N-CSRS 1 b75063a1nvcsrs.txt THE SELECT SECTOR SPDR (R) TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-08837 ---------------------------------------------------- THE SELECT SECTOR SPDR(R) TRUST -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) One Lincoln Street, Boston, Massachusetts 02111 -------------------------------------------------------------------------------- (Address of principal executive offices)(Zip code) (Name and Address of Agent for Copy to: Service) Ryan M. Louvar, Esq. Stuart Strauss, Esq. State Street Bank and Trust Company Clifford Chance US LLP One Lincoln Street - CPH0326 31 West 52nd Street Boston, MA 02111 New York, New York 10019 Registrant's telephone number, including area code: (303) 623-2577 Date of fiscal year end: September 30 Date of reporting period: March 31, 2009 ITEM 1: SHAREHOLDER REPORT (SPDR LOGO) The Select Sector SPDR Trust (GRAPHICS) SEMI-ANNUAL REPORT MARCH 31, 2009 Select Sector Spider Heading SELECT SECTOR SPDR FUNDS The Select Sector SPDR Trust consists of nine separate investment portfolios (each a "Select Sector SPDR Fund" or a "Fund" and collectively the "Select Sector SPDR Funds" or the "Funds"). Select Sector SPDR Funds are "index funds" that unbundle the benchmark S&P 500(R) and give you ownership in particular sectors or groups of industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of nine major industry sectors that make up the S&P 500(R) much as they buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector SPDR Funds trade on a national securities exchange. NINE SELECT SECTOR SPDR FUNDS Shares are available for exchange trading in the following Funds of the Select Sector SPDR Trust: THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND XLY THE CONSUMER STAPLES SELECT SECTOR SPDR FUND XLP THE ENERGY SELECT SECTOR SPDR FUND XLE THE FINANCIAL SELECT SECTOR SPDR FUND XLF THE HEALTH CARE SELECT SECTOR SPDR FUND XLV THE INDUSTRIAL SELECT SECTOR SPDR FUND XLI THE MATERIALS SELECT SECTOR SPDR FUND XLB THE TECHNOLOGY SELECT SECTOR SPDR FUND XLK THE UTILITIES SELECT SECTOR SPDR FUND XLU Each of these Funds is designed to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund's portfolio is comprised principally of shares of constituent companies in the S&P 500(R). Each stock in the S&P 500(R) is allocated to only one Select Sector Index. The combined companies of the nine Select Sector Indexes represent all of the companies in the S&P 500(R). Each Select Sector SPDR Fund can be expected to move up or down in value with its underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market. OBJECTIVE Select Sector SPDR Funds are designed to provide investors with an affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to custom tailor asset allocations to fit your particular investment needs or goals. One Fund may complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear a higher level of risk than a broad-market fund, because of less diversity, sector investments may also offer opportunities for returns greater than an investment in the entire S&P 500(R) Index. TABLE OF CONTENTS PERFORMANCE & PORTFOLIO SUMMARY THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND (XLY)................ 1 THE CONSUMER STAPLES SELECT SECTOR SPDR FUND (XLP)...................... 4 THE ENERGY SELECT SECTOR SPDR FUND (XLE)................................ 7 THE FINANCIAL SELECT SECTOR SPDR FUND (XLF)............................. 10 THE HEALTH CARE SELECT SECTOR SPDR FUND (XLV)........................... 13 THE INDUSTRIAL SELECT SECTOR SPDR FUND (XLI)............................ 16 THE MATERIALS SELECT SECTOR SPDR FUND (XLB)............................. 19 THE TECHNOLOGY SELECT SECTOR SPDR FUND (XLK)............................ 22 THE UTILITIES SELECT SECTOR SPDR FUND (XLU)............................. 25 SCHEDULES OF INVESTMENTS THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND (XLY)................ 28 THE CONSUMER STAPLES SELECT SECTOR SPDR FUND (XLP)...................... 30 THE ENERGY SELECT SECTOR SPDR FUND (XLE)................................ 31 THE FINANCIAL SELECT SECTOR SPDR FUND (XLF)............................. 32 THE HEALTH CARE SELECT SECTOR SPDR FUND (XLV)........................... 34 THE INDUSTRIAL SELECT SECTOR SPDR FUND (XLI)............................ 35 THE MATERIALS SELECT SECTOR SPDR FUND (XLB)............................. 36 THE TECHNOLOGY SELECT SECTOR SPDR FUND (XLK)............................ 37 THE UTILITIES SELECT SECTOR SPDR FUND (XLU)............................. 39 FINANCIAL STATEMENTS...................................................... 40 FINANCIAL HIGHLIGHTS...................................................... 48 NOTES TO FINANCIAL STATEMENTS............................................. 57 OTHER INFORMATION......................................................... 67 Select Sector Spider Heading THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- CONSUMER CONSUMER DISCRETION- DISCRETION- ARY ARY NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS -29.06% -29.82% -29.10% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -35.00% -35.20% -35.06% -35.00% -35.20% -35.06% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -39.05% -39.26% -38.87% -15.22% -15.31% -15.13% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS -34.51% -34.70% -34.06% -8.12% -8.17% -7.99% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS -24.33% -24.73% -22.54% -2.75% -2.80% -2.52% ----------------------------------------------------------------------------------------------------------------------

1 Select Sector Spider Heading THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

CONSUMER DISCRETIONARY CONSUMER DISCRETIONARY SELECT SECTOR S&P 500 SELECT SECTOR SPDR FUND(A) INDEX(C) INDEX(B) ---------------------- -------- ---------------------- 03/31/99 10000 10000 10000 06/30/99 10423 10705 10429 09/30/99 9198 10037 9204 12/31/99 10878 11530 10897 03/31/00 10275 11793 10305 06/30/00 9107 11481 9140 09/30/00 8819 11368 8874 12/31/00 9075 10479 9141 03/31/01 9275 9237 9349 06/30/01 9818 9778 9899 09/30/01 8250 8342 8324 12/31/01 10289 9234 10395 03/31/02 10745 9259 10865 06/30/02 9873 8018 9987 09/30/02 8173 6633 8271 12/31/02 8340 7193 8445 03/31/03 8219 6966 8327 06/30/03 9779 8038 9917 09/30/03 9992 8251 10141 12/31/03 11423 9256 11604 03/31/04 11554 9412 11747 06/30/04 11515 9574 11715 09/30/04 11374 9395 11577 12/31/04 12897 10263 13144 03/31/05 12158 10042 12397 06/30/05 12019 10179 12260 09/30/05 11920 10546 12163 12/31/05 12055 10766 12306 03/31/06 12415 11219 12671 06/30/06 12349 11058 12611 09/30/06 12957 11684 13241 12/31/06 14278 12467 14600 03/31/07 14163 12547 14493 06/30/07 14671 13334 15023 09/30/07 13744 13605 14079 12/31/07 12370 13151 12672 03/31/08 11641 11909 11927 06/30/08 10736 11585 10996 09/30/08 10667 10614 10924 12/31/08 8234 8285 8428 03/31/09 7567 7373 7746

2 Select Sector Spider Heading THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------ DESCRIPTION MCDONALD'S HOME DEPOT, COMCAST CORP. THE WALT DISNEY LOWE'S COS., CORP. INC. (CLASS A) CO. INC. ------------------------------------------------------------------------------------------------------------------ SHARES 1,303,532 1,984,522 3,371,793 2,172,833 1,715,535 ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $71,133,741 46,755,338 45,991,257 39,458,647 31,308,514 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 10.0 6.6 6.4 5.5 4.4 ------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Auto Components 1.40 Automobiles 1.70 Distributors 0.80 Diversified Consumer Services 2.40 Hotels Restaurants & Leisure 17.70 Household Durables 4.00 Internet & Catalog Retail 4.20 Leisure Equipment & Products 1.40 Media 27.60 Multiline Retail 9.60 Specialty Retail 24.10 Textiles, Apparel & Luxury Goods 5.10 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 3 Select Sector Spider Heading THE CONSUMER STAPLES SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE CONSUMER STAPLES SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- CONSUMER CONSUMER STAPLES STAPLES NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS -22.05% -22.59% -22.11% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -22.55% -22.72% -22.54% -22.55% -22.72% -22.54% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -4.45% -4.76% -3.98% -1.51% -1.61% -1.33% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 2.36% 2.08% 3.43% 0.47% 0.41% 0.68% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS -5.10% -5.10% -2.83% -0.52% -0.52% -0.29% ----------------------------------------------------------------------------------------------------------------------

4 Select Sector Spider Heading THE CONSUMER STAPLES SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT CONSUMER STAPLES SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

CONSUMER STAPLES CONSUMER STAPLES SELECT SECTOR S&P 500 SELECT SECTOR SPDR FUND(A) INDEX(C) INDEX(B) ---------------- -------- ---------------- 03/31/99 10000 10000 10000 06/30/99 9703 10705 9700 09/30/99 8590 10037 8588 12/31/99 8748 11530 8760 03/31/00 8072 11793 8093 06/30/00 9689 11481 9706 09/30/00 9611 11368 9639 12/31/00 11000 10479 11043 03/31/01 9613 9237 9655 06/30/01 9462 9778 9510 09/30/01 9757 8342 9814 12/31/01 9907 9234 9972 03/31/02 10194 9259 10268 06/30/02 8754 8018 8819 09/30/02 7838 6633 7898 12/31/02 7930 7193 7996 03/31/03 7411 6966 7476 06/30/03 8072 8038 8150 09/30/03 8173 8251 8260 12/31/03 8796 9256 8897 03/31/04 9270 9412 9383 06/30/04 9390 9574 9512 09/30/04 8858 9395 8975 12/31/04 9483 10263 9618 03/31/05 9501 10042 9643 06/30/05 9428 10179 9573 09/30/05 9693 10546 9851 12/31/05 9753 10766 9918 03/31/06 9931 11219 10106 06/30/06 10216 11058 10404 09/30/06 10772 11684 10978 12/31/06 11164 12467 11384 03/31/07 11415 12547 11685 06/30/07 11695 13334 11976 09/30/07 12138 13605 12441 12/31/07 12558 13151 12876 03/31/08 12250 11909 12568 06/30/08 11691 11585 11999 09/30/08 12173 10614 12499 12/31/08 10676 8285 10951 03/31/09 9490 7373 9717

5 Select Sector Spider Heading THE CONSUMER STAPLES SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

---------------------------------------------------------------------------------------------------------------------- DESCRIPTION PROCTER & WAL-MART PHILIP MORRIS COCA-COLA CVS CAREMARK GAMBLE CO. STORES, INC. INTERNATIONAL, INC. CO. CORP. ---------------------------------------------------------------------------------------------------------------------- SHARES 5,972,195 4,554,006 4,082,590 2,377,200 3,320,152 ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $281,230,663 237,263,713 145,258,552 104,477,940 91,270,978 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 15.8 13.3 8.2 5.9 5.1 ----------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Beverages 14.3 Food & Staples Retailing 29.9 Food Products 17.1 Household Products 23.1 Personal Products 1.5 Tobacco 14.1 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 6 Select Sector Spider Heading THE ENERGY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE ENERGY SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET ENERGY NET ASSET MARKET ENERGY VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -32.64% -32.87% -32.66% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -41.56% -41.67% -41.52% -41.56% -41.67% -41.52% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -18.51% -18.65% -18.05% -6.60% -6.65% -6.42% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS 55.01% 54.54% 56.93% 9.16% 9.10% 9.43% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS 101.99% 100.57% 107.36% 7.28% 7.21% 7.57% -------------------------------------------------------------------------------------------------------------------------------

7 Select Sector Spider Heading THE ENERGY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT ENERGY SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

ENERGY SELECT SECTOR SPDR S&P 500 ENERGY SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ------------- -------- --------------- 03/31/99 10000 10000 10000 06/30/99 11441 10705 11409 09/30/99 11248 10037 11225 12/31/99 11167 11530 11159 03/31/00 12088 11793 12098 06/30/00 12495 11481 12526 09/30/00 13654 11368 13699 12/31/00 13888 10479 13944 03/31/01 12891 9237 12960 06/30/01 12801 9778 12876 09/30/01 10953 8342 11031 12/31/01 11338 9234 11421 03/31/02 12318 9259 12423 06/30/02 11238 8018 11340 09/30/02 9121 6633 9199 12/31/02 9671 7193 9763 03/31/03 9737 6966 9839 06/30/03 10532 8038 10653 09/30/03 10567 8251 10695 12/31/03 12221 9256 12381 03/31/04 13033 9412 13213 06/30/04 14049 9574 14260 09/30/04 15669 9395 15926 12/31/04 16304 10263 16584 03/31/05 19315 10042 19670 06/30/05 20115 10179 20466 09/30/05 24325 10546 24786 12/31/05 22862 10766 23303 03/31/06 24793 11219 25303 06/30/06 25921 11058 26466 09/30/06 24543 11684 25066 12/31/06 27046 12467 27640 03/31/07 27823 12547 28455 06/30/07 32013 13334 32766 09/30/07 34818 13605 35672 12/31/07 36874 13151 37796 03/31/08 34567 11909 35457 06/30/08 41377 11585 42482 09/30/08 29991 10614 30789 12/31/08 22570 8285 23169 03/31/09 20199 7373 20736

8 Select Sector Spider Heading THE ENERGY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------- DESCRIPTION EXXON MOBIL CHEVRON CONOCOPHILLIPS OCCIDENTAL PETROLEUM SCHLUMBERGER, CORP. CORP. CORP. LTD. ------------------------------------------------------------------------------------------------------------------------- SHARES 13,609,147 9,035,143 6,882,637 3,286,114 4,375,389 ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $926,782,911 607,523,015 269,524,065 182,872,244 177,728,301 ------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 23.3 15.3 6.8 4.6 4.5 -------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Energy Equipment & Services 15.2 Oil, Gas & Consumable Fuels 84.8 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 9 Select Sector Spider Heading THE FINANCIAL SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE FINANCIAL SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET FINANCIAL NET ASSET MARKET FINANCIAL VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -54.94% -54.77% -55.06% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -62.87% -62.88% -62.98% -62.87% -62.88% -62.98% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -70.10% -70.16% -70.08% -33.13% -33.18% -33.12% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS -65.43% -65.45% -65.21% -19.14% -19.15% -19.04% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS -55.77% -55.76% -54.87% -7.83% -7.83% -7.65% -------------------------------------------------------------------------------------------------------------------------------

10 Select Sector Spider Heading THE FINANCIAL SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT FINANCIAL SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

FINANCIAL SELECT SECTOR SPDR S&P 500 FINANCIAL SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ---------------- -------- ---------------- 03/31/99 10000 10000 10000 06/30/99 10487 10705 10486 09/30/99 8880 10037 8877 12/31/99 9635 11530 9647 03/31/00 9845 11793 9868 06/30/00 9573 11481 9598 09/30/00 11826 11368 11872 12/31/00 12087 10479 12148 03/31/01 10921 9237 10978 06/30/01 11773 9778 11841 09/30/01 10229 8342 10293 12/31/01 10983 9234 11061 03/31/02 11358 9259 11445 06/30/02 10506 8018 10589 09/30/02 8712 6633 8786 12/31/02 9353 7193 9439 03/31/03 8870 6966 8957 06/30/03 10496 8038 10612 09/30/03 10930 8251 11061 12/31/03 12206 9256 12369 03/31/04 12788 9412 12972 06/30/04 12480 9574 12662 09/30/04 12522 9395 12707 12/31/04 13499 10263 13715 03/31/05 12635 10042 12843 06/30/05 13172 10179 13398 09/30/05 13260 10546 13495 12/31/05 14338 10766 14607 03/31/06 14794 11219 15082 06/30/06 14766 11058 15062 09/30/06 15930 11684 16266 12/31/06 17038 12467 17415 03/31/07 16543 12547 16921 06/30/07 16885 13334 17278 09/30/07 16154 13605 16542 12/31/07 13840 13151 14171 03/31/08 11910 11909 12192 06/30/08 9738 11585 9959 09/30/08 9815 10614 10043 12/31/08 6198 8285 6338 03/31/09 4423 7373 4513

11 Select Sector Spider Heading THE FINANCIAL SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

-------------------------------------------------------------------------------------------------------------------- DESCRIPTION JPMORGAN WELLS FARGO GOLDMAN SACHS BANK OF BANK OF NEW YORK CHASE & CO. & CO. GROUP, INC. AMERICA CORP. MELLON CORP. -------------------------------------------------------------------------------------------------------------------- SHARES 20,939,773 23,614,171 2,573,264 35,671,623 6,402,816 -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $556,579,166 336,265,795 272,817,449 243,280,469 180,879,552 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 13.3 8.0 6.5 5.8 4.3 --------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Capital Markets 23.8 Commercial Banks 17.7 Consumer Finance 3.5 Diversified Financial Services 26 Insurance 19.8 Real Estate Investment Trusts (REITS) 7.4 Real Estate Management & Development 0.1 Thrifts & Mortgage Finance 1.7 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 12 Select Sector Spider Heading THE HEALTH CARE SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE HEALTH CARE SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET HEALTH CARE NET ASSET MARKET HEALTH CARE VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -19.17% -19.73% -19.18% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -19.91% -19.96% -19.84% -19.91% -19.96% -19.84% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -19.90% -20.07% -19.49% -7.13% -7.19% -6.97% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS -12.06% -12.37% -11.16% -2.54% -2.61% -2.34% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS -2.92% -3.29% -0.79% -0.30% -0.33% -0.08% -------------------------------------------------------------------------------------------------------------------------------

13 Select Sector Spider Heading THE HEALTH CARE SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT HEALTH CARE SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

HEALTH CARE HEALTH CARE SELECT SECTOR S&P 500 SELECT SECTOR SPDR FUND(A) INDEX(C) INDEX(B) ------------- -------- ------------- 03/31/99 10000 10000 10000 06/30/99 10546 10705 10559 09/30/99 9608 10037 9633 12/31/99 11139 11530 11182 03/31/00 11096 11793 11152 06/30/00 10594 11481 10639 09/30/00 10458 11368 10490 12/31/00 9852 10479 9879 03/31/01 9741 9237 9769 06/30/01 10661 9778 10698 09/30/01 8502 8342 8538 12/31/01 9832 9234 9882 03/31/02 10669 9259 10733 06/30/02 9928 8018 9991 09/30/02 9207 6633 9271 12/31/02 9666 7193 9741 03/31/03 9759 6966 9842 06/30/03 10720 8038 10820 09/30/03 10235 8251 10340 12/31/03 11093 9256 11215 03/31/04 11037 9412 11168 06/30/04 11325 9574 11467 09/30/04 10704 9395 10843 12/31/04 11253 10263 11408 03/31/05 11179 10042 11340 06/30/05 11634 10179 11811 09/30/05 11808 10546 11995 12/31/05 11980 10766 12177 03/31/06 12117 11219 12323 06/30/06 11497 11058 11699 09/30/06 12657 11684 12889 12/31/06 12829 12467 13072 03/31/07 12945 12547 13197 06/30/07 13596 13334 13868 09/30/07 13731 13605 14014 12/31/07 13719 13151 14008 03/31/08 12118 11909 12376 06/30/08 11965 11585 12226 09/30/08 12008 10614 12275 12/31/08 10543 8285 10778 03/31/09 9708 7373 9921

14 Select Sector Spider Heading THE HEALTH CARE SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

-------------------------------------------------------------------------------------------------------------- DESCRIPTION JOHNSON & PFIZER, INC. ABBOTT WYETH MERCK & CO., JOHNSON LABORATORIES INC. -------------------------------------------------------------------------------------------------------------- SHARES 5,877,335 14,336,061 2,783,805 2,844,466 4,478,873 -------------------------------------------------------------------------------------------------------------- MARKET VALUE $309,147,821 195,257,151 132,787,498 122,425,817 119,809,853 -------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 13.8 8.7 5.9 5.4 5.3 --------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Biotechnology 14.3 Health Care Equipment & Supplies 15.6 Health Care Providers & Services 14.0 Health Care Technology 0.2 Life Sciences Tools & Services 2.8 Pharmaceuticals 53.1 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 15 Select Sector Spider Heading THE INDUSTRIAL SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE INDUSTRIAL SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET INDUSTRIAL NET ASSET MARKET INDUSTRIAL VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -38.49% -38.81% -38.58% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -48.63% -48.59% -48.74% -48.63% -48.59% -48.74% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -41.64% -41.87% -41.49% -16.43% -16.54% -16.36% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS -23.23% -23.60% -22.61% -5.15% -5.24% -5.00% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS -12.63% -13.08% -10.45% -1.34% -1.39% -1.10% -------------------------------------------------------------------------------------------------------------------------------

16 Select Sector Spider Heading THE INDUSTRIAL SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT INDUSTRIAL SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

INDUSTRIAL SELECT SECTOR SPDR S&P 500 INDUSTRIAL SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ----------------- -------- ----------------- 03/31/99 10000 10000 10000 06/30/99 11947 10705 11954 09/30/99 11572 10037 11585 12/31/99 12010 11530 12043 03/31/00 11809 11793 11858 06/30/00 11613 11481 11674 09/30/00 12393 11368 12474 12/31/00 12852 10479 12939 03/31/01 10927 9237 11005 06/30/01 11984 9778 12078 09/30/01 9778 8342 9858 12/31/01 11531 9234 11632 03/31/02 11352 9259 11470 06/30/02 9979 8018 10083 09/30/02 8191 6633 8280 12/31/02 8680 7192 8780 03/31/03 8171 6966 8270 06/30/03 9490 8038 9621 09/30/03 9921 8251 10064 12/31/03 11501 9256 11680 03/31/04 11384 9412 11570 06/30/04 12340 9574 12552 09/30/04 12263 9395 12482 12/31/04 13505 10263 13759 03/31/05 13262 10042 13516 06/30/05 12853 10179 13106 09/30/05 13227 10546 13496 12/31/05 13880 10766 14173 03/31/06 14977 11219 15304 06/30/06 15029 11058 15366 09/30/06 14882 11684 15226 12/31/06 15767 12467 16143 03/31/07 16041 12547 16432 06/30/07 17638 13334 18083 09/30/07 18584 13605 19065 12/31/07 17849 13151 18318 03/31/08 17013 11909 17469 06/30/08 15674 11585 16087 09/30/08 14207 10614 14577 12/31/08 10909 8285 11194 03/31/09 8737 7373 8955

17 Select Sector Spider Heading THE INDUSTRIAL SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

----------------------------------------------------------------------------------------------------------- GENERAL UNITED PARCEL UNITED 3M CO. BOEING CO. DESCRIPTION ELECTRIC SERVICE, INC. TECHNOLOGIES CO. (CLASS B) CORP. ----------------------------------------------------------------------------------------------------------- SHARES 9,882,234 1,281,582 1,239,068 899,486 960,012 ----------------------------------------------------------------------------------------------------------- MARKET VALUE $99,909,386 63,079,466 53,255,143 44,722,444 34,157,227 ----------------------------------------------------------------------------------------------------------- % OF NET ASSETS 11.1 7.0 5.9 5.0 3.8 -----------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE CHART IN %) Aerospace & Defense 28.8 Air Freight & Logistics 11.1 Airlines 0.7 Building Products 0.4 Commercial Services & Supplies 5.9 Construction & Engineering 2.0 Electrical Equipment 4.6 Electronic Equipment, Instruments & Components 0.4 Industrial Conglomerates 16.4 Machinery 16.2 Professional Services 2.0 Road & Rail 10.1 Trading Companies & Distributors 1.4 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 18 Select Sector Spider Heading THE MATERIALS SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE MATERIALS SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET MATERIALS NET ASSET MARKET MATERIALS VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -31.80% -31.85% -31.88% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -43.31% -43.29% -43.46% -43.31% -43.29% -43.46% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -26.18% -26.39% -26.15% -9.62% -9.71% -9.61% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS -4.83% -4.85% -4.03% -0.99% -0.99% -0.82% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS 29.16% 29.54% 25.43% 2.59% 2.62% 2.29% -------------------------------------------------------------------------------------------------------------------------------

19 Select Sector Spider Heading THE MATERIALS SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT MATERIALS SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

MATERIALS SELECT SECTOR SPDR S&P 500 MATERIALS SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ---------------- -------- ---------------- 03/31/99 10000 10000 10000 06/30/99 11961 10705 11953 09/30/99 10939 10037 10941 12/31/99 12254 11530 12300 03/31/00 10734 11793 10780 06/30/00 9226 11481 9283 09/30/00 8480 11368 8527 12/31/00 10381 10479 10441 03/31/01 9786 9237 9864 06/30/01 10776 9778 10867 09/30/01 9501 8342 9591 12/31/01 10656 9234 10771 03/31/02 11762 9259 11900 06/30/02 11552 8018 11695 09/30/02 8907 6633 9011 12/31/02 10044 7192 10172 03/31/03 9317 6966 9441 06/30/03 10585 8038 10740 09/30/03 11229 8251 11407 12/31/03 13811 9256 14055 03/31/04 13570 9412 13816 06/30/04 13938 9574 14201 09/30/04 14405 9395 14689 12/31/04 15640 10263 15968 03/31/05 15924 10042 16269 06/30/05 14415 10179 14730 09/30/05 14664 10546 15009 12/31/05 16291 10766 16695 03/31/06 17500 11219 17955 06/30/06 17427 11058 17890 09/30/06 17320 11684 17787 12/31/06 19264 12467 19802 03/31/07 21015 12547 21578 06/30/07 22487 13334 23105 09/30/07 23549 13605 24212 12/31/07 23499 13151 24176 03/31/08 22783 11909 23452 06/30/08 23660 11585 24359 09/30/08 18939 10614 19466 12/31/08 13162 8285 13509 03/31/09 12916 7373 13259

20 Select Sector Spider Heading THE MATERIALS SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

-------------------------------------------------------------------------------------------------------------------------- DESCRIPTION MONSANTO NEWMONT MINING PRAXAIR, DU PONT (E.I.) AIR PRODUCTS & CO. CORP. (HOLDING CO.) INC. DE NEMOURS & CO. CHEMICALS, INC. -------------------------------------------------------------------------------------------------------------------------- SHARES 2,145,463 1,915,286 1,202,222 3,533,399 733,840 -------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $178,287,975 85,728,201 80,897,518 78,900,800 41,278,500 -------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 19.6 9.4 8.9 8.7 4.5 --------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE GRAPH IN %) Chemicals 61.5 Construction Materials 2.3 Containers & Packaging 6.4 Metals & Mining 24.6 Paper & Forest Products 5.2 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 21 Select Sector Spider Heading THE TECHNOLOGY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE TECHNOLOGY SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET TECHNOLOGY NET ASSET MARKET TECHNOLOGY VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -20.36% -20.27% -20.33% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -29.57% -29.64% -29.54% -29.57% -29.64% -29.54% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -27.05% -27.36% -26.81% -9.98% -10.11% -9.88% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS -17.90% -18.09% -17.26% -3.87% -3.91% -3.72% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS -54.31% -54.35% -53.31% -7.54% -7.54% -7.33% -------------------------------------------------------------------------------------------------------------------------------

22 Select Sector Spider Heading THE TECHNOLOGY SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT TECHNOLOGY SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

TECHNOLOGY SELECT SECTOR SPDR S&P 500 TECHNOLOGY SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ----------------- -------- ----------------- 03/31/99 10000 10000 10000 06/30/99 11030 10705 11040 09/30/99 11240 10037 11264 12/31/99 14776 11530 14819 03/31/00 16425 11793 16494 06/30/00 14755 11481 14829 09/30/00 12663 11368 12731 12/31/00 8540 10479 8588 03/31/01 6772 9237 6813 06/30/01 7591 9778 7647 09/30/01 5228 8342 5266 12/31/01 6580 9234 6633 03/31/02 5928 9259 5979 06/30/02 4330 8018 4367 09/30/02 3227 6633 3256 12/31/02 4053 7193 4094 03/31/03 3921 6966 3963 06/30/03 4657 8038 4712 09/30/03 4991 8251 5054 12/31/03 5635 9256 5711 03/31/04 5565 9412 5644 06/30/04 5683 9574 5767 09/30/04 5259 9395 5340 12/31/04 5929 10263 6026 03/31/05 5489 10042 5576 06/30/05 5600 10179 5691 09/30/05 5872 10546 5970 12/31/05 5921 10766 6026 03/31/06 6264 11219 6379 06/30/06 5740 11058 5848 09/30/06 6236 11684 6358 12/31/06 6638 12467 6769 03/31/07 6657 12547 6795 06/30/07 7313 13334 7470 09/30/07 7719 13605 7882 12/31/07 7647 13151 7811 03/31/08 6488 11909 6627 06/30/08 6573 11585 6716 09/30/08 5737 10614 5860 12/31/08 4482 8285 4577 03/31/09 4569 7373 4669

23 Select Sector Spider Heading THE TECHNOLOGY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

---------------------------------------------------------------------------------------------------------------------------- DESCRIPTION AT&T, MICROSOFT INTERNATIONAL BUSINESS CISCO SYSTEMS, APPLE, INC. CORP. MACHINES CORP. INC. INC. ---------------------------------------------------------------------------------------------------------------------------- SHARES 8,009,134 10,393,097 1,823,497 7,933,817 1,208,063 ---------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $201,830,177 190,921,192 176,678,624 133,050,111 126,991,583 ---------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.8 9.2 8.6 6.4 6.1 ----------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* (PIE GRAPH IN %) Communications Equipment 13.9 Computers & Peripherals 23.2 Diversified Telecommunication Services 16.9 Electronic Equipment,Instruments & Components 1.4 Internet Software & Services 7.3 IT Services 5.4 Office Electronics 0.3 Semiconductor & Semiconductor Equipment 11.2 Software 18.9 Wireless Telecommunication Services 1.5 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 24 Select Sector Spider Heading THE UTILITIES SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION VISIT WWW.SECTORSPDRS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR THE UTILITIES SELECT SECTOR SPDR FUND AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED JANUARY 31, 2009 IS 0.21%. PERFORMANCE AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- NET ASSET MARKET UTILITIES NET ASSET MARKET UTILITIES VALUE VALUE SELECT SECTOR INDEX VALUE VALUE SELECT SECTOR INDEX ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS -20.62% -20.81% -20.66% N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -29.78% -29.99% -29.84% -29.78% -29.99% -29.84% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -8.08% -8.34% -7.67% -2.77% -2.86% -2.62% ------------------------------------------------------------------------------------------------------------------------------- FIVE YEARS 24.63% 23.90% 26.03% 4.50% 4.38% 4.74% ------------------------------------------------------------------------------------------------------------------------------- TEN YEARS 36.26% 35.79% 38.94% 3.14% 3.11% 3.34% -------------------------------------------------------------------------------------------------------------------------------

25 Select Sector Spider Heading THE UTILITIES SELECT SECTOR SPDR FUND -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT UTILITIES SELECT SECTOR SPDR FUND (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

UTILITIES SELECT SECTOR SPDR S&P 500 UTILITIES SELECT FUND(A) INDEX(C) SECTOR INDEX(B) ---------------- -------- ---------------- 03/31/99 10000 10000 10000 06/30/99 11709 10705 11679 09/30/99 11220 10037 11188 12/31/99 10847 11530 10809 03/31/00 10272 11793 10250 06/30/00 10596 11481 10583 09/30/00 12698 11368 12689 12/31/00 13230 10479 13224 03/31/01 12668 9237 12671 06/30/01 12582 9778 12594 09/30/01 11986 8342 11999 12/31/01 11503 9234 11519 03/31/02 11634 9259 11656 06/30/02 10167 8018 10188 09/30/02 7894 6633 7918 12/31/02 8269 7193 8304 03/31/03 8003 6966 8044 06/30/03 9692 8038 9761 09/30/03 9648 8251 9713 12/31/03 10403 9255 10485 03/31/04 10927 9412 11025 06/30/04 10781 9574 10882 09/30/04 11495 9395 11615 12/31/04 12879 10263 13030 03/31/05 13565 10042 13736 06/30/05 14810 10179 15016 09/30/05 15870 10546 16107 12/31/05 15005 10766 15225 03/31/06 14823 11219 15048 06/30/06 15655 11058 15904 09/30/06 16591 11684 16876 12/31/06 18093 12467 18420 03/31/07 19754 12547 20131 06/30/07 19674 13334 20054 09/30/07 20046 13605 20445 12/31/07 21550 13151 21989 03/31/08 19401 11909 19804 06/30/08 20929 11585 21379 09/30/08 17161 10614 17514 12/31/08 15280 8285 15593 03/31/09 13626 7373 13894

26 Select Sector Spider Heading THE UTILITIES SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2009

------------------------------------------------------------------------------------------------------------------- DESCRIPTION EXELON SOUTHERN CO. FPL GROUP, DOMINION DUKE ENERGY CORP. INC. RESOURCES, INC. CORP. ------------------------------------------------------------------------------------------------------------------- SHARES 4,566,810 5,393,864 2,837,200 4,047,262 8,187,900 ------------------------------------------------------------------------------------------------------------------- MARKET VALUE $207,287,506 165,160,116 143,931,156 125,424,649 117,250,728 ------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 10.1 8.0 7.0 6.1 5.7 -------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees that the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2009* [PIE GRAPH IN %] Electric Utilities 57.6 Gas Utilities 2.3 Independent Power Producers & Energy Traders 3.0 Multi-Utilities 37.1 * The Fund's industry breakdown is expressed as a percentage of Total Common Stocks and may change over time. 27 THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.7% AUTO COMPONENTS -- 1.4% Goodyear Tire & Rubber Co. (a)(b)................. 283,527 $ 1,774,879 Johnson Controls, Inc. (b)........................ 695,483 8,345,796 ------------- 10,120,675 ------------- AUTOMOBILES -- 1.7% Ford Motor Co. (a)(b)............................. 2,804,940 7,376,992 General Motors Corp. (b).......................... 718,613 1,394,109 Harley-Davidson, Inc. (b)......................... 274,065 3,669,731 ------------- 12,440,832 ------------- DISTRIBUTORS -- 0.8% Genuine Parts Co. (b)............................. 187,144 5,588,120 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.4% Apollo Group, Inc. (Class A) (a)(b)............... 125,166 9,804,253 H&R Block, Inc. .................................. 397,585 7,232,071 ------------- 17,036,324 ------------- HOTELS, RESTAURANTS & LEISURE -- 17.7% Carnival Corp. (b)................................ 512,407 11,067,991 Darden Restaurants, Inc. (b)...................... 160,817 5,509,590 International Game Technology..................... 346,766 3,197,183 Marriott International, Inc. (Class A) (b)........ 344,946 5,643,317 McDonald's Corp. ................................. 1,303,532 71,133,741 Starbucks Corp. (a)(b)............................ 859,880 9,553,267 Starwood Hotels & Resorts Worldwide, Inc. (b)..... 214,165 2,719,896 Wyndham Worldwide Corp. .......................... 208,821 877,048 Wynn Resorts, Ltd. (a)(b)......................... 78,151 1,560,675 Yum! Brands, Inc. ................................ 538,342 14,793,638 ------------- 126,056,346 ------------- HOUSEHOLD DURABLES -- 4.0% Black & Decker Corp. (b).......................... 70,547 2,226,463 Centex Corp. (b).................................. 145,399 1,090,493 D.R. Horton, Inc. (b)............................. 323,367 3,136,660 Fortune Brands, Inc. (b).......................... 176,231 4,326,471 Harman International Industries, Inc. (b)......... 68,883 931,987 KB HOME (b)....................................... 88,996 1,172,967 Leggett & Platt, Inc. (b)......................... 184,794 2,400,474 Lennar Corp. (Class A) (b)........................ 166,191 1,248,094 Newell Rubbermaid, Inc. .......................... 326,732 2,084,550 Pulte Homes, Inc. (b)............................. 251,826 2,752,458 Snap-on, Inc. .................................... 67,568 1,695,957 The Stanley Works (b)............................. 92,562 2,695,406 Whirlpool Corp. (b)............................... 86,331 2,554,534 ------------- 28,316,514 ------------- INTERNET & CATALOG RETAIL -- 4.2% Amazon.com, Inc. (a)(b)........................... 376,253 27,632,020 Expedia, Inc. (a)(b).............................. 246,227 2,235,741 ------------- 29,867,761 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.3% Eastman Kodak Co. (b)............................. 316,032 1,200,921 Hasbro, Inc. ..................................... 145,356 3,644,075 Mattel, Inc. (b).................................. 420,722 4,850,925 ------------- 9,695,921 ------------- MEDIA -- 27.5% CBS Corp. (Class B) (b)........................... 796,799 3,059,708 Comcast Corp. (Class A)........................... 3,371,793 45,991,257 DIRECTV Group, Inc. (a)(b)........................ 619,220 14,112,024 Gannett Co., Inc. (b)............................. 268,582 590,880 Interpublic Group of Cos., Inc. (a)(b)............ 558,993 2,303,051 McGraw-Hill Cos., Inc. ........................... 368,041 8,417,098 Meredith Corp. (b)................................ 42,756 711,460 New York Times Co. (Class A) (b).................. 137,171 620,013 News Corp. (Class A).............................. 2,692,289 17,822,953 Omnicom Group, Inc. (b)........................... 363,932 8,516,009 Scripps Networks Interactive (Class A) (b)........ 105,799 2,381,536 The Walt Disney Co. .............................. 2,172,833 39,458,647 Time Warner Cable, Inc. .......................... 412,354 10,226,379 Time Warner, Inc. (b)............................. 1,403,287 27,083,439 Viacom, Inc. (Class B) (a)(b)..................... 709,780 12,335,976 Washington Post Co. (Class B)..................... 7,116 2,541,124 ------------- 196,171,554 ------------- MULTILINE RETAIL -- 9.6% Big Lots, Inc. (a)(b)............................. 96,540 2,006,101 Family Dollar Stores, Inc. (b).................... 164,215 5,479,855 J.C. Penney Co., Inc. (b)......................... 260,793 5,234,115 Kohl's Corp. (a)(b)............................... 356,668 15,094,190 Macy's, Inc. (b).................................. 493,609 4,393,120 Nordstrom, Inc. (b)............................... 187,001 3,132,267 Sears Holdings Corp. (a)(b)....................... 64,519 2,949,163 Target Corp. ..................................... 881,122 30,301,786 ------------- 68,590,597 ------------- SPECIALTY RETAIL -- 24.0% Abercrombie & Fitch Co. (Class A) (b)............. 102,462 2,438,595 AutoNation, Inc. (a)(b)........................... 126,832 1,760,428 AutoZone, Inc. (a)(b)............................. 44,437 7,226,345 Bed Bath & Beyond, Inc. (a)(b).................... 304,011 7,524,272 Best Buy Co., Inc. (b)............................ 396,829 15,063,629 GameStop Corp. (Class A) (a)(b)................... 192,231 5,386,313 Gap, Inc. ........................................ 545,733 7,089,072 Home Depot, Inc. (b).............................. 1,984,522 46,755,338 Limited Brands, Inc. (b).......................... 317,631 2,763,390 Lowe's Cos., Inc. ................................ 1,715,535 31,308,514 O'Reilly Automotive, Inc. (a)..................... 158,305 5,542,258 Office Depot, Inc. (a)............................ 323,278 423,494 RadioShack Corp. (b).............................. 146,696 1,257,185 Sherwin-Williams Co. (b).......................... 115,194 5,986,632 Staples, Inc. (b)................................. 835,086 15,123,407 Tiffany & Co. (b)................................. 144,480 3,114,989 TJX Cos., Inc. (b)................................ 487,306 12,494,526 ------------- 171,258,387 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 5.1% Coach, Inc. (a)................................... 376,819 6,292,877 NIKE, Inc. (Class B) (b).......................... 453,251 21,252,940 Polo Ralph Lauren Corp. (b)....................... 66,228 2,798,133 V.F. Corp. (b).................................... 103,481 5,909,800 ------------- 36,253,750 ------------- TOTAL COMMON STOCKS -- (Cost $1,148,499,783)........................... 711,396,781 -------------

See accompanying notes to financial statements. 28 THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SHORT TERM INVESTMENTS -- 16.5% MONEY MARKET FUNDS -- 16.5% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 113,632,602 $ 113,632,602 STIC Prime Portfolio.............................. 3,777,018 3,777,018 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $117,409,620)............................. 117,409,620 ------------- TOTAL INVESTMENTS -- 116.2% (Cost $1,265,909,403)........................... 828,806,401 OTHER ASSETS AND LIABILITIES -- (16.2)%.......................... (115,522,887) ------------- NET ASSETS -- 100.0%.............................. $ 713,283,514 =============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 29 THE CONSUMER STAPLES SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.5% BEVERAGES -- 14.3% Brown-Forman Corp. (Class B) (a).................. 288,870 $ 11,216,822 Coca-Cola Co. .................................... 2,377,200 104,477,940 Coca-Cola Enterprises, Inc. ...................... 936,510 12,352,567 Constellation Brands, Inc. (Class A) (a)(b)................................ 599,525 7,134,348 Dr. Pepper Snapple Group, Inc.(b)................. 515,684 8,720,216 Molson Coors Brewing Co. (Class B) (a)............ 515,672 17,677,236 Pepsi Bottling Group, Inc. ....................... 461,359 10,214,488 PepsiCo, Inc. .................................... 1,591,166 81,913,226 -------------- 253,706,843 -------------- FOOD & STAPLES RETAILING -- 29.8% Costco Wholesale Corp. ........................... 977,643 45,284,424 CVS Caremark Corp. ............................... 3,320,152 91,270,978 Kroger Co. (a).................................... 1,588,196 33,701,519 Safeway, Inc. .................................... 1,087,887 21,964,439 SUPERVALU, Inc. (a)............................... 683,987 9,767,334 Sysco Corp. ...................................... 1,361,246 31,036,409 Wal-Mart Stores, Inc. ............................ 4,554,006 237,263,713 Walgreen Co. ..................................... 2,127,552 55,231,250 Whole Foods Market, Inc. (a)...................... 280,878 4,718,750 -------------- 530,238,816 -------------- FOOD PRODUCTS -- 17.0% Archer-Daniels-Midland Co. ....................... 1,517,682 42,161,206 Campbell Soup Co. ................................ 612,908 16,769,163 ConAgra Foods, Inc. .............................. 1,143,692 19,294,084 Dean Foods Co. (b)................................ 312,911 5,657,431 General Mills, Inc. .............................. 766,964 38,256,164 H.J. Heinz Co. ................................... 788,801 26,077,761 Hershey Co. (a)................................... 424,460 14,749,985 Hormel Foods Corp. ............................... 142,148 4,507,513 J.M. Smucker Co. ................................. 240,802 8,974,691 Kellogg Co. ...................................... 635,291 23,270,709 Kraft Foods, Inc. (Class A)....................... 2,995,709 66,774,354 McCormick & Co., Inc. ............................ 433,979 12,832,759 Sara Lee Corp. ................................... 1,674,530 13,530,202 Tyson Foods, Inc. (Class A)....................... 984,953 9,248,709 -------------- 302,104,731 -------------- HOUSEHOLD PRODUCTS -- 23.0% Clorox Co. (a).................................... 370,449 19,070,714 Colgate-Palmolive Co. (a)......................... 1,114,874 65,755,268 Kimberly-Clark Corp. ............................. 921,724 42,500,694 Procter & Gamble Co. ............................. 5,972,195 281,230,663 -------------- 408,557,339 -------------- PERSONAL PRODUCTS -- 1.4% Avon Products, Inc. .............................. 1,037,388 19,948,971 Estee Lauder Cos., Inc. (Class A) (a)............. 235,544 5,806,160 -------------- 25,755,131 -------------- TOBACCO -- 14.0% Altria Group, Inc. ............................... 4,201,314 67,305,050 Lorillard, Inc. .................................. 342,404 21,140,023 Philip Morris International, Inc. ................ 4,082,590 145,258,552 Reynolds American, Inc. (a)....................... 454,923 16,304,441 -------------- 250,008,066 -------------- TOTAL COMMON STOCKS -- (Cost $2,537,797,327)........................... 1,770,370,926 -------------- SHORT TERM INVESTMENTS -- 3.5% MONEY MARKET FUNDS -- 3.5% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 50,532,355 50,532,355 STIC Prime Portfolio.............................. 11,310,505 11,310,505 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $61,842,860).............................. 61,842,860 -------------- TOTAL INVESTMENTS -- 103.0% (Cost $2,599,640,187)........................... 1,832,213,786 OTHER ASSETS AND LIABILITIES -- (3.0)%........................... (52,964,054) -------------- NET ASSETS -- 100.0%.............................. $1,779,249,732 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 30 THE ENERGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% ENERGY EQUIPMENT & SERVICES -- 15.1% Baker Hughes, Inc. (a)............................ 1,917,042 $ 54,731,549 BJ Services Co. (a)............................... 2,987,411 29,724,739 Cameron International Corp. (b)................... 1,702,359 37,332,733 Diamond Offshore Drilling, Inc. (a)............... 571,669 35,935,113 ENSCO International, Inc. (a)..................... 1,233,887 32,574,617 Halliburton Co. (a)............................... 4,992,784 77,238,369 Nabors Industries, Ltd. (a)(b).................... 2,878,705 28,758,263 National-Oilwell Varco, Inc. (b).................. 2,394,156 68,736,219 Rowan Cos., Inc. (a).............................. 1,820,950 21,796,772 Schlumberger, Ltd. (a)............................ 4,375,389 177,728,301 Smith International, Inc. (a)..................... 1,704,963 36,622,605 -------------- 601,179,280 -------------- OIL, GAS & CONSUMABLE FUELS -- 84.7% Anadarko Petroleum Corp. ......................... 2,449,582 95,264,244 Apache Corp. ..................................... 1,737,198 111,337,020 Cabot Oil & Gas Corp. (a)......................... 1,147,937 27,056,875 Chesapeake Energy Corp. (a)....................... 3,424,235 58,417,449 Chevron Corp. .................................... 9,035,143 607,523,015 ConocoPhillips.................................... 6,882,637 269,524,065 CONSOL Energy, Inc. .............................. 1,412,656 35,655,437 Devon Energy Corp. ............................... 2,332,552 104,241,749 El Paso Corp. .................................... 5,708,825 35,680,156 EOG Resources, Inc. .............................. 1,392,750 76,266,990 EQT Corp. (a)..................................... 1,103,876 34,584,435 Exxon Mobil Corp. ................................ 13,609,147 926,782,911 Hess Corp. ....................................... 1,548,317 83,918,781 Marathon Oil Corp. ............................... 3,753,129 98,669,761 Massey Energy Co. (a)............................. 1,900,734 19,235,428 Murphy Oil Corp. ................................. 1,206,154 53,999,515 Noble Energy, Inc. (a)............................ 1,086,866 58,560,340 Occidental Petroleum Corp. ....................... 3,286,114 182,872,244 Peabody Energy Corp. (a).......................... 1,841,483 46,110,734 Pioneer Natural Resources Co. (a)................. 1,468,724 24,189,884 Range Resources Corp. (a)......................... 1,095,606 45,095,143 Southwestern Energy Co. (a)(b).................... 2,058,150 61,106,474 Spectra Energy Corp. (a).......................... 4,033,697 57,036,476 Sunoco, Inc. (a).................................. 1,156,678 30,628,833 Tesoro Corp. (a).................................. 1,797,674 24,214,669 Valero Energy Corp. .............................. 3,189,362 57,089,580 Williams Cos., Inc. .............................. 4,062,371 46,229,782 XTO Energy, Inc. ................................. 3,096,059 94,801,327 -------------- 3,366,093,317 -------------- TOTAL COMMON STOCKS -- (Cost $6,538,178,938)........................... 3,967,272,597 -------------- SHORT TERM INVESTMENTS -- 6.2% MONEY MARKET FUNDS -- 6.2% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 219,948,756 219,948,756 STIC Prime Portfolio.............................. 25,338,849 25,338,849 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $245,287,605)............................. 245,287,605 -------------- TOTAL INVESTMENTS -- 106.0% (Cost $6,783,466,543)........................... 4,212,560,202 OTHER ASSETS AND LIABILITIES -- (6.0)%........................... (238,998,533) -------------- NET ASSETS -- 100.0%.............................. $3,973,561,669 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 31 THE FINANCIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% CAPITAL MARKETS -- 23.8% Ameriprise Financial, Inc. ....................... 1,218,825 $ 24,973,724 Bank of New York Mellon Corp. .................... 6,402,816 180,879,552 Charles Schwab Corp. ............................. 5,224,664 80,982,292 E*TRADE Financial Corp. (a)(b).................... 3,187,301 4,079,745 Federated Investors, Inc. (Class B) (a)........... 496,010 11,041,183 Franklin Resources, Inc. ......................... 844,066 45,469,835 Goldman Sachs Group, Inc. ........................ 2,573,264 272,817,449 Invesco Ltd. ..................................... 2,106,456 29,195,480 Janus Capital Group, Inc. ........................ 880,795 5,857,287 Legg Mason, Inc. (a).............................. 795,658 12,650,962 Morgan Stanley.................................... 5,987,906 136,344,620 Northern Trust Corp. ............................. 1,245,480 74,504,614 State Street Corp. (c)............................ 2,407,529 74,103,743 T. Rowe Price Group, Inc. (a)..................... 1,427,328 41,192,686 -------------- 994,093,172 -------------- COMMERCIAL BANKS -- 17.7% BB&T Corp. (a).................................... 3,117,573 52,749,335 Comerica, Inc. (a)................................ 842,422 15,424,747 Fifth Third Bancorp (a)........................... 3,215,527 9,389,339 First Horizon National Corp. (a).................. 1,175,709 12,627,115 Huntington Bancshares, Inc. (a)................... 2,039,014 3,384,763 KeyCorp........................................... 2,754,584 21,678,576 M & T Bank Corp. (a).............................. 432,842 19,581,772 Marshall & Ilsley Corp. (a)....................... 1,478,493 8,323,915 PNC Financial Services Group, Inc. (a)............ 2,385,330 69,866,316 Regions Financial Corp. (a)....................... 3,868,112 16,478,157 SunTrust Banks, Inc. ............................. 1,985,909 23,314,572 U.S. Bancorp...................................... 9,781,120 142,902,163 Wells Fargo & Co. (a)............................. 23,614,171 336,265,795 Zions Bancorp (a)................................. 642,188 6,312,708 -------------- 738,299,273 -------------- CONSUMER FINANCE -- 3.5% American Express Co. (a).......................... 6,526,578 88,957,258 Capital One Financial Corp. (a)................... 2,181,997 26,707,643 Discover Financial Services....................... 2,681,260 16,918,751 SLM Corp. (a)(b).................................. 2,602,394 12,881,850 -------------- 145,465,502 -------------- DIVERSIFIED FINANCIAL SERVICES -- 25.9% Bank of America Corp. ............................ 35,671,623 243,280,469 CIT Group, Inc. (a)............................... 2,165,287 6,171,068 Citigroup, Inc. (a)............................... 30,521,918 77,220,452 CME Group, Inc. .................................. 369,804 91,116,008 IntercontinentalExchange, Inc. (a)(b)............. 404,443 30,118,870 JPMorgan Chase & Co. ............................. 20,939,773 556,579,166 Leucadia National Corp. (a)(b).................... 1,009,848 15,036,637 Moody's Corp. (a)................................. 1,060,862 24,314,957 Nasdaq OMX Group, Inc. (a)(b)..................... 764,792 14,974,627 NYSE Euronext..................................... 1,441,243 25,798,250 -------------- 1,084,610,504 -------------- INSURANCE -- 19.8% AFLAC, Inc. ...................................... 2,606,002 50,452,199 Allstate Corp. ................................... 2,987,954 57,219,319 American International Group, Inc. (a)............ 14,984,556 14,984,556 Aon Corp. ........................................ 1,524,696 62,238,091 Assurant, Inc. ................................... 656,403 14,296,457 Chubb Corp. ...................................... 1,963,627 83,100,695 Cincinnati Financial Corp. ....................... 904,893 20,694,903 Genworth Financial, Inc. (Class A)................ 2,412,569 4,583,881 Hartford Financial Services Group, Inc. .................................... 1,810,911 14,215,651 Lincoln National Corp. (a)........................ 1,425,812 9,538,682 Loews Corp. ...................................... 2,013,288 44,493,665 Marsh & McLennan Cos., Inc. ...................... 2,870,425 58,126,106 MBIA, Inc. (a)(b)................................. 950,572 4,353,620 MetLife, Inc. .................................... 4,559,203 103,813,052 Principal Financial Group, Inc. (a)............... 1,445,512 11,824,288 Progressive Corp. (a)(b).......................... 3,772,320 50,699,981 Prudential Financial, Inc. ....................... 2,360,641 44,899,392 Torchmark Corp. (a)............................... 470,196 12,333,241 Travelers Cos., Inc. ............................. 3,259,379 132,461,163 Unum Group........................................ 1,844,430 23,055,375 XL Capital, Ltd. (Class A) (a).................... 1,906,935 10,411,865 -------------- 827,796,182 -------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 7.4% Apartment Investment & Management Co. (Class A) (a)............................................. 653,512 3,581,246 AvalonBay Communities, Inc. ...................... 443,994 20,894,358 Boston Properties, Inc. (a)....................... 675,092 23,648,473 Equity Residential Properties Trust (a)........... 1,518,985 27,873,375 HCP, Inc. (a)..................................... 1,413,938 25,238,793 Health Care REIT, Inc. ........................... 617,152 18,878,680 Host Hotels & Resorts, Inc. (a)................... 2,926,530 11,471,997 Kimco Realty Corp. (a)............................ 1,299,228 9,900,117 Plum Creek Timber Co., Inc. (a)................... 917,896 26,683,237 ProLogis (a)...................................... 1,490,191 9,686,241 Public Storage, Inc. ............................. 698,181 38,574,500 Simon Property Group, Inc. (a).................... 1,403,639 48,622,055 Ventas, Inc. ..................................... 798,123 18,045,561 Vornado Realty Trust.............................. 784,875 26,089,245 -------------- 309,187,878 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% CB Richard Ellis Group, Inc. (Class A) (a)(b)..... 1,252,526 5,047,680 -------------- THRIFTS & MORTGAGE FINANCE -- 1.6% Hudson City Bancorp, Inc. ........................ 2,908,168 33,996,484 People's United Financial, Inc. .................. 1,938,844 34,841,027 -------------- 68,837,511 -------------- TOTAL COMMON STOCKS -- (Cost $4,530,969,725)........................... 4,173,337,702 --------------

See accompanying notes to financial statements. 32 THE FINANCIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SHORT TERM INVESTMENTS -- 8.3% MONEY MARKET FUNDS -- 8.3% State Street Navigator Securities Lending Prime Portfolio (d)(e)................................ 293,634,858 $ 293,634,858 STIC Prime Portfolio.............................. 54,920,578 54,920,578 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $348,555,436)............................. 348,555,436 -------------- TOTAL INVESTMENTS -- 108.1% (Cost $4,879,525,161)........................... 4,521,893,138 OTHER ASSETS AND LIABILITIES -- (8.1)%........................... (340,652,226) -------------- NET ASSETS -- 100.0%.............................. $4,181,240,912 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Issuer. (Note 3) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 33 THE HEALTH CARE SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 14.3% Amgen, Inc. (a)................................... 2,199,581 $ 108,923,251 Biogen Idec, Inc. (a)............................. 645,228 33,822,852 Celgene Corp. (a)................................. 974,273 43,257,721 Cephalon, Inc. (a)(b)............................. 146,111 9,950,159 Genzyme Corp. (a)................................. 589,814 35,029,054 Gilead Sciences, Inc. (a)......................... 1,936,545 89,700,764 -------------- 320,683,801 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 15.6% Baxter International, Inc. ....................... 1,324,375 67,834,488 Becton, Dickinson & Co. .......................... 523,213 35,180,842 Boston Scientific Corp. (a)....................... 3,216,250 25,569,188 C.R. Bard, Inc. .................................. 224,220 17,874,818 Covidien, Ltd. ................................... 1,070,658 35,588,672 DENTSPLY International, Inc. (b).................. 316,089 8,486,990 Hospira, Inc. (a)................................. 337,855 10,426,205 Intuitive Surgical, Inc. (a)(b)................... 82,788 7,894,664 Medtronic, Inc. .................................. 2,388,488 70,388,741 St. Jude Medical, Inc. (a)........................ 754,580 27,413,891 Stryker Corp. (b)................................. 514,236 17,504,593 Varian Medical Systems, Inc. (a)(b)............... 263,609 8,024,258 Zimmer Holdings, Inc. (a)......................... 483,877 17,661,511 -------------- 349,848,861 -------------- HEALTH CARE PROVIDERS & SERVICES -- 14.0% Aetna, Inc. ...................................... 990,537 24,099,765 AmerisourceBergen Corp. .......................... 336,334 10,984,669 Cardinal Health, Inc. (b)......................... 770,893 24,267,712 CIGNA Corp. ...................................... 602,731 10,602,038 Coventry Health Care, Inc. (a).................... 316,081 4,090,088 DaVita, Inc. (a).................................. 220,352 9,684,470 Express Scripts, Inc. (a)......................... 552,944 25,529,425 Humana, Inc. (a).................................. 384,786 10,035,219 Laboratory Corp. of America Holdings (a)(b)....... 229,332 13,413,629 McKesson Corp. ................................... 602,600 21,115,104 Medco Health Solutions, Inc. (a).................. 1,073,783 44,390,189 Patterson Cos., Inc. (a)(b)....................... 193,492 3,649,259 Quest Diagnostics, Inc. .......................... 340,580 16,170,738 Tenet Healthcare Corp. (a)(b)..................... 914,521 1,060,844 UnitedHealth Group, Inc. ......................... 2,603,205 54,485,081 WellPoint, Inc. (a)............................... 1,088,359 41,324,991 -------------- 314,903,221 -------------- HEALTH CARE TECHNOLOGY -- 0.2% IMS Health, Inc. ................................. 403,514 5,031,820 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.8% Life Technologies Corp. (a)....................... 369,156 11,990,187 Millipore Corp. (a)(b)............................ 132,807 7,624,450 PerkinElmer, Inc. ................................ 249,365 3,184,391 Thermo Fisher Scientific, Inc. (a)(b)............. 893,026 31,854,237 Waters Corp. (a)(b)............................... 209,014 7,723,067 -------------- 62,376,332 -------------- PHARMACEUTICALS -- 53.0% Abbott Laboratories............................... 2,783,805 132,787,498 Allergan, Inc. ................................... 671,997 32,094,577 Bristol-Myers Squibb Co. ......................... 4,229,913 92,719,693 Eli Lilly & Co. .................................. 2,147,185 71,737,451 Forest Laboratories, Inc. (a)..................... 648,987 14,251,755 Johnson & Johnson................................. 5,877,335 309,147,821 King Pharmaceuticals, Inc. (a).................... 563,130 3,981,329 Merck & Co., Inc. ................................ 4,478,873 119,809,853 Mylan, Inc. (a)(b)................................ 645,505 8,656,222 Pfizer, Inc. (b).................................. 14,336,061 195,257,151 Schering-Plough Corp. ............................ 3,493,846 82,280,073 Watson Pharmaceuticals, Inc. (a)(b)............... 234,350 7,290,628 Wyeth............................................. 2,844,466 122,425,817 -------------- 1,192,439,868 -------------- TOTAL COMMON STOCKS -- (Cost $3,181,158,367)........................... 2,245,283,903 -------------- SHORT TERM INVESTMENTS -- 6.1% MONEY MARKET FUNDS -- 6.1% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 125,732,559 125,732,559 STIC Prime Portfolio.............................. 11,989,674 11,989,674 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $137,722,233)............................. 137,722,233 -------------- TOTAL INVESTMENTS -- 106.0% (Cost $3,318,880,600)........................... 2,383,006,136 OTHER ASSETS AND LIABILITIES -- (6.0)%........................... (135,636,043) -------------- NET ASSETS -- 100.0%.............................. $2,247,370,093 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 34 THE INDUSTRIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.5% AEROSPACE & DEFENSE -- 28.7% Boeing Co. ....................................... 960,012 $ 34,157,227 General Dynamics Corp. ........................... 531,761 22,115,940 Goodrich Corp. ................................... 241,092 9,134,976 Honeywell International, Inc. .................... 979,560 27,290,541 ITT Corp. ........................................ 279,393 10,748,249 L-3 Communications Holdings, Inc. ................ 150,086 10,175,831 Lockheed Martin Corp. ............................ 444,914 30,712,413 Northrop Grumman Corp. ........................... 446,969 19,505,727 Precision Castparts Corp. (a)..................... 176,904 10,596,550 Raytheon Co. ..................................... 555,619 21,635,804 Rockwell Collins, Inc. (a)........................ 258,435 8,435,318 United Technologies Corp. ........................ 1,239,068 53,255,143 -------------- 257,763,719 -------------- AIR FREIGHT & LOGISTICS -- 11.0% C.H. Robinson Worldwide, Inc. (a)................. 215,176 9,814,177 Expeditors International of Washington, Inc. (a).. 268,194 7,587,208 FedEx Corp. (a)................................... 421,969 18,773,401 United Parcel Service, Inc. (Class B) (a)......... 1,281,582 63,079,466 -------------- 99,254,252 -------------- AIRLINES -- 0.7% Southwest Airlines Co. ........................... 1,025,892 6,493,896 -------------- BUILDING PRODUCTS -- 0.4% Masco Corp. (a)................................... 505,839 3,530,756 -------------- COMMERCIAL SERVICES & SUPPLIES -- 5.9% Avery Dennison Corp. ............................. 175,223 3,914,482 Cintas Corp. (a).................................. 200,507 4,956,533 Iron Mountain, Inc. (a)(b)........................ 227,080 5,034,364 Pitney Bowes, Inc. ............................... 299,081 6,983,541 R.R. Donnelley & Sons Co. (a)..................... 378,177 2,772,037 Republic Services, Inc. .......................... 406,939 6,979,004 Stericycle, Inc. (a)(b)........................... 107,815 5,146,010 Waste Management, Inc. ........................... 677,996 17,356,698 -------------- 53,142,669 -------------- CONSTRUCTION & ENGINEERING -- 2.0% Fluor Corp. (a)................................... 333,840 11,534,172 Jacobs Engineering Group, Inc. (a)(b)............. 155,619 6,016,230 -------------- 17,550,402 -------------- ELECTRICAL EQUIPMENT -- 4.6% Cooper Industries, Ltd. (Class A)................. 284,075 7,346,180 Emerson Electric Co. ............................. 1,012,607 28,940,308 Rockwell Automation, Inc. (a)..................... 231,930 5,065,351 -------------- 41,351,839 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.4% FLIR Systems, Inc. (b)............................ 189,095 3,872,666 -------------- INDUSTRIAL CONGLOMERATES -- 16.3% 3M Co. ........................................... 899,486 44,722,444 General Electric Co. ............................. 9,882,234 99,909,386 Textron, Inc. (a)................................. 383,008 2,198,466 -------------- 146,830,296 -------------- MACHINERY -- 16.1% Caterpillar, Inc. (a)............................. 811,469 22,688,673 Cummins, Inc. .................................... 468,877 11,932,920 Danaher Corp. (a)................................. 362,096 19,632,845 Deere & Co. ...................................... 597,430 19,637,524 Dover Corp. ...................................... 284,548 7,506,376 Eaton Corp. (a)................................... 255,437 9,415,408 Flowserve Corp. (a)............................... 70,810 3,973,857 Illinois Tool Works, Inc. (a)..................... 517,899 15,977,184 Ingersoll-Rand Co., Ltd. (Class A) (a)............ 467,738 6,454,784 Manitowoc Co., Inc. (a)........................... 165,846 542,317 PACCAR, Inc. (a).................................. 533,571 13,744,789 Pall Corp. ....................................... 218,628 4,466,570 Parker-Hannifin Corp. ............................ 256,308 8,709,346 -------------- 144,682,593 -------------- PROFESSIONAL SERVICES -- 2.0% Dun & Bradstreet Corp. ........................... 67,480 5,195,960 Equifax, Inc. .................................... 217,537 5,318,780 Monster Worldwide, Inc. (a)(b).................... 262,200 2,136,930 Robert Half International, Inc. (a)............... 271,351 4,838,188 -------------- 17,489,858 -------------- ROAD & RAIL -- 10.0% Burlington Northern Santa Fe Corp. ............... 395,560 23,792,934 CSX Corp. ........................................ 607,826 15,712,302 Norfolk Southern Corp. (a)........................ 544,509 18,377,179 Ryder System, Inc. ............................... 127,748 3,616,546 Union Pacific Corp. .............................. 692,944 28,486,928 -------------- 89,985,889 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% Fastenal Co. (a).................................. 163,287 5,250,493 W.W. Grainger, Inc. (a)........................... 105,604 7,411,289 -------------- 12,661,782 -------------- TOTAL COMMON STOCKS -- (Cost $1,791,218,484)........................... 894,610,617 -------------- SHORT TERM INVESTMENTS -- 12.4% MONEY MARKET FUNDS -- 12.4% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 103,076,853 103,076,853 STIC Prime Portfolio.............................. 8,727,532 8,727,532 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $111,804,385)............................. 111,804,385 -------------- TOTAL INVESTMENTS -- 111.9% (Cost $1,903,022,869)........................... 1,006,415,002 OTHER ASSETS AND LIABILITIES -- (11.9)%.......................... (107,140,857) -------------- NET ASSETS -- 100.0%.............................. $ 899,274,145 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 35 THE MATERIALS SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.7% CHEMICALS -- 61.3% Air Products & Chemicals, Inc. (a)................ 733,840 $ 41,278,500 CF Industries Holdings, Inc. ..................... 211,907 15,072,945 Dow Chemical Co. (a).............................. 3,802,990 32,059,206 Du Pont (E.I.) de Nemours & Co. (a)............... 3,533,399 78,900,800 Eastman Chemical Co. (a).......................... 344,253 9,225,981 Ecolab, Inc. ..................................... 704,693 24,473,988 International Flavors & Fragrances, Inc. (a)...... 361,432 11,009,219 Monsanto Co. ..................................... 2,145,463 178,287,975 PPG Industries, Inc. (a).......................... 687,788 25,379,377 Praxair, Inc. .................................... 1,202,222 80,897,518 Rohm & Haas Co. (a)............................... 510,042 40,211,711 Sigma-Aldrich Corp. (a)........................... 520,641 19,675,023 -------------- 556,472,243 -------------- CONSTRUCTION MATERIALS -- 2.3% Vulcan Materials Co. (a).......................... 469,236 20,782,463 -------------- CONTAINERS & PACKAGING -- 6.3% Ball Corp. ....................................... 405,079 17,580,429 Bemis Co., Inc. .................................. 468,726 9,829,184 Owens-Illinois, Inc. (b).......................... 764,622 11,041,142 Pactiv Corp. (b).................................. 622,678 9,084,872 Sealed Air Corp. (a).............................. 734,139 10,131,118 -------------- 57,666,745 -------------- METALS & MINING -- 24.6% AK Steel Holding Corp. (a)........................ 640,263 4,558,672 Alcoa, Inc. (a)................................... 3,931,734 28,858,927 Allegheny Technologies, Inc. (a).................. 451,402 9,899,246 Freeport-McMoRan Copper & Gold, Inc. (a)......................... 1,023,917 39,021,477 Newmont Mining Corp. (Holding Co.)................ 1,915,286 85,728,201 Nucor Corp. (a)................................... 1,063,892 40,608,758 Titanium Metals Corp. (a)......................... 619,848 3,390,569 United States Steel Corp. (a)..................... 522,400 11,038,312 -------------- 223,104,162 -------------- PAPER & FOREST PRODUCTS -- 5.2% International Paper Co. (a)....................... 1,878,607 13,225,393 MeadWestvaco Corp. (a)............................ 795,293 9,535,563 Weyerhaeuser Co. (a).............................. 884,147 24,375,933 -------------- 47,136,889 -------------- TOTAL COMMON STOCKS -- (Cost $1,479,681,401)........................... 905,162,502 -------------- SHORT TERM INVESTMENTS -- 16.0% MONEY MARKET FUNDS -- 16.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 139,497,442 139,497,442 STIC Prime Portfolio.............................. 6,070,418 6,070,418 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $145,567,860)............................. 145,567,860 -------------- TOTAL INVESTMENTS -- 115.7% (Cost $1,625,249,261)........................... 1,050,730,362 OTHER ASSETS AND LIABILITIES -- (15.7)%.......................... (142,293,645) -------------- NET ASSETS -- 100.0%.............................. $ 908,436,717 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 36 THE TECHNOLOGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% COMMUNICATIONS EQUIPMENT -- 13.9% Ciena Corp. (a)(b)................................ 200,853 $ 1,562,636 Cisco Systems, Inc. (a)(b)........................ 7,933,817 133,050,111 Corning, Inc. .................................... 2,168,272 28,772,970 Harris Corp. ..................................... 204,486 5,917,825 JDS Uniphase Corp. (a)(b)......................... 462,422 1,502,872 Juniper Networks, Inc. (a)(b)..................... 751,752 11,321,385 Motorola, Inc. (b)................................ 3,246,518 13,732,771 QUALCOMM, Inc. ................................... 2,256,069 87,783,645 Tellabs, Inc. (a)................................. 678,761 3,108,725 -------------- 286,752,940 -------------- COMPUTERS & PERIPHERALS -- 23.2% Apple, Inc. (a)................................... 1,208,063 126,991,583 Dell, Inc. (a).................................... 2,418,517 22,927,541 EMC Corp. (a)..................................... 2,791,318 31,821,025 Hewlett-Packard Co. .............................. 2,888,284 92,598,385 International Business Machines Corp. ............ 1,823,497 176,678,624 Lexmark International, Inc. (Class A) (a)(b)...... 144,606 2,439,503 NetApp, Inc. (a).................................. 493,921 7,329,788 QLogic Corp. (a).................................. 221,915 2,467,695 SanDisk Corp. (a)(b).............................. 359,595 4,548,877 Sun Microsystems, Inc. (a)........................ 1,098,222 8,038,985 Teradata Corp. (a)................................ 275,007 4,460,613 -------------- 480,302,619 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 16.8% AT&T, Inc. ....................................... 8,009,134 201,830,177 CenturyTel, Inc. (b).............................. 160,008 4,499,425 Embarq Corp. ..................................... 211,417 8,002,133 Frontier Communications Corp. (b)................. 518,976 3,726,248 Qwest Communications International, Inc. (b)...... 2,170,685 7,423,743 Verizon Communications, Inc. ..................... 3,860,477 116,586,405 Windstream Corp. (b).............................. 682,958 5,504,641 -------------- 347,572,772 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% Agilent Technologies, Inc. (a).................... 519,689 7,987,620 Amphenol Corp. (Class A).......................... 253,510 7,222,500 Jabil Circuit, Inc. .............................. 408,444 2,270,949 Molex, Inc. (b)................................... 235,682 3,238,271 Tyco Electronics, Ltd. (b)........................ 678,190 7,487,217 -------------- 28,206,557 -------------- INTERNET SOFTWARE & SERVICES -- 7.3% Akamai Technologies, Inc. (a)(b).................. 265,142 5,143,755 eBay, Inc. (a).................................... 1,516,359 19,045,469 Google, Inc. (Class A) (a)........................ 276,786 96,338,135 VeriSign, Inc. (a)(b)............................. 296,258 5,590,388 Yahoo!, Inc. (a).................................. 1,945,101 24,916,744 -------------- 151,034,491 -------------- IT SERVICES -- 5.4% Affiliated Computer Services, Inc. (Class A) (a).. 146,835 7,031,928 Automatic Data Processing, Inc. .................. 704,854 24,782,667 Cognizant Technology Solutions Corp. (Class A) (a)............................................. 429,771 8,934,939 Computer Sciences Corp. (a)....................... 224,293 8,262,954 Convergys Corp. (a)............................... 245,794 1,986,015 Fidelity National Information Services, Inc. ..... 297,123 5,407,639 Fiserv, Inc. (a).................................. 230,720 8,412,051 MasterCard, Inc. (Class A) (b).................... 102,445 17,157,489 Paychex, Inc. (b)................................. 462,729 11,878,253 Total System Services, Inc. ...................... 316,854 4,375,754 Western Union Co. ................................ 1,017,565 12,790,792 -------------- 111,020,481 -------------- OFFICE ELECTRONICS -- 0.3% Xerox Corp. (b)................................... 1,306,178 5,943,110 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 11.1% Advanced Micro Devices, Inc. (a)(b)............... 971,765 2,963,883 Altera Corp. (b).................................. 435,851 7,649,185 Analog Devices, Inc. ............................. 429,323 8,273,054 Applied Materials, Inc. (b)....................... 1,865,854 20,057,930 Broadcom Corp. (Class A) (a)(b)................... 607,721 12,142,266 Intel Corp. ...................................... 6,236,179 93,854,494 KLA-Tencor Corp. (b).............................. 262,010 5,240,200 Linear Technology Corp. (b)....................... 330,082 7,585,284 LSI Logic Corp. (a)............................... 1,085,393 3,299,595 MEMC Electronic Materials, Inc. (a)............... 341,086 5,624,508 Microchip Technology, Inc. (b).................... 278,458 5,900,525 Micron Technology, Inc. (a)(b).................... 1,199,718 4,870,855 National Semiconductor Corp. (b).................. 327,432 3,362,727 Novellus Systems, Inc. (a)(b)..................... 173,399 2,883,625 NVIDIA Corp. (a)(b)............................... 790,303 7,792,388 Teradyne, Inc. (a)................................ 376,204 1,647,774 Texas Instruments, Inc. .......................... 1,768,451 29,197,126 Xilinx, Inc. (b).................................. 406,882 7,795,859 -------------- 230,141,278 -------------- SOFTWARE -- 18.9% Adobe Systems, Inc. (a)........................... 742,658 15,885,455 Autodesk, Inc. (a)................................ 349,201 5,870,069 BMC Software, Inc. (a)............................ 269,084 8,879,772 CA, Inc. ......................................... 574,726 10,120,925 Citrix Systems, Inc. (a).......................... 274,300 6,210,152 Compuware Corp. (a)............................... 433,203 2,854,808 Electronic Arts, Inc. (a)......................... 469,276 8,536,130 Intuit, Inc. (a).................................. 461,497 12,460,419 McAfee, Inc. (a)(b)............................... 229,324 7,682,354 Microsoft Corp. .................................. 10,393,097 190,921,192 Novell, Inc. (a).................................. 602,460 2,566,480 Oracle Corp. (a).................................. 5,247,128 94,815,603 Salesforce.com, Inc. (a)(b)....................... 163,289 5,344,449 Symantec Corp. (a)................................ 1,160,307 17,334,986 -------------- 389,482,794 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.5% American Tower Corp. (Class A) (a)................ 560,451 17,054,524 Sprint Nextel Corp. (a)........................... 4,063,550 14,506,874 -------------- 31,561,398 -------------- TOTAL COMMON STOCKS -- (Cost $3,233,417,603)........................... 2,062,018,440 --------------

See accompanying notes to financial statements. 37 THE TECHNOLOGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SHORT TERM INVESTMENTS -- 4.4% MONEY MARKET FUNDS -- 4.4% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 77,888,808 $ 77,888,808 STIC Prime Portfolio.............................. 13,538,652 13,538,652 Federated Prime Obligations Fund.................. 3,165 3,165 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $91,430,625).............................. 91,430,625 -------------- TOTAL INVESTMENTS -- 104.2% (Cost $3,324,848,228)........................... 2,153,449,065 OTHER ASSETS AND LIABILITIES -- (4.2)%........................... (87,481,549) -------------- NET ASSETS -- 100.0%.............................. $2,065,967,516 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 38 THE UTILITIES SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.6% ELECTRIC UTILITIES -- 57.4% Allegheny Energy, Inc. (a)........................ 1,185,201 $ 27,461,107 American Electric Power Co., Inc. ................ 2,829,006 71,460,692 Duke Energy Corp. ................................ 8,187,900 117,250,728 Edison International.............................. 2,270,606 65,416,159 Entergy Corp. (a)................................. 1,314,273 89,488,849 Exelon Corp. ..................................... 4,566,810 207,287,506 FirstEnergy Corp. ................................ 2,114,996 81,638,846 FPL Group, Inc. (a)............................... 2,837,200 143,931,156 Northeast Utilities (a)........................... 1,187,145 25,630,460 Pepco Holdings, Inc. ............................. 1,545,026 19,281,924 Pinnacle West Capital Corp. (a)................... 716,933 19,041,740 PPL Corp. (a)..................................... 2,613,685 75,038,896 Progress Energy, Inc. (a)......................... 1,925,701 69,825,918 Southern Co. (a).................................. 5,393,864 165,160,116 -------------- 1,177,914,097 -------------- GAS UTILITIES -- 2.3% Nicor, Inc. (a)................................... 328,817 10,926,589 Questar Corp. (a)................................. 1,212,155 35,673,722 -------------- 46,600,311 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS-- 2.9% AES Corp. (b)..................................... 4,652,672 27,032,024 Constellation Energy Group, Inc. (a).............. 1,388,682 28,690,170 Dynegy, Inc. (Class A) (a)(b)..................... 3,607,257 5,086,233 -------------- 60,808,427 -------------- MULTI-UTILITIES -- 37.0% Ameren Corp. (a).................................. 1,486,350 34,468,456 CenterPoint Energy, Inc. ......................... 2,448,379 25,536,593 CMS Energy Corp. (a).............................. 1,606,741 19,023,813 Consolidated Edison, Inc. (a)..................... 1,913,118 75,778,604 Dominion Resources, Inc. (a)...................... 4,047,262 125,424,649 DTE Energy Co. (a)................................ 1,144,651 31,706,833 Integrys Energy Group, Inc. (a)................... 540,283 14,068,969 NiSource, Inc. ................................... 1,932,952 18,942,930 PG&E Corp. (a).................................... 2,545,900 97,304,298 Public Service Enterprise Group, Inc. ............ 3,510,651 103,458,885 SCANA Corp. (a)................................... 839,056 25,918,440 Sempra Energy..................................... 1,698,071 78,518,803 TECO Energy, Inc. (a)............................. 1,501,954 16,746,787 Wisconsin Energy Corp. (a)........................ 811,206 33,397,351 Xcel Energy, Inc. ................................ 3,177,277 59,192,671 -------------- 759,488,082 -------------- TOTAL COMMON STOCKS -- (Cost $2,954,257,569)........................... 2,044,810,917 -------------- SHORT TERM INVESTMENTS -- 9.7% MONEY MARKET FUNDS -- 9.7% State Street Navigator Securities Lending Prime Portfolio (c)(d)................................ 175,905,141 175,905,141 STIC Prime Portfolio.............................. 22,785,768 22,785,768 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $198,690,909)............................. 198,690,909 -------------- TOTAL INVESTMENTS -- 109.3% (Cost $3,152,948,478)........................... 2,243,501,826 OTHER ASSETS AND LIABILITIES -- (9.3)%........................... (191,171,935) -------------- NET ASSETS -- 100.0%.............................. $2,052,329,891 ==============

(a) Security, or portion thereof, was on loan at March 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. See accompanying notes to financial statements. 39 THE SELECT SECTOR SPDR TRUST STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

THE CONSUMER THE CONSUMER DISCRETIONARY STAPLES SELECT THE ENERGY THE FINANCIAL SELECT SECTOR SECTOR SPDR SELECT SECTOR SELECT SECTOR SPDR FUND FUND SPDR FUND SPDR FUND -------------- -------------- --------------- -------------- ASSETS Investments in unaffiliated issuers, at value* (Note 2)................................... $ 715,173,799 $1,781,681,431 $ 3,992,611,446 $4,154,154,537 Investments in affiliated issuers, at value (Note 2 and Note 3)........................ 113,632,602 50,532,355 219,948,756 367,738,601 -------------- -------------- --------------- -------------- Total investments.......................... 828,806,401 1,832,213,786 4,212,560,202 4,521,893,138 Receivable for investments sold............... 1,664,263 -- 118,679,206 1,594,876 Receivable for income related to Select Sector SPDR shares in-kind transactions........... 21,728 -- -- -- Dividends receivable -- unaffiliated issuers (Note 2)................................... 891,877 8,419,160 3,768,519 6,917,989 Dividends receivable -- affiliated issuers (Note 2)................................... -- -- -- 24,891 Prepaid expenses.............................. 9,454 30,175 66,822 55,609 -------------- -------------- --------------- -------------- TOTAL ASSETS.......................... 831,393,723 1,840,663,121 4,335,074,749 4,530,486,503 -------------- -------------- --------------- -------------- LIABILITIES Payable upon return of securities loaned...... 113,632,602 50,532,355 219,948,756 293,634,858 Income dividends payable (Note 2)............. 2,443,937 10,177,661 19,731,790 46,658,785 Payable for investments purchased............. 1,810,787 -- 120,447,331 7,228,170 Payable for income related to Select Sector SPDR shares in-kind transactions........... -- 57,043 60,208 48,619 Accrued distribution fees (Note 3)............ 104,851 190,613 409,798 401,913 Accrued advisory fees (Note 3)................ 22,297 70,575 167,473 169,772 Accrued administration, custodian and transfer agent fees (Note 3)........................ 19,472 61,285 145,205 147,196 Accrued trustees' fees (Note 3)............... 2,606 6,669 18,302 9,873 Accrued expenses and other liabilities........ 73,657 317,188 584,217 946,405 -------------- -------------- --------------- -------------- TOTAL LIABILITIES..................... 118,110,209 61,413,389 361,513,080 349,245,591 -------------- -------------- --------------- -------------- NET ASSETS............................ $ 713,283,514 $1,779,249,732 $ 3,973,561,669 $4,181,240,912 ============== ============== =============== ============== NET ASSETS CONSIST OF: Paid in capital (Note 4)...................... $1,224,216,175 $2,654,098,170 $ 7,587,245,048 $5,565,833,040 Undistributed (distributions in excess of) net investment income.......................... 4,530,289 3,572,890 12,282,837 (96,844,974) Accumulated net realized gain (loss) on investments................................ (78,359,948) (110,994,927) (1,055,059,875) (930,115,131) Net unrealized appreciation (depreciation) on investments................................ (437,103,002) (767,426,401) (2,570,906,341) (357,632,023) -------------- -------------- --------------- -------------- NET ASSETS............................ $ 713,283,514 $1,779,249,732 $ 3,973,561,669 $4,181,240,912 ============== ============== =============== ============== NET ASSET VALUE PER SELECT SECTOR SPDR: Net asset value per Select Sector SPDR share.. $ 19.65 $ 21.08 $ 42.58 $ 8.84 ============== ============== =============== ============== Shares outstanding (unlimited amount authorized, $0.01 par value)............... 36,302,600 84,416,476 93,318,792 473,009,651 ============== ============== =============== ============== COST OF INVESTMENTS: Unaffiliated issuers.......................... $1,152,276,801 $2,549,107,832 $ 6,563,517,787 $4,515,365,807 Affiliated issuers (Note 3)................... 113,632,602 50,532,355 219,948,756 364,159,354 -------------- -------------- --------------- -------------- Total cost of investments..................... $1,265,909,403 $2,599,640,187 $ 6,783,466,543 $4,879,525,161 ============== ============== =============== ==============

* Includes $110,755,406, $49,537,301, $211,010,240, $303,254,550, $122,961,874, $101,797,746, $136,543,141, $79,065,120 and $174,608,005, respectively, of investments of securities on loan, at value. See accompanying notes to financial statements. 40 --------------------------------------------------------------------------------

THE HEALTH CARE SELECT THE INDUSTRIAL THE MATERIALS THE TECHNOLOGY THE UTILITIES SECTOR SPDR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND -------------- -------------- -------------- --------------- -------------- $2,257,273,577 $ 903,338,149 $ 911,232,920 $ 2,075,560,257 $2,067,596,685 125,732,559 103,076,853 139,497,442 77,888,808 175,905,141 -------------- -------------- -------------- --------------- -------------- 2,383,006,136 1,006,415,002 1,050,730,362 2,153,449,065 2,243,501,826 -- -- 34,034,024 25,896,697 -- 717 -- -- 3,022 25,906 2,164,606 4,219,509 1,682,402 775,999 5,105,347 -- -- -- -- -- 29,960 12,248 11,349 27,095 25,640 -------------- -------------- -------------- --------------- -------------- 2,385,201,419 1,010,646,759 1,086,458,137 2,180,151,878 2,248,658,719 -------------- -------------- -------------- --------------- -------------- 125,732,559 103,076,853 139,497,442 77,888,808 175,905,141 11,569,436 7,915,161 4,759,649 9,442,123 19,837,341 -- -- 33,353,028 25,937,764 -- -- 36,923 69,097 -- -- 183,050 123,072 164,148 536,832 234,818 75,265 34,806 33,256 71,772 67,719 65,346 30,306 28,964 62,322 58,811 8,587 6,533 5,550 10,582 9,356 197,083 148,960 110,286 234,159 215,642 -------------- -------------- -------------- --------------- -------------- 137,831,326 111,372,614 178,021,420 114,184,362 196,328,828 -------------- -------------- -------------- --------------- -------------- $2,247,370,093 $ 899,274,145 $ 908,436,717 $ 2,065,967,516 $2,052,329,891 ============== ============== ============== =============== ============== $3,275,176,827 $1,937,437,634 $1,732,316,229 $ 4,302,750,135 $3,081,323,473 1,749,596 2,113,870 9,906,681 8,031,925 8,921,592 (93,681,866) (143,669,492) (259,267,294) (1,073,415,381) (128,468,522) (935,874,464) (896,607,867) (574,518,899) (1,171,399,163) (909,446,652) -------------- -------------- -------------- --------------- -------------- $2,247,370,093 $ 899,274,145 $ 908,436,717 $ 2,065,967,516 $2,052,329,891 ============== ============== ============== =============== ============== $ 24.31 $ 18.51 $ 22.17 $ 15.64 $ 25.68 ============== ============== ============== =============== ============== 92,462,661 48,571,694 40,972,406 132,104,840 79,912,598 ============== ============== ============== =============== ============== $3,193,148,041 $1,799,946,016 $1,485,751,819 $ 3,246,959,420 $2,977,043,337 125,732,559 103,076,853 139,497,442 77,888,808 175,905,141 -------------- -------------- -------------- --------------- -------------- $3,318,880,600 $1,903,022,869 $1,625,249,261 $ 3,324,848,228 $3,152,948,478 ============== ============== ============== =============== ==============

41 THE SELECT SECTOR SPDR TRUST STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) --------------------------------------------------------------------------------

THE CONSUMER THE CONSUMER DISCRETIONARY STAPLES SELECT THE ENERGY THE FINANCIAL SELECT SECTOR SECTOR SPDR SELECT SECTOR SELECT SECTOR SPDR FUND FUND SPDR FUND SPDR FUND ------------- -------------- --------------- --------------- INVESTMENT INCOME Dividend income -- unaffiliated issuers (Note 2)................................. $ 8,151,853 $ 35,301,568 $ 48,379,314 $ 149,119,257 Dividend income -- affiliated issuers (Note 2)....................................... -- -- -- 1,601,402 Affiliated securities lending income -- net (Note 3 and Note 7)...................... 1,058,027 918,016 896,998 4,925,355 ------------- ------------- --------------- --------------- TOTAL INVESTMENT INCOME..................... 9,209,880 36,219,584 49,276,312 155,646,014 ------------- ------------- --------------- --------------- EXPENSES Distribution fees (Note 3).................. 194,331 660,520 1,347,715 1,966,368 License fees (Note 3)....................... 194,331 660,520 1,347,715 1,966,368 Advisory fees (Note 3)...................... 148,213 503,541 1,028,615 1,495,197 Administrator, custodian and transfer agent fees (Note 3)............................ 117,225 395,050 809,655 1,159,363 Printing and postage expenses............... 23,002 78,510 158,250 235,673 Professional fees........................... 5,246 15,606 39,005 56,056 SEC registration expenses................... 9,584 25,719 60,804 83,797 Trustees' fees (Note 3)..................... 7,290 21,865 48,955 59,706 Insurance expense........................... 4,329 12,123 29,797 25,331 Miscellaneous expenses...................... 4,907 13,982 33,822 58,421 ------------- ------------- --------------- --------------- TOTAL EXPENSES.............................. 708,458 2,387,436 4,904,333 7,106,280 ------------- ------------- --------------- --------------- NET INVESTMENT INCOME....................... 8,501,422 33,832,148 44,371,979 148,539,734 ------------- ------------- --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investment transactions -- unaffiliated issuers................................ (124,781,073) (42,332,052) (1,182,355,543) (6,061,048,751) Investment transactions -- affiliated issuers (Note 3)....................... -- -- -- (107,259,965) Net change in unrealized appreciation (depreciation) on: Investment transactions -- unaffiliated issuers................................ (164,335,327) (584,347,899) (859,842,651) 77,098,319 Investment transactions -- affiliated issuers (Note 3)....................... -- -- -- 32,780,759 ------------- ------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS............. (289,116,400) (626,679,951) (2,042,198,194) (6,058,429,638) ------------- ------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $(280,614,978) $(592,847,803) $(1,997,826,215) $(5,909,889,904) ============= ============= =============== ===============

See accompanying notes to financial statements. 42 --------------------------------------------------------------------------------

THE HEALTH CARE SELECT THE INDUSTRIAL THE MATERIALS THE TECHNOLOGY THE UTILITIES SECTOR SPDR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND ------------- -------------- ------------- -------------- ------------- $ 25,959,778 $ 20,303,220 $ 15,066,422 $ 20,959,158 $ 42,602,216 -- -- -- -- -- 611,540 566,093 894,050 771,818 624,005 ------------- ------------- ------------- ------------- ------------- 26,571,318 20,869,313 15,960,472 21,730,976 43,226,221 ------------- ------------- ------------- ------------- ------------- 615,284 332,731 274,966 579,192 552,437 615,284 332,731 274,966 579,192 552,437 469,739 253,638 209,588 441,969 421,818 370,724 199,453 164,984 348,212 333,233 72,275 39,410 32,199 67,815 64,562 14,491 9,775 7,976 14,380 14,102 25,499 17,385 14,323 29,123 24,409 22,250 14,783 12,517 24,530 21,652 13,839 8,902 7,876 15,169 13,880 11,060 8,021 7,061 11,612 10,597 ------------- ------------- ------------- ------------- ------------- 2,230,445 1,216,829 1,006,456 2,111,194 2,009,127 ------------- ------------- ------------- ------------- ------------- 24,340,873 19,652,484 14,954,016 19,619,782 41,217,094 ------------- ------------- ------------- ------------- ------------- (24,424,941) (203,762,351) (256,614,260) (151,532,972) (121,634,644) -- -- -- -- -- (421,202,171) (402,091,794) (158,044,081) (376,917,782) (343,263,376) -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- (445,627,112) (605,854,145) (414,658,341) (528,450,754) (464,898,020) ------------- ------------- ------------- ------------- ------------- $(421,286,239) $(586,201,661) $(399,704,325) $(508,830,972) $(423,680,926) ============= ============= ============= ============= =============

43 THE SELECT SECTOR SPDR TRUST STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------

THE CONSUMER DISCRETIONARY THE CONSUMER STAPLES SELECT SECTOR SPDR FUND SELECT SECTOR SPDR FUND ------------------------------- -------------------------------- FOR THE FOR THE SIX MONTHS ENDED SIX MONTHS ENDED 3/31/09 YEAR ENDED 3/31/09 YEAR ENDED (UNAUDITED) 9/30/08 (UNAUDITED) 9/30/08 ---------------- ------------- ---------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income................... $ 8,501,422 $ 12,178,543 $ 33,832,148 $ 50,444,213 Net realized gain (loss) on investment transactions......................... (124,781,073) (21,424,042) (42,332,052) 186,655,905 Net change in unrealized appreciation (depreciation) on investments........ (164,335,327) (195,117,564) (584,347,899) (274,819,535) ------------- ------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ (280,614,978) (204,363,063) (592,847,803) (37,719,417) ------------- ------------- --------------- -------------- NET EQUALIZATION CREDITS AND CHARGES...... (1,063,985) (2,523,993) (1,381,050) 1,695,725 ------------- ------------- --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (7,345,768) (9,667,980) (30,060,530) (51,158,165) ------------- ------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SPDR SHARE TRANSACTIONS (NOTE 4)........ 6,475,656 483,046,590 (513,319,238) 913,535,118 ------------- ------------- --------------- -------------- Net increase (decrease) in net assets during period........................ (282,549,075) 266,491,554 (1,137,608,621) 826,353,261 Net assets at beginning of period....... 995,832,589 729,341,035 2,916,858,353 2,090,505,092 ------------- ------------- --------------- -------------- NET ASSETS END OF PERIOD (1).............. $ 713,283,514 $ 995,832,589 $ 1,779,249,732 $2,916,858,353 ============= ============= =============== ============== (1) Including undistributed (distribution in excess of) net investment income... $ 4,530,289 $ 3,374,635 $ 3,572,890 $ (198,728) ============= ============= =============== ==============

See accompanying notes to financial statements. 44 --------------------------------------------------------------------------------

THE ENERGY SELECT SECTOR THE FINANCIAL SELECT SECTOR THE HEALTH CARE SELECT SPDR FUND SPDR FUND SECTOR SPDR FUND --------------------------------- --------------------------------- -------------------------------- FOR THE FOR THE FOR THE SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED 3/31/09 YEAR ENDED 3/31/09 YEAR ENDED 3/31/09 YEAR ENDED (UNAUDITED) 9/30/08 (UNAUDITED) 9/30/08 (UNAUDITED) 9/30/08 ---------------- --------------- ---------------- --------------- ---------------- -------------- $ 44,371,979 $ 57,367,527 $ 148,539,734 $ 200,803,073 $ 24,340,873 $ 39,873,637 (1,182,355,543) 470,080,898 (6,168,308,716) (3,010,883,629) (24,424,941) 72,820,936 (859,842,651) (1,825,768,065) 109,879,078 (264,194,267) (421,202,171) (467,662,934) --------------- --------------- --------------- --------------- -------------- -------------- (1,997,826,215) (1,298,319,640) (5,909,889,904) (3,074,274,823) (421,286,239) (354,968,361) --------------- --------------- --------------- --------------- -------------- -------------- (2,789,035) (8,855,712) 1,743,049 72,941,113 602,412 (484,033) --------------- --------------- --------------- --------------- -------------- -------------- (41,561,344) (48,188,499) (159,752,054) (273,551,734) (24,658,668) (39,420,800) --------------- --------------- --------------- --------------- -------------- -------------- (602,038,963) 3,090,597,168 (1,649,578,257) 12,341,647,271 315,568,084 696,654,824 --------------- --------------- --------------- --------------- -------------- -------------- (2,644,215,557) 1,735,233,317 (7,717,477,166) 9,066,761,827 (129,774,411) 301,781,630 6,617,777,226 4,882,543,909 11,898,718,078 2,831,956,251 2,377,144,504 2,075,362,874 --------------- --------------- --------------- --------------- -------------- -------------- $ 3,973,561,669 $ 6,617,777,226 $ 4,181,240,912 $11,898,718,078 $2,247,370,093 $2,377,144,504 =============== =============== =============== =============== ============== ============== $ 12,282,837 $ 9,472,202 $ (96,844,974) $ (85,632,654) $ 1,749,596 $ 2,067,391 =============== =============== =============== =============== ============== ==============

45 THE SELECT SECTOR SPDR TRUST STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------

THE INDUSTRIAL SELECT THE MATERIALS SELECT SECTOR SPDR FUND SECTOR SPDR FUND -------------------------------- -------------------------------- FOR THE FOR THE SIX MONTHS ENDED SIX MONTHS ENDED 3/31/09 YEAR ENDED 3/31/09 YEAR ENDED (UNAUDITED) 9/30/08 (UNAUDITED) 9/30/08 ---------------- -------------- ---------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income................... $ 19,652,484 $ 29,994,803 $ 14,954,016 $ 31,931,323 Net realized gain (loss) on investment transactions......................... (203,762,351) 56,887,818 (256,614,260) (6,862,101) Net change in unrealized appreciation (depreciation) on investments........ (402,091,794) (540,429,288) (158,044,081) (390,733,501) -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ (586,201,661) (453,546,667) (399,704,325) (365,664,279) -------------- -------------- -------------- -------------- NET EQUALIZATION CREDITS AND CHARGES...... (313,796) (1,962,937) (1,194,813) (9,522,491) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (19,369,279) (28,112,955) (14,983,512) (22,565,609) -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SPDR SHARE TRANSACTIONS (NOTE 4)........ (158,679,474) 158,313,487 (71,619,991) 68,843,252 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets during period........................ (764,564,210) (325,309,072) (487,502,641) (328,909,127) Net assets at beginning of period....... 1,663,838,355 1,989,147,427 1,395,939,358 1,724,848,485 -------------- -------------- -------------- -------------- NET ASSETS END OF PERIOD(1)............... $ 899,274,145 $1,663,838,355 $ 908,436,717 $1,395,939,358 ============== ============== ============== ============== (1) Including undistributed (distribution in excess of) net investment income... $ 2,113,870 $ 1,830,665 $ 9,906,681 $ 9,936,177 ============== ============== ============== ==============

See accompanying notes to financial statements. 46 --------------------------------------------------------------------------------

THE TECHNOLOGY SELECT THE UTILITIES SELECT SECTOR SPDR FUND SECTOR SPDR FUND -------------------------------- -------------------------------- FOR THE FOR THE SIX MONTHS ENDED SIX MONTHS ENDED 3/31/09 YEAR ENDED 3/31/09 YEAR ENDED (UNAUDITED) 9/30/08 (UNAUDITED) 9/30/08 ---------------- -------------- ---------------- -------------- $ 19,619,782 $ 31,956,772 $ 41,217,094 $ 69,220,568 (151,532,972) (15,047,964) (121,634,644) 63,446,143 (376,917,782) (870,248,828) (343,263,376) (479,653,914) -------------- -------------- -------------- -------------- (508,830,972) (853,340,020) (423,680,926) (346,987,203) -------------- -------------- -------------- -------------- 512,977 (955,973) 2,343,840 (8,875,769) -------------- -------------- -------------- -------------- (20,106,041) (31,017,832) (43,649,249) (60,075,635) -------------- -------------- -------------- -------------- 157,649,276 595,134,870 298,798,032 (100,293,102) -------------- -------------- -------------- -------------- (370,774,760) (290,178,955) (166,188,303) (516,231,709) 2,436,742,276 2,726,921,231 2,218,518,194 2,734,749,903 -------------- -------------- -------------- -------------- $2,065,967,516 $2,436,742,276 $2,052,329,891 $2,218,518,194 ============== ============== ============== ============== $ 8,031,925 $ 8,518,184 $ 8,921,592 $ 11,353,747 ============== ============== ============== ==============

47 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND ---------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $ 28.05 $ 36.74 $ 34.95 $ 32.46 $ 31.22 $ 27.61 -------- -------- -------- -------- -------- -------- Net investment income............... 0.27(1) 0.46(1) 0.37 0.32(1) 0.27(1) 0.24 Net realized and unrealized gain (loss) (2)........................ (8.38) (8.57) 1.80 2.53 1.19 3.59 -------- -------- -------- -------- -------- -------- Total from investment operations.... (8.11) (8.11) 2.17 2.85 1.46 3.83 -------- -------- -------- -------- -------- -------- Net equalization credits and charges (1)............................... (0.03) (0.09) (0.03) (0.05) 0.04 (0.01) -------- -------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............... (0.26) (0.49) (0.35) (0.31) (0.26) (0.21) -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD...... $ 19.65 $ 28.05 $ 36.74 $ 34.95 $ 32.46 $ 31.22 ======== ======== ======== ======== ======== ======== TOTAL RETURN (3).................... (29.06)% (22.39)% 6.07% 8.70% 4.82% 13.83% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)............................ $713,284 $995,833 $729,341 $429,980 $277,558 $254,431 Ratio of expenses to average net assets............................ 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.28% Ratio of expenses to average net assets before waivers............. 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets...... 2.62%(4) 1.44% 0.93% 0.98% 0.82% 0.69% Portfolio turnover rate (5)......... 2.26% 8.56% 5.65% 12.06% 18.03% 2.61%

See accompanying notes to financial highlights on page 56. 48 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE CONSUMER STAPLES SELECT SECTOR SPDR FUND ----------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD........................... $ 27.42 $ 27.94 $ 25.34 $ 23.28 $ 21.66 $ 20.30 ---------- ---------- ---------- ---------- -------- -------- Net investment income.............. 0.35(1) 0.59 0.59 0.50(1) 0.42(1) 0.34 Net realized and unrealized gain (loss) (2)....................... (6.36) (0.53) 2.60 2.04 1.60 1.35 ---------- ---------- ---------- ---------- -------- -------- Total from investment operations... (6.01) 0.06 3.19 2.54 2.02 1.69 ---------- ---------- ---------- ---------- -------- -------- Net equalization credits and charges (1)...................... (0.01) 0.02 (0.01) 0.02 0.02 0.02 ---------- ---------- ---------- ---------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............. (0.32) (0.60) (0.58) (0.50) (0.42) (0.35) ---------- ---------- ---------- ---------- -------- -------- NET ASSET VALUE, END OF PERIOD..... $ 21.08 $ 27.42 $ 27.94 $ 25.34 $ 23.28 $ 21.66 ========== ========== ========== ========== ======== ======== TOTAL RETURN (3)................... (22.05)% 0.28% 12.69% 11.13% 9.44% 8.38% ========== ========== ========== ========== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $1,779,250 $2,916,858 $2,090,505 $1,480,041 $857,861 $617,237 Ratio of expenses to average net assets........................... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.27% Ratio of expenses to average net assets before waivers............ 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets..... 3.07%(4) 2.22% 2.18% 2.10% 1.84% 1.62% Portfolio turnover rate (5)........ 11.36% 3.20% 5.76% 7.55% 24.17% 2.84%

See accompanying notes to financial highlights on page 56. 49 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE ENERGY SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 63.87 $ 74.99 $ 53.48 $ 53.65 $ 35.00 $ 23.99 ---------- ---------- ---------- ---------- ---------- ---------- Net investment income............. 0.46(1) 0.93 0.78 0.64 0.58(1) 0.51(1) Net realized and unrealized gain (loss) (2)...................... (21.25) (11.07) 21.49 (0.14) 18.67 10.98 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.. (20.79) (10.14) 22.27 0.50 19.25 11.49 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1)..................... (0.03) (0.13) 0.01 0.00(6) (0.04) 0.03 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.47) (0.85) (0.77) (0.67) (0.56) (0.51) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD.... $ 42.58 $ 63.87 $ 74.99 $ 53.48 $ 53.65 $ 35.00 ========== ========== ========== ========== ========== ========== TOTAL RETURN (3).................. (32.64)% (13.87)% 41.87% 0.87% 55.29% 48.27% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $3,973,562 $6,617,777 $4,882,544 $4,014,453 $3,431,320 $1,463,233 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.25% 0.27% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 1.98%(4) 1.08% 1.19% 1.18% 1.36% 1.70% Portfolio turnover rate (5)....... 15.58% 6.87% 7.00% 18.00% 10.32% 9.70%

See accompanying notes to financial highlights on page 56. 50 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE FINANCIAL SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ----------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 20.09 $ 34.28 $ 34.64 $ 29.50 $ 28.51 $ 25.41 ---------- ----------- ---------- ---------- ---------- -------- Net investment income............. 0.26(1) 0.86 0.84(1) 0.77 0.67(1) 0.58 Net realized and unrealized gain (loss) (2)...................... (11.24) (14.48) (0.53) 5.22 1.07 3.10 ---------- ----------- ---------- ---------- ---------- -------- Total from investment operations.. (10.98) (13.62) 0.31 5.99 1.74 3.68 ---------- ----------- ---------- ---------- ---------- -------- Net equalization credits and charges (1)..................... 0.00(6) 0.28 0.22 (0.08) (0.06) 0.02 ---------- ----------- ---------- ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.27) (0.85) (0.89) (0.77) (0.69) (0.60) ---------- ----------- ---------- ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.... $ 8.84 $ 20.09 $ 34.28 $ 34.64 $ 29.50 $ 28.51 ========== =========== ========== ========== ========== ======== TOTAL RETURN (3).................. (54.94)% (39.24)% 1.41% 20.16% 5.88% 14.62% ========== =========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $4,181,241 $11,898,718 $2,831,956 $1,952,484 $1,569,450 $995,236 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.26% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 4.53%(4) 3.20% 2.35% 2.42% 2.30% 2.14% Portfolio turnover rate (5)....... 8.63% 18.24% 14.57% 10.93% 9.34% 8.67%

See accompanying notes to financial highlights on page 56. 51 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE HEALTH CARE SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 30.43 $ 35.41 $ 33.17 $ 31.37 $ 28.80 $ 27.86 ---------- ---------- ---------- ---------- ---------- -------- Net investment income............. 0.30(1) 0.55(1) 0.56(1) 0.44(1) 0.37(1) 0.36 Net realized and unrealized gain (loss) (2)...................... (6.13) (4.97) 2.27 1.81 2.57 0.90 ---------- ---------- ---------- ---------- ---------- -------- Total from investment operations.. (5.83) (4.42) 2.83 2.25 2.94 1.26 ---------- ---------- ---------- ---------- ---------- -------- Net equalization credits and charges (1)..................... 0.01 (0.01) (0.03) (0.02) 0.02 0.03 ---------- ---------- ---------- ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.30) (0.55) (0.56) (0.43) (0.39) (0.35) ---------- ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.... $ 24.31 $ 30.43 $ 35.41 $ 33.17 $ 31.37 $ 28.80 ========== ========== ========== ========== ========== ======== TOTAL RETURN (3).................. (19.17)% (12.55)% 8.49% 7.17% 10.32% 4.57% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $2,247,370 $2,377,145 $2,075,363 $1,948,747 $1,617,139 $809,168 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.25% 0.27% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 2.37%(4) 1.68% 1.64% 1.40% 1.20% 1.20% Portfolio turnover rate (5)....... 2.84% 3.69% 10.15% 3.81% 3.48% 7.15%

See accompanying notes to financial highlights on page 56. 52 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE INDUSTRIAL SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 30.66 $ 40.92 $ 33.35 $ 30.14 $ 28.36 $ 23.26 -------- ---------- ---------- ---------- -------- -------- Net investment income............. 0.39(1) 0.69(1) 0.63(1) 0.56 0.46(1) 0.38(1) Net realized and unrealized gain (loss) (2)...................... (12.14) (10.21) 7.60 3.23 1.79 5.12 -------- ---------- ---------- ---------- -------- -------- Total from investment operations.. (11.75) (9.52) 8.23 3.79 2.25 5.50 -------- ---------- ---------- ---------- -------- -------- Net equalization credits and charges (1)..................... (0.01) (0.05) 0.00(6) (0.04) (0.01) (0.02) -------- ---------- ---------- ---------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.39) (0.69) (0.66) (0.54) (0.46) (0.38) -------- ---------- ---------- ---------- -------- -------- NET ASSET VALUE, END OF PERIOD.... $ 18.51 $ 30.66 $ 40.92 $ 33.35 $ 30.14 $ 28.36 ======== ========== ========== ========== ======== ======== TOTAL RETURN (3).................. (38.49)% (23.55)% 24.88% 12.51% 7.87% 23.64% ======== ========== ========== ========== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $899,274 $1,663,838 $1,989,147 $1,095,912 $717,293 $580,057 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.25% 0.28% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 3.54%(4) 1.85% 1.69% 1.67% 1.54% 1.44% Portfolio turnover rate (5)....... 6.64% 4.27% 7.12% 3.01% 6.20% 2.98%

See accompanying notes to financial highlights on page 56. 53 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE MATERIALS SELECT SECTOR SPDR FUND ----------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD........................... $ 33.10 $ 42.15 $ 31.67 $ 27.47 $ 27.54 $ 21.86 -------- ---------- ---------- -------- -------- -------- Net investment income.............. 0.37(1) 0.94(1) 0.85(1) 0.80(1) 0.58(1) 0.50(1) Net realized and unrealized gain (loss) (2)....................... (10.86) (8.78) 10.46 4.30 (0.06) 5.70 -------- ---------- ---------- -------- -------- -------- Total from investment operations... (10.49) (7.84) 11.31 5.10 0.52 6.20 -------- ---------- ---------- -------- -------- -------- Net equalization credits and charges (1)...................... (0.03) (0.28) (0.03) (0.12) (0.02) (0.03) -------- ---------- ---------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............. (0.41) (0.93) (0.80) (0.78) (0.57) (0.49) -------- ---------- ---------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD..... $ 22.17 $ 33.10 $ 42.15 $ 31.67 $ 27.47 $ 27.54 ======== ========== ========== ======== ======== ======== TOTAL RETURN (3)................... (31.80)% (19.58)% 35.97% 18.13% 1.78% 28.35% ======== ========== ========== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $908,437 $1,395,939 $1,724,848 $703,475 $757,085 $659,685 Ratio of expenses to average net assets........................... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.27% Ratio of expenses to average net assets before waivers............ 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets..... 3.26%(4) 2.27% 2.26% 2.57% 2.01% 1.96% Portfolio turnover rate (5)........ 17.86% 12.03% 8.94% 6.24% 16.06% 3.47%

See accompanying notes to financial highlights on page 56. 54 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE TECHNOLOGY SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 19.83 $ 27.00 $ 21.99 $ 20.89 $ 19.10 $ 18.25 ---------- ---------- ---------- ---------- ---------- -------- Net investment income............. 0.16(1) 0.27(1) 0.20 0.19(1) 0.47(7) 0.13 Net realized and unrealized gain (loss) (2)...................... (4.19) (7.16) 5.02 1.10 1.74 0.85 ---------- ---------- ---------- ---------- ---------- -------- Total from investment operations.. (4.03) (6.89) 5.22 1.29 2.21 0.98 ---------- ---------- ---------- ---------- ---------- -------- Net equalization credits and charges (1)..................... 0.00(6) (0.01) 0.00(6) 0.00(6) 0.00(6) 0.01 ---------- ---------- ---------- ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.16) (0.27) (0.21) (0.19) (0.42) (0.14) ---------- ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.... $ 15.64 $ 19.83 $ 27.00 $ 21.99 $ 20.89 $ 19.10 ========== ========== ========== ========== ========== ======== TOTAL RETURN (3).................. (20.36)% (25.68)% 23.79% 6.20% 11.65% 5.37% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $2,065,968 $2,436,742 $2,726,921 $1,817,902 $1,306,948 $936,192 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.26% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 2.03%(4) 1.12% 0.85% 0.91% 2.33% 0.68% Portfolio turnover rate (5)....... 3.35% 9.31% 12.83% 11.30% 8.33% 2.87%

See accompanying notes to financial highlights on page 56. 55 THE SELECT SECTOR SPDR TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SELECT SECTOR SPDR SHARE OUTSTANDING THROUGHOUT EACH YEAR --------------------------------------------------------------------------------

THE UTILITIES SELECT SECTOR SPDR FUND ------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED 3/31/09 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 9/30/08 9/30/07 9/30/06 9/30/05 9/30/04 ----------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 33.11 $ 39.90 $ 33.97 $ 33.58 $ 25.10 $ 21.79 ---------- ---------- ---------- ---------- ---------- ---------- Net investment income............. 0.62(1) 1.19(1) 1.10(1) 1.08(1) 0.98(1) 0.85(1) Net realized and unrealized gain (loss) (2)...................... (7.45) (6.63) 6.06 0.39 8.50 3.33 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.. (6.83) (5.44) 7.16 1.47 9.48 4.18 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1)..................... 0.04 (0.15) (0.13) (0.01) (0.02) (0.05) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.64) (1.20) (1.10) (1.07) (0.98) (0.82) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD.... $ 25.68 $ 33.11 $ 39.90 $ 33.97 $ 33.58 $ 25.10 ========== ========== ========== ========== ========== ========== TOTAL RETURN (3).................. (20.62)% (14.39)% 20.83% 4.49% 38.18% 19.13% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's).......................... $2,052,330 $2,218,518 $2,734,750 $2,993,688 $2,057,493 $1,270,116 Ratio of expenses to average net assets.......................... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.27% Ratio of expenses to average net assets before waivers........... 0.22%(4) 0.22% 0.23% 0.24% 0.26% 0.30% Ratio of net investment income (loss) to average net assets.... 4.48%(4) 2.97% 2.85% 3.34% 3.33% 3.64% Portfolio turnover rate (5)....... 5.68% 3.83% 9.80% 2.13% 4.40% 9.67%

-------- (1) Per share numbers have been calculated using the average shares method, which more appropriately presents the per share data for the period. (2) The amounts shown at this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. (3) Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of each Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (4) Annualized. (5) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. (6) Less than $0.005 per share. (7) Net investment income per share reflects receipt of a special one time dividend from a portfolio holding (Microsoft Corp.) The effect of this dividend amounted to $0.31 per share. 56 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION The Select Sector SPDR Trust (the "Trust") was organized in the Commonwealth of Massachusetts on June 10, 1998 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the common stocks in substantially the same weighting, in a particular sector or group of industries as specified by a specified market sector index (each a "Select Sector Index"). Each of the nine Select Sector Indexes represents a basket of equity securities of public companies that are components of the S&P 500 Index and are included in a specific sector. The Trust is comprised of nine funds (each a "Fund" or "Select Sector SPDR Fund" and collectively the "Funds" or "Select Sector SPDR Funds") as follows: The Consumer Discretionary Select Sector SPDR Fund, The Consumer Staples Select Sector SPDR Fund, The Energy Select Sector SPDR Fund, The Financial Select Sector SPDR Fund, The Health Care Select Sector SPDR Fund, The Industrial Select Sector SPDR Fund, The Materials Select Sector SPDR Fund, The Technology Select Sector SPDR Fund, and The Utilities Select Sector SPDR Fund. Each Fund operates as a non-diversified investment company. Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements. An investment in a Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. You should anticipate that the value of a Fund's shares will decline, more or less, in correlation with any decline in the value of the relevant Select Sector Index. The values of equity securities could decline generally or could underperform other investments. Further, a Fund would not sell an equity security because the security's issuer was in financial trouble unless that security is removed from the relevant Select Sector Index. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements: The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. SECURITY VALUATION The value of each Fund's portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in open-end investment companies are valued at their net asset value each business day. If a security's market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the "Board") believes will better reflect fair value in accordance with the Trust's valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the "Committee"). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Fund's net asset value may reflect certain portfolio securities' 57 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security. Effective October 1, 2008, the Funds adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." This standard defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. Various inputs are used in determining the value of the Funds' investments. These inputs are summarized in the three broad levels listed below. - Level 1-- quoted prices in active markets for identical investments - Level 2-- other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) - Level 3-- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds' net assets are computed and that may materially affect the value of the Funds' investments). Examples of events that may be "significant events" are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations. Fair value pricing could result in a difference between the prices used to calculate a Fund's net asset value and the prices used by the Fund's benchmark index, which, in turn, could result in a difference between the Fund's performance and the performance of the Fund's benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The following table summarizes the inputs used in valuing the Funds' investments, as of March 31, 2009:

LEVEL 2 -- LEVEL 3 -- LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE FUND PRICES INPUTS INPUTS TOTAL ---------------------------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ 828,806,401 $-- $-- $ 828,806,401 Consumer Staples Select Sector SPDR Fund 1,832,213,786 -- -- 1,832,213,786 Energy Select Sector SPDR Fund 4,212,560,202 -- -- 4,212,560,202 Financial Select Sector SPDR Fund 4,521,893,138 -- -- 4,521,893,138 Health Care Select Sector SPDR Fund 2,383,006,136 -- -- 2,383,006,136 Industrial Select Sector SPDR Fund 1,006,415,002 -- -- 1,006,415,002 Materials Select Sector SPDR Fund 1,050,730,362 -- -- 1,050,730,362 Technology Select Sector SPDR Fund 2,153,449,065 -- -- 2,153,449,065 Utilities Select Sector SPDR Fund 2,243,501,826 -- -- 2,243,501,826

In April 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the Funds' financial statement disclosures. 58 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- INVESTMENT INCOME Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. EXPENSES Expenses of the Trust, which are directly identifiable to a specific Fund, are applied to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds. DISTRIBUTIONS The Trust declares and distributes dividends from net investment income to its shareholders quarterly. The Trust will distribute net realized capital gains, if any, at least annually. EQUALIZATION The Funds follow the accounting practice known as "Equalization" by which a portion of the proceeds from sales and costs of reacquiring Select Sector SPDR shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisitions of Select Sector SPDR shares. FEDERAL INCOME TAX The Funds have qualified and intend to qualify for and elect treatment as "regulated investment companies" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions, Real Estate Investment Trusts (REITs) and losses deferred due to wash sales. The Funds have reviewed the tax positions for the open tax years as of September 30, 2008 and have determined that no provision for income tax is required in the Funds' Financial Statements. The Funds' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. At March 31, 2009, the Funds had the following capital loss carryforwards, which may be utilized to offset any net realized capital gains, expiring September 30:

FUND 2009 2010 2011 2012 2013 2014 2015 ---------------------------------------------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ 718,060 $ 732,626 $ 13,927,450 $ 2,502,233 $ 997,052 $ 9,450,752 $ 7,544,551 Consumer Staples Select Sector SPDR Fund 5,361,967 1,125,600 54,107,397 23,758,907 799,804 23,679,427 175,734 Energy Select Sector SPDR Fund 615,827 6,697,642 65,879,072 6,684,065 821,860 50,406 94,186,580 Financial Select Sector SPDR Fund 3,419,828 3,115,309 19,148,460 8,078,713 4,176,362 9,961,554 10,349,660 Health Care Select Sector SPDR Fund 1,393,723 2,876,921 17,808,907 1,306,855 6,333,060 7,166,786 3,362,549 Industrial Select Sector SPDR Fund 5,365,360 617,211 29,450,669 6,331,812 1,389,592 4,968,985 7,287,655 Materials Select Sector SPDR Fund 1,158,053 3,739,320 6,349,204 2,359,563 1,867,693 3,631,452 400,900 Technology Select Sector SPDR Fund 13,684,462 110,778,244 305,114,554 123,285,364 9,613,457 52,407,581 149,073,403 Utilities Select Sector SPDR Fund -- -- 18,897,010 15,559,181 400,327 2,962,529 4,942,581

FUND 2016 ------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ 4,343,910 Consumer Staples Select Sector SPDR Fund 2,872,408 Energy Select Sector SPDR Fund 16,887,031 Financial Select Sector SPDR Fund 41,494,569 Health Care Select Sector SPDR Fund 1,330,406 Industrial Select Sector SPDR Fund 5,756,566 Materials Select Sector SPDR Fund 2,396,678 Technology Select Sector SPDR Fund 64,942,837 Utilities Select Sector SPDR Fund --

59 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- During the period October 1, 2008 through March 31, 2009, the Funds reclassified non-taxable security gains and losses realized as a result of in-kind redemptions of Creation Units (See Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:

NET GAIN (LOSS) RECLASSIFIED TO FUND PAID IN CAPITAL ------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ (104,041,781) Consumer Staples Select Sector SPDR Fund (50,774,512) Energy Select Sector SPDR Fund (368,279,532) Financial Select Sector SPDR Fund (5,793,010,566) Health Care Select Sector SPDR Fund 779,230 Industrial Select Sector SPDR Fund (130,947,168) Materials Select Sector SPDR Fund (55,471,159) Technology Select Sector SPDR Fund (71,985,158) Utilities Select Sector SPDR Fund (48,534,646)

Under current tax laws, capital losses realized after October 31, may be deferred and treated as occurring on the first day of the following fiscal year. The Funds incurred the following losses during the period November 1, 2007 through September 30, 2008 that have been deferred for tax purposes until fiscal year 2009:

FUND DEFERRED LOSSES -------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ 16,666,439 Consumer Staples Select Sector SPDR Fund 5,745,233 Energy Select Sector SPDR Fund 42,286,699 Financial Select Sector SPDR Fund 395,282,163 Health Care Select Sector SPDR Fund 21,755,057 Industrial Select Sector SPDR Fund 7,345,049 Materials Select Sector SPDR Fund 33,977,755 Technology Select Sector SPDR Fund 118,160,096 Utilities Select Sector SPDR Fund 9,343,193

INVESTMENT TRANSACTIONS Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. CONCENTRATION OF RISK Each of the Select Sector SPDR Funds concentrates its investments in certain industries, subjecting them to greater risk than funds that invest in a wider range of industries. RECENT ACCOUNTING PRONOUNCEMENTS In March, 2008, FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact, if any, the adoption of SFAS 161 will have on the Funds' financial statement disclosures. 60 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- 3. RELATED PARTY FEES AND TRANSACTIONS ADVISER FEES Each Fund has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the "Adviser"). As compensation for the services provided to the Funds under the Investment Advisory Agreement, each Fund pays the Adviser a fee accrued daily and paid monthly at the annualized rate of 0.05% for the first $12.5 billion of average daily net assets of the Trust and 0.04% thereafter. From time to time, the Adviser may waive all or a portion of its fee. TRUSTEES' FEES The Trust pays each independent Trustee an annual fee of $50,000 plus a per meeting fee of $4,000 for scheduled quarterly meetings of the Board of Trustees attended by the Trustee and $1,000 for each special telephone meeting, if applicable. The Chairman of the Board receives an additional fee of $20,000 per year. Independent Trustees who serve on the Trust's Audit Committee ("Committee Members") also receive $2,000 per committee meeting attended except for the Chairman of the Committee who receives $4,000 per committee meeting attended. The Trust also reimburses each Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. UNITARY FEE A "Unitary" Fee is paid by each Fund to State Street Bank and Trust Company ("State Street") for the Administration, Custody and Transfer Agency services it provides to the Funds. The unitary fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based upon the relative net assets of each Fund. The unitary fee is a sliding scale fee calculated as follows: (i) 0.07% of average daily net assets of the Trust up to the first $4.5 billion of net assets; (ii) 0.05% of average daily net assets up to the next $4.5 billion of net assets of the Trust; (iii) 0.03% of average daily net assets of the next $3.5 billion of net assets of the Trust; and (iv) 0.015% of average net assets on the remainder of net assets. State Street has voluntarily undertaken to waive 0.005% of its unitary fee on net assets of the Trust over $22.5 billion through December 31, 2010. For the period October 1, 2008 through March 31, 2009, there were no waiver amounts for the Unitary Fee. (See also Note 4). State Street also acts as the securities lending agent for the Funds and receives a portion of any lending income. In addition, cash collateral from lending activities is invested in an investment fund managed by the Adviser, the State Street Navigator Securities Lending Prime Portfolio. The State Street Navigator Securities Lending Prime Portfolio is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. See Note 7 for additional information regarding securities lending. For the period October 1, 2008 through March 31, 2009, State Street earned securities lending agent fees as follows:

SECURITIES LENDING FUND AGENT FEES --------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $186,520 Consumer Staples Select Sector SPDR Fund 161,664 Energy Select Sector SPDR Fund 158,034 Financial Select Sector SPDR Fund 867,873 Health Care Select Sector SPDR Fund 107,727 Industrial Select Sector SPDR Fund 99,724 Materials Select Sector SPDR Fund 157,580 Technology Select Sector SPDR Fund 136,226 Utilities Select Sector SPDR Fund 109,913

DISTRIBUTOR ALPS Distributors, Inc. (the "Distributor") serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay a fee to the Distributor at an annualized rate of 0.25% of the average daily net assets of each of the Funds. The 61 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- Board of Trustees has limited each Fund's 12b-1 fee to 0.06% of its average daily net assets through at least January 31, 2010. ADDITIONAL EXPENSES Standard and Poor's ("S&P"), NYSE Alternext US LLC, formerly the American Stock Exchange LLC (the "NYSE Alternext"), and Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") have entered into a license agreement with respect to each Select Sector SPDR Fund's Select Sector Index. The Trust has entered into a sub-license agreement whereby the Trust agrees to pay a sub- license fee per annum (i) to S&P equal to the greater of 0.03% of the aggregate net assets of the Trust or $450,000 (the "Minimum Annual Fee"), and (ii) to Merrill Lynch equal to 0.03% of the aggregate net assets of the Trust up to $35 billion, subject to breakpoints on Trust assets over $35 billion. The fees to S&P and Merrill Lynch are payable on a quarterly basis. Each Select Sector SPDR Fund will pay its proportionate share of the annual sub-license fees based on the relative net assets of each Fund. TRANSACTIONS WITH AFFILIATES The Financial Select Sector SPDR Fund has invested in an affiliated company, State Street Corp. Amounts relating to this investment at March 31, 2009 and for the six month period then ended are:

PURCHASED SOLD VALUE AT ----------------------- ----------------------- VALUE AT DIVIDEND FUND 9/30/08 COST SHARES PROCEEDS SHARES 3/31/09 INCOME ------------------------------------------------------------------------------------------------------------------------ Financial Select Sector SPDR Fund $181,044,547 107,509,094 3,258,896 139,970,690 4,034,288 74,103,743 1,601,402

REALIZED FUND LOSS ------------------------------------------- Financial Select Sector SPDR Fund (107,259,965)

Each Fund invests its cash collateral for securities lending in the shares of the State Street Navigator Securities Lending Prime Portfolio, an affiliated fund of the Adviser. Amounts relating to these investments at March 31, 2009 and for the six month period then ended are:

PURCHASED SOLD VALUE AT ----------------------------- ----------------------------- VALUE AT FUND 9/30/08 COST SHARES PROCEEDS SHARES 3/31/09 --------------------------------------------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $ 82,798,119 467,831,558 467,831,558 436,997,075 436,997,075 467,831,558 Consumer Staples Select Sector SPDR Fund 34,058,860 1,395,267,867 1,395,267,867 1,378,794,372 1,378,794,372 1,395,267,867 Energy Select Sector SPDR Fund 168,200,865 1,394,022,060 1,394,022,060 1,342,274,169 1,342,274,169 1,394,022,060 Financial Select Sector SPDR Fund 579,442,400 2,712,354,433 2,712,354,433 2,998,161,975 2,998,161,975 2,712,354,433 Health Care Select Sector SPDR Fund 21,166,240 1,062,851,569 1,062,851,569 958,285,250 958,285,250 1,062,851,569 Industrial Select Sector SPDR Fund 72,405,399 744,509,259 744,509,259 713,837,805 713,837,805 744,509,259 Materials Select Sector SPDR Fund 61,473,612 638,410,015 638,410,015 560,386,185 560,386,185 638,410,015 Technology Select Sector SPDR Fund 83,077,896 1,224,767,980 1,224,767,980 1,229,957,068 1,229,957,068 1,224,767,980 Utilities Select Sector SPDR Fund 133,480,013 562,411,376 562,411,376 519,986,248 519,986,248 562,411,376

FUND INCOME ---------------------------------------- Consumer Discretionary Select Sector SPDR Fund 1,057,780 Consumer Staples Select Sector SPDR Fund 917,977 Energy Select Sector SPDR Fund 896,998 Financial Select Sector SPDR Fund 4,916,782 Health Care Select Sector SPDR Fund 611,540 Industrial Select Sector SPDR Fund 566,093 Materials Select Sector SPDR Fund 891,030 Technology Select Sector SPDR Fund 770,201 Utilities Select Sector SPDR Fund 624,005

4. SHAREHOLDER TRANSACTIONS IN SELECT SECTOR SPDR FUNDS WERE AS FOLLOWS FOR: CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 94,600,000 $ 1,858,680,793 SPDR shares issued upon dividend reinvestment 465 10,938 SPDR shares redeemed (93,800,000) (1,853,280,060) Net income equalization -- 1,063,985 ----------- --------------- Net increase 800,465 $ 6,475,656 =========== ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 219,700,000 $ 6,883,206,323 SPDR shares issued upon dividend reinvestment 571 17,777 SPDR shares redeemed (204,050,000) (6,402,701,503) Net income equalization -- 2,523,993 ------------ --------------- Net increase 15,650,571 $ 483,046,590 ============ ===============

62 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- CONSUMER STAPLES SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 58,200,000 $ 1,332,704,156 SPDR shares issued upon dividend reinvestment 3,813 97,582 SPDR shares redeemed (80,150,000) (1,847,502,026) Net income equalization -- 1,381,050 ----------- --------------- Net decrease (21,946,187) $ (513,319,238) =========== ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 158,450,000 $ 4,444,022,556 SPDR shares issued upon dividend reinvestment 4,677 129,635 SPDR shares redeemed (126,900,000) (3,528,921,348) Net income equalization -- (1,695,725) ------------ --------------- Net increase 31,554,677 $ 913,535,118 ============ ===============

ENERGY SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) -------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- ---------------- SPDR shares sold 247,450,000 $ 11,549,836,133 SPDR shares issued upon dividend reinvestment 2,324 124,336 SPDR shares redeemed (257,750,000) (12,154,788,467) Net income equalization -- 2,789,035 ------------ ---------------- Net decrease (10,297,676) $ (602,038,963) ============ ================

YEAR ENDED SEPTEMBER 30, 2008 -------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- ---------------- SPDR shares sold 669,450,000 $ 51,089,925,647 SPDR shares issued upon dividend reinvestment 3,536 279,688 SPDR shares redeemed (630,950,000) (48,008,463,879) Net income equalization -- 8,855,712 ------------ ---------------- Net increase 38,503,536 $ 3,090,597,168 ============ ================

FINANCIAL SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) --------------------------------- SELECT SECTOR SPDR SHARES AMOUNT -------------- ---------------- SPDR shares sold 1,234,850,000 $ 13,347,494,764 SPDR shares issued upon dividend reinvestment 40,065 614,018 SPDR shares redeemed (1,354,050,000) (14,995,943,990) Net income equalization -- (1,743,049) -------------- ---------------- Net decrease (119,159,935) $ (1,649,578,257) ============== ================

YEAR ENDED SEPTEMBER 30, 2008 --------------------------------- SELECT SECTOR SPDR SHARES AMOUNT -------------- ---------------- SPDR shares sold 2,787,450,000 $ 69,928,231,222 SPDR shares issued upon dividend reinvestment 98,321 2,281,222 SPDR shares redeemed (2,278,000,000) (57,515,924,060) Net income equalization -- (72,941,113) -------------- ---------------- Net increase 509,548,321 $ 12,341,647,271 ============== ================

HEALTH CARE SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 82,700,000 $ 2,069,501,943 SPDR shares issued upon dividend reinvestment 2,093 59,033 SPDR shares redeemed (68,350,000) (1,753,390,480) Net income equalization -- (602,412) ----------- --------------- Net increase 14,352,093 $ 315,568,084 =========== ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 110,600,000 $ 3,638,014,975 SPDR shares issued upon dividend reinvestment 3,120 102,813 SPDR shares redeemed (91,100,000) (2,941,946,997) Net income equalization -- 484,033 ----------- --------------- Net increase 19,503,120 $ 696,654,824 =========== ===============

63 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- INDUSTRIAL SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 115,000,000 $ 2,471,075,928 SPDR shares issued upon dividend reinvestment 3,433 90,685 SPDR shares redeemed (120,700,000) (2,630,159,883) Net income equalization -- 313,796 ------------ --------------- Net decrease (5,696,567) $ (158,679,474) ============ ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 197,500,000 $ 7,196,090,230 SPDR shares issued upon dividend reinvestment 5,553 208,451 SPDR shares redeemed (191,850,000) (7,039,948,131) Net income equalization -- 1,962,937 ------------ --------------- Net increase 5,655,553 $ 158,313,487 ============ ===============

MATERIALS SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 121,550,000 $ 2,866,778,754 SPDR shares issued upon dividend reinvestment 1,663 44,807 SPDR shares redeemed (122,750,000) (2,939,638,365) Net income equalization -- 1,194,813 ------------ --------------- Net decrease (1,198,337) $ (71,619,991) ============ ===============

YEAR ENDED SEPTEMBER 30, 2008 -------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- ---------------- SPDR shares sold 354,100,000 $ 14,406,208,982 SPDR shares issued upon dividend reinvestment 3,641 150,116 SPDR shares redeemed (352,850,000) (14,347,038,337) Net income equalization -- 9,522,491 ------------ ---------------- Net increase 1,253,641 $ 68,843,252 ============ ================

TECHNOLOGY SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 156,550,000 $ 2,432,476,072 SPDR shares issued upon dividend reinvestment 443 7,577 SPDR shares redeemed (147,300,000) (2,274,321,396) Net income equalization -- (512,977) ------------ --------------- Net increase 9,250,443 $ 157,649,276 ============ ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 186,750,000 $ 4,391,416,150 SPDR shares issued upon dividend reinvestment 507 12,603 SPDR shares redeemed (164,900,000) (3,797,249,856) Net income equalization -- 955,973 ------------ --------------- Net increase 21,850,507 $ 595,134,870 ============ ===============

UTILITIES SELECT SECTOR SPDR FUND

FOR THE SIX MONTHS ENDED MARCH 31, 2009 (UNAUDITED) ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 63,500,000 $ 1,716,696,252 SPDR shares issued upon dividend reinvestment 7,227 221,657 SPDR shares redeemed (50,600,000) (1,415,776,037) Net income equalization -- (2,343,840) ----------- --------------- Net increase 12,907,227 $ 298,798,032 =========== ===============

YEAR ENDED SEPTEMBER 30, 2008 ------------------------------- SELECT SECTOR SPDR SHARES AMOUNT ------------- --------------- SPDR shares sold 157,850,000 $ 6,209,453,579 SPDR shares issued upon dividend reinvestment 9,867 400,895 SPDR shares redeemed (159,400,000) (6,319,023,345) Net income equalization -- 8,875,769 ------------ --------------- Net decrease (1,540,133) $ (100,293,102) ============ ===============

Except for under the Trust's dividend reinvestment plan, Select Sector SPDRs are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis only, with a separate cash payment which is equivalent to the undistributed net investment income per share (income 64 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- equalization) and a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. Transaction fees are received by the Custodian and used to defray related expenses. 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes was substantially the same as the cost for financial statement purposes. Accordingly, gross unrealized appreciation and depreciation at March 31, 2009 were as follows:

GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION FUND IDENTIFIED COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------------------------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $1,265,909,403 $ 712,513 $ 437,815,515 $ (437,103,002) Consumer Staples Select Sector SPDR Fund 2,599,640,187 127,614 767,554,015 (767,426,401) Energy Select Sector SPDR Fund 6,783,466,543 -- 2,570,906,341 (2,570,906,341) Financial Select Sector SPDR Fund 4,879,525,161 201,528,481 559,160,504 (357,632,023) Health Care Select Sector SPDR Fund 3,318,880,600 2,672,609 938,547,073 (935,874,464) Industrial Select Sector SPDR Fund 1,903,022,869 -- 896,607,867 (896,607,867) Materials Select Sector SPDR Fund 1,625,249,261 1,451,000 575,969,899 (574,518,899) Technology Select Sector SPDR Fund 3,324,848,228 146,442 1,171,545,605 (1,171,399,163) Utilities Select Sector SPDR Fund 3,152,948,478 1,199,782 910,646,434 (909,446,652)

6. INVESTMENT TRANSACTIONS For the period ended March 31, 2009, the Trust had in-kind contributions and in- kind redemptions as follows:

FUND CONTRIBUTIONS REDEMPTIONS -------------------------------------------------------------------------------------------- Consumer Discretionary Select Sector SPDR Fund $1,303,785,459 $1,297,413,035 Consumer Staples Select Sector SPDR Fund 991,449,609 1,504,865,269 Energy Select Sector SPDR Fund 6,488,262,984 7,077,087,627 Financial Select Sector SPDR Fund 6,634,062,105 8,306,528,547 Health Care Select Sector SPDR Fund 1,738,114,741 1,422,643,628 Industrial Select Sector SPDR Fund 1,699,075,923 1,900,065,066 Materials Select Sector SPDR Fund 1,926,316,459 1,998,276,057 Technology Select Sector SPDR Fund 1,852,519,068 1,694,994,762 Utilities Select Sector SPDR Fund 1,338,012,766 1,039,423,497

The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions in Note 4. The table represents the accumulation of the Funds' daily net shareholder transactions while Note 4 reflects gross shareholder transactions including any cash component of the transactions. For the period ended March 31, 2009, the Trust had purchases and sales of investment securities as follows:

FUND PURCHASES SALES ------------------------------------------------------------------------------------------ Consumer Discretionary Select Sector SPDR Fund $ 16,644,001 $ 16,193,711 Consumer Staples Select Sector SPDR Fund 255,262,312 256,276,089 Energy Select Sector SPDR Fund 741,365,062 759,619,246 Financial Select Sector SPDR Fund 614,294,012 613,863,483 Health Care Select Sector SPDR Fund 60,218,816 59,628,241 Industrial Select Sector SPDR Fund 117,828,043 76,691,235 Materials Select Sector SPDR Fund 177,195,057 175,900,572 Technology Select Sector SPDR Fund 67,638,392 71,325,831 Utilities Select Sector SPDR Fund 110,618,737 109,196,890

65 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- 7. SECURITIES LENDING Each Fund may lend securities up to 33 1/3% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned, should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. Proceeds collected by State Street on investment of cash collateral or any fee income is partially allocated to State Street as compensation for its lending services. The market value of securities on loan as of March 31, 2009 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. Securities lending income, as disclosed in the Funds' Statements of Operations, represents the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. 66 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- SHAREHOLDER EXPENSE EXAMPLE As a shareholder of a Fund, you incur two types of costs: (1) transaction costs which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, distribution (12b-1) fees, administration, custodian and transfer agent fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at October 1, 2008 and held for the six months ended March 31, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled "Expenses Paid during Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Shareholders are charged transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit to those persons creating or redeeming Creation Units. If you buy or sell Select Sector SPDR Shares in the secondary market, you will incur customary brokerage commissions and charges. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD* VALUE VALUE 10/1/08 TO 10/1/08 3/31/09 3/31/09 ----------------- -------------- -------------- ACTUAL The Consumer Discretionary Select Sector SPDR Fund........................................ $1,000 $ 709.40 $0.94 The Consumer Staples Select Sector SPDR Fund... $1,000 $ 779.50 $0.98 The Energy Select Sector SPDR Fund............. $1,000 $ 673.60 $0.92 The Financial Sector SPDR Fund................. $1,000 $ 450.60 $0.80 The Health Care Select Sector SPDR Fund........ $1,000 $ 808.30 $0.99 The Industrial Select Sector SPDR Fund......... $1,000 $ 615.10 $0.89 The Materials Select Sector SPDR Fund.......... $1,000 $ 682.00 $0.92 The Technology Select Sector SPDR Fund......... $1,000 $ 796.40 $0.99 The Utilities Sector SPDR Fund................. $1,000 $ 793.80 $0.98 HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) The Consumer Discretionary Select Sector SPDR Fund........................................ $1,000 $1,023.83 $1.11 The Consumer Staples Select Sector SPDR Fund... $1,000 $1,023.83 $1.11 The Energy Select Sector SPDR Fund............. $1,000 $1,023.83 $1.11 The Financial Sector SPDR Fund................. $1,000 $1,023.83 $1.11 The Health Care Select Sector SPDR Fund........ $1,000 $1,023.83 $1.11 The Industrial Select Sector SPDR Fund......... $1,000 $1,023.83 $1.11 The Materials Select Sector SPDR Fund.......... $1,000 $1,023.83 $1.11 The Technology Select Sector SPDR Fund......... $1,000 $1,023.83 $1.11 The Utilities Sector SPDR Fund................. $1,000 $1,023.83 $1.11

* Expenses are equal to each Fund's annualized expense ratio of 0.22%, multiplied by the average account value of the period, multiplied by 182/365. 67 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- PROXY VOTING POLICIES You may obtain a description of the Funds' proxy voting policies and procedures without charge, upon request, by contacting the Funds directly at 1-800-843-2639 (toll free), on the website of the Securities and Exchange Commission, at www.sec.gov, or the Funds' website at www.sectorspdrs.com. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-months period ended June 30 is also available without charge, upon request, by calling 1-800-843-2639 (toll free), on the website of the Securities and Exchange Commission, at www.sec.gov, and on the Funds' website at www.sectorspdrs.com. QUARTERLY PORTFOLIO SCHEDULE The Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission of the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-800-843-2639 (toll free). ADVISORY CONTRACT RENEWAL At an in-person meeting held on November 11, 2008, the Trustees of the Trust considered the renewal of the Amended and Restated Investment Advisory Agreement (the "Agreement"), dated December 1, 2003, between the Trust and SSgA Funds Management, Inc. (the "Adviser") with respect to the Funds. The Trustees who are not "interested persons" of the Trust within the meaning of the 1940 Act (the "Independent Trustees") also met separately with their counsel to consider the Agreement. In evaluating the Agreement, the Trustees drew on materials provided to them by the Adviser at the request, on their behalf, of counsel and on other materials provided by State Street. In deciding whether to renew the Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Agreement, (ii) the investment performance of the Funds, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliate, State Street, from their relationship with the Trust, and (iv) the extent to which economies of scale would be realized if and as the Funds grow and whether the fee levels in the Agreement reflect these economies of scale. NATURE, EXTENT AND QUALITY OF SERVICES In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior experience as Trustees of the Trust as well as on the materials provided at the meeting. They noted that under the Agreement the Adviser is responsible for managing the investment operations of each of the Funds in accordance with the Fund's investment objective and policies, applicable legal and regulatory requirements, and the instructions of the Trustees, for providing necessary and appropriate reports and information to the Trustees, for maintaining all necessary books and records pertaining to the Trust's securities transactions, and for furnishing each Fund with the assistance, cooperation, and information necessary for the Fund to meet various legal requirements regarding registration and reporting. They noted the distinctive nature of the Funds, as exchange-traded funds ("ETFs") investing in sectors of the S&P 500 Index, and the experience and expertise appropriate in an adviser to such funds. The Trustees reviewed the background and experience of the Adviser's senior management, including those individuals responsible for the investment and compliance operations of the Trust, and the responsibilities of the latter with respect to the Funds. They also considered the resources, operational structures and practices of the Adviser in managing the Funds' portfolios, in monitoring and securing each Fund's compliance with its investment objectives and policies and with applicable law and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser's overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes and managed over $149 billion in assets at June 30, 2008. Drawing upon the materials provided and their general knowledge of the business of the Adviser and its parent, State Street Global Advisers ("SSgA"), with which the Adviser shares all of its senior personnel, the Trustees took into account the fact that the Adviser and its affiliates constitute one of the world's premier investment management enterprises and that the experience, resources and strength of the Adviser and its affiliates in the areas of indexed products generally and ETFs in particular are deep, extensive and of high quality. On the basis of this review, the 68 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- Trustees determined that the nature and extent of the services provided by the Adviser to the Trust were appropriate, had been of uniformly high quality, and could be expected to remain so. INVESTMENT PERFORMANCE OF THE FUNDS The Trustees noted that, in view of the distinctive investment objective of the Funds, the investment performance of the Funds in absolute terms was not of the importance that normally attaches to the performance of actively-managed funds. Of more importance to the Trustees was the extent to which each Fund achieved its objective of replicating the total return of the applicable index. Drawing upon information provided at the meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Funds had in fact tracked their sector indexes within an acceptable range; they further concluded, on the basis of the limited data available (see discussion in "Comparison of Fees and Expense Ratios" below), that the expense ratios of the Funds were lower than those of practically all of their direct competitors. Moreover, none of the Funds generated any taxable gain during the most recent fiscal year. Accordingly, they concluded that the performance of each Fund was satisfactory. PROFITABILITY TO THE ADVISER AND ITS AFFILIATES The Trustees considered the profitability of the advisory arrangement with the Funds to the Adviser and of the Trust's relationship with the Adviser's affiliate, State Street, in its role as Administrator, Transfer Agent and Custodian for the Trust. The Trustees had been provided with data on the Funds' profitability to the Adviser for certain prior fiscal periods, as well as data on the Trust's profitability to State Street for certain prior fiscal periods, together in both cases with profitability estimates for the coming year at several hypothetical asset levels. The Trustees had also been provided with information from both the Adviser and State Street discussing the methods by which expenses were allocated to the Trust and to each of the Funds. On the basis of this information and discussions at the meeting with representatives of the Adviser and State Street, the Trustees concluded that the methodologies used in computing the costs that formed the basis of the profitability calculations were reasonable, whereupon they turned to the profitability data and related information provided. After extensive discussion and analysis they concluded that, to the extent that the Adviser's and State Street's relationships with the Trust had been profitable to either or both of those entities, the profitability was in no case such as to render the advisory fee excessive. OTHER BENEFITS TO THE ADVISER In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees noted that the Adviser does not currently use the Funds' assets for, or participate in, third party soft dollar arrangements, although the Adviser may receive proprietary research from various full service brokers, the cost of which is bundled with the cost of the broker's execution services. It was further noted that that the Trust's brokerage transactions are not effected through the Adviser or any of its affiliates. The Trustees concluded that, to the extent that the Adviser derives other benefits from its relationship with the Trust, those benefits are not so significant as to render the Adviser's fees excessive. ECONOMIES OF SCALE On the basis of their discussions with management and their analysis of information provided at the meeting, the Trustees determined that the nature of the Funds and their operations is such that the Adviser is likely to realize economies of scale in the management of the Funds as they grow in size. They were also of the view that these economies of scale were being shared with the Funds by virtue of an advisory fee, set at a relatively low level since the inception of the Trust, that subsumed economies of scale in the fee itself. Furthermore, the Trustees took into consideration the fact that, in order to ensure that if and as the Funds grow in size the economies of scale resulting from this growth would be shared with the Funds, the Adviser and State Street had each previously agreed to institute one or more breakpoints in their respective fee schedules. At the meeting, State Street had voluntarily undertaken to maintain through December 31, 2010 a further breakpoint (originally instituted on January 1, 2008) in its unitary fee for services as the Trust's Administrator, Transfer Agent and Custodian for Trust assets over $22.5 billion. 69 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2009 (UNAUDITED) -------------------------------------------------------------------------------- COMPARISON OF FEES AND EXPENSE RATIOS In order better to evaluate the Funds' advisory fee, the Trustees had requested comparative information with respect to fees paid by similar funds -- i.e., ETFs tracking sector indexes. The Trustees found that, because of the distinctive nature of the Funds, the universe of similar funds was limited. Moreover, many of the other ETFs paid a unitary advisory fee, encompassing all or virtually all of the ETF's operating expenses, so that in many cases a Fund's advisory fee, which covered only advisory services, was misleadingly far lower than its competitors'. However, the Trustees noted that the overall expense ratios of only one competing fund sponsor's ETFs were lower than the Funds', and then only by one one-hundredth of a percentage point, while in some cases a competitor's ratio was more than double that of a Fund. The Trustees concluded that the limited data available provided some indirect confirmation of the reasonableness of the Adviser's fees. CONCLUSION The Trustees, including the Independent Trustees, approved the continuance of the Agreement after weighing the foregoing factors, none of which was dispositive in itself. They reasoned that, considered in themselves, the nature and extent of the services provided by the Adviser were appropriate, that the performance of the Funds had been satisfactory, and that the Adviser could be expected to provide services of high quality. As to the Adviser's fees for each Fund, the Trustees determined that the fees, considered in relation to the services provided, were fair and reasonable, that the Trust's relationship with the Adviser and State Street was not so profitable as to render the fees excessive, that any additional benefits to the Adviser and/or State Street were not of a magnitude materially to affect the outcome of the Trustees' conclusions, and that, especially in light of the breakpoints in the Adviser's and State Street's fee schedules, the fees adequately shared economies of scale with the Funds. 70 THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR ANY SPDR ETF. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL. THE SELECT SECTOR SPDR TRUST ----------------------- The Consumer Discretionary Select Sector SPDR Fund (XLY) The Consumer Staples Select Sector SPDR Fund (XLP) The Energy Select Sector SPDR Fund (XLE) The Financial Select Sector SPDR Fund (XLF) The Health Care Select Sector SPDR Fund (XLV) The Industrial Select Sector SPDR Fund (XLI) The Materials Select Sector SPDR Fund (XLB) The Technology Select Sector SPDR Fund (XLK) The Utilities Select Sector SPDR Fund (XLU) SPDR INDEX SHARES FUNDS ----------------------- SPDR DJ STOXX 50 ETF (FEU) SPDR DJ EURO STOXX 50 ETF (FEZ) SPDR S&P Emerging Asia Pacific ETF (GMF) SPDR S&P China ETF (GXC) SPDR S&P Emerging Markets ETF (GMM) SPDR S&P BRIC 40 ETF (BIK) SPDR S&P Emerging Europe ETF (GUR) SPDR S&P Emerging Latin America ETF (GML) SPDR S&P Emerging Middle East & Africa ETF (GAF) SPDR S&P World ex-US ETF (GWL) SPDR S&P International Small Cap ETF (GWX) SPDR Dow Jones International Real Estate ETF (RWX) SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII) SPDR MSCI ACWI ex-US ETF (CWI) SPDR Russell/Nomura PRIME Japan ETF (JPP) SPDR Russell/Nomura Small Cap Japan ETF (JSC) SPDR S&P International Dividend ETF (DWX) SPDR S&P International Mid Cap ETF (MDD) SPDR S&P Emerging Markets Small Cap ETF (EWX) SPDR Dow Jones Global Real Estate ETF (RWO) SPDR S&P International Consumer Discretionary Sector ETF (IPD) SPDR S&P International Consumer Staples Sector ETF (IPS) SPDR S&P International Energy Sector ETF (IPW) SPDR S&P International Financial Sector ETF (IPF) SPDR S&P International Health Care Sector ETF (IRY) SPDR S&P International Industrial Sector ETF (IPN) SPDR S&P International Materials Sector ETF (IRV) SPDR S&P International Technology Sector ETF (IPK) SPDR S&P International Telecommunications Sector ETF (IST) SPDR S&P International Utilities Sector ETF (IPU) SPDR SERIES TRUST ----------------- SPDR Dow Jones Total Market ETF (TMW) SPDR Dow Jones Large Cap ETF (ELR) SPDR Dow Jones Large Cap Growth ETF (ELG) SPDR Dow Jones Large Cap Value ETF (ELV) SPDR Dow Jones Mid Cap ETF (EMM) 71 SPDR Dow Jones Mid Cap Growth ETF (EMG) SPDR Dow Jones Mid Cap Value ETF (EMV) SPDR Dow Jones Small Cap ETF (DSC) SPDR Dow Jones Small Cap Growth ETF (DSG) SPDR Dow Jones Small Cap Value ETF (DSV) SPDR DJ Global Titans ETF (DGT) SPDR Dow Jones REIT ETF (RWR) SPDR KBW Bank ETF (KBE) SPDR KBW Capital Markets ETF (KCE) SPDR KBW Insurance ETF (KIE) SPDR Morgan Stanley Technology ETF (MTK) SPDR S&P Dividend ETF (SDY) SPDR S&P Biotech ETF (XBI) SPDR S&P Homebuilders ETF (XHB) SPDR S&P Metals & Mining ETF (XME) SPDR S&P Oil & Gas Equipment & Services ETF (XES) SPDR S&P Oil & Gas Exploration & Production ETF (XOP) SPDR S&P Pharmaceuticals ETF (XPH) SPDR S&P Retail ETF (XRT) SPDR S&P Semiconductor ETF (XSD) SPDR KBW Regional Banking(SM) ETF (KRE) SPDR KBW Mortgage Finance(SM) ETF (KME) SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) SPDR Barclays Capital Short Term Municipal Bond ETF (SHM) SPDR Barclays Capital Intermediate Term Treasury ETF (ITE) SPDR Barclays Capital Long Term Treasury ETF (TLO) SPDR Barclays Capital TIPS ETF (IPE) SPDR Barclays Capital California Municipal Bond ETF (CXA) SPDR Barclays Capital New York Municipal Bond ETF (INY) SPDR Barclays Capital Municipal Bond ETF (TFI) SPDR Barclays Capital Aggregate Bond ETF (LAG) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital High Yield Bond ETF (JNK) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital Mortgage Backed Bond ETF (MBG) SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR) SPDR Barclays Capital Long Term Credit Bond ETF (LWC) SPDR Barclays Capital Convertible Bond ETF (CWB) DIAMONDS TRUST, SERIES 1 (DIA) SPDR TRUST, SERIES 1 (SPY) State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR Trust and DIAMONDS Trust, both unit investment trusts; and all investment portfolios of The Select Sector SPDR Trust. 72 Select Sector Spider Heading TRUSTEES CHERYL BURGERMEISTER GEORGE R. GASPARI, CHAIRMAN JAMES E. ROSS ERNEST J. SCALBERG R. CHARLES TSCHAMPION OFFICERS GARY L. FRENCH, PRESIDENT MICHAEL P. RILEY, VICE PRESIDENT CHAD C. HALLETT, TREASURER MATTHEW FLAHERTY, ASSISTANT TREASURER RYAN M. LOUVAR, SECRETARY MARK E. TUTTLE, ASSISTANT SECRETARY JULIE B. PIATELLI, CHIEF COMPLIANCE OFFICER INVESTMENT MANAGER SSGA FUNDS MANAGEMENT, INC. STATE STREET FINANCIAL CENTER ONE LINCOLN STREET BOSTON, MASSACHUSETTS 02111 DISTRIBUTOR ALPS DISTRIBUTORS, INC. 1290 BROADWAY, SUITE 1100 DENVER, COLORADO 80203 CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT STATE STREET BANK AND TRUST COMPANY STATE STREET FINANCIAL CENTER ONE LINCOLN STREET BOSTON, MASSACHUSETTS 02111 LEGAL COUNSEL CLIFFORD CHANCE US LLP 31 WEST 52ND STREET NEW YORK, NEW YORK 10166 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PRICEWATERHOUSECOOPERS LLP 125 HIGH STREET BOSTON, MASSACHUSETTS 02110 The Select Sector SPDR Trust is distributed by ALPS Distributors, Inc. The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor. Please read the prospectus carefully before you invest. SEL000424 Exp: 12/09 (SPDR LOGO) START WEAVING A STRONGER PORTFOLIO TODAY. VISIT WWW.SECTORSPDRS.COM OR CALL 1-800-843-2639. ITEM 2. CODE OF ETHICS Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 6. SCHEDULE OF INVESTMENTS A Schedule of Investments is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable to the Registrant. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable to the Registrant. ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not applicable to the Registrant. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS Not applicable to the Registrant. ITEM 11. CONTROLS AND PROCEDURES (a) Within 90 days of the filing date of this Form N-CSR, Gary L. French, the Registrant's President and Principal Executive Officer, and Chad C. Hallett, the Registrant's Treasurer and Principal Financial Officer, reviewed the Registrant's disclosure controls and procedures (the "Procedures") and evaluated their effectiveness. Based on the review, Messrs. French and Hallett determined that the Procedures adequately ensure that information required to be disclosed by the Registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission's rules and regulations. (b) In the Registrant's second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the Registrant's internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 12. EXHIBITS (a)(1) Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. (2) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto. (3) Not applicable (b) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. THE SELECT SECTOR SPDR(R) TRUST By: /s/ Gary L. French ----------------------- Gary L. French President and Chief Executive Officer Date: May 22, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Gary L. French ----------------------- Gary L. French President and Chief Executive Officer Date: May 22, 2009 By: /s/ Chad C. Hallett ----------------------- Chad C. Hallett Treasurer and Chief Financial Officer Date: May 22, 2009