<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, 2000
 ................................................................................

Commission file number                                        001-08642
 ................................................................................

          The Equity Investor 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)

Securities registered pursuant to Section 12(b) of the Act:

<TABLE>
<CAPTION>
                                                       NAME OF EACH EXCHANGE
TITLE OF EACH CLASS                                     ON WHICH REGISTERED
-------------------                                    ---------------------
<S>                                                    <C>
Units of Beneficial Interest                           American Stock
  in The Equity Investor Fund,                           Exchange, Inc.
  First Exchange Series -
  AT&T Shares                                          Pacific Stock Exchange,
                                                         Incorporated
</TABLE>

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.  X.
                             ---

         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
December 29, 2000 was $1,660,860,773.94.

         The aggregate market value of the voting and non-voting common equity
held by non-affiliates of the registrant is not applicable.
<PAGE>   2

                                    PART I

ITEM 1.  BUSINESS.

         The Equity Investor 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>   3


                                   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, 1999             $202.875        $177.250
June 30, 1999               210.000         180.625
September 30, 1999          300.000         189.000
December 31, 1999           300.000         195.000

March 31, 2000             $204.750        $170.500
June 30, 2000               209.000         171.000
September 30, 2000          182.000         147.250
December 31, 2000           173.000         135.880
</TABLE>

         (ii)  HOLDERS

         There were 4,045 record holders of Units of the Fund on the
books of the Trustee on December 29, 2000, eighty-eight and fifty-nine
hundredths of a percent, (88.59%) 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.

                                     - 2 -

<PAGE>   4


         (iii)  DIVIDENDS

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

<TABLE>
<CAPTION>
DISTRIBUTION DATE 1999        RATE PER UNIT    TOTAL DISTRIBUTION
----------------------        -------------    ------------------
<S>                           <C>              <C>
January 1, 1999                  $ .242          $ 3,309,627.33
February 1, 1999                   .244            3,332,511.01
March 1, 1999                      .244            3,310,099.61
April 1, 1999                      .244            3,301,821.91
May 1, 1999                        .246            3,323,298.13
June 1, 1999                       .246            3,302,559.35
July 1, 1999                       .246            3,288,017.55
August 1, 1999                     .252            3,360,534.91
September 1, 1999                  .252            3,341,963.02
October 1, 1999                    .252            3,330,190.33
November 1, 1999                   .253            3,335,844.22
December 1, 1999                   .252            3,304,424.34

     TOTALS                      $2.973          $39,840,891.71
                                 ------          --------------
</TABLE>

<TABLE>
<CAPTION>
[DISTRIBUTION DATE 2000    RATE PER UNIT      TOTAL DISTRIBUTION]
-----------------------    -------------      -------------------
<S>                        <C>                <C>
January 1, 2000              $ .252            $ 3,288,178.40
February 1, 2000               .252              3,279,899.70
March 1, 2000                  .252              3,255,480.14
April 1, 2000                  .252              3,234,892.75
May 1, 2000                    .256              3,276,716.29
June 1, 2000                   .256              3,228,059.65
July 1, 2000                   .256              3,213,925.89
August 1, 2000                 .241              3,021,712.95
September 1, 2000              .240              2,981,842.32
October 1, 2000                .240              2,948,350.80
November 1, 2000               .240              2,936,429.04
December 1, 2000               .240              2,892,541.68

     TOTALS                  $2.977            $37,558,029.61
</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>   5


ITEM 6.  SELECTED FINANCIAL DATA.

                           SELECTED FINANCIAL DATA
        (in thousands except for outstanding Units and Per Unit Data)

<TABLE>
<CAPTION>
                             1996          1997          1998         1999           2000
                             ----          ----          ----         ----           ----
<S>                     <C>            <C>           <C>          <C>            <C>
Net investment
income                  $    44,766    $    41,961   $    40,561  $    38,581    $    36,438

Net realized
and unrealized
gain (loss)
on investments          $   (91,579)   $   542,775   $   895,796  $   283,141    $  (743,026)

Net increase
(decrease) in net
assets resulting
from operations         $   (46,813)   $   584,736   $   936,357  $   321,722    $  (706,589)

Total distribu-
tions to
Unit holders            $    45,241    $    42,211   $    40,229  $    55,569    $   101,194

Net assets at
end of year             $ 1,306,794    $ 1,735,234   $ 2,513,292  $ 2,653,576    $ 1,660,407

Units outstand-
ing at end
of year                  15,726,053     14,505,395    13,657,832   13,016,125     11,925,002

Per Unit Data:
  Income distribu-
  tions during year     $      2.79    $      2.79   $      2.85  $      2.99    $      2.97

  Principal distri-
  butions during
  year                  $      0.00    $      0.00   $      0.00  $      1.18    $      5.16

  Net asset value
  at end of year        $     83.10    $    119.63   $    184.02  $    203.87    $    139.24
</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 $36.4 million and net realized
and unrealized loss on investments of $743 million for the year 2000 as
compared with net investment income of $38.6 million and net realized and
unrealized gain on investments of $283.1 million for the year 1999 and net
investment income of $40.6 million and net realized and unrealized gain on
investments of $895.8 million for the year 1998.


                                     - 4 -


<PAGE>   6

         The net decrease in net assets resulting from operations for the year
2000 was $706.6 million as compared to a net increase of $321.7 million for
the year 1999 and a net increase of $936.4 million for the year 1998. The
decrease in net assets resulting from operations of $706.6 million for the
year 2000 was substantially the result of realized and unrealized losses on
investments. The net increase in net assets resulting from operations of
$321.7 for the year 1999 was the result of realized and unrealized gain on
investments.

         Income distributions accrued per Unit during each year amounted to
$2.97 for the year ended December 31, 2000 as compared to $2.99 for the year
ended December 31, 1999. The income distribution per Unit for the year ended
December 31, 1998 was $2.85.

         Principal distributions accrued per Unit during each year amounted
to $5.16 for the year ended December 31, 2000 as compared to $1.18 for the year
ended December 31, 1999. There were no principal distributions made in 1998.

         The per Unit net asset value was $139.24 at December 31, 2000,
$203.87 at December 31, 1999 and $184.02 at December 31, 1998. The per Unit
net asset value decreased $64.63 from 1999 to 2000 and increased $19.85 from
1998 to 1999.

         There were 11,925,002 Units outstanding as of December 31, 2000,
13,016,125 Units outstanding as of December 31, 1999 and 13,657,832 Units
outstanding as of December 31, 1998. There was a decrease of 1,091,123 Units
during fiscal year 2000, a decrease of 641,707 Units during fiscal year 1999
and decrease of 847,563 Units during fiscal year 1998 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 7 through 14. -- TO COME

ITEM 9.  CHANGES IN AND DISAGREEMENTS ON ACCOUNTING AND FINANCIAL DISCLOSURE.

         None.


                                    - 5 -

<PAGE>   7

INDEPENDENT ACCOUNTANTS' REPORT



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

We have audited the accompanying statements of condition of The Equity Investor
Fund, First Exchange Series - AT&T Shares as of December 31, 2000 and 1999 and
the related statements of operations and of changes in net assets for the years
ended December 31, 2000, 1999 and 1998.  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 auditing standards generally accepted
in the United States of America.  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, 2000 and 1999 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 Investor Fund, First
Exchange Series - AT&T Shares at December 31, 2000 and 1999 and the results of
its operations and changes in its net assets for the above-stated years in
conformity with accounting principles generally accepted in the United States of
America.




Deloitte & Touche LLP
New York, N.Y.

February 6, 2001




                                     - 6 -
<PAGE>   8

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

STATEMENTS OF CONDITION


<TABLE>
<CAPTION>
                                                                         DECEMBER 31,
                                                                     2000            1999

<S>                                                             <C>             <C>
TRUST PROPERTY:
  Investment in marketable securities - at market value
    (Notes 1 and 2):
    1999 cost - $267,206,552 ...............................                    $2,652,463,693
    2000 cost - $245,133,596 ...............................    $1,660,498,880
  Dividends receivable .....................................           659,840       1,863,433
  Cash .....................................................         2,377,773       2,751,838
                                                                --------------  --------------


            Total ..........................................     1,663,536,493   2,657,078,964
                                                                --------------  --------------

LESS LIABILITIES:
  Distribution payable (Note 3) ............................         2,875,996       3,288,178
  Redemption payable .......................................            81,485          20,719
  Accrued expenses .........................................           172,131         193,792
                                                                --------------  --------------

            Total ..........................................         3,129,612       3,502,689
                                                                --------------  --------------

TOTAL TRUST PROPERTY .......................................    $1,660,406,881  $2,653,576,275
                                                                ==============  ==============

NET ASSETS, REPRESENTED BY:
  Units of fractional undivided interest outstanding:
    1999 - 13,016,125 (Note 6) .............................                    $2,652,447,665
    2000 - 11,925,002 (Note 6) .............................    $1,660,334,222
  Undistributed net investment income ......................            72,659       1,128,610
                                                                --------------  --------------

NET ASSETS .................................................    $1,660,406,881  $2,653,576,275
                                                                ==============  ==============

UNIT VALUE:
  1999 - $2,653,576,275/13,016,125 units ...................                    $       203.87
                                                                                ==============
  2000 - $1,660,406,881/11,925,002 units ...................    $      139.24
                                                                =============
</TABLE>


                              See Notes to Financial Statements.



                                     - 7 -
<PAGE>   9

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

STATEMENTS OF OPERATIONS

<TABLE>
<CAPTION>
                                                                  YEARS ENDED DECEMBER 31,
                                                             2000           1999            1998

<S>                                                     <C>              <C>             <C>
INVESTMENT INCOME:
  Dividend income ................................      $  36,845,792    $ 39,152,924    $ 41,091,956
  Trustee's fees and expenses ....................           (374,174)       (547,080)       (452,453)
  Sponsors' fees .................................            (34,001)        (24,515)        (78,070)
                                                        -------------    ------------    ------------

  Net investment income ..........................         36,437,617      38,581,329      40,561,433
                                                        -------------    ------------    ------------

REALIZED AND UNREALIZED GAIN (LOSS) ON
  INVESTMENTS:
  Realized gain on securities sold ...............        226,865,268     127,737,243     100,374,644
  Unrealized appreciation (depreciation) of
    investments ..................................       (969,891,857)    155,403,265     795,421,062
                                                        -------------    ------------    ------------

  Net realized and unrealized gain (loss) on
    investments ..................................       (743,026,589)    283,140,508     895,795,706
                                                        -------------    ------------    ------------

NET INCREASE (DECREASE) IN NET ASSETS
  RESULTING FROM OPERATIONS ......................      $(706,588,972)   $321,721,837    $936,357,139
                                                        =============    ============    ============
</TABLE>



                              See Notes to Financial Statements.




                                     - 8 -
<PAGE>   10

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

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
                                                                         YEARS ENDED DECEMBER 31,
                                                            2000                    1999                      1998

<S>                                                    <C>                    <C>                       <C>
OPERATIONS:
  Net investment income ..........................     $   36,437,617         $   38,581,329            $   40,561,433
  Realized gain on securities sold ...............        226,865,268            127,737,243               100,374,644
  Unrealized appreciation (depreciation) of
    investments ..................................       (969,891,857)           155,403,265               795,421,062
                                                       --------------          --------------           --------------

  Net increase (decrease) in net assets
    resulting from operations ....................       (706,588,972)           321,721,837               936,357,139
                                                       --------------          --------------           --------------

DISTRIBUTIONS TO HOLDERS (Note 3):
  Income .........................................        (37,145,849)           (39,819,444)              (40,229,125)
  Principal ......................................        (64,048,371)           (15,749,174)
                                                       --------------          --------------           --------------

  Total Distributions ............................       (101,194,220)           (55,568,618)              (40,229,125)
                                                       --------------          --------------           --------------

CAPITAL SHARE TRANSACTIONS:
  Redemptions of 1,091,123, 641,707 and
     847,563 units,
     respectively (Note 5) .......................       (185,386,202)           (125,868,510)            (118,070,543)
                                                       --------------          --------------           --------------

NET INCREASE IN NET ASSETS .......................       (993,169,394)            140,284,709              778,057,471

NET ASSETS AT BEGINNING OF YEAR ..................      2,653,576,275           2,513,291,566            1,735,234,094
                                                       --------------          --------------           --------------

NET ASSETS AT END OF YEAR ........................     $1,660,406,881          $2,653,576,275           $2,513,291,565
                                                       ==============          ==============           ==============

PER UNIT:
  Income distributions during year ...............              $2.97                   $2.99                    $2.85
                                                                =====                   =====                    =====

  Principal distributions during year ............              $5.16                   $1.18
                                                                =====                   =====

  Net asset value at end of year .................            $139.24                 $203.87                  $184.02
                                                              =======                 =======                  =======

UNITS OUTSTANDING AT END OF YEAR .................         11,925,002              13,016,125               13,657,832
                                                           ==========              ==========               ==========
</TABLE>


                              See Notes to Financial Statements.




                                     - 9 -
<PAGE>   11

THE EQUITY INVESTOR 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 accounting principles generally accepted in
        the United States of America, 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, 1999:

<TABLE>
<CAPTION>
                                          TOTAL                       MARKET
       NAME OF ISSUER                    SHARES         COST           VALUE

<S>                                   <C>          <C>           <C>
       AT&T                             6,410,600  $ 52,790,382  $  325,337,950
       Bell Atlantic Corporation        6,044,830    55,501,410     372,134,847
       BellSouth Corporation            7,692,691    30,963,121     360,114,097
       Lucent Technologies              5,540,343    22,903,808     414,486,911
       NCR Corp.                          267,196     2,853,510      10,120,049
       SBC Communications Inc.         14,378,400    68,669,664     700,947,000
       U.S. West Incorporated           1,756,244    14,961,050     126,449,568
       Mediaone Group                   1,709,556     9,437,707     131,315,270
       Vodafone Airtouch                4,273,899     9,125,900     211,558,001
                                                   ------------  --------------

                                                   $267,206,552  $2,652,463,693
                                                   ============  ==============
</TABLE>





                                     - 10 -
<PAGE>   12

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

NOTES TO FINANCIAL STATEMENTS


        MARKETABLE SECURITIES, AT DECEMBER 31, 2000:

<TABLE>
<CAPTION>
                                          TOTAL                       MARKET
       NAME OF ISSUER                    SHARES         COST           VALUE

<S>                                   <C>          <C>           <C>
       AT&T                             7,276,567  $ 57,016,128  $  125,975,567
       Avaya Inc.                         423,041     1,149,238       4,362,600
       BellSouth Corporation            7,048,697    28,374,265     288,556,034
       Lucent Technologies              5,076,382    19,838,896      68,531,157
       NCR Corp.                          244,755     2,613,840      12,023,589
       Qwest Communications             2,782,753    13,707,478     114,092,873
       SBC Communications Inc.         13,174,639    62,748,592     629,089,012
       Verizon Communications           5,538,715    50,855,274     277,628,089
       Vodafone Airtouch                3,915,950     8,829,885     140,239,959
                                                   ------------  --------------

                                                   $245,133,596  $1,660,498,880
                                                   ============  ==============
</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,
        1999 and 2000 to holders of record at December 15, 1999 and December 15,
        2000 was at the rate of $.252 and $.240 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>   13

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

NOTES TO FINANCIAL STATEMENTS


6.      NET CAPITAL

<TABLE>
<CAPTION>
                                                           DECEMBER 31,
                                                       2000             1999
<S>                                              <C>               <C>
Cost at dates of deposit, including
  subsequent reinvested distributions,
  of remaining units outstanding ..........      $  253,338,927    $  276,519,128

Less sales charge .........................          (3,800,080)        4,147,783
                                                 --------------    --------------

Net amount applicable to Holders ..........         249,538,847       272,371,345
Redemptions of units - net cost
  of units redeemed less redemption
  amounts .................................        (925,441,810)     (763,235,825)
Principal distributions ...................         (79,797,545)      (15,749,174)
Realized gain on securities sold ..........       1,000,669,446       773,804,178
Unrealized appreciation of
  investments .............................       1,415,365,284     2,385,257,141
                                                 --------------    --------------

Net capital applicable to Holders .........      $1,660,334,222    $2,652,447,665
                                                 ==============    ==============
</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 2000 and 1999 quarterly results of operations,
        in thousands of dollars, is as follows:

        Year Ended December 31, 1999

<TABLE>
<CAPTION>
                                      FOR THE QUARTER ENDED

                                                                              1999
                       MARCH 31    JUNE 30   SEPTEMBER 30  DECEMBER 31       TOTAL

<S>                    <C>         <C>         <C>          <C>             <C>
Net investment
  income               $  8,401    $  9,941    $  13,731    $  6,508        $ 38,581

Net realized
  and unrealized
  gain (loss) on
  investments           (95,196)    446,929     (166,756)     98,164         283,141
                       --------    --------    ---------    --------        --------

Net increase
  (decrease)
  in net assets
  resulting from
  operations           $(86,795)   $456,870    $(153,025)   $104,672        $321,722
                       ========    ========    =========    ========        ========
</TABLE>





                                     - 12 -
<PAGE>   14

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

NOTES TO FINANCIAL STATEMENTS


Year Ended December 31, 2000

<TABLE>
<CAPTION>
                                       FOR THE QUARTER ENDED
                                                                          2000
                      MARCH 31    JUNE 30   SEPTEMBER 30  DECEMBER 31    TOTAL

<S>                   <C>         <C>        <C>           <C>         <C>
Net investment
  income              $  9,598    $ 10,258   $   8,967     $  7,614    $ 36,437

Net realized
  and unrealized
  gain (loss) on
  investments         (108,374)   (296,956)   (130,130)    (207,566)   (743,026)
                      --------   ---------   ---------    ---------   ---------

Net increase
  (decrease)
  in net assets
  resulting from
  operations          $(98,776)  $(286,698)  $(121,163)   $(199,952)  $(706,589)
                      ========   =========   =========    =========   =========
</TABLE>



                                     - 13 -
<PAGE>   15

                                   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>   16


                                   PART IV

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K.

<TABLE>
<CAPTION>
                                                                      Page
<S>                                                                   <C>
a. 1.1 - Statements of Condition as of December 31, 1999 and
         2000 ........................................................ 7

   1.2 - Statements of Operations for the years ended December 31,
         1998, December 31, 1999 and December 31,
         2000 ........................................................ 8

   1.3 - Statements of Changes in Net Assets for the years ended
         December 31, 1998, December 31, 1999 and December 31,
         2000 ........................................................ 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.
</TABLE>

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. 001-08642)

 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, 1999, incorporated
         by reference to 1934 Act File No. 001-08642.


                                    - 15 -
<PAGE>   17


  13.2 - Form 10-Q, for the quarter ended June 30, 1999, incorporated
         by reference to 1934 Act File No. 001-08642.

  13.3 - Form 10-Q, for the quarter ended September 30, 1999,
         incorporated by reference to 1934 Act File No. 001-08642.

  13.4 - Form 10-K for the fiscal year ended December 31, 1999,
         incorporated by reference to 1934 Act File No. 001-08642.

  13.5 - Form 10-Q for the quarter ended March 31, 2000, incorporated
         by reference to 1934 Act File No. 001-08642.

  13.6 - Form 10-Q for the quarter ended June 30, 2000, incorporated
         by reference to 1934 Act File No. 001-08642.

  13.7 - Form 10-Q for the quarter ended September 30, 2000,
         incorporated by reference to 1934 Act File No. 001-08642.

  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>   18

                                  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 Investor Fund, First
                                       Exchange Series - AT&T Shares

                                              By:  The Bank of New York,
                                                   as Trustee



Date: March 27, 2001                          By: /s/ Joanna Yedreyeski
                                                 -----------------------
                                                 Name:  Joanna Yedreyeski
                                                 Title: Assistant Vice President