SPDR S&P 500 ETF TRUST

SPDR^® S&P 500^® ETF Trust

A Unit Investment Trust

Annual Report

September 30, 2011

“Standard & Poor’s^®”, “S&P^®”, “S&P 500^®”, “Standard & Poor’s 500^®”, “500^®”, “Standard & Poor’s Depositary Receipts^®”, “SPDR^®” and “SPDRs^®” 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 S&P 500 ETF Trust

Trust Overview

OBJECTIVE:

The SPDR S&P 500 ETF Trust (the “Trust”) is an exchange traded fund designed to generally correspond to the price and yield performance of the S&P 500 Index (the “Index”).

STRATEGY:

To accomplish this, the Trust utilizes a full replication approach. With this strategy, all 500 securities of the Index are owned by the Trust in their approximate market capitalization weight. A replication management approach should result in low expected tracking error of the Trust relative to its benchmark.

PERFORMANCE OVERVIEW:

The Trust ended its fiscal year on September 30, 2011 with a 12-month total return of 1.01% on net asset value as compared to the Index return of 1.14%.

The Trust’s performance reflects the operating expenses of the Trust, including brokerage and Trustee fees. The Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

SPDR S&P 500 ETF Trust

Schedule of Investments

September 30, 2011


Common Stocks	Shares		Value


3M Co.		5,557,447	$	398,969,120
Abbott Laboratories		12,221,490		625,006,999
Abercrombie & Fitch Co. (Class A)		684,217		42,120,399
Accenture PLC (Class A)		5,078,607		267,541,017
ACE Ltd.		2,638,640		159,901,584
Adobe Systems, Inc.(a)		3,873,939		93,633,106
Advanced Micro Devices, Inc.(a)		4,517,015		22,946,436
Aetna, Inc.		2,925,157		106,329,457
AFLAC, Inc.		3,657,866		127,842,417
Agilent Technologies, Inc.(a)		2,721,983		85,061,969
Air Products & Chemicals, Inc.		1,657,102		126,552,880
Airgas, Inc.		546,449		34,874,375
AK Steel Holding Corp.		860,686		5,628,886
Akamai Technologies, Inc.(a)		1,465,756		29,139,229
Alcoa, Inc.		8,319,508		79,617,692
Allegheny Technologies, Inc.		828,726		30,654,575
Allergan, Inc.		2,415,449		198,984,689
Alpha Natural Resources, Inc.(a)		1,774,830		31,396,743
Altera Corp.		2,519,973		79,454,749
Altria Group, Inc.		16,251,077		435,691,374
Amazon.com, Inc.(a)		2,848,492		615,929,425
Ameren Corp.		1,877,188		55,883,887
American Electric Power Co., Inc.		3,768,091		143,262,820
American Express Co.		8,146,671		365,785,528
American International Group, Inc.(a)		3,407,340		74,791,113
American Tower Corp. (Class A)(a)		3,105,627		167,082,733
Ameriprise Financial, Inc.		1,852,001		72,894,759
AmerisourceBergen Corp.		2,112,173		78,720,688
Amgen, Inc.		7,248,726		398,317,494
Amphenol Corp. (Class A)		1,332,809		54,338,623
Anadarko Petroleum Corp.		3,891,144		245,336,629
Analog Devices, Inc.		2,347,202		73,350,063
Aon Corp.		2,585,500		108,539,290
Apache Corp.		2,998,886		240,630,613
Apartment Investment & Management Co. (Class A)		934,413		20,669,216
Apollo Group, Inc. (Class A)(a)		952,587		37,731,971
Apple, Inc.(a)		7,272,235		2,772,030,537
Applied Materials, Inc.		10,297,758		106,581,795
Archer-Daniels-Midland Co.		5,334,736		132,354,800
Assurant, Inc.		754,988		27,028,570
AT&T, Inc.		46,483,977		1,325,723,024
Autodesk, Inc.(a)		1,813,398		50,376,196
Automatic Data Processing, Inc.		3,840,295		181,069,909
AutoNation, Inc.(a)		382,550		12,539,989
Autozone, Inc.(a)		229,994		73,411,785
AvalonBay Communities, Inc.		738,691		84,247,709
Avery Dennison Corp.		826,423		20,726,689
Avon Products, Inc.		3,362,058		65,896,337
Baker Hughes, Inc.		3,399,062		156,900,702
Ball Corp.		1,314,021		40,760,931
Bank of America Corp.		79,566,086		486,944,446
Baxter International, Inc.		4,461,192		250,451,319
BB&T Corp.		5,446,861		116,181,545
Becton, Dickinson & Co.		1,711,141		125,460,858
Bed Bath & Beyond, Inc.(a)		1,919,193		109,988,951
Bemis Co., Inc.		824,117		24,154,869
Berkshire Hathaway, Inc. (Class B)(a)		13,794,844		979,985,718
Best Buy Co., Inc.		2,368,399		55,183,697
Big Lots, Inc.(a)		514,154		17,907,984
Biogen Idec, Inc.(a)		1,889,851		176,039,621
BlackRock, Inc.		785,036		116,193,178
BMC Software, Inc.(a)		1,383,475		53,346,796
Boston Properties, Inc.		1,138,727		101,460,576
Boston Scientific Corp.(a)		11,911,477		70,396,829
Bristol-Myers Squibb Co.		13,343,218		418,710,181
Broadcom Corp. (Class A)(a)		3,782,523		125,920,191
Brown-Forman Corp. (Class B)		806,229		56,548,902
C.H. Robinson Worldwide, Inc.		1,276,845		87,425,577
C.R. Bard, Inc.		671,859		58,814,537
CA, Inc.		2,968,836		57,625,107
Cablevision Systems Corp.		1,809,972		28,470,860
Cabot Oil & Gas Corp.		814,888		50,449,716
Cameron International Corp.(a)		1,917,087		79,635,794
Campbell Soup Co.		1,430,523		46,306,030
Capital One Financial Corp.		3,590,741		142,301,066
Cardinal Health, Inc.		2,703,008		113,201,975
CareFusion Corp.(a)		1,745,666		41,808,701
CarMax, Inc.(a)		1,759,376		41,961,118
Carnival Corp.		3,644,205		110,419,411
Caterpillar, Inc.		5,072,624		374,562,556
CBRE Group, Inc.(a)		2,567,251		34,555,198
CBS Corp. (Class B)		5,230,521		106,598,018
Celgene Corp.(a)		3,598,977		222,848,656
CenterPoint Energy, Inc.		3,326,958		65,274,916
CenturyLink, Inc.		4,808,162		159,246,325
Cephalon, Inc.(a)		606,070		48,909,849
Cerner Corp.(a)		1,131,211		77,510,578
CF Industries Holdings, Inc.		557,437		68,782,151
Chesapeake Energy Corp.		5,148,479		131,543,638
Chevron Corp.		15,722,977		1,454,689,832
Chipotle Mexican Grill, Inc.(a)		243,129		73,655,931
Chubb Corp.		2,242,825		134,547,072
CIGNA Corp.		2,116,165		88,751,960
Cincinnati Financial Corp.		1,276,997		33,623,331
Cintas Corp.		881,349		24,801,161
Cisco Systems, Inc.		43,182,493		668,896,817

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011


Common Stocks	Shares		Value


Citigroup, Inc.		22,908,452	$	586,914,540
Citrix Systems, Inc.(a)		1,470,406		80,181,239
Cliffs Natural Resources, Inc.		1,128,781		57,759,724
Clorox Co.		1,044,659		69,292,231
CME Group, Inc.		524,848		129,322,547
CMS Energy Corp.		1,975,003		39,085,309
Coach, Inc.		2,267,293		117,513,796
Coca-Cola Enterprises, Inc.		2,542,535		63,258,271
Cognizant Technology Solutions Corp. (Class A)(a)		2,382,669		149,393,346
Colgate-Palmolive Co.		3,824,291		339,138,126
Comcast Corp. (Class A)		21,564,223		450,692,261
Comerica, Inc.		1,573,836		36,151,013
Computer Sciences Corp.		1,210,682		32,506,812
Compuware Corp.(a)		1,719,930		13,174,664
ConAgra Foods, Inc.		3,193,797		77,353,763
ConocoPhillips		10,760,602		681,361,319
CONSOL Energy, Inc.		1,769,490		60,038,796
Consolidated Edison, Inc.		2,288,270		130,477,155
Constellation Brands, Inc. (Class A)(a)		1,399,234		25,186,212
Constellation Energy Group, Inc.		1,565,083		59,567,059
Corning, Inc.		12,278,007		151,756,167
Costco Wholesale Corp.		3,416,754		280,583,838
Coventry Health Care, Inc.(a)		1,163,243		33,513,031
Covidien PLC		3,877,275		170,987,827
CSX Corp.		8,626,863		161,063,532
Cummins, Inc.		1,534,894		125,339,444
CVS Caremark Corp.		10,549,166		354,240,994
D.R. Horton, Inc.		2,183,799		19,741,543
Danaher Corp.		4,478,813		187,841,417
Darden Restaurants, Inc.		1,067,325		45,628,144
DaVita, Inc.(a)		747,746		46,861,242
Dean Foods Co.(a)		1,431,060		12,693,502
Deere & Co.		3,246,900		209,652,333
Dell, Inc.(a)		12,133,373		171,687,228
Denbury Resources, Inc.(a)		3,106,480		35,724,520
DENTSPLY International, Inc.		1,100,839		33,784,749
Devon Energy Corp.		3,267,175		181,132,182
DeVry, Inc.		483,944		17,886,570
Diamond Offshore Drilling, Inc.		544,801		29,822,407
DIRECTV (Class A)(a)		5,783,047		244,333,736
Discover Financial Services		4,267,691		97,900,832
Discovery Communications, Inc. (Class A)(a)		2,146,891		80,766,039
Dominion Resources, Inc.		4,464,974		226,686,730
Dover Corp.		1,461,495		68,105,667
Dr. Pepper Snapple Group, Inc.		1,731,528		67,148,656
DTE Energy Co.		1,324,484		64,926,206
Duke Energy Corp.		10,413,398		208,163,826
Dun & Bradstreet Corp.		386,386		23,670,006
E*TRADE Financial Corp.(a)		1,971,785		17,962,961
E. I. du Pont de Nemours & Co.		7,323,242		292,709,983
Eastman Chemical Co.		554,829		38,022,431
Eaton Corp.		2,668,677		94,738,033
eBay, Inc.(a)		9,007,366		265,627,223
Ecolab, Inc.		1,818,939		88,927,928
Edison International		2,548,149		97,466,699
Edwards Lifesciences Corp.(a)		894,984		63,794,460
El Paso Corp.		6,014,186		105,127,971
Electronic Arts, Inc.(a)		2,599,655		53,162,945
Eli Lilly & Co.		7,970,296		294,661,843
EMC Corp.(a)		16,215,547		340,364,332
Emerson Electric Co.		5,841,649		241,318,520
Entergy Corp.		1,391,953		92,272,564
EOG Resources, Inc.		2,099,181		149,062,843
EQT Corp.		1,168,848		62,369,729
Equifax, Inc.		961,256		29,549,009
Equity Residential		2,304,307		119,524,404
Exelon Corp.		5,181,542		220,785,505
Expedia, Inc.		1,569,252		40,408,239
Expeditors International of Washington, Inc.		1,657,733		67,221,073
Express Scripts, Inc.(a)		3,813,841		141,379,086
Exxon Mobil Corp.		38,143,335		2,770,350,421
F5 Networks, Inc.(a)		631,907		44,896,992
Family Dollar Stores, Inc.		958,070		48,727,440
Fastenal Co.		2,309,724		76,867,615
Federated Investors, Inc. (Class B)		727,307		12,749,692
FedEx Corp.		2,468,752		167,085,135
Fidelity National Information Services, Inc.		1,936,399		47,093,224
Fifth Third Bancorp		7,187,062		72,589,326
First Horizon National Corp.		2,049,009		12,212,094
First Solar, Inc.(a)		462,587		29,240,124
FirstEnergy Corp.		3,270,611		146,883,140
Fiserv, Inc.(a)		1,123,505		57,040,349
FLIR Systems, Inc.		1,242,115		31,114,981
Flowserve Corp.		436,505		32,301,370
Fluor Corp.		1,366,084		63,591,210
FMC Corp.		563,221		38,952,364
FMC Technologies, Inc.(a)		1,882,010		70,763,576
Ford Motor Co.(a)		29,707,736		287,273,807
Forest Laboratories, Inc.(a)		2,149,867		66,194,405
Fortune Brands, Inc.(a)		1,201,682		64,986,963
Franklin Resources, Inc.		1,143,283		109,343,586
Freeport-McMoRan Copper & Gold, Inc.		7,408,676		225,594,184

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011


Common Stocks	Shares		Value


Frontier Communications Corp.		7,787,729	$	47,583,024
GameStop Corp. (Class A)(a)		1,103,594		25,493,021
Gannett Co., Inc.		1,872,975		17,849,452
General Dynamics Corp.		2,834,932		161,279,281
General Electric Co.		83,221,679		1,268,298,388
General Mills, Inc.		5,080,706		195,454,760
Genuine Parts Co.		1,233,408		62,657,126
Genworth Financial, Inc. (Class A)(a)		3,836,479		22,021,389
Gilead Sciences, Inc.(a)		6,049,179		234,708,145
Goodrich Corp.		976,587		117,854,519
Google, Inc. (Class A)(a)		1,977,285		1,017,075,858
H&R Block, Inc.		2,394,259		31,867,587
H.J. Heinz Co.		2,517,169		127,066,691
Halliburton Co.		7,222,211		220,421,880
Harley-Davidson, Inc.		1,844,292		63,314,544
Harman International Industries, Inc.		544,862		15,572,156
Harris Corp.		942,970		32,221,285
Hartford Financial Services Group, Inc.		3,482,794		56,212,295
Hasbro, Inc.		942,036		30,719,794
HCP, Inc.		3,175,191		111,322,196
Health Care REIT, Inc.		1,387,682		64,943,518
Helmerich & Payne, Inc.		836,921		33,978,993
Hess Corp.		2,364,780		124,056,359
Hewlett-Packard Co.		16,227,096		364,298,305
Honeywell International, Inc.		6,155,522		270,288,971
Hormel Foods Corp.		1,085,584		29,332,480
Hospira, Inc.(a)		1,312,241		48,552,917
Host Hotels & Resorts, Inc.		5,552,623		60,745,696
Hudson City Bancorp, Inc.		4,125,400		23,349,764
Humana, Inc.		1,318,810		95,917,051
Huntington Bancshares, Inc.		6,765,749		32,475,595
Illinois Tool Works, Inc.		3,854,836		160,361,178
Ingersoll-Rand PLC		2,590,780		72,775,010
Integrys Energy Group, Inc.		605,588		29,443,689
Intel Corp.		41,202,030		878,839,300
IntercontinentalExchange, Inc.(a)		573,331		67,802,124
International Business Machines Corp.		9,368,345		1,639,741,425
International Flavors & Fragrances, Inc.		627,173		35,259,666
International Game Technology		2,336,867		33,954,678
International Paper Co.		3,419,741		79,508,978
Intuit, Inc.(a)		2,400,540		113,881,618
Intuitive Surgical, Inc.(a)		306,457		111,636,156
Invesco, Ltd.		3,536,685		54,853,984
Iron Mountain, Inc.		1,566,936		49,546,516
ITT Corp.		1,437,812		60,388,104
J.C. Penney Co., Inc.		1,089,473		29,176,087
Jabil Circuit, Inc.		1,429,391		25,428,866
Jacobs Engineering Group, Inc.(a)		984,813		31,799,612
Janus Capital Group, Inc.		1,439,537		8,637,222
JDS Uniphase Corp.(a)		1,775,139		17,698,136
Johnson & Johnson		21,514,540		1,370,691,343
Johnson Controls, Inc.		5,306,010		139,919,484
Joy Global, Inc.		820,496		51,182,540
JPMorgan Chase & Co.		30,577,010		920,979,541
Juniper Networks, Inc.(a)		4,175,548		72,069,958
Kellogg Co.		1,958,265		104,160,115
KeyCorp		7,449,787		44,177,237
Kimberly-Clark Corp.		3,073,007		218,214,227
Kimco Realty Corp.		3,180,856		47,808,266
KLA-Tencor Corp.		1,309,341		50,121,573
Kohl’s Corp.		2,200,380		108,038,658
Kraft Foods, Inc. (Class A)		13,869,664		465,743,317
L-3 Communications Holdings, Inc.		831,448		51,524,833
Laboratory Corp. of America Holdings(a)		785,944		62,128,873
Legg Mason, Inc.		1,021,408		26,260,400
Leggett & Platt, Inc.		1,117,520		22,115,721
Lennar Corp. (Class A)		1,246,122		16,872,492
Leucadia National Corp.		1,544,391		35,026,788
Lexmark International, Inc. (Class A)(a)		617,337		16,686,619
Life Technologies Corp.(a)		1,402,282		53,889,697
Limited Brands, Inc.		1,942,289		74,797,549
Lincoln National Corp.		2,452,235		38,328,433
Linear Technology Corp.		1,777,241		49,140,714
Lockheed Martin Corp.		2,156,204		156,626,659
Loews Corp.		2,435,870		84,159,308
Lorillard, Inc.		1,084,097		120,009,538
Lowe’s Cos., Inc.		9,877,143		191,023,946
LSI Corp.(a)		4,493,686		23,277,293
M & T Bank Corp.		981,540		68,609,646
Macy’s, Inc.		3,337,897		87,853,449
Marathon Oil Corp.		5,569,344		120,186,444
Marathon Petroleum Corp.		2,784,599		75,351,249
Marriott International, Inc. (Class A)		2,224,497		60,595,298
Marsh & McLennan Cos., Inc.		4,284,787		113,718,247
Masco Corp.		2,808,639		19,997,510
MasterCard, Inc. (Class A)		837,382		265,584,075
Mattel, Inc.		2,715,744		70,310,612
McCormick & Co., Inc.		1,041,707		48,085,195
McDonald’s Corp.		8,093,220		710,746,580

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011


Common Stocks	Shares		Value


McKesson Corp.		1,931,158	$	140,395,187
Mead Johnson Nutrition Co.		1,595,972		109,850,753
MeadWestvaco Corp.		1,317,527		32,358,463
Medco Health Solutions, Inc.(a)		3,020,146		141,614,646
Medtronic, Inc.		8,283,181		275,332,936
MEMC Electronic Materials, Inc.(a)		1,782,547		9,340,546
Merck & Co., Inc.		24,140,679		789,641,610
MetLife, Inc.		8,266,184		231,535,814
MetroPCS Communications, Inc.(a)		2,314,992		20,163,580
Microchip Technology, Inc.		1,495,516		46,525,503
Micron Technology, Inc.(a)		7,948,673		40,061,312
Microsoft Corp.		58,490,665		1,455,832,652
Molex, Inc.		1,087,711		22,156,673
Molson Coors Brewing Co. (Class B)		1,239,511		49,097,031
Monsanto Co.		4,191,696		251,669,428
Monster Worldwide, Inc.(a)		1,022,000		7,337,960
Moody’s Corp.		1,552,099		47,261,415
Morgan Stanley		11,620,382		156,875,157
Motorola Mobility Holdings, Inc.(a)		2,038,461		77,013,057
Motorola Solutions, Inc.		2,353,163		98,597,530
Murphy Oil Corp.		1,511,203		66,734,724
Mylan, Inc.(a)		3,343,656		56,842,152
Nabors Industries, Ltd.(a)		2,236,835		27,423,597
National-Oilwell Varco, Inc.		3,309,191		169,496,763
NetApp, Inc.(a)		2,879,497		97,730,128
Netflix, Inc.(a)		416,408		47,120,729
Newell Rubbermaid, Inc.		2,274,548		26,998,885
Newfield Exploration Co.(a)		1,034,266		41,050,018
Newmont Mining Corp.		3,861,203		242,869,669
News Corp. (Class A)		17,873,963		276,510,208
NextEra Energy, Inc.		3,300,319		178,283,232
Nicor, Inc.		356,867		19,631,254
NIKE, Inc. (Class B)		2,966,426		253,659,087
NiSource, Inc.		2,179,956		46,607,459
Noble Corp.(a)		1,974,929		57,964,166
Noble Energy, Inc.		1,380,304		97,725,523
Nordstrom, Inc.		1,284,175		58,661,114
Norfolk Southern Corp.		2,727,962		166,460,241
Northeast Utilities		1,381,795		46,497,402
Northern Trust Corp.		1,886,893		66,003,517
Northrop Grumman Corp.		2,167,537		113,058,730
Novellus Systems, Inc.(a)		546,122		14,887,286
NRG Energy, Inc.(a)		1,889,223		40,070,420
Nucor Corp.		2,474,280		78,286,219
NVIDIA Corp.(a)		4,696,779		58,709,738
NYSE Euronext(c)		2,043,815		47,498,261
O’Reilly Automotive, Inc.(a)		1,080,437		71,989,517
Occidental Petroleum Corp.		6,381,108		456,249,222
Omnicom Group, Inc.		2,198,878		81,006,666
Oneok, Inc.		812,170		53,635,707
Oracle Corp.		30,992,837		890,734,135
Owens-Illinois, Inc.(a)		1,281,571		19,377,354
PACCAR, Inc.		2,858,464		96,673,252
Pall Corp.		902,468		38,264,643
Parker-Hannifin Corp.		1,213,939		76,635,969
Patterson Cos., Inc.		751,155		21,505,568
Paychex, Inc.		2,522,065		66,506,854
Peabody Energy Corp.		2,117,453		71,739,308
People’s United Financial, Inc.		2,945,250		33,575,850
Pepco Holdings, Inc.		1,755,633		33,216,576
PepsiCo, Inc.		12,426,043		769,172,062
PerkinElmer, Inc.		888,528		17,068,623
Pfizer, Inc.		61,209,434		1,082,182,793
PG&E Corp.		3,159,837		133,692,703
Philip Morris International, Inc.		13,780,417		859,622,412
Pinnacle West Capital Corp.		852,049		36,586,984
Pioneer Natural Resources Co.		912,429		60,010,455
Pitney Bowes, Inc.		1,593,186		29,951,897
Plum Creek Timber Co., Inc.		1,266,579		43,962,957
PNC Financial Services Group, Inc.		4,116,166		198,358,040
PPG Industries, Inc.		1,239,543		87,586,108
PPL Corp.		4,514,117		128,832,899
Praxair, Inc.		2,378,216		222,315,632
Precision Castparts Corp.		1,125,311		174,940,848
priceline.com, Inc.(a)		388,266		174,510,036
Principal Financial Group, Inc.		2,511,353		56,932,373
Progress Energy, Inc.		2,303,522		119,138,158
ProLogis, Inc.		3,552,585		86,150,186
Prudential Financial, Inc.		3,816,856		178,857,872
Public Service Enterprise Group, Inc.		3,962,067		132,214,176
Public Storage, Inc.		1,112,581		123,885,894
Pulte Group, Inc.(a)		2,643,249		10,440,834
QEP Resources, Inc.		1,376,855		37,271,465
QUALCOMM, Inc.		13,192,458		641,549,233
Quanta Services, Inc.(a)		1,687,590		31,709,816
Quest Diagnostics, Inc.		1,230,428		60,733,926
R.R. Donnelley & Sons Co.		1,460,759		20,625,917
Ralph Lauren Corp.		503,841		65,348,178
Range Resources Corp.		1,254,503		73,338,245
Raytheon Co.		2,785,875		113,858,711
Red Hat, Inc.(a)		1,511,984		63,896,444
Regions Financial Corp.		9,836,413		32,755,255
Republic Services, Inc.		2,520,506		70,725,398
Reynolds American, Inc.		2,637,261		98,844,542
Robert Half International, Inc.		1,146,501		24,328,751
Rockwell Automation, Inc.		1,128,626		63,203,056

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011


Common Stocks	Shares		Value


Rockwell Collins, Inc.		1,205,032	$	63,577,488
Roper Industries, Inc.		746,554		51,445,036
Ross Stores, Inc.		917,035		72,161,484
Rowan Co., Inc.(a)		997,071		30,101,573
Ryder System, Inc.		401,617		15,064,654
Safeway, Inc.		2,772,682		46,109,702
SAIC, Inc.(a)		2,182,582		25,776,293
Salesforce.com, Inc.(a)		1,070,749		122,365,196
SanDisk Corp.(a)		1,864,267		75,223,173
Sara Lee Corp.		4,583,967		74,947,860
SCANA Corp.		894,283		36,173,747
Schlumberger, Ltd.		10,584,444		632,208,840
Scripps Networks Interactive (Class A)		778,072		28,920,936
Sealed Air Corp.		1,250,545		20,884,102
Sears Holdings Corp.(a)		301,823		17,360,859
Sempra Energy		1,872,383		96,427,724
Sherwin-Williams Co.		692,420		51,460,654
Sigma-Aldrich Corp.		955,409		59,034,722
Simon Property Group, Inc.		2,294,710		252,372,206
SLM Corp.		4,129,297		51,409,748
Snap-on, Inc.		455,890		20,241,516
Southern Co.		6,737,235		285,456,647
Southwest Airlines Co.		6,195,353		49,810,638
Southwestern Energy Co.(a)		2,720,862		90,686,330
Spectra Energy Corp.		5,083,835		124,706,473
Sprint Nextel Corp.(a)		23,403,144		71,145,558
St. Jude Medical, Inc.		2,571,855		93,075,432
Stanley Black & Decker, Inc.		1,314,812		64,557,269
Staples, Inc.		5,577,884		74,185,857
Starbucks Corp.		5,862,696		218,619,934
Starwood Hotels & Resorts Worldwide, Inc.		1,525,885		59,234,856
State Street Corp.(b)		3,942,241		126,782,471
Stericycle, Inc.(a)		671,552		54,207,677
Stryker Corp.		2,610,214		123,019,386
Sunoco, Inc.		846,510		26,250,275
SunTrust Banks, Inc.		4,199,219		75,375,981
SUPERVALU, Inc.		1,661,291		11,064,198
Symantec Corp.(a)		5,908,744		96,312,527
Sysco Corp.		4,658,128		120,645,515
T. Rowe Price Group, Inc.		2,031,828		97,060,424
Target Corp.		5,294,802		259,657,090
TECO Energy, Inc.		1,681,886		28,810,707
Tellabs, Inc.		2,842,733		12,195,325
Tenet Healthcare Corp.(a)		3,803,378		15,707,951
Teradata Corp.(a)		1,324,771		70,914,992
Teradyne, Inc.(a)		1,454,972		16,019,242
Tesoro Corp.(a)		1,112,006		21,650,757
Texas Instruments, Inc.		9,082,049		242,036,606
Textron, Inc.		2,152,752		37,974,545
The AES Corp.(a)		5,136,696		50,134,153
The Allstate Corp.		4,090,360		96,900,628
The Bank of New York Mellon Corp.		9,714,453		180,591,681
The Boeing Co.		5,819,773		352,154,464
The Charles Schwab Corp.		8,474,594		95,508,674
The Coca-Cola Co.		18,010,823		1,216,811,202
The Dow Chemical Co.		9,276,635		208,353,222
The Estee Lauder Cos., Inc. (Class A)		891,816		78,337,117
The Gap, Inc.		2,703,277		43,901,218
The Goldman Sachs Group, Inc.		3,965,848		374,970,928
The Goodyear Tire & Rubber Co.(a)		1,903,715		19,208,484
The Hershey Co.		1,199,155		71,037,942
The Home Depot, Inc.		12,268,784		403,274,930
The Interpublic Group of Cos., Inc.		3,827,911		27,560,959
The JM Smucker Co.		908,495		66,220,201
The Kroger Co.		4,744,855		104,197,016
The McGraw-Hill Cos., Inc.		2,383,466		97,722,106
The Mosaic Co.		2,149,872		105,279,232
The NASDAQ OMX Group, Inc.(a)		990,662		22,923,919
The Procter & Gamble Co.		21,552,554		1,361,690,362
The Progressive Corp.		5,010,009		88,977,760
The Travelers Cos., Inc.		3,275,988		159,638,895
The Walt Disney Co.		14,556,281		439,017,435
The Washington Post Co. (Class B)		40,369		13,199,452
The Western Union Co.		4,954,343		75,751,904
The Williams Cos., Inc.		4,600,085		111,966,069
Thermo Fisher Scientific, Inc.(a)		2,997,573		151,797,097
Tiffany & Co.		998,896		60,752,855
Time Warner Cable, Inc.		2,547,758		159,667,994
Time Warner, Inc.		8,190,524		245,470,004
Titanium Metals Corp.		707,556		10,599,189
TJX Cos., Inc.		2,988,409		165,767,047
Torchmark Corp.		822,831		28,683,889
Total System Services, Inc.		1,272,793		21,548,385
Tyco International Ltd.		3,668,030		149,472,222
Tyson Foods, Inc. (Class A)		2,335,605		40,546,103
U.S. Bancorp		15,068,723		354,717,739
Union Pacific Corp.		3,836,465		313,324,097
United Parcel Service, Inc. (Class B)		7,693,378		485,836,821
United States Steel Corp.		1,125,588		24,774,192
United Technologies Corp.		7,128,105		501,533,468
UnitedHealth Group, Inc.		8,441,368		389,315,892
Unum Group		2,409,676		50,506,809

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011


Common Stocks	Shares		Value


Urban Outfitters, Inc.(a)		974,615	$	21,753,407
V.F. Corp.		684,520		83,182,870
Valero Energy Corp.		4,459,853		79,296,186
Varian Medical Systems, Inc.(a)		917,967		47,881,159
Ventas, Inc.		2,250,152		111,157,509
VeriSign, Inc.		1,319,737		37,757,676
Verizon Communications, Inc.		22,223,991		817,842,869
Viacom, Inc. (Class B)		4,506,307		174,574,333
Visa, Inc. (Class A)		4,012,564		343,956,986
Vornado Realty Trust		1,457,236		108,738,950
Vulcan Materials Co.		1,006,467		27,738,231
W.W. Grainger, Inc.		478,498		71,554,591
Wal-Mart Stores, Inc.		13,798,274		716,130,421
Walgreen Co.		7,102,153		233,589,812
Waste Management, Inc.		3,714,459		120,942,785
Waters Corp.(a)		715,738		54,031,062
Watson Pharmaceuticals, Inc.(a)		992,714		67,752,731
WellPoint, Inc.		2,828,575		184,649,376
Wells Fargo & Co.		41,448,698		999,742,596
Western Digital Corp.(a)		1,814,769		46,675,859
Weyerhaeuser Co.		4,208,415		65,440,853
Whirlpool Corp.		596,845		29,788,534
Whole Foods Market, Inc.		1,241,643		81,091,704
Windstream Corp.		4,004,248		46,689,532
Wisconsin Energy Corp.		1,832,234		57,330,602
Wyndham Worldwide Corp.		1,287,116		36,695,677
Wynn Resorts, Ltd.		629,292		72,418,923
Xcel Energy, Inc.		3,786,911		93,498,833
Xerox Corp.		10,938,186		76,239,156
Xilinx, Inc.		2,077,224		56,999,027
XL Group PLC		2,577,413		48,455,364
Yahoo!, Inc.(a)		9,894,449		130,210,949
Yum! Brands, Inc.		3,641,289		179,843,264
Zimmer Holdings, Inc.(a)		1,504,197		80,474,540
Zions Bancorporation		1,442,987		20,302,827

Total Common Stocks(d) (Cost $96,435,605,854)			$	80,792,014,610


(a)	Non-income producing security
(b)	Affiliate of the Trustee. See the table below for more information.
(c)	Affiliate of the Sponsor
(d)	The values of the securities of the Trust are determined based on Level 1 inputs. (Note 2)

REIT = Real Estate Investment Trust

Investments in Affiliates of the Trustee and the Sponsor

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 September 30, 2011, and for the year then ended are (Note 3):


															Number
	Number of														of Shares
	Shares Held		Cost at		Value at		Purchased				Sold				Held at		Value at		Dividend		Realized
	at 9/30/10		9/30/10		9/30/10		Cost		Shares		Proceeds		Shares		9/30/11		9/30/11		Income		Gain

State Street Corp.		3,790,256	$	173,797,049	$	142,741,041	$	345,038,987		8,294,767	$	339,307,886		8,142,782		3,942,241	$	126,782,471	$	2,135,138	$	3,948,658
NYSE Euronext		1,971,626		58,879,912		56,329,355		135,735,634		4,287,903		133,226,208		4,215,714		2,043,815		47,498,261		2,444,024		10,155,580

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2011

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2011*


	PERCENT OF
INDUSTRY	NET ASSETS**


Oil, Gas & Consumable Fuels		9.74	%
Pharmaceuticals		6.21
Computers & Peripherals		4.80
IT Services		4.01
Software		3.89
Insurance		3.59
Media		3.06
Diversified Telecommunication Services		2.96
Diversified Financial Services		2.90
Beverages		2.78
Aerospace & Defense		2.69
Commercial Banks		2.55
Industrial Conglomerates		2.48
Food & Staples Retailing		2.41
Household Products		2.46
Semiconductors & Semiconductor Equipment		2.38
Electric Utilities		2.15
Health Care Providers & Services		2.13
Chemicals		2.11
Communications Equipment		2.06
Food Products		1.98
Hotels, Restaurants & Leisure		1.98
Health Care Equipment & Supplies		1.91
Specialty Retail		1.90
Capital Markets		1.88
Energy Equipment & Services		1.87
Tobacco		1.87
Internet Software & Services		1.84
Machinery		1.84
Real Estate Investment Trusts (REITs)		1.73
Multi-Utilities		1.53
Biotechnology		1.34
Internet & Catalog Retail		1.09
Air Freight & Logistics		1.00
Metals & Mining		0.93
Consumer Finance		0.81
Road & Rail		0.81
Multiline Retail		0.78
Textiles, Apparel & Luxury Goods		0.64
Commercial Services & Supplies		0.48
Life Sciences Tools & Services		0.45
Electrical Equipment		0.44
Automobiles		0.43
Electronic Equipment, Instruments & Components		0.35
Wireless Telecommunication Services		0.32
Household Durables		0.25
Auto Components		0.20
Independent Power Producers & Energy Traders		0.19	%
Personal Products		0.18
Trading Companies & Distributors		0.18
Construction & Engineering		0.16
Paper & Forest Products		0.14
Containers & Packaging		0.13
Leisure Equipment & Products		0.12
Diversified Consumer Services		0.11
Health Care Technology		0.10
Professional Services		0.10
Gas Utilities		0.09
Office Electronics		0.09
Distributors		0.08
Thrifts & Mortgage Finance		0.07
Airlines		0.06
Real Estate Management & Development		0.04
Construction Materials		0.03
Building Products		0.02
Other Assets & Liabilities		0.10

Total		100.00	%


*		SPDR S&P 500 ETF Trust’s industry breakdown is expressed as a percentage of Total Net Assets and may change over time.

**		Each security is valued based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

September 30, 2011


ASSETS
Investments in unaffiliated issuers, at value	$	80,617,733,878
Investments in affiliates of the Trustee and the Sponsor, at value		174,280,732

Total investments		80,792,014,610
Cash		458,018,173
Dividends receivable — unaffiliated issuers		116,058,216
Dividends receivable — affiliated issuers		711,569

Total Assets		81,366,802,568

LIABILITIES
Payable for units of fractional undivided interest (“Units”) redeemed in-kind		230,765
Income distribution payable		477,856,841
Accrued Trustee expense		2,913,321
Accrued expenses and other liabilities		20,541,703

Total Liabilities		501,542,630

NET ASSETS	$	80,865,259,938

NET ASSETS CONSIST OF:
Paid in Capital (Note 4)	$	103,984,676,328
Distribution in excess of net investment income		(478,294,653	)
Accumulated net realized loss on investments		(6,997,530,493	)
Net unrealized depreciation on investments		(15,643,591,244	)

NET ASSETS	$	80,865,259,938

NET ASSET VALUE PER UNIT	$	113.12

UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE		714,832,116

COST OF INVESTMENTS:
Unaffiliated issuers	$	96,180,584,128
Affiliates of the Trustee and the Sponsor		255,021,726

Total Cost of Investments	$	96,435,605,854

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Statements of Operations


	For the			For the			For the
	Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,
	2011			2010			2009

INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	1,783,414,525		$	1,516,348,569		$	1,899,322,298
Dividend income — affiliates of the Trustee and the Sponsor		4,579,162			155,923			2,239,900

Total Investment Income		1,787,993,687			1,516,504,492			1,901,562,198

EXPENSES
Trustee expense		49,583,282			40,693,484			37,299,801
S&P license fee		27,574,288			21,931,368			21,492,906
Marketing expense		17,790,322			14,620,912			14,233,147
Legal and audit services		262,513			422,917			277,642
Other expenses		1,438,294			1,543,741			1,050,269

Total Expenses		96,648,699			79,212,422			74,353,765
Trustee expense waiver		(12,589,426	)		(10,128,612	)		(7,102,147	)

Net Expenses		84,059,273			69,083,810			67,251,618

NET INVESTMENT INCOME		1,703,934,414			1,447,420,682			1,834,310,580

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		12,378,051,573			16,730,164,234			(44,584,311,986	)
Investment transactions — affiliates of the Trustee and the Sponsor		14,104,238			8,836,491			(166,785,981	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		(13,392,528,820	)		(11,825,602,638	)		29,208,992,488
Investment transactions — affiliates of the Trustee and the Sponsor		(49,684,986	)		(66,024,806	)		90,665,805

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(1,050,057,995	)		4,847,373,281			(15,451,439,674	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	653,876,419		$	6,294,793,963		$	(13,617,129,094	)

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets


	For the			For the			For the
	Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,
	2011			2010			2009

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income	$	1,703,934,414		$	1,447,420,682		$	1,834,310,580
Net realized gain (loss) on investment transactions		12,392,155,811			16,739,000,725			(44,751,097,967	)
Net change in unrealized appreciation (depreciation)		(13,442,213,806	)		(11,891,627,444	)		29,299,658,293

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		653,876,419			6,294,793,963			(13,617,129,094	)

NET EQUALIZATION CREDITS AND CHARGES		136,345,475			102,137,436			79,929,657

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME		(1,859,515,384	)		(1,549,861,683	)		(1,938,730,332	)


INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:
Proceeds from sale of Units		442,329,234,719			400,829,082,743			343,468,772,184
Proceeds from reinvestment of distributions		—			2,216,596			12,270,791
Cost of Units repurchased		(438,449,217,218	)		(399,041,216,070	)		(349,232,583,429	)
Net income equalization (Note 2)		(136,345,475	)		(102,137,436	)		(79,929,657	)

NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND REDEMPTION OF UNITS		3,743,672,026			1,687,945,833			(5,831,470,111	)

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD		2,674,378,536			6,535,015,549			(21,307,399,880	)
NET ASSETS AT BEGINNING OF PERIOD		78,190,881,402			71,655,865,853			92,963,265,733

NET ASSETS AT END OF PERIOD*	$	80,865,259,938		$	78,190,881,402		$	71,655,865,853


UNIT TRANSACTIONS:
Units sold		3,550,100,000			3,614,350,000			3,788,050,000
Units issued from reinvestment of distributions		—			21,395			135,148
Units redeemed		(3,520,350,000	)		(3,607,000,000	)		(3,908,300,000	)

NET INCREASE (DECREASE)		29,750,000			7,371,395			(120,114,852	)

* Includes undistributed (distribution in excess of) net investment income	$	(478,294,653	)	$	(426,704,977	)	$	(336,373,142	)

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Financial Highlights

Selected data for a Unit outstanding throughout each period


	For the			For the			For the			For the			For the
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
	2011			2010			2009			2008			2007

Net asset value, beginning of year	$	114.13		$	105.73		$	116.52		$	152.48		$	133.53

Investment Operations:
Net investment income(1)		2.42			2.20			2.32			2.72			2.66
Net realized and unrealized gain (loss) on investments		(1.16	)		8.24			(10.90	)		(36.28	)		18.75

Total from investment operations		1.26			10.44			(8.58	)		(33.56	)		21.41

Net equalization credits and charges(1)		0.19			0.16			0.10			0.38			0.26

Less distributions from:
Net investment income		(2.46	)		(2.20	)		(2.31	)		(2.78	)		(2.72	)

Net asset value, end of year	$	113.12		$	114.13		$	105.73		$	116.52		$	152.48

Total investment return(2)		1.01	%		10.08	%		(6.90	)%		(21.84	)%		16.31	%

Ratios and supplemental data
Ratio to average net assets:
Net investment income		1.92	%		1.98	%		2.58	%		1.99	%		1.86	%
Total expenses(3)		0.09	%		0.09	%		0.09	%		0.09	%		0.08	%
Total expenses excluding Trustee earnings credit		0.11	%		0.11	%		0.10	%		0.11	%		0.11	%
Total expenses excluding Trustee earnings credit and fee waivers		0.11	%		0.11	%		0.10	%		0.11	%		0.12	%
Portfolio turnover rate(4)		3.72	%		5.38	%		6.68	%		4.56	%		2.95	%
Net assets, end of year (000’s)	$	80,865,260		$	78,190,881		$	71,655,866		$	92,963,266		$	78,638,467


(1)	Per Unit numbers have been calculated using the average shares method, which more appropriately presents per unit data for the year.

(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. Broker commission charges are not included in this calculation.

(3)	Net of expenses waived by the Trustee.

(4)	Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions of Units.

See accompanying notes to financial statements.

SPDR S&P 500 ETF Trust

Notes to Financial Statements

September 30, 2011


Note 1 —	Organization

SPDR S&P 500 ETF Trust (the “Trust”), is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 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 Börse AG announced that they have entered into a business combination agreement which was subsequently approved by their shareholders. This transaction is subject to 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. These financial statements are presented in United States dollars.

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.

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2011


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

Events or transactions occurring after the year end through the date the financial statements were issued have been evaluated by management in the preparation of the financial statements and no items were noted requiring additional disclosure or adjustment.

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.

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2011


Note 2 —	Significant Accounting Policies – (continued)

The values of equity securities could decline generally or could underperform other investments. The Trust would not sell an equity security because the security’s issuer was in financial trouble unless that security were 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 holders of Units (“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 Unitholders, 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, 2011 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. The Trust recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. There was none for the year ending September 30, 2011.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be fully

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2011


Note 2 —	Significant Accounting Policies – (continued)

used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

During the year ended September 30, 2011, the Trust reclassified $12,641,134,512 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At September 30, 2011, the cost of investments for federal income tax purposes was $96,445,880,545, accordingly, gross unrealized appreciation was $419,652,769 and gross unrealized depreciation was $16,073,518,704, resulting in net unrealized depreciation of $15,653,865,935.

At September 30, 2011, the Trust had capital loss carryforwards which may be used to offset any net realized gains, expiring September 30:


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		188,539,023

During the tax year ended September 30, 2011, the Trust utilized capital loss carryforwards of $8,340,898 and had $1,522,493,122 of capital loss carryforwards expire.

The tax character of distributions paid during the year ended September 30, 2011 was $1,859,515,384 of ordinary income.

The tax character of distributions paid during the year ended September 30, 2010 was $1,549,861,683 of ordinary income.

The tax character of distributions paid during the year ended September 30, 2009 was $1,938,730,332 of ordinary income.

As of September 30, 2011, the components of distributable earnings (excluding unrealized appreciation/(depreciation)) on the tax basis were undistributed ordinary income of $0, undistributed long term capital gain of $0 and unrealized depreciation of $15,653,865,934.

Under current tax laws, capital losses realized after October 31, may be deferred and treated as occuring on the first day of the following fiscal year. The Trust incurred losses of $270,413,504 during the period November 1, 2010 through September 30, 2011 that are deferred for tax purposes until fiscal year 2012.


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

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2011


Note 3 —	Transactions with the Trustee and Sponsor – (continued)

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 year ended September 30, 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 year ended September 30, 2011, the Adjustment Amount reduced the Trustee’s fee by $4,554,633. The Adjustment Amount included an excess of net transaction fees from processing orders of $4,185,027 and a Trustee earnings credit of $369,606.

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, 2009, September 30, 2010 and September 30, 2011 was $7,102,147, $10,128,612 and $12,589,426, 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 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.

The Sponsor has entered into an agreement with SSGM (the “Marketing Agent”) pursuant to which the Marketing Agent has agreed to market and promote the Trust. The Marketing Agent is reimbursed by the Sponsor for the expenses it incurs for providing such services out of amounts that the Trust reimburses the Sponsor. Expenses incurred by the Marketing Agent include but are not limited to: printing and distribution of marketing materials describing the Trust, associated legal, consulting, advertising and marketing costs and other out-of-pocket expenses.

Investments in Affiliates of the Trustee and the Sponsor

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 September 30, 2011 is listed in the Schedule of Investments.

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2011


Note 4 —	Unitholder 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 year ended September 30, 2011, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $186,478,194,301, $182,738,725,663, $3,518,063,862, and $3,273,247,942, respectively. Net realized gain (loss) on investment transactions in the Statement of Operations includes net gains resulting from in-kind transactions of $12,679,722,207.

Report of Independent Registered Public Accounting Firm

To the Trustee and Unitholders of

SPDR S&P 500 ETF Trust

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of SPDR S&P 500 ETF Trust (the “Trust”) at September 30, 2011, the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2011

SPDR S&P 500 ETF Trust

Other Information

September 30, 2011 (Unaudited)

For Federal income tax purposes, the percentage of Trust distributions which qualify for the corporate dividends paid deduction for the fiscal year ended September 30, 2011 is 99.79%.

For the fiscal year ended September 30, 2011 certain dividends paid by the Trust may be designated as qualified dividend income and subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Complete information will be reported in conjunction with your 2011 Form 1099-DIV.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Bid/Ask Price(1) vs Net Asset Value
AS OF SEPTEMBER 30, 2011


	Bid/Ask Price						Bid/Ask Price
	Above NAV						Below NAV
	50 - 99		100 - 199		> 200		50 - 99		100 - 199		> 200
	BASIS		BASIS		BASIS		BASIS		BASIS		BASIS
	POINTS		POINTS		POINTS		POINTS		POINTS		POINTS

2011		0		0		0		0		0		0
2010		0		0		0		0		0		0
2009		0		0		0		0		0		0
2008		3		4		1		5		1		0
2007		0		0		0		0		0		0

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 return 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	1.01%	−5.96%	30.99%
Return Based on Bid/Ask Price	1.05%	−5.95%	30.89%
S&P 500 Index	1.14%	−5.76%	32.00%


Average Annual Total Return
	1 Year	5 Year	10 Year

SPDR S&P 500 ETF Trust
Return Based on NAV	1.01%	−1.22%	2.74%
Return Based on Bid/Ask Price	1.05%	−1.22%	2.73%
S&P 500 Index	1.14%	−1.18%	2.82%


(1)		The Bid/Ask Price is the midpoint of the NYSE Arca 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.