N-CSRS 1 b79367a1nvcsrs.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 Service) Copy to: Ryan M. Louvar, Esq. Leonard Mackey, 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, 2010 ITEM 1: REPORT TO SHAREHOLDERS 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. Select Sector Spider Heading 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.......................................................... 66 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- 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 20.32% 20.42% 20.53% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 69.55% 70.12% 69.88% 69.55% 70.12% 69.88% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -9.42% -9.30% -9.21% -3.24% -3.20% -3.17% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 5.51% 5.61% 6.15% 1.08% 1.10% 1.20% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 24.86% 24.37% 27.69% 2.24% 2.20% 2.47% ----------------------------------------------------------------------------------------------------------------------

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 (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

CONSUMER DISCRETIONARY CONSUMER DISCRETIONARY SELECT SECTOR SELECT SECTOR SPDR FUND(A) INDEX(B) ---------------------- ---------------------- 03/31/00 10000 10000 06/30/00 8863 8869 09/30/00 8582 8611 12/31/00 8832 8870 03/31/01 9026 9072 06/30/01 9555 9606 09/30/01 8029 8078 12/31/01 10013 10087 03/31/02 10457 10543 06/30/02 9609 9691 09/30/02 7954 8026 12/31/02 8116 8194 03/31/03 7998 8080 06/30/03 9517 9623 09/30/03 9724 9841 12/31/03 11117 11260 03/31/04 11245 11399 06/30/04 11207 11367 09/30/04 11069 11234 12/31/04 12551 12755 03/31/05 11832 12029 06/30/05 11697 11897 09/30/05 11601 11803 12/31/05 11732 11942 03/31/06 12083 12296 06/30/06 12018 12238 09/30/06 12610 12848 12/31/06 13895 14168 03/31/07 13783 14063 06/30/07 14278 14578 09/30/07 13376 13662 12/31/07 12038 12296 03/31/08 11329 11573 06/30/08 10449 10670 09/30/08 10381 10600 12/31/08 8013 8178 03/31/09 7364 7516 06/30/09 8703 8879 09/30/09 10377 10593 12/31/09 11312 11558 03/31/10 12486 12769

2 Select Sector Spider Heading THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

--------------------------------------------------------------------------------------------------------------- MCDONALD'S THE WALT THE HOME DEPOT, COMCAST AMAZON.COM, DESCRIPTION CORP. DISNEY CO. INC. CORP. (CLASS A) INC. --------------------------------------------------------------------------------------------------------------- SHARES 1,997,646 3,598,790 3,155,282 5,265,064 635,136 --------------------------------------------------------------------------------------------------------------- MARKET VALUE $133,282,941 125,633,759 102,073,373 99,088,504 86,207,009 --------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 6.7 6.3 5.1 5.0 4.3 ---------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Auto Components 2.3 Automobiles 4.6 Distributors 0.6 Diversified Consumer Services 1.7 Hotels, Restaurants & Leisure 15.3 Household Durables 4.1 Internet & Catalog Retail 5.9 Leisure Equipment & Products 1.4 Media 30.0 Multiline Retail 8.7 Specialty Retail 20.4 Textiles, Apparel & Luxury Goods 5.0 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- 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 11.23% 11.30% 11.37% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 36.47% 36.84% 36.88% 36.47% 36.84% 36.88% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 13.43% 13.75% 14.04% 4.29% 4.39% 4.48% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 36.27% 36.33% 38.19% 6.38% 6.39% 6.68% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 60.46% 59.84% 64.67% 4.84% 4.80% 5.11% ----------------------------------------------------------------------------------------------------------------------

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 (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

CONSUMER STAPLES CONSUMER STAPLES SELECT SECTOR SELECT SECTOR SPDR FUND(A) INDEX(B) ---------------- ---------------- 03/31/00 10000 10000 06/30/00 12003 11994 09/30/00 11907 11911 12/31/00 13627 13646 03/31/01 11909 11931 06/30/01 11722 11752 09/30/01 12087 12127 12/31/01 12273 12322 03/31/02 12628 12688 06/30/02 10844 10898 09/30/02 9710 9759 12/31/02 9824 9881 03/31/03 9181 9238 06/30/03 10000 10071 09/30/03 10125 10207 12/31/03 10897 10993 03/31/04 11484 11595 06/30/04 11632 11753 09/30/04 10973 11090 12/31/04 11748 11885 03/31/05 11771 11916 06/30/05 11679 11829 09/30/05 12008 12172 12/31/05 12082 12255 03/31/06 12302 12487 06/30/06 12656 12856 09/30/06 13344 13565 12/31/06 13830 14109 03/31/07 14141 14439 06/30/07 14488 14799 09/30/07 15037 15373 12/31/07 15557 15911 03/31/08 15176 15530 06/30/08 14483 14827 09/30/08 15080 15444 12/31/08 13226 13532 03/31/09 11754 12030 06/30/09 12939 13255 09/30/09 14422 14786 12/31/09 15107 15498 03/31/10 16046 16467

5 Select Sector Spider Heading THE CONSUMER STAPLES SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- WAL-MART STORES, PHILIP MORRIS DESCRIPTION THE PROCTER & GAMBLE CO. INC. INTERNATIONAL, INC. THE COCA-COLA CO. ---------------------------------------------------------------------------------------------------------------------- SHARES 6,401,660 4,701,047 4,147,234 2,976,483 ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $405,033,028 261,378,213 216,319,726 163,706,565 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 15.8 10.2 8.4 6.4 ----------------------------------------------------------------------------------------------------------------------

--------------------------------------------- DESCRIPTION CVS CAREMARK CORP. --------------------------------------------- SHARES 3,434,949 --------------------------------------------- MARKET VALUE 125,581,736 --------------------------------------------- % OF NET ASSETS 4.9 ---------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %)

BEVERAGES 15.2 --------- ---- Food & Staples Retailing 26.20 Food Products 19.00 Household Products 23.30 Personal Products 2.10 Tobacco 14.20

* 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- ENERGY ENERGY NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 7.57% 7.68% 7.75% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 37.66% 38.05% 38.07% 37.66% 38.05% 38.07% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -0.05% -0.02% 0.61% -0.02% -0.01% 0.20% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 43.94% 43.93% 45.56% 7.56% 7.55% 7.80% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 130.02% 130.03% 136.66% 8.69% 8.69% 9.00% ----------------------------------------------------------------------------------------------------------------------

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

ENERGY SELECT SECTOR SPDR ENERGY SELECT FUND(A) SECTOR INDEX(B) ------------- --------------- 03/31/00 10000 10000 06/30/00 10337 10354 09/30/00 11296 11324 12/31/00 11489 11526 03/31/01 10665 10713 06/30/01 10590 10643 09/30/01 9061 9118 12/31/01 9379 9441 03/31/02 10190 10269 06/30/02 9296 9374 09/30/02 7545 7604 12/31/02 8001 8070 03/31/03 8055 8133 06/30/03 8713 8806 09/30/03 8742 8840 12/31/03 10110 10234 03/31/04 10782 10922 06/30/04 11622 11788 09/30/04 12963 13165 12/31/04 13488 13709 03/31/05 15979 16259 06/30/05 16641 16917 09/30/05 20123 20488 12/31/05 18913 19262 03/31/06 20511 20916 06/30/06 21444 21877 09/30/06 20303 20720 12/31/06 22374 22848 03/31/07 23017 23521 06/30/07 26483 27085 09/30/07 28804 29487 12/31/07 30505 31243 03/31/08 28596 29309 06/30/08 34230 35116 09/30/08 24810 25451 12/31/08 18671 19151 03/31/09 16712 17140 06/30/09 18950 19448 09/30/09 21386 21963 12/31/09 22700 23337 03/31/10 23002 23666

8 Select Sector Spider Heading THE ENERGY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------------- OCCIDENTAL DESCRIPTION EXXON MOBIL CORP. CHEVRON CORP. SCHLUMBERGER, LTD. PETROLEUM CORP. CONOCOPHILLIPS ---------------------------------------------------------------------------------------------------------------------------- SHARES 15,539,408 10,003,837 6,090,267 3,456,706 5,359,372 ---------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,040,829,548 758,590,960 386,488,344 292,229,925 274,239,065 ---------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 17.7 12.9 6.6 5.0 4.7 ----------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Energy Equipment & Services 20.50 Oil, Gas & Consumable Fuels 79.50 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- FINANCIAL FINANCIAL NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 7.35% 7.61% 7.48% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 82.96% 83.20% 83.04% 82.96% 83.20% 83.04% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -51.09% -51.05% -51.18% -21.21% -21.19% -21.26% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS -35.96% -35.94% -35.68% -8.53% -8.52% -8.45% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS -17.82% -17.79% -16.28% -1.94% -1.94% -1.76% ----------------------------------------------------------------------------------------------------------------------

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

FINANCIAL SELECT SECTOR SPDR FINANCIAL SELECT FUND(A) SECTOR INDEX(B) ---------------- ---------------- 03/31/00 10000 10000 06/30/00 9723 9726 09/30/00 12011 12031 12/31/00 12276 12310 03/31/01 11093 11125 06/30/01 11958 11999 09/30/01 10389 10431 12/31/01 11156 11209 03/31/02 11536 11598 06/30/02 10671 10731 09/30/02 8849 8903 12/31/02 9499 9566 03/31/03 9010 9077 06/30/03 10661 10754 09/30/03 11102 11209 12/31/03 12398 12535 03/31/04 12989 13145 06/30/04 12676 12832 09/30/04 12718 12878 12/31/04 13711 13898 03/31/05 12834 13014 06/30/05 13379 13577 09/30/05 13468 13675 12/31/05 14563 14802 03/31/06 15026 15283 06/30/06 14998 15263 09/30/06 16180 16483 12/31/06 17305 17648 03/31/07 16803 17146 06/30/07 17150 17509 09/30/07 16408 16763 12/31/07 14057 14360 03/31/08 12097 12356 06/30/08 9891 10092 09/30/08 9969 10177 12/31/08 6296 6423 03/31/09 4492 4573 06/30/09 6101 6205 09/30/09 7656 7789 12/31/09 7399 7531 03/31/10 8218 8372

11 Select Sector Spider Heading THE FINANCIAL SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

----------------------------------------------------------------------------------------------------------------- BANK OF AMERICA BERKSHIRE HATHAWAY, DESCRIPTION CORP. JPMORGAN CHASE & CO. WELLS FARGO & CO. INC. (CLASS B) ----------------------------------------------------------------------------------------------------------------- SHARES 39,320,447 15,572,894 20,305,912 6,486,407 ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $701,869,979 696,887,006 631,919,981 527,150,297 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 10.3 10.2 9.2 7.7 -----------------------------------------------------------------------------------------------------------------

-------------------------------------------- THE GOLDMAN SACHS DESCRIPTION GROUP, INC. -------------------------------------------- SHARES 2,062,581 -------------------------------------------- MARKET VALUE 351,938,196 -------------------------------------------- % OF NET ASSETS 5.1 --------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Capital Markets 16.40 Commercial Banks 19.10 Consumer Finance 4.70 Diversified Financial Services 27.90 Insurance 23.40 Real Estate Investment Trusts (REITS) 7.50 Real Estate Management & Development 0.30 Thrifts & Mortgage Finance 0.70 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- HEALTH CARE HEALTH CARE NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 12.84% 12.98% 12.91% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 34.61% 34.86% 34.88% 34.61% 34.86% 34.88% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 0.93% 1.03% 1.40% 0.31% 0.34% 0.46% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 16.90% 16.92% 18.00% 3.17% 3.18% 3.37% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 17.77% 18.38% 20.00% 1.65% 1.70% 1.84% ----------------------------------------------------------------------------------------------------------------------

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 (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)

HEALTH CARE HEALTH CARE SELECT SECTOR SELECT SECTOR SPDR FUND(A) INDEX(B) ------------- ------------- 03/31/00 10000 10000 06/30/00 9548 9540 09/30/00 9425 9406 12/31/00 8879 8859 03/31/01 8779 8760 06/30/01 9608 9593 09/30/01 7662 7656 12/31/01 8861 8861 03/31/02 9616 9624 06/30/02 8948 8959 09/30/02 8298 8313 12/31/02 8711 8735 03/31/03 8796 8826 06/30/03 9662 9703 09/30/03 9224 9272 12/31/03 9997 10056 03/31/04 9947 10014 06/30/04 10206 10282 09/30/04 9647 9723 12/31/04 10141 10230 03/31/05 10075 10169 06/30/05 10485 10591 09/30/05 10642 10756 12/31/05 10795 10919 03/31/06 10918 11051 06/30/06 10360 10490 09/30/06 11405 11558 12/31/06 11561 11722 03/31/07 11665 11834 06/30/07 12251 12436 09/30/07 12373 12567 12/31/07 12362 12562 03/31/08 10920 11098 06/30/08 10781 10963 09/30/08 10821 11007 12/31/08 9500 9665 03/31/09 8746 8897 06/30/09 9528 9699 09/30/09 10433 10627 12/31/09 11382 11594 03/31/10 11777 12000

14 Select Sector Spider Heading THE HEALTH CARE SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

--------------------------------------------------------------------------------------------------------------------------- DESCRIPTION JOHNSON & JOHNSON PFIZER, INC. MERCK & CO., INC. ABBOTT LABORATORIES AMGEN, INC. --------------------------------------------------------------------------------------------------------------------------- SHARES 6,360,610 18,653,333 7,200,312 3,041,879 2,263,605 --------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $414,711,772 319,904,661 268,931,655 160,246,186 135,273,035 --------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 14.0 10.8 9.1 5.4 4.6 ---------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Biotechnology 12.70 Health Care Equipment & Supplies 16.20 Health Care Providers & Services 18.30 Life Sciences Tools & Services 3.60 Pharmaceuticals 49.20 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- INDUSTRIAL INDUSTRIAL NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 19.54% 19.76% 19.73% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 72.47% 72.94% 73.10% 72.47% 72.94% 73.10% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -6.04% -5.87% -5.67% -2.05% -2.00% -1.93% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 13.64% 14.02% 14.68% 2.59% 2.66% 2.78% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 27.62% 26.81% 30.72% 2.47% 2.40% 2.72% ----------------------------------------------------------------------------------------------------------------------

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

INDUSTRIAL SELECT SECTOR SPDR INDUSTRIAL SELECT FUND(A) SECTOR INDEX(B) ----------------- ----------------- 03/31/00 10000 10000 06/30/00 9835 9845 09/30/00 10495 10519 12/31/00 10883 10912 03/31/01 9253 9281 06/30/01 10149 10186 09/30/01 8281 8313 12/31/01 9765 9810 03/31/02 9613 9673 06/30/02 8450 8503 09/30/02 6937 6983 12/31/02 7351 7405 03/31/03 6920 6974 06/30/03 8036 8113 09/30/03 8401 8487 12/31/03 9739 9850 03/31/04 9640 9758 06/30/04 10450 10586 09/30/04 10385 10526 12/31/04 11436 11603 03/31/05 11230 11399 06/30/05 10884 11052 09/30/05 11201 11382 12/31/05 11754 11953 03/31/06 12683 12907 06/30/06 12727 12960 09/30/06 12603 12841 12/31/06 13352 13614 03/31/07 13584 13859 06/30/07 14936 15250 09/30/07 15738 16079 12/31/07 15115 15449 03/31/08 14407 14732 06/30/08 13273 13567 09/30/08 12031 12294 12/31/08 9238 9441 03/31/09 7400 7552 06/30/09 8825 9017 09/30/09 10677 10918 12/31/09 11329 11592 03/31/10 12762 13072

17 Select Sector Spider Heading THE INDUSTRIAL SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

------------------------------------------------------------------------------------------------------------- UNITED UNITED PARCEL GENERAL TECHNOLOGIES SERVICE, INC. DESCRIPTION ELECTRIC CO. CORP. (CLASS B) 3M CO. THE BOEING CO. ------------------------------------------------------------------------------------------------------------- SHARES 21,551,185 2,654,734 2,758,267 1,990,620 2,157,206 ------------------------------------------------------------------------------------------------------------- MARKET VALUE $392,231,567 195,414,970 177,659,977 166,356,114 156,634,728 ------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 12.4 6.2 5.6 5.3 4.9 -------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Aerospace & Defense 29.20 Air Freight & Logistics 9.80 Airlines 0.90 Building Products 0.50 Commercial Services & Supplies 5.10 Construction & Engineering 1.90 Electrical Equipment 5.30 Industrial Conglomerates 18.30 Internet Software & Services 0.30 Machinery 18.00 Professional Services 1.40 Road & Rail 8.00 Trading Companies & Distributors 1.30 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- MATERIALS MATERIALS NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 10.36% 10.45% 10.52% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 55.58% 55.68% 56.09% 55.58% 55.68% 56.09% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -4.37% -4.20% -4.09% -1.48% -1.42% -1.38% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 26.18% 26.11% 27.21% 4.76% 4.75% 4.93% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 87.20% 87.36% 91.98% 6.47% 6.48% 6.74% ----------------------------------------------------------------------------------------------------------------------

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

MATERIALS SELECT SECTOR SPDR MATERIALS SELECT FUND(A) SECTOR INDEX(B) ---------------- ---------------- 03/31/00 10000 10000 06/30/00 8599 8611 09/30/00 7896 7910 12/31/00 9672 9685 03/31/01 9116 9150 06/30/01 10039 10080 09/30/01 8850 8897 12/31/01 9925 9991 03/31/02 10959 11038 06/30/02 10767 10848 09/30/02 8295 8359 12/31/02 9360 9436 03/31/03 8675 8757 06/30/03 9860 9962 09/30/03 10459 10582 12/31/03 12874 13038 03/31/04 12649 12816 06/30/04 12990 13174 09/30/04 13424 13626 12/31/04 14578 14813 03/31/05 14842 15091 06/30/05 13430 13664 09/30/05 13663 13922 12/31/05 15175 15486 03/31/06 16306 16655 06/30/06 16244 16596 09/30/06 16141 16499 12/31/06 17953 18369 03/31/07 19584 20016 06/30/07 20956 21432 09/30/07 21946 22460 12/31/07 21899 22425 03/31/08 21232 21755 06/30/08 22050 22595 09/30/08 17650 18056 12/31/08 12266 12531 03/31/09 12037 12299 06/30/09 14068 14390 09/30/09 16970 17371 12/31/09 18211 18657 03/31/10 18720 19198

20 Select Sector Spider Heading THE MATERIALS SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

----------------------------------------------------------------------------------------------------------------------------- FREEPORT-MCMORAN E.I. DU PONT DE DESCRIPTION MONSANTO CO. COPPER & GOLD, INC. THE DOW CHEMICAL CO. NEMOURS & CO. PRAXAIR, INC. ------------------------------------------------------------------------------------------------------------------------------ SHARES 2,903,890 2,291,368 6,121,498 4,809,976 1,630,109 ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $207,395,824 191,420,883 181,012,696 179,123,506 135,299,047 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 10.6 9.8 9.2 9.2 6.9 ------------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Chemicals 54.70 Construction Materials 1.70 Containers & Packaging 6.10 Metals & Mining 30.50 Paper & Forest Products 7.00 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- TECHNOLOGY TECHNOLOGY NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 11.24% 11.40% 11.38% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 49.46% 49.97% 49.93% 49.46% 49.97% 49.93% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 2.59% 2.68% 3.02% 0.86% 0.88% 1.00% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 24.41% 24.45% 25.56% 4.46% 4.47% 4.66% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS -58.43% -58.64% -57.56% -8.40% -8.45% -8.21% ----------------------------------------------------------------------------------------------------------------------

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

TECHNOLOGY SELECT SECTOR SPDR TECHNOLOGY SELECT FUND(A) SECTOR INDEX(B) ----------------- ----------------- 03/31/00 10000 10000 06/30/00 8983 8991 09/30/00 7710 7719 12/31/00 5200 5207 03/31/01 4123 4131 06/30/01 4622 4636 09/30/01 3183 3193 12/31/01 4006 4021 03/31/02 3609 3625 06/30/02 2636 2648 09/30/02 1964 1974 12/31/02 2467 2482 03/31/03 2387 2403 06/30/03 2835 2857 09/30/03 3038 3064 12/31/03 3431 3462 03/31/04 3388 3422 06/30/04 3460 3497 09/30/04 3202 3238 12/31/04 3610 3654 03/31/05 3342 3380 06/30/05 3409 3451 09/30/05 3575 3619 12/31/05 3605 3653 03/31/06 3813 3868 06/30/06 3494 3546 09/30/06 3797 3855 12/31/06 4041 4104 03/31/07 4053 4120 06/30/07 4452 4529 09/30/07 4700 4779 12/31/07 4655 4736 03/31/08 3950 4018 06/30/08 4002 4072 09/30/08 3493 3553 12/31/08 2728 2775 03/31/09 2782 2831 06/30/09 3248 3308 09/30/09 3738 3811 12/31/09 4118 4202 03/31/10 4157 4244

23 Select Sector Spider Heading THE TECHNOLOGY SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL BUSINESS MACHINES DESCRIPTION MICROSOFT CORP. APPLE, INC. CORP. AT&T, INC. CISCO SYSTEMS, INC. ------------------------------------------------------------------------------------------------------------------------ SHARES 15,940,005 1,893,536 2,713,608 12,326,459 11,959,182 ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $466,563,946 444,848,413 348,020,226 318,515,701 311,297,508 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 9.7 9.3 7.3 6.6 6.5 ------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Communications Equipment 11.7 Computers & Peripherals 25.8 Diversified Telecommunication Services 11.7 Electronic Equipment, Instruments & Components 2.8 Internet Software & Services 8.7 IT Services 7.1 Office Electronics 0.6 Semiconductors & Semiconductor Equipment 11.1 Software 19.1 Wireless Telecommunication Services 1.4 * 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 commission 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, 2010 IS 0.21%. FUND RETURNS AT NET ASSET VALUE SHOWN IN THE TABLE BELOW REFLECT THE IMPACT OF A FEE WAIVER AND WITHOUT THIS WAIVER RETURNS WOULD HAVE BEEN LOWER. PERFORMANCE AS OF MARCH 31, 2010

---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- UTILITIES UTILITIES NET ASSET MARKET SELECT NET ASSET MARKET SELECT VALUE VALUE SECTOR INDEX VALUE VALUE SECTOR INDEX ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS 3.33% 3.44% 3.50% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 20.49% 20.79% 20.90% 20.49% 20.79% 20.90% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -16.91% -16.88% -16.55% -5.99% -5.98% -5.85% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 21.03% 21.00% 22.30% 3.89% 3.89% 4.11% ---------------------------------------------------------------------------------------------------------------------- TEN YEARS 59.87% 58.32% 63.88% 4.80% 4.70% 5.06% ----------------------------------------------------------------------------------------------------------------------

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

UTILITIES SELECT SECTOR SPDR UTILITIES SELECT FUND(A) SECTOR INDEX(B) ---------------- ---------------- 03/31/00 10000 10000 06/30/00 10315 10325 09/30/00 12361 12379 12/31/00 12879 12901 03/31/01 12332 12361 06/30/01 12249 12286 09/30/01 11668 11706 12/31/01 11198 11238 03/31/02 11326 11372 06/30/02 9897 9939 09/30/02 7685 7724 12/31/02 8049 8101 03/31/03 7791 7847 06/30/03 9435 9523 09/30/03 9392 9475 12/31/03 10127 10229 03/31/04 10638 10756 06/30/04 10495 10617 09/30/04 11191 11331 12/31/04 12538 12712 03/31/05 13205 13401 06/30/05 14417 14650 09/30/05 15449 15714 12/31/05 14607 14853 03/31/06 14430 14681 06/30/06 15240 15516 09/30/06 16151 16464 12/31/06 17613 17970 03/31/07 19230 19639 06/30/07 19152 19564 09/30/07 19514 19946 12/31/07 20978 21452 03/31/08 18886 19320 06/30/08 20374 20857 09/30/08 16706 17086 12/31/08 14875 15212 03/31/09 13262 13556 06/30/09 14576 14917 09/30/09 15464 15835 12/31/09 16570 16985 03/31/10 15987 16388

26 Select Sector Spider Heading THE UTILITIES SELECT SECTOR SPDR FUND -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF MARCH 31, 2010

-------------------------------------------------------------------------------------------------------------------------- DOMINION RESOURCES, DESCRIPTION EXELON CORP. SOUTHERN CO. INC. FPL GROUP, INC. DUKE ENERGY CORP. -------------------------------------------------------------------------------------------------------------------------- SHARES 6,019,947 7,483,907 5,474,534 3,770,816 11,017,631 -------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $263,733,878 248,166,356 225,058,093 182,243,537 179,807,738 -------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 7.9 7.5 6.8 5.5 5.4 --------------------------------------------------------------------------------------------------------------------------

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF MARCH 31, 2010* (PIE CHART IN %) Electric Utilities 51.9 Gas Utilities 5.6 Independent Power Producers & Energy Traders 5.5 Multi-Utilities 37.0 * 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, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 2.4% Johnson Controls, Inc. ................. 1,246,263 $ 41,114,217 The Goodyear Tire & Rubber Co. (a)...... 449,380 5,680,163 -------------- 46,794,380 -------------- AUTOMOBILES -- 4.6% Ford Motor Co. (a)(b)................... 6,249,726 78,559,056 Harley-Davidson, Inc. (b)............... 434,874 12,206,913 -------------- 90,765,969 -------------- DISTRIBUTORS -- 0.6% Genuine Parts Co. (b)................... 294,702 12,448,212 -------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% Apollo Group, Inc. (Class A) (a)........ 238,636 14,626,000 DeVry, Inc. ............................ 114,870 7,489,524 H&R Block, Inc. ........................ 622,670 11,083,526 -------------- 33,199,050 -------------- HOTELS, RESTAURANTS & LEISURE -- 15.2% Carnival Corp. ......................... 806,259 31,347,350 Darden Restaurants, Inc. ............... 259,490 11,557,685 International Game Technology........... 550,586 10,158,312 Marriott International, Inc. (Class A) (b)................................ 472,072 14,879,709 McDonald's Corp. ....................... 1,997,646 133,282,941 Starbucks Corp. ........................ 1,379,342 33,476,630 Starwood Hotels & Resorts Worldwide, Inc. (b).............................. 346,828 16,176,058 Wyndham Worldwide Corp. ................ 331,847 8,538,423 Wynn Resorts, Ltd. ..................... 128,082 9,712,458 Yum! Brands, Inc. (b)................... 870,193 33,354,498 -------------- 302,484,064 -------------- HOUSEHOLD DURABLES -- 4.1% D.R. Horton, Inc. (b)................... 513,220 6,466,572 Fortune Brands, Inc. (b)................ 281,477 13,654,449 Harman International Industries, Inc. (a).............................. 128,870 6,028,539 Leggett & Platt, Inc. (b)............... 276,559 5,984,737 Lennar Corp. (Class A) (b).............. 301,490 5,188,643 Newell Rubbermaid, Inc. (b)............. 515,474 7,835,205 Pulte Group, Inc. (a)(b)................ 588,375 6,619,219 Stanley Black & Decker, Inc. ........... 292,137 16,771,585 Whirlpool Corp. (b)..................... 138,629 12,095,380 -------------- 80,644,329 -------------- INTERNET & CATALOG RETAIL -- 5.9% Amazon.com, Inc. (a).................... 635,136 86,207,009 Expedia, Inc. (b)....................... 392,135 9,787,690 priceline.com, Inc. (a)(b).............. 84,550 21,560,250 -------------- 117,554,949 -------------- LEISURE EQUIPMENT & PRODUCTS -- 1.4% Eastman Kodak Co. (a)(b)................ 498,243 2,884,827 Hasbro, Inc. ........................... 228,463 8,745,564 Mattel, Inc. ........................... 674,200 15,331,308 -------------- 26,961,699 -------------- MEDIA -- 29.9% CBS Corp. (Class B)..................... 1,256,450 17,514,913 Comcast Corp. (Class A)................. 5,265,064 99,088,504 DIRECTV (Class A) (a)................... 1,735,116 58,664,272 Discovery Communications, Inc. (Class A) (a)(b)............................. 526,186 17,779,825 Gannett Co., Inc. (b)................... 440,050 7,269,626 McGraw-Hill Cos., Inc. ................. 585,449 20,871,257 Meredith Corp. (b)...................... 67,951 2,338,194 New York Times Co. (Class A) (a)(b)..... 215,713 2,400,886 News Corp. (Class A).................... 4,181,468 60,254,954 Omnicom Group, Inc. .................... 576,394 22,369,851 Scripps Networks Interactive (Class A).. 166,328 7,376,647 The Interpublic Group of Cos., Inc. (a).............................. 901,802 7,502,992 The Walt Disney Co. .................... 3,598,790 125,633,759 The Washington Post Co. (Class B)....... 11,465 5,092,524 Time Warner Cable, Inc. ................ 654,201 34,875,455 Time Warner, Inc. ...................... 2,134,262 66,738,373 Viacom, Inc. (Class B) (a).............. 1,126,969 38,745,194 -------------- 594,517,226 -------------- MULTILINE RETAIL -- 8.7% Big Lots, Inc. (a)...................... 153,370 5,585,736 Family Dollar Stores, Inc. (b).......... 256,817 9,402,070 J.C. Penney Co., Inc. .................. 437,925 14,088,047 Kohl's Corp. (a)........................ 569,046 31,172,340 Macy's, Inc. ........................... 781,328 17,009,511 Nordstrom, Inc. (b)..................... 306,685 12,528,082 Sears Holdings Corp. (a)(b)............. 90,172 9,777,350 Target Corp. ........................... 1,395,987 73,428,916 -------------- 172,992,052 -------------- SPECIALTY RETAIL -- 20.4% Abercrombie & Fitch Co. (Class A) (b)... 163,200 7,448,448 AutoNation, Inc. (a)(b)................. 168,282 3,042,538 AutoZone, Inc. (a)...................... 55,252 9,563,569 Bed Bath & Beyond, Inc. (a)............. 486,406 21,285,126 Best Buy Co., Inc. ..................... 635,608 27,038,764 GameStop Corp. (Class A) (a)(b)......... 305,684 6,697,536 Limited Brands, Inc. (b)................ 496,263 12,217,995 Lowe's Cos., Inc. ...................... 2,731,565 66,213,136 O'Reilly Automotive, Inc. (a)(b)........ 255,098 10,640,138 Office Depot, Inc. (a).................. 509,861 4,068,691 RadioShack Corp. ....................... 232,408 5,259,393 Ross Stores, Inc. (b)................... 230,155 12,306,388 Staples, Inc. .......................... 1,351,080 31,601,761 The Gap, Inc. .......................... 883,421 20,415,859 The Home Depot, Inc. ................... 3,155,282 102,073,373 The Sherwin-Williams Co. (b)............ 171,665 11,618,287 Tiffany & Co. .......................... 230,791 10,960,265 TJX Cos., Inc. ......................... 778,885 33,118,190 Urban Outfitters, Inc. (a).............. 240,627 9,151,045 -------------- 404,720,502 --------------

See accompanying notes to financial statements. 28 THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- TEXTILES, APPAREL & LUXURY GOODS -- 5.0% Coach, Inc. ............................ 584,590 $ 23,102,997 NIKE, Inc. (Class B).................... 723,464 53,174,604 Polo Ralph Lauren Corp. (b)............. 106,168 9,028,527 V.F. Corp. ............................. 164,322 13,170,408 -------------- 98,476,536 -------------- TOTAL COMMON STOCKS -- (Cost $2,031,702,273)................. 1,981,558,968 -------------- SHORT TERM INVESTMENTS -- 5.6% MONEY MARKET FUNDS -- 5.6% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 110,121,702 110,121,702 State Street Institutional Liquid Reserves Fund (c)..................... 1,635,482 1,635,482 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $111,757,184)................... 111,757,184 -------------- TOTAL INVESTMENTS -- 105.5% (E) (Cost $2,143,459,457)................. 2,093,316,152 OTHER ASSETS AND LIABILITIES -- (5.5)% ................ (108,802,834) -------------- NET ASSETS -- 100.0%.................... $1,984,513,318 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2010. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 29 THE CONSUMER STAPLES SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.5% BEVERAGES -- 15.1% Brown-Forman Corp. (Class B) (a)........ 347,267 $ 20,645,023 Coca-Cola Enterprises, Inc. ............ 1,022,319 28,277,343 Constellation Brands, Inc. (Class A) (a)(b)............................. 666,631 10,959,414 Dr. Pepper Snapple Group, Inc. ......... 560,583 19,715,704 Molson Coors Brewing Co. (Class B)...... 590,667 24,843,454 PepsiCo, Inc. .......................... 1,808,206 119,630,909 The Coca-Cola Co. ...................... 2,976,483 163,706,565 -------------- 387,778,412 -------------- FOOD & STAPLES RETAILING -- 26.1% Costco Wholesale Corp. ................. 1,074,758 64,173,800 CVS Caremark Corp. ..................... 3,434,949 125,581,736 Safeway, Inc. .......................... 1,069,644 26,591,350 SUPERVALU, Inc. (a)..................... 742,190 12,379,729 Sysco Corp. (a)......................... 1,480,662 43,679,529 The Kroger Co. ......................... 1,707,843 36,991,879 Wal-Mart Stores, Inc. .................. 4,701,047 261,378,213 Walgreen Co. ........................... 2,298,138 85,237,939 Whole Foods Market, Inc. (a)(b)......... 375,286 13,566,589 -------------- 669,580,764 -------------- FOOD PRODUCTS -- 18.9% Archer-Daniels-Midland Co. ............. 1,641,274 47,432,819 Campbell Soup Co. (a)................... 610,667 21,587,078 ConAgra Foods, Inc. .................... 1,221,514 30,623,356 Dean Foods Co. (b)...................... 396,872 6,226,922 General Mills, Inc. .................... 833,039 58,970,831 H.J. Heinz Co. ......................... 857,315 39,102,137 Hormel Foods Corp. (a).................. 153,486 6,447,947 Kellogg Co. (a)......................... 691,801 36,962,927 Kraft Foods, Inc. (Class A) (a)......... 3,825,872 115,694,369 McCormick & Co., Inc. (a)............... 477,760 18,326,874 Mead Johnson Nutrition Co. (a).......... 450,472 23,438,058 Sara Lee Corp. ......................... 1,815,189 25,285,583 The Hershey Co. (a)..................... 461,742 19,767,175 The J.M. Smucker Co. (a)................ 262,617 15,825,300 Tyson Foods, Inc. (Class A) (a)......... 1,079,682 20,675,910 -------------- 486,367,286 -------------- HOUSEHOLD PRODUCTS -- 23.2% Clorox Co. ............................. 402,508 25,816,863 Colgate-Palmolive Co. .................. 1,188,047 101,292,887 Kimberly-Clark Corp. ................... 1,001,496 62,974,069 The Procter & Gamble Co. ............... 6,401,660 405,033,028 -------------- 595,116,847 -------------- PERSONAL PRODUCTS -- 2.1% Avon Products, Inc. .................... 1,125,724 38,128,272 The Estee Lauder Cos., Inc. (Class A) (a)................................ 260,402 16,892,278 -------------- 55,020,550 -------------- TOBACCO -- 14.1% Altria Group, Inc. ..................... 4,582,843 94,039,938 Lorillard, Inc. ........................ 341,808 25,717,634 Philip Morris International, Inc. ...... 4,147,234 216,319,726 Reynolds American, Inc. (a)............. 492,609 26,591,034 -------------- 362,668,332 -------------- TOTAL COMMON STOCKS -- (Cost $2,749,495,491)................. 2,556,532,191 -------------- SHORT TERM INVESTMENTS -- 3.1% MONEY MARKET FUNDS -- 3.1% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 76,338,933 76,338,933 State Street Institutional Liquid Reserves Fund (c)..................... 2,639,681 2,639,681 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $78,978,614).................... 78,978,614 -------------- TOTAL INVESTMENTS -- 102.6% (E) (Cost $2,828,474,105)................. 2,635,510,805 OTHER ASSETS AND LIABILITIES -- (2.6)% ................ (65,912,181) -------------- NET ASSETS -- 100.0%.................... $2,569,598,624 ==============

(a) Security, or portion thereof, was on loan at March 31, 2010. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 30 THE ENERGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 20.5% Baker Hughes, Inc. (a).................. 2,016,045 $ 94,431,548 BJ Services Co. ........................ 2,767,440 59,223,216 Cameron International Corp. (b)......... 1,911,623 81,932,162 Diamond Offshore Drilling, Inc. (a)..... 556,690 49,439,639 FMC Technologies, Inc. (b).............. 1,069,410 69,115,968 Halliburton Co. ........................ 5,286,018 159,267,722 Helmerich & Payne, Inc. ................ 515,589 19,633,629 Nabors Industries, Ltd. (a)(b).......... 2,556,198 50,178,167 National-Oilwell Varco, Inc. ........... 2,589,950 105,100,171 Rowan Cos., Inc. (a)(b)................. 1,501,954 43,721,881 Schlumberger, Ltd. ..................... 6,090,267 386,488,344 Smith International, Inc. (a)........... 2,003,175 85,775,953 -------------- 1,204,308,400 -------------- OIL, GAS & CONSUMABLE FUELS -- 79.4% Anadarko Petroleum Corp. ............... 2,797,143 203,715,925 Apache Corp. ........................... 1,892,501 192,088,851 Cabot Oil & Gas Corp. .................. 1,096,276 40,342,957 Chesapeake Energy Corp. (a)............. 4,232,101 100,046,868 Chevron Corp. .......................... 10,003,837 758,590,960 ConocoPhillips.......................... 5,359,372 274,239,065 CONSOL Energy, Inc. .................... 1,713,801 73,110,751 Denbury Resources, Inc. (b)............. 3,882,358 65,495,379 Devon Energy Corp. ..................... 2,515,644 162,082,943 El Paso Corp. .......................... 5,399,406 58,529,561 EOG Resources, Inc. .................... 1,502,170 139,611,680 Exxon Mobil Corp. ...................... 15,539,408 1,040,829,548 Hess Corp. ............................. 1,765,642 110,440,907 Marathon Oil Corp. ..................... 4,053,833 128,263,276 Massey Energy Co. ...................... 1,496,258 78,239,331 Murphy Oil Corp. ....................... 1,265,298 71,097,095 Noble Energy, Inc. ..................... 1,159,298 84,628,754 Occidental Petroleum Corp. ............. 3,456,706 292,229,925 Peabody Energy Corp. ................... 1,910,794 87,323,286 Pioneer Natural Resources Co. (a)....... 1,277,102 71,926,385 Range Resources Corp. (a)............... 1,218,490 57,110,626 Southwestern Energy Co. (b)............. 2,158,134 87,879,216 Spectra Energy Corp. ................... 4,238,770 95,499,488 Sunoco, Inc. (a)........................ 1,358,167 40,351,142 Tesoro Corp. (a)........................ 2,156,257 29,971,972 The Williams Cos., Inc. ................ 4,016,517 92,781,543 Valero Energy Corp. .................... 3,846,569 75,777,409 XTO Energy, Inc. ....................... 3,323,675 156,810,986 -------------- 4,669,015,829 -------------- TOTAL COMMON STOCKS -- (Cost $7,149,221,980)................. 5,873,324,229 -------------- SHORT TERM INVESTMENTS -- 4.8% MONEY MARKET FUNDS -- 4.8% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 279,047,292 279,047,292 State Street Institutional Liquid Reserves Fund (c)..................... 3,381,771 3,381,771 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $282,429,063)................... 282,429,063 -------------- TOTAL INVESTMENTS -- 104.7% (E) (Cost $7,431,651,043)................. 6,155,753,292 OTHER ASSETS AND LIABILITIES -- (4.7)% ................ (277,374,398) -------------- NET ASSETS -- 100.0%.................... $5,878,378,894 ==============

(a) Security, or portion thereof, was on loan at March 31, 2010. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 31 THE FINANCIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 100.0% CAPITAL MARKETS -- 16.4% Ameriprise Financial, Inc. ............. 1,001,869 $ 45,444,778 E*TRADE Financial Corp. (a)............. 6,116,115 10,091,590 Federated Investors, Inc. (Class B) (b)................................ 348,269 9,187,336 Franklin Resources, Inc. ............... 581,898 64,532,488 Invesco Ltd. ........................... 1,681,402 36,839,518 Janus Capital Group, Inc. (b)........... 719,165 10,276,868 Legg Mason, Inc. (b).................... 637,629 18,280,823 Morgan Stanley.......................... 5,478,605 160,468,341 Northern Trust Corp. (b)................ 947,682 52,368,907 State Street Corp. (c).................. 1,942,650 87,691,221 T. Rowe Price Group, Inc. (b)........... 1,015,397 55,775,757 The Bank of New York Mellon Corp. ...... 4,737,544 146,295,359 The Charles Schwab Corp. ............... 3,831,178 71,604,717 The Goldman Sachs Group, Inc. .......... 2,062,581 351,938,196 -------------- 1,120,795,899 -------------- COMMERCIAL BANKS -- 19.1% BB&T Corp. (b).......................... 2,708,148 87,716,914 Comerica, Inc. (b)...................... 682,492 25,961,996 Fifth Third Bancorp..................... 3,117,844 42,371,500 First Horizon National Corp. (a)(b)..... 883,293 12,410,269 Huntington Bancshares, Inc. (b)......... 2,809,163 15,085,205 KeyCorp................................. 3,443,570 26,687,668 M & T Bank Corp. (b).................... 325,769 25,859,543 Marshall & Ilsley Corp. (b)............. 2,065,076 16,623,862 PNC Financial Services Group, Inc. ..... 2,027,340 121,032,198 Regions Financial Corp. (b)............. 4,676,597 36,711,287 SunTrust Banks, Inc. (b)................ 1,958,242 52,461,303 U.S. Bancorp............................ 7,499,422 194,085,041 Wells Fargo & Co. ...................... 20,305,912 631,919,981 Zions Bancorporation (b)................ 588,661 12,844,583 -------------- 1,301,771,350 -------------- CONSUMER FINANCE -- 4.7% American Express Co. ................... 4,692,214 193,600,750 Capital One Financial Corp. ............ 1,778,045 73,628,843 Discover Financial Services............. 2,131,728 31,762,747 SLM Corp. (a)........................... 1,874,256 23,465,685 -------------- 322,458,025 -------------- DIVERSIFIED FINANCIAL SERVICES -- 27.9% Bank of America Corp. .................. 39,320,447 701,869,979 Citigroup, Inc. (a)..................... 77,014,541 311,908,891 CME Group, Inc. ........................ 261,408 82,633,683 IntercontinentalExchange, Inc. (a)...... 288,680 32,384,122 JPMorgan Chase & Co. ................... 15,572,894 696,887,006 Leucadia National Corp. (a)(b).......... 744,068 18,460,327 Moody's Corp. (b)....................... 770,922 22,934,930 NYSE Euronext........................... 1,023,459 30,304,621 The Nasdaq OMX Group, Inc. (a).......... 580,363 12,257,267 -------------- 1,909,640,826 -------------- INSURANCE -- 23.4% AFLAC, Inc. ............................ 1,839,529 99,868,029 American International Group, Inc. (a)(b)........................... 529,125 18,064,328 Aon Corp. .............................. 1,047,172 44,724,716 Assurant, Inc. ......................... 456,907 15,708,463 Berkshire Hathaway, Inc. (Class B) (a)(b)............................. 6,486,407 527,150,297 Chubb Corp. ............................ 1,287,878 66,776,474 Cincinnati Financial Corp. (b).......... 638,904 18,464,326 Genworth Financial, Inc. (Class A) (a).. 1,917,904 35,174,359 Hartford Financial Services Group, Inc. .......................... 1,738,942 49,420,732 Lincoln National Corp. ................. 1,185,314 36,389,140 Loews Corp. ............................ 1,392,067 51,896,258 Marsh & McLennan Cos., Inc. ............ 2,087,048 50,965,712 MetLife, Inc. .......................... 3,210,567 139,145,974 Principal Financial Group, Inc. (b)..... 1,252,726 36,592,126 Prudential Financial, Inc. ............. 1,823,257 110,307,048 The Allstate Corp. ..................... 2,104,208 67,986,960 The Progressive Corp. .................. 2,633,706 50,277,448 The Travelers Cos., Inc. ............... 2,012,911 108,576,419 Torchmark Corp. (b)..................... 324,880 17,384,329 Unum Group.............................. 1,303,435 32,286,085 XL Capital, Ltd. (Class A).............. 1,341,474 25,353,859 -------------- 1,602,513,082 -------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 7.5% Apartment Investment & Management Co. (Class A) (b)......................... 459,370 8,457,002 AvalonBay Communities, Inc. (b)......... 319,700 27,606,095 Boston Properties, Inc. (b)............. 544,952 41,111,179 Equity Residential (b).................. 1,104,829 43,254,055 HCP, Inc. (b)........................... 1,152,294 38,025,702 Health Care REIT, Inc. ................. 486,100 21,986,303 Host Hotels & Resorts, Inc. (b)......... 2,559,136 37,491,342 Kimco Realty Corp. (b).................. 1,586,931 24,819,601 Plum Creek Timber Co., Inc. (b)......... 638,517 24,844,696 ProLogis (b)............................ 1,859,510 24,545,532 Public Storage, Inc. (b)................ 531,942 48,933,345 Simon Property Group, Inc. (b).......... 1,136,699 95,369,046 Ventas, Inc. (b)........................ 614,470 29,175,036 Vornado Realty Trust.................... 618,152 46,794,106 -------------- 512,413,040 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% CB Richard Ellis Group, Inc. (Class A) (a)................................ 1,059,990 16,800,841 -------------- THRIFTS & MORTGAGE FINANCE -- 0.7% Hudson City Bancorp, Inc. (b)........... 1,858,135 26,311,192 People's United Financial, Inc. (b)..... 1,456,256 22,775,844 -------------- 49,087,036 -------------- TOTAL COMMON STOCKS -- (Cost $6,258,187,077)................. 6,835,480,099 --------------

See accompanying notes to financial statements. 32 THE FINANCIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SHORT TERM INVESTMENTS -- 4.4% MONEY MARKET FUNDS -- 4.4% State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 295,013,085 $ 295,013,085 State Street Institutional Liquid Reserves Fund (d)..................... 6,402,238 6,402,238 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $301,415,323)................... 301,415,323 -------------- TOTAL INVESTMENTS -- 104.4% (F) (Cost $6,559,602,400)................. 7,136,895,422 OTHER ASSETS AND LIABILITIES -- (4.4)% ................ (298,311,487) -------------- NET ASSETS -- 100.0%.................... $6,838,583,935 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2010. (c) Affiliated Issuer. (Note 3) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 33 THE HEALTH CARE SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% BIOTECHNOLOGY -- 12.7% Amgen, Inc. (a)......................... 2,263,605 $ 135,273,035 Biogen Idec, Inc. (a)................... 636,174 36,490,941 Celgene Corp. (a)....................... 1,063,717 65,907,905 Cephalon, Inc. (a)(b)................... 172,240 11,674,427 Genzyme Corp. (a)....................... 630,511 32,679,385 Gilead Sciences, Inc. (a)............... 2,088,011 94,962,740 -------------- 376,988,433 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 16.1% Baxter International, Inc. ............. 1,415,985 82,410,327 Becton, Dickinson & Co. ................ 561,812 44,231,459 Boston Scientific Corp. (a)(b).......... 3,519,102 25,407,916 C.R. Bard, Inc. (b)..................... 237,303 20,555,186 CareFusion Corp. (a).................... 408,778 10,804,002 DENTSPLY International, Inc. (b)........ 340,212 11,856,388 Hospira, Inc. (a)....................... 378,717 21,454,318 Intuitive Surgical, Inc. (a)(b)......... 89,993 31,329,263 Medtronic, Inc. ........................ 2,565,211 115,511,451 St. Jude Medical, Inc. (a).............. 771,896 31,686,331 Stryker Corp. .......................... 662,551 37,911,168 Varian Medical Systems, Inc. (a)........ 286,660 15,860,898 Zimmer Holdings, Inc. (a)............... 499,593 29,575,906 -------------- 478,594,613 -------------- HEALTH CARE PROVIDERS & SERVICES -- 18.3% Aetna, Inc. ............................ 1,027,717 36,083,144 AmerisourceBergen Corp. ................ 677,643 19,597,436 Cardinal Health, Inc. .................. 845,492 30,463,077 CIGNA Corp. ............................ 657,494 24,051,130 Coventry Health Care, Inc. (a).......... 341,559 8,443,338 DaVita, Inc. (a)........................ 238,549 15,124,007 Express Scripts, Inc. (a)............... 669,382 68,116,312 Humana, Inc. (a)........................ 421,140 19,696,718 Laboratory Corp. of America Holdings (a)(b)....................... 242,032 18,324,243 McKesson Corp. ......................... 641,380 42,151,494 Medco Health Solutions, Inc. (a)........ 1,103,160 71,220,010 Patterson Cos., Inc. (b)................ 214,836 6,670,658 Quest Diagnostics, Inc. ................ 360,326 21,003,402 Tenet Healthcare Corp. (a).............. 1,036,977 5,931,508 UnitedHealth Group, Inc. ............... 2,697,435 88,125,201 WellPoint, Inc. (a)..................... 1,053,452 67,821,240 -------------- 542,822,918 -------------- LIFE SCIENCES TOOLS & SERVICES -- 3.6% Life Technologies Corp. (a)(b).......... 417,944 21,845,933 Millipore Corp. (a)..................... 145,357 15,349,699 PerkinElmer, Inc. (b)................... 269,496 6,440,955 Thermo Fisher Scientific, Inc. (a)...... 946,391 48,682,353 Waters Corp. (a)........................ 218,080 14,729,123 -------------- 107,048,063 -------------- PHARMACEUTICALS -- 49.1% Abbott Laboratories..................... 3,041,879 160,246,186 Allergan, Inc. ......................... 729,524 47,652,508 Bristol-Myers Squibb Co. ............... 3,981,479 106,305,489 Eli Lilly & Co. ........................ 2,345,377 84,949,555 Forest Laboratories, Inc. (a)........... 704,743 22,100,740 Johnson & Johnson....................... 6,360,610 414,711,772 King Pharmaceuticals, Inc. (a).......... 616,965 7,255,508 Merck & Co., Inc. ...................... 7,200,312 268,931,655 Mylan, Inc. (a)(b)...................... 705,277 16,016,841 Pfizer, Inc. ........................... 18,653,333 319,904,661 Watson Pharmaceuticals, Inc. (a)........ 258,494 10,797,294 -------------- 1,458,872,209 -------------- TOTAL COMMON STOCKS -- (Cost $3,378,597,868)................. 2,964,326,236 -------------- SHORT TERM INVESTMENTS -- 1.7% MONEY MARKET FUNDS -- 1.7% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 49,456,375 49,456,375 State Street Institutional Liquid Reserves Fund (c)..................... 2,663,728 2,663,728 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $52,120,103).................... 52,120,103 -------------- TOTAL INVESTMENTS -- 101.5% (E) (Cost $3,430,717,971)................. 3,016,446,339 OTHER ASSETS AND LIABILITIES -- (1.5)% ................ (45,512,170) -------------- NET ASSETS -- 100.0%.................... $2,970,934,169 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2010. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 34 THE INDUSTRIAL SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 29.1% General Dynamics Corp. ................. 1,145,738 $ 88,450,973 Goodrich Corp. ......................... 525,674 37,070,530 Honeywell International, Inc. .......... 2,199,437 99,568,513 ITT Corp. .............................. 606,772 32,529,047 L-3 Communications Holdings, Inc. ...... 315,797 28,936,479 Lockheed Martin Corp. .................. 912,826 75,965,380 Northrop Grumman Corp. ................. 892,481 58,519,979 Precision Castparts Corp. .............. 386,501 48,973,542 Raytheon Co. ........................... 1,133,322 64,735,353 Rockwell Collins, Inc. (a).............. 555,031 34,739,390 The Boeing Co. ......................... 2,157,206 156,634,728 United Technologies Corp. .............. 2,654,734 195,414,970 -------------- 921,538,884 -------------- AIR FREIGHT & LOGISTICS -- 9.8% C.H. Robinson Worldwide, Inc. (a)....... 455,066 25,415,436 Expeditors International of Washington, Inc. ..................... 579,318 21,388,421 FedEx Corp. ............................ 915,383 85,496,772 United Parcel Service, Inc. (Class B)... 2,758,267 177,659,977 -------------- 309,960,606 -------------- AIRLINES -- 0.9% Southwest Airlines Co. (a).............. 2,222,595 29,382,706 -------------- BUILDING PRODUCTS -- 0.5% Masco Corp. (a)......................... 1,087,675 16,880,716 -------------- COMMERCIAL SERVICES & SUPPLIES -- 5.1% Avery Dennison Corp. (a)................ 379,436 13,815,265 Cintas Corp. (a)........................ 431,815 12,129,683 Iron Mountain, Inc. (a)................. 492,534 13,495,432 Pitney Bowes, Inc. (a).................. 646,358 15,803,453 R.R. Donnelley & Sons Co. .............. 812,884 17,355,073 Republic Services, Inc. ................ 882,720 25,616,535 Stericycle, Inc. (a)(b)................. 231,330 12,607,485 Waste Management, Inc. (a).............. 1,445,779 49,778,171 -------------- 160,601,097 -------------- CONSTRUCTION & ENGINEERING -- 1.9% Fluor Corp. ............................ 710,062 33,024,984 Jacobs Engineering Group, Inc. (a)(b)... 338,436 15,293,923 Quanta Services, Inc. (a)(b)............ 571,066 10,941,624 -------------- 59,260,531 -------------- ELECTRICAL EQUIPMENT -- 5.3% Emerson Electric Co. (a)................ 2,174,246 109,451,544 First Solar, Inc. (a)(b)................ 131,878 16,174,837 Rockwell Automation, Inc. (a)........... 502,825 28,339,217 Roper Industries, Inc. (a).............. 255,441 14,774,707 -------------- 168,740,305 -------------- INDUSTRIAL CONGLOMERATES -- 18.3% 3M Co. ................................. 1,990,620 166,356,114 General Electric Co. ................... 21,551,185 392,231,567 Textron, Inc. (a)....................... 925,106 19,640,000 -------------- 578,227,681 -------------- INTERNET SOFTWARE & SERVICES -- 0.3% Monster Worldwide, Inc. (a)(b).......... 556,950 9,250,939 -------------- MACHINERY -- 18.0% Caterpillar, Inc. (a)................... 1,817,580 114,234,903 Cummins, Inc. .......................... 1,012,585 62,729,641 Danaher Corp. (a)....................... 802,662 64,140,720 Deere & Co. ............................ 1,291,689 76,803,828 Dover Corp. ............................ 615,452 28,772,381 Eaton Corp. ............................ 552,324 41,849,589 Flowserve Corp. ........................ 152,490 16,815,072 Illinois Tool Works, Inc. .............. 1,121,933 53,134,747 PACCAR, Inc. (a)........................ 1,155,296 50,070,529 Pall Corp. ............................. 467,923 18,946,202 Parker-Hannifin Corp. .................. 553,703 35,846,732 Snap-on, Inc. .......................... 157,143 6,810,578 -------------- 570,154,922 -------------- PROFESSIONAL SERVICES -- 1.4% Dun & Bradstreet Corp. ................. 139,702 10,396,623 Equifax, Inc. (a)....................... 468,306 16,765,355 Robert Half International, Inc. (a)..... 575,035 17,498,315 -------------- 44,660,293 -------------- ROAD & RAIL -- 7.9% CSX Corp. .............................. 1,284,093 65,360,334 Norfolk Southern Corp. ................. 1,184,005 66,174,039 Ryder System, Inc. (a).................. 266,488 10,329,075 Union Pacific Corp. .................... 1,500,323 109,973,676 -------------- 251,837,124 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% Fastenal Co. (a)........................ 358,681 17,213,101 W.W. Grainger, Inc. (a)................. 221,003 23,894,845 -------------- 41,107,946 -------------- TOTAL COMMON STOCKS -- (Cost $3,413,943,797)................. 3,161,603,750 -------------- SHORT TERM INVESTMENTS -- 5.0% MONEY MARKET FUNDS -- 5.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 155,396,964 155,396,964 State Street Institutional Liquid Reserves Fund (c)..................... 2,439,691 2,439,691 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $157,836,655)................... 157,836,655 -------------- TOTAL INVESTMENTS -- 104.8% (E) (Cost $3,571,780,452)................. 3,319,440,405 OTHER ASSETS AND LIABILITIES -- (4.8)% ................ (152,499,547) -------------- NET ASSETS -- 100.0%.................... $3,166,940,858 ==============

(a) Security, or portion thereof, was on loan at March 31, 2010. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 35 THE MATERIALS SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.7% CHEMICALS -- 54.6% Air Products & Chemicals, Inc. ......... 1,151,421 $ 85,147,583 Airgas, Inc. (a)........................ 466,244 29,662,443 CF Industries Holdings, Inc. (a)........ 276,343 25,196,955 E.I. du Pont de Nemours & Co. .......... 4,809,976 179,123,506 Eastman Chemical Co. (a)................ 412,886 26,292,581 Ecolab, Inc. (a)........................ 1,295,351 56,930,676 FMC Corp. (a)........................... 413,329 25,022,938 International Flavors & Fragrances, Inc. (a).................. 455,178 21,698,335 Monsanto Co. ........................... 2,903,890 207,395,824 PPG Industries, Inc. (a)................ 907,868 59,374,567 Praxair, Inc. .......................... 1,630,109 135,299,047 Sigma-Aldrich Corp. (a)................. 679,141 36,442,706 The Dow Chemical Co. (a)................ 6,121,498 181,012,696 -------------- 1,068,599,857 -------------- CONSTRUCTION MATERIALS -- 1.7% Vulcan Materials Co. ................... 706,713 33,385,122 -------------- CONTAINERS & PACKAGING -- 6.1% Ball Corp. ............................. 531,334 28,362,609 Bemis Co., Inc. ........................ 636,807 18,289,097 Owens-Illinois, Inc. (b)................ 944,243 33,558,396 Pactiv Corp. (b)........................ 769,351 19,372,258 Sealed Air Corp. (a).................... 923,772 19,473,114 -------------- 119,055,474 -------------- METALS & MINING -- 30.4% AK Steel Holding Corp. ................. 655,800 14,991,588 Alcoa, Inc. (a)......................... 5,544,429 78,952,669 Allegheny Technologies, Inc. (a)........ 552,346 29,821,161 Cliffs Natural Resources, Inc. (a)...... 742,376 52,671,577 Freeport-McMoRan Copper & Gold, Inc. ........................... 2,291,368 191,420,883 Newmont Mining Corp. ................... 1,789,552 91,141,883 Nucor Corp. (a)......................... 1,711,913 77,686,612 Titanium Metals Corp. (a)(b)............ 545,803 9,054,872 United States Steel Corp. (a)........... 788,508 50,086,028 -------------- 595,827,273 -------------- PAPER & FOREST PRODUCTS -- 6.9% International Paper Co. ................ 2,370,729 58,343,641 MeadWestvaco Corp. ..................... 975,328 24,919,630 Weyerhaeuser Co. (a).................... 1,161,690 52,589,706 -------------- 135,852,977 -------------- TOTAL COMMON STOCKS -- (Cost $2,131,059,187)................. 1,952,720,703 -------------- SHORT TERM INVESTMENTS -- 6.7% MONEY MARKET FUNDS -- 6.7% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 127,574,056 127,574,056 State Street Institutional Liquid Reserves Fund (c)..................... 2,823,429 2,823,429 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $130,397,485)................... 130,397,485 -------------- TOTAL INVESTMENTS -- 106.4% (E) (Cost $2,261,456,672)................. 2,083,118,188 OTHER ASSETS AND LIABILITIES -- (6.4)% ................ (125,647,999) -------------- NET ASSETS -- 100.0%.................... $1,957,470,189 ==============

(a) Security, or portion thereof, was on loan at March 31, 2010. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 36 THE TECHNOLOGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.7% COMMUNICATIONS EQUIPMENT -- 11.7% Cisco Systems, Inc. (a)................. 11,959,182 $ 311,297,508 Harris Corp. ........................... 299,678 14,231,708 JDS Uniphase Corp. (a).................. 612,010 7,668,485 Juniper Networks, Inc. (a).............. 1,135,451 34,835,637 Motorola, Inc. (a)...................... 4,950,083 34,749,583 QUALCOMM, Inc. ......................... 3,530,696 148,253,925 Tellabs, Inc. .......................... 940,665 7,120,834 -------------- 558,157,680 -------------- COMPUTERS & PERIPHERALS -- 18.4% Apple, Inc. (a)......................... 1,893,536 444,848,413 Dell, Inc. (a).......................... 3,661,338 54,956,683 EMC Corp. (a)........................... 4,343,719 78,360,691 Hewlett-Packard Co. .................... 4,081,483 216,930,821 Lexmark International, Inc. (Class A) (a)(b)............................. 209,593 7,562,115 NetApp, Inc. (a)(b)..................... 757,083 24,650,623 QLogic Corp. (a)(b)..................... 292,176 5,931,173 SanDisk Corp. (a)(b).................... 518,000 17,938,340 Teradata Corp. (a)...................... 390,534 11,282,527 Western Digital Corp. (a)............... 500,042 19,496,638 -------------- 881,958,024 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 11.7% AT&T, Inc. ............................. 12,326,459 318,515,701 CenturyTel, Inc. (b).................... 653,890 23,186,939 Frontier Communications Corp. (b)....... 780,580 5,807,515 Qwest Communications International, Inc. (b).............................. 3,351,602 17,495,362 Verizon Communications, Inc. ........... 5,954,431 184,706,450 Windstream Corp. (b).................... 1,057,010 11,510,839 -------------- 561,222,806 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.8% Agilent Technologies, Inc. (a).......... 758,365 26,080,172 Amphenol Corp. (Class A)................ 382,487 16,137,126 Corning, Inc. .......................... 3,316,217 67,020,746 FLIR Systems, Inc. (a).................. 349,965 9,869,013 Jabil Circuit, Inc. .................... 483,622 7,829,840 Molex, Inc. (b)......................... 328,596 6,854,513 -------------- 133,791,410 -------------- INTERNET SOFTWARE & SERVICES -- 8.7% Akamai Technologies, Inc. (a)(b)........ 404,174 12,695,105 eBay, Inc. (a).......................... 2,400,722 64,699,458 Google, Inc. (Class A) (a).............. 504,644 286,138,195 VeriSign, Inc. (a)(b)................... 423,143 11,005,949 Yahoo!, Inc. (a)........................ 2,545,721 42,080,768 -------------- 416,619,475 -------------- IT SERVICES -- 14.3% Automatic Data Processing, Inc. ........ 1,079,877 48,022,130 Cognizant Technology Solutions Corp. (Class A) (a)......................... 646,626 32,964,993 Computer Sciences Corp. (a)............. 338,747 18,458,324 Fidelity National Information Services, Inc. ....................... 753,760 17,668,134 Fiserv, Inc. (a)........................ 339,883 17,252,461 International Business Machines Corp. .. 2,713,608 348,020,226 MasterCard, Inc. (Class A).............. 205,247 52,132,738 Paychex, Inc. (b)....................... 708,828 21,761,020 SAIC, Inc. (a).......................... 643,353 11,387,348 The Western Union Co. .................. 1,473,972 24,998,565 Total System Services, Inc. (b)......... 469,024 7,344,916 Visa, Inc. (Class A).................... 932,317 84,868,817 -------------- 684,879,672 -------------- OFFICE ELECTRONICS -- 0.6% Xerox Corp. ............................ 3,023,379 29,477,945 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 11.1% Advanced Micro Devices, Inc. (a)(b)..... 1,334,172 12,367,774 Altera Corp. (b)........................ 661,305 16,076,325 Analog Devices, Inc. ................... 656,588 18,922,866 Applied Materials, Inc. ................ 2,861,540 38,573,559 Broadcom Corp. (Class A)................ 934,895 31,019,816 Intel Corp. ............................ 9,837,935 218,992,433 KLA-Tencor Corp. (b).................... 382,543 11,828,230 Linear Technology Corp. (b)............. 498,959 14,110,560 LSI Corp. (a)........................... 1,529,771 9,362,199 MEMC Electronic Materials, Inc. (a)(b).. 522,605 8,011,535 Microchip Technology, Inc. (b).......... 418,080 11,773,133 Micron Technology, Inc. (a)(b).......... 1,902,858 19,770,695 National Semiconductor Corp. (b)........ 561,300 8,110,785 Novellus Systems, Inc. (a)(b)........... 246,964 6,174,100 NVIDIA Corp. (a)(b)..................... 1,230,243 21,381,623 Teradyne, Inc. (a)(b)................... 470,160 5,251,687 Texas Instruments, Inc. ................ 2,633,883 64,451,117 Xilinx, Inc. (b)........................ 616,817 15,728,833 -------------- 531,907,270 -------------- SOFTWARE -- 19.0% Adobe Systems, Inc. (a)................. 1,125,000 39,791,250 Autodesk, Inc. (a)...................... 517,904 15,236,736 BMC Software, Inc. (a).................. 406,831 15,459,578 CA, Inc. ............................... 876,656 20,575,116 Citrix Systems, Inc. (a)................ 409,772 19,451,877 Compuware Corp. (a)..................... 606,300 5,092,920 Electronic Arts, Inc. (a)............... 727,268 13,570,821 Intuit, Inc. (a)(b)..................... 698,845 23,998,337 McAfee, Inc. (a)........................ 350,543 14,067,291 Microsoft Corp. ........................ 15,940,005 466,563,946 Novell, Inc. (a)........................ 929,731 5,569,089 Oracle Corp. ........................... 8,209,139 210,892,781 Red Hat, Inc. (a)....................... 425,138 12,443,789 Salesforce.com, Inc. (a)(b)............. 245,490 18,276,731 Symantec Corp. (a)...................... 1,755,933 29,710,386 -------------- 910,700,648 --------------

See accompanying notes to financial statements. 37 THE TECHNOLOGY SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- WIRELESS TELECOMMUNICATION SERVICES -- 1.4% American Tower Corp. (Class A) (a)...... 866,198 $ 36,908,697 MetroPCS Communications, Inc. (a)(b).... 641,312 4,540,489 Sprint Nextel Corp. (a)(b).............. 6,480,579 24,626,200 -------------- 66,075,386 -------------- TOTAL COMMON STOCKS -- (Cost $5,035,151,775)................. 4,774,790,316 -------------- SHORT TERM INVESTMENTS -- 3.0% MONEY MARKET FUNDS -- 3.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 130,447,782 130,447,782 State Street Institutional Liquid Reserves Fund (c)..................... 15,793,571 15,793,571 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $146,241,353)................... 146,241,353 -------------- TOTAL INVESTMENTS -- 102.7% (E) (Cost $5,181,393,128)................. 4,921,031,669 OTHER ASSETS AND LIABILITIES -- (2.7)% ................ (131,089,453) -------------- NET ASSETS -- 100.0%.................... $4,789,942,216 ==============

(a) Non-income producing security. (b) Security, or portion thereof, was on loan at March 31, 2010. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 38 THE UTILITIES SELECT SECTOR SPDR FUND SCHEDULE OF INVESTMENTS MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% ELECTRIC UTILITIES -- 51.8% Allegheny Energy, Inc. ................. 1,558,033 $ 35,834,759 American Electric Power Co., Inc. ...... 4,380,981 149,741,931 Duke Energy Corp. (a)................... 11,017,631 179,807,738 Edison International.................... 2,985,446 102,012,690 Entergy Corp. .......................... 1,725,955 140,406,439 Exelon Corp. ........................... 6,019,947 263,733,878 FirstEnergy Corp. ...................... 2,780,857 108,703,700 FPL Group, Inc. ........................ 3,770,816 182,243,537 Northeast Utilities..................... 1,598,565 44,184,337 Pepco Holdings, Inc. (a)................ 2,054,515 35,234,932 Pinnacle West Capital Corp. ............ 945,626 35,678,469 PPL Corp. .............................. 3,452,877 95,679,222 Progress Energy, Inc. (a)............... 2,613,870 102,881,923 Southern Co. (a)........................ 7,483,907 248,166,356 -------------- 1,724,309,911 -------------- GAS UTILITIES -- 5.6% EQT Corp. .............................. 1,312,305 53,804,505 Nicor, Inc. (a)......................... 427,684 17,928,513 Oneok, Inc. ............................ 961,146 43,876,315 Questar Corp. .......................... 1,603,453 69,269,170 -------------- 184,878,503 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 5.5% Constellation Energy Group, Inc. ....... 1,843,794 64,735,607 NRG Energy, Inc. (a)(b)................. 2,389,126 49,932,733 The AES Corp. (a)(b).................... 6,134,247 67,476,717 -------------- 182,145,057 -------------- MULTI-UTILITIES -- 36.9% Ameren Corp. ........................... 2,179,464 56,840,421 CenterPoint Energy, Inc. ............... 3,633,558 52,177,893 CMS Energy Corp. (a).................... 2,139,279 33,073,253 Consolidated Edison, Inc. (a)........... 2,584,449 115,111,358 Dominion Resources, Inc. (a)............ 5,474,534 225,058,093 DTE Energy Co. (a)...................... 1,520,544 67,816,262 Integrys Energy Group, Inc. (a)......... 710,288 33,653,445 NiSource, Inc. (a)...................... 2,560,920 40,462,536 PG&E Corp. ............................. 3,405,266 144,451,384 Public Service Enterprise Group, Inc. .. 4,615,584 136,252,040 SCANA Corp. ............................ 1,015,533 38,173,886 Sempra Energy........................... 2,265,498 113,048,350 TECO Energy, Inc. (a)................... 1,980,129 31,464,250 Wisconsin Energy Corp. (a).............. 1,066,468 52,694,184 Xcel Energy, Inc. (a)................... 4,201,775 89,077,630 -------------- 1,229,354,985 -------------- TOTAL COMMON STOCKS -- (Cost $3,972,393,530)................. 3,320,688,456 -------------- SHORT TERM INVESTMENTS -- 6.5% MONEY MARKET FUNDS -- 6.5% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 206,023,172 206,023,172 State Street Institutional Liquid Reserves Fund (c)..................... 10,225,959 10,225,959 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $216,249,131)................... 216,249,131 -------------- TOTAL INVESTMENTS -- 106.3% (E) (Cost $4,188,642,661)................. 3,536,937,587 OTHER ASSETS AND LIABILITIES -- (6.3)% ................ (208,903,456) -------------- NET ASSETS -- 100.0%.................... $3,328,034,131 ==============

(a) Security, or portion thereof, was on loan at March 31, 2010. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. 39 THE SELECT SECTOR SPDR TRUST STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

THE CONSUMER THE CONSUMER DISCRETIONARY STAPLES THE ENERGY THE FINANCIAL SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR FUND FUND FUND FUND ------------------ ------------------ ------------------ ------------------ ASSETS Investments in unaffiliated issuers, at value * (Note 2)................ $1,981,558,968 $2,556,532,191 $ 5,873,324,229 $6,747,788,878 Investments in affiliated issuers, at value (Note 2 and Note 3).......... 111,757,184 78,978,614 282,429,063 389,106,544 -------------- -------------- --------------- -------------- Total investments.................. 2,093,316,152 2,635,510,805 6,155,753,292 7,136,895,422 Cash.................................. -- -- -- 105,274 Receivable for investments sold....... -- -- -- 1,131,317 Receivable for income related to Select Sector SPDR shares in-kind transactions....................... -- -- -- -- Dividends receivable -- unaffiliated issuers (Note 2)................... 1,888,505 11,271,778 3,483,045 4,325,412 Dividends and securities lending income receivable -- affiliated issuers (Note 2)................... 16,503 6,870 19,565 131,971 Prepaid expenses...................... 12,318 19,655 51,229 59,067 -------------- -------------- --------------- -------------- TOTAL ASSETS.................. 2,095,233,478 2,646,809,108 6,159,307,131 7,142,648,463 -------------- -------------- --------------- -------------- LIABILITIES Payable upon return of securities loaned............................. 110,121,702 76,338,933 279,047,292 295,013,085 Payable for investments purchased..... -- -- -- 6,609,843 Payable for income related to Select Sector SPDR shares in-kind transactions....................... 181 24,568 12,445 37,598 Accrued distribution fees (Note 3).... 182,877 239,404 514,415 608,280 Accrued advisory fees (Note 3)........ 69,576 102,306 215,043 248,314 Accrued administration, custodian and transfer agent fees (Note 3)....... 54,115 79,572 167,256 193,133 Accrued trustees' fees (Note 3)....... 1,901 1,567 5,935 9,182 Accrued expenses and other liabilities........................ 289,808 424,134 965,851 1,345,093 -------------- -------------- --------------- -------------- TOTAL LIABILITIES............. 110,720,160 77,210,484 280,928,237 304,064,528 -------------- -------------- --------------- -------------- NET ASSETS.................... $1,984,513,318 $2,569,598,624 $ 5,878,378,894 $6,838,583,935 ============== ============== =============== ============== NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $2,172,826,776 $2,875,121,201 $ 8,427,721,162 $6,855,735,838 Undistributed (distributions in excess of) net investment income.......... 4,833,019 11,449,636 8,712,095 2,250,983 Accumulated net realized gain (loss) on investments..................... (143,003,172) (124,008,913) (1,282,156,612) (596,695,908) Net unrealized appreciation (depreciation) on investments...... (50,143,305) (192,963,300) (1,275,897,751) 577,293,022 -------------- -------------- --------------- -------------- NET ASSETS.................... $1,984,513,318 $2,569,598,624 $ 5,878,378,894 $6,838,583,935 ============== ============== =============== ============== NET ASSET VALUE PER SELECT SECTOR SPDR: Net asset value per Select Sector SPDR share.............................. $ 32.83 $ 27.97 $ 57.53 $ 15.95 ============== ============== =============== ============== Shares outstanding (unlimited amount authorized, $0.01 par value)....... 60,453,252 91,871,809 102,174,200 428,845,427 ============== ============== =============== ============== COST OF INVESTMENTS: Unaffiliated issuers.................. $2,031,702,273 $2,749,495,491 $ 7,149,221,980 $6,173,214,055 Affiliated issuers (Note 3)........... 111,757,184 78,978,614 282,429,063 386,388,345 -------------- -------------- --------------- -------------- Total cost of investments............. $2,143,459,457 $2,828,474,105 $ 7,431,651,043 $6,559,602,400 ============== ============== =============== ============== * Includes investments of securities on loan, at value.................. $ 106,889,736 $ 74,265,857 $ 277,800,609 $ 287,363,203 ============== ============== =============== ==============

See accompanying notes to financial statements. 40 --------------------------------------------------------------------------------

THE HEALTH CARE THE INDUSTRIAL THE MATERIALS THE TECHNOLOGY THE UTILITIES SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR FUND FUND FUND FUND FUND ------------------ ------------------ ------------------ ------------------ ------------------ $2,964,326,236 $3,161,603,750 $1,952,720,703 $ 4,774,790,316 $3,320,688,456 52,120,103 157,836,655 130,397,485 146,241,353 216,249,131 -------------- -------------- -------------- --------------- -------------- 3,016,446,339 3,319,440,405 2,083,118,188 4,921,031,669 3,536,937,587 -- -- -- -- -- -- -- 11,618,102 -- -- 7,917 23,789 -- 614 -- 4,751,279 3,689,848 2,604,013 1,215,901 7,467,821 4,693 36,523 12,842 12,309 16,610 22,427 18,530 15,601 37,280 26,307 -------------- -------------- -------------- --------------- -------------- 3,021,232,655 3,323,209,095 2,097,368,746 4,922,297,773 3,544,448,325 -------------- -------------- -------------- --------------- -------------- 49,456,375 155,396,964 127,574,056 130,447,782 206,023,172 -- -- 11,599,938 -- 9,291,623 -- -- 46,146 -- 14,342 240,513 234,940 232,185 737,746 325,923 113,098 105,668 69,015 177,702 124,700 87,966 82,186 53,679 138,212 96,989 1,735 2,972 2,106 5,814 2,898 398,799 445,507 321,432 848,301 534,547 -------------- -------------- -------------- --------------- -------------- 50,298,486 156,268,237 139,898,557 132,355,557 216,414,194 -------------- -------------- -------------- --------------- -------------- $2,970,934,169 $3,166,940,858 $1,957,470,189 $ 4,789,942,216 $3,328,034,131 ============== ============== ============== =============== ============== $3,497,171,226 $3,583,986,435 $2,474,148,000 $ 6,220,381,766 $4,231,409,426 4,734,680 4,301,634 6,675,895 (371,055) 33,745 (116,700,105) (169,007,164) (345,015,222) (1,169,707,036) (251,703,966) (414,271,632) (252,340,047) (178,338,484) (260,361,459) (651,705,074) -------------- -------------- -------------- --------------- -------------- $2,970,934,169 $3,166,940,858 $1,957,470,189 $ 4,789,942,216 $3,328,034,131 ============== ============== ============== =============== ============== $ 32.13 $ 31.24 $ 33.91 $ 23.03 $ 29.67 ============== ============== ============== =============== ============== 92,465,324 101,376,000 57,723,725 207,955,897 112,174,160 ============== ============== ============== =============== ============== $3,378,597,868 $3,413,943,797 $2,131,059,187 $ 5,035,151,775 $3,972,393,530 52,120,103 157,836,655 130,397,485 146,241,353 216,249,131 -------------- -------------- -------------- --------------- -------------- $3,430,717,971 $3,571,780,452 $2,261,456,672 $ 5,181,393,128 $4,188,642,661 ============== ============== ============== =============== ============== $ 47,945,374 $ 151,144,012 $ 123,824,080 $ 126,632,246 $ 199,772,020 ============== ============== ============== =============== ==============

41 THE SELECT SECTOR SPDR TRUST STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

THE CONSUMER THE CONSUMER DISCRETIONARY STAPLES THE ENERGY THE FINANCIAL SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR FUND FUND FUND FUND ------------------ ------------------ ------------------ ------------------ INVESTMENT INCOME Dividend income -- unaffiliated issuers (Note 2)................... $ 12,833,188 $ 35,751,484 $ 57,356,579 $ 44,990,258 Dividend income -- affiliated issuers (Note 2)........................... 1,380 2,863 7,133 54,727 Affiliated securities lending income -- net (Note 3 and Note 7).. 270,535 59,978 209,178 763,584 ------------ ------------ ------------ ------------- TOTAL INVESTMENT INCOME............... 13,105,103 35,814,325 57,572,890 45,808,569 ------------ ------------ ------------ ------------- EXPENSES License fees (Note 3)................. 436,803 684,713 1,705,389 1,961,110 Distribution fees (Note 3)............ 420,767 660,638 1,650,832 1,901,797 Advisory fees (Note 3)................ 323,344 506,777 1,261,707 1,450,939 Administrator, custodian and transfer agent fees (Note 3)................ 228,858 363,218 895,409 1,007,721 Printing and postage expenses......... 53,286 80,388 223,203 287,065 Professional fees..................... 8,225 12,412 34,458 44,313 Trustees' fees (Note 3)............... 8,393 12,662 35,156 45,215 Insurance expense..................... 5,551 15,672 34,729 30,057 SEC registration expenses............. 1,644 2,481 6,885 8,855 Miscellaneous expenses................ 17,056 27,453 50,325 69,650 ------------ ------------ ------------ ------------- TOTAL EXPENSES BEFORE WAIVERS......... 1,503,927 2,366,414 5,898,093 6,806,722 ------------ ------------ ------------ ------------- Fees waived by administrator, custodian and transfer agent (Note 3)................................. (9,005) (14,042) (34,550) (39,716) ------------ ------------ ------------ ------------- NET EXPENSES.......................... 1,494,922 2,352,372 5,863,543 6,767,006 ------------ ------------ ------------ ------------- NET INVESTMENT INCOME................. 11,610,181 33,461,953 51,709,347 39,041,563 ------------ ------------ ------------ ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investment transactions -- unaffiliated issuers.......................... 88,514,327 41,731,225 227,025,066 872,577,667 Investment transactions -- affiliated issuers (Note 3)................. -- -- -- (13,028,689) Net change in unrealized appreciation (depreciation) on: Investment transactions -- unaffiliated issuers.......................... 184,728,131 161,451,240 132,209,298 (507,652,403) Investment transactions -- affiliated issuers (Note 3)................. -- -- -- (7,944,621) ------------ ------------ ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS.............. 273,242,458 203,182,465 359,234,364 343,951,954 ------------ ------------ ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $284,852,639 $236,644,418 $410,943,711 $ 382,993,517 ============ ============ ============ =============

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

THE HEALTH CARE THE INDUSTRIAL THE MATERIALS THE TECHNOLOGY THE UTILITIES SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR SELECT SECTOR SPDR FUND FUND FUND FUND FUND ------------------ ------------------ ------------------ ------------------ ------------------ $ 26,099,091 $ 24,803,368 $ 16,031,325 $ 33,541,897 $ 65,129,971 5,115 3,445 2,676 11,582 8,476 120,103 183,669 130,433 122,547 145,336 ------------ ------------ ------------ ------------ ------------ 26,224,309 24,990,482 16,164,434 33,676,026 65,283,783 ------------ ------------ ------------ ------------ ------------ 778,070 657,870 523,933 1,270,993 899,639 750,081 633,034 507,079 1,228,100 868,120 574,733 487,034 387,651 940,396 665,463 404,112 344,656 273,362 660,273 474,432 96,346 81,272 68,146 166,690 107,343 13,022 12,546 10,521 24,961 15,800 13,285 12,801 10,733 25,468 16,120 15,860 7,441 6,525 15,676 14,201 2,601 2,507 2,102 4,988 3,157 27,390 23,784 20,899 35,424 32,599 ------------ ------------ ------------ ------------ ------------ 2,675,500 2,262,945 1,810,951 4,372,969 3,096,874 ------------ ------------ ------------ ------------ ------------ (16,087) (13,541) (10,656) (26,070) (18,584) ------------ ------------ ------------ ------------ ------------ 2,659,413 2,249,404 1,800,295 4,346,899 3,078,290 ------------ ------------ ------------ ------------ ------------ 23,564,896 22,741,078 14,364,139 29,329,127 62,205,493 ------------ ------------ ------------ ------------ ------------ 92,443,589 110,971,514 124,446,412 193,949,474 (17,925,317) -- -- -- -- -- 174,227,490 285,906,180 40,986,712 197,334,626 4,024,377 -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ 266,671,079 396,877,694 165,433,124 391,284,100 (13,900,940) ------------ ------------ ------------ ------------ ------------ $290,235,975 $419,618,772 $179,797,263 $420,613,227 $ 48,304,553 ============ ============ ============ ============ ============

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 3/31/10 Year Ended 3/31/10 Year Ended (Unaudited) 9/30/09 (Unaudited) 9/30/09 ------------------ ------------------ ------------------ ------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income................. $ 11,610,181 $ 16,885,712 $ 33,461,953 $ 62,197,329 Net realized gain (loss) on investment transactions....................... 88,514,327 (19,075,264) 41,731,225 (111,222,944) Net change in unrealized appreciation (depreciation) on investments...... 184,728,131 37,896,239 161,451,240 (171,336,038) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 284,852,639 35,706,687 236,644,418 (220,361,653) --------------- --------------- --------------- --------------- Net equalization credits and charges.. (2,218,075) (2,438,532) (4,027,174) (4,170,778) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (8,956,596) (14,479,675) (28,103,387) (55,907,531) --------------- --------------- --------------- --------------- FROM SELECT SECTOR SPDR SHARE TRANSACTIONS: Proceeds from sale of shares.......... 3,063,518,803 5,078,430,059 4,107,867,843 2,574,078,420 Proceeds from reinvestment of distributions...................... -- 26,411 -- 223,127 Cost of shares repurchased............ (2,623,196,410) (4,827,221,189) (3,632,171,524) (3,329,529,442) Net income equalization (Note 2)...... 2,218,075 2,438,532 4,027,174 4,170,778 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (NOTE 4)... 442,540,468 253,673,813 479,723,493 (751,057,117) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets during period...................... 716,218,436 272,462,293 684,237,350 (1,031,497,079) Net assets at beginning of period..... 1,268,294,882 995,832,589 1,885,361,274 2,916,858,353 --------------- --------------- --------------- --------------- NET ASSETS END OF PERIOD (1)............ $ 1,984,513,318 $ 1,268,294,882 $ 2,569,598,624 $ 1,885,361,274 =============== =============== =============== =============== SELECT SECTOR SPDR SHARES: Shares sold........................... 102,950,000 228,350,000 153,500,000 110,600,000 Shares issued from reinvestment of distributions...................... -- 1,117 -- 9,146 Shares redeemed....................... (88,650,000) (217,700,000) (135,600,000) (143,000,000) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE)............... 14,300,000 10,651,117 17,900,000 (32,390,854) =============== =============== =============== =============== (1) Including undistributed (distribution in excess of) net investment income................... $ 4,833,019 $ 2,179,434 $ 11,449,636 $ 6,091,070 =============== =============== =============== ===============

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

THE ENERGY THE FINANCIAL THE HEALTH CARE SELECT SECTOR SPDR FUND SELECT SECTOR SPDR FUND SELECT SECTOR SPDR FUND ---------------------------------------- ---------------------------------------- ---------------------------------------- For the For the For the Six Months Ended Six Months Ended Six Months Ended 3/31/10 Year Ended 3/31/10 Year Ended 3/31/10 Year Ended (Unaudited) 9/30/09 (Unaudited) 9/30/09 (Unaudited) 9/30/09 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 51,709,347 $ 90,752,084 $ 39,041,563 $ 185,901,305 $ 23,564,896 $ 45,731,696 227,025,066 (1,232,577,668) 859,548,978 (4,707,321,436) 92,443,589 (46,065,598) 132,209,298 302,956,641 (515,597,024) 1,560,401,147 174,227,490 (73,826,829) --------------- ---------------- ---------------- ---------------- --------------- --------------- 410,943,711 (838,868,943) 382,993,517 (2,961,018,984) 290,235,975 (74,160,731) --------------- ---------------- ---------------- ---------------- --------------- --------------- (3,818,609) (5,088,937) (2,206,455) 808,159 84,746 (3,515,089) --------------- ---------------- ---------------- ---------------- --------------- --------------- (47,880,601) (85,787,987) (36,790,559) (210,886,103) (23,305,171) (41,186,592) --------------- ---------------- ---------------- ---------------- --------------- --------------- 9,512,204,615 18,882,804,628 11,479,473,842 27,170,185,267 4,443,005,018 3,791,933,042 -- 386,110 -- 1,003,156 -- 128,302 (9,215,886,416) (19,357,313,449) (12,481,205,470) (28,403,888,809) (3,718,593,923) (4,074,266,255) 3,818,609 5,088,937 2,206,455 (808,159) (84,746) 3,515,089 --------------- ---------------- ---------------- ---------------- --------------- --------------- 300,136,808 (469,033,774) (999,525,173) (1,233,508,545) 724,326,349 (278,689,822) --------------- ---------------- ---------------- ---------------- --------------- --------------- 659,381,309 (1,398,779,641) (655,528,670) (4,404,605,473) 991,341,899 (397,552,234) 5,218,997,585 6,617,777,226 7,494,112,605 11,898,718,078 1,979,592,270 2,377,144,504 --------------- ---------------- ---------------- ---------------- --------------- --------------- $ 5,878,378,894 $ 5,218,997,585 $ 6,838,583,935 $ 7,494,112,605 $ 2,970,934,169 $ 1,979,592,270 =============== ================ ================ ================ =============== =============== 166,750,000 393,950,000 779,300,000 2,372,300,000 143,100,000 148,300,000 -- 7,732 -- 75,841 -- 4,756 (161,300,000) (400,850,000) (852,000,000) (2,463,000,000) (119,550,000) (157,500,000) --------------- ---------------- ---------------- ---------------- --------------- --------------- 5,450,000 (6,892,268) (72,700,000) (90,624,159) 23,550,000 (9,195,244) =============== ================ ================ ================ =============== =============== $ 8,712,095 $ 4,883,349 $ 2,250,983 $ (21) $ 4,734,680 $ 4,474,955 =============== ================ ================ ================ =============== ===============

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

THE INDUSTRIAL THE MATERIALS SELECT SECTOR SPDR FUND SELECT SECTOR SPDR FUND ---------------------------------------- ---------------------------------------- For the For the Six Months Ended Six Months Ended 3/31/10 Year Ended 3/31/10 Year Ended (Unaudited) 9/30/09 (Unaudited) 9/30/09 ------------------ ------------------ ------------------ ------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income................. $ 22,741,078 $ 37,025,183 $ 14,364,139 $ 27,651,448 Net realized gain (loss) on investment transactions....................... 110,971,514 (105,442,615) 124,446,412 (254,213,167) Net change in unrealized appreciation (depreciation) on investments...... 285,906,180 (43,730,154) 40,986,712 197,149,622 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 419,618,772 (112,147,586) 179,797,263 (29,412,097) --------------- --------------- --------------- --------------- Net equalization credits and charges.. (1,872,564) (554,626) (2,433,697) (2,153,446) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (20,655,021) (36,640,271) (11,353,569) (26,438,356) --------------- --------------- --------------- --------------- FROM SELECT SECTOR SPDR SHARE TRANSACTIONS: Proceeds from sale of shares.......... 3,867,972,602 5,907,340,331 3,983,977,825 6,077,451,974 Proceeds from reinvestment of distributions...................... -- 185,569 -- 79,435 Cost of shares repurchased............ (3,110,288,230) (5,412,283,663) (3,920,005,261) (5,692,566,383) Net income equalization (Note 2)...... 1,872,564 554,626 2,433,697 2,153,446 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (NOTE 4)... 759,556,936 495,796,863 66,406,261 387,118,472 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets during period...................... 1,156,648,123 346,454,380 232,416,258 329,114,573 Net assets at beginning of period..... 2,010,292,735 1,663,838,355 1,725,053,931 1,395,939,358 --------------- --------------- --------------- --------------- NET ASSETS END OF PERIOD (1)............ $ 3,166,940,858 $ 2,010,292,735 $ 1,957,470,189 $ 1,725,053,931 =============== =============== =============== =============== SELECT SECTOR SPDR SHARES: Shares sold........................... 136,200,000 263,850,000 123,250,000 237,400,000 Shares issued from reinvestment of distributions...................... -- 7,739 -- 2,982 Shares redeemed....................... (111,000,000) (241,950,000) (121,250,000) (223,850,000) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE)............... 25,200,000 21,907,739 2,000,000 13,552,982 =============== =============== =============== =============== (1) Including undistributed (distribution in excess of) net investment income................... $ 4,301,634 $ 2,215,577 $ 6,675,895 $ 3,665,325 =============== =============== =============== ===============

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

THE TECHNOLOGY THE UTILITIES SELECT SECTOR SPDR FUND SELECT SECTOR SPDR FUND ---------------------------------------- ---------------------------------------- For the For the Six Months Ended Six Months Ended 3/31/10 Year Ended 3/31/10 Year Ended (Unaudited) 9/30/09 (Unaudited) 9/30/09 ------------------ ------------------ ------------------ ------------------ $ 29,329,127 $ 44,620,487 $ 62,205,493 $ 88,410,486 193,949,474 (9,772,185) (17,925,317) (109,078,778) 197,334,626 336,785,296 4,024,377 (89,546,175) --------------- --------------- --------------- --------------- 420,613,227 371,633,598 48,304,553 (110,214,467) --------------- --------------- --------------- --------------- 393,840 2,733,951 4,399,521 993,869 --------------- --------------- --------------- --------------- (29,700,174) (47,388,662) (66,418,247) (88,795,203) --------------- --------------- --------------- --------------- 4,107,609,709 5,055,086,884 3,701,142,980 3,432,645,740 -- 27,250 -- 541,927 (3,562,746,012) (3,961,935,880) (2,817,719,932) (2,989,971,414) (393,840) (2,733,951) (4,399,521) (993,869) --------------- --------------- --------------- --------------- 544,469,857 1,090,444,303 879,023,527 442,222,384 --------------- --------------- --------------- --------------- 935,776,750 1,417,423,190 865,309,354 244,206,583 3,854,165,466 2,436,742,276 2,462,724,777 2,218,518,194 --------------- --------------- --------------- --------------- $ 4,789,942,216 $ 3,854,165,466 $ 3,328,034,131 $ 2,462,724,777 =============== =============== =============== =============== 186,450,000 298,150,000 122,200,000 125,850,000 -- 1,500 -- 18,789 (163,400,000) (236,100,000) (94,050,000) (108,850,000) --------------- --------------- --------------- --------------- 23,050,000 62,051,500 28,150,000 17,018,789 =============== =============== =============== =============== $ (371,055) $ (8) $ 33,745 $ 4,246,499 =============== =============== =============== ===============

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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- -------- -------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD.......................... $ 27.48 $ 28.05 $ 36.74 $ 34.95 $ 32.46 $ 31.22 ---------- ---------- -------- -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income................ 0.24(1) 0.45(1) 0.46(1) 0.37 0.32(1) 0.27(1) Net realized and unrealized gain (loss) (2)......................... 5.38 (0.51) (8.57) 1.80 2.53 1.19 ---------- ---------- -------- -------- -------- -------- Total from investment operations..... 5.62 (0.06) (8.11) 2.17 2.85 1.46 ---------- ---------- -------- -------- -------- -------- Net equalization credits and charges (1)........................ (0.05) (0.06) (0.09) (0.03) (0.05) 0.04 ---------- ---------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................ (0.22) (0.45) (0.49) (0.35) (0.31) (0.26) ---------- ---------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD....... $ 32.83 $ 27.48 $ 28.05 $ 36.74 $ 34.95 $ 32.46 ========== ========== ======== ======== ======== ======== TOTAL RETURN (3)..................... 20.32% (0.04)% (22.39)% 6.07% 8.70% 4.82% ========== ========== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)......................... $1,984,513 $1,268,295 $995,833 $729,341 $429,980 $277,558 Ratio of expenses to average net assets......................... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers.............. 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets.............. 1.59%(4) 1.99% 1.44% 0.93% 0.98% 0.82% Portfolio turnover rate (5).......... 6.47% 4.21% 8.56% 5.65% 12.06% 18.03%

(1) Per share numbers have been calculated using the average shares method. (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 the 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. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, BEGINNING OF PERIOD....................... $ 25.49 $ 27.42 $ 27.94 $ 25.34 $ 23.28 $ 21.66 ---------- ---------- ---------- ---------- ---------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income............. 0.39(1) 0.71(1) 0.59 0.59 0.50(1) 0.42(1) Net realized and unrealized gain (loss) (2)...................... 2.51 (1.91) (0.53) 2.60 2.04 1.60 ---------- ---------- ---------- ---------- ---------- -------- Total from investment operations.. 2.90 (1.20) 0.06 3.19 2.54 2.02 ---------- ---------- ---------- ---------- ---------- -------- Net equalization credits and charges (1)..................... (0.05) (0.05) 0.02 (0.01) 0.02 0.02 ---------- ---------- ---------- ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.37) (0.68) (0.60) (0.58) (0.50) (0.42) ---------- ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.... $ 27.97 $ 25.49 $ 27.42 $ 27.94 $ 25.34 $ 23.28 ========== ========== ========== ========== ========== ======== TOTAL RETURN (3).................. 11.23% (4.37)% 0.28% 12.69% 11.13% 9.44% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)...................... $2,569,599 $1,885,361 $2,916,858 $2,090,505 $1,480,041 $857,861 Ratio of expenses to average net assets...................... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers........... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets.... 2.93%(4) 3.05% 2.22% 2.18% 2.10% 1.84% Portfolio turnover rate (5)....... 3.39% 14.41% 3.20% 5.76% 7.55% 24.17%

(1) Per share numbers have been calculated using the average shares method. (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 the 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. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 53.96 $ 63.87 $ 74.99 $ 53.48 $ 53.65 $ 35.00 ---------- ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income............ 0.52(1) 0.96(1) 0.93 0.78 0.64 0.58(1) Net realized and unrealized gain (loss) (2)..................... 3.60 (9.85) (11.07) 21.49 (0.14) 18.67 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.......... 4.12 (8.89) (10.14) 22.27 0.50 19.25 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1).................... (0.04) (0.05) (0.13) 0.01 0.00(3) (0.04) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............ (0.51) (0.97) (0.85) (0.77) (0.67) (0.56) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD... $ 57.53 $ 53.96 $ 63.87 $ 74.99 $ 53.48 $ 53.65 ========== ========== ========== ========== ========== ========== TOTAL RETURN (4)................. 7.57% (13.81)% (13.87)% 41.87% 0.87% 55.29% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $5,878,379 $5,218,998 $6,617,777 $4,882,544 $4,014,453 $3,431,320 Ratio of expenses to average net assets..................... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.25% Ratio of expenses to average net assets before waivers.......... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets... 1.82%(5) 1.98% 1.08% 1.19% 1.18% 1.36% Portfolio turnover rate (6)...... 3.29% 24.39% 6.87% 7.00% 18.00% 10.32%

(1) Per share numbers have been calculated using the average shares method. (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) Less than $0.005 per share. (4) 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 the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (5) Annualized. (6) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ----------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 14.94 $ 20.09 $ 34.28 $ 34.64 $ 29.50 $ 28.51 ---------- ---------- ----------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income............ 0.09(1) 0.35(1) 0.86 0.84(1) 0.77 0.67(1) Net realized and unrealized gain (loss) (2)..................... 1.01 (5.12) (14.48) (0.53) 5.22 1.07 ---------- ---------- ----------- ---------- ---------- ---------- Total from investment operations.......... 1.10 (4.77) (13.62) 0.31 5.99 1.74 ---------- ---------- ----------- ---------- ---------- ---------- Net equalization credits and charges (1).................... 0.00(3) 0.00(3) 0.28 0.22 (0.08) (0.06) ---------- ---------- ----------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............ (0.09) (0.38) (0.85) (0.89) (0.77) (0.69) ---------- ---------- ----------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD... $ 15.95 $ 14.94 $ 20.09 $ 34.28 $ 34.64 $ 29.50 ========== ========== =========== ========== ========== ========== TOTAL RETURN (4)................. 7.35% (23.21)% (39.24)% 1.41% 20.16% 5.88% ========== ========== =========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $6,838,584 $7,494,113 $11,898,718 $2,831,956 $1,952,484 $1,569,450 Ratio of expenses to average net assets..................... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers.......... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets... 1.19%(5) 2.95% 3.20% 2.35% 2.42% 2.30% Portfolio turnover rate (6)...... 11.45% 16.74% 18.24% 14.57% 10.93% 9.34%

(1) Per share numbers have been calculated using the average shares method. (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) Less than $0.005 per share. (4) 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 the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (5) Annualized. (6) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 28.72 $ 30.43 $ 35.41 $ 33.17 $ 31.37 $ 28.80 ---------- ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (1)........ 0.28 0.58 0.55 0.56 0.44 0.37 Net realized and unrealized gain (loss) (2)..................... 3.41 (1.69) (4.97) 2.27 1.81 2.57 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.......... 3.69 (1.11) (4.42) 2.83 2.25 2.94 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1).................... 0.00(3) (0.04) (0.01) (0.03) (0.02) 0.02 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............ (0.28) (0.56) (0.55) (0.56) (0.43) (0.39) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD... $ 32.13 $ 28.72 $ 30.43 $ 35.41 $ 33.17 $ 31.37 ========== ========== ========== ========== ========== ========== TOTAL RETURN (4)................. 12.84% (3.58)% (12.55)% 8.49% 7.17% 10.32% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $2,970,934 $1,979,592 $2,377,145 $2,075,363 $1,948,747 $1,617,139 Ratio of expenses to average net assets..................... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.25% Ratio of expenses to average net assets before waivers.......... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets... 1.82%(5) 2.22% 1.68% 1.64% 1.40% 1.20% Portfolio turnover rate (6)...... 1.83% 5.61% 3.69% 10.15% 3.81% 3.48%

(1) Per share numbers have been calculated using the average shares method. (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) Less than $0.005 per share. (4) 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 the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (5) Annualized. (6) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, BEGINNING OF PERIOD....................... $ 26.39 $ 30.66 $ 40.92 $ 33.35 $ 30.14 $ 28.36 ---------- ---------- ---------- ---------- ---------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income............. 0.29(1) 0.67(1) 0.69(1) 0.63(1) 0.56 0.46(1) Net realized and unrealized gain (loss) (2)...................... 4.87 (4.25) (10.21) 7.60 3.23 1.79 ---------- ---------- ---------- ---------- ---------- -------- Total from investment operations.. 5.16 (3.58) (9.52) 8.23 3.79 2.25 ---------- ---------- ---------- ---------- ---------- -------- Net equalization credits and charges (1)..................... (0.02) (0.01) (0.05) 0.00(3) (0.04) (0.01) ---------- ---------- ---------- ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (0.29) (0.68) (0.69) (0.66) (0.54) (0.46) ---------- ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.... $ 31.24 $ 26.39 $ 30.66 $ 40.92 $ 33.35 $ 30.14 ========== ========== ========== ========== ========== ======== TOTAL RETURN (4).................. 19.54% (11.25)% (23.55)% 24.88% 12.51% 7.87% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)...................... $3,166,941 $2,010,293 $1,663,838 $1,989,147 $1,095,912 $717,293 Ratio of expenses to average net assets...................... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.25% Ratio of expenses to average net assets before waivers........... 0.21%(5) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets.... 2.07%(5) 2.96% 1.85% 1.69% 1.67% 1.54% Portfolio turnover rate (6)....... 5.65% 9.51% 4.27% 7.12% 3.01% 6.20%

(1) Per share numbers have been calculated using the average shares method. (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) Less than $0.005 per share. (4) 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 the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (5) Annualized. (6) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 30.96 $ 33.10 $ 42.15 $ 31.67 $ 27.47 $ 27.54 ---------- ---------- ---------- ---------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (1).......... 0.27 0.64 0.94 0.85 0.80 0.58 Net realized and unrealized gain (loss) (2)....................... 2.97 (2.05) (8.78) 10.46 4.30 (0.06) ---------- ---------- ---------- ---------- -------- -------- Total from investment operations... 3.24 (1.41) (7.84) 11.31 5.10 0.52 ---------- ---------- ---------- ---------- -------- -------- Net equalization credits and charges (1)...................... (0.04) (0.05) (0.28) (0.03) (0.12) (0.02) ---------- ---------- ---------- ---------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............. (0.25) (0.68) (0.93) (0.80) (0.78) (0.57) ---------- ---------- ---------- ---------- -------- -------- NET ASSET VALUE, END OF PERIOD..... $ 33.91 $ 30.96 $ 33.10 $ 42.15 $ 31.67 $ 27.47 ========== ========== ========== ========== ======== ======== TOTAL RETURN (3)................... 10.36% (3.85)% (19.58)% 35.97% 18.13% 1.78% ========== ========== ========== ========== ======== ======== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)....................... $1,957,470 $1,725,054 $1,395,939 $1,724,848 $703,475 $757,085 Ratio of expenses to average net assets....................... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers............ 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets..... 1.64%(4) 2.54% 2.27% 2.26% 2.57% 2.01% Portfolio turnover rate (5)........ 2.92% 35.67% 12.03% 8.94% 6.24% 16.06%

(1) Per share numbers have been calculated using the average shares method. (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 the 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. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 20.84 $ 19.83 $ 27.00 $ 21.99 $ 20.89 $ 19.10 ---------- ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income............ 0.15(1) 0.30(1) 0.27(1) 0.20 0.19(1) 0.47(2) Net realized and unrealized gain (loss) (3)..................... 2.19 1.01 (7.16) 5.02 1.10 1.74 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.......... 2.34 1.31 (6.89) 5.22 1.29 2.21 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1).................... 0.00(4) 0.02 (0.01) 0.00(4) 0.00(4) 0.00(4) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............ (0.15) (0.32) (0.27) (0.21) (0.19) (0.42) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD... $ 23.03 $ 20.84 $ 19.83 $ 27.00 $ 21.99 $ 20.89 ========== ========== ========== ========== ========== ========== TOTAL RETURN (5)................. 11.24% 7.01% (25.68)% 23.79% 6.20% 11.65% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $4,789,942 $3,854,165 $2,436,742 $2,726,921 $1,817,902 $1,306,948 Ratio of expenses to average net assets..................... 0.21%(6) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers.......... 0.21%(6) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets... 1.38%(6) 1.75% 1.12% 0.85% 0.91% 2.33% Portfolio turnover rate (7)...... 3.08% 7.38% 9.31% 12.83% 11.30% 8.33%

(1) Per share numbers have been calculated using the average shares method. (2) 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. (3) 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. (4) Less than $0.005 per share. (5) 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 the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation. (6) Annualized. (7) Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions on Select Sector SPDR shares. 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 Year Year Year Year Year 3/31/10 Ended Ended Ended Ended Ended (Unaudited) 9/30/09 9/30/08 9/30/07 9/30/06 9/30/05 ------------ ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 29.31 $ 33.11 $ 39.90 $ 33.97 $ 33.58 $ 25.10 ---------- ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (1)........ 0.62 1.25 1.19 1.10 1.08 0.98 Net realized and unrealized gain (loss) (2)..................... 0.34 (3.80) (6.63) 6.06 0.39 8.50 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations.......... 0.96 (2.55) (5.44) 7.16 1.47 9.48 ---------- ---------- ---------- ---------- ---------- ---------- Net equalization credits and charges (1).................... 0.04 0.01 (0.15) (0.13) (0.01) (0.02) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............ (0.64) (1.26) (1.20) (1.10) (1.07) (0.98) ---------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD... $ 29.67 $ 29.31 $ 33.11 $ 39.90 $ 33.97 $ 33.58 ========== ========== ========== ========== ========== ========== TOTAL RETURN (3)................. 3.33% (7.43)% (14.39)% 20.83% 4.49% 38.18% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $3,328,034 $2,462,725 $2,218,518 $2,734,750 $2,993,688 $2,057,493 Ratio of expenses to average net assets..................... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of expenses to average net assets before waivers.......... 0.21%(4) 0.22% 0.22% 0.23% 0.24% 0.26% Ratio of net investment income (loss) to average net assets... 4.15%(4) 4.49% 2.97% 2.85% 3.34% 3.33% Portfolio turnover rate (5)...... 5.27% 9.63% 3.83% 9.80% 2.13% 4.40%

(1) Per share numbers have been calculated using the average shares method. (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 the 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. 56 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2010 (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 Indices represents a basket of equity securities of public companies that are components of the S&P 500. The Trust is comprised of the following Funds: 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 a "Fund" or "Select Sector SPDR Fund" and collectively the "Funds" or "Select Sector SPDR Funds"). Each Fund operates as a non-diversified investment company. The investment objective of each Fund is to provide investment results that, before expenses and fees, correspond generally to the price and yield performance of a specified Select Sector Index. 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. Each Fund's investments 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 investments 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. The value of each 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, the Fund will not sell an equity security because the security's issuer is in financial trouble, unless that security is removed from the relevant Select Sector Index. 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. 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 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 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 57 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- 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' 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 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 funds 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 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 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 each Fund's net asset value and the prices used by each Fund's respective Select Sector Index, which, in turn, could result in a difference between each Fund's performance and the performance of the Fund's respective Select Sector 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 Schedules of Investments, which also includes a breakdown of the Funds' investments by industry. SUBSEQUENT EVENTS Management has determined there are no subsequent events or transactions that would have materially impacted the Funds' financial statements as presented. 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. 58 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- DISTRIBUTIONS The Trust declares and distributes dividends from net investment income to its shareholders 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 Select Sector SPDR shares of the applicable Fund(s) 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 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. 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. Corporate actions (including cash dividends) are recorded net of nonreclaimable foreign tax withholdings on the ex-dividend date. 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. FEDERAL INCOME TAX Each Fund has qualified and intends to continue to qualify for and elect treatment as a "regulated investment company" 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, 2009 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 Funds' major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. 59 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- At September 30, 2009, the Funds had the following capital loss carryforwards, which may be utilized to offset any net realized capital gains, expiring September 30:

2010 2011 2012 2013 2014 2015 2016 2017 ------------ ------------ ------------ ---------- ----------- ------------ ----------- ------------ Consumer Discretionary Select Sector SPDR Fund.............. $ 732,626 $ 13,927,450 $ 2,502,233 $ 997,052 $ 9,450,752 $ 7,544,551 $ 4,343,910 $ 17,652,701 Consumer Staples Select Sector SPDR Fund.............. -- 53,609,218 23,758,907 799,804 23,679,427 175,734 2,872,408 -- Energy Select Sector SPDR Fund......... 6,697,642 65,879,072 6,684,065 821,860 50,406 94,186,580 16,887,031 46,397,013 Financial Select Sector SPDR Fund.. 3,115,309 19,148,460 8,078,713 4,176,362 9,961,554 10,349,660 41,633,377 423,727,939 Health Care Select Sector SPDR Fund.. 2,876,921 17,808,907 1,306,855 6,333,060 7,166,786 3,362,549 1,330,406 21,726,896 Industrial Select Sector SPDR Fund.. 617,211 29,450,669 6,331,812 1,389,592 4,968,985 7,287,655 5,756,566 15,013,076 Materials Select Sector SPDR Fund.. 3,739,320 6,349,204 2,359,563 1,867,693 3,631,452 400,900 2,396,678 34,304,196 Technology Select Sector SPDR Fund.. 110,778,244 305,114,554 123,285,364 9,613,457 52,407,581 149,073,403 64,942,837 121,713,434 Utilities Select Sector SPDR Fund.. -- 18,897,010 15,559,181 400,327 2,962,529 4,942,581 -- 23,780,627

For the period ended March 31, 2010, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption 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 Paid in Capital --------------- Consumer Discretionary Select Sector SPDR Fund............................. $131,213,993 Consumer Staples Select Sector SPDR Fund.................................. 54,668,609 Energy Select Sector SPDR Fund.......... 301,611,138 Financial Select Sector SPDR Fund....... 831,925,360 Health Care Select Sector SPDR Fund..... 108,172,480 Industrial Select Sector SPDR Fund...... 134,451,543 Materials Select Sector SPDR Fund....... 149,394,210 Technology Select Sector SPDR Fund...... 240,729,064 Utilities Select Sector SPDR Fund....... 71,976,647

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, 2008 through September 30, 2009 that have been deferred for tax purposes until fiscal year 2010:

DEFERRED LOSSES --------------- Consumer Discretionary Select Sector SPDR Fund............................. $ 41,746,021 Consumer Staples Select Sector SPDR Fund.................................. 4,824,800 Energy Select Sector SPDR Fund.......... 933,780,002 Financial Select Sector SPDR Fund....... 102,001,111 Health Care Select Sector SPDR Fund..... 33,898,062 Industrial Select Sector SPDR Fund...... 71,276,058 Materials Select Sector SPDR Fund....... 254,329,658 Technology Select Sector SPDR Fund...... 135,090,209 Utilities Select Sector SPDR Fund....... 83,032,507

60 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- 3. RELATED PARTY FEES AND TRANSACTIONS ADVISER FEES The Trust on behalf of each Fund has entered into an investment advisory agreement ("Investment Advisory Agreement") with SSgA Funds Management, Inc. (the "Adviser" or "SSgA FM"). As compensation for the services provided to each Fund under its 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. The advisory 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. From time to time, the Adviser may waive all or a portion of its fee. The Adviser did not waive any of its fees in the current period. 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 attended by the Trustee and $1,000 for each special telephonic 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 ("Audit Committee") also receive $2,000 per Audit Committee meeting attended. The Audit Committee Chairperson receives an additional fee of $4,000 per year. 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 January 31, 2011. State Street has not entered into an agreement with the Trust to recapture waived fees in subsequent periods. The waiver amounts for each Fund's allocation of the unitary fee for the period ended March 31, 2010 were as follows:

WAIVER AMOUNT ------------- Consumer Discretionary Select Sector SPDR Fund............................. $ 9,005 Consumer Staples Select Sector SPDR Fund.................................. 14,042 Energy Select Sector SPDR Fund.......... 34,550 Financial Select Sector SPDR Fund....... 39,716 Health Care Select Sector SPDR Fund..... 16,087 Industrial Select Sector SPDR Fund...... 13,541 Materials Select Sector SPDR Fund....... 10,656 Technology Select Sector SPDR Fund...... 26,070 Utilities Select Sector SPDR Fund....... 18,584

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 the State Street Navigator Securities Lending Prime Portfolio ("Navigator") for which SSgA FM serves as investment adviser. Navigator 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. 61 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- For the period October 1, 2009 through March 31, 2010, State Street earned securities lending agent fees as follows:

SECURITIES LENDING AGENT FEES ------------------ Consumer Discretionary Select Sector SPDR Fund............................. $ 47,740 Consumer Staples Select Sector SPDR Fund.................................. 10,583 Energy Select Sector SPDR Fund.......... 36,906 Financial Select Sector SPDR Fund....... 134,741 Health Care Select Sector SPDR Fund..... 21,193 Industrial Select Sector SPDR Fund...... 32,411 Materials Select Sector SPDR Fund....... 23,014 Technology Select Sector SPDR Fund...... 21,623 Utilities Select Sector SPDR Fund....... 25,643

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 the Fund. The Board has limited each Fund's 12b-1 fee to 0.054% of its average daily net assets beginning on February 1, 2010 through at least January 31, 2011. Prior to February 1, 2010, the fee limitation was 0.06% of each Fund's average daily net assets. ADDITIONAL EXPENSES Standard and Poor's ("S&P"), NYSE Arca, Inc. (formerly the American Stock Exchange LLC) 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, 2010, and for the period then ended are:

NUMBER OF PURCHASED SOLD NUMBER OF SHARES HELD COST AT VALUE AT ------------------------ ------------------------- SHARES HELD VALUE AT AT 9/30/09 9/30/09 9/30/09 COST SHARES PROCEEDS SHARES AT 3/31/10 3/31/10 ----------- ------------ ------------ ----------- --------- ------------ --------- ----------- ----------- 2,604,266 $126,321,571 $136,984,391 $97,081,786 2,167,297 $125,401,646 2,828,913 1,942,650 $87,691,221

NUMBER OF SHARES HELD DIVIDEND REALIZED AT 9/30/09 INCOME GAIN (LOSS) ----------- -------- ------------ 2,604,266 $49,998 $(13,028,689)

Each Fund may invest in certain money market funds managed by the Adviser, including the State Street Institutional Liquid Reserves Fund ("Liquid Reserves Fund"), a series of State Street Institutional Investment Trust. The Liquid Reserves Fund is a feeder fund in a master/feeder fund structure that invests substantially all of its assets in the State Street Money Market Portfolio ("Master Portfolio"). The Liquid Reserves Fund does not pay an investment advisory fee to the Adviser, but the Master Portfolio in which it invests pays an investment advisory fee to the Adviser. The Liquid Reserves Fund intends to declare dividends on shares from net investment income daily and pay them as of the last business day of each month. All income distributions earned by the Fund from affiliated money market funds are recorded as dividend income on securities of affiliated issuers in the accompanying Statement of Operations. In addition, cash collateral from lending activities is invested in Navigator, for which SSgA FM serves as the investment 62 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- adviser. Navigator 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. Amounts related to investments in Liquid Reserves Fund and/or Navigator at March 31, 2010 and for the six month period then ended are:

PURCHASED SOLD VALUE AT ------------------------------ ------------------------------ VALUE AT NAVIGATOR 9/30/09 COST SHARES PROCEEDS SHARES 3/31/10 --------------------------- ------------ -------------- ------------- -------------- ------------- ------------ Consumer Discretionary Select Sector SPDR Fund.. $173,717,058 $ 557,908,067 557,908,067 $ 621,503,423 621,503,423 $110,121,702 Consumer Staples Select Sector SPDR Fund......... 86,879,493 431,780,954 431,780,954 442,321,514 442,321,514 76,338,933 Energy Select Sector SPDR Fund..................... 310,861,493 663,655,682 663,655,682 695,469,883 695,469,883 279,047,292 Financial Select Sector SPDR Fund................ 473,816,676 1,228,010,240 1,228,010,240 1,406,813,831 1,406,813,831 295,013,085 Health Care Select Sector SPDR Fund................ 80,978,300 378,211,055 378,211,055 409,732,980 409,732,980 49,456,375 Industrial Select Sector SPDR Fund................ 172,600,987 573,463,960 573,463,960 590,667,983 590,667,983 155,396,964 Materials Select Sector SPDR Fund................ 101,090,610 814,164,730 814,164,730 787,681,284 787,681,284 127,574,056 Technology Select Sector SPDR Fund................ 184,918,587 521,509,686 521,509,686 575,980,491 575,980,491 130,447,782 Utilities Select Sector SPDR Fund................ 160,132,319 1,293,977,881 1,293,977,881 1,248,087,028 1,248,087,028 206,023,172

NAVIGATOR INCOME --------------------------- -------- Consumer Discretionary Select Sector SPDR Fund.. $270,531 Consumer Staples Select Sector SPDR Fund......... 59,978 Energy Select Sector SPDR Fund..................... 209,127 Financial Select Sector SPDR Fund................ 763,521 Health Care Select Sector SPDR Fund................ 120,103 Industrial Select Sector SPDR Fund................ 183,669 Materials Select Sector SPDR Fund................ 130,403 Technology Select Sector SPDR Fund................ 122,540 Utilities Select Sector SPDR Fund................ 145,336

PURCHASED SOLD VALUE AT -------------------------- -------------------------- VALUE AT LIQUID RESERVES FUND 9/30/09 COST SHARES PROCEEDS SHARES 3/31/10 INCOME ------------------------------------ -------- ------------ ----------- ------------ ----------- ----------- ------- Consumer Discretionary Select Sector SPDR Fund......................... $-- $ 27,912,243 27,912,243 $ 26,276,761 26,276,761 $ 1,635,482 $ 1,380 Consumer Staples Select Sector SPDR Fund.............................. -- 108,410,653 108,410,653 105,770,972 105,770,972 2,639,681 2,863 Energy Select Sector SPDR Fund...... -- 149,632,688 149,632,688 146,250,917 146,250,917 3,381,771 7,133 Financial Select Sector SPDR Fund... -- 102,606,372 102,606,372 96,204,134 96,204,134 6,402,238 4,729 Health Care Select Sector SPDR Fund.............................. -- 133,510,543 133,510,543 130,846,815 130,846,815 2,663,728 5,115 Industrial Select Sector SPDR Fund.. -- 50,487,247 50,487,247 48,047,556 48,047,556 2,439,691 3,445 Materials Select Sector SPDR Fund... -- 35,935,760 35,935,760 33,112,331 33,112,331 2,823,429 2,676 Technology Select Sector SPDR Fund.. -- 105,939,697 105,939,697 90,146,126 90,146,126 15,793,571 11,582 Utilities Select Sector SPDR Fund... -- 145,582,508 145,582,508 135,356,549 135,356,549 10,225,959 8,476

4. SHAREHOLDER TRANSACTIONS Select Sector SPDR Fund shares are issued and redeemed 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 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 Funds' custodian and are used to defray related expenses. 63 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- 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 reporting purposes. Accordingly, gross unrealized appreciation and depreciation at March 31, 2010 were as follows:

GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ -------------- --------------- Consumer Discretionary Select Sector SPDR Fund............................. $2,143,459,457 $ 49,452,505 $ 99,595,810 $ (50,143,305) Consumer Staples Select Sector SPDR Fund.................................. 2,828,474,105 13,910,105 206,873,405 (192,963,300) Energy Select Sector SPDR Fund.......... 7,431,651,043 47,193,964 1,323,091,715 (1,275,897,751) Financial Select Sector SPDR Fund....... 6,559,602,400 579,018,667 1,725,645 577,293,022 Health Care Select Sector SPDR Fund..... 3,430,717,971 29,059,941 443,331,573 (414,271,632) Industrial Select Sector SPDR Fund...... 3,571,780,452 19,273,344 271,613,391 (252,340,047) Materials Select Sector SPDR Fund....... 2,261,456,672 29,478,640 207,817,124 (178,338,484) Technology Select Sector SPDR Fund...... 5,181,393,128 152,969,477 413,330,936 (260,361,459) Utilities Select Sector SPDR Fund....... 4,188,642,661 8,162,839 659,867,913 (651,705,074)

6. INVESTMENT TRANSACTIONS For the period ended March 31, 2010, the Trust had in-kind contributions, in- kind redemptions and net in-kind realized gain/loss as follows:

NET REALIZED CONTRIBUTIONS REDEMPTIONS GAIN/(LOSS) -------------- -------------- ------------ Consumer Discretionary Select Sector SPDR Fund............................. $2,529,973,611 $2,087,712,693 $131,213,993 Consumer Staples Select Sector SPDR Fund.................................. 3,058,685,324 2,579,005,306 54,668,609 Energy Select Sector SPDR Fund.......... 6,428,493,362 6,129,072,771 301,611,138 Financial Select Sector SPDR Fund....... 6,465,584,106 7,465,435,264 831,925,360 Health Care Select Sector SPDR Fund..... 2,742,568,642 2,018,497,354 108,172,480 Industrial Select Sector SPDR Fund...... 2,603,993,789 1,844,786,499 134,451,543 Materials Select Sector SPDR Fund....... 2,741,238,618 2,674,786,067 149,394,210 Technology Select Sector SPDR Fund...... 2,919,419,733 2,376,318,196 240,729,064 Utilities Select Sector SPDR Fund....... 2,591,095,419 1,712,408,822 71,976,647

The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions on the Statements of Changes. The table represents the accumulation of the Funds' daily net shareholder transactions while the Statements of Changes reflects gross shareholder transactions including any income equalization or cash component of the transactions. 64 THE SELECT SECTOR SPDR TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- For the period ended March 31, 2010, the Trust had purchases and sales of investment securities as follows:

PURCHASES SALES ------------ ------------ Consumer Discretionary Select Sector SPDR Fund............................. $ 94,297,993 $ 94,432,941 Consumer Staples Select Sector SPDR Fund.................................. 76,346,037 80,461,728 Energy Select Sector SPDR Fund.......... 189,139,596 182,677,205 Financial Select Sector SPDR Fund....... 756,675,956 752,370,279 Health Care Select Sector SPDR Fund..... 151,652,359 46,239,175 Industrial Select Sector SPDR Fund...... 124,957,510 123,946,426 Materials Select Sector SPDR Fund....... 51,395,319 52,586,336 Technology Select Sector SPDR Fund...... 129,579,375 129,653,808 Utilities Select Sector SPDR Fund....... 160,942,210 155,474,927

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, 2010 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. 65 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION MARCH 31, 2010 (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, 2009 and held for the six months ended March 31, 2010. 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 Fund 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. 66 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2010 (UNAUDITED) --------------------------------------------------------------------------------

EXPENSES PAID ANNUALIZED BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD* EXPENSE VALUE VALUE 10/1/09 TO RATIO 10/1/09 3/31/10 3/31/10 ---------- ----------------- -------------- -------------- ACTUAL Consumer Discretionary Select Sector SPDR Fund.......................... 0.21% $1,000 $1,203.20 $1.15 Consumer Staples Select Sector SPDR Fund............................... 0.21% $1,000 $1,112.30 $1.11 Energy Select Sector SPDR Fund........ 0.21% $1,000 $1,075.70 $1.09 Financial Select Sector SPDR Fund..... 0.21% $1,000 $1,073.50 $1.09 Health Care Select Sector SPDR Fund... 0.21% $1,000 $1,128.40 $1.11 Industrial Select Sector SPDR Fund.... 0.21% $1,000 $1,195.40 $1.15 Materials Select Sector SPDR Fund..... 0.21% $1,000 $1,103.60 $1.10 Technology Select Sector SPDR Fund.... 0.21% $1,000 $1,112.40 $1.11 Utilities Select Sector SPDR Fund..... 0.21% $1,000 $1,033.30 $1.06 HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) Consumer Discretionary Select Sector SPDR Fund.......................... 0.21% $1,000 $1,023.90 $1.06 Consumer Staples Select Sector SPDR Fund............................... 0.21% $1,000 $1,023.90 $1.06 Energy Select Sector SPDR Fund........ 0.21% $1,000 $1,023.90 $1.06 Financial Select Sector SPDR Fund..... 0.21% $1,000 $1,023.90 $1.06 Health Care Select Sector SPDR Fund... 0.21% $1,000 $1,023.90 $1.06 Industrial Select Sector SPDR Fund.... 0.21% $1,000 $1,023.90 $1.06 Materials Select Sector SPDR Fund..... 0.21% $1,000 $1,023.90 $1.06 Technology Select Sector SPDR Fund.... 0.21% $1,000 $1,023.90 $1.06 Utilities Select Sector SPDR Fund..... 0.21% $1,000 $1,023.90 $1.06

* Expenses are equal to each Fund's annualized expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six-month period, then divided by 365. PROXY VOTING POLICIES You may obtain a description of the Trust's proxy voting policies and procedures without a charge, upon request by contacting the Funds directly at 1-866-732- 8673 (toll free), on the website of the Securities and Exchange Commission, at www.sec.gov, or on the Trust's website at www.sectorspdrs.com. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available without a charge, upon request, by calling 1-866-732-8673 (toll free), on the website of the Securities and Exchange Commission, at www.sec.gov, and on the Fund's website at www.sectorspdrs.com. QUARTERLY PORTFOLIO SCHEDULE The Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission for 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 a charge, by calling 1-866-732-8673 (toll free). 67 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- ADVISORY CONTRACT RENEWAL At an in-person meeting held on November 10, 2009, 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 $141 billion in assets at June 30, 2009. 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 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. 68 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- 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 each of the preceding five years through a recent date, as well as data on the Trust's profitability to State Street for the same 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 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 such 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. The Independent Trustees also noted that at an earlier meeting, State Street had voluntarily undertaken to maintain through January 31, 2011, a further breakpoint in its unitary fee for services as the Trust's Administrator, Transfer Agent and Custodian for Trust assets over $22.5 billion. COMPARISON OF FEES AND EXPENSE RATIOS In order better to evaluate the Funds' advisory fee, the Trustees had requested comparative information with respect to expense ratios and advisory fees of 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, they noted that because many ETFs paid a unitary advisory fee, encompassing all or virtually all of the ETF's operating expenses, in many cases a Fund's advisory fee, which covered only advisory services, would be misleadingly far lower than its competitors'. However, the Trustees noted that the overall expense ratios of only one competing fund sponsor's sector ETFs were lower than the Funds', and then only by a narrow margin, 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. 69 THE SELECT SECTOR SPDR TRUST OTHER INFORMATION (CONTINUED) MARCH 31, 2010 (UNAUDITED) -------------------------------------------------------------------------------- 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 SECTORS 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 STOXX Europe 50 ETF (FEU) SPDR EURO STOXX 50 ETF (FEZ) SPDR S&P Emerging Asia Pacific ETF (GMF) SPDR S&P Russia ETF (RBL) 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 Material 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) 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 ETF (KRE) SPDR KBW Mortgage Finance ETF(KME) SPDR Wells Fargo Preferred Stock ETF (PSK) SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) SPDR Barclays Capital TIPS ETF (IPE) SPDR Barclays Capital Intermediate Term Treasury ETF (ITE) SPDR Barclays Capital Long Term Treasury ETF (TLO) SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR) SPDR Barclays Capital Long Term Credit Bond ETF (LWC) SPDR Barclays Capital Convertible Securities ETF (CWB) SPDR Barclays Capital Mortgage Backed Bond ETF (MBG) SPDR Barclays Capital Aggregate Bond ETF (LAG) SPDR Nuveen Barclays Capital Municipal Bond ETF (TFI) SPDR Nuveen Barclays Capital California Municipal Bond ETF (CXA) SPDR Nuveen Barclays Capital New York Municipal Bond ETF (INY) SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF (SHM) SPDR Nuveen S&P VRDO Municipal Bond ETF (VRD) SPDR Nuveen Barclays Capital Build America Bond ETF (BABS) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital International Corporate Bond ETF (IBND) SPDR Barclays Capital High Yield Bond ETF (JNK) SDPR Barclays Capital Short Term Corporate Bond ETF (SCPB) SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA) SPDR S&P 500 ETF TRUST (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 S&P 500 ETF TRUST (SPY) AND SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA), BOTH UNIT INVESTMENT TRUSTS, AND ALL INVESTMENT PORTFOLIOS OF THE SELECT SECTOR SPDR TRUST. 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. SEL000546 Exp: 12/10 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 for each series of the Registrant 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. PURCHASES 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 Principal Executive Officer Date: June 4, 2010 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 Principal Executive Officer Date: June 4, 2010 By: /s/ Chad C. Hallett --------------------------------- Chad C. Hallett Treasurer and Principal Financial Officer Date: June 4, 2010