<PAGE>   1
                                    FORM 10-K

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                     ANNUAL REPORT UNDER SECTION 13 OR 15(d)
                     OF THE SECURITIES EXCHANGE ACT OF 1934



For Fiscal Year Ended                                    December 31, 1997


Commission file number                                   2-83192


The Equity Income Fund, First Exchange Series - AT&T Shares

             (Exact name of registrant as specified in its charter)

New York                                              13-6824382

(State or other jurisdiction                          (I.R.S. Employer
of incorporation)                                     Identification No.)

Merrill Lynch, Pierce, Fenner                         Prudential Securities
& Smith Incorporated                                    Incorporated
P.O. Box 9051                                         One Seaport Plaza
Princeton, New Jersey  08543-9051                     199 Water Street
                                                      New York, New York  10292

Morgan Stanley Dean Witter                            Smith Barney Inc.
Two World Trade Center                                388 Greenwich Street
New York, New York  10048                             New York, New York  10013


             (Addresses of principal executive offices of Sponsors)


         The Bank of New York, 101 Barclay Street, New York, N.Y. 10286

               (Address of principal executive offices of Trustee)


                                 (212) 815-2887

                (Trustee's telephone number, including area code)
<PAGE>   2
Securities registered pursuant to Section 12(b) of the Act:


                                                        NAME OF EACH EXCHANGE
TITLE OF EACH CLASS                                     ON WHICH REGISTERED

Units of Beneficial Interest                            American Stock
  in The Equity Income Fund,                              Exchange, Inc.
  First Exchange Series -
  AT&T Shares                                           Pacific Stock Exchange,
                                                          Incorporated


Securities registered pursuant to Section 12(g) of the Act: None

         Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No __.

         Indicate by check mark if disclosure of delinquent filers pursuant to
Item 405 of Regulation S-K is not contained herein, and will not be contained,
to the best of registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K. __.

         The aggregate market value of units of beneficial interest held of
record on the books of the Trustee by non-affiliates of the registrant as of
February 28, 1998 was $1,807,859,419.21.

         The aggregate market value of the voting and non-voting common equity
held by non-affiliates of the registrant is not applicable.
<PAGE>   3
PART I

Item 1.  Business.

         The Equity Income Fund, First Exchange Series - AT&T Shares (the
"Fund") was formed in 1983 as a unit investment trust under New York law and in
accordance with the Investment Company Act of 1940 by a trust indenture among
Merrill Lynch, Pierce, Fenner & Smith Incorporated, Morgan Stanley Dean Witter,
Prudential Securities Incorporated and Smith Barney Inc. as Sponsors and The
Bank of New York as Trustee.

         The Fund was formed for the purpose of permitting an investor in common
shares of the predivestiture American Telephone and Telegraph Company ("AT&T")
to hold an investment in AT&T and the seven regional holding companies created
pursuant to the AT&T Plan of Reorganization in the form of units of beneficial
interest (the "Units") of the Fund, which consists solely of shares of AT&T
common stock and those securities which are distributed to holders of such AT&T
common stock pursuant to the reorganization. The Fund is not sponsored by, or
affiliated with, AT&T or any of the regional holding companies.

Item 2.  Properties.

         The Fund owns no physical properties.

Item 3.  Legal Proceedings.

         None.

Item 4.  Submission Of Matters To A Vote Of Security Holders.

         None.




                                      - 1 -
<PAGE>   4
                                     PART II

Item 5.  Market For Registrant's Common Equity And Related Stockholder Matters.

(a)

         (i) Market Information

         The principal United States markets in which Units of the Fund are
traded are the American Stock Exchange, Inc. and the Pacific Stock Exchange,
Incorporated.

         The following are the high and low sale prices of Units of the Fund
during each quarter for the last two fiscal years in which the Units were traded
on the American Stock Exchange, Inc., which was the principal exchange market
for the Units:

<TABLE>
<CAPTION>
                                         HIGH SALE                 LOW SALE
QUARTER ENDED                              PRICE                     PRICE
-------------                            ----------                ---------
<S>                                       <C>                      <C>
March 31, 1996                            $  93.375                $  79.625
June 30, 1996                                84.500                   78.750
September 30, 1996                           83.000                   73.250
December 31, 1996                            85.875                   75.625
March 31, 1997                               89.750                   81.825
June 30, 1997                                95.262                   79.250
September 30, 1997                          100.000                   92.925
December 31, 1997                           120.125                  101.475
</TABLE>

         (ii) Holders

         There were 5279 record holders of Units of the Fund on the books of the
Trustee on February 28, 1998 Eighty-Five and Ninety-Five Hundredths of a percent
(85.95%) of such Units were held of record by Cede & Co., a nominee of the
Depository Trust Company, for certain of its participants on that date.

         (iii) Dividends

         The following are the cash distributions which were paid to holders of
Units of the Fund during the last two fiscal years:

                                      - 2 -
<PAGE>   5
<TABLE>
<CAPTION>
DISTRIBUTION DATE 1996            RATE PER UNIT           TOTAL DISTRIBUTION
----------------------            -------------           ------------------
<S>                               <C>                      <C>
January 1, 1996                    $ .23261                 $ 3,891,651.38
February 1, 1996                     .23400                   3,900,889.53
March 1, 1996                        .23400                   3,899,869.99
April 1, 1996                        .23400                   3,876,301.26
May 1, 1996                          .23600                   3,892,235.43
June 1, 1996                         .23600                   3,885,453.97
July 1, 1996                         .23600                   3,868,576.19
August 1, 1996                       .22600                   3,676,777.28
September 1, 1996                    .22600                   3,665,052.85
October 1, 1996                      .22600                   3,641,477.88
November 1, 1996                     .22900                   3,667,699.27
December 1, 1996                     .22900                   3,643,278.48

     TOTALS                        $2.77861                 $45,509,263.51
                                    -------                  -------------
</TABLE>

<TABLE>
<CAPTION>
DISTRIBUTION DATE 1997            RATE PER UNIT              TOTAL DISTRIBUTION
----------------------            -------------              ------------------
<S>                                <C>                       <C>
January 1, 1997                     $ .22900                  $ 3,623,693.48
February 1, 1997                      .23100                    3,632,133.81
March 1, 1997                         .23100                    3,596,267.37
April 1, 1997                         .23100                    3,579,311.04
May 1, 1997                           .23300                    3,591,628.13
June 1, 1997                          .23300                    3,565,001.12
July 1, 1997                          .23300                    3,542,990.78
August 1, 1997                        .23500                    3,543,449.85
September 1, 1997                     .23300                    3,462,465.51
October 1, 1997                       .23500                    3,466,592.63
November 1, 1997                      .23300                    3,429,871.37
December 1, 1997                      .23300                    3,413,966.79

     TOTALS                         $2.79000                  $42,447,371.88
                                     -------                   -------------
</TABLE>

(b) If required pursuant to Rule 463 of the Securities Act of 1933, furnish the
information required by Item 701(f) of Regulation S-K.

 - Not Applicable.

                                      - 3 -
<PAGE>   6
Item 6.  Selected Financial Data.

     SELECTED FINANCIAL DATA
     (in thousands except for outstanding Units and Per Unit Data)
<TABLE>
<CAPTION>
                            1993            1994            1995            1996            1997
                        -----------    ------------     -----------    ------------     -----------
<S>                     <C>            <C>              <C>            <C>              <C>
Net investment
income                  $    50,352    $     49,755     $    46,316    $     44,766     $    41,961

Net realized and
unrealized gain
(loss) on invest-       $   113,727    $    (65,659)    $   406,598    $    (91,579)    $   542,775
ments

Net increase
(decrease) in net
assets resulting
from operations         $   164,078    $    (15,904)    $   452,914    $    (46,813)    $   584,736

Income distributions
to Unit holders         $    50,311    $     49,743     $    47,658    $     45,241     $    42,211

Net assets at end
of year                 $ 1,257,937    $  1,138,226     $ 1,474,906    $  1,306,794     $ 1,735,234

Units outstanding
at end of year           18,514,279      17,701,839      16,670,493      15,726,053      14,505,395

Per Unit Data:
  Income distribu-
  tions during year     $      2.66    $       2.73     $      2.77    $       2.79     $      2.79

  Net asset value
  at end of year        $     67.94    $      64.30     $     88.47    $      83.10     $    119.63
</TABLE>


Item 7.  Management's Discussion And Analysis Of Financial Condition And
Results Of Operations.

         The Fund, as a non-managed unit investment trust, has no officers or
directors. The Trustees and Sponsors of the Fund are named in Item 1.

         The Fund had net investment income of $42.0 million and net realized
and unrealized gain on investments of $542.8 million for the year 1997 as
compared with net investment income of $44.8 million and net realized and
unrealized loss on investments of $91.6 million for the year 1996 and net
investment income of $46.3 million and net realized and unrealized gain on
investments of $406.6 million for the year 1995.



                                     - 4 -
<PAGE>   7
         The net gain in net assets resulting from operations for the year 1997
was $584.7 million as compared to a net decrease of $46.8 million for the year
1996 and a net increase of $452.9 million for the year 1995. The increase in net
assets resulting from operations of $584.7 million for the year 1997 was
substantially the result of realized and unrealized gain on investments. The net
decrease in net assets resulting from operations of $46.8 for the year 1996 was
the result of realized and unrealized loss on investments.

         Cash distributions paid out per Unit during each year amounted to $2.79
for the year ending December 31, 1997 as compared to $2.79 for the year ending
December 31, 1996 and $2.77 for the year ending December 31, 1995.

         Income distributions accrued per Unit during each year amounted to
$2.79 for the year ending December 31, 1997 as compared to $2.79 for the year
ending December 31, 1996. The income distribution per Unit for the year ending
December 31, 1995 was $2.77.

         The per Unit net asset value was $119.63 at December 31, 1997, $83.10
at December 31, 1996 and $88.47 at December 31, 1995. The per Unit net asset
value increased $36.53 from 1996 to 1997 and decreased $5.37 from 1995 to 1996.

         There were 14,505,395 Units outstanding as of December 31, 1997,
15,726,053 Units outstanding as of December 31, 1996 and 16,670,493 Units
outstanding as of December 31, 1995. There was a decrease of 1,220,658 Units
during fiscal year 1997, a decrease of 944,440 Units during fiscal year 1996 and
decrease of 1,031,346 Units during fiscal year 1995 as a result of redemptions.

Item 7A. Quantitative And Qualitative Disclosures About Market
                Risk.

               - Not Applicable

Item 8.  Financial Statements And Supplementary Data.

               See following pages 6 through 13.

Item 9.  Changes In And Disagreements On Accounting And Financial
         Disclosure.

               None.


                                     - 5 -
<PAGE>   8

INDEPENDENT ACCOUNTANTS' REPORT



The Sponsors, Trustee and Holders
  of The Equity Income Fund,
  First Exchange Series - AT&T Shares:

We have audited the accompanying statements of condition of The Equity Income
Fund, First Exchange Series - AT&T Shares as of December 31, 1997 and 1996 and
the related statements of operations and of changes in net assets for the years
ended December 31, 1997, 1996 and 1995.  These financial statements are the
responsibility of the Trustee.  Our responsibility is to express an opinion on
these financial statements 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 are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Securities owned at
December 31, 1997 and 1996 were confirmed to us by The Bank of New York, the
Trustee. An audit also includes assessing the accounting principles used and
significant estimates made by the Trustee, 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 referred to above present fairly, in
all material respects, the financial position of The Equity Income Fund, First
Exchange Series - AT&T Shares at December 31, 1997 and 1996 and the results of
its operations and changes in its net assets for the above-stated years in
conformity with generally accepted accounting principles.




March 9, 1998

                                     - 6 -
<PAGE>   9

                                                                   EXHIBIT a.1.1

THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

STATEMENTS OF CONDITION


<TABLE>
<CAPTION>
                                                                         December 31,
                                                                    1997             1996
<S>                                                           <C>               <C>
TRUST PROPERTY:
  Investment in marketable securities - at market value
    (Notes 1 and 2):
    1996 cost - $325,845,273 .............................                      $1,303,763,692
    1997 cost - $298,343,900 .............................    $1,732,776,714
  Dividends receivable ...................................         3,286,297         4,105,785
  Cash ...................................................         2,564,043         2,545,404
  Receivable from securities sold ........................                              44,557
                                                              --------------    --------------

            Total ........................................     1,738,627,054     1,310,459,438
                                                              --------------    --------------

LESS LIABILITIES:
  Distribution payable (Note 3) ..........................         3,387,399         3,623,693
  Accrued expenses .......................................             5,561            14,171
  Redemptions payable ....................................                              27,279
                                                              --------------    --------------

            Total ........................................         3,392,960         3,665,143
                                                              --------------    --------------

TOTAL TRUST PROPERTY .....................................    $1,735,234,094    $1,306,794,295
                                                              ==============    ==============

NET ASSETS, REPRESENTED BY:
  Units of fractional undivided interest outstanding:
    1996 - 15,726,053 (Note 6) ...........................                      $1,303,763,825
    1997 - 14,505,395 (Note 6) ...........................    $1,732,733,426
  Undistributed net investment income ....................         2,500,668         3,030,470
                                                              --------------    --------------

NET ASSETS ...............................................    $1,735,234,094    $1,306,794,295
                                                              ==============    ==============

UNIT VALUE:
  1996 - $1,306,794,295/15,726,053 units .................                              $83.10
                                                                                        ======
  1997 - $1,735,234,094/14,505,395 units .................           $119.63
                                                                     =======
</TABLE>


                              See Notes to Financial Statements.


                                     - 7 -
<PAGE>   10


                                                                   EXHIBIT a.1.2


THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

STATEMENTS OF OPERATIONS

<TABLE>
<CAPTION>
                                                         Years Ended December 31,
                                                    1997           1996           1995

<S>                                             <C>            <C>            <C>
INVESTMENT INCOME:
  Dividend income ...........................   $ 42,399,400   $ 45,286,433   $ 46,877,031
  Trustee's fees and expenses ...............       (386,416)      (465,437)      (505,957)
  Sponsors' fees ............................        (52,443)       (54,909)       (55,227)
                                                ------------   ------------   ------------

  Net investment income .....................     41,960,541     44,766,087     46,315,847
                                                ------------   ------------   ------------

REALIZED AND UNREALIZED GAIN (LOSS) ON
  INVESTMENTS:
  Realized gain on securities sold ..........     86,260,735     53,301,227     46,437,769
  Unrealized appreciation (depreciation) of
    investments .............................    456,514,395   (144,879,937)   360,160,015
                                                ------------   ------------   ------------

  Net realized and unrealized gain (loss) on
    investments .............................    542,775,130    (91,578,710)   406,597,784
                                                ------------   ------------   ------------

NET INCREASE (DECREASE) IN NET ASSETS
  RESULTING FROM OPERATIONS .................   $584,735,671   $(46,812,623)  $452,913,631
                                                ============   ============   ============
</TABLE>


                              See Notes to Financial Statements.


                                     - 8 -
<PAGE>   11

                                                                   EXHIBIT a.1.3


THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
                                                         Years Ended December 31,
                                                    1997           1996          1995

<S>                                           <C>            <C>            <C>
OPERATIONS:
  Net investment income ..................... $   41,960,541 $   44,766,087 $   46,315,847
  Realized gain on securities sold ..........     86,260,735     53,301,227     46,437,769
  Unrealized appreciation (depreciation) of
    investments .............................    456,514,395   (144,879,937)   360,160,015
                                              -------------- -------------- --------------

  Net increase (decrease) in net assets
    resulting from operations ...............    584,735,671    (46,812,623)   452,913,631

INCOME DISTRIBUTIONS TO HOLDERS (Note 3) ....    (42,211,078)   (45,241,306)   (47,658,313)

CAPITAL SHARE TRANSACTIONS:
  Redemptions of 1,220,658, 944,440 and
     1,031,346 units, respectively (Note 5) .  (114,084,794)    (76,057,777)   (68,615,789)
                                              -------------- -------------- --------------

NET INCREASE (DECREASE) IN NET ASSETS .......    428,439,799   (168,111,706)   336,639,529

NET ASSETS AT BEGINNING OF YEAR .............  1,306,794,295  1,474,906,001  1,138,266,472
                                              -------------- -------------- --------------

NET ASSETS AT END OF YEAR ................... $1,735,234,094 $1,306,794,295 $1,474,906,001
                                              ============== ============== ==============

PER UNIT:
  Income distributions during year ..........          $2.79          $2.79          $2.77
                                                       =====          =====          =====

  Net asset value at end of year ............        $119.63         $83.10         $88.47
                                                     =======         ======         ======

UNITS OUTSTANDING AT END OF YEAR ............     14,505,395     15,726,053     16,670,493
                                                  ==========     ==========     ==========
</TABLE>


                              See Notes to Financial Statements.



                                     - 9 -
<PAGE>   12

THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

NOTES TO FINANCIAL STATEMENTS


1.   SIGNIFICANT ACCOUNTING POLICIES

     The Fund is registered under the Investment Company Act of 1940 as a Unit
     Investment Trust. A summary of the significant accounting policies, which
     are in conformity with generally accepted accounting principles, followed
     by the Fund in the preparation of its financial statements since July 7,
     1983, its initial date of deposit, is as follows:

(a)  Securities are stated at market value based on the last sales price
     reported at the close of business on the New York Stock Exchange.
     Substantially all of the aggregate cost of securities represents the market
     value of the shares of common stock of American Telephone and Telegraph
     Company (AT&T) on the days the shares were exchanged for units of the Fund;
     such aggregate cost was subsequently allocated among the portfolio holdings
     in shares of AT&T and the seven regional holding companies following their
     divestiture by AT&T in accordance with its Plan of Reorganization. Realized
     gains or losses on sales of securities are determined using the identified
     cost basis.

(b)  The Fund is not subject to income taxes. Accordingly, no provision for such
     taxes is required.

(c)  Dividend income has been recognized on the ex-dividend date.

2.   MARKETABLE SECURITIES, AT DECEMBER 31, 1996:

<TABLE>
<CAPTION>
                                          Total                       Market
       Name Of Issuer                    Shares         Cost           Value

<S>                                     <C>        <C>           <C>
       AT&T                             5,163,363  $ 66,979,418  $  224,606,290
       Airtouch Communications          2,065,367    11,640,367      52,150,517
       Ameritech Corp.                  3,098,036    33,996,969     187,818,433
       Bell Atlantic Corporation        2,065,367    34,524,884     133,732,513
       BellSouth Corporation            4,647,029    41,414,519     187,623,796
       Lucent Technologies              1,673,372    26,613,902      77,393,455
       NYNEX Corporation                2,065,367    32,385,225      99,395,787
       Pacific Telesis Group            2,065,367    17,584,928      75,902,237
       SBC Communications Inc.          3,098,036    31,233,252     160,323,362
       U.S. West Incorporated           2,065,367    17,629,271      66,608,086
       U.S. West Media Group            2,065,363    11,842,538      38,209,216
                                                   ------------  --------------

                                                   $325,845,273  $1,303,763,692
                                                   ============  ==============
</TABLE>


                                     - 10 -
<PAGE>   13

THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

NOTES TO FINANCIAL STATEMENTS


     MARKETABLE SECURITIES, AT DECEMBER 31, 1997:

<TABLE>
<CAPTION>
                                          Total                       Market
       Name Of Issuer                    Shares         Cost           Value

<S>                                     <C>        <C>           <C>
       AT&T                             4,762,732  $ 58,829,554  $  291,717,335
       Airtouch Communications          1,905,120    10,737,194      79,181,550
       Ameritech Corp.                  2,857,659    31,359,314     230,041,549
       Bell Atlantic Corporation        3,368,236    61,851,410     306,509,476
       BellSouth Corporation            4,286,460    34,504,478     241,381,279
       Lucent Technologies              1,543,554    25,524,130     123,291,376
       NCR Corp.                          297,713     3,179,421       8,280,143
       SBC Communications Inc.          4,251,128    45,168,484     311,395,126
       U.S. West Incorporated           1,905,120    16,263,966      85,968,540
       U.S. West Media Group            1,905,120    10,925,949      55,010,340
                                                   ------------  --------------

                                                   $298,343,900  $1,732,776,714
                                                   ============  ==============
</TABLE>

3.   DISTRIBUTIONS

     Any monthly distributions to Holders, who have not elected to participate
     in the Fund's Reinvestment Plan, are made on or about the first day of each
     month. The income distribution payable at December 31, 1996 and 1997 to
     holders of record at December 15, 1996 and December 15, 1997 was at the
     rate of $.229 and $.233 per unit, respectively.

4.   REINVESTMENT PLAN

     Holders could reinvest any distributions in the Fund prior to April 1,
     1984, or in certain subsequent series of The Equity Income Fund after March
     31, 1984, by executing an appropriate notice of election to participate in
     the Fund's Reinvestment Plan. The Sponsors (Merrill Lynch, Pierce, Fenner &
     Smith Incorporated, Morgan Stanley Dean Witter, Prudential Securities
     Incorporated and Smith Barney Inc.) may, in their sole discretion, cancel
     the Fund's Reinvestment Plan at any time.

5.   REDEMPTIONS

     Holders may request redemptions of units by presentation thereof to the
     Trustee, The Bank of New York. Redemptions of units are made in kind by the
     Trustee; fractional undivided interests are redeemed in cash. Under certain
     circumstances, Holders may request redemptions of units in cash. Units of
     the Fund are listed and traded on the American and Pacific Stock Exchanges.


                                     - 11 -
<PAGE>   14


THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

NOTES TO FINANCIAL STATEMENTS


6.   NET CAPITAL

<TABLE>
<CAPTION>
                                                         December 31,
                                                     1997             1996
<S>                                            <C>               <C>
       Cost at dates of deposit, including
         subsequent reinvested distributions,
         of remaining units outstanding....... $  308,157,703    $  334,239,562

       Less sales charge......................      4,622,362         5,013,589
                                               --------------    --------------

       Net amount applicable to Holders.......    303,535,341       329,225,973
       Redemptions of units - net cost
         of units redeemed less redemption
         amounts..............................   (550,927,021)     (462,812,124)
       Realized gain on securities sold.......    545,692,292       459,431,557
       Unrealized appreciation of
         investments..........................  1,434,432,814       977,918,419
                                               --------------    --------------

       Net capital applicable to Holders...... $1,732,733,426    $1,303,763,825
                                               ==============    ==============
</TABLE>

7.   INCOME TAXES

     All Fund items of income received, expenses paid, and realized gains and
     losses on securities sold are attributable to the Holders, on a pro rata
     basis, for Federal income tax purposes in accordance with the grantor trust
     rules of the United States Internal Revenue Code.

8.   QUARTERLY RESULTS OF OPERATIONS - UNAUDITED

     A summary of the Fund's 1997 and 1996 quarterly results of operations, in
     thousands of dollars, is as follows:

     Year Ended December 31, 1996

<TABLE>
<CAPTION>
                                      For the Quarter Ended
                                                                               1996
                       March 31      June 30   September 30  December 31       Total
<S>                   <C>            <C>         <C>          <C>            <C>
Net investment
  income              $  10,498      $11,667     $  11,022    $ 11,579       $ 44,766

Net realized
  and unrealized
  gain (loss) on
  investments          (112,348)      34,916      (128,649)    114,502        (91,579)
                      ---------      -------     ---------    --------       --------

Net increase
  (decrease)
  in net assets
  resulting from
  operations          $(101,850)     $46,583     $(117,627)   $126,081       $(46,813)
                      =========      =======     =========    ========       ========
</TABLE>


                                     - 12 -
<PAGE>   15


THE EQUITY INCOME FUND,
FIRST EXCHANGE SERIES - AT&T SHARES

NOTES TO FINANCIAL STATEMENTS


Year Ended December 31, 1997

<TABLE>
<CAPTION>
                                          For the Quarter Ended

                                                                               1997
                        March 31     June 30    September 30  December 31     Total
<S>                    <C>          <C>           <C>         <C>            <C>
Net investment
  income                $12,165     $  8,819      $ 10,536    $ 10,441       $ 41,961

Net realized
  and unrealized
  gain (loss) on
  investments           (19,417)     185,607        92,210     284,375        542,775
                       --------     --------      --------    --------       --------

Net increase
  (decrease)
  in net assets
  resulting from
  operations            $(7,252)    $194,426      $102,746    $294,816       $584,736
                       ========     ========      ========    ========       ========
</TABLE>


                                     - 13 -
<PAGE>   16
                                    PART III

Item 10.  Directors And Executive Officers Of The Registrant.

               None.

Item 11.  Executive Compensation.

               None.

Item 12.  Security Ownership Of Certain Beneficial Owners And
        Management.

               None.

Item 13.  Certain Relationships And Related Transactions.

               None.



                                     - 14 -
<PAGE>   17
                                     PART IV

Item 14.  Exhibits, Financial Statement Schedules And Reports
               On Form 8-K.


                                                                           Page
a. 1.1 -     Statements of Condition as of December
             31, 1996 and 1997 .......................................     7

   1.2 -     Statements of Operations for the years
             ended December 31, 1995, December 31,
             1996 and December 31, 1997 ..............................     8

   1.3 -     Statements of Changes in Net Assets for
             the years ended December 31, 1995,
             December 31, 1996 and December 31, 1997 .................     9

   2   -     Financial schedules are not filed because
             of the absence of conditions under which
             they are required or because the required
             information, where material, is included
             in the financial statements or the
             footnotes thereto.

b.     None.

c.     4.1 - Form of Trust Indenture (incorporated by reference to Exhibit
       1.1 to the Registration Statement of The Equity Income Fund, First
       Exchange Series - AT&T Shares, 1933 Act File No. 2-83192)

       4.1.1 - Form of Certificate of Amendment to Trust Indenture dated
       August 8, 1983 (incorporated by reference to Registration
       Statement on Form 8-A of The Equity Income Fund, First Exchange
       Series - AT&T Shares, 1934 Act File No. 1-8642)

       4.1.2 - Form of Standard Terms and Conditions of Trust effective
       January 1, 1983 (incorporated by reference to Exhibit 1.1.1 to
       the Registration Statement of The Equity Income Fund, First
       Exchange Series - AT&T Shares, 1933 Act File No. 2-83192)

       9. - None.

       11 - Computation of per Unit earnings (See Statement of Changes in
       Net Assets, Item 1.3, above)

       13.1 - Form 10-Q, for the quarter ended March 31, 1996, incorporated
       by reference to 1933 Act File No. 2-83192.



                                     - 15 -
<PAGE>   18
         13.2 - Form 10-Q, for the quarter ended June 30, 1996, incorporated by
         reference to 1933 Act File No. 2-83192.

         13.3 - Form 10-Q, for the quarter ended September 30, 1996,
         incorporated by reference to 1933 Act File No. 2-83192.

         13.4 - Form 10-K for the fiscal year ended December 31, 1996,
         incorporated by reference to 1933 Act File No. 2-83192.

         13.5 - Form 10-Q for the quarter ended March 31, 1997, incorporated by
         reference to 1933 Act File No. 2-83192.

         13.6 - Form 10-Q for the quarter ended June 30, 1997, incorporated by
         reference to 1933 Act File No. 2-83192.

         13.7 - Form 10-Q for the quarter ended September 30, 1997, incorporated
         by reference to 1933 Act File No. 2-83192.

         18. - None.

         21. - None.

         22. - None.

         23 - Consents (incorporated by reference to Registration Statement of
         The Equity Income Fund, First Exchange Series - AT&T Shares, 1933 Act
         File No. 2-83192).

         27. - Financial Data Schedule.

d.       None.


                                     - 16-
<PAGE>   19
                                    SIGNATURE



         Pursuant to the requirements of the Securities Exchange Act of 1934,
the Trustee of the Fund has duly caused this report to be signed on behalf of
the Fund by the undersigned, thereunto duly authorized.


                                               The Equity Income Fund, First
                                               Exchange Series - AT&T Shares


                                               The Bank of New York,
                                                 as Trustee



Date: March __, 1998                           By: ________________________
                                               Name: Jeffrey Cohen
                                                     Title: Vice President



                                     - 17 -