N-30D 1 d335223dn30d.htm SPDR S&P 500 ETF TRUST <![CDATA[SPDR S&P 500 ETF TRUST]]>

SPDR® S&P 500® ETF Trust

A Unit Investment Trust

Semi-Annual Report

March 31, 2012

(Unaudited)

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500®”, “500®”, “Standard & Poor’s Depositary Receipts®”, “SPDR®” and “SPDRs®” are trademarks of 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

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SPDR S&P 500 ETF Trust

Schedule of Investments

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

3M Co.

     5,761,615      $ 513,993,674   

Abbott Laboratories

     13,060,540        800,480,497   

Abercrombie & Fitch Co. (Class A)

     717,878        35,613,928   

Accenture PLC (Class A)

     5,376,241        346,767,544   

ACE Ltd.

     2,784,123        203,797,804   

Adobe Systems, Inc.(a)

     4,070,775        139,668,290   

Advanced Micro Devices, Inc.(a)

     4,751,090        38,103,742   

Aetna, Inc.

     2,901,232        145,525,797   

AFLAC, Inc.

     3,877,460        178,324,385   

Agilent Technologies, Inc.

     2,885,999        128,455,815   

AGL Resources, Inc.

     967,666        37,951,861   

Air Products & Chemicals, Inc.

     1,744,212        160,118,662   

Airgas, Inc.

     560,973        49,909,768   

Akamai Technologies, Inc.(a)

     1,486,524        54,555,431   

Alcoa, Inc.

     8,850,758        88,684,595   

Allegheny Technologies, Inc.

     871,491        35,879,284   

Allergan, Inc.

     2,531,051        241,538,197   

Alpha Natural Resources, Inc.(a)

     1,822,052        27,713,411   

Altera Corp.

     2,668,423        106,256,604   

Altria Group, Inc.

     17,036,020        525,901,937   

Amazon.com, Inc.(a)

     3,022,392        612,064,604   

Ameren Corp.

     1,990,055        64,835,992   

American Electric Power Co., Inc.

     4,013,015        154,822,119   

American Express Co.

     8,426,174               487,538,428   

American International Group,
Inc.(a)

     4,448,394        137,143,987   

American Tower Corp.

     3,256,570        205,229,041   

Ameriprise Financial, Inc.

     1,869,851        106,824,588   

AmerisourceBergen Corp.

     2,135,570        84,739,418   

Amgen, Inc.

     6,568,982        446,625,086   

Amphenol Corp. (Class A)

     1,372,709        82,046,817   

Anadarko Petroleum Corp.

     4,125,188        323,167,228   

Analog Devices, Inc.

     2,466,005        99,626,602   

Aon Corp.

     2,689,730        131,958,154   

Apache Corp.

     3,180,564        319,455,848   

Apartment Investment & Management Co. (Class A)

     995,046        26,279,165   

Apollo Group, Inc. (Class A)(a)

     955,922        36,936,826   

Apple, Inc.(a)

     7,740,932        4,640,456,506   

Applied Materials, Inc.

     10,836,257        134,803,037   

Archer-Daniels-Midland Co.

     5,534,480        175,221,637   

Assurant, Inc.

     725,028        29,363,634   

AT&T, Inc.

     49,215,225        1,536,991,477   

Autodesk, Inc.(a)

     1,883,352        79,703,457   

Automatic Data Processing, Inc.

     4,073,431        224,812,657   

AutoNation, Inc.(a)

     372,145        12,768,295   

Autozone, Inc.(a)

     230,483        85,693,579   

AvalonBay Communities, Inc.

     791,042        111,813,787   

Avery Dennison Corp.

     868,800        26,176,944   

Avon Products, Inc.

     3,534,435        68,426,662   

Baker Hughes, Inc.

     3,633,361        152,383,160   

 

See accompanying notes to financial statements.

 

Common Stocks   Shares     Value  

Ball Corp.

     1,291,475      $ 55,378,448   

Bank of America Corp.

     89,087,102        852,563,566   

Baxter International, Inc.

     4,677,138        279,599,310   

BB&T Corp.

     5,787,424        181,667,239   

Beam, Inc.

     1,301,473        76,227,274   

Becton, Dickinson & Co.

     1,741,482        135,226,077   

Bed Bath & Beyond, Inc.(a)

     1,988,739        130,799,364   

Bemis Co., Inc.

     851,614        27,498,616   

Berkshire Hathaway, Inc.
(Class B)(a)

     14,595,067        1,184,389,687   

Best Buy Co., Inc.

     2,429,302        57,525,871   

Big Lots, Inc.(a)

     540,110        23,235,532   

Biogen Idec, Inc.(a)

     1,978,973        249,291,229   

BlackRock, Inc.

     833,191        170,720,836   

BMC Software, Inc.(a)

     1,408,920        56,582,227   

BorgWarner, Inc.(a)

     909,435        76,701,748   

Boston Properties, Inc.

     1,231,587        129,304,319   

Boston Scientific Corp.(a)

     12,269,884        73,373,906   

Bristol-Myers Squibb Co.

     14,029,457               473,494,174   

Broadcom Corp. (Class A)(a)

     4,074,859        160,141,959   

Brown-Forman Corp. (Class B)

     830,472        69,253,060   

C.H. Robinson Worldwide, Inc.

     1,357,666        88,913,546   

C.R. Bard, Inc.

     712,461        70,334,150   

CA, Inc.

     3,065,039        84,472,475   

Cablevision Systems Corp. (Class A)

     1,849,841        27,155,666   

Cabot Oil & Gas Corp.

     1,722,493        53,690,107   

Cameron International Corp.(a)

     2,044,058        107,987,584   

Campbell Soup Co.

     1,480,302        50,108,223   

Capital One Financial Corp.

     4,594,282        256,085,279   

Cardinal Health, Inc.

     2,869,898        123,721,303   

CareFusion Corp.(a)

     1,835,296        47,589,225   

CarMax, Inc.(a)

     1,863,027        64,553,886   

Carnival Corp.

     3,744,678        120,129,270   

Caterpillar, Inc.

     5,375,796        572,629,790   

CBRE Group, Inc. (Class A)(a)

     2,697,654        53,845,174   

CBS Corp. (Class B)

     5,413,891        183,585,044   

Celgene Corp.(a)

     3,639,222        282,112,489   

CenterPoint Energy, Inc.

     3,497,009        68,961,017   

CenturyLink, Inc.

     5,144,387        198,830,558   

Cerner Corp.(a)

     1,211,950        92,302,112   

CF Industries Holdings, Inc.

     537,475        98,169,809   

Chesapeake Energy Corp.

     5,501,267        127,464,356   

Chevron Corp.

     16,401,963        1,758,946,512   

Chipotle Mexican Grill, Inc.(a)

     258,086        107,879,948   

Chubb Corp.

     2,246,757        155,273,376   

CIGNA Corp.

     2,379,018        117,166,636   

Cincinnati Financial Corp.

     1,342,261        46,321,427   

Cintas Corp.

     925,330        36,198,910   

Cisco Systems, Inc.

     44,713,768        945,696,193   

Citigroup, Inc.

     24,312,703        888,629,295   

 

1

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

Citrix Systems, Inc.(a)

     1,549,469      $ 122,268,599   

Cliffs Natural Resources, Inc.

     1,184,755        82,056,131   

Clorox Co.

     1,082,759        74,439,681   

CME Group, Inc.

     551,525        159,572,728   

CMS Energy Corp.

     2,138,425        47,045,350   

Coach, Inc.

     2,385,967        184,387,530   

Coca-Cola Enterprises, Inc.

     2,485,815        71,094,309   

Cognizant Technology Solutions Corp. (Class A)(a)

     2,519,624        193,885,067   

Colgate-Palmolive Co.

     3,977,780        388,947,328   

Comcast Corp. (Class A)

     22,365,865               671,199,609   

Comerica, Inc.

     1,652,914        53,488,297   

Computer Sciences Corp.

     1,273,241        38,120,836   

ConAgra Foods, Inc.

     3,414,307        89,659,702   

ConocoPhillips

     10,594,208        805,265,750   

CONSOL Energy, Inc.

     1,867,400        63,678,340   

Consolidated Edison, Inc.

     2,431,525        142,049,690   

Constellation Brands, Inc.
(Class A)(a)

     1,435,068        33,853,254   

Cooper Industries PLC

     1,307,049        83,585,784   

Corning, Inc.

     12,602,850        177,448,128   

Costco Wholesale Corp.

     3,610,606        327,843,025   

Coventry Health Care, Inc.

     1,195,180        42,512,553   

Covidien PLC

     4,012,290        219,392,017   

Crown Castle International
Corp.(a)

     2,077,816        110,830,705   

CSX Corp.

     8,736,639        188,012,471   

Cummins, Inc.

     1,597,994        191,823,200   

CVS Caremark Corp.

     10,811,328        484,347,494   

D.R. Horton, Inc.

     2,293,915        34,798,691   

Danaher Corp.

     4,750,077        266,004,312   

Darden Restaurants, Inc.

     1,091,614        55,846,972   

DaVita, Inc.(a)

     769,764        69,409,620   

Dean Foods Co.(a)

     1,504,440        18,218,768   

Deere & Co.

     3,328,260        269,256,234   

Dell, Inc.(a)

     12,656,611        210,099,743   

Denbury Resources, Inc.(a)

     3,310,550        60,351,327   

DENTSPLY International, Inc.

     1,157,950        46,468,534   

Devon Energy Corp.

     3,341,461        237,644,706   

DeVry, Inc.

     507,511        17,189,398   

Diamond Offshore Drilling, Inc.

     572,199        38,194,283   

DIRECTV (Class A)(a)

     5,595,915        276,102,446   

Discover Financial Services

     4,387,619        146,283,217   

Discovery Communications, Inc. (Class A)(a)

     2,184,076        110,514,246   

Dollar Tree, Inc.(a)

     986,602        93,224,023   

Dominion Resources, Inc.

     4,717,979        241,607,705   

Dover Corp.

     1,535,037        96,615,229   

Dr. Pepper Snapple Group, Inc.

     1,784,821        71,767,652   

DTE Energy Co.

     1,392,096        76,607,043   

Duke Energy Corp.

     11,039,110        231,931,701   

 

See accompanying notes to financial statements.

 

Common Stocks   Shares     Value  

Dun & Bradstreet Corp.

     405,294      $ 34,340,561   

E*TRADE Financial Corp.(a)

     2,072,951        22,698,813   

E. I. du Pont de Nemours & Co.

     7,743,189        409,614,698   

Eastman Chemical Co.

     1,140,260        58,940,039   

Eaton Corp.

     2,770,022        138,030,196   

eBay, Inc.(a)

     9,515,929        351,042,621   

Ecolab, Inc.

     2,412,861               148,921,781   

Edison International

     2,704,982        114,988,785   

Edwards Lifesciences Corp.(a)

     946,566        68,843,745   

El Paso Corp.

     6,416,007        189,593,007   

Electronic Arts, Inc.(a)

     2,750,949        45,335,640   

Eli Lilly & Co.

     8,477,821        341,401,852   

EMC Corp.(a)

     17,049,777        509,447,337   

Emerson Electric Co.

     6,097,997        318,193,483   

Entergy Corp.

     1,455,949        97,839,773   

EOG Resources, Inc.

     2,233,974        248,194,511   

EQT Corp.

     1,228,529        59,227,383   

Equifax, Inc.

     1,009,004        44,658,517   

Equity Residential

     2,494,822        156,225,754   

Exelon Corp.

     7,108,839        278,737,577   

Expedia, Inc.

     785,442        26,265,180   

Expeditors International of Washington, Inc.

     1,742,316        81,035,117   

Express Scripts, Inc.(a)

     4,020,454        217,828,198   

Exxon Mobil Corp.

     39,076,280        3,389,085,764   

F5 Networks, Inc.(a)

     658,831        88,915,832   

Family Dollar Stores, Inc.

     973,009        61,572,010   

Fastenal Co.

     2,450,573        132,575,999   

Federated Investors, Inc.
(Class B)

     764,078        17,122,988   

FedEx Corp.

     2,610,494        240,061,028   

Fidelity National Information Services, Inc.

     1,941,725        64,309,932   

Fifth Third Bancorp

     7,635,146        107,273,801   

First Horizon National Corp.

     2,151,147        22,328,906   

First Solar, Inc.(a)

     486,218        12,179,761   

FirstEnergy Corp.

     3,471,822        158,280,365   

Fiserv, Inc.(a)

     1,165,184        80,852,118   

FLIR Systems, Inc.

     1,303,110        32,981,714   

Flowserve Corp.

     458,297        52,937,886   

Fluor Corp.

     1,406,100        84,422,244   

FMC Corp.

     583,740        61,794,716   

FMC Technologies, Inc.(a)

     1,976,088        99,634,357   

Ford Motor Co.

     31,475,028        393,123,100   

Forest Laboratories, Inc.(a)

     2,213,850        76,798,457   

Franklin Resources, Inc.

     1,181,604        146,554,344   

Freeport-McMoRan Copper &
Gold, Inc.

     7,851,323        298,664,327   

Frontier Communications Corp.

     8,185,122        34,131,959   

GameStop Corp. (Class A)

     1,157,831        25,287,029   

Gannett Co., Inc.

     1,966,613        30,148,177   

 

2

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

General Dynamics Corp.

     2,947,944      $ 216,320,131   

General Electric Co.

     87,846,389        1,763,077,027   

General Mills, Inc.

     5,324,547        210,053,379   

Genuine Parts Co.

     1,295,414        81,287,229   

Genworth Financial, Inc.
(Class A)(a)

     4,033,208        33,556,291   

Gilead Sciences, Inc.(a)

     6,289,910        307,262,103   

Goodrich Corp.

     1,044,795        131,059,085   

Google, Inc. (Class A)(a)

     2,105,789            1,350,316,138   

H&R Block, Inc.

     2,428,032        39,989,687   

H.J. Heinz Co.

     2,645,339        141,657,903   

Halliburton Co.

     7,662,956        254,333,510   

Harley-Davidson, Inc.

     1,924,510        94,454,951   

Harman International
Industries, Inc.

     573,207        26,831,820   

Harris Corp.

     959,203        43,240,871   

Hartford Financial Services
Group, Inc.

     3,658,686        77,125,101   

Hasbro, Inc.

     962,028        35,325,668   

HCP, Inc.

     3,399,778        134,155,240   

Health Care REIT, Inc.

     1,747,333        96,033,422   

Helmerich & Payne, Inc.

     879,460        47,446,867   

Hess Corp.

     2,514,349        148,220,874   

Hewlett-Packard Co.

     16,423,246        391,365,952   

Honeywell International, Inc.

     6,437,533        393,011,390   

Hormel Foods Corp.

     1,140,380        33,664,018   

Hospira, Inc.(a)

     1,357,729        50,765,487   

Host Hotels & Resorts, Inc.

     5,834,850        95,808,237   

Hudson City Bancorp, Inc.

     4,335,940        31,695,721   

Humana, Inc.

     1,355,509        125,357,472   

Huntington Bancshares, Inc.

     7,109,924        45,859,010   

Illinois Tool Works, Inc.

     3,998,643        228,402,488   

Ingersoll-Rand PLC

     2,459,377        101,695,239   

Integrys Energy Group, Inc.

     636,591        33,732,957   

Intel Corp.

     41,413,845        1,164,143,183   

IntercontinentalExchange, Inc.(a)

     604,571        83,080,147   

International Business Machines Corp.

     9,605,938        2,004,278,964   

International Flavors & Fragrances, Inc.

     666,444        39,053,618   

International Game Technology

     2,455,111        41,221,314   

International Paper Co.

     3,628,087        127,345,854   

Intuit, Inc.

     2,458,747        147,844,457   

Intuitive Surgical, Inc.(a)

     327,072        177,191,256   

Invesco, Ltd.

     3,715,626        99,095,745   

Iron Mountain, Inc.

     1,412,011        40,665,917   

J.C. Penney Co., Inc.

     1,177,817        41,730,056   

Jabil Circuit, Inc.

     1,502,997        37,755,285   

Jacobs Engineering Group,
Inc.(a)

     1,050,630        46,616,453   

JDS Uniphase Corp.(a)

     1,866,770        27,049,497   

 

See accompanying notes to financial statements.

 

Common Stocks   Shares     Value  

Johnson & Johnson

     22,794,872      $ 1,503,549,757   

Johnson Controls, Inc.

     5,650,681        183,534,119   

Joy Global, Inc.

     878,414        64,563,429   

JPMorgan Chase & Co.

     31,697,614        1,457,456,292   

Juniper Networks, Inc.(a)

     4,359,763        99,751,377   

Kellogg Co.

     2,056,483        110,289,183   

KeyCorp

     7,829,385        66,549,773   

Kimberly-Clark Corp.

     3,263,960        241,174,004   

Kimco Realty Corp.

     3,343,057        64,387,278   

KLA-Tencor Corp.

     1,375,673        74,864,125   

Kohl’s Corp.

     2,089,756               104,550,493   

Kraft Foods, Inc. (Class A)

     14,678,674        557,936,399   

L-3 Communications
Holdings, Inc.

     822,685        58,221,417   

Laboratory Corp. of America Holdings(a)

     820,914        75,146,468   

Legg Mason, Inc.

     1,024,859        28,624,312   

Leggett & Platt, Inc.

     1,172,811        26,986,381   

Lennar Corp. (Class A)

     1,324,776        36,007,412   

Leucadia National Corp.

     1,623,370        42,369,957   

Lexmark International, Inc.
(Class A)

     591,120        19,648,829   

Life Technologies Corp.(a)

     1,484,673        72,481,736   

Limited Brands, Inc.

     2,040,672        97,952,256   

Lincoln National Corp.

     2,412,288        63,587,912   

Linear Technology Corp.

     1,877,399        63,268,346   

Lockheed Martin Corp.

     2,213,599        198,914,006   

Loews Corp.

     2,530,930        100,908,179   

Lorillard, Inc.

     1,094,291        141,688,799   

Lowe’s Cos., Inc.

     10,294,422        323,038,962   

LSI Corp.(a)

     4,718,257        40,954,471   

M & T Bank Corp.

     1,050,048        91,228,170   

Macy’s, Inc.

     3,478,267        138,191,548   

Marathon Oil Corp.

     5,832,569        184,892,437   

Marathon Petroleum Corp.

     2,880,553        124,900,778   

Marriott International, Inc.
(Class A)

     2,210,819        83,679,499   

Marsh & McLennan Cos., Inc.

     4,514,228        148,021,536   

Masco Corp.

     2,950,902        39,453,560   

MasterCard, Inc. (Class A)

     881,785        370,825,864   

Mattel, Inc.

     2,806,645        94,471,671   

McCormick & Co., Inc.

     1,094,899        59,595,353   

McDonald’s Corp.

     8,470,065        830,913,376   

McKesson Corp.

     2,043,503        179,358,258   

Mead Johnson Nutrition Co.

     1,677,283        138,342,302   

MeadWestvaco Corp.

     1,404,701        44,374,505   

Medco Health Solutions, Inc.(a)

     3,207,732        225,503,560   

Medtronic, Inc.

     8,629,252        338,180,386   

Merck & Co., Inc.

     25,265,401        970,191,398   

MetLife, Inc.

     8,802,645        328,778,791   

MetroPCS Communications, Inc.(a)

     2,432,020        21,936,820   

 

3

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

Microchip Technology, Inc.

     1,571,780      $ 58,470,216   

Micron Technology, Inc.(a)

     8,185,610        66,303,441   

Microsoft Corp.

     62,014,257        1,999,959,788   

Molex, Inc.

     1,127,033        31,692,168   

Molson Coors Brewing Co.
(Class B)

     1,305,586        59,077,767   

Monsanto Co.

     4,434,038               353,658,871   

Moody’s Corp.

     1,619,215        68,168,952   

Morgan Stanley

     12,669,500        248,828,980   

Motorola Mobility Holdings, Inc.(a)

     2,188,330        85,870,069   

Motorola Solutions, Inc.

     2,443,676        124,212,051   

Murphy Oil Corp.

     1,593,376        89,659,268   

Mylan, Inc.(a)

     3,513,876        82,400,392   

Nabors Industries, Ltd.(a)

     2,367,686        41,410,828   

National-Oilwell Varco, Inc.

     3,521,865        279,882,612   

NetApp, Inc.(a)

     3,015,428        135,000,712   

Netflix, Inc.(a)

     457,099        52,584,669   

Newell Rubbermaid, Inc.

     2,389,676        42,560,130   

Newfield Exploration Co.(a)

     1,086,899        37,693,657   

Newmont Mining Corp.

     4,098,747        210,142,759   

News Corp. (Class A)

     17,843,021        351,329,083   

NextEra Energy, Inc.

     3,474,861        212,244,510   

NIKE, Inc. (Class B)

     3,045,613        330,266,274   

NiSource, Inc.

     2,310,796        56,267,883   

Noble Corp.(a)

     2,075,555        77,771,046   

Noble Energy, Inc.

     1,469,400        143,677,932   

Nordstrom, Inc.

     1,347,559        75,085,987   

Norfolk Southern Corp.

     2,736,799        180,163,478   

Northeast Utilities

     1,452,679        53,923,444   

Northern Trust Corp.

     1,983,012        94,093,919   

Northrop Grumman Corp.

     2,091,988        127,778,627   

Novellus Systems, Inc.(a)

     574,643        28,680,432   

NRG Energy, Inc.(a)

     1,905,401        29,857,634   

Nucor Corp.

     2,630,908        112,997,499   

NVIDIA Corp.(a)

     5,069,598        78,021,113   

NYSE Euronext (b)

     2,147,087        64,434,081   

O’Reilly Automotive, Inc.(a)

     1,053,865        96,270,568   

Occidental Petroleum Corp.

     6,723,095        640,240,337   

Omnicom Group, Inc.

     2,285,685        115,769,945   

Oneok, Inc.

     853,267        69,677,783   

Oracle Corp.

     32,579,544        950,019,503   

Owens-Illinois, Inc.(a)

     1,347,735        31,456,135   

PACCAR, Inc.

     2,968,785        139,028,202   

Pall Corp.

     956,831        57,055,833   

Parker-Hannifin Corp.

     1,249,530        105,647,762   

Patterson Cos., Inc.

     725,425        24,229,195   

Paychex, Inc.

     2,650,629        82,142,993   

Peabody Energy Corp.

     2,260,788        65,472,420   

People’s United Financial, Inc.

     2,988,823        39,572,017   

Pepco Holdings, Inc.

     1,864,543        35,221,217   

PepsiCo, Inc.

     13,042,013        865,337,563   

 

See accompanying notes to financial statements.

 

Common Stocks   Shares     Value  

PerkinElmer, Inc.

     933,789      $ 25,828,604   

Perrigo Co.

     772,656        79,823,091   

Pfizer, Inc.

     62,488,108        1,415,980,527   

PG&E Corp.

     3,424,055        148,638,228   

Philip Morris International, Inc.

     14,283,911        1,265,697,354   

Pinnacle West Capital Corp.

     895,309        42,885,301   

Pioneer Natural Resources Co.

     1,015,580               113,328,572   

Pitney Bowes, Inc.

     1,672,270        29,398,507   

Plum Creek Timber Co., Inc.

     1,330,748        55,305,887   

PNC Financial Services
Group, Inc.

     4,380,100        282,472,649   

PPG Industries, Inc.

     1,279,143        122,541,899   

PPL Corp.

     4,808,127        135,877,669   

Praxair, Inc.

     2,487,155        285,127,449   

Precision Castparts Corp.

     1,205,844        208,490,428   

priceline.com, Inc.(a)

     414,092        297,111,010   

Principal Financial Group, Inc.

     2,528,218        74,607,713   

Progress Energy, Inc.

     2,450,071        130,123,271   

ProLogis, Inc.

     3,780,810        136,184,776   

Prudential Financial, Inc.

     3,902,912        247,405,592   

Public Service Enterprise
Group, Inc.

     4,200,486        128,576,876   

Public Storage, Inc.

     1,180,678        163,134,279   

Pulte Group, Inc.(a)

     2,777,581        24,581,592   

QEP Resources, Inc.

     1,457,066        44,440,513   

QUALCOMM, Inc.

     14,046,267        955,427,081   

Quanta Services, Inc.(a)

     1,747,236        36,517,232   

Quest Diagnostics, Inc.

     1,303,114        79,685,421   

R.R. Donnelley & Sons Co.

     1,533,501        19,000,077   

Ralph Lauren Corp.

     532,399        92,813,118   

Range Resources Corp.

     1,294,416        75,257,346   

Raytheon Co.

     2,817,231        148,693,452   

Red Hat, Inc.(a)

     1,588,969        95,163,353   

Regions Financial Corp.

     11,710,850        77,174,502   

Republic Services, Inc.

     2,609,531        79,747,267   

Reynolds American, Inc.

     2,782,559        115,309,245   

Robert Half International, Inc.

     1,184,841        35,900,682   

Rockwell Automation, Inc.

     1,179,097        93,974,031   

Rockwell Collins, Inc.

     1,253,241        72,136,552   

Roper Industries, Inc.

     804,926        79,816,462   

Ross Stores, Inc.

     1,902,290        110,523,049   

Rowan Co., Inc.(a)

     1,046,035        34,445,933   

Ryder System, Inc.

     421,805        22,271,304   

Safeway, Inc.

     2,211,726        44,698,982   

SAIC, Inc.(a)

     2,292,708        30,263,746   

Salesforce.com, Inc.(a)

     1,128,750        174,403,162   

SanDisk Corp.(a)

     2,013,698        99,859,284   

Sara Lee Corp.

     4,911,677        105,748,406   

SCANA Corp.

     940,653        42,903,183   

Schlumberger, Ltd.

     11,066,666        773,891,953   

 

4

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

Scripps Networks Interactive
(Class A)

     816,447      $ 39,752,804   

Sealed Air Corp.

     1,589,495        30,693,148   

Sears Holdings Corp.(a)

     316,964        20,998,865   

Sempra Energy

     1,997,691               119,781,552   

Sherwin-Williams Co.

     713,947        77,584,620   

Sigma-Aldrich Corp.

     1,003,328        73,303,144   

Simon Property Group, Inc.

     2,549,151        371,360,318   

SLM Corp.

     4,234,258        66,731,906   

Snap-on, Inc.

     478,962        29,202,313   

Southern Co.

     7,195,824        323,308,372   

Southwest Airlines Co.

     6,450,644        53,153,307   

Southwestern Energy Co.(a)

     2,898,806        88,703,464   

Spectra Energy Corp.

     5,405,812        170,553,369   

Sprint Nextel Corp.(a)

     24,598,397        70,105,431   

St. Jude Medical, Inc.

     2,638,680        116,919,911   

Stanley Black & Decker, Inc.

     1,407,950        108,355,832   

Staples, Inc.

     5,795,821        93,776,384   

Starbucks Corp.

     6,257,925        349,755,428   

Starwood Hotels & Resorts Worldwide, Inc.

     1,629,798        91,936,905   

State Street Corp.(c)

     4,068,764        185,128,762   

Stericycle, Inc.(a)

     708,639        59,270,566   

Stryker Corp.

     2,695,446        149,543,344   

Sunoco, Inc.

     889,049        33,917,219   

SunTrust Banks, Inc.

     4,412,116        106,640,844   

SUPERVALU, Inc.

     1,745,717        9,968,044   

Symantec Corp.(a)

     6,107,629        114,212,662   

Sysco Corp.

     4,874,986        145,567,082   

T. Rowe Price Group, Inc.

     2,094,054        136,741,726   

Target Corp.

     5,574,654        324,835,089   

TE Connectivity Ltd.

     3,518,672        129,311,196   

TECO Energy, Inc.

     1,767,911        31,026,838   

Tenet Healthcare Corp.(a)

     3,398,307        18,045,010   

Teradata Corp.(a)

     1,384,762        94,371,530   

Teradyne, Inc.(a)

     1,528,692        25,819,608   

Tesoro Corp.(a)

     1,181,599        31,714,117   

Texas Instruments, Inc.

     9,506,092        319,499,752   

Textron, Inc.

     2,284,735        63,584,175   

The AES Corp.(a)

     5,343,844        69,844,041   

The Allstate Corp.

     4,179,887        137,601,880   

The Bank of New York
Mellon Corp.

     10,034,648        242,136,056   

The Boeing Co.

     6,191,881        460,490,190   

The Charles Schwab Corp.

     8,970,239        128,902,334   

The Coca-Cola Co.

     18,799,813        1,391,374,160   

The Dow Chemical Co.

     9,841,535        340,910,772   

The Estee Lauder Cos., Inc.
(Class A)

     1,851,779        114,699,191   

The Gap, Inc.

     2,747,820        71,828,015   

The Goldman Sachs Group, Inc.

     4,110,080        511,170,650   

 

See accompanying notes to financial statements.

 

Common Stocks   Shares     Value  

The Goodyear Tire & Rubber
Co.(a)

     2,001,276      $ 22,454,317   

The Hershey Co.

     1,273,552        78,106,944   

The Home Depot, Inc.

     12,796,401               643,786,934   

The Interpublic Group of Cos., Inc.

     3,817,803        43,561,132   

The JM Smucker Co.

     937,844        76,302,988   

The Kroger Co.

     4,757,888        115,283,626   

The McGraw-Hill Cos., Inc.

     2,302,031        111,579,443   

The Mosaic Co.

     2,472,153        136,685,339   

The NASDAQ OMX Group,
Inc.(a)

     1,040,573        26,950,841   

The Procter & Gamble Co.

     22,864,771        1,536,741,259   

The Progressive Corp.

     5,098,752        118,189,071   

The Travelers Cos., Inc.

     3,251,402        192,482,998   

The Walt Disney Co.

     14,857,683        650,469,362   

The Washington Post Co.
(Class B)

     41,432        15,477,752   

The Western Union Co.

     5,131,907        90,321,563   

The Williams Cos., Inc.

     4,916,680        151,482,911   

Thermo Fisher Scientific, Inc.

     3,029,750        170,817,305   

Tiffany & Co.

     1,049,366        72,542,672   

Time Warner Cable, Inc.

     2,604,135        212,237,002   

Time Warner, Inc.

     8,030,604        303,155,301   

Titanium Metals Corp.

     688,034        9,329,741   

TJX Cos., Inc.

     6,251,988        248,266,443   

Torchmark Corp.

     844,096        42,078,186   

Total System Services, Inc.

     1,336,736        30,838,500   

TripAdvisor, Inc.(a)

     800,642        28,558,900   

Tyco International Ltd.

     3,823,912        214,827,376   

Tyson Foods, Inc. (Class A)

     2,420,934        46,360,886   

U.S. Bancorp

     15,863,843        502,566,546   

Union Pacific Corp.

     3,997,752        429,678,385   

United Parcel Service, Inc. (Class B)

     7,954,002        642,047,041   

United States Steel Corp.

     1,183,106        34,747,823   

United Technologies Corp.

     7,557,597        626,827,095   

UnitedHealth Group, Inc.

     8,662,020        510,539,459   

Unum Group

     2,422,940        59,313,571   

Urban Outfitters, Inc.(a)

     915,568        26,652,184   

V.F. Corp.

     725,228        105,868,783   

Valero Energy Corp.

     4,638,121        119,524,378   

Varian Medical Systems, Inc.(a)

     930,717        64,182,244   

Ventas, Inc.

     2,398,576        136,958,690   

VeriSign, Inc.

     1,318,407        50,547,724   

Verizon Communications, Inc.

     23,538,979        899,895,167   

Viacom, Inc. (Class B)

     4,476,925        212,474,860   

Visa, Inc. (Class A)

     4,122,792        486,489,456   

Vornado Realty Trust

     1,536,104        129,339,957   

Vulcan Materials Co.

     1,057,658        45,193,726   

W.W. Grainger, Inc.

     507,050        108,919,411   

Wal-Mart Stores, Inc.

     14,498,034        887,279,681   

 

5

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

Common Stocks   Shares     Value  

Walgreen Co.

     7,241,369      $ 242,513,448   

Waste Management, Inc.

     3,808,922        133,159,913   

Waters Corp.(a)

     742,341        68,785,317   

Watson Pharmaceuticals,
Inc.(a)

     1,055,510        70,782,501   

WellPoint, Inc.

     2,770,438               204,458,324   

Wells Fargo & Co.

     43,771,965        1,494,374,885   

Western Digital Corp.(a)

     1,920,004        79,468,966   

Weyerhaeuser Co.

     4,423,479        96,962,660   

Whirlpool Corp.

     627,127        48,200,981   

Whole Foods Market, Inc.

     1,348,910        112,229,312   

Windstream Corp.

     4,870,360        57,031,916   

Wisconsin Energy Corp.

     1,924,290        67,696,522   

WPX Energy, Inc.(a)

     1,617,144        29,124,763   

Wyndham Worldwide Corp.

     1,253,467        58,298,750   

Wynn Resorts, Ltd.

     661,016        82,547,678   

Xcel Energy, Inc.

     4,042,274        106,998,993   
Common Stocks   Shares     Value  

Xerox Corp.

     11,022,965      $ 89,065,557   

Xilinx, Inc.

     2,181,950        79,488,439   

XL Group PLC

     2,654,775        57,582,070   

Xylem Inc/NY

     1,524,854        42,314,699   

Yahoo!, Inc.(a)

     10,059,626        153,107,508   

Yum! Brands, Inc.

     3,816,397               271,651,138   

Zimmer Holdings, Inc.

     1,473,369        94,708,159   

Zions Bancorporation

     1,516,755        32,549,562   
   

 

 

  

Total Common Stocks(d)
(Cost $105,788,622,191)

     $ 105,647,352,386   
   

 

 

  

(a) Non-income producing security

(b) Affiliate of the Sponsor. See the table below for more information.

(c) Affiliate of the Trustee. See the table below for more information.

(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 the Sponsor (NYSE Euronext). Amounts related to these investments at March 31, 2012, and for the period then ended are (Note 3):

 

    Number of
Shares Held
at 9/30/11		     Cost at
9/30/11		     Value at
9/30/11		     Purchased     Sold     Number
of Shares
Held at
3/31/12		     Value  at
3/31/12		     Dividend
Income		     Realized
Gain		  
          Cost     Shares     Proceeds     Shares          

State Street Corp.

     3,942,241      $ 183,476,808      $ 126,782,471      $ 153,928,780        3,758,322      $ 145,681,425        3,631,799        4,068,764      $ 185,128,762      $ 1,728,785      $ 1,877,041   

NYSE Euronext

     2,043,815        71,544,918        47,498,261        54,970,596        1,977,153        51,067,443        1,873,881        2,147,087        64,434,081        1,220,200        10,155,580   

 

See accompanying notes to financial statements.

 

6

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2012 (Unaudited)

 

 

 

INDUSTRY BREAKDOWN AS OF MARCH 31, 2012*

 

INDUSTRY   

PERCENT OF

NET ASSETS**

  

Oil, Gas & Consumable Fuels

              9.42 % 

Pharmaceuticals

      5.78   

Computers & Peripherals

      5.76   

IT Services

      3.91   

Software

      3.79   

Insurance

      3.54   

Diversified Financial Services

      3.45   

Media

      3.17   

Commercial Banks

      2.90   

Industrial Conglomerates

      2.61   

Diversified Telecommunication Services

      2.58   

Aerospace & Defense

      2.56   

Beverages

      2.50   

Semiconductors & Semiconductor Equipment

      2.41   

Chemicals

      2.29   

Communications Equipment

      2.24   

Food & Staples Retailing

      2.24   

Health Care Providers & Services

      2.12   

Household Products

      2.12   

Machinery

      2.08   

Specialty Retail

      2.08   

Capital Markets

      2.02   

Real Estate Investment Trusts (REITs)

      1.99   

Hotels, Restaurants & Leisure

      1.98   

Tobacco

      1.94   

Electric Utilities

      1.86   

Internet Software & Services

      1.85   

Energy Equipment & Services

      1.80   

Food Products

      1.79   

Health Care Equipment & Supplies

      1.78   

Multi-Utilities

      1.30   

Biotechnology

      1.22   

Air Freight & Logistics

      1.00   

Internet & Catalog Retail

      0.96   

Consumer Finance

      0.91   

Multiline Retail

      0.84   

Metals & Mining

      0.83   

Road & Rail

      0.78   

Textiles, Apparel & Luxury Goods

      0.67   

Electrical Equipment

      0.54   

Electronic Equipment, Instruments & Components

      0.47   

Automobiles

      0.46   

Life Sciences Tools & Services

      0.44   

Commercial Services & Supplies

      0.40   

Auto Components

      0.27   

Trading Companies & Distributors

      0.23   

Household Durables

      0.23   

Wireless Telecommunication Services

      0.19   

 

See accompanying notes to financial statements.

 

 

 

INDUSTRY

   

PERCENT OF

NET ASSETS**

  

Personal Products

              0.17 % 

Paper & Forest Products

      0.16   

Construction & Engineering

      0.16   

Containers & Packaging

      0.14   

Leisure Equipment & Products

      0.12   

Professional Services

      0.11   

Gas Utilities

      0.10   

Independent Power Producers & Energy Traders

      0.09   

Diversified Consumer Services

      0.09   

Health Care Technology

      0.09   

Office Electronics

      0.08   

Distributors

      0.08   

Thrifts & Mortgage Finance

      0.07   

Real Estate Management & Development

      0.05   

Airlines

      0.05   

Construction Materials

      0.04   

Building Products

      0.04   

Other Assets & Liabilities

      0.06   

 

  

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).

 

7

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

March 31, 2012 (Unaudited)

 

 

 

ASSETS

  

Investments in unaffiliated issuers, at value

    $ 105,397,789,543   

Investments in affiliates of the Trustee and the Sponsor, at value

      249,562,843   
  

 

 

  

Total investments

      105,647,352,386   

Cash

      431,922,831   

Dividends receivable — unaffiliated issuers

      131,995,887   

Dividends receivable — affiliated issuers

      989,593   
  

 

 

  

Total Assets

      106,212,260,697   
  

 

 

  

LIABILITIES

   

Payable for units of fractional undivided interest (“Units”) redeemed in-kind

      215,554   

Income distribution payable

      476,858,773   

Accrued Trustee expense

      3,633,801   

Accrued expenses and other liabilities

      18,803,419   
  

 

 

  

Total Liabilities

      499,511,547   
  

 

 

  

NET ASSETS

    $ 105,712,749,150   
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid in Capital (Note 4)

    $ 113,645,790,929   

Distribution in excess of net investment income

      (522,355,909 ) 

Accumulated net realized loss on investments

      (7,269,416,065 ) 

Net unrealized depreciation on investments

      (141,269,805 ) 
  

 

 

  

NET ASSETS

    $ 105,712,749,150   
  

 

 

  

NET ASSET VALUE PER UNIT

    $ 140.78   
  

 

 

  

UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE

      750,882,116   
  

 

 

  

COST OF INVESTMENTS:

   

Unaffiliated issuers

    $ 105,519,728,364   

Affiliates of the Trustee and the Sponsor

      268,893,827   
  

 

 

  

Total Cost of Investments

    $ 105,788,622,191   
  

 

 

  

See accompanying notes to financial statements.

 

8

SPDR S&P 500 ETF Trust

Statements of Operations

 

 

 

     For the
Six Months Ended
March 31, 2012
(Unaudited)		     For the
Year Ended
September 30,
2011		     For the
Year Ended
September 30,
2010		     For the
Year Ended
September 30,
2009		  

INVESTMENT INCOME

  

      

Dividend income — unaffiliated issuers

     1,039,545,610        1,783,414,525        1,516,348,569        1,899,322,298   

Dividend income — affiliates of the Trustee and the Sponsor

     2,948,985        4,579,162        155,923        2,239,900   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investment Income

     1,042,494,595        1,787,993,687        1,516,504,492        1,901,562,198   
 

 

 

    

 

 

    

 

 

    

 

 

  

EXPENSES

        

Trustee expense

     25,936,624        49,583,282        40,693,484        37,299,801   

S&P license fee

     14,263,065        27,574,288        21,931,368        21,492,906   

Marketing expense

     9,306,530        17,790,322        14,620,912        14,233,147   

Legal and audit services

     342,762        262,513        422,917        277,642   

Other expenses

     612,385        1,438,294        1,543,741        1,050,269   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Expenses

     50,461,366        96,648,699        79,212,422        74,353,765   

Trustee expense waiver

     (6,488,013 )      (12,589,426 )      (10,128,612 )      (7,102,147 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net Expenses

     43,973,353        84,059,273        69,083,810        67,251,618   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INVESTMENT INCOME

     998,521,242        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

     3,786,613,591        12,378,051,573        16,730,164,234        (44,584,311,986 ) 

Investment transactions — affiliates of the Trustee and the Sponsor

     12,032,621        14,104,238        8,836,491        (166,785,981 ) 

Net change in unrealized appreciation (depreciation) on:

        

Investment transactions — unaffiliated issuers

     15,440,911,429        (13,392,528,820 )      (11,825,602,638 )      29,208,992,488   

Investment transactions — affiliates of the Trustee and the Sponsor

     61,410,010        (49,684,986 )      (66,024,806 )      90,665,805   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

     19,300,967,651        (1,050,057,995 )      4,847,373,281        (15,451,439,674 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 20,299,488,893      $ 653,876,419      $ 6,294,793,963      $ (13,617,129,094 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

See accompanying notes to financial statements.

 

9

SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets

 

 

 

     For the
Six Months Ended
March 31, 2012
(Unaudited)		     For the
Year Ended
September 30,
2011		     For the
Year Ended
September 30,
2010		     For the
Year Ended
September 30,
2009		  

INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:

   

      

Net investment income

   $ 998,521,242      $ 1,703,934,414      $ 1,447,420,682      $ 1,834,310,580   

Net realized gain (loss) on investment transactions

     3,798,646,212        12,392,155,811        16,739,000,725        (44,751,097,967 ) 

Net change in unrealized appreciation (depreciation)

     15,502,321,439        (13,442,213,806 )      (11,891,627,444 )      29,299,658,293   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     20,299,488,893        653,876,419        6,294,793,963        (13,617,129,094 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET EQUALIZATION CREDITS AND CHARGES

     49,529,815        136,345,475        102,137,436        79,929,657   
 

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME

     (1,042,582,498 )      (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

     220,643,757,842        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

     (215,053,175,025 )      (438,449,217,218 )      (399,041,216,070 )      (349,232,583,429 ) 

Net income equalization (Note 2)

     (49,529,815 )      (136,345,475 )      (102,137,436 )      (79,929,657 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND REDEMPTION OF UNITS

     5,541,053,002        3,743,672,026        1,687,945,833        (5,831,470,111 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

     24,847,489,212        2,674,378,536        6,535,015,549        (21,307,399,880 ) 

NET ASSETS AT BEGINNING OF PERIOD

     80,865,259,938        78,190,881,402        71,655,865,853        92,963,265,733   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS AT END OF PERIOD*

   $ 105,712,749,150      $ 80,865,259,938      $ 78,190,881,402      $ 71,655,865,853   
 

 

 

    

 

 

    

 

 

    

 

 

  

UNIT TRANSACTIONS:

        

Units sold

     1,723,650,000        3,550,100,000        3,614,350,000        3,788,050,000   

Units issued from reinvestment of distributions

     —        —        21,395        135,148   

Units redeemed

     (1,687,600,000 )      (3,520,350,000 )      (3,607,000,000 )      (3,908,300,000 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE)

     36,050,000        29,750,000        7,371,395        (120,114,852 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

*  Includesundistributed (distribution in excess of) net investment income

   $ (522,355,909 )    $ (478,294,653 )    $ (426,704,977 )    $ (336,373,142 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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 Months Ended
March 31, 2012
(Unaudited)		     For the
Year Ended
September 30,
2011		     For the
Year Ended
September 30,
2010		     For the
Year Ended
September 30,
2009		     For the
Year Ended
September 30,
2008		     For the
Year Ended
September 30,
2007		  

Net asset value, beginning of year

   $ 113.12      $ 114.13      $ 105.73      $ 116.52      $ 152.48      $ 133.53   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investment Operations:

            

Net investment income(1)

     1.38        2.42        2.20        2.32        2.72        2.66   

Net realized and unrealized gain (loss) on investments

     27.59        (1.16 )      8.24        (10.90 )      (36.28 )      18.75   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     28.97        1.26        10.44        (8.58 )      (33.56 )      21.41   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net equalization credits and charges(1)

     0.07        0.19        0.16        0.10        0.38        0.26   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

            

Net investment income

     (1.38 )      (2.46 )      (2.20 )      (2.31 )      (2.78 )      (2.72 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 140.78      $ 113.12      $ 114.13      $ 105.73      $ 116.52      $ 152.48   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(2)

     25.73 %      1.01 %      10.08 %      (6.90 )%      (21.84 )%      16.31 % 

Ratios and supplemental data

            

Ratio to average net assets:

            

Net investment income

     2.15 %(5)      1.92 %      1.98 %      2.58 %      1.99 %      1.86 % 

Total expenses(3)

     0.09 %(5)      0.09 %      0.09 %      0.09 %      0.09 %      0.08 % 

Total expenses excluding Trustee earnings credit

     0.11 %(5)      0.11 %      0.11 %      0.10 %      0.11 %      0.11 % 

Total expenses excluding Trustee earnings credit and fee waivers

     0.11 %(5)      0.11 %      0.11 %      0.10 %      0.11 %      0.12 % 

Portfolio turnover rate(4)

     1.42 %      3.72 %      5.38 %      6.68 %      4.56 %      2.95 % 

Net assets, end of year (000’s)

   $ 105,712,749      $ 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 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, 2012 (Unaudited)

 

 

 

Note 1 — Organization

SPDR S&P 500 ETF Trust (the “Trust”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 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.

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 (“NAV”) 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.

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 with the irrevocable option to measure many financial assets and liabilities at fair

 

12

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2012 (Unaudited)

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

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 types of inputs used to value each security are identified in the Schedule of Investments, which also includes a breakdown of the Trust’s investments by industry.

The Funds did not hold any investments valued using Level 2 or Level 3 inputs as of March 31, 2012 and did not have any material transfers between levels for the six months ended March 31, 2012. The transfers that did occur were the result of fair value pricing using significant observable market inputs.

Subsequent Events

Events or transactions occurring after period 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

 

13

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2012 (Unaudited)

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

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 an equity security because the security’s issuer was in financial trouble unless that security was 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 and certain other tax matters, 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 U.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 would recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. There were no such expenses 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 U.S. 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 previously in effect limit the carryforward period to eight years. Capital loss carryforwards generated in taxable

 

14

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2012 (Unaudited)

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, as described below, may expire unused.

During the six months ended March 31, 2012, the Trust reclassified $4,070,531,784 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At March 31, 2012, the cost of investments for U.S. federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, the cost was $105,788,622,191, gross unrealized appreciation was $5,156,665,644 and gross unrealized depreciation was $5,297,935,449, resulting in net unrealized depreciation of $141,269,805.

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.

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 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, 2012:

 

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

 

15

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2012 (Unaudited)

 

 

 

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

 

Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the six months ended March 31, 2012, the Adjustment Amount reduced the Trustee’s fee by $2,333,309. The Adjustment Amount included an excess of net transaction fees from processing orders of $2,179,239 and a Trustee earnings credit of $154,070.

The Trustee voluntarily agreed to waive a portion of its fee, as needed, for one year through February 1, 2013, 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, September 30, 2011 and the six months ended March 31, 2012 was $7,102,147, $10,128,612, $12,589,426 and $6,488,013, 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 & 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 and to use certain trade names and trademarks of S&P in connection with the portfolio. The S&P 500 Index also serves as a basis for determining the composition of 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 March 31, 2012 is listed in the Schedule of Investments.

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 that 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

 

16

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2012 ( Unaudited)

 

 

 

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, 2012, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $88,340,137,036, $82,790,279,683, $1,391,557,895 and $1,323,941,414, respectively. Net realized gain (loss) on investment transactions in the Statement of Operations includes net gains resulting from in-kind transactions of $4,070,531,784.

 

17

SPDR S&P 500 ETF Trust

Other Information

March 31, 2012 ( 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 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

        8.36%           10.19%           48.44%   

Return Based on Bid/Ask Price

        8.30%           10.08%           48.67%   

S&P 500 Index

        8.54%           10.48%           49.72%   

Average Annual Total Return

  
        1 Year        5 Year        10 Year  

SPDR S&P 500 ETF Trust

               

Return Based on NAV

        8.36%           1.96%           4.03%   

Return Based on Bid/Ask Price

        8.30%           1.94%           4.05%   

S&P 500 Index

        8.54%           2.01%           4.12%   

 

 

(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) at the close of trading, ordinarily 4:00 p.m.

 

18

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