N-30D 1 b80633a1nv30d.htm SPDR(R) S&P 500(R) ETF TRUST nv30d
 
SPDR® S&P 500® ETF Trust
 
A Unit Investment Trust
 
Semi-Annual Report
 
March 31, 2010
 
(Unaudited)
 
“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500®”, “500”, “Standard & Poor’s Depositary Receipts®”, “SPDR®” and “SPDRs®” are trademarks of The McGraw-Hill Companies, Inc. State Street Global Markets, LLC is permitted to use these trademarks pursuant to a “License Agreement” with Standard & Poor’s, a division of The McGraw-Hill Companies, Inc., and SPDR S&P 500 ETF Trust, is permitted to use these trademarks pursuant to a sublicense from State Street Global Markets, LLC. SPDR S&P 500 ETF Trust is not, however, sponsored by or affiliated with Standard & Poor’s or The McGraw-Hill Companies, Inc.
 

 

 
SPDR S&P 500 ETF Trust
Schedule of Investments
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
3M Co. 
    5,189,295     $ 433,669,383  
Abbott Laboratories
    11,318,435       596,255,156  
Abercrombie & Fitch Co. (Class A)
    642,164       29,308,365  
Adobe Systems, Inc. *
    3,822,065       135,186,439  
Advanced Micro Devices, Inc. *
    4,109,033       38,090,736  
Aetna, Inc. 
    3,143,391       110,364,458  
AFLAC, Inc. 
    3,421,336       185,744,331  
Agilent Technologies, Inc. *
    2,543,764       87,480,044  
Air Products & Chemicals, Inc. 
    1,546,872       114,391,184  
Airgas, Inc. 
    603,377       38,386,845  
AK Steel Holding Corp. 
    799,431       18,274,993  
Akamai Technologies, Inc. *
    1,254,830       39,414,210  
Alcoa, Inc. 
    7,439,534       105,938,964  
Allegheny Energy, Inc. 
    1,237,281       28,457,463  
Allegheny Technologies, Inc. 
    715,406       38,624,770  
Allergan, Inc. 
    2,242,475       146,478,467  
Altera Corp. 
    2,168,926       52,726,591  
Altria Group, Inc. 
    15,169,266       311,273,338  
Amazon.com, Inc. *
    2,495,563       338,722,766  
Ameren Corp. 
    1,728,541       45,080,349  
American Electric Power Co., Inc. 
    3,485,306       119,127,759  
American Express Co. 
    8,725,269       360,004,599  
American International Group, Inc. *
    982,547       33,544,155  
American Tower Corp. (Class A) *
    2,936,549       125,126,353  
Ameriprise Financial, Inc. 
    1,863,020       84,506,587  
AmerisourceBergen Corp. 
    2,059,319       59,555,505  
Amgen, Inc. *
    7,140,182       426,697,276  
Amphenol Corp. (Class A)
    1,263,326       53,299,724  
Anadarko Petroleum Corp. 
    3,591,210       261,547,824  
Analog Devices, Inc. 
    2,170,909       62,565,597  
Aon Corp. 
    1,946,364       83,129,206  
Apache Corp. 
    2,454,176       249,098,864  
Apartment Investment & Management Co. (Class A)
    854,980       15,740,182  
Apollo Group, Inc. (Class A) *
    937,704       57,471,878  
Apple, Inc. *
    6,610,376       1,552,975,634  
Applied Materials, Inc. 
    9,795,003       132,036,640  
Archer-Daniels-Midland Co. 
    4,685,163       135,401,211  
Assurant, Inc. 
    850,369       29,235,686  
AT&T, Inc. 
    43,024,962       1,111,765,018  
Autodesk, Inc. *
    1,676,029       49,308,773  
Automatic Data Processing, Inc. 
    3,680,601       163,676,326  
AutoNation, Inc. *
    659,091       11,916,365  
Autozone, Inc. *
    216,341       37,446,464  
AvalonBay Communities, Inc. 
    594,134       51,303,471  
Avery Dennison Corp. 
    817,198       29,754,179  
Avon Products, Inc. 
    3,116,111       105,542,680  
Baker Hughes, Inc. 
    2,274,773       106,550,367  
Ball Corp. 
    686,560       36,648,573  
Bank of America Corp. 
    73,131,353       1,305,394,651  
Baxter International, Inc. 
    4,394,002       255,730,916  
BB&T Corp. 
    5,036,660       163,137,417  
Becton, Dickinson & Co. 
    1,718,767       135,318,526  
Bed Bath & Beyond, Inc. *
    1,910,700       83,612,232  
Bemis Co., Inc. 
    794,822       22,827,288  
Berkshire Hathaway, Inc. (Class B) *
    12,063,944       980,436,729  
Best Buy Co., Inc. 
    2,499,964       106,348,469  
Big Lots, Inc. *
    603,802       21,990,469  
Biogen Idec, Inc. *
    1,965,998       112,769,645  
BJ Services Co. 
    2,142,400       45,847,360  
BMC Software, Inc. *
    1,331,784       50,607,792  
Boston Properties, Inc. 
    1,012,247       76,363,914  
Boston Scientific Corp. *
    11,020,613       79,568,826  
Bristol-Myers Squibb Co. 
    12,497,910       333,694,197  
Broadcom Corp. (Class A)
    3,142,941       104,282,782  
Brown-Forman Corp. (Class B)
    792,599       47,120,011  
C.H. Robinson Worldwide, Inc. 
    1,214,607       67,835,801  
C.R. Bard, Inc. 
    697,586       60,424,899  
CA, Inc. 
    2,882,358       67,648,942  
Cabot Oil & Gas Corp. 
    755,949       27,818,923  
Cameron International Corp. *
    1,783,136       76,425,209  
Campbell Soup Co. 
    1,375,273       48,615,901  
Capital One Financial Corp. 
    3,320,177       137,488,530  
Cardinal Health, Inc. 
    2,636,009       94,975,404  
CareFusion Corp. *
    1,292,236       34,153,797  
Carnival Corp. 
    3,165,109       123,059,438  
Caterpillar, Inc. 
    4,554,907       286,275,905  
CB Richard Ellis Group, Inc. (Class A) *
    1,968,315       31,197,793  
CBS Corp. (Class B)
    4,937,563       68,829,628  
Celgene Corp. *
    3,351,834       207,679,635  
CenterPoint Energy, Inc. 
    2,863,689       41,122,574  
CenturyTel, Inc. 
    2,184,715       77,469,994  
Cephalon, Inc. *
    546,159       37,018,657  
CF Industries Holdings, Inc. 
    354,424       32,316,380  
Chesapeake Energy Corp. 
    4,753,767       112,379,052  
Chevron Corp. 
    14,640,495       1,110,188,736  
Chubb Corp. 
    2,396,574       124,262,362  
CIGNA Corp. 
    2,005,117       73,347,180  
Cincinnati Financial Corp. 
    1,187,106       34,307,363  
Cintas Corp. 
    959,427       26,950,304  
Cisco Systems, Inc. *
    41,738,825       1,086,461,615  
Citigroup, Inc. *
    143,237,945       580,113,677  
Citrix Systems, Inc. *
    1,340,666       63,641,415  
Cliffs Natural Resources Inc. 
    986,100       69,963,795  
Clorox Co. 
    1,022,856       65,605,984  
CME Group, Inc. 
    485,870       153,588,366  
CMS Energy Corp. 
    1,675,234       25,899,118  
Coach, Inc. 
    2,291,488       90,559,606  
Coca-Cola Enterprises, Inc. 
    2,330,486       64,461,243  
 
See accompanying notes to financial statements.


1

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
Cognizant Technology Solutions Corp. (Class A) *
    2,170,046     $ 110,628,945  
Colgate-Palmolive Co. 
    3,599,340       306,879,728  
Comcast Corp. (Class A)
    20,688,991       389,366,811  
Comerica, Inc. 
    1,269,432       48,289,193  
Computer Sciences Corp. *
    1,120,187       61,038,990  
Compuware Corp. *
    1,658,616       13,932,374  
ConAgra Foods, Inc. 
    3,232,212       81,031,555  
ConocoPhillips
    10,838,789       554,620,833  
CONSOL Energy, Inc. 
    1,596,752       68,117,440  
Consolidated Edison, Inc. 
    2,051,904       91,391,804  
Constellation Brands, Inc. (Class A) *
    1,455,302       23,925,165  
Constellation Energy Group, Inc. 
    1,465,632       51,458,340  
Corning, Inc. 
    11,363,962       229,665,672  
Costco Wholesale Corp. 
    3,203,772       191,297,226  
Coventry Health Care, Inc. *
    1,079,795       26,692,532  
CSX Corp. 
    2,844,526       144,786,373  
Cummins, Inc. 
    1,467,977       90,941,175  
CVS Caremark Corp. 
    10,138,282       370,655,590  
D.R. Horton, Inc. 
    2,018,995       25,439,337  
Danaher Corp. 
    1,910,759       152,688,752  
Darden Restaurants, Inc. 
    1,018,514       45,364,614  
DaVita, Inc. *
    752,517       47,709,578  
Dean Foods Co. *
    1,318,685       20,690,168  
Deere & Co. 
    3,091,378       183,813,336  
Dell, Inc. *
    12,554,242       188,439,172  
Denbury Resources, Inc. *
    2,885,709       48,681,911  
DENTSPLY International, Inc. 
    1,073,879       37,424,683  
Devon Energy Corp. 
    3,258,120       209,920,672  
DeVry, Inc. 
    450,754       29,389,161  
Diamond Offshore Drilling, Inc. 
    506,875       45,015,569  
DIRECTV *
    6,818,063       230,518,710  
Discover Financial Services
    3,961,343       59,024,011  
Discovery Communications, Inc. (Class A) *
    2,068,357       69,889,783  
Dominion Resources, Inc. 
    4,376,271       179,908,501  
Dover Corp. 
    1,358,521       63,510,857  
Dr. Pepper Snapple Group, Inc. 
    1,853,873       65,200,713  
DTE Energy Co. 
    1,203,017       53,654,558  
Duke Energy Corp. 
    9,548,408       155,830,019  
Dun & Bradstreet Corp. 
    371,800       27,669,356  
E*TRADE Financial Corp. *
    11,609,361       19,155,446  
E. I. du Pont de Nemours & Co. 
    6,590,264       245,421,431  
Eastman Chemical Co. 
    530,262       33,767,084  
Eastman Kodak Co. *
    1,959,765       11,347,039  
Eaton Corp. 
    1,206,455       91,413,095  
eBay, Inc. *
    8,239,853       222,064,038  
Ecolab, Inc. 
    1,723,178       75,733,673  
Edison International
    2,376,910       81,219,015  
El Paso Corp. 
    5,117,258       55,471,077  
Electronic Arts, Inc. *
    2,382,135       44,450,639  
Eli Lilly & Co. 
    7,398,744       267,982,508  
EMC Corp. *
    14,966,387       269,993,621  
Emerson Electric Co. 
    5,486,058       276,168,160  
Entergy Corp. 
    1,378,617       112,150,493  
EOG Resources, Inc. 
    1,841,708       171,168,342  
EQT Corp. 
    1,049,541       43,031,181  
Equifax, Inc. 
    921,571       32,992,242  
Equity Residential
    2,055,496       80,472,668  
Exelon Corp. 
    4,811,474       210,790,676  
Expedia, Inc. 
    1,538,228       38,394,171  
Expeditors International of Washington, Inc. 
    1,546,665       57,102,872  
Express Scripts, Inc. *
    2,007,384       204,271,396  
Exxon Mobil Corp. 
    34,417,190       2,305,263,386  
Family Dollar Stores, Inc. 
    1,009,374       36,953,182  
Fastenal Co. 
    957,152       45,933,724  
Federated Investors, Inc. (Class B)
    643,838       16,984,446  
FedEx Corp. 
    2,281,837       213,123,576  
Fidelity National Information Services, Inc. 
    2,406,207       56,401,492  
Fifth Third Bancorp
    5,798,144       78,796,777  
First Horizon National Corp. *
    1,645,077       23,113,329  
First Solar Inc. *
    354,060       43,425,459  
FirstEnergy Corp. 
    2,223,250       86,906,842  
Fiserv, Inc. *
    1,110,662       56,377,203  
FLIR Systems, Inc. *
    1,115,088       31,445,482  
Flowserve Corp. 
    407,568       44,942,523  
Fluor Corp. 
    1,303,967       60,647,505  
FMC Corp. 
    527,554       31,938,119  
FMC Technologies, Inc. *
    889,829       57,509,648  
Ford Motor Co. *
    24,558,292       308,697,730  
Forest Laboratories, Inc. *
    2,201,709       69,045,594  
Fortune Brands, Inc. 
    1,108,167       53,757,181  
FPL Group, Inc. 
    3,014,535       145,692,477  
Franklin Resources, Inc. 
    1,081,831       119,975,058  
Freeport-McMoRan Copper &
Gold, Inc. 
    3,139,782       262,297,388  
Frontier Communications Corp. 
    2,281,795       16,976,555  
GameStop Corp. (Class A) *
    1,202,860       26,354,663  
Gannett Co., Inc. 
    1,730,685       28,590,916  
General Dynamics Corp. 
    2,812,241       217,105,005  
General Electric Co. 
    77,780,917       1,415,612,689  
General Mills, Inc. 
    2,402,926       170,103,132  
Genuine Parts Co. 
    1,157,493       48,892,504  
Genworth Financial, Inc. (Class A) *
    3,564,760       65,377,698  
 
See accompanying notes to financial statements.


2

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
Genzyme Corp. *
    1,940,349     $ 100,568,289  
Gilead Sciences, Inc. *
    6,586,618       299,559,387  
Goodrich Corp. 
    912,597       64,356,340  
Google, Inc. (Class A) *
    1,761,666       998,882,239  
H&R Block, Inc. 
    2,446,808       43,553,182  
H.J. Heinz Co. 
    2,306,169       105,184,368  
Halliburton Co. 
    6,600,464       198,871,980  
Harley-Davidson, Inc. 
    1,708,853       47,967,504  
Harman International Industries, Inc. *
    506,336       23,686,398  
Harris Corp. 
    953,728       45,292,543  
Hartford Financial Services
Group, Inc. 
    3,238,917       92,050,021  
Hasbro, Inc. 
    895,144       34,266,112  
HCP, Inc. 
    2,143,025       70,719,825  
Health Care REIT, Inc. 
    901,736       40,785,519  
Helmerich & Payne, Inc. 
    770,376       29,335,918  
Hess Corp. 
    2,124,124       132,863,956  
Hewlett-Packard Co. 
    17,160,875       912,100,506  
Home Depot, Inc. 
    12,398,177       401,081,026  
Honeywell International, Inc. 
    5,573,492       252,311,983  
Hormel Foods Corp. 
    506,566       21,280,838  
Hospira, Inc. *
    1,195,025       67,698,166  
Host Hotels & Resorts, Inc. 
    4,763,213       69,781,070  
Hudson City Bancorp, Inc. 
    3,449,855       48,849,947  
Humana, Inc. *
    1,239,316       57,962,809  
Huntington Bancshares, Inc. 
    5,218,040       28,020,875  
Illinois Tool Works, Inc. 
    2,821,091       133,606,870  
Integrys Energy Group, Inc. 
    557,998       26,437,945  
Intel Corp. 
    40,268,869       896,385,024  
IntercontinentalExchange, Inc. *
    536,981       60,238,529  
International Business
Machines Corp. 
    9,469,563       1,214,471,455  
International Flavors &
Fragrances, Inc. 
    576,885       27,500,108  
International Game Technology
    2,163,095       39,909,103  
International Paper Co. 
    3,157,705       77,711,120  
Intuit, Inc. *
    2,289,565       78,623,662  
Intuitive Surgical, Inc. *
    283,779       98,791,983  
Invesco, Ltd. 
    3,128,160       68,537,986  
Iron Mountain, Inc. 
    1,320,409       36,179,207  
ITT Corp. 
    1,332,898       71,456,662  
J.C. Penney Co., Inc. 
    1,721,387       55,377,020  
Jabil Circuit, Inc. 
    1,408,127       22,797,576  
Jacobs Engineering Group, Inc. *
    907,403       41,005,542  
Janus Capital Group, Inc. 
    1,339,534       19,141,941  
JDS Uniphase Corp. *
    1,627,007       20,386,398  
Johnson & Johnson
    20,060,995       1,307,976,874  
Johnson Controls, Inc. 
    4,897,362       161,563,972  
JPMorgan Chase & Co. 
    28,962,501       1,296,071,920  
Juniper Networks, Inc. *
    3,831,946       117,564,103  
Kellogg Co. 
    1,859,349       99,345,017  
KeyCorp
    6,403,979       49,630,837  
Kimberly-Clark Corp. 
    3,035,606       190,878,905  
Kimco Realty Corp. 
    2,957,674       46,258,021  
King Pharmaceuticals, Inc. *
    1,814,054       21,333,275  
KLA-Tencor Corp. 
    1,254,678       38,794,644  
Kohl’s Corp. *
    2,236,144       122,495,968  
Kraft Foods, Inc. (Class A)
    12,661,694       382,889,627  
L-3 Communications
Holdings, Inc. 
    842,975       77,241,799  
Laboratory Corp. of America Holdings *
    763,595       57,811,777  
Legg Mason, Inc. 
    1,185,464       33,987,253  
Leggett & Platt, Inc. 
    1,082,610       23,427,680  
Lennar Corp. (Class A)
    1,186,534       20,420,250  
Leucadia National Corp. *
    1,383,714       34,329,944  
Lexmark International, Inc. (Class A) *
    570,314       20,576,929  
Life Technologies Corp. *
    1,318,631       68,924,842  
Limited Brands, Inc. 
    1,951,763       48,052,405  
Lincoln National Corp. 
    2,203,966       67,661,756  
Linear Technology Corp. 
    1,628,313       46,048,692  
Lockheed Martin Corp. 
    2,299,233       191,342,170  
Loews Corp. 
    2,588,487       96,498,795  
Lorillard, Inc. 
    1,128,691       84,922,711  
Lowe’s Cos., Inc. 
    10,732,719       260,161,109  
LSI Corp. *
    4,788,139       29,303,411  
M & T Bank Corp. 
    605,835       48,091,182  
Macy’s, Inc. 
    3,071,536       66,867,339  
Marathon Oil Corp. 
    5,162,774       163,350,169  
Marriott International, Inc. (Class A)
    1,856,396       58,513,602  
Marsh & McLennan Cos., Inc. 
    3,881,146       94,777,585  
Marshall & Ilsley Corp. 
    3,829,366       30,826,396  
Masco Corp. 
    2,616,692       40,611,060  
Massey Energy Co. 
    692,917       36,232,630  
MasterCard, Inc. (Class A)
    703,613       178,717,702  
Mattel, Inc. 
    2,651,765       60,301,136  
McAfee, Inc. *
    1,157,322       46,443,332  
McCormick & Co., Inc. 
    963,566       36,962,392  
McDonald’s Corp. 
    7,843,525       523,319,988  
McKesson Corp. 
    1,964,488       129,106,151  
Mead Johnson Nutrition Co. 
    1,491,908       77,623,973  
MeadWestvaco Corp. 
    1,248,967       31,911,107  
Medco Health Solutions, Inc. *
    3,383,497       218,438,566  
Medtronic, Inc. 
    8,054,025       362,672,746  
 
See accompanying notes to financial statements.


3

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
MEMC Electronic Materials, Inc. *
    1,658,089     $ 25,418,504  
Merck & Co., Inc. 
    22,710,069       848,221,077  
Meredith Corp. 
    267,775       9,214,138  
MetLife, Inc. 
    5,972,105       258,831,031  
MetroPCS Communications, Inc. *
    1,905,461       13,490,664  
Microchip Technology, Inc. 
    1,339,859       37,730,429  
Micron Technology, Inc. *
    6,200,700       64,425,273  
Microsoft Corp. 
    55,623,430       1,628,097,796  
Millipore Corp. *
    408,575       43,145,520  
Molex, Inc. 
    990,000       20,651,400  
Molson Coors Brewing Co. (Class B)
    1,155,494       48,600,078  
Monsanto Co. 
    3,978,616       284,152,755  
Monster Worldwide, Inc. *
    916,293       15,219,627  
Moody’s Corp. 
    1,432,569       42,618,928  
Morgan Stanley
    10,191,790       298,517,529  
Motorola, Inc. *
    16,861,230       118,365,835  
Murphy Oil Corp. 
    1,393,165       78,281,941  
Mylan, Inc. *
    2,236,603       50,793,254  
Nabors Industries, Ltd. *
    2,076,174       40,755,296  
National Semiconductor Corp. 
    1,729,121       24,985,798  
National-Oilwell Varco, Inc. 
    3,051,800       123,842,044  
NetApp, Inc. *
    2,513,363       81,835,099  
Newell Rubbermaid, Inc. 
    2,026,422       30,801,614  
Newmont Mining Corp. 
    3,580,687       182,364,389  
News Corp. (Class A)
    16,429,488       236,748,922  
Nicor, Inc. 
    330,392       13,850,033  
NIKE, Inc. (Class B)
    2,843,220       208,976,670  
NiSource, Inc. 
    2,012,287       31,794,135  
Noble Energy, Inc. 
    1,272,405       92,885,565  
Nordstrom, Inc. 
    1,205,080       49,227,518  
Norfolk Southern Corp. 
    2,695,968       150,677,652  
Northeast Utilities
    1,280,176       35,384,065  
Northern Trust Corp. 
    1,762,224       97,380,498  
Northrop Grumman Corp. 
    2,207,414       144,740,136  
Novell, Inc. *
    2,534,078       15,179,127  
Novellus Systems, Inc. *
    699,210       17,480,250  
NRG Energy, Inc. *
    1,909,864       39,916,158  
Nucor Corp. 
    2,296,502       104,215,261  
NVIDIA Corp. *
    4,048,231       70,358,255  
NYSE Euronext
    1,903,618       56,366,129  
O’Reilly Automotive, Inc. *
    1,001,009       41,752,085  
Occidental Petroleum Corp. 
    5,919,916       500,469,699  
Office Depot, Inc. *
    2,006,816       16,014,392  
Omnicom Group, Inc. 
    2,264,033       87,867,121  
Oneok, Inc. 
    769,434       35,124,662  
Oracle Corp. 
    28,494,096       732,013,326  
Owens-Illinois, Inc. *
    1,229,304       43,689,464  
PACCAR, Inc. 
    2,656,106       115,115,634  
Pactiv Corp. *
    966,361       24,332,970  
Pall Corp. 
    853,153       34,544,165  
Parker-Hannifin Corp. 
    1,172,422       75,902,600  
Patterson Cos., Inc. 
    680,372       21,125,551  
Paychex, Inc. 
    2,346,559       72,039,361  
Peabody Energy Corp. 
    1,960,040       89,573,828  
People’s United Financial, Inc. 
    2,708,028       42,353,558  
Pepco Holdings, Inc. 
    1,617,060       27,732,579  
PepsiCo, Inc. 
    11,913,115       788,171,688  
PerkinElmer, Inc. 
    853,412       20,396,547  
Pfizer, Inc. 
    58,831,533       1,008,960,791  
PG&E Corp. 
    2,706,897       114,826,571  
Philip Morris International, Inc. 
    13,711,914       715,213,434  
Pinnacle West Capital Corp. 
    738,979       27,881,678  
Pioneer Natural Resources Co. 
    841,601       47,398,968  
Pitney Bowes, Inc. 
    1,511,640       36,959,598  
Plum Creek Timber Co., Inc. 
    1,187,883       46,220,528  
PNC Financial Services
Group, Inc. 
    3,770,011       225,069,657  
Polo Ralph Lauren Corp. 
    417,404       35,496,036  
PPG Industries, Inc. 
    1,209,641       79,110,521  
PPL Corp. 
    2,749,198       76,180,277  
Praxair, Inc. 
    2,233,285       185,362,655  
Precision Castparts Corp. 
    1,032,973       130,888,009  
priceline.com, Inc. *
    332,202       84,711,510  
Principal Financial Group, Inc. 
    2,327,626       67,989,955  
Progress Energy, Inc. 
    2,075,795       81,703,291  
ProLogis
    3,453,667       45,588,404  
Prudential Financial, Inc. 
    3,390,475       205,123,737  
Public Service Enterprise Group, Inc. 
    3,689,682       108,919,413  
Public Storage, Inc. 
    989,540       91,027,785  
PulteGroup, Inc. *
    2,307,101       25,954,886  
QLogic Corp. *
    830,618       16,861,545  
QUALCOMM, Inc. 
    12,251,247       514,429,862  
Quanta Services, Inc. *
    1,530,877       29,331,603  
Quest Diagnostics, Inc. 
    1,096,014       63,886,656  
Questar Corp. 
    1,272,418       54,968,458  
Qwest Communications International, Inc. 
    10,836,827       56,568,237  
R.R. Donnelley & Sons Co. 
    1,498,257       31,987,787  
RadioShack Corp. 
    914,264       20,689,794  
Range Resources Corp. 
    1,160,427       54,389,213  
Raytheon Co. 
    2,764,715       157,920,521  
Red Hat, Inc. *
    1,376,700       40,296,009  
Regions Financial Corp. 
    8,697,371       68,274,362  
Republic Services, Inc. 
    2,361,519       68,531,281  
Reynolds American, Inc. 
    1,233,217       66,569,054  
 
See accompanying notes to financial statements.


4

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
Robert Half International, Inc. 
    1,083,700     $ 32,976,991  
Rockwell Automation, Inc. 
    1,041,107       58,676,791  
Rockwell Collins, Inc. 
    1,146,504       71,759,685  
Roper Industries, Inc. 
    683,203       39,516,462  
Ross Stores, Inc. 
    903,604       48,315,706  
Rowan Cos., Inc. *
    831,090       24,193,030  
Ryder System, Inc. 
    389,819       15,109,384  
Safeway, Inc. 
    2,835,702       70,495,552  
SAIC, Inc. *
    2,223,396       39,354,109  
Salesforce.com, Inc. *
    801,326       59,658,721  
SanDisk Corp. *
    1,665,494       57,676,057  
Sara Lee Corp. 
    5,087,340       70,866,646  
SCANA Corp. 
    813,142       30,566,008  
Schlumberger, Ltd. 
    8,722,858       553,552,569  
Scripps Networks Interactive (Class A)
    652,943       28,958,022  
Sealed Air Corp. 
    1,159,089       24,433,596  
Sears Holdings Corp. *
    354,240       38,410,243  
Sempra Energy
    1,801,502       89,894,950  
Sherwin-Williams Co. 
    671,283       45,432,433  
Sigma-Aldrich Corp. 
    887,894       47,644,392  
Simon Property Group, Inc. 
    2,114,169       177,378,779  
SLM Corp. *
    3,536,916       44,282,188  
Smith International, Inc. 
    1,811,841       77,583,032  
Snap-on, Inc. 
    421,726       18,277,605  
Southern Co. 
    5,982,193       198,369,520  
Southwest Airlines Co. 
    5,413,832       71,570,859  
Southwestern Energy Co. *
    2,524,079       102,780,497  
Spectra Energy Corp. 
    4,719,598       106,332,543  
Sprint Nextel Corp. *
    21,713,621       82,511,760  
St. Jude Medical, Inc. *
    2,373,393       97,427,783  
Stanley Black & Decker Inc. 
    1,147,141       65,857,365  
Staples, Inc. 
    5,316,458       124,351,953  
Starbucks Corp. *
    5,420,619       131,558,423  
Starwood Hotels & Resorts Worldwide, Inc. 
    1,362,138       63,530,116  
State Street Corp. (a)
    3,612,469       163,066,851  
Stericycle, Inc. *
    618,283       33,696,424  
Stryker Corp. 
    2,060,734       117,915,199  
Sunoco, Inc. 
    853,269       25,350,622  
SunTrust Banks, Inc. 
    3,642,680       97,587,397  
SUPERVALU, Inc. 
    1,546,542       25,796,321  
Symantec Corp. *
    5,879,589       99,482,646  
Sysco Corp. 
    4,318,305       127,389,997  
T. Rowe Price Group, Inc. 
    1,888,570       103,739,150  
Target Corp. 
    5,485,000       288,511,000  
TECO Energy, Inc. 
    1,559,500       24,780,455  
Tellabs, Inc. 
    2,803,178       21,220,057  
Tenet Healthcare Corp. *
    3,163,648       18,096,067  
Teradata Corp. *
    1,215,788       35,124,115  
Teradyne, Inc. *
    1,292,423       14,436,365  
Tesoro Corp. 
    1,024,707       14,243,427  
Texas Instruments, Inc. 
    9,054,627       221,566,723  
Textron, Inc. 
    1,988,108       42,207,533  
The AES Corp. *
    4,871,826       53,590,086  
The Allstate Corp. 
    3,913,052       126,430,710  
The Bank of New York Mellon Corp. 
    8,809,087       272,024,607  
The Boeing Co. 
    5,518,219       400,677,882  
The Charles Schwab Corp. 
    7,128,783       133,236,954  
The Coca-Cola Co. 
    16,803,931       924,216,205  
The Dow Chemical Co. 
    8,386,794       247,997,499  
The Estee Lauder Cos., Inc. (Class A)
    860,973       55,851,319  
The Gap, Inc. 
    3,471,087       80,216,821  
The Goldman Sachs Group, Inc. 
    3,836,319       654,591,111  
The Goodyear Tire & Rubber Co. *
    1,768,990       22,360,034  
The Hershey Co. 
    1,213,250       51,939,233  
The Interpublic Group of Cos., Inc. *
    3,546,871       29,509,967  
The J.M. Smucker Co. 
    867,780       52,292,423  
The Kroger Co. 
    4,739,664       102,661,122  
The McGraw-Hill Cos., Inc. 
    2,302,314       82,077,494  
The NASDAQ OMX Group, Inc. *
    1,079,627       22,801,722  
The New York Times Co. (Class A) *
    844,692       9,401,422  
The Procter & Gamble Co. 
    21,173,955       1,339,676,133  
The Progressive Corp. 
    4,897,705       93,497,188  
The Travelers Cos., Inc. 
    3,744,591       201,983,239  
The Walt Disney Co. 
    14,138,667       493,580,865  
The Washington Post Co. (Class B)
    44,288       19,671,844  
The Western Union Co. 
    4,979,411       84,450,811  
The Williams Cos., Inc. 
    4,254,480       98,278,488  
Thermo Fisher Scientific, Inc. *
    2,986,227       153,611,517  
Tiffany & Co. 
    908,137       43,127,426  
Time Warner Cable, Inc. 
    2,570,624       137,039,965  
Time Warner, Inc. 
    8,386,373       262,241,909  
Titanium Metals Corp. *
    618,244       10,256,668  
TJX Cos., Inc. 
    3,060,611       130,137,180  
Torchmark Corp. 
    604,183       32,329,832  
Total System Services, Inc. 
    1,440,391       22,556,523  
Tyson Foods, Inc. (Class A)
    2,226,254       42,632,764  
U.S. Bancorp
    13,950,789       361,046,419  
Union Pacific Corp. 
    3,684,056       270,041,305  
United Parcel Service, Inc. (Class B)
    7,238,894       466,257,163  
 
See accompanying notes to financial statements.


5

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
United States Steel Corp. 
    1,045,555     $ 66,413,654  
United Technologies Corp. 
    6,826,380       502,489,832  
UnitedHealth Group, Inc. 
    8,439,619       275,722,353  
Unum Group
    2,421,214       59,973,471  
Urban Outfitters, Inc. *
    945,802       35,968,850  
V.F. Corp. 
    645,209       51,713,501  
Valero Energy Corp. 
    4,117,811       81,120,877  
Varian Medical Systems, Inc. *
    904,062       50,021,750  
Ventas, Inc. 
    1,142,934       54,266,506  
VeriSign, Inc. *
    1,338,317       34,809,625  
Verizon Communications, Inc. 
    20,671,964       641,244,323  
Viacom, Inc. (Class B) *
    4,429,460       152,284,835  
Visa, Inc. 
    3,254,714       296,276,615  
Vornado Realty Trust
    1,149,532       87,019,572  
Vulcan Materials Co. 
    921,348       43,524,480  
W.W. Grainger, Inc. 
    448,923       48,537,555  
Wal-Mart Stores, Inc. 
    15,554,296       864,818,858  
Walgreen Co. 
    7,183,319       266,429,302  
Waste Management, Inc. 
    3,537,089       121,781,974  
Waters Corp. *
    682,646       46,105,911  
Watson Pharmaceuticals, Inc. *
    774,601       32,355,084  
WellPoint, Inc. *
    3,236,631       208,374,304  
Wells Fargo & Co. 
    37,766,610       1,175,296,903  
Western Digital Corp. *
    1,667,609       65,020,075  
Weyerhaeuser Co. 
    1,542,113       69,811,456  
Whirlpool Corp. 
    545,285       47,576,116  
Whole Foods Market, Inc. *
    1,242,631       44,921,111  
Windstream Corp. 
    3,331,623       36,281,374  
Wisconsin Energy Corp. 
    852,278       42,111,056  
Wyndham Worldwide Corp. 
    1,303,311       33,534,192  
Wynn Resorts, Ltd. 
    502,906       38,135,362  
Xcel Energy, Inc. 
    3,329,412       70,583,534  
Xerox Corp. 
    9,858,177       96,117,226  
Xilinx, Inc. 
    2,017,435       51,444,593  
XL Capital, Ltd. (Class A)
    2,496,451       47,182,924  
XTO Energy, Inc. 
    4,254,170       200,711,741  
Yahoo!, Inc. *
    8,679,672       143,474,978  
Yum! Brands, Inc. 
    3,422,362       131,179,135  
Zimmer Holdings, Inc. *
    1,552,813       91,926,530  
Zions Bancorporation
    1,096,406       23,923,578  
                 
Total Common Stocks (b)
(Cost 72,370,647,020)
          $ 77,006,505,023  
                 
 
 *   Non-income producing security
(a)  Affiliated Issuer. See following table for more information.
(b)  Unless otherwise indicated, the values of the securities of the Trust are determined based on Level 1 inputs. (Note 2)
REIT = Real Estate Investment Trust
 
Transactions with Affiliates
SPDR S&P 500 ETF Trust has invested in a company affiliated with the Trustee, State Street Corp. Amounts related to these investments at March 31, 2010, and for the period then ended are:
 
                                                                                         
                                              Number
 		                   
    Number of
 		                                        of Shares
 		                   
    Shares Held
 		    Cost at
 		    Value at
 		    Purchased     Sold     Held at
 		    Value at
 		    Dividend
 		    Realized
 		 
 
  at 9/30/09     9/30/09     9/30/09     Cost     Shares     Proceeds     Shares     3/31/10     3/31/10     Income     Gain  
 
State Street Corp. 
    3,793,465       164,567,461       199,536,259       133,569,981       3,012,932       142,126,517       3,193,928       3,612,469       163,066,851       79,169       10,520,476  
 
See accompanying notes to financial statements.


6

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
 
INDUSTRY BREAKDOWN AS OF MARCH 31, 2010*
 
         
INDUSTRY**   VALUE  
 
 
Oil, Gas & Consumable Fuels
  $ 7,089,933,028  
Pharmaceuticals
    4,683,096,277  
Computers & Peripherals
    4,415,074,208  
Diversified Financial Services
    3,551,523,866  
Software
    3,124,570,993  
Insurance
    2,980,367,774  
Commercial Banks
    2,421,104,323  
Media
    2,335,792,327  
Aerospace & Defense
    2,282,290,024  
Capital Markets
    2,084,845,417  
Food & Staples Retailing
    2,064,465,079  
Beverages
    1,961,695,103  
Diversified Telecommunication Services
    1,940,305,501  
Semiconductors & Semiconductor Equipment
    1,928,080,307  
Communications Equipment
    1,923,720,413  
Household Products
    1,903,040,750  
Industrial Conglomerates
    1,891,489,605  
Health Care Providers & Services
    1,667,440,287  
Specialty Retail
    1,590,287,738  
Health Care Equipment & Supplies
    1,489,075,804  
Internet Software & Services
    1,453,864,742  
Chemicals
    1,443,722,646  
Electric Utilities
    1,387,426,154  
Energy Equipment & Services
    1,379,482,022  
Food Products
    1,319,235,275  
Machinery
    1,291,032,517  
Hotels, Restaurants & Leisure
    1,188,103,973  
Biotechnology
    1,184,292,889  
Tobacco
    1,177,978,537  
IT Services
    1,141,518,077  
Real Estate Investment Trusts (REITs)
    952,926,244  
Multi-Utilities
    885,579,167  
Metals & Mining
    858,349,882  
Air Freight & Logistics
    804,319,412  
Multiline Retail
    679,832,739  
Consumer Finance
    600,799,328  
Road & Rail
    580,614,714  
Internet & Catalog Retail
    461,828,447  
Electronic Equipment, Instruments & Components
    445,339,898  
Electrical Equipment
    417,786,872  
Textiles, Apparel & Luxury Goods
    386,745,813  
Commercial Services & Supplies
    385,840,754  
Automobiles
    356,665,234  
Life Sciences Tools & Services
    332,184,337  
Household Durables
    316,920,827  
Personal Products
    239,017,972  
Wireless Telecommunication Services
    221,128,777  
Auto Components
    183,924,006  
Paper & Forest Products
    179,433,683  
Containers & Packaging
    151,931,891  
Gas Utilities
    146,974,334  
Independent Power Producers & Energy Traders
    144,964,584  
Construction & Engineering
    130,984,650  
Diversified Consumer Services
    130,414,221  
Leisure Equipment & Products
    105,914,287  
Office Electronics
    96,117,226  
Trading Companies & Distributors
    94,471,279  
Professional Services
    93,638,589  
Thrifts & Mortgage Finance
    91,203,505  
Airlines
    71,570,859  
Distributors
    48,892,504  
Construction Materials
    43,524,480  
Building Products
    40,611,060  
Real Estate Management & Development
    31,197,792  
TOTAL
  $ 77,006,505,023  
 
 * SPDR S&P 500 ETF Trust’s industry breakdown is expressed as market value by industry and may change over time.
 
** Each security is valued based on Level 1 inputs.
 
See accompanying notes to financial statements.


7

 

 
SPDR S&P 500 ETF Trust
Statement of Assets and Liabilities
March 31, 2010 (Unaudited)
 
         
ASSETS
       
         
Investments in unaffiliated issuers, at value
  $ 76,843,438,172  
         
Investments in affiliated issuers, at value
    163,066,851  
         
Total investments
    77,006,505,023  
Cash
    260,591,234  
Receivable for investments sold
    6,456,770  
Dividends receivable — unaffiliated issuers
    97,003,507  
Dividends receivable — affiliated issuers
    37,212  
         
Total Assets
    77,370,593,746  
         
LIABILITIES
       
Income distribution payable
    302,318,562  
Payable for investments purchased
    16,301,528  
Payable for units of fractional undivided interest (“Units”) redeemed in-kind
    1,397,354  
Accrued trustee expense
    2,261,887  
Accrued expenses and other liabilities
    14,208,403  
         
Total Liabilities
    336,487,734  
         
NET ASSETS
  $ 77,034,106,012  
         
NET ASSETS CONSIST OF:
       
Paid in Capital (Note 4)
  $ 81,454,012,968  
Distribution in excess of net investment income
    (374,005,797 )
Accumulated net realized loss on investments
    (8,681,759,162 )
Net unrealized appreciation on investments
    4,635,858,003  
         
NET ASSETS
  $ 77,034,106,012  
         
NET ASSET VALUE PER UNIT
  $ 116.99  
         
UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE
    658,482,116  
         
COST OF INVESTMENTS:
       
Unaffiliated issuers
  $ 72,205,115,619  
Affiliated issuers
    165,531,401  
         
Total Cost of Investments
  $ 72,370,647,020  
         
 
See accompanying notes to financial statements.


8

 

 
SPDR S&P 500 ETF Trust
Statements of Operations
 
                                 
    For the Six
 		    For the
 		    For the
 		    For the
 		 
    Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2010
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2009     2008     2007  
 
INVESTMENT INCOME
                               
Dividend income — unaffiliated issuers
  $ 749,484,338     $ 1,899,322,298     $ 1,628,431,147     $ 1,230,919,171  
Dividend income — affiliated issuers
    79,169       2,239,900       2,890,454       1,534,780  
                                 
Total Investment Income
    749,563,507       1,901,562,198       1,631,321,601       1,232,453,951  
                                 
EXPENSES
                               
Trustee expense
    19,982,837       37,299,801       36,310,380       39,138,318  
S&P license fee
    11,013,087       21,492,906       23,977,390       22,480,686  
Marketing expense
    7,342,058       14,233,147       18,115,010       12,846,106  
Legal and audit services
    241,508       277,642       155,059       131,502  
Other expenses
    581,026       1,050,269       2,341,136       985,568  
                                 
Total Expenses
    39,160,516       74,353,765       80,898,975       75,582,180  
Trustee expense waiver
    (4,469,293 )     (7,102,147 )     (6,923,474 )     (4,970,832 )
                                 
Net Expenses
    34,691,223       67,251,618       73,975,501       70,611,348  
Trustee earnings credits
    —       —       —       (18,950,100 )
                                 
Net expenses after Trustee earnings credits
    34,691,223       67,251,618       73,975,501       51,661,248  
                                 
NET INVESTMENT INCOME
    714,872,284       1,834,310,580       1,557,346,100       1,180,792,703  
                                 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
                               
Net realized gain (loss) on:
                               
Investment transactions — unaffiliated issuers
    12,657,295,030       (44,584,311,986 )     (8,458,807,396 )     8,384,712,286  
Investment transactions — affiliated issuers
    10,520,476       (166,785,981 )     19,363,771       12,487,253  
Net change in unrealized appreciation (depreciation) on:
                               
Investment transactions — unaffiliated issuers
    (5,016,958,649 )     29,208,992,488       (12,549,019,477 )     451,101,267  
Investment transactions — affiliated issuers
    (37,433,348 )     90,665,805       (54,343,615 )     (3,623,083 )
                                 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
    7,613,423,509       (15,451,439,674 )     (21,042,806,717 )     8,844,677,723  
                                 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
  $ 8,328,295,793     $ (13,617,129,094 )   $ (19,485,460,617 )   $ 10,025,470,426  
                                 
 
See accompanying notes to financial statements.


9

 

 
SPDR S&P 500 ETF Trust
Statements of Changes in Net Assets
 
                                 
    For the Six
 		    For the
 		    For the
 		    For the
 		 
    Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2010
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2009     2008     2007  
 
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
                               
Net investment income
  $ 714,872,284     $ 1,834,310,580     $ 1,557,346,100     $ 1,180,792,703  
Net realized gain (loss) on investment transactions
    12,667,815,506       (44,751,097,967 )     (8,439,443,625 )     8,397,199,539  
Net change in unrealized appreciation (depreciation)
    (5,054,391,997 )     29,299,258,293       (12,603,363,092 )     447,478,184  
                                 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
    8,328,295,793       (13,617,129,094 )     (19,485,460,617 )     10,025,470,426  
                                 
NET EQUALIZATION CREDITS AND CHARGES
    40,492,041       79,929,657       218,645,921       115,289,393  
                                 
DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME
    (752,504,939 )     (1,938,730,332 )     (1,782,447,532 )     (1,323,001,746 )
                                 
INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:
                               
Proceeds from sale of units
    174,591,048,956       343,468,772,184       445,910,262,535       269,830,592,741  
Proceeds from reinvestment of distributions
    2,216,596       12,270,791       13,008,992       11,506,562  
Cost of units repurchased
    (176,790,816,247 )     (349,232,583,429 )     (410,330,564,199 )     (257,491,986,404 )
Net income equalization (Note 2)
    (40,492,041 )     (79,929,657 )     (218,645,921 )     (115,289,393 )
                                 
NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND REDEMPTION OF UNITS
    (2,238,042,736 )     (5,831,470,111 )     35,374,061,407       12,234,823,506  
                                 
NET INCREASE (DECREASE) IN NET ASSETS DURING PERIOD
    5,378,240,159       (21,307,399,880 )     14,324,799,179       21,052,581,579  
NET ASSETS AT BEGINNING OF PERIOD
    71,655,865,853       92,963,265,733       78,638,466,554       57,585,884,975  
                                 
NET ASSETS END OF PERIOD*
  $ 77,034,106,012     $ 71,655,865,853     $ 92,963,265,733     $ 78,638,466,554  
                                 
UNIT TRANSACTIONS:
                               
Units sold
    1,575,950,000       3,788,050,000       3,304,850,000       1,838,900,000  
Units issued from reinvesment of distributions
    21,395       135,148       95,213       80,264  
Units redeemed
    (1,595,200,000 )     (3,908,300,000 )     (3,022,850,000 )     (1,754,500,000 )
                                 
NET INCREASE (DECREASE)
    (19,228,605 )     (120,114,852 )     282,095,213       84,480,264  
                                 
* Includes distribution in excess of net investment income
  $ (374,005,797 )   $ (336,373,142 )   $ (439,719,151 )   $ (354,299,342 )
                                 
 
See accompanying notes to financial statements.


10

 

 
SPDR S&P 500 ETF Trust
Financial Highlights
Selected data for a Unit outstanding throughout each period
 
                                                 
    For the Six
 		    For the
 		    For the
 		    For the
 		    For the
 		    For the
 		 
    Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2010
 		    September 30,
 		    September 30,
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2009     2008     2007     2006     2005  
 
Net asset value, beginning of period
  $ 105.73     $ 116.52     $ 152.48     $ 133.53     $ 122.85     $ 111.78  
                                                 
Investment Operations:
                                               
Net investment income
    1.08 (1)     2.32 (1)     2.72 (1)     2.66 (1)     2.32 (1)     2.40 (2)
Net realized and unrealized gain (loss) on investments
    11.19       (10.90 )     (36.28 )     18.75       10.54       10.97  
                                                 
Total from investment operations
    12.27       (8.58 )     (33.56 )     21.41       12.86       13.37  
                                                 
Net equalization credits and charges(1)
    0.06       0.10       0.38       0.26       0.15       0.10  
                                                 
Less distributions from:
                                               
Net investment income
    (1.07 )     (2.31 )     (2.78 )     (2.72 )     (2.33 )     (2.40 )
                                                 
Net asset value, end of period
  $ 116.99     $ 105.73     $ 116.52     $ 152.48     $ 133.53     $ 122.85  
                                                 
Total investment return(3)
    11.71 %     (6.90 )%     (21.84 )%     16.31 %     10.64 %     12.11 %
                                                 
Ratios and supplemental data
                                               
Ratio to average net assets:
                                               
Net investment income
    1.95 %(6)     2.58 %     1.99 %     1.86 %     1.83 %     2.02 %
Total expenses(4)
    0.09 %(6)     0.09 %     0.09 %     0.08 %     0.08 %     0.10 %
Total expenses excluding Trustee earnings credit
    0.09 %(6)     0.10 %     0.11 %     0.11 %     0.10 %     0.10 %
Total expenses excluding Trustee earnings credit and fee waivers
    0.11 %(6)     0.10 %     0.11 %     0.12 %     0.12 %     0.13 %
Portfolio turnover rate(5)
    3.72 %     6.68 %     4.56 %     2.95 %     3.70 %     6.01 %
Net assets, end of year (000’s)
  $ 77,034,106     $ 71,655,866     $ 92,963,266     $ 78,638,467     $ 57,585,885     $ 47,028,594  
 
 
(1)  Per Unit numbers have been calculated using the average shares method.
 
(2)  Net investment income per Unit reflects receipt of a special one time dividend from a portfolio holding. The effect of this dividend amounted to $0.40 per Unit.
 
(3)  Total return is calculated assuming a purchase of Unit at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net assets value per Unit on the respective payment dates of the Trust. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation.
 
(4)  Net of expenses reimbursed by the Trustee.
 
(5)  Portfolio turnover ratio excludes securities received or delivered from processing creations or redemptions of Units.
 
(6)  Annualized.
 
See accompanying notes to financial statements.


11

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements
March 31, 2010 (Unaudited)
Note 1 — Organization
SPDR S&P 500 ETF Trust (the “Trust”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. 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 component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Composite Price Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the Trust is referred to as a “Unit”. The Trust commenced operations on January 22, 1993 upon the initial issuance of 150,000 Units (equivalent to three “Creation Units” — see Note 4) in exchange for a portfolio of securities assembled to reflect the intended portfolio composition of the Trust.
 
Under the Amended and Restated Standard Terms and Conditions of the Trust, as amended (“Trust Agreement”), PDR Services, LLC, as Sponsor of the Trust (“Sponsor”), and State Street Bank and Trust Company, as Trustee of the Trust (“Trustee”), 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 would 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 material loss to be remote.
 
Note 2 — 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 U.S. 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 the Trust’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. 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 Trustee believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Trustee 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 Trustee, 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, the Trust’s net asset value may reflect certain portfolio securities’ 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 first day of the Trust’s fiscal year 2009, the Trust adopted the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial liabilities provides the Trust the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a


12

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2010 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:
 
•  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 Trust’s 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 Trust’s net assets are computed and that may materially affect the value of the Trust’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations.
 
Fair value pricing could result in a difference between the prices used to calculate the Trust’s net asset value and the prices used by the S&P 500 Index, which, in turn, could result in a difference between the Trust’s performance and the performance of the S&P 500 Index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The type of inputs used to value each security is identified in the schedule of investments, which also includes a breakdown of the Trust’s investment by industry.
 
Subsequent Events
Management has determined there are no subsequent events or transactions that would have materially impacted the Trust’s financial statements as presented.
 
Investment Risk
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 the Trust 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. The value of a Unit will decline, more or less, in correlation with any decline in value of the S&P 500 Index. The values of equity securities could decline generally or could underperform other investments. Further, the Trust would not sell an equity security because the security’s issuer was in financial trouble unless that security is removed from the S&P 500 Index.


13

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2010 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
Investment Transactions
Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date.
 
Distributions to Unitholders
The Trust declares and distributes dividends from net investment income to its unitholders quarterly. The Trust declares and distributes net realized capital gains, if any, at least annually.
 
Effective October 30, 2009 the Trust’s Dividend Reinvestment Service is no longer available. Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional Units are purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment service offered by such broker-dealer.
 
Equalization
The Trust follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring the Trust’s Units, equivalent on a per Unit 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 Unit is unaffected by sales or reacquisitions of the Trust’s Units.
 
Federal Income Tax
The Trust has qualified and intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Trust will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of its net investment income and capital gains, if any, the Trust will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from those determined in accordance with U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for income equalization, in-kind transactions and losses deferred due to wash sales. Net investment income per unit calculations in the financial highlights for all years presented exclude these differences.
 
The Trust has reviewed the tax positions for the open tax years as of September 30, 2009 and has determined that no provision for income tax is required in the Trust’s Financial Statements. The Trust’s federal tax returns for the prior three fiscal years remain subject to examination by the Trust’s major tax jurisdictions, which include the United States of America and the State of New York.
 
During the six months ended March, 31 2010, the Trust reclassified $12,179,334,901 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At March 31, 2010, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, the cost was $72,370,647,020, gross unrealized appreciation was $5,093,073,869 and gross unrealized depreciation was $457,215,866, resulting in net unrealized appreciation of $4,635,858,003.


14

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2010 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
At September 30, 2009, the Trust had capital loss carryforwards which may be used to offset any net realized gains, expiring September 30:
 
         
2010
  $ 472,492,447  
2011
    1,530,834,020  
2012
    445,024,832  
2013
    380,379,645  
2014
    1,174,140,896  
2015
    1,056,971,322  
2016
    917,820,735  
2017
    2,555,216,739  
 
Under current tax laws, capital losses realized after October 31, may be deferred and treated as occuring on the first day of the following fiscal year. The Trust incurred losses of $596,067,584 during the period November 1, 2008 through September 30, 2009 that are deferred for tax purposes until fiscal 2010.
 
Note 3 — Transactions with the Trustee and Sponsor
In accordance with the Trust Agreement, the Trustee maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including filing of certain regulatory reports. The Trustee is also responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for adjusting the composition of the Trust’s portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500 Index. For these services, the Trustee received a fee at the following annual rates for the six months ended March 31, 2010:
 
     
Net asset value of the Trust
 
Fee as a percentage of net asset value of the Trust
 
$0 - $499,999,999
  10/100 of 1% per annum plus or minus the Adjustment Amount
$500,000,000 - $2,499,999,999
  8/100 of 1% per annum plus or minus the Adjustment Amount
$2,500,000,000 - and above
  6/100 of 1% per annum plus or minus the Adjustment Amount
 
The Adjustment Amount is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for creation and redemption of Units and (b) the amounts earned by the Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the six months ended March 31, 2010, the Adjustment Amount reduced the Trustee’s fee by $2,342,513. The Adjustment Amount included an excess of net transaction fees from processing orders of $2,195,154 and a Trustee earnings credit of $147,359. Prior to 2008, the Trustee earnings credit was presented separately on the Statement of Operations.
 
Effective November 1, 2006, the Trustee changed the method of computing the Adjustment Amount to the Trustee Fee such that all income earned with respect to cash held for the benefit of the Trust is credited against the Trustee’s Fee. In addition, during the period from December 1, 2006 through December 31, 2006, the Trustee applied incremental cash balance credits of $5,918,238.


15

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2010 (Unaudited)
 
Note 3 — Transactions with the Trustee and Sponsor – (continued)
 
The Trustee voluntarily agreed to waive a portion of its fee, as needed, for one year through February 1, 2011, so that the total operating expenses would not exceed 9.45/100 of 1% (0.0945%) per annum of the daily net asset value. The total amount of such reimbursement by the Trustee for the year ended September 30, 2007, September 30, 2008, September 30, 2009 and six months ended March 31, 2010 was $4,970,832, $6,923,474, $7,102,147 and $4,469,293 respectively. The Trustee has not entered into an agreement with the Trust to recapture waived fees in subsequent periods and the Trustee may discontinue the voluntary waiver.
 
Standard and Poor’s (“S&P”), a division of The McGraw Hill Companies, Inc. and State Street Global Markets, LLC (“SSGM”) have entered into a License Agreement. The License Agreement grants SSGM, an affiliate of the Trustee, a license to use the S&P 500 Index as a basis for determining the composition of the Portfolio and to use certain trade names and trademarks of S&P in connection with the Portfolio. The Trustee on behalf of the Trust, NYSE Arca, Inc. (“NYSE Arca”) and the Sponsor have each received a sublicense from SSGM and S&P for the use of the S&P 500 Index and such trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of any of the owners of beneficial interests of Units. Currently, the License Agreement is scheduled to terminate on December 31, 2017, but its term may be extended without the consent of any of the owners of beneficial interests of Units. Pursuant to such arrangements and in accordance with the Trust agreement, the Trust reimburses the Sponsor for payment of fees under the License Agreement to S&P equal to 0.03% of the daily size of the Trust (based on Unit closing price and outstanding Units) plus an annual fee of $600,000.
 
Transactions with Affiliated Issuers
The Trust has invested in securities issued by an affiliate of the Trustee. Investments in State Street Corp., the holding company of the Trustee, were made according to its representative portion of the S&P 500 Index. The market value of these investments at March 31, 2010 is listed in the Schedule of Investments.
 
Note 4 — Shareholder Transactions
With the exception of the Trust’s Dividend Reinvestment Service in effect during this fiscal year (see Note 2), Units are issued and redeemed by the Trust only in Creation Unit size aggregations of 50,000 Units. Such transactions are only permitted on an in-kind basis, with a separate cash payment which is equivalent to the undistributed net investment income per Unit (income equalization) and a balancing cash component to equate the transaction to the net asset value per unit of the Trust on the transaction date. A transaction fee of $3,000 is charged in connection with each creation or redemption of Creation Units through the clearing process per participating party per day, regardless of the number of Creation Units created or redeemed. In the case of redemptions outside the clearing process, the Transaction Fee plus an additional amount not to exceed three (3) times the Transaction Fee applicable for one Creation Unit per Creation Unit redeemed, and such amount is deducted from the amount delivered to the redeemer. Transaction fees are received by the Trustee and used to defray the expense of processing orders.
 
Note 5 — Investment Transactions
For the six months ended March 31, 2010, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $59,547,631,495, $61,787,476,596, $3,449,677,996, and $3,416,798,589, respectively. Net realized gain (loss) on investment transactions in the Statement of Operations includes net gains resulting from in-kind transactions of $12,179,334,901.


16

 

 
SPDR S&P 500 ETF Trust
Other Information
March 31, 2010 (Unaudited)
 
Comparison of Total Returns Based on NAV and Bid/Ask Price(1)
 
The table below is provided to compare the Trust’s total pre-tax returns at NAV with the total pre-tax returns based on bid/ask price and the performance of the S&P 500 Index. Past performance is not necessarily an indication of how the Trust will perform in the future.
 
             
Cummulative Total Return
    1 Year   5 Year   10 Year
 
SPDR S&P 500 ETF Trust
           
Return Based on NAV
  49.53%   9.74%   −6.89%
Return Based on Bid/Ask Price
  50.03%   9.79%   −6.90%
S&P 500 Index
  49.77%   9.97%   −6.35%
 
             
Average Annual Total Return
    1 Year   5 Year   10 Year
 
SPDR S&P 500 ETF Trust
           
Return Based on NAV
  49.53%   1.88%   −0.71%
Return Based on Bid/Ask Price
  50.03%   1.88%   −0.71%
S&P 500 Index
  49.77%   1.92%   −0.65%
 
 
(1) The Bid/Ask Price is the midpoint of the Consolidated Bid/Ask price at the time the Trust’s NAV is calculated. From April 3, 2001 to November 28, 2008, the Bid/Ask price was the Bid/Ask price on the NYSE Amex (formerly the American Stock Exchange), ordinarily 4:00 p.m. Prior to April 3, 2001, the Bid/Ask price was the Bid/Ask price on the close of trading on the American Stock Exchange, ordinarily 4:15 p.m.


17

 

SPDR S&P 500 ETF Trust
 
Sponsor
PDR Services LLC
c/o NYSE Euronext
11 Wall Street
New York, NY 10005
 
Trustee
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
 
Distributor
ALPS Distributors, Inc.
1290 Broadway Suite 1100
Denver, CO 80203
 
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
125 High Street
Boston, MA 02110
 
Legal Counsel
Katten Muchin Rosenman LLP
575 Madison Avenue
New York, NY 10022
 
SPDRSAR