Director,
Hewlett-Packard Company

Thomas L. Phillips
Retired; formerly Chairman of the Board and Chief Executive Officer, Raytheon
Company

Toby Rosenblatt
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.

Michael S. Scott Morton
Jay W. Forrester Professor of
Management, Sloan School
of Management, Massachusetts
Institute of Technology

Jeptha H. Wade
Retired; formerly Of Counsel, Choate, Hall & Stewart

12
<PAGE>

State Street Research Intermediate Bond Fund
One Financial Center
Boston, MA 02111

Bulk Rate
U.S. Postage
PAID
Randolph, MA
Permit No. 600

Questions? Comments?
Call us at 1-800-562-0032,
or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408

[State Street Research Logo]

This report is prepared for the general information of current shareholders.
When used in the general solicitation of investors, this report must be
accompanied by a current State Street Research Intermediate Bond Fund
prospectus. When used after June 30, 1997, this report must be accompanied by
a current Quarterly Performance Update.
Portfolio changes should not be considered recommendations for action by
individual investors.
The Dalbar awards recognize quality shareholder service and should not be
considered a rating of fund performance. The survey included mutual fund
complexes that volunteered or were otherwise selected to participate and was
not industry-wide.

CONTROL NUMBER: 3975-970619(0798)SSR-LD IB-238E-697IBS

<PAGE>

STATE STREET RESEARCH
STRATEGIC INCOME FUND

ANNUAL REPORT
April 30, 1997

WHAT'S INSIDE

Investment Update
About the Fund,
economy and markets

Fund Information
Facts and figures

Plus, Complete Portfolio Holdings
and Financial Statements

[DALBAR Logo]

For Excellence
in
Shareholder Service

STATE STREET RESEARCH FUNDS
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------

INVESTMENT ENVIRONMENT
The Economy
[bullet] Economic growth accelerated somewhat in the latter half of 1996 and
continued to advance into the first few months of 1997, exceeding
expectations.
[bullet] Consumer spending and industrial output steadily advanced during the
eight months ended April 30, 1997. Wages continued to rise during the
period, but consumer prices and inflation remained low.
[bullet] The Federal Reserve raised interest rates by one-quarter percent in
March.

The Markets

[bullet] The Fed's tightening had a predictable effect on both the stock and
bond markets. The bond market anticipated and then reacted to the Fed's
action by experiencing negative returns for the first quarter of 1997
for most sectors. The stock market, as measured by the Dow Jones
Industrial Average, experienced a sizable correction then resumed its
ascent, setting a new high.
[bullet] After rallying in the second half of the year, bond performance lost
momentum late in the fourth quarter of 1996 and into the first part of
1997, but rallied in April in most sectors. Since the Fund's inception
through April 30, 1997, the Lehman Brothers Aggregate Bond Index gained
+1.70%; the Merrill Lynch High Yield Index gained +8.50%; and the
Salomon Brothers World Bond Index lost -2.32%.[1]
[bullet] The Standard & Poor's 500 Composite Index was up +24.50% for the
eight-month period.[1]

THE FUND

Since The Fund's Inception
[bullet] For the eight months ended April 30, 1997, Strategic Income Fund's
Class A shares provided a total return of 5.60%.[2] The Fund's A and C
shares outperformed the average of the 74 fund classes in Lipper
Analytical Services' multi-sector income category, which generated an
average total return of 5.31% for the same period (returns do not
reflect sales charges).
[bullet] The SEC yield for the Fund's Class A shares was 6.89% as of April 30,
1997.
[bullet] The average credit quality of the Fund's bonds was A+ on April 30,
1997.

Current Strategy

[bullet] The Fund's flexible investment strategy enables it to maximize
opportunity by investing in a broad selection of fixed-income sectors.
Strategic Income Fund has 44% of its assets in U.S. government bonds,
41% in high-yield bonds, 11% in international bonds, and 4% in cash.
[bullet] We extended the Fund's duration to increase its yield and position it
for longer-term higher total returns.
[bullet] Both high-grade and high-yield corporate bonds have benefited from an
atmos phere of solid economic growth and strong corporate earnings. We
shifted assets from the high-yield sector to the high-grade sector, as
yields in the high-yield sector fell and we believed the high-quality
sector represented better value.
[bullet] Since inception, the Fund's international sector has been invested in
government bonds issued by the governments of Australia, Canada,
Denmark, France, Italy, Spain, Sweden and the United Kingdom.

[1]The Lehman Brothers Aggregate Bond Index is a commmonly used measure of bond
market performance. The Merrill Lynch High Yield Index is a commonly used
measure of high-yield bond performance. The Salomon Brothers World Bond Index is
a commonly used measure of international bond performance. 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 indices are
unmanaged and do not take transaction charges into consideration. Direct
investment in the indices is not possible; results are for illustrative purposes
only.

[2]+4.96% for Class B shares; +5.76% for Class C shares; +4.96% for Class D
shares. Returns do not reflect sales charges.

[3]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. "C" shares, offered without a sales charge,
are available only to certain employee benefit plans and large institutions.

[4]Performance reflects maximum 4.5% "A" share front-end sales charge or 5% "B"
share or 1% "D" share contingent deferred sales charges, where applicable.
Aggregate total returns are not annualized.

[5]Performance does not reflect sales charges, which, if reflected, would reduce
performance. Aggregate total returns are not annualized.

- --------------------------------------------------------------------------------
FUND INFORMATION (all data are for periods ended April 30, 1997)
- --------------------------------------------------------------------------------

Aggregate Total Returns (8/30/96-3/31/97)
(at maximum applicable sales charge)[3,4]

Life of Fund
(since 8/30/96)
----------------
Class A -0.49%
- -------- ------
Class B -1.37%
- -------- ------
Class C +4.34%
- -------- ------
Class D +2.63%

Aggregate Total Returns (8/30/96-4/30/97)
(do not reflect sales charge)[3,5]

Life of Fund
(since 8/30/96)
----------------
Class A +5.60%
- -------- ------
Class B +4.96%
- -------- ------
Class C +5.76%
- -------- ------
Class D +4.96%

SEC Yield

Class A 6.89%
- -------- ------
Class B 6.47%
- -------- ------
Class C 7.47%
- -------- ------
Class D 6.47%

SEC yield is based on the net investment income produced for the 30 days ended
April 30, 1997.

How The Fund Is Invested
(by percentage of net assets)

Cash 4%
International Bond Sector 11%
High-Yield Corporate Bond Sector 41%
U.S. Government Bond Sector 44%

<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- --------------------------------------------------------------------------------
April 30, 1997

<TABLE>
<CAPTION>
Principal Maturity Value
Amount Date (Note 1)
------------------- ------------ -------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES 92.9%
U.S. Treasury 35.4%
U.S. Treasury Bond, 12.00% ......... $ 1,975,000 8/15/2013 $ 2,752,044
U.S. Treasury Bond, 9.875% ......... 1,000,000 11/15/2015 1,294,060
U.S. Treasury Bond, 8.125% ......... 4,100,000 8/15/2021 4,603,521
U.S. Treasury Bond, 6.25% .......... 400,000 8/15/2023 362,312
U.S. Treasury Note, 6.125% ......... 1,725,000 5/15/1998 1,726,880
U.S. Treasury Note, 6.75% .......... 2,500,000 5/31/1999 2,521,475
U.S. Treasury Note, 6.25% .......... 3,000,000 8/31/2000 2,981,250
U.S. Treasury Note, 6.625% ......... 2,750,000 7/31/2001 2,757,728
U.S. Treasury Note, 7.50% .......... 2,575,000 11/15/2001 2,667,932
U.S. Treasury Note, 6.25% .......... 625,000 2/28/2002 616,600
U.S. Treasury Note, 7.875% ......... 1,875,000 11/15/2004 2,003,325
U.S. Treasury Note, 6.50% .......... 2,050,000 8/15/2005 2,019,578
U.S. Treasury Note, 3.375% ......... 327,353 1/15/2007 322,135
----------
26,628,840
----------
U.S. Agency Mortgage 8.2%
Federal National Mortgage
Association, 9.00% ............... 908,315 5/01/2009 957,037
Federal National Mortgage
Association, 8.00% ............... 470,296 5/01/2016 482,928
Federal National Mortgage
Association TBA, 7.50% ........... 1,000,000 7/17/2012 1,007,734
Government National Mortgage
Association, 8.00% ............... 1,968,281 11/15/2017 2,021,286
Government National Mortgage
Association, 6.50% ............... 534,946 1/15/2024 502,678
Government National Mortgage
Association, 7.50% ............... 563,745 9/15/2025 559,517
Government National Mortgage
Association, 7.00% ............... 660,121 4/15/2026 638,455
----------
6,169,635
----------

Foreign Government 11.1% Australian Dollar
Government of Australia, 7.50% .... 500,000 7/15/2005 384,481
Government of Australia, 10.00% ... 4,025,000 2/15/2006 3,572,906
Canadian Dollar
Government of Canada, 0.00% ........ 1,425,000 10/16/1997 1,006,293
European Currency Unit
Government of France, 8.00% ........ 475,000 4/25/2003 600,177
Italian Lira
Republic of Italy, 9.50% .......... 2,075,000,000 2/01/2001 1,307,528
Spanish Peseta
Government of Spain, 10.90% ........ 96,000,000 8/30/2003 808,618
Pound Sterling
U.K. Treasury, 9.75% ............... 400,000 8/27/2002 717,382
--------------
8,397,385
--------------
<CAPTION>
Principal Maturity Value
Amount Date (Note 1)
------------------- ------------ -------------
Finance/Mortgage 3.1%
BankAmerica Institutional
Capital Series B, 7.70%+ ...... $500,000 12/31/2026 $ 472,560
Citicorp Capital Sec. Note,
7.93% .......................... 550,000 2/15/2027 539,979
Prudential Home Mortgage
Securities Co. Series 93-45
A-2 PAC, 6.75% ............... 362,864 11/25/2007 352,203
Prudential Home Mortgage
Securities Co. Series 93-47
A-11 PAC, 6.10% ............... 375,000 12/25/2023 339,844
Prudential Home Mortgage
Securities Co. Series 94
PAC, 6.50% ..................... 175,000 2/25/2024 164,225
Wells Fargo Capital Sec. Note,
7.73%+ .......................... 500,000 12/01/2026 469,025
-----------
2,337,836
-----------
Corporate 35.1%
Advanced Radio Telecom Corp.
Unit, 14.00% .................. 250,000 2/15/2007 265,000
Alvey Systems Inc. Sr. Sub.
Note, 11.375% .................. 500,000 1/31/2003 515,000
American Telecasting Inc.
Sr. Disc. Note, 0.00% to
6/14/99, 14.50% from
6/15/99 to maturity ............ 450,000 6/15/2004 153,000
Benedek Communications Corp.
Sr. Sub. Note, 0.00% to
5/14/2001, 13.25% from
5/15/2001 to maturity ......... 1,500,000 5/15/2006 862,500
Busse Broadcasting Corp. Sr.
Sec. Note, 11.625% ............ 500,000 10/15/2000 526,250
Cafeteria Operators L.P. Sr. Sec.
Note, 12.00% .................. 500,000 12/31/2000 480,000
Capstar Broadcasting Partners
Sr. Note, 0.00% to
1/31/2002, 12.75% from
2/1/2002 to maturity+ ......... 500,000 2/01/2009 278,750
CHC Helicopter Corp. Sr. Sub.
Note, 11.50% .................. 1,000,000 7/15/2002 1,030,000
Clearnet Communications Inc.
Sr. Note, 0.00% to
12/14/2000, 14.75% from
12/15/2000 to maturity ......... 500,000 12/15/2005 305,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
Principal Maturity Value
Amount Date (Note 1)
------------ ------------ -------------
<S> <C> <C> <C>
Corporate (cont'd)
Coleman Worldwide Corp. Sr.
Sec. Liquid Yield Option
Note, 0.00% ............................ $4,000,000 5/27/2013 $ 1,230,000
Empire Gas Corp. Sr. Sec.
Note, 7.00% to 7/14/99,
12.875% from 7/15/99 to
maturity ............................... 750,000 7/15/2004 652,500
Envirosource Inc. Note, 9.75% .......... 1,500,000 6/15/2003 1,462,500
Geotek Communications Inc.
Sr. Note Series B, 0.00% to
7/14/2000, 15.00% from
7/15/2000 to maturity ................ 250,000 7/15/2005 137,500
Grand Union Co. Sr. Note,
12.00% ............................... 250,000 9/01/2004 238,750
Intertek Financial Corp. Sr. Sub.
Note, 10.25%+ ......................... 500,000 11/01/2006 517,500
Ionica PLC Sr. Note, 13.50% ............. 1,000,000 8/15/2006 1,010,000
L3 Communications Corp. Sr.
Sub. Note, 10.375%+ ................... 250,000 5/01/2007 257,500
La Petite Holdings Corp. Sr.
Sec. Note, 9.625% ...................... 1,500,000 8/01/2001 1,455,000
Marcus Cable Co. L.P. Sr. Deb.,
11.875% ............................... 500,000 10/01/2005 522,500
Mobile Telecommunication
Technology, Inc. Sr. Sub.
Disc. Note, 13.50% ................... 750,000 12/15/2002 742,500
Muzak L.P. Sr. Note, 10.00% ............. 250,000 10/01/2003 252,500
NS Group Inc. Sr. Sec. Note,
13.50% ............................... 250,000 7/15/2003 275,000
Orion Network Systems Inc. Sr.
Unit, 11.25% ......................... 1,000,000 1/15/2007 1,000,000
Outdoor Systems Inc. Sr. Sub.
Note, 9.375% ......................... 500,000 10/15/2006 491,375
Packaging Resources Inc. Sr.
Sec. Note, 11.625% ................... 750,000 5/01/2003 772,500
Pagemart Inc. Sr. Disc. Exch.
Note, 0.00% to 10/31/98,
12.25% from 11/1/98 to
maturity ............................... 750,000 11/01/2003 596,250
Premier Parks Inc. Sr. Note,
12.00% ............................... 500,000 8/15/2003 550,000
Pricellular Wireless Corp. Sr.
Note, 10.75% ......................... 125,000 11/01/2004 128,750
Quest Diagnostics Inc. Sr. Sub.
Note, 10.75% ......................... 750,000 12/15/2006 789,375

Principal Maturity Value
Amount Date (Note 1)
------------ ------------ -------------
RSL Communications Ltd. Unit,
12.25%+ ............................... $ 500,000 11/15/2006 $ 500,000
Sheffield Steel Corp. First
Mortgage Note, 12.00% ................ 750,000 11/01/2001 705,000
Spanish Broadcasting Systems
Inc. Sr. Note, 7.50% ................... 1,000,000 6/15/2002 1,070,000
Spinnaker Industries Inc. Sr.
Sec. Note, 10.75%+ ................... 250,000 10/15/2006 252,500
Star Market Inc. Sr. Sub. Note,
13.00% ............................... 500,000 11/01/2004 560,000
Sun Media Corp. Sr. Sub. Note,
9.50%+ ............................... 500,000 2/15/2007 482,500
Tekni Plex Inc. Sr. Sub. Note,
11.25%+ ............................... 500,000 4/01/2007 518,750
Tokheim Corp. Sr. Sub. Note,
11.50% ............................... 1,000,000 8/01/2006 1,065,000
Tracor Inc. Sr. Sub. Note,
8.50%+ ............................... 250,000 3/01/2007 245,000
TransAmerican Refining Corp.
Sr. Note, 0.00% to 2/14/98,
18.50% from 2/15/98 to
8/14/98, 18.00% from
8/15/98 to maturity ................... 500,000 2/15/2002 533,750
TransTexas Gas Corp. Sr. Sec.
Note, 11.50% ......................... 1,000,000 6/15/2002 1,112,500
U.S.A. Mobile Communications
Inc. Sr. Note, 14.00% ................ 1,000,000 11/01/2004 1,015,000
Wireless One Inc. Sr. Disc.
Note, 13.00% ......................... 1,000,000 10/15/2003 650,000
Wireless One Inc. Sr. Note,
0.00% to 7/31/2001, 13.50%
from 8/1/2001 to maturity ............. 750,000 8/01/2006 213,750
------------
26,421,250
------------
Total Fixed Income Securities (Cost $70,591,949) ........................ 69,954,946
------------

- --------------------------------------------------------------------------------
Shares
- --------------------------------------------------------------------------------
COMMON STOCKS & OTHER 2.6%
Ameriking Inc. Com.+ ............................. 300 15,000
Ameriking Inc. Sr. Exch. Pfd.* .................... 12,000 318,000
Hollinger International, Inc. Cv. Pfd. ............. 140,000 1,452,500
Ionica PLC Wts.+ ................................... 1,000 145,000
Wireless One Inc. Wts.* .......................... 750 375
------------
Total Common Stocks & Other (Cost $1,934,511) ..... 1,930,875
------------
</TABLE>

The accompanying notes are an integral part of the financial statements.

3
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
Principal Maturity Value
Amount Date (Note 1)
------------ ------------ -------------
<S> <C> <C> <C>
SHORT-TERM OBLIGATIONS 5.9%
American Express Credit Corp.,
5.48% ........................ $ 774,000 5/01/1997 $ 774,000
American Express Credit Corp.,
5.50% ........................ 2,008,000 5/02/1997 2,008,000
J.P. Morgan & Co. Inc., 5.60% . 1,668,000 5/01/1997 1,668,000
-------------
Total Short-Term Obligations (Cost $4,450,000) ............ 4,450,000
-------------
Total Investments (Cost $76,976,460)--101.4%............... 76,335,821
Cash and Other Assets, Less Liabilities--(1.4%) ......... (1,049,244)
--------------
Net Assets--100.0% ......................................... $75,286,577
==============

Federal Income Tax Information:
At April 30, 1997, the net unrealized
depreciation of investments based on cost
for Federal income tax purposes of
$77,006,663 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess
of value over tax cost $ 746,100
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over value (1,416,942)
--------------
$ (670,842)
==============
</TABLE>
- --------------------------------------------------------------------------------
* Nonincome-producing securities
+ Security restricted in accordance with Rule 144A under the Securities Act
of 1933, which allows for the resale of such securities among certain
qualified buyers. The total cost and market value of Rule 144A securities
owned at April 30, 1997 were $4,076,068 and $4,154,085 (5.52% of net
assets), respectively.
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary
settlement time. Although the unit price has been established, the
principal value has not been finalized and may vary by no more than 1%.

Forward currency exchange contracts outstanding at April 30, 1997 are as
follows:

<TABLE>
<CAPTION>
Unrealized
Appreciation Delivery
Total Value Contract Price (Depreciation) Date
- -------------------------------------------------- ---------------------- ---------------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Sell Australian dollars, Buy U.S. dollars 2,120,000 AUD .75570 AUD $(50,974) 5/14/97
Buy Australian dollars, Sell U.S. dollars 341,300 AUD .77567 AUD 1,391 5/14/97
Sell Australian dollars, Buy U.S. dollars 948,300 AUD .75560 AUD (22,896) 5/14/97
Sell Australian dollars, Buy U.S. dollars 2,075,000 AUD .77920 AUD (569) 7/24/97
Sell Danish krone, Buy U.S. dollars 11,212,000 DKK .15684 DKK 55,899 5/14/97
Buy Danish krone, Sell U.S. dollars 3,182,000 DKK .15622 DKK (13,884) 5/14/97
Buy Danish krone, Sell U.S. dollars 8,030,000 DKK .15316 DKK (10,482) 5/14/97
Buy Danish krone, Sell U.S. dollars 1,650,000 DKK .15305 DKK (1,972) 5/14/97
Sell Danish krone, Buy U.S. dollars 1,650,000 DKK .15680 DKK 8,149 5/14/97
Sell Spanish peseta, Buy U.S. dollars 68,500,000 ESP .00702 ESP 12,125 5/14/97
Buy Spanish peseta, Sell U.S. dollars 53,300,000 ESP .00701 ESP (9,120) 5/14/97
Sell Spanish peseta, Buy U.S. dollars 91,000,000 ESP .00693 ESP 7,723 7/24/97
Sell Pound sterling, Buy U.S. dollars 425,000 GBP 1.63700 GBP 7,966 7/24/97
Sell Italian lira, Buy U.S. dollars 1,725,000,000 ITL .00060 ITL 33,866 5/14/97
Sell Italian lira, Buy U.S. dollars 325,000,000 ITL .00060 ITL 4,294 5/14/97
Sell European currency units, Buy U.S. dollars 530,000 XEU 1.16180 XEU 17,791 5/14/97
---------------
$ 39,307
===============
</TABLE>

The accompanying notes are an integral part of the financial statements.

4
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

Assets
Investments, at value (Cost $76,976,460) (Note 1) $76,335,821
Cash 1,820
Receivable for securities sold 1,389,549
Interest and dividends receivable 1,604,646
Receivable for fund shares sold 331,523
Receivable for open forward contracts 149,204
Receivable from Distributor (Note 3) 20,740
Deferred organization costs and other assets (Note 1) 80,645
--------------
79,913,948
Liabilities
Payable for securities purchased 4,030,501
Dividends payable 321,993
Payable for open forward contracts 109,897
Accrued management fee (Note 2) 44,588
Accrued distribution and service fees (Note 5) 29,347
Accrued trustees' fees (Note 2) 7,675
Payable for fund shares redeemed 5,463
Accrued transfer agent and shareholder services (Note 2) 2,101
Other accrued expenses 75,806
--------------
4,627,371
--------------
Net Assets $75,286,577
==============
Net Assets consist of:
Undistributed net investment income $ 150,952
Unrealized depreciation of investments (640,639)
Unrealized appreciation of forward contracts and foreign
currency 34,411
Accumulated net realized gain 149,838
Shares of beneficial interest 75,592,015
--------------
$75,286,577
==============
Net Asset Value and redemption price per share of Class A
shares ($36,110,259 / 5,115,405 shares of beneficial
interest) $7.06
=====
Maximum Offering Price per share of Class A shares ($7.06 /
.955) $7.39
=====
Net Asset Value, offering price and redemption price per
share of Class B shares ($19,678,491 / 2,792,908 shares of
beneficial interest)* $7.05
=====
Net Asset Value, offering price and redemption price per
share of Class C shares ($10,908,001 / 1,545,163 shares of
beneficial interest) $7.06
=====
Net Asset Value and offering price and redemption price per
share of Class D shares ($8,589,826 / 1,219,128 shares of
beneficial interest)* $7.05
=====
- --------------------------------------------------------------------------------
*Redemption price per share for Class B and Class D is equal to net asset
value less any applicable contingent deferred sales charge.

- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the period August 30, 1996 (commencement of operations) to April 30, 1997

Investment Income
Interest, net of foreign taxes of $23,786 $3,153,766
Dividends 66,571
--------------
3,220,337
Expenses
Management fee (Note 2) 277,871
Custodian fee 83,073
Service fee--Class A (Note 5) 50,918
Distribution and service fees--Class B (Note 5) 67,417
Distribution and service fees--Class D (Note 5) 36,591
Registration fees 29,023
Reports to shareholders 22,138
Audit fee 17,313
Trustees' fees (Note 2) 11,600
Amortization of organization costs (Note 1) 10,810
Legal fees 9,895
Transfer agent and shareholder services (Note 2) 6,321
Miscellaneous 3,016
--------------
625,986
Expenses borne by the Distributor (Note 3) (63,516)
--------------
562,470
--------------
Net investment income 2,657,867
--------------
Realized and Unrealized Gain (Loss) on Investments, Foreign
Currency and Forward Contracts
Net realized loss on investments (Notes 1 and 4) (350,254)
Net realized gain on forward contracts and foreign currency
(Note 1) 628,169
--------------
Total net realized gain 277,915
--------------
Net unrealized depreciation of investments (640,639)
Net unrealized appreciation of forward contracts and foreign
currency 34,411
--------------
Total net unrealized depreciation (606,228)
--------------
Net loss on investments, foreign currency and forward
contracts (328,313)
--------------
Net increase in net assets resulting from operations $2,329,554
==============

The accompanying notes are an integral part of the financial statements.

<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

Increase (Decrease) in Net Assets
Operations:
Net investment income $ 2,657,867
Net realized gain on investments, foreign currency and
forward contracts 277,915
Net unrealized depreciation of investments, foreign currency
and forward contracts (606,228)
--------------
Net increase resulting from operations 2,329,554
--------------
Dividend from net investment income:
Class A (1,394,457)
Class B (441,102)
Class C (442,284)
Class D (234,066)
--------------
(2,511,909)
--------------
Distribution from net realized gains:
Class A (69,832)
Class B (23,447)
Class C (21,004)
Class D (12,082)
--------------
(126,365)
--------------
Net increase from fund share transactions (Note 6) 75,595,297
--------------
Total increase in net assets 75,286,577
Net Assets
Beginning of period --
--------------
End of period (including undistributed net investment income
of $150,952) $75,286,577
==============
*Net realized gain for Federal income tax purposes (Note 1) $ 306,405
==============

Note 1

State Street Research Strategic Income Fund (the "Fund"), is a series of
State Street Research Securities Trust (the "Trust"), which was organized as
a Massachusetts business trust in January, 1994 and is registered under the
Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund commenced operations in August, 1996. The Trust
consists presently of two separate funds: State Street Research Strategic
Income Fund and State Street Research Intermediate Bond Fund.

The investment objective of the Fund is to provide high current income
consistent with overall total return. In seeking to achieve its investment
objective, the Fund invests primarily in U.S. Government securities; high
yield, high risk debt securities (commonly known as "junk bonds"), as well as
investment grade debt, of U.S. issuers; and international debt securities of
governmental and private issuers.

The Fund offers four classes of shares. Class A shares are subject to an initial
sales charge of up to 4.50% and an annual service fee of 0.25% of average daily
net assets. Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within five years of purchase and pay annual
distribution and service fees of 1.00%. Class B shares automatically convert
into Class A shares (which pay lower ongoing expenses) at the end of eight years
after the issuance of the Class B shares. Class C shares are only offered to
certain employee benefit plans and large institutions. No sales charge is
imposed at the time of purchase or redemption of Class C shares. Class C shares
do not pay any distribution or service fees. Class D shares are subject to a
contingent deferred sales charge of 1.00% on any shares redeemed within one year
of their purchase. Class D shares also pay annual distribution and service fees
of 1.00%. The Fund's expenses are borne pro-rata by each class, except that each
class bears expenses, and has exclusive voting rights with respect to provisions
of the Plan of Distribution, related specifically to that class. The Trustees
declare separate dividends on each class of shares.

The following significant accounting 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. Investment Valuation
Securities are valued by a pricing service, which utilizes market
transactions, quotations from dealers, and various relationships among
securities in determining value. Short-term securities maturing within sixty
days are valued at amortized cost. Securities quoted in foreign currencies
are translated into U.S. dollars at the current exchange rate.

B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis
of identified cost of securities delivered. Gains and losses that arise from
changes in exchange rates are not segregated from gains and losses that arise
from changes in market prices of investments.

The accompanying notes are an integral part of the financial statements.

<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------
NOTES (cont'd)
- --------------------------------------------------------------------------------

C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of
the Fund. Interest income is accrued daily as earned. Dividend income is
accrued on the ex-dividend date. Discount on debt obligations is amortized
under the effective yield method. The Fund is charged for expenses directly
attributable to it, while indirect expenses are allocated between both funds
in the Trust.

D. Dividends
Dividends from net investment income are declared daily and paid or
reinvested monthly. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.

E. Federal Income Taxes
No provision for Federal income taxes is necessary because the Fund intends
to qualify under Subchapter M of the Internal Revenue Code and its policy is
to distribute all of its taxable income, including net realized capital
gains, within the prescribed time periods.

G. Forward Contracts and Foreign Currencies
The Fund enters into forward foreign currency exchange contracts in order to
hedge its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings and to hedge certain purchase and sale commitments
denominated in foreign currencies. A forward foreign currency exchange contract
is an obligation by the Fund to purchase or sell a specific currency at a future
date, which may be any fixed number of days from the origination date of the
contract. Forward foreign currency exchange contracts establish an exchange rate
at a future date. These contracts are transferable in the interbank market
conducted directly between currency traders (usually large commercial banks) and
their customers. Risks may arise from the potential inability of a counterparty
to meet the terms of a contract and from unanticipated movements in the value of
foreign currencies relative to the U.S. dollar. The aggregate principal amount
of forward currency exchange contracts is recorded in the Fund's accounts. All
commitments are marked-to-market at the applicable transaction rates resulting
in unrealized gains or losses. The Fund records realized gains or losses at the
time the forward contracts are extinguished by entry into a closing contract or
by delivery of the currency. Neither spot transactions nor forward currency
exchange contracts eliminate fluctuations in the prices of the Fund's portfolio
securities or in foreign exchange rates, or prevent loss if the price of these
securities should decline.

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 an agreement under which the Adviser
earns monthly fees at an annual rate of 0.75% 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 period August 30, 1996 (commencement of operations)
to April 30, 1997, the fees pursuant to such agreement amounted to $277,871.

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 period August 30, 1996 (commencement of
operations) to April 30, 1997, the amount of such expenses was $6,254.

The fees of the Trustees not currently affiliated with the Adviser amounted
to $11,600 during the period August 30, 1996 (commencement of operations) to
April 30, 1997.

Note 3
The Distributor and its affiliates may from time to time and in varying
amounts voluntarily assume some portion of fees or expenses relating to the
Fund. During the period August 30, 1996 (commencement of operations) to April
30, 1997, the amount of such expenses assumed by the Distributor and its
affiliates was $63,516.

Note 4
For the period August 30, 1996 (commencement of operations) to April 30,
1997, purchases and sales of securities, exclusive of short-term obligations,
aggregated $127,762,990 and $55,108,235 (including $52,903,199 and
$20,097,941 of U.S. Government securities), respectively.

<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------

Note 5
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940. Under the Plan, the Fund will pay
annual service fees to the Distributor at a rate of 0.25% of average daily net
assets for Class A, Class B and Class D shares. In addition, the Fund will pay
annual distribution fees of 0.75% of average daily net assets for Class B and
Class D shares. The Distributor uses such payments for personal service and/or
the maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing expenses.
For the period August 30, 1996 (commencement of operations) to April 30, 1997,
fees pursuant to such plan amounted to $50,918, $67,417 and $36,591 for Class A,
Class B and Class D, respectively.

The Fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly-owned subsidiary of Metropolitan, earned initial sales charges
aggregating $33,102 and $137,979, respectively, on sales of Class A shares of
the Fund during the period August 30, 1996 (commencement of operations) to April
30, 1997, and that MetLife Securities, Inc. earned commissons aggregating
$213,262 on sales of Class B shares, and that the Distributor collected
contingent deferred sales charges aggregating $10,985 and $6,571 on redemptions
of Class B and Class D shares, respectively, during the same period.

Note 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. At April 30, 1997, Metropolitan
owned 3,579,343 Class A shares and 1,288,560 Class C shares of the Fund and the
Adviser owned one share of each of Class A, Class B, Class C and Class D shares
of the Fund.

Share transactions were as follows:

August 30, 1996
(Commencement of
Operations) to
April 30, 1997
-----------------------------
Class A Shares Amount
----------------------------------------------- -------------- --------------
Shares sold 5,223,108 $36,828,959
Issued upon reinvestment of:
Dividend from net investment income 28,848 206,117
Distribution from net realized gains 9,432 68,100
Shares repurchased (145,983) (1,045,400)
-------------- --------------
Net increase 5,115,405 $36,057,776
============== ==============

Class B Shares Amount
----------------------------------------------- -------------- --------------
Shares sold 2,999,935 $21,442,086
Issued upon reinvestment of:
Dividend from net investment incom 25,978 185,010
Distribution from net realized gains 2,030 14,616
Shares repurchased (235,035) (1,686,127)
-------------- --------------
Net increase 2,792,908 $19,955,585
============== ==============

Class C Shares Amount
----------------------------------------------- -------------- --------------
Shares sold 1,545,061 $10,861,897
Issued upon reinvestment of:
Dividend from net investment income 2,993 21,210
Distribution from net realized gains 2,899 20,952
Shares repurchased (5,790) (41,454)
-------------- --------------
Net increase 1,545,163 $10,862,605
============== ==============
Class D Shares Amount
----------------------------------------------- -------------- --------------
Shares sold 1,451,840 $10,376,070
Issued upon reinvestment of:
Dividend from net investment income 6,358 45,216
Distribution from net realized gains 1,044 7,497
Shares repurchased (240,114) (1,709,452)
-------------- --------------
Net increase 1,219,128 $ 8,719,331
============== ==============

8
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

For a share outstanding from August 30, 1996 (commencement of operations) to
April 30, 1997**

<TABLE>
<CAPTION>
Class A Class B Class C Class D
----------------------------------------------------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $7.00 $7.00 $7.00 $7.00
----------- ----------- ----------- -----------
Net investment income* 0.38 0.31 0.39 0.32
Net realized and unrealized gain on investments, foreign
currency and forward contracts 0.01 0.04 0.02 0.03
----------- ----------- ----------- -----------
Total from investment operations 0.39 0.35 0.41 0.35
----------- ----------- ----------- -----------
Dividend from net investment income (0.31) (0.28) (0.33) (0.28)
Distribution from net realized gains (0.02) (0.02) (0.02) (0.02)
----------- ----------- ----------- -----------
Total distributions (0.33) (0.30) (0.35) (0.30)
----------- ----------- ----------- -----------
Net asset value, end of period $7.06 $7.05 $7.06 $7.05
=========== =========== =========== ===========
Total return 5.60%+ 4.96%+ 5.76%+ 4.96%+
Net assets at end of period (000s) $36,110 $19,678 $10,908 $8,590
Ratio of operating expenses to average net assets* 1.35%++ 2.10%++ 1.10%++ 2.10%++
Ratio of net investment income to average net assets* 7.30%++ 6.73%++ 7.51%++ 6.67%++
Portfolio turnover rate 110.37% 110.37% 110.37% 110.37%
*Reflects voluntary assumption of fees or expenses per
share (Note 3) $0.01 $0.01 $0.01 $0.01
</TABLE>

+ Represents aggregate return for the period without annualization and does
not reflect any front-end or contingent deferred sales charge. Total return
would be lower if the Distributor and its affiliates had not voluntarily
assumed a portion of the Fund's expenses.
++ Annualized.
** Per share figures have been calculated using the average shares method.

<PAGE>

- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------

To the Trustees of State Street Research
Securities Trust and Shareholders of
State Street Research Strategic Income Fund:

We have audited the accompanying statement of assets and liabilities of State
Street Research Strategic Income Fund, including the schedule of portfolio
investments, as of April 30, 1997, and the related statements of operations and
changes in net assets and the financial highlights for the period August 30,
1996 (commencement of operations) to April 30, 1997. 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 audit.

We conducted our audit 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 April 30, 1997, 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 audit provides 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 Strategic Income Fund as of April 30, 1997, the results of its
operations and changes in its net assets and the financial highlights for the
period August 30, 1996 (commencement of operations) to April 30, 1997, in
conformity with generally accepted accounting principles.

Coopers & Lybrand L.L.P.
Boston, Massachusetts
June 3, 1997

10
<PAGE>

STATE STREET RESEARCH STRATEGIC INCOME FUND

Fund Information
State Street Research
Strategic Income Fund
One Financial Center
Boston, MA 02111

Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111

Distributor
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111

Shareholder Services
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032

Custodian
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 0211

Legal Counsel
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, MA 02109

Independent Accountants
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109

Officers
Ralph F. Verni
Chairman of the Board, President and Chief Executive Officer

Bartlett R. Geer
Vice President

John H. Kallis
Vice President

Kim M. Peters
Vice President

Thomas A. Shively
Vice President

Elizabeth McCombs Westvold
Vice President

Gerard P. Maus
Treasurer

Joseph W. Canavan
Assistant Treasurer

Douglas A. Romich
Assistant Treasurer

Francis J. McNamara, III
Secretary and General Counsel

Darman A. Wing
Assistant Secretary and
Assistant General Counsel

Amy L. Simmons
Assistant Secretary

Trustees
Ralph F. Verni
Chairman of the Board, President, Chief Executive Officer and Director, State
Street Research & Management Company

Steve A. Garban
Retired; formerly Senior Vice President for Finance and Operations and
Treasurer, The Pennsylvania State University

Malcolm T. Hopkins
Former Vice Chairman of the Board and Chief Financial Officer, St. Regis Corp.

Edward M. Lamont
Formerly in banking
(Morgan Guaranty Trust Company of New York); presently engaged in private
investments and civic affairs

Robert A. Lawrence
Associate, Saltonstall & Co.

Dean O. Morton
Retired; formerly Executive Vice President, Chief Operating Officer and
Director, Hewlett-Packard Company

Thomas L. Phillips
Retired; formerly Chairman of the Board and Chief Executive Officer, Raytheon
Company

Toby Rosenblatt
President, The Glen Ellen Company Vice President, Founders Investments Ltd.

Michael S. Scott Morton
Jay W. Forrester Professor of
Management, Sloan School of Management, Massachusetts Institute of Technology

Jeptha H. Wade
Retired; formerly Of Counsel, Choate, Hall & Stewart

11
<PAGE>

State Street Research Strategic Income Fund
One Financial Center
Boston, MA 02111

Bulk Rate
U.S. Postage
PAID
Randolph, MA
Permit No. 600

Questions? Comments?
Call us at 1-800-562-0032,
or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408

[State Street Research Logo]

This report is prepared for the general information of current shareholders.

When used in the general solicitation of investors, this report must be
accompanied by a current State Street Research Strategic Income Fund
prospectus. When used after June 30, 1997, this report must be accompanied by
a current Quarterly Performance Update.

Portfolio changes should not be considered recommendations for action by
individual investors.

The Dalbar awards recognize quality shareholder service and should not be
considered a rating of fund performance. The survey included mutual fund
complexes that volunteered or were otherwise selected to participate and was
not industry-wide.

CONTROL NUMBER: 3976-970619(0798)SSR-LD SI-666E-697IBS
Cover Illustration by Dorothy Cullinan