N-30D 1 b85930a1nv30d.htm SPDR S AND P 500 ETF TRUST nv30d
 
 
SPDR® S&P 500® ETF Trust
 
A Unit Investment Trust
 
Semi-Annual Report
 
March 31, 2011
 
(Unaudited)
 
“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500®”, “500”, “Standard & Poor’s Depositary Receipts®”, “SPDR®” and “SPDR” are trademarks of Standard & Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies, Inc. State Street Global Markets, LLC is permitted to use these trademarks pursuant to a “License Agreement” with Standard & Poor’s Financial Services LLC, and SPDR S&P 500 ETF Trust, is permitted to use these trademarks pursuant to a sublicense from State Street Global Markets, LLC. SPDR S&P 500 ETF Trust is not, however, sponsored by or affiliated with Standard & Poor’s Financial Services LLC or The McGraw-Hill Companies, Inc.
 
 
Precise in a world that isn’t. TM (SPDR LOGO)

 

 
SPDR S&P 500 ETF Trust
Schedule of Investments
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
3M Co. 
    5,281,786     $ 493,846,991  
Abbott Laboratories
    11,483,533       563,267,294  
Abercrombie & Fitch Co. (Class A)
    647,353       37,999,621  
ACE, Ltd. 
    2,491,446       161,196,556  
Adobe Systems, Inc.*
    3,757,833       124,609,742  
Advanced Micro Devices, Inc.*
    4,276,096       36,774,426  
Aetna, Inc. 
    2,852,213       106,758,333  
AFLAC, Inc. 
    3,492,698       184,344,600  
Agilent Technologies, Inc.*
    2,560,964       114,679,968  
Air Products & Chemicals, Inc. 
    1,596,770       143,996,719  
Airgas, Inc. 
    552,961       36,727,670  
AK Steel Holding Corp. 
    814,956       12,860,006  
Akamai Technologies, Inc.*
    1,391,300       52,869,400  
Alcoa, Inc. 
    7,885,502       139,179,110  
Allegheny Technologies, Inc. 
    731,222       49,518,354  
Allergan, Inc. 
    2,269,601       161,187,063  
Altera Corp. 
    2,378,537       104,703,199  
Altria Group, Inc. 
    15,523,133       404,067,152  
Amazon.com, Inc.*
    2,643,741       476,217,066  
Ameren Corp. 
    1,775,964       49,851,309  
American Electric Power Co., Inc. 
    3,571,626       125,506,938  
American Express Co. 
    7,761,264       350,809,133  
American International Group, Inc.*
    1,064,083       37,391,877  
American Tower Corp. (Class A)*
    2,950,424       152,890,972  
Ameriprise Financial, Inc. 
    1,830,405       111,801,137  
AmerisourceBergen Corp. 
    2,035,369       80,519,198  
Amgen, Inc.*
    6,922,872       370,027,508  
Amphenol Corp. (Class A)
    1,306,905       71,082,563  
Anadarko Petroleum Corp. 
    3,682,401       301,662,290  
Analog Devices, Inc. 
    2,225,533       87,641,490  
Aon Corp. 
    2,474,844       131,067,738  
Apache Corp. 
    2,840,141       371,831,260  
Apartment Investment & Management Co. (Class A)
    867,046       22,083,662  
Apollo Group, Inc. (Class A)*
    913,100       38,085,401  
Apple, Inc.*
    6,836,158       2,382,059,255  
Applied Materials, Inc. 
    9,796,373       153,019,346  
Archer-Daniels-Midland Co. 
    4,734,973       170,506,378  
Assurant, Inc. 
    742,136       28,579,657  
AT&T, Inc. 
    43,864,477       1,342,252,996  
Autodesk, Inc.*
    1,700,348       75,002,350  
Automatic Data Processing, Inc. 
    3,683,572       189,004,079  
AutoNation, Inc.*
    465,354       16,459,571  
Autozone, Inc.*
    198,098       54,191,689  
AvalonBay Communities, Inc. 
    639,642       76,808,211  
Avery Dennison Corp. 
    793,031       33,275,581  
Avon Products, Inc. 
    3,182,273       86,048,662  
Baker Hughes, Inc. 
    3,222,369       236,618,556  
Ball Corp. 
    1,254,713       44,981,461  
Bank of America Corp. 
    75,101,856       1,001,107,740  
Baxter International, Inc. 
    4,303,241       231,385,269  
BB&T Corp. 
    5,159,896       141,639,145  
Becton, Dickinson & Co. 
    1,640,281       130,599,173  
Bed Bath & Beyond, Inc.*
    1,890,947       91,276,012  
Bemis Co., Inc. 
    794,273       26,060,097  
Berkshire Hathaway, Inc. (Class B)*
    12,844,105       1,074,152,501  
Best Buy Co., Inc. 
    2,429,195       69,766,480  
Big Lots, Inc.*
    560,506       24,342,776  
Biogen Idec, Inc.*
    1,790,028       131,370,155  
BMC Software, Inc.*
    1,327,179       66,013,883  
Boston Properties, Inc. 
    1,060,035       100,544,320  
Boston Scientific Corp.*
    11,272,556       81,049,678  
Bristol-Myers Squibb Co. 
    12,632,452       333,875,706  
Broadcom Corp. (Class A)
    3,528,829       138,965,286  
Brown-Forman Corp. (Class B)
    765,241       52,265,960  
C.H. Robinson Worldwide, Inc. 
    1,231,087       91,260,479  
C.R. Bard, Inc. 
    629,415       62,507,204  
CA, Inc. 
    2,846,093       68,818,529  
Cablevision Systems Corp. 
    1,725,207       59,709,414  
Cabot Oil & Gas Corp. 
    771,112       40,845,803  
Cameron International Corp.*
    1,818,735       103,849,768  
Campbell Soup Co. 
    1,353,571       44,816,736  
Capital One Financial Corp. 
    3,397,423       176,530,099  
Cardinal Health, Inc. 
    2,598,196       106,863,801  
CareFusion Corp.*
    1,652,323       46,595,509  
CarMax Inc.*
    1,675,641       53,788,076  
Carnival Corp. 
    3,205,898       122,978,247  
Caterpillar, Inc. 
    4,740,255       527,827,394  
CB Richard Ellis Group, Inc. (Class A)*
    2,155,142       57,542,291  
CBS Corp. (Class B)
    4,992,446       125,010,848  
Celgene Corp.*
    3,451,826       198,583,550  
CenterPoint Energy, Inc. 
    3,156,194       55,422,767  
CenturyLink, Inc. 
    2,270,656       94,345,757  
Cephalon, Inc.*
    557,758       42,266,901  
Cerner Corp.*
    532,866       59,254,699  
CF Industries Holdings, Inc. 
    527,485       72,154,673  
Chesapeake Energy Corp. 
    4,886,025       163,779,558  
Chevron Corp. 
    14,895,885       1,600,264,926  
Chubb Corp. 
    2,190,394       134,293,056  
CIGNA Corp. 
    2,009,082       88,962,151  
Cincinnati Financial Corp. 
    1,208,797       39,648,542  
Cintas Corp. 
    938,817       28,417,991  
Cisco Systems, Inc. 
    41,019,296       703,480,926  
Citigroup, Inc.*
    215,604,065       952,969,967  
Citrix Systems, Inc.*
    1,393,502       102,366,657  
Cliffs Natural Resources, Inc. 
    1,004,806       98,752,334  
 
See accompanying notes to financial statements.


1

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
Clorox Co. 
    1,021,747     $ 71,593,812  
CME Group, Inc. 
    496,432       149,699,070  
CMS Energy Corp. 
    1,875,048       36,825,943  
Coach, Inc. 
    2,196,793       114,321,108  
Coca-Cola Enterprises Inc. 
    2,450,231       66,891,306  
Cognizant Technology Solutions Corp. (Class A)*
    2,260,012       183,964,977  
Colgate-Palmolive Co. 
    3,667,052       296,151,120  
Comcast Corp. (Class A)
    20,602,439       509,292,292  
Comerica, Inc. 
    1,308,756       48,057,520  
Computer Sciences Corp. 
    1,145,402       55,815,439  
Compuware Corp.*
    1,628,043       18,803,897  
ConAgra Foods, Inc. 
    3,235,237       76,836,879  
ConocoPhillips
    10,609,124       847,244,643  
CONSOL Energy, Inc. 
    1,674,596       89,808,583  
Consolidated Edison, Inc. 
    2,169,343       110,029,077  
Constellation Brands, Inc. (Class A)*
    1,316,500       26,698,620  
Constellation Energy Group, Inc. 
    1,481,793       46,128,216  
Corning, Inc. 
    11,618,034       239,680,041  
Costco Wholesale Corp. 
    3,239,155       237,494,845  
Coventry Health Care, Inc.*
    1,100,339       35,089,811  
Covidien PLC
    3,665,445       190,383,213  
CSX Corp. 
    2,750,285       216,172,401  
Cummins, Inc. 
    1,465,899       160,691,848  
CVS Caremark Corp. 
    10,152,210       348,423,847  
D.R. Horton, Inc. 
    2,065,375       24,061,619  
Danaher Corp. 
    4,010,874       208,164,361  
Darden Restaurants, Inc. 
    1,026,425       50,428,260  
DaVita, Inc.*
    712,710       60,943,832  
Dean Foods Co.*
    1,354,613       13,546,130  
Deere & Co. 
    3,124,256       302,709,164  
Dell, Inc.*
    12,474,260       181,001,513  
Denbury Resources, Inc.*
    2,963,889       72,318,892  
DENTSPLY International, Inc. 
    1,055,307       39,035,806  
Devon Energy Corp. 
    3,170,461       290,953,206  
DeVry, Inc. 
    457,237       25,180,042  
Diamond Offshore Drilling, Inc. 
    515,617       40,063,441  
DIRECTV*
    5,883,668       275,355,662  
Discover Financial Services
    4,038,350       97,405,002  
Discovery Communications, Inc. (Class A)*
    2,090,456       83,409,194  
Dominion Resources, Inc. 
    4,314,662       192,865,391  
Dover Corp. 
    1,385,359       91,073,501  
Dr. Pepper Snapple Group, Inc. 
    1,663,029       61,798,158  
DTE Energy Co. 
    1,253,060       61,349,818  
Duke Energy Corp. 
    9,873,816       179,209,760  
Dun & Bradstreet Corp. 
    369,350       29,636,644  
E*TRADE Financial Corp.*
    1,643,714       25,691,250  
E. I. du Pont de Nemours & Co. 
    6,838,831       375,930,540  
Eastman Chemical Co. 
    524,877       52,130,784  
Eaton Corp. 
    2,529,613       140,241,745  
eBay, Inc.*
    8,483,635       263,332,030  
Ecolab, Inc. 
    1,721,407       87,826,185  
Edison International
    2,416,202       88,408,831  
Edwards Lifesciences Corp.*
    854,500       74,341,500  
El Paso Corp. 
    5,221,159       93,980,862  
Electronic Arts, Inc.*
    2,483,804       48,508,692  
Eli Lilly & Co. 
    7,559,348       265,862,269  
EMC Corp.*
    15,349,513       407,529,570  
Emerson Electric Co. 
    5,595,700       326,956,751  
Entergy Corp. 
    1,329,610       89,363,088  
EOG Resources, Inc. 
    1,988,823       235,695,414  
EQT Corp. 
    1,105,872       55,183,013  
Equifax, Inc. 
    914,601       35,532,249  
Equity Residential
    2,181,464       123,056,384  
Exelon Corp. 
    4,911,239       202,539,496  
Expedia, Inc. 
    1,485,389       33,658,915  
Expeditors International of Washington, Inc. 
    1,575,046       78,972,806  
Express Scripts, Inc.*
    3,919,994       217,990,866  
Exxon Mobil Corp. 
    36,794,240       3,095,499,411  
F5 Networks Inc.*
    599,816       61,523,127  
Family Dollar Stores, Inc. 
    933,566       47,910,607  
Fastenal Co. 
    1,093,289       70,877,926  
Federated Investors, Inc. (Class B)
    688,139       18,407,718  
FedEx Corp. 
    2,337,537       218,676,586  
Fidelity National Information Services, Inc. 
    1,978,080       64,663,435  
Fifth Third Bancorp
    6,802,063       94,412,634  
First Horizon National Corp. 
    1,938,770       21,733,612  
First Solar Inc.*
    399,951       64,328,119  
FirstEnergy Corp. 
    3,100,806       115,008,895  
Fiserv, Inc.*
    1,084,633       68,028,182  
FLIR Systems, Inc. 
    1,175,652       40,689,316  
Flowserve Corp. 
    413,497       53,258,414  
Fluor Corp. 
    1,310,829       96,555,664  
FMC Corp. 
    530,869       45,086,704  
FMC Technologies, Inc.*
    892,275       84,302,142  
Ford Motor Co.*
    28,068,781       418,505,525  
Forest Laboratories, Inc.*
    2,116,779       68,371,962  
Fortune Brands, Inc. 
    1,139,723       70,537,456  
Franklin Resources, Inc. 
    1,075,832       134,565,067  
Freeport-McMoRan Copper & Gold, Inc. 
    7,023,300       390,144,315  
Frontier Communications Corp. 
    7,370,712       60,587,253  
GameStop Corp. (Class A)*
    1,119,845       25,218,909  
Gannett Co., Inc. 
    1,772,447       26,994,368  
 
See accompanying notes to financial statements.


2

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
General Dynamics Corp. 
    2,766,986     $ 211,840,448  
General Electric Co. 
    78,792,193       1,579,783,470  
General Mills, Inc. 
    4,721,589       172,574,078  
Genuine Parts Co. 
    1,167,360       62,617,190  
Genworth Financial, Inc. (Class A)*
    3,631,039       48,873,785  
Genzyme Corp.*
    1,919,032       146,134,287  
Gilead Sciences, Inc.*
    5,902,751       250,512,752  
Goodrich Corp. 
    929,568       79,505,951  
Google, Inc. (Class A)*
    1,860,918       1,090,888,741  
H&R Block, Inc. 
    2,266,356       37,938,799  
H.J. Heinz Co. 
    2,390,480       116,703,234  
Halliburton Co. 
    6,777,404       337,785,815  
Harley-Davidson, Inc. 
    1,745,573       74,169,397  
Harman International Industries, Inc. 
    515,678       24,144,044  
Harris Corp. 
    951,378       47,188,349  
Hartford Financial Services Group, Inc. 
    3,296,540       88,775,822  
Hasbro, Inc. 
    1,018,068       47,686,305  
HCP, Inc. 
    2,977,182       112,954,285  
Health Care REIT, Inc. 
    1,309,838       68,687,905  
Helmerich & Payne, Inc. 
    785,957       53,987,386  
Hess Corp. 
    2,232,713       190,249,475  
Hewlett-Packard Co. 
    16,128,620       660,789,561  
Honeywell International, Inc. 
    5,818,394       347,416,306  
Hormel Foods Corp. 
    1,027,216       28,597,693  
Hospira, Inc.*
    1,237,067       68,286,098  
Host Hotels & Resorts, Inc. 
    5,057,785       89,067,594  
Hudson City Bancorp, Inc. 
    3,905,056       37,800,942  
Humana, Inc.*
    1,248,154       87,295,891  
Huntington Bancshares, Inc. 
    6,401,336       42,504,871  
Huntington Ingalls Industries Inc.*
    31,437       1,304,636  
Illinois Tool Works, Inc. 
    3,698,427       198,679,498  
Ingersoll-Rand PLC
    2,449,322       118,326,746  
Integrys Energy Group, Inc. 
    572,564       28,920,208  
Intel Corp. 
    40,722,529       821,373,410  
IntercontinentalExchange, Inc.*
    542,611       67,034,163  
International Business Machines Corp. 
    9,049,273       1,475,664,948  
International Flavors & Fragrances, Inc. 
    593,381       36,967,636  
International Game Technology
    2,211,116       35,886,413  
International Paper Co. 
    3,266,946       98,596,430  
Intuit, Inc.*
    2,020,972       107,313,613  
Intuitive Surgical, Inc.*
    288,532       96,213,881  
Invesco, Ltd. 
    3,416,134       87,316,385  
Iron Mountain, Inc. 
    1,482,946       46,312,404  
ITT Corp. 
    1,360,396       81,691,780  
J.C. Penney Co., Inc. 
    1,751,953       62,912,632  
Jabil Circuit, Inc. 
    1,446,912       29,560,412  
Jacobs Engineering Group, Inc.*
    932,174       47,941,709  
Janus Capital Group, Inc. 
    1,361,201       16,974,176  
JDS Uniphase Corp.*
    1,653,408       34,457,023  
Johnson & Johnson
    20,296,088       1,202,543,214  
Johnson Controls, Inc. 
    5,026,148       208,936,972  
Joy Global Inc. 
    778,373       76,911,036  
JPMorgan Chase & Co. 
    29,558,730       1,362,657,453  
Juniper Networks, Inc.*
    3,969,283       167,027,429  
Kellogg Co. 
    1,870,901       100,991,236  
KeyCorp
    7,071,105       62,791,412  
Kimberly-Clark Corp. 
    3,003,049       196,009,008  
Kimco Realty Corp. 
    3,010,596       55,214,331  
KLA-Tencor Corp. 
    1,238,685       58,676,508  
Kohl’s Corp. 
    2,168,420       115,012,997  
Kraft Foods, Inc. (Class A)
    12,977,549       406,975,937  
L-3 Communications Holdings, Inc. 
    839,496       65,740,932  
Laboratory Corp. of America Holdings*
    742,156       68,374,832  
Legg Mason, Inc. 
    1,133,816       40,919,419  
Leggett & Platt, Inc. 
    1,088,920       26,678,540  
Lennar Corp. (Class A)
    1,178,538       21,355,109  
Leucadia National Corp. 
    1,461,369       54,859,792  
Lexmark International, Inc. (Class A)*
    584,651       21,655,473  
Life Technologies Corp.*
    1,335,422       70,002,821  
Limited Brands, Inc. 
    1,960,165       64,450,225  
Lincoln National Corp. 
    2,347,635       70,522,955  
Linear Technology Corp. 
    1,685,589       56,686,358  
Lockheed Martin Corp. 
    2,128,588       171,138,475  
Loews Corp. 
    2,334,395       100,589,081  
Lorillard, Inc. 
    1,080,121       102,622,296  
Lowe’s Cos., Inc. 
    10,240,007       270,643,385  
LSI Corp.*
    4,577,364       31,126,075  
M & T Bank Corp. 
    893,446       79,043,168  
Macy’s, Inc. 
    3,140,303       76,183,751  
Marathon Oil Corp. 
    5,270,446       280,967,476  
Marriott International, Inc. (Class A)
    2,159,566       76,837,358  
Marsh & McLennan Cos., Inc. 
    4,029,928       120,132,154  
Marshall & Ilsley Corp. 
    3,914,703       31,278,477  
Masco Corp. 
    2,658,650       37,008,408  
Massey Energy Co. 
    768,686       52,547,375  
MasterCard, Inc. (Class A)
    717,148       180,520,495  
Mattel, Inc. 
    2,587,373       64,503,209  
McCormick & Co., Inc. 
    985,160       47,120,203  
McDonald’s Corp. 
    7,741,538       589,053,626  
 
See accompanying notes to financial statements.


3

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
McKesson Corp. 
    1,888,670     $ 149,299,363  
Mead Johnson Nutrition Co. 
    1,517,056       87,883,054  
MeadWestvaco Corp. 
    1,247,103       37,824,634  
Medco Health Solutions, Inc.*
    2,998,926       168,419,684  
Medtronic, Inc. 
    7,940,459       312,457,062  
MEMC Electronic Materials, Inc.*
    1,686,100       21,851,856  
Merck & Co., Inc. 
    22,877,313       755,180,102  
MetLife, Inc. 
    7,829,534       350,215,056  
MetroPCS Communications, Inc.*
    1,943,162       31,556,951  
Microchip Technology, Inc. 
    1,400,345       53,227,113  
Micron Technology, Inc.*
    6,353,755       72,814,032  
Microsoft Corp. 
    54,866,261       1,391,408,379  
Molex, Inc. 
    1,012,491       25,433,774  
Molson Coors Brewing Co. (Class B)
    1,172,999       55,001,923  
Monsanto Co. 
    3,982,463       287,772,776  
Monster Worldwide, Inc.*
    967,472       15,382,805  
Moody’s Corp. 
    1,481,050       50,222,406  
Morgan Stanley
    11,476,247       313,531,068  
Motorola Mobility Holdings Inc.*
    2,177,630       53,134,172  
Motorola Solutions Inc.*
    2,501,275       111,781,980  
Murphy Oil Corp. 
    1,432,795       105,195,809  
Mylan, Inc.*
    3,247,077       73,611,236  
Nabors Industries, Ltd.*
    2,116,612       64,302,673  
National Semiconductor Corp. 
    1,774,171       25,441,612  
National-Oilwell Varco, Inc. 
    3,124,518       247,680,542  
NetApp, Inc.*
    2,734,231       131,735,250  
Netflix Inc.*
    326,136       77,401,857  
Newell Rubbermaid, Inc. 
    2,152,789       41,182,854  
Newfield Exploration Co.*
    992,827       75,464,780  
Newmont Mining Corp. 
    3,664,065       199,984,668  
News Corp. (Class A)
    16,945,883       297,569,705  
NextEra Energy, Inc. 
    3,123,561       172,170,682  
Nicor, Inc. 
    337,667       18,132,718  
NIKE, Inc. (Class B)
    2,840,424       215,020,097  
NiSource, Inc. 
    2,062,587       39,560,419  
Noble Corp. 
    1,873,083       85,450,046  
Noble Energy, Inc. 
    1,305,756       126,201,317  
Nordstrom, Inc. 
    1,243,615       55,813,441  
Norfolk Southern Corp. 
    2,643,239       183,097,166  
Northeast Utilities
    1,307,299       45,232,545  
Northern Trust Corp. 
    1,795,870       91,140,403  
Northrop Grumman Corp. 
    2,163,982       135,703,311  
Novell, Inc.*
    2,602,666       15,433,809  
Novellus Systems, Inc.*
    668,384       24,817,098  
NRG Energy, Inc.*
    1,831,855       39,458,157  
Nucor Corp. 
    2,341,551       107,758,177  
NVIDIA Corp.*
    4,308,943       79,543,088  
NYSE Euronext (a)
    1,934,344       68,030,878  
O’Reilly Automotive Inc.*
    1,048,642       60,254,969  
Occidental Petroleum Corp. 
    6,031,605       630,242,406  
Omnicom Group, Inc. 
    2,103,958       103,220,179  
Oneok Inc. 
    789,754       52,818,748  
Oracle Corp. 
    28,867,608       963,312,079  
Owens-Illinois, Inc.*
    1,212,451       36,603,896  
PACCAR, Inc. 
    2,713,617       142,057,850  
Pall Corp. 
    854,164       49,208,388  
Parker-Hannifin Corp. 
    1,202,779       113,879,116  
Patterson Cos., Inc. 
    710,837       22,881,843  
Paychex, Inc. 
    2,386,819       74,850,644  
Peabody Energy Corp. 
    2,009,742       144,621,034  
People’s United Financial, Inc. 
    2,687,788       33,812,373  
Pepco Holdings, Inc. 
    1,661,249       30,982,294  
PepsiCo, Inc. 
    11,772,260       758,251,267  
PerkinElmer, Inc. 
    840,912       22,090,758  
Pfizer, Inc. 
    59,326,862       1,204,928,567  
PG&E Corp. 
    2,944,317       130,079,925  
Philip Morris International, Inc. 
    13,335,170       875,187,207  
Pinnacle West Capital Corp. 
    805,969       34,487,414  
Pioneer Natural Resources Co. 
    864,877       88,148,264  
Pitney Bowes, Inc. 
    1,507,018       38,715,292  
Plum Creek Timber Co., Inc. 
    1,198,227       52,254,679  
PNC Financial Services Group, Inc. 
    3,899,435       245,625,411  
Polo Ralph Lauren Corp. 
    486,165       60,114,302  
PPG Industries, Inc. 
    1,192,465       113,534,593  
PPL Corp. 
    3,583,455       90,661,412  
Praxair, Inc. 
    2,252,029       228,806,146  
Precision Castparts Corp. 
    1,065,739       156,855,466  
priceline.com Inc.*
    365,030       184,865,793  
Principal Financial Group, Inc. 
    2,375,577       76,279,777  
Progress Energy, Inc. 
    2,172,527       100,240,396  
ProLogis
    4,219,696       67,430,742  
Prudential Financial, Inc. 
    3,606,218       222,070,904  
Public Service Enterprise Group, Inc. 
    3,749,253       118,138,962  
Public Storage, Inc. 
    1,035,497       114,846,972  
Pulte Group, Inc.*
    2,502,290       18,516,946  
QEP Resources, Inc. 
    1,303,159       52,830,066  
QUALCOMM, Inc. 
    12,197,045       668,763,977  
Quanta Services, Inc.*
    1,597,201       35,825,218  
Quest Diagnostics, Inc. 
    1,157,180       66,792,430  
Qwest Communications International, Inc. 
    12,924,174       88,272,108  
R.R. Donnelley & Sons Co. 
    1,528,964       28,927,999  
RadioShack Corp. 
    785,765       11,794,333  
Range Resources Corp. 
    1,186,919       69,387,285  
Raytheon Co. 
    2,670,596       135,853,219  
 
See accompanying notes to financial statements.


4

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
Red Hat, Inc.*
    1,434,076     $ 65,092,710  
Regions Financial Corp. 
    9,308,153       67,577,191  
Republic Services, Inc. 
    2,279,404       68,473,296  
Reynolds American, Inc. 
    2,507,534       89,092,683  
Robert Half International, Inc. 
    1,091,448       33,398,309  
Rockwell Automation, Inc. 
    1,057,402       100,083,099  
Rockwell Collins, Inc. 
    1,151,573       74,656,478  
Roper Industries Inc. 
    708,371       61,245,757  
Ross Stores Inc. 
    884,383       62,897,319  
Rowan Cos., Inc.*
    936,259       41,363,923  
Ryder System, Inc. 
    380,113       19,233,718  
Safeway, Inc. 
    2,734,001       64,358,384  
SAIC, Inc.*
    2,176,042       36,818,631  
Salesforce.com, Inc.*
    876,925       117,139,641  
SanDisk Corp.*
    1,758,980       81,071,388  
Sara Lee Corp. 
    4,619,173       81,620,787  
SCANA Corp. 
    837,947       32,989,973  
Schlumberger, Ltd. 
    10,098,953       941,828,357  
Scripps Networks Interactive (Class A)
    668,480       33,484,163  
Sealed Air Corp. 
    1,183,809       31,560,348  
Sears Holdings Corp.*
    323,235       26,715,373  
Sempra Energy
    1,779,965       95,228,127  
Sherwin-Williams Co. 
    660,837       55,503,700  
Sigma-Aldrich Corp. 
    906,053       57,661,213  
Simon Property Group, Inc. 
    2,203,571       236,134,668  
SLM Corp.*
    3,907,203       59,780,206  
Snap-on, Inc. 
    431,314       25,904,719  
Southern Co. 
    6,274,726       239,129,808  
Southwest Airlines Co. 
    5,540,605       69,977,841  
Southwestern Energy Co.*
    2,583,299       111,004,358  
Spectra Energy Corp. 
    4,803,759       130,566,170  
Sprint Nextel Corp.*
    22,148,944       102,771,100  
St. Jude Medical, Inc. 
    2,413,341       123,707,860  
Stanley Black & Decker, Inc. 
    1,242,256       95,156,810  
Staples, Inc. 
    5,342,073       103,743,058  
Starbucks Corp. 
    5,535,531       204,537,870  
Starwood Hotels & Resorts Worldwide, Inc. 
    1,427,939       82,991,815  
State Street Corp. (a)
    3,730,274       167,638,514  
Stericycle, Inc.*
    631,656       56,008,938  
Stryker Corp. 
    2,497,987       151,877,610  
Sunoco, Inc. 
    894,330       40,772,505  
SunTrust Banks, Inc. 
    3,982,032       114,841,803  
SUPERVALU, Inc. 
    1,572,541       14,042,791  
Symantec Corp.*
    5,666,166       105,050,718  
Sysco Corp. 
    4,326,575       119,846,127  
T. Rowe Price Group, Inc. 
    1,924,721       127,839,969  
Target Corp. 
    5,254,112       262,758,141  
TECO Energy, Inc. 
    1,591,262       29,852,075  
Tellabs, Inc. 
    2,690,853       14,100,070  
Tenet Healthcare Corp.*
    3,597,968       26,804,862  
Teradata Corp.*
    1,242,016       62,970,211  
Teradyne, Inc.*
    1,377,906       24,540,506  
Tesoro Corp.*
    1,051,751       28,218,479  
Texas Instruments, Inc. 
    8,701,835       300,735,418  
Textron, Inc. 
    2,037,137       55,797,182  
The AES Corp.*
    4,909,267       63,820,471  
The Allstate Corp. 
    3,932,872       124,986,672  
The Bank of New York Mellon Corp. 
    9,214,698       275,243,029  
The Boeing Co. 
    5,463,510       403,917,294  
The Charles Schwab Corp. 
    7,420,759       133,796,285  
The Coca-Cola Co. 
    17,024,489       1,129,574,845  
The Dow Chemical Co. 
    8,666,285       327,152,259  
The Estee Lauder Cos., Inc. (Class A)
    850,853       81,988,195  
The Gap, Inc. 
    3,238,888       73,393,202  
The Goldman Sachs Group, Inc. 
    3,862,328       612,063,118  
The Goodyear Tire & Rubber Co.*
    1,801,651       26,988,732  
The Hershey Co. 
    1,146,147       62,293,089  
The Home Depot, Inc. 
    12,160,491       450,667,796  
The Interpublic Group of Cos., Inc. 
    3,621,600       45,523,512  
The JM Smucker Co. 
    883,402       63,066,069  
The Kroger Co. 
    4,718,916       113,112,417  
The McGraw-Hill Cos., Inc. 
    2,277,058       89,716,085  
The NASDAQ OMX Group, Inc.*
    1,102,362       28,485,034  
The Procter & Gamble Co. 
    20,782,595       1,280,207,852  
The Progressive Corp. 
    4,900,893       103,555,869  
The Travelers Cos., Inc. 
    3,200,833       190,385,547  
The Walt Disney Co. 
    14,091,685       607,210,707  
The Washington Post Co. (Class B)
    39,365       17,224,549  
The Western Union Co. 
    4,802,137       99,740,385  
The Williams Cos., Inc. 
    4,354,868       135,784,784  
Thermo Fisher Scientific, Inc.*
    2,899,701       161,078,391  
Tiffany & Co. 
    937,684       57,611,305  
Time Warner Cable, Inc. 
    2,547,381       181,730,161  
Time Warner, Inc. 
    8,113,213       289,641,704  
Titanium Metals Corp.*
    669,468       12,438,715  
TJX Cos., Inc. 
    2,933,270       145,871,517  
Torchmark Corp. 
    578,075       38,430,426  
Total System Services, Inc. 
    1,212,793       21,854,530  
Tyco International, Ltd. 
    3,515,103       157,371,161  
Tyson Foods, Inc. (Class A)
    2,210,119       42,412,184  
U.S. Bancorp
    14,261,407       376,928,987  
Union Pacific Corp. 
    3,643,394       358,254,932  
 
See accompanying notes to financial statements.


5

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
                 
Common Stocks   Shares     Value  
 
 
United Parcel Service, Inc. (Class B)
    7,324,742     $ 544,374,825  
United States Steel Corp. 
    1,064,916       57,441,569  
United Technologies Corp. 
    6,830,104       578,168,304  
UnitedHealth Group, Inc. 
    8,115,504       366,820,781  
Unum Group
    2,298,305       60,330,506  
Urban Outfitters, Inc.*
    954,939       28,485,830  
V.F. Corp. 
    642,404       63,296,066  
Valero Energy Corp. 
    4,227,242       126,056,356  
Varian Medical Systems, Inc.*
    892,019       60,336,165  
Ventas, Inc. 
    1,211,866       65,804,324  
VeriSign, Inc. 
    1,288,985       46,674,147  
Verizon Communications, Inc. 
    20,985,084       808,765,137  
Viacom, Inc. (Class B)
    4,432,290       206,190,131  
Visa Inc. (Class A)
    3,596,097       264,744,661  
Vornado Realty Trust
    1,214,385       106,258,687  
Vulcan Materials Co. 
    951,939       43,408,418  
W.W. Grainger, Inc. 
    433,274       59,653,164  
Wal-Mart Stores, Inc. 
    14,537,064       756,654,181  
Walgreen Co. 
    6,849,112       274,923,356  
Waste Management, Inc. 
    3,526,006       131,661,064  
Waters Corp.*
    677,338       58,860,672  
Watson Pharmaceuticals, Inc.*
    929,122       52,040,123  
WellPoint, Inc. 
    2,784,539       194,332,977  
Wells Fargo & Co. 
    39,090,606       1,239,172,210  
Western Digital Corp.*
    1,721,286       64,186,755  
Weyerhaeuser Co. 
    3,990,325       98,161,995  
Whirlpool Corp. 
    564,589       48,193,317  
Whole Foods Market, Inc. 
    1,095,775       72,211,573  
Windstream Corp. 
    3,751,242       48,278,485  
Wisconsin Energy Corp. 
    1,733,930       52,884,865  
Wyndham Worldwide Corp. 
    1,286,540       40,924,837  
Wynn Resorts, Ltd. 
    564,840       71,875,890  
Xcel Energy, Inc. 
    3,581,696       85,566,717  
Xerox Corp. 
    10,398,301       110,741,906  
Xilinx, Inc. 
    1,939,799       63,625,407  
XL Group PLC
    2,306,963       56,751,290  
Yahoo!, Inc.*
    9,727,839       161,968,519  
Yum! Brands, Inc. 
    3,472,530       178,418,591  
Zimmer Holdings, Inc.*
    1,425,957       86,313,177  
Zions Bancorporation
    1,361,167       31,388,511  
                 
Total Common Stocks (b)
(Cost 87,353,562,440)
          $ 89,617,452,687  
                 
 
 *   Non-income producing security
(a)  Affiliated Issuer. See following table for more information.
(b)  The values of the securities of the Trust are determined based on Level 1 inputs. (Note 2)
REIT = Real Estate Investment Trust
 
Trasactions with Affiliates
SPDR S&P 500 ETF Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and Sponsor (NYSE Euronext). Amounts related to these investments at March 31, 2011, and for the period then ended are:
 
                                                                                         
    Number
 		                                        Number
 		                   
    of Shares
 		                                        of Shares
 		                   
    Held at
 		    Cost at
 		    Value at
 		    Purchased     Sold     Held at
 		    Value at
 		    Dividend
 		    Realized
 		 
 
  9/30/10     9/30/10     9/30/10     Cost     Shares     Proceeds     Shares     3/31/11     3/31/11     Income     Gain  
 
State Street Corp. 
    3,790,256     $ 173,797,049     $ 142,741,041     $ 171,483,799       3,888,336     $ 174,181,709       3,948,318       3,730,274     $ 167,638,514     $ 725,119     $ 7,058,192  
NYSE Euronext
    1,971,626       58,879,912       56,329,355       64,200,817       2,013,624       65,608,712       2,050,906       1,934,344       68,030,878       1,163,787       5,496,393  
 
See accompanying notes to financial statements.


6

 

SPDR S&P 500 ETF Trust
Schedule of Investments (continued)
March 31, 2011 (Unaudited)
 
INDUSTRY BREAKDOWN AS OF MARCH 31, 2011*
 
         
INDUSTRY**   VALUE  
 
 
Oil, Gas & Consumable Fuels
  $ 9,647,325,800  
Pharmaceuticals
    4,749,153,634  
Computers & Peripherals
    3,930,028,765  
Diversified Financial Services
    3,735,066,503  
Insurance
    3,442,574,371  
Software
    3,268,874,699  
Media
    2,951,282,674  
IT Services
    2,778,640,617  
Commercial Banks
    2,596,994,952  
Aerospace & Defense
    2,499,589,782  
Diversified Telecommunication Services
    2,442,501,736  
Energy Equipment & Services
    2,237,232,649  
Industrial Conglomerates
    2,231,001,622  
Semiconductors & Semiconductor Equipment
    2,219,890,347  
Machinery
    2,208,933,780  
Capital Markets
    2,156,927,538  
Beverages
    2,150,482,079  
Food & Staples Retailing
    2,001,067,521  
Chemicals
    1,921,251,598  
Communications Equipment
    1,861,457,053  
Health Care Providers & Services
    1,848,150,655  
Household Products
    1,843,961,792  
Health Care Equipment & Supplies
    1,686,803,107  
Specialty Retail
    1,678,513,297  
Internet Software & Services
    1,631,115,642  
Food Products
    1,515,943,687  
Electric Utilities
    1,512,941,559  
Tobacco
    1,470,969,338  
Hotels, Restaurants & Leisure
    1,453,932,907  
Real Estate Investment Trusts (REITs)
    1,389,308,759  
Biotechnology
    1,138,895,153  
Multi-Utilities
    1,119,565,576  
Metals & Mining
    1,068,077,248  
Air Freight & Logistics
    933,284,696  
Internet & Catalog Retail
    772,143,631  
Road & Rail
    776,758,217  
Consumer Finance
    684,524,440  
Multiline Retail
    671,649,718  
Automobiles
    492,674,922  
Electrical Equipment
    488,285,607  
Textiles, Apparel & Luxury Goods
    452,751,573  
Commercial Services & Supplies
    431,792,565  
Life Sciences Tools & Services
    426,712,610  
Electronic Equipment, Instruments & Components
    406,446,106  
Household Durables
    369,826,695  
Wireless Telecommunication Services
    287,219,023  
Auto Components
    235,925,704  
Construction & Engineering
    180,322,591  
Personal Products
    168,036,857  
Independent Power Producers & Energy Traders
    149,406,844  
Containers & Packaging
    139,205,802  
Paper & Forest Products
    136,421,064  
Trading Companies & Distributors
    130,531,090  
Leisure Equipment & Products
    112,189,514  
Office Electronics
    110,741,906  
Diversified Consumer Services
    101,204,242  
Professional Services
    98,567,202  
Thrifts & Mortgage Finance
    71,613,315  
Gas Utilities
    70,951,466  
Airlines
    69,977,841  
Distributors
    62,617,190  
Health Care Technology
    59,254,699  
Real Estate Management & Development
    57,542,291  
Construction Materials
    43,408,418  
Building Products
    37,008,408  
TOTAL
  $ 89,617,452,687  
 
 * SPDR S&P 500 ETF Trust’s industry breakdown is expressed as market value by industry and may change over time.
 
** Each security is valued based on Level 1 inputs.
 
See accompanying notes to financial statements.


7

 

 
SPDR S&P 500 ETF Trust
Statement of Assets and Liabilities
March 31, 2011 (Unaudited)
 
         
ASSETS
       
Investments in unaffiliated issuers, at value
  $ 89,381,783,295  
Investments in affiliated issuers, at value
    235,669,392  
         
Total investments
    89,617,452,687  
Cash
    364,134,177  
Receivable for investments sold
    56,942,578  
Dividends receivable — unaffiliated issuers
    114,123,145  
Dividends receivable — affiliated issuers
    685,211  
         
Total Assets
    90,153,337,798  
         
LIABILITIES
       
Payable for investments purchased
    74,341,500  
Payable for units of fractional undivided interest (“Units”) redeemed in-kind
    554,222  
Income distribution payable
    397,135,534  
Accrued trustee expense
    2,563,376  
Accrued expenses and other liabilities
    18,571,735  
         
Total Liabilities
    493,166,367  
         
NET ASSETS
  $ 89,660,171,431  
         
NET ASSETS CONSIST OF:
       
Paid in Capital (Note 4)
  $ 96,247,876,300  
Distribution in excess of net investment income
    (471,714,147 )
Accumulated net realized loss on investments
    (8,379,880,969 )
Net unrealized appreciation on investments
    2,263,890,247  
         
NET ASSETS
  $ 89,660,171,431  
         
NET ASSET VALUE PER UNIT
  $ 132.55  
         
UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE
    676,432,116  
         
COST OF INVESTMENTS:
       
Unaffiliated issuers
  $ 87,112,436,700  
Affiliated issuers
    241,125,740  
         
Total Cost of Investments
  $ 87,353,562,440  
         
 
See accompanying notes to financial statements.


8

 

 
SPDR S&P 500 ETF Trust
Statements of Operations
 
                                 
    For the
 		    For the
 		    For the
 		    For the
 		 
    Six Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2011
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2010     2009     2008  
 
INVESTMENT INCOME
                               
Dividend income — unaffiliated issuers
  $ 897,957,096     $ 1,516,348,569     $ 1,899,322,298     $ 1,628,431,147  
Dividend income — affiliated issuers
    1,888,906       155,923       2,239,900       2,890,454  
                                 
Total Investment Income
    899,846,002       1,516,504,492       1,901,562,198       1,631,321,601  
                                 
EXPENSES
                               
Trustee expense
    24,831,518       40,693,484       37,299,801       36,310,380  
S&P license fee
    13,982,036       21,931,368       21,492,906       23,977,390  
Marketing expense
    8,841,701       14,620,912       14,233,147       18,115,010  
Legal and audit services
    157,498       422,917       277,642       155,059  
Other expenses
    705,539       1,543,741       1,050,269       2,341,136  
                                 
Total Expenses
    48,518,292       79,212,422       74,353,765       80,898,975  
Trustee expense waiver
    (6,741,256 )     (10,128,612 )     (7,102,147 )     (6,923,474 )
                                 
Net Expenses
    41,777,036       69,083,810       67,251,618       73,975,501  
                                 
NET INVESTMENT INCOME
    858,068,966       1,447,420,682       1,834,310,580       1,557,346,100  
                                 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
                               
Net realized gain (loss) on:
                               
Investment transactions — unaffiliated issuers
    8,300,795,836       16,730,164,234       (44,584,311,986 )     (8,458,807,396 )
Investment transactions — affiliated issuers
    12,554,585       8,836,491       (166,785,981 )     19,363,771  
Net change in unrealized appreciation (depreciation) on:
                               
Investment transactions — unaffiliated issuers
    4,437,117,468       (11,825,602,638 )     29,208,992,488       (12,549,019,477 )
Investment transactions — affiliated issuers
    28,150,217       (66,024,806 )     90,665,805       (54,343,615 )
                                 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
    12,778,618,106       4,847,373,281       (15,451,439,674 )     (21,042,806,717 )
                                 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
  $ 13,636,687,072     $ 6,294,793,963     $ (13,617,129,094 )   $ (19,485,460,617 )
                                 
 
See accompanying notes to financial statements.


9

 

 
SPDR S&P 500 ETF Trust
Statements of Changes in Net Assets
 
                                 
    For the
 		    For the
 		    For the
 		    For the
 		 
    Six Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2011
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2010     2009     2008  
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
                               
Net investment income
  $ 858,068,966     $ 1,447,420,682     $ 1,834,310,580     $ 1,557,346,100  
Net realized gain (loss) on investment transactions
    8,313,350,421       16,739,000,725       (44,751,097,967 )     (8,439,443,625 )
Net change in unrealized appreciation (depreciation)
    4,465,267,685       (11,891,627,444 )     29,299,658,293       (12,603,363,092 )
                                 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
    13,636,687,072       6,294,793,963       (13,617,129,094 )     (19,485,460,617 )
                                 
NET EQUALIZATION CREDITS AND CHARGES
    50,272,459       102,137,436       79,929,657       218,645,921  
                                 
DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME
    (903,078,136 )     (1,549,861,683 )     (1,938,730,332 )     (1,782,447,532 )
                                 
                                 
INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:
                               
Proceeds from sale of Units
    188,279,014,772       400,829,082,743       343,468,772,184       445,910,262,535  
Proceeds from reinvestment of distributions
    —       2,216,596       12,270,791       13,008,992  
Cost of Units repurchased
    (189,543,333,679 )     (399,041,216,070 )     (349,232,583,429 )     (410,330,564,199 )
Net income equalization (Note 2)
    (50,272,459 )     (102,137,436 )     (79,929,657 )     (218,645,921 )
                                 
NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND REDEMPTION OF UNITS
    (1,314,591,366 )     1,687,945,833       (5,831,470,111 )     35,374,061,407  
                                 
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
    11,469,290,029       6,535,015,549       (21,307,399,880 )     14,324,799,179  
NET ASSETS AT BEGINNING OF PERIOD
    78,190,881,402       71,655,865,853       92,963,265,733       78,638,466,554  
                                 
NET ASSETS AT END OF PERIOD*
  $ 89,660,171,431     $ 78,190,881,402     $ 71,655,865,853     $ 92,963,265,733  
                                 
                                 
UNIT TRANSACTIONS:
                               
Units sold
    1,501,000,000       3,614,350,000       3,788,050,000       3,304,850,000  
Units issued from reinvestment of distributions
    —       21,395       135,148       95,213  
Units redeemed
    (1,509,650,000 )     (3,607,000,000 )     (3,908,300,000 )     (3,022,850,000 )
                                 
NET INCREASE (DECREASE)
    (8,650,000 )     7,371,395       (120,114,852 )     282,095,213  
                                 
* Includes undistributed (distribution in excess of) net investment income
  $ (471,714,147 )   $ (426,704,977 )   $ (336,373,142 )   $ (439,719,151 )
                                 
 
See accompanying notes to financial statements.


10

 

 
SPDR S&P 500 ETF Trust
Financial Highlights
Selected data for a Unit outstanding throughout each period
 
                                                 
    For the Six
 		    For the
 		    For the
 		    For the
 		    For the
 		    For the
 		 
    Months Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		    Year Ended
 		 
    March 31, 2011
 		    September 30,
 		    September 30,
 		    September 30,
 		    September 30,
 		    September 30,
 		 
    (Unaudited)     2010     2009     2008     2007     2006  
Net asset value, beginning of year
  $ 114.13     $ 105.73     $ 116.52     $ 152.48     $ 133.53     $ 122.85  
                                                 
Investment Operations:
                                               
Net investment income(1)
    1.21       2.20       2.32       2.72       2.66       2.32  
Net realized and unrealized gain (loss) on investments
    18.35       8.24       (10.90 )     (36.28 )     18.75       10.54  
                                                 
Total from investment operations
    19.56       10.44       (8.58 )     (33.56 )     21.41       12.86  
                                                 
Net equalization credits and charges(1)
    0.07       0.16       0.10       0.38       0.26       0.15  
                                                 
Less distributions from:
                                               
Net investment income
    (1.21 )     (2.20 )     (2.31 )     (2.78 )     (2.72 )     (2.33 )
                                                 
Net asset value, end of year
  $ 132.55     $ 114.13     $ 105.73     $ 116.52     $ 152.48     $ 133.53  
                                                 
Total investment return(2)
    17.21 %     10.08 %     (6.90 )%     (21.84 )%     16.31 %     10.64 %
                                                 
Ratios and supplemental data
                                               
Ratio to average net assets:
                                               
Net investment income
    1.94 %(5)     1.98 %     2.58 %     1.99 %     1.86 %     1.83 %
Total expenses(3)
    0.09 %(5)     0.09 %     0.09 %     0.09 %     0.08 %     0.08 %
Total expenses excluding Trustee earnings credit
    0.11 %(5)     0.11 %     0.10 %     0.11 %     0.11 %     0.10 %
Total expenses excluding Trustee earnings credit and fee waivers
    0.11 %(5)     0.11 %     0.10 %     0.11 %     0.12 %     0.12 %
Portfolio turnover rate(4)
    1.95 %     5.38 %     6.68 %     4.56 %     2.95 %     3.70 %
Net assets, end of year (000’s)
  $ 89,660,171     $ 78,190,881     $ 71,655,866     $ 92,963,266     $ 78,638,467     $ 57,585,885  
 
 
(1)  Per Unit numbers have been calculated using the average shares method, which more appropriately presents per unit data for the period.
 
(2)  Total return is calculated assuming a purchase of a Unit at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation.
 
(3)  Net of expenses waived by the Trustee.
 
(4)  Portfolio turnover ratio does not include securities received or delivered from processing creations or redemptions of Units.
 
(5)  Annualized.
 
See accompanying notes to financial statements.


11

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements
March 31, 2011 (Unaudited)
Note 1 — Organization
SPDR S&P 500 ETF Trust (the “Trust”), formerly the SPDR Trust, Series 1, is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Composite Price Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the Trust is referred to as a “Unit”. The Trust commenced operations on January 22, 1993 upon the initial issuance of 150,000 Units (equivalent to three “Creation Units” — see Note 4) in exchange for a portfolio of securities assembled to reflect the intended portfolio composition of the Trust.
 
Under the Amended and Restated Standard Terms and Conditions of the Trust, as amended (“Trust Agreement”), PDR Services, LLC, as Sponsor of the Trust (“Sponsor”), and State Street Bank and Trust Company, as Trustee of the Trust (“Trustee”), are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of material loss to be remote.
 
On February 15, 2011, NYSE Euronext (the parent of the Sponsor) and Deutsche Boerse AG announced that they have entered into a business combination agreement subject to approval by their shareholders as well as approval by the relevant regulatory authorities in the U.S. and Europe, and other closing conditions.
 
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
 
The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
 
Security Valuation
The value of the Trust’s portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Trustee believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Trustee has established a Pricing and Investment Committee (the “Committee”) for the purpose of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Committee, subject to oversight by the Trustee, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, the Trust’s net asset value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.


12

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2011 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
The Trust continues to follow the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial liabilities provides the Trust the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:
 
•  Level 1 — quoted prices in active markets for identical investments
 
•  Level 2 — other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
•  Level 3 — significant unobservable inputs (including the Trust’s own assumptions in determining the fair value of investments)
 
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Trust’s net assets are computed and that may materially affect the value of the Trust’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations.
 
Fair value pricing could result in a difference between the prices used to calculate the Trust’s net asset value and the prices used by the S&P 500 Index, which, in turn, could result in a difference between the Trust’s performance and the performance of the S&P 500 Index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Trust’s investment by industry.
 
Subsequent Events
Management has determined that there are no subsequent events or transactions that would have materially impacted the Trust’s financial statements as presented.
 
Investment Risk
The Trust’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 investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.
 
An investment in the Trust involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. The value of a Unit will decline, more or less, in correlation with any decline in value of the S&P 500 Index. The values of equity securities could decline generally or could underperform other investments. The Trust would not sell


13

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2011 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
an equity security because the security’s issuer was in financial trouble unless that security is removed from the S&P 500 Index.
 
Investment Transactions
Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date.
 
Distributions to Unitholders
The Trust declares and distributes dividends from net investment income to its unitholders quarterly. The Trust declares and distributes net realized capital gains, if any, at least annually.
 
Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional Units may be purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment service offered by such broker-dealer.
 
Equalization
The Trust follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring the Trust’s Units, equivalent on a per Unit basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per Unit is unaffected by sales or reacquisitions of the Trust’s Units.
 
U.S. Federal Income Tax
For U.S. federal income tax purposes, the Trust has qualified as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (a “RIC”) and intends to continue to qualify as a RIC. As a RIC, the Trust will generally not be subject to U.S. federal income tax for any taxable year on income, including net capital gains, that it distributes to the holders of Units, provided that it distributes on a timely basis at least 90% of its “investment company taxable income” (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided that the Trust distributes during each calendar year substantially all of its ordinary income and capital gains, the Trust will not be subject to U.S. federal excise tax.
 
The Trust has reviewed the tax positions for the open tax years as of September 30, 2010 and has determined that no provision for income tax is required in the Trust’s financial statements. The Trust’s federal tax returns for the prior three fiscal years remain subject to examination by the Trust’s major tax jurisdictions, which include the United States of America and the State of New York.
 
During the six months ended March 31, 2011, the Trust reclassified $8,434,336,807 of non-taxable net security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At March 31, 2011, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, the cost was $87,353,562,440, gross unrealized appreciation was $4,830,499,337 and gross unrealized depreciation was $2,566,609,090, resulting in net unrealized appreciation of $2,263,890,247.


14

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2011 (Unaudited)
 
Note 2 — Significant Accounting Policies – (continued)
 
At September 30, 2010, the Trust had capital loss carryforwards which may be used to offset any net realized gains, expiring September 30:
 
         
2011
  $ 1,530,834,020  
2012
    445,024,832  
2013
    380,379,645  
2014
    1,174,140,896  
2015
    1,056,971,322  
2016
    917,820,735  
2017
    2,553,965,847  
2018
    190,637,430  
 
Note 3 — Transactions with the Trustee and Sponsor
In accordance with the Trust Agreement, the Trustee maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including filing of certain regulatory reports. The Trustee is also responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for adjusting the composition of the Trust’s portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500 Index. For these services, the Trustee received a fee at the following annual rates for the six months ended March 31, 2011:
 
     
Net asset value of the Trust
 
Fee as a percentage of net asset value of the Trust
 
$0 - $499,999,999
  10/100 of 1% per annum plus or minus the Adjustment Amount
$500,000,000 - $2,499,999,999
  8/100 of 1% per annum plus or minus the Adjustment Amount
$2,500,000,000 - and above
  6/100 of 1% per annum plus or minus the Adjustment Amount
 
The Adjustment Amount is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for creation and redemption of Units and (b) the amounts earned by the Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the six months ended March 31, 2011, the Adjustment Amount reduced the Trustee’s fee by $2,119,030. The Adjustment Amount included an excess of net transaction fees from processing orders of $1,870,013 and a Trustee earnings credit of $249,017. Prior to 2008, the Trustee earnings credit was presented separately on the Statement of Operations.
 
The Trustee voluntarily agreed to waive a portion of its fee, as needed, for one year through February 1, 2012, so that the total operating expenses would not exceed 9.45/100 of 1% (0.0945%) per annum of the daily net asset value. The total amount of such waivers by the Trustee for the years ended September 30, 2008, September 30, 2009, September 30, 2010 and the six months ended March 31, 2011 was $6,923,474, $7,102,147, $10,128,612 and $6,741,256, respectively. The Trustee has not entered into an agreement with the Trust to recapture waived fees in subsequent periods and the Trustee may discontinue the voluntary waiver.
 
Standard and Poor’s Financial Services LLC (“S&P”), an affiliate of The McGraw Hill Companies, Inc. and State Street Global Markets, LLC (“SSGM”) have entered into a License Agreement. The License Agreement grants SSGM, an affiliate of the Trustee, a license to use the S&P 500 Index as a basis for determining the composition of the Portfolio and to


15

 

 
SPDR S&P 500 ETF Trust
Notes to Financial Statements (continued)
March 31, 2011 (Unaudited)
 
Note 3 — Transactions with the Trustee and Sponsor – (continued)
 
use certain trade names and trademarks of S&P in connection with the Portfolio. The Trustee, on behalf of the Trust, NYSE Arca, Inc. (“NYSE Arca”) and the Sponsor have each received a sublicense from SSGM and S&P for the use of the S&P 500 Index and such trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of any of the owners of beneficial interests of Units. Currently, the License Agreement is scheduled to terminate on December 31, 2017, but its term may be extended without the consent of any of the owners of beneficial interests of Units. Pursuant to such arrangements and in accordance with the Trust agreement, the Trust reimburses the Sponsor for payment of fees under the License Agreement to S&P equal to 0.03% of the daily size of the Trust (based on Unit closing price and outstanding Units) plus an annual fee of $600,000.
 
Transactions with Affiliated Issuers
The Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and Sponsor (NYSE Euronext). Such investments were made according to the representative portion of the S&P 500 Index. The market value of these investments at March 31, 2011 is listed in the Schedule of Investments.
 
Note 4 — Shareholder Transactions
Units are issued and redeemed by the Trust only in Creation Unit size aggregations of 50,000 Units. Such transactions are only permitted on an in-kind basis, with a separate cash payment which is equivalent to the undistributed net investment income per Unit (income equalization) and a balancing cash component to equate the transaction to the net asset value per unit of the Trust on the transaction date. A transaction fee of $3,000 is charged in connection with each creation or redemption of Creation Units through the clearing process per participating party per day, regardless of the number of Creation Units created or redeemed. In the case of redemptions outside the clearing process, the Transaction Fee plus an additional amount not to exceed three (3) times the Transaction Fee applicable for one Creation Unit per Creation Unit redeemed, and such amount is deducted from the amount delivered to the redeemer. Transaction fees are received by the Trustee and used to defray the expense of processing orders.
 
Note 5 — Investment Transactions
For the six months ended March 31, 2011, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $87,527,226,099, $88,941,243,004, $1,873,994,741, and $1,688,060,005, respectively. Net realized gain (loss) on investment transactions in the Statement of Operations includes net gains resulting from in-kind transactions of $8,434,336,807.


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SPDR S&P 500 ETF Trust
Other Information
March 31, 2011 (Unaudited)
 
 
Comparison of Total Returns Based on NAV and Bid/Ask Price(1)
 
The table below is provided to compare the Trust’s total pre-tax returns at NAV with the total pre-tax returns based on bid/ask price and the performance of the S&P 500 Index. Past performance is not necessarily an indication of how the Trust will perform in the future.
 
             
Cummulative Total Return
    1 Year   5 Year   10 Year
 
SPDR S&P 500 ETF Trust
           
Return Based on NAV
  15.49%   13.57%   37.29%
Return Based on Bid/Ask Price
  15.51%   13.48%   36.85%
S&P 500 Index
  15.65%   13.83%   38.28%
 
             
Average Annual Total Return
    1 Year   5 Year   10 Year
 
SPDR S&P 500 ETF Trust
           
Return Based on NAV
  15.49%    2.58%    3.22%
Return Based on Bid/Ask Price
  15.51%   2.56%   3.19%
S&P 500 Index
  15.65%   2.62%   3.29%
 
 
(1) The Bid/Ask Price is the midpoint of the Consolidated Bid/Ask price at the time the Trust’s NAV is calculated. From April 3, 2001 to November 28, 2008, the Bid/Ask was the Bid/Ask price on the NYSE Amex (formerly the American Stock Exchange), ordinarily 4:00 p.m. Prior to April 3, 2001, the Bid/Ask price was the Bid/Ask price on the close of trading on the American Stock Exchange, ordinarily 4:15 p.m.


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