nvcsrs

Select Sector SPDR Funds

The Select Sector SPDR Trust consists of nine separate investment portfolios (each a “Select Sector SPDR Fund“ or a “Fund“ and collectively the “Select Sector SPDR Funds“ or the “Funds“).

Select Sector SPDR Funds are “index funds” that unbundle the benchmark S&P 500^® and give you ownership in particular sectors or groups of industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of nine major industry sectors that make up the S&P 500^®, much as they buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector SPDR Funds trade on a national securities exchange.

Nine Select Sector SPDR Funds

Shares are available for exchange trading in the following Funds of The Select Sector SPDR Trust:


The Consumer Discretionary Select Sector SPDR Fund		XLY
The Consumer Staples Select Sector SPDR Fund		XLP
The Energy Select Sector SPDR Fund		XLE
The Financial Select Sector SPDR Fund		XLF
The Health Care Select Sector SPDR Fund		XLV
The Industrial Select Sector SPDR Fund		XLI
The Materials Select Sector SPDR Fund		XLB
The Technology Select Sector SPDR Fund		XLK
The Utilities Select Sector SPDR Fund		XLU

Each of these Funds is designed to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund’s portfolio is comprised principally of shares of constituent companies in the S&P 500^®. Each stock in the S&P 500^® is allocated to only one Select Sector Index. The combined companies of the nine Select Sector Indexes represent all of the companies in the S&P 500^®. Each Select Sector SPDR Fund can be expected to move up or down in value with its underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market.

Objective

Select Sector SPDR Funds are designed to provide investors with an affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to custom tailor asset allocations to fit your particular investment needs or goals. One Fund may complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear a higher level of risk than a broad-market fund, because of less diversification, sector investments may also offer opportunities for returns greater than an investment in the entire constituents of the S&P 500^® Index.

TABLE OF CONTENTS


Performance and Portfolio Summary
The Consumer Discretionary Select Sector SPDR Fund (XLY)		3
The Consumer Staples Select Sector SPDR Fund (XLP)		6
The Energy Select Sector SPDR Fund (XLE)		9
The Financial Select Sector SPDR Fund (XLF)		12
The Health Care Select Sector SPDR Fund (XLV)		15
The Industrial Select Sector SPDR Fund (XLI)		18
The Materials Select Sector SPDR Fund (XLB)		21
The Technology Select Sector SPDR Fund (XLK)		24
The Utilities Select Sector SPDR Fund (XLU)		27
Schedules of Investments
The Consumer Discretionary Select Sector SPDR Fund (XLY)		30
The Consumer Staples Select Sector SPDR Fund (XLP)		32
The Energy Select Sector SPDR Fund (XLE)		33
The Financial Select Sector SPDR Fund (XLF)		34
The Health Care Select Sector SPDR Fund (XLV)		36
The Industrial Select Sector SPDR Fund (XLI)		37
The Materials Select Sector SPDR Fund (XLB)		38
The Technology Select Sector SPDR Fund (XLK)		39
The Utilities Select Sector SPDR Fund (XLU)		41
Financial Statements		42
Financial Highlights		50
Notes to Financial Statements		59
Other Information		68

The Consumer Discretionary Select Sector SPDR Fund —
Performance Summary

The following performance chart of the Fund’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Consumer Discretionary Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		CONSUMER DISCRETIONARY		NET ASSET		MARKET		CONSUMER DISCRETIONARY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		30.33%		30.31%		30.65%		N/A		N/A		N/A

ONE YEAR		17.28%		17.23%		17.64%		17.28%		17.23%		17.64%

THREE YEARS		140.20%		140.85%		142.02%		33.92%		34.04%		34.26%

FIVE YEARS		28.33%		28.41%		29.35%		5.12%		5.13%		5.28%

TEN YEARS		69.15%		69.15%		72.54%		5.40%		5.40%		5.61%

The Consumer Staples Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Consumer Staples Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		CONSUMER STAPLES		NET ASSET		MARKET		CONSUMER STAPLES
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		16.58%		16.60%		16.78%		N/A		N/A		N/A

ONE YEAR		17.13%		17.14%		17.41%		17.13%		17.14%		17.41%

THREE YEARS		76.01%		76.51%		77.32%		20.74%		20.85%		21.04%

FIVE YEARS		46.30%		46.73%		47.74%		7.91%		7.97%		8.12%

TEN YEARS		63.84%		63.77%		68.13%		5.06%		5.06%		5.33%

The Energy Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Energy Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		ENERGY		NET ASSET		MARKET		ENERGY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		23.57%		23.46%		23.72%		N/A		N/A		N/A

ONE YEAR		−8.58%		−8.64%		−8.47%		−8.58%		−8.64%		−8.47%

THREE YEARS		77.44%		77.90%		78.54%		21.07%		21.17%		21.31%

FIVE YEARS		28.84%		28.84%		30.11%		5.20%		5.20%		5.41%

TEN YEARS		190.94%		190.32%		198.01%		11.27%		11.25%		11.54%

The Financial Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Financial Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET

MARKET

FINANCIAL

NET ASSET

MARKET

FINANCIAL

VALUE

SELECT SECTOR INDEX

VALUE

SELECT SECTOR INDEX

SIX MONTHS

35.02%

34.96%

35.28%

N/A

ONE YEAR

−1.90%

−2.01%

−1.74%

−1.90%

−2.01%

−1.74%

THREE YEARS

86.34%

86.44%

87.03%

23.05%

23.08%

23.21%

FIVE YEARS

−50.19%

−50.18%

−50.11%

−13.01%

−12.98%

TEN YEARS

−27.45%

−27.47%

−26.25%

−3.16%

−3.00%

The Health Care Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Health Care Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		HEALTH CARE		NET ASSET		MARKET		HEALTH CARE
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		19.74%		19.77%		19.93%		N/A		N/A		N/A

ONE YEAR		16.03%		16.01%		16.27%		16.03%		16.01%		16.27%

THREE YEARS		64.13%		64.46%		65.09%		17.96%		18.04%		18.19%

FIVE YEARS		23.07%		23.21%		24.11%		4.24%		4.26%		4.41%

TEN YEARS		49.34%		49.42%		52.61%		4.09%		4.10%		4.32%

The Industrial Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Industrial Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		INDUSTRIAL		NET ASSET		MARKET		INDUSTRIAL
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		29.42%		29.51%		29.62%		N/A		N/A		N/A

ONE YEAR		1.50%		1.54%		1.68%		1.50%		1.54%		1.68%

THREE YEARS		115.27%		115.85%		116.95%		29.12%		29.24%		29.46%

FIVE YEARS		17.28%		17.48%		18.22%		3.24%		3.28%		3.40%

TEN YEARS		65.66%		65.88%		69.38%		5.18%		5.19%		5.41%

The Materials Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Materials Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		MATERIALS		NET ASSET		MARKET		MATERIALS
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		27.29%		27.28%		27.50%		N/A		N/A		N/A

ONE YEAR		−5.57%		−5.63%		−5.37%		−5.57%		−5.63%		−5.37%

THREE YEARS		79.71%		79.76%		81.13%		21.58%		21.59%		21.90%

FIVE YEARS		10.45%		10.62%		11.30%		2.01%		2.04%		2.16%

TEN YEARS		97.31%		97.02%		101.82%		7.03%		7.02%		7.27%

The Technology Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Technology Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		TECHNOLOGY		NET ASSET		MARKET		TECHNOLOGY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		28.85%		28.86%		29.09%		N/A		N/A		N/A

ONE YEAR		17.57%		17.46%		17.88%		17.57%		17.46%		17.88%

THREE YEARS		101.54%		102.15%		103.19%		26.31%		26.44%		26.66%

FIVE YEARS		38.34%		38.40%		39.62%		6.71%		6.72%		6.90%

TEN YEARS		55.32%		55.46%		58.68%		4.50%		4.51%		4.73%

The Utilities Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Utilities Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF MARCH 31, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		UTILITIES		NET ASSET		MARKET		UTILITIES
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

SIX MONTHS		6.38%		6.36%		6.53%		N/A		N/A		N/A

ONE YEAR		14.47%		14.45%		14.79%		14.47%		14.45%		14.79%

THREE YEARS		54.59%		55.02%		55.92%		15.63%		15.73%		15.96%

FIVE YEARS		6.61%		6.67%		7.62%		1.29%		1.30%		1.48%

TEN YEARS		80.92%		80.63%		85.86%		6.11%		6.09%		6.39%

The Consumer Discretionary Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.8%
AUTO COMPONENTS — 2.5%
BorgWarner, Inc. (a)(b)		252,825	$	21,323,261
Johnson Controls, Inc.		1,581,411		51,364,229
The Goodyear Tire & Rubber Co. (a)		563,206		6,319,171

				79,006,661

AUTOMOBILES — 4.2%
Ford Motor Co.		8,829,499		110,280,443
Harley-Davidson, Inc.		530,906		26,056,866

				136,337,309

DISTRIBUTORS — 0.7%
Genuine Parts Co. (b)		361,909		22,709,790

DIVERSIFIED CONSUMER SERVICES — 0.8%
Apollo Group, Inc. (Class A) (a)		261,231		10,093,966
DeVry, Inc.		139,421		4,722,189
H&R Block, Inc. (b)		674,298		11,105,688

				25,921,843

HOTELS, RESTAURANTS & LEISURE — 18.0%
Carnival Corp.		1,052,162		33,753,357
Chipotle Mexican Grill, Inc. (a)(b)		72,600		30,346,800
Darden Restaurants, Inc. (b)		298,358		15,263,995
International Game Technology		688,174		11,554,442
Marriott International, Inc. (Class A) (b)		617,917		23,388,158
McDonald’s Corp.		2,366,112		232,115,587
Starbucks Corp.		1,750,289		97,823,652
Starwood Hotels & Resorts Worldwide, Inc.		455,602		25,700,509
Wyndham Worldwide Corp.		338,946		15,764,379
Wynn Resorts, Ltd.		184,492		23,039,361
Yum! Brands, Inc.		1,069,551		76,130,640

				584,880,880

HOUSEHOLD DURABLES — 2.1%
D.R. Horton, Inc. (b)		641,158		9,726,367
Harman International Industries, Inc.		161,668		7,567,679
Leggett & Platt, Inc. (b)		320,556		7,375,994
Lennar Corp. (Class A)		377,050		10,248,219
Newell Rubbermaid, Inc.		667,039		11,879,965
Pulte Group, Inc. (a)(b)		777,825		6,883,751
Whirlpool Corp. (b)		177,048		13,607,909

				67,289,884

INTERNET & CATALOG RETAIL — 8.8%
Amazon.com, Inc. (a)		845,685		171,259,669
Expedia, Inc. (b)		218,261		7,298,648
NetFlix, Inc. (a)		127,796		14,701,652
priceline.com, Inc. (a)		115,658		82,984,615
TripAdvisor, Inc. (a)(b)		218,256		7,785,192

				284,029,776

LEISURE EQUIPMENT & PRODUCTS — 1.1%
Hasbro, Inc. (b)		267,266		9,814,008
Mattel, Inc.		787,543		26,508,697

				36,322,705

MEDIA — 28.9%
Cablevision Systems Corp. (b)		508,658		7,467,099
CBS Corp. (Class B)		1,508,661		51,158,695
Comcast Corp. (Class A)		6,263,982		187,982,100
DIRECTV (Class A) (a)		1,570,771		77,501,841
Discovery Communications, Inc. (Class A) (a)(b)		600,456		30,383,074
Gannett Co., Inc. (b)		549,063		8,417,136
McGraw-Hill Cos., Inc.		645,855		31,304,592
News Corp. (Class A)		4,999,938		98,448,779
Omnicom Group, Inc.		635,563		32,191,266
Scripps Networks Interactive (Class A) (b)		224,074		10,910,163
The Interpublic Group of Cos., Inc.		1,036,258		11,823,704
The Walt Disney Co.		4,163,748		182,288,887
The Washington Post Co. (Class B) (b)		11,255		4,204,530
Time Warner Cable, Inc.		729,564		59,459,466
Time Warner, Inc.		2,252,246		85,022,286
Viacom, Inc. (Class B)		1,254,723		59,549,154

				938,112,772

MULTILINE RETAIL — 7.6%
Big Lots, Inc. (a)		151,104		6,500,494
Dollar Tree, Inc. (a)		276,541		26,130,359
Family Dollar Stores, Inc.		273,613		17,314,231
J.C. Penney Co., Inc. (b)		336,051		11,906,287
Kohl’s Corp.		588,721		29,453,711
Macy’s, Inc.		962,190		38,227,809
Nordstrom, Inc.		372,762		20,770,299
Sears Holdings Corp. (a)(b)		88,717		5,877,501
Target Corp.		1,560,164		90,910,756

				247,091,447

SPECIALTY RETAIL — 18.9%
Abercrombie & Fitch Co. (Class A) (b)		197,993		9,822,433
AutoNation, Inc. (a)(b)		104,189		3,574,725
AutoZone, Inc. (a)		63,335		23,547,953
Bed Bath & Beyond, Inc. (a)		549,950		36,170,212
Best Buy Co., Inc. (b)		659,102		15,607,535
CarMax, Inc. (a)(b)		521,922		18,084,597
GameStop Corp. (Class A) (b)		319,137		6,969,952
Limited Brands, Inc.		571,381		27,426,288
Lowe’s Cos., Inc.		2,887,635		90,613,986
O’Reilly Automotive, Inc. (a)		295,793		27,020,691
Ross Stores, Inc.		533,394		30,990,191
Staples, Inc. (b)		1,611,483		26,073,795
The Gap, Inc.		771,212		20,159,482
The Home Depot, Inc.		3,581,227		180,171,530
Tiffany & Co. (b)		294,964		20,390,861
TJX Cos., Inc.		1,752,290		69,583,436
Urban Outfitters, Inc. (a)		256,794		7,475,273

				613,682,940

TEXTILES, APPAREL & LUXURY GOODS — 6.2%
Coach, Inc.		668,446		51,657,507
NIKE, Inc. (Class B)		852,818		92,479,584
Ralph Lauren Corp.		150,135		26,173,034
V.F. Corp.		203,001		29,634,086

				199,944,211

TOTAL COMMON STOCKS —
(Cost $3,165,575,965)				3,235,330,218

See accompanying notes to financial statements.

The Consumer Discretionary Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

March 31, 2012 (Unaudited)


Security Description	Shares		Value

SHORT TERM INVESTMENTS — 3.2%
MONEY MARKET FUNDS — 3.2%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		98,228,726	$	98,228,726
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		5,586,066		5,586,066

TOTAL SHORT TERM INVESTMENTS —
(Cost $103,814,792)				103,814,792

TOTAL INVESTMENTS — 103.0% (f)
(Cost $3,269,390,757)				3,339,145,010
OTHER ASSETS & LIABILITIES — (3.0)%				(96,080,659	)

NET ASSETS — 100.0%			$	3,243,064,351


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Consumer Staples Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.6%
BEVERAGES — 20.6%
Beam, Inc.		713,455	$	41,787,059
Brown-Forman Corp. (Class B)		458,725		38,253,078
Coca-Cola Enterprises, Inc.		1,383,615		39,571,389
Constellation Brands, Inc. (Class A) (a)		900,506		21,242,937
Dr. Pepper Snapple Group, Inc. (b)		978,377		39,340,539
Molson Coors Brewing Co. (Class B)		742,313		33,589,663
PepsiCo, Inc.		3,797,523		251,965,651
The Coca-Cola Co.		9,048,768		669,699,320

				1,135,449,636

FOOD & STAPLES RETAILING — 21.5%
Costco Wholesale Corp.		1,793,503		162,850,072
CVS Caremark Corp.		5,318,353		238,262,215
Safeway, Inc. (b)		1,322,715		26,732,070
SUPERVALU, Inc. (b)		1,697,524		9,692,862
Sysco Corp.		2,509,122		74,922,383
The Kroger Co.		2,509,876		60,814,296
Wal-Mart Stores, Inc.		6,982,385		427,321,962
Walgreen Co.		3,640,786		121,929,923
Whole Foods Market, Inc.		708,061		58,910,675

				1,181,436,458

FOOD PRODUCTS — 17.6%
Archer-Daniels-Midland Co.		2,810,291		88,973,813
Campbell Soup Co. (b)		867,962		29,380,514
ConAgra Foods, Inc.		1,844,191		48,428,456
Dean Foods Co. (a)		1,152,187		13,952,985
General Mills, Inc.		2,703,333		106,646,487
H.J. Heinz Co. (b)		1,376,177		73,694,278
Hormel Foods Corp. (b)		719,801		21,248,526
Kellogg Co.		1,081,543		58,003,151
Kraft Foods, Inc. (Class A)		6,592,728		250,589,591
McCormick & Co., Inc. (b)		626,774		34,115,309
Mead Johnson Nutrition Co.		875,432		72,205,631
Sara Lee Corp.		2,603,567		56,054,797
The Hershey Co.		696,946		42,743,698
The J.M. Smucker Co.		515,581		41,947,670
Tyson Foods, Inc. (Class A)		1,428,370		27,353,285

				965,338,191

HOUSEHOLD PRODUCTS — 19.9%
Colgate-Palmolive Co.		1,969,016		192,530,384
Kimberly-Clark Corp.		1,644,020		121,476,638
The Clorox Co.		593,594		40,809,588
The Procter & Gamble Co.		11,012,876		740,175,396

				1,094,992,006

PERSONAL PRODUCTS — 1.8%
Avon Products, Inc.		1,986,834		38,465,106
The Estee Lauder Cos., Inc. (Class A)		980,377		60,724,551

				99,189,657

TOBACCO — 18.2%
Altria Group, Inc.		8,341,563		257,504,050
Lorillard, Inc.		566,717		73,378,517
Philip Morris International, Inc.		6,884,235		610,012,063
Reynolds American, Inc.		1,461,331		60,557,557

				1,001,452,187

TOTAL COMMON STOCKS —
(Cost $5,255,064,306)				5,477,858,135

SHORT TERM INVESTMENTS — 1.6%
MONEY MARKET FUNDS — 1.6%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		82,999,992		82,999,992
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		2,264,907		2,264,907

TOTAL SHORT TERM INVESTMENTS —
(Cost $85,264,899)				85,264,899

TOTAL INVESTMENTS — 101.2% (f)
(Cost $5,340,329,205)				5,563,123,034
OTHER ASSETS & LIABILITIES — (1.2)%				(65,949,578	)

NET ASSETS — 100.0%			$	5,497,173,456


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Energy Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.9%
ENERGY EQUIPMENT & SERVICES — 19.5%
Baker Hughes, Inc.		3,080,507	$	129,196,464
Cameron International Corp. (a)		2,096,624		110,764,646
Diamond Offshore Drilling, Inc.		602,849		40,240,171
FMC Technologies, Inc. (a)		2,282,689		115,093,179
Halliburton Co.		5,870,982		194,857,892
Helmerich & Payne, Inc. (b)		565,707		30,519,893
Nabors Industries, Ltd. (a)		2,823,129		49,376,526
National-Oilwell Varco, Inc.		2,859,760		227,265,127
Noble Corp. (a)		1,332,871		49,942,676
Rowan Cos., Inc. (a)(b)		1,782,569		58,699,997
Schlumberger, Ltd.		7,398,320		517,364,518

				1,523,321,089

OIL, GAS & CONSUMABLE FUELS — 80.4%
Alpha Natural Resources, Inc. (a)(b)		1,181,942		17,977,338
Anadarko Petroleum Corp.		3,082,916		241,515,639
Apache Corp.		2,353,947		236,430,437
Cabot Oil & Gas Corp.		2,417,029		75,338,794
Chesapeake Energy Corp. (b)		4,684,246		108,533,980
Chevron Corp.		10,728,343		1,150,507,503
ConocoPhillips		5,029,657		382,304,229
CONSOL Energy, Inc.		1,931,054		65,848,941
Denbury Resources, Inc. (a)		4,175,640		76,121,917
Devon Energy Corp.		2,478,166		176,247,166
El Paso Corp.		6,480,722		191,505,335
EOG Resources, Inc.		1,743,045		193,652,299
EQT Corp.		788,875		38,031,664
Exxon Mobil Corp.		16,898,424		1,465,600,314
Hess Corp.		1,997,171		117,733,230
Marathon Oil Corp.		4,390,469		139,177,867
Marathon Petroleum Corp.		1,847,823		80,121,605
Murphy Oil Corp.		1,397,861		78,657,638
Newfield Exploration Co. (a)		699,567		24,260,984
Noble Energy, Inc.		1,280,483		125,205,628
Occidental Petroleum Corp.		3,760,982		358,158,316
Peabody Energy Corp.		2,108,030		61,048,549
Pioneer Natural Resources Co. (b)		1,483,584		165,553,139
QEP Resources, Inc.		934,051		28,488,556
Range Resources Corp.		1,316,059		76,515,670
Southwestern Energy Co. (a)		2,370,443		72,535,556
Spectra Energy Corp.		4,642,953		146,485,167
Sunoco, Inc.		1,349,540		51,484,951
Tesoro Corp. (a)		2,324,288		62,383,890
The Williams Cos., Inc.		4,438,614		136,753,697
Valero Energy Corp.		4,129,001		106,404,356
WPX Energy, Inc. (a)		1,054,719		18,995,489

				6,269,579,844

TOTAL COMMON STOCKS —
(Cost $8,897,722,068)				7,792,900,933

SHORT TERM INVESTMENTS — 1.9%
MONEY MARKET FUNDS — 1.9%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		142,687,899		142,687,899
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		3,308,516		3,308,516

TOTAL SHORT TERM INVESTMENTS —
(Cost $145,996,415)				145,996,415

TOTAL INVESTMENTS — 101.8% (f)
(Cost $9,043,718,483)				7,938,897,348
OTHER ASSETS & LIABILITIES — (1.8)%				(140,711,098	)

NET ASSETS — 100.0%			$	7,798,186,250


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Financial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.8%
CAPITAL MARKETS — 13.5%
Ameriprise Financial, Inc.		855,776	$	48,890,483
BlackRock, Inc.		386,773		79,249,788
E*TRADE Financial Corp. (a)		978,803		10,717,893
Federated Investors, Inc. (Class B) (b)		355,948		7,976,795
Franklin Resources, Inc.		549,609		68,168,004
Invesco, Ltd.		1,720,150		45,876,400
Legg Mason, Inc.		479,210		13,384,335
Morgan Stanley		5,868,787		115,262,977
Northern Trust Corp.		929,387		44,099,413
State Street Corp. (c)		1,880,732		85,573,306
T. Rowe Price Group, Inc.		977,044		63,800,973
The Bank of New York Mellon Corp.		4,644,704		112,076,708
The Charles Schwab Corp.		4,165,592		59,859,557
The Goldman Sachs Group, Inc.		1,907,531		237,239,630

				992,176,262

COMMERCIAL BANKS — 19.4%
BB&T Corp.		2,687,548		84,362,132
Comerica, Inc.		761,961		24,657,058
Fifth Third Bancorp		3,545,537		49,814,795
First Horizon National Corp. (b)		989,281		10,268,737
Huntington Bancshares, Inc.		3,331,636		21,489,052
KeyCorp		3,673,236		31,222,506
M & T Bank Corp. (b)		487,324		42,338,709
PNC Financial Services Group, Inc.		2,033,457		131,137,642
Regions Financial Corp.		5,459,392		35,977,393
SunTrust Banks, Inc.		2,052,289		49,603,825
U.S. Bancorp		7,365,452		233,337,520
Wells Fargo & Co.		20,325,531		693,913,628
Zions Bancorporation (b)		710,155		15,239,926

				1,423,362,923

CONSUMER FINANCE — 6.1%
American Express Co.		3,911,434		226,315,571
Capital One Financial Corp.		2,133,143		118,901,391
Discover Financial Services		2,044,581		68,166,331
SLM Corp.		1,963,223		30,940,394

				444,323,687

DIVERSIFIED FINANCIAL SERVICES — 23.0%
Bank of America Corp.		41,367,825		395,890,085
Citigroup, Inc.		11,288,413		412,591,495
CME Group, Inc.		255,999		74,068,191
IntercontinentalExchange, Inc. (a)		279,794		38,449,292
JPMorgan Chase & Co.		14,712,384		676,475,416
Leucadia National Corp.		763,643		19,931,082
Moody’s Corp. (b)		756,197		31,835,894
NYSE Euronext		996,098		29,892,901
The Nasdaq OMX Group, Inc. (a)		481,374		12,467,587

				1,691,601,943

INSURANCE — 23.7%
ACE, Ltd.		1,299,489		95,122,595
AFLAC, Inc.		1,800,402		82,800,488
American International Group, Inc. (a)		2,073,818		63,935,809
Aon Corp.		1,253,105		61,477,331
Assurant, Inc.		337,363		13,663,201
Berkshire Hathaway, Inc. (Class B) (a)		6,776,796		549,936,995
Chubb Corp.		1,045,555		72,258,306
Cincinnati Financial Corp. (b)		625,580		21,588,766
Genworth Financial, Inc. (Class A) (a)		1,893,982		15,757,930
Hartford Financial Services Group, Inc. (b)		1,697,216		35,777,313
Lincoln National Corp.		1,123,760		29,622,314
Loews Corp.		1,177,583		46,950,234
Marsh & McLennan Cos., Inc.		2,093,816		68,656,227
MetLife, Inc.		4,086,797		152,641,868
Principal Financial Group, Inc.		1,162,421		34,303,044
Prudential Financial, Inc.		1,811,806		114,850,382
The Allstate Corp.		1,921,213		63,246,332
The Progressive Corp.		2,357,398		54,644,486
The Travelers Cos., Inc.		1,516,823		89,795,922
Torchmark Corp.		386,019		19,243,047
Unum Group		1,120,037		27,418,506
XL Group PLC		1,217,162		26,400,244

				1,740,091,340

REAL ESTATE INVESTMENT TRUSTS (REITS) — 13.3%
American Tower Corp.		1,517,657		95,642,744
Apartment Investment & Management Co. (Class A)		467,016		12,333,893
AvalonBay Communities, Inc. (b)		366,612		51,820,606
Boston Properties, Inc. (b)		571,175		59,967,663
Equity Residential		1,156,686		72,431,677
HCP, Inc.		1,578,253		62,277,864
Health Care REIT, Inc.		810,329		44,535,682
Host Hotels & Resorts, Inc. (b)		2,726,917		44,775,977
Kimco Realty Corp. (b)		1,568,612		30,211,467
Plum Creek Timber Co., Inc. (b)		622,138		25,856,055
ProLogis, Inc.		1,769,016		63,719,956
Public Storage, Inc.		547,954		75,710,804
Simon Property Group, Inc.		1,179,373		171,811,059
Ventas, Inc.		1,113,547		63,583,534
Vornado Realty Trust		713,348		60,063,902
Weyerhaeuser Co.		2,067,821		45,326,636

				980,069,519

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3%
CBRE Group, Inc. (a)		1,263,873		25,226,905

THRIFTS & MORTGAGE FINANCE — 0.5%
Hudson City Bancorp, Inc. (b)		2,033,498		14,864,870
People’s United Financial, Inc. (b)		1,384,675		18,333,097

				33,197,967

TOTAL COMMON STOCKS —
(Cost $7,778,715,955)				7,330,050,546

SHORT TERM INVESTMENTS — 2.2%
MONEY MARKET FUNDS — 2.2%
State Street Navigator Securities Lending Prime Portfolio (d)(e)		153,924,675		153,924,675

See accompanying notes to financial statements.

The Financial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

March 31, 2012 (Unaudited)


Security Description	Shares		Value

State Street Institutional Liquid Reserves Fund 0.23% (e)(f)		8,023,124	$	8,023,124

TOTAL SHORT TERM INVESTMENTS —
(Cost $161,947,799)				161,947,799

TOTAL INVESTMENTS — 102.0% (g)
(Cost $7,940,663,754)				7,491,998,345
OTHER ASSETS & LIABILITIES — (2.0)%				(147,514,104	)

NET ASSETS — 100.0%			$	7,344,484,241


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Affiliated Issuer. (Note 3)
(d)		Investments of cash collateral for securities loaned.
(e)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(f)		The rate shown is the annualized seven-day yield at period end.
(g)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Health Care Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.8%
BIOTECHNOLOGY — 10.7%
Amgen, Inc.		2,267,762	$	154,185,138
Biogen Idec, Inc. (a)		700,380		88,226,869
Celgene Corp. (a)		1,259,336		97,623,727
Gilead Sciences, Inc. (a)		2,174,193		106,209,328

				446,245,062

HEALTH CARE EQUIPMENT & SUPPLIES — 15.7%
Baxter International, Inc.		1,632,198		97,572,796
Becton, Dickinson & Co.		618,921		48,059,216
Boston Scientific Corp. (a)		4,204,041		25,140,165
C.R. Bard, Inc.		256,909		25,362,056
CareFusion Corp. (a)		642,207		16,652,428
Covidien PLC		1,387,486		75,867,735
DENTSPLY International, Inc. (b)		402,411		16,148,753
Edwards Lifesciences Corp. (a)		325,980		23,708,525
Intuitive Surgical, Inc. (a)		112,860		61,141,905
Medtronic, Inc.		3,000,330		117,582,933
St. Jude Medical, Inc.		944,047		41,830,723
Stryker Corp.		944,619		52,407,462
Varian Medical Systems, Inc. (a)(b)		321,501		22,170,709
Zimmer Holdings, Inc.		519,341		33,383,239

				657,028,645

HEALTH CARE PROVIDERS & SERVICES — 19.1%
Aetna, Inc.		1,032,526		51,791,504
AmerisourceBergen Corp.		765,984		30,394,245
Cardinal Health, Inc.		997,683		43,010,114
CIGNA Corp.		850,978		41,910,667
Coventry Health Care, Inc.		405,132		14,410,545
DaVita, Inc. (a)		266,331		24,015,066
Express Scripts, Inc. (a)(b)		1,461,378		79,177,460
Humana, Inc.		506,049		46,799,412
Laboratory Corp. of America Holdings (a)		278,897		25,530,231
McKesson Corp.		727,778		63,877,075
Medco Health Solutions, Inc. (a)		1,145,973		80,561,902
Patterson Cos., Inc. (b)		249,968		8,348,931
Quest Diagnostics, Inc.		468,267		28,634,527
Tenet Healthcare Corp. (a)		1,221,153		6,484,323
UnitedHealth Group, Inc.		3,023,145		178,184,166
WellPoint, Inc.		985,755		72,748,719

				795,878,887

HEALTH CARE TECHNOLOGY — 0.7%
Cerner Corp. (a)(b)		414,660		31,580,506

LIFE SCIENCES TOOLS & SERVICES — 3.9%
Agilent Technologies, Inc.		997,947		44,418,621
Life Technologies Corp. (a)		509,172		24,857,777
PerkinElmer, Inc.		319,776		8,845,004
Thermo Fisher Scientific, Inc.		1,049,635		59,178,421
Waters Corp. (a)		255,965		23,717,717

				161,017,540

PHARMACEUTICALS — 49.7%
Abbott Laboratories		3,826,489		234,525,511
Allergan, Inc.		894,667		85,378,072
Bristol-Myers Squibb Co.		4,868,792		164,321,730
Eli Lilly & Co.		2,931,478		118,050,619
Forest Laboratories, Inc. (a)		772,200		26,787,618
Hospira, Inc. (a)(b)		470,118		17,577,712
Johnson & Johnson		7,880,697		519,810,774
Merck & Co., Inc.		8,737,864		335,533,978
Mylan, Inc. (a)		1,215,629		28,506,500
Perrigo Co. (b)		266,175		27,498,539
Pfizer, Inc.		21,632,193		490,185,493
Watson Pharmaceuticals, Inc. (a)		383,616		25,725,290

				2,073,901,836

TOTAL COMMON STOCKS —
(Cost $4,280,020,364)				4,165,652,476

SHORT TERM INVESTMENTS — 1.1%
MONEY MARKET FUNDS — 1.1%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		41,373,809		41,373,809
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		2,234,958		2,234,958

TOTAL SHORT TERM INVESTMENTS —
(Cost $43,608,767)				43,608,767

TOTAL INVESTMENTS — 100.9% (f)
(Cost $4,323,629,131)				4,209,261,243
OTHER ASSETS & LIABILITIES — (0.9)%				(37,064,546	)

NET ASSETS — 100.0%			$	4,172,196,697


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Industrial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.6%
AEROSPACE & DEFENSE — 25.0%
General Dynamics Corp.		815,942	$	59,873,824
Goodrich Corp.		407,673		51,138,501
Honeywell International, Inc.		1,722,343		105,149,040
L-3 Communications Holdings, Inc.		209,805		14,847,900
Lockheed Martin Corp. (a)		594,618		53,432,373
Northrop Grumman Corp.		574,511		35,091,132
Precision Castparts Corp.		305,542		52,828,212
Raytheon Co.		782,904		41,321,673
Rockwell Collins, Inc. (a)		404,329		23,273,177
Textron, Inc.		730,654		20,334,101
The Boeing Co.		1,639,910		121,960,107
United Technologies Corp.		1,991,002		165,133,706

				744,383,746

AIR FREIGHT & LOGISTICS — 9.2%
C.H. Robinson Worldwide, Inc. (a)		345,943		22,655,807
Expeditors International of Washington, Inc.		446,385		20,761,367
FedEx Corp.		709,797		65,272,932
United Parcel Service, Inc. (Class B)		2,054,956		165,876,048

				274,566,154

AIRLINES — 0.5%
Southwest Airlines Co.		1,794,614		14,787,619

BUILDING PRODUCTS — 0.4%
Masco Corp.		838,657		11,212,844

COMMERCIAL SERVICES & SUPPLIES — 3.9%
Avery Dennison Corp. (a)		274,509		8,270,956
Cintas Corp.		280,574		10,976,055
Iron Mountain, Inc.		359,997		10,367,913
Pitney Bowes, Inc. (a)		483,264		8,495,781
R.R. Donnelley & Sons Co. (a)		544,495		6,746,293
Republic Services, Inc.		662,878		20,257,552
Stericycle, Inc. (a)(b)		179,595		15,021,326
Waste Management, Inc. (a)		1,057,433		36,967,858

				117,103,734

CONSTRUCTION & ENGINEERING — 1.8%
Fluor Corp.		517,510		31,071,300
Jacobs Engineering Group, Inc. (b)		268,394		11,908,642
Quanta Services, Inc. (b)		441,904		9,235,794

				52,215,736

ELECTRICAL EQUIPMENT — 5.3%
Cooper Industries PLC		332,048		21,234,470
Emerson Electric Co.		1,637,356		85,437,236
Rockwell Automation, Inc.		386,383		30,794,725
Roper Industries, Inc.		202,924		20,121,944

				157,588,375

INDUSTRIAL CONGLOMERATES — 20.0%
3M Co.		1,499,527		133,772,804
Danaher Corp.		1,352,879		75,761,224
General Electric Co.		16,495,691		331,068,518
Tyco International, Ltd.		970,481		54,521,623

				595,124,169

MACHINERY — 21.9%
Caterpillar, Inc.		1,453,899		154,869,321
Cummins, Inc.		744,282		89,343,611
Deere & Co.		944,300		76,393,870
Dover Corp.		467,858		29,446,983
Eaton Corp.		860,288		42,868,151
Flowserve Corp.		114,778		13,258,007
Illinois Tool Works, Inc.		1,081,191		61,757,630
Ingersoll-Rand PLC		625,771		25,875,631
Joy Global, Inc.		222,900		16,383,150
PACCAR, Inc. (a)		874,059		40,932,183
Pall Corp.		355,163		21,178,370
Parker-Hannifin Corp.		401,245		33,925,265
Snap-on, Inc. (a)		121,903		7,432,426
Stanley Black & Decker, Inc.		357,000		27,474,720
Xylem, Inc.		388,642		10,784,815

				651,924,133

PROFESSIONAL SERVICES — 1.2%
Dun & Bradstreet Corp.		100,568		8,521,127
Equifax, Inc.		343,431		15,200,256
Robert Half International, Inc. (a)		424,665		12,867,349

				36,588,732

ROAD & RAIL — 8.1%
CSX Corp.		2,670,682		57,473,077
Norfolk Southern Corp.		816,006		53,717,675
Ryder System, Inc.		195,595		10,327,416
Union Pacific Corp.		1,099,945		118,222,088

				239,740,256

TRADING COMPANIES & DISTRIBUTORS — 2.3%
Fastenal Co. (a)		621,588		33,627,911
W.W. Grainger, Inc.		168,334		36,159,826

				69,787,737

TOTAL COMMON STOCKS —
(Cost $3,295,859,912)				2,965,023,235

SHORT TERM INVESTMENTS — 2.4%
MONEY MARKET FUNDS — 2.4%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		66,028,631		66,028,631
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		4,524,212		4,524,212

TOTAL SHORT TERM INVESTMENTS —
(Cost $70,552,843)				70,552,843

TOTAL INVESTMENTS — 102.0% (f)
(Cost $3,366,412,755)				3,035,576,078
OTHER ASSETS & LIABILITIES — (2.0)%				(60,639,368	)

NET ASSETS — 100.0%			$	2,974,936,710


(a)		A portion of the security was on loan at March 31, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Materials Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.7%
CHEMICALS — 63.9%
Air Products & Chemicals, Inc.		875,528	$	80,373,470
Airgas, Inc.		316,529		28,161,585
CF Industries Holdings, Inc.		284,833		52,024,748
E.I. du Pont de Nemours & Co.		3,875,558		205,017,018
Eastman Chemical Co.		625,500		32,332,095
Ecolab, Inc. (a)		1,261,496		77,859,533
FMC Corp.		317,338		33,593,401
International Flavors & Fragrances, Inc. (a)		371,674		21,780,096
Monsanto Co.		2,225,721		177,523,507
PPG Industries, Inc.		658,910		63,123,578
Praxair, Inc.		1,240,500		142,210,920
Sigma-Aldrich Corp. (a)		533,384		38,969,035
The Dow Chemical Co.		2,900,565		100,475,572
The Mosaic Co.		1,275,478		70,521,179
The Sherwin-Williams Co.		385,099		41,848,708

				1,165,814,445

CONSTRUCTION MATERIALS — 1.4%
Vulcan Materials Co.		605,237		25,861,777

CONTAINERS & PACKAGING — 4.6%
Ball Corp.		709,884		30,439,826
Bemis Co., Inc. (a)		495,486		15,999,243
Owens-Illinois, Inc. (b)		808,632		18,873,471
Sealed Air Corp.		937,690		18,106,794

				83,419,334

METALS & MINING — 24.8%
Alcoa, Inc. (a)		4,632,809		46,420,746
Allegheny Technologies, Inc.		494,657		20,365,029
Cliffs Natural Resources, Inc. (a)		625,263		43,305,715
Freeport-McMoRan Copper & Gold, Inc.		3,940,294		149,888,784
Newmont Mining Corp.		2,057,948		105,510,994
Nucor Corp. (a)		1,380,040		59,272,718
Titanium Metals Corp. (a)		472,752		6,410,517
United States Steel Corp. (a)		687,609		20,195,076

				451,369,579

PAPER & FOREST PRODUCTS — 5.0%
International Paper Co.		1,899,348		66,667,115
MeadWestvaco Corp.		789,895		24,952,783

				91,619,898

TOTAL COMMON STOCKS —
(Cost $2,027,563,799)				1,818,085,033

SHORT TERM INVESTMENTS — 5.0%
MONEY MARKET FUNDS — 5.0%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		87,193,778		87,193,778
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		3,792,862		3,792,862

TOTAL SHORT TERM INVESTMENTS —
(Cost $90,986,640)				90,986,640

TOTAL INVESTMENTS — 104.7% (f)
(Cost $2,118,550,439)				1,909,071,673
OTHER ASSETS & LIABILITIES — (4.7)%				(85,349,374	)

NET ASSETS — 100.0%			$	1,823,722,299


(a)		A portion of the security was on loan at March 31, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Technology Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.8%
COMMUNICATIONS EQUIPMENT — 9.7%
Cisco Systems, Inc.		17,477,751	$	369,654,434
Comverse Technology, Inc. (a)		8,235		56,575
F5 Networks, Inc. (a)		256,949		34,677,837
Harris Corp. (b)		404,289		18,225,348
JDS Uniphase Corp. (a)		965,029		13,983,270
Juniper Networks, Inc. (a)		1,766,716		40,422,462
Motorola Mobility Holdings, Inc. (a)		857,493		33,648,025
Motorola Solutions, Inc.		973,004		49,457,793
QUALCOMM, Inc.		5,521,737		375,588,551

				935,714,295

COMPUTERS & PERIPHERALS — 24.4%
Apple, Inc. (a)		3,025,608		1,813,761,228
Dell, Inc. (a)		5,037,696		83,625,753
EMC Corp. (a)		6,751,049		201,721,344
Hewlett-Packard Co.		5,323,589		126,861,126
Lexmark International, Inc. (Class A)		296,507		9,855,893
NetApp, Inc. (a)(b)		1,239,327		55,484,670
SanDisk Corp. (a)		852,940		42,297,295
Western Digital Corp. (a)		802,995		33,235,963

				2,366,843,272

DIVERSIFIED TELECOMMUNICATION SERVICES — 11.1%
AT&T, Inc.		19,239,353		600,844,994
CenturyLink, Inc. (b)		2,095,780		81,001,897
Frontier Communications Corp. (b)		3,887,174		16,209,516
Verizon Communications, Inc.		9,250,788		353,657,625
Windstream Corp. (b)		2,102,186		24,616,598

				1,076,330,630

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.1%
Amphenol Corp. (Class A)		568,155		33,958,624
Corning, Inc.		5,037,113		70,922,551
FLIR Systems, Inc. (b)		562,153		14,228,093
Jabil Circuit, Inc.		716,591		18,000,766
Molex, Inc. (b)		519,795		14,616,635
TE Connectivity Ltd.		1,380,919		50,748,773

				202,475,442

INTERNET SOFTWARE & SERVICES — 8.0%
Akamai Technologies, Inc. (a)(b)		654,104		24,005,617
eBay, Inc. (a)		3,780,851		139,475,594
Google, Inc. (Class A) (a)		823,014		527,749,497
VeriSign, Inc. (b)		571,048		21,893,980
Yahoo!, Inc. (a)		4,026,750		61,287,135

				774,411,823

IT SERVICES — 16.9%
Accenture PLC (Class A)		2,100,092		135,455,934
Automatic Data Processing, Inc.		1,621,564		89,494,117
Cognizant Technology Solutions Corp. (Class A) (a)		1,019,851		78,477,534
Computer Sciences Corp.		533,450		15,971,493
Fidelity National Information Services, Inc.		832,507		27,572,632
Fiserv, Inc. (a)		477,282		33,118,598
International Business Machines Corp.		3,760,482		784,624,569
MasterCard, Inc. (Class A)		352,887		148,403,099
Paychex, Inc. (b)		1,100,743		34,112,025
SAIC, Inc. (a)		898,554		11,860,913
Teradata Corp. (a)		597,121		40,693,796
The Western Union Co.		2,081,406		36,632,746
Total System Services, Inc.		600,737		13,859,003
Visa, Inc. (Class A)		1,614,598		190,522,564

				1,640,799,023

OFFICE ELECTRONICS — 0.4%
Xerox Corp.		4,622,643		37,350,956

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 9.9%
Advanced Micro Devices, Inc. (a)(b)		2,168,674		17,392,765
Altera Corp.		1,123,275		44,728,811
Analog Devices, Inc.		1,024,198		41,377,599
Applied Materials, Inc.		4,297,714		53,463,562
Broadcom Corp. (Class A) (a)		1,648,688		64,793,438
First Solar, Inc. (a)(b)		193,324		4,842,766
Intel Corp.		13,827,042		388,678,151
KLA-Tencor Corp.		583,486		31,753,308
Linear Technology Corp.		796,202		26,832,007
LSI Corp. (a)		2,077,107		18,029,289
Microchip Technology, Inc. (b)		680,508		25,314,898
Micron Technology, Inc. (a)		3,420,699		27,707,662
Novellus Systems, Inc. (a)		281,596		14,054,456
NVIDIA Corp. (a)		2,099,709		32,314,522
Teradyne, Inc. (a)(b)		765,643		12,931,710
Texas Instruments, Inc.		3,762,942		126,472,481
Xilinx, Inc.		914,491		33,314,907

				964,002,332

SOFTWARE — 16.4%
Adobe Systems, Inc. (a)		1,639,664		56,256,872
Autodesk, Inc. (a)		799,464		33,833,317
BMC Software, Inc. (a)		568,261		22,821,362
CA, Inc.		1,243,661		34,275,297
Citrix Systems, Inc. (a)		641,620		50,630,234
Electronic Arts, Inc. (a)		1,158,086		19,085,257
Intuit, Inc.		1,005,588		60,466,007
Microsoft Corp.		24,234,228		781,553,853
Oracle Corp.		12,792,801		373,038,077
Red Hat, Inc. (a)		682,780		40,891,694
Salesforce.com, Inc. (a)(b)		475,142		73,414,190
Symantec Corp. (a)		2,451,347		45,840,189

				1,592,106,349

WIRELESS TELECOMMUNICATION SERVICES — 0.9%
Crown Castle International Corp. (a)(b)		805,971		42,990,493
MetroPCS Communications, Inc. (a)		1,139,504		10,278,326

See accompanying notes to financial statements.

The Technology Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

March 31, 2012 (Unaudited)


Security Description	Shares		Value

Sprint Nextel Corp. (a)		10,146,074	$	28,916,311

				82,185,130

TOTAL COMMON STOCKS —
(Cost $8,857,138,562)				9,672,219,252

SHORT TERM INVESTMENTS — 1.3%
MONEY MARKET FUNDS — 1.3%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		105,143,408		105,143,408
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		24,311,642		24,311,642

TOTAL SHORT TERM INVESTMENTS —
(Cost $129,455,050)				129,455,050

TOTAL INVESTMENTS — 101.1% (f)
(Cost $8,986,593,612)				9,801,674,302
OTHER ASSETS & LIABILITIES — (1.1)%				(105,566,290	)

NET ASSETS — 100.0%			$	9,696,108,012


(a)		Non-income producing security.
(b)		A portion of the security was on loan at March 31, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Utilities Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.6%
ELECTRIC UTILITIES — 54.8%
American Electric Power Co., Inc.		7,128,113	$	275,002,600
Duke Energy Corp. (a)		18,085,933		379,985,452
Edison International		4,803,439		204,194,192
Entergy Corp.		2,592,354		174,206,189
Exelon Corp.		12,512,398		490,611,126
FirstEnergy Corp.		6,138,430		279,851,024
NextEra Energy, Inc.		6,108,556		373,110,600
Northeast Utilities		2,600,987		96,548,637
Pepco Holdings, Inc. (a)		3,402,665		64,276,342
Pinnacle West Capital Corp.		1,651,434		79,103,689
PPL Corp.		8,533,975		241,170,133
Progress Energy, Inc.		4,362,207		231,676,814
Southern Co.		12,719,622		571,492,616

				3,461,229,414

GAS UTILITIES — 3.0%
AGL Resources, Inc.		1,725,347		67,668,109
Oneok, Inc.		1,521,954		124,282,764

				191,950,873

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.8%
NRG Energy, Inc. (a)(b)		3,341,712		52,364,627
The AES Corp. (b)		9,498,855		124,150,035

				176,514,662

MULTI-UTILITIES — 39.0%
Ameren Corp.		3,591,179		117,000,612
CenterPoint Energy, Inc.		6,342,644		125,076,940
CMS Energy Corp. (a)		3,859,587		84,910,914
Consolidated Edison, Inc.		4,328,565		252,874,767
Dominion Resources, Inc.		8,368,133		428,532,091
DTE Energy Co.		2,512,840		138,281,585
Integrys Energy Group, Inc. (a)		1,173,312		62,173,803
NiSource, Inc. (a)		4,220,205		102,761,992
PG&E Corp.		6,080,761		263,965,835
Public Service Enterprise Group, Inc.		7,427,659		227,360,642
SCANA Corp. (a)		1,705,470		77,786,487
Sempra Energy		3,550,518		212,889,059
TECO Energy, Inc. (a)		3,242,749		56,910,245
Wisconsin Energy Corp. (a)		3,382,526		118,997,265
Xcel Energy, Inc.		7,207,297		190,777,150

				2,460,299,387

TOTAL COMMON STOCKS —
(Cost $6,501,930,930)				6,289,994,336

SHORT TERM INVESTMENTS — 2.7%
MONEY MARKET FUNDS — 2.7%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		162,749,876		162,749,876
State Street Institutional Liquid Reserves Fund 0.23% (d)(e)		8,910,266		8,910,266

TOTAL SHORT TERM INVESTMENTS —
(Cost $171,660,142)				171,660,142

TOTAL INVESTMENTS — 102.3% (f)
(Cost $6,673,591,072)				6,461,654,478
OTHER ASSETS & LIABILITIES — (2.3)%				(146,150,181	)

NET ASSETS — 100.0%			$	6,315,504,297


(a)		A portion of the security was on loan at March 31, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

THE SELECT SECTOR SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2012 (Unaudited)


	The Consumer			The Consumer
	Discretionary			Staples			The Energy			The Financial			The Health			The Industrial			The Materials			The Technology			The Utilities
	Select Sector			Select Sector			Select Sector			Select Sector			Care Select Sector			Select Sector			Select Sector			Select Sector			Select Sector
	SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund

ASSETS
Investments in unaffiliated issuers, at value * (Note 2)	$	3,235,330,218		$	5,477,858,135		$	7,792,900,933		$	7,244,477,240		$	4,165,652,476		$	2,965,023,235		$	1,818,085,033		$	9,672,219,252		$	6,289,994,336
Investments in affiliated issuers, at value (Note 2 and Note 3)		103,814,792			85,264,899			145,996,415			247,521,105			43,608,767			70,552,843			90,986,640			129,455,050			171,660,142

Total investments		3,339,145,010			5,563,123,034			7,938,897,348			7,491,998,345			4,209,261,243			3,035,576,078			1,909,071,673			9,801,674,302			6,461,654,478
Cash		—			—			—			2,092,094			—			—			—			—			—
Receivable for investments sold		—			337,636,598			—			—			—			—			—			—			—
Receivable for income related to Select Sector SPDR shares in-kind transactions		43,732			29,030			—			—			3,108			—			3,115			—			—
Dividends receivable — unaffiliated issuers (Note 2)		2,861,587			20,838,223			4,205,167			5,836,286			5,476,211			6,319,387			2,427,872			2,517,524			18,688,387
Dividends and securities lending income receivable — affiliated issuers (Note 2)		110,035			27,774			22,237			515,462			14,200			34,160			18,958			50,013			55,875
Prepaid expenses		3,682			5,729			13,655			11,137			5,144			6,156			3,893			10,421			6,520

TOTAL ASSETS		3,342,164,046			5,921,660,388			7,943,138,407			7,500,453,324			4,214,759,906			3,041,935,781			1,911,525,511			9,804,252,260			6,480,405,260

LIABILITIES
Payable upon return of securities loaned		98,228,726			82,999,992			142,687,899			153,924,675			41,373,809			66,028,631			87,193,778			105,143,408			162,749,876
Payable for investments purchased		—			339,817,107			—			—			—			—			—			—			—
Payable for income related to Select Sector SPDR shares in-kind transactions		—			—			5,580			271,108			—			22,595			—			4,983			65,176
Accrued distribution fees (Note 3)		221,937			295,643			584,647			548,749			234,707			241,714			219,327			908,643			369,140
Accrued advisory fees (Note 3)		109,074			182,939			278,137			241,679			136,830			115,593			65,963			324,866			219,626
Accrued administration, custodian and transfer agent fees (Note 3)		59,025			98,997			150,513			130,784			74,045			62,553			35,696			175,800			118,850
Accrued trustees’ fees (Note 3)		1,170			4,701			4,992			4,427			3,046			2,055			1,463			3,004			5,871
Accrued expenses and other liabilities		479,763			1,087,553			1,240,389			847,661			740,772			525,930			286,985			1,583,544			1,372,424

TOTAL LIABILITIES		99,099,695			424,486,932			144,952,157			155,969,083			42,563,209			66,999,071			87,803,212			108,144,248			164,900,963

NET ASSETS	$	3,243,064,351		$	5,497,173,456		$	7,798,186,250		$	7,344,484,241		$	4,172,196,697		$	2,974,936,710		$	1,823,722,299		$	9,696,108,012		$	6,315,504,297

NET ASSETS CONSIST OF:
Paid in capital (Note 4)	$	3,352,467,288		$	5,386,272,066		$	10,211,431,220		$	8,538,117,322		$	4,453,937,819		$	3,511,916,374		$	2,592,258,614		$	9,761,971,820		$	6,844,485,085
Undistributed (distributions in excess of) net investment income		(2,783,218	)		2,016,851			27,088			2,566,909			2,029,522			6,010,025			4,937,978			(4,400,808	)		(303,515	)
Accumulated net realized gain (loss) on investments		(176,373,972	)		(113,909,290	)		(1,308,450,923	)		(747,534,581	)		(169,402,756	)		(212,153,012	)		(563,995,527	)		(876,543,690	)		(316,740,679	)
Net unrealized appreciation (depreciation) on investments		69,754,253			222,793,829			(1,104,821,135	)		(448,665,409	)		(114,367,888	)		(330,836,677	)		(209,478,766	)		815,080,690			(211,936,594	)

NET ASSETS	$	3,243,064,351		$	5,497,173,456		$	7,798,186,250		$	7,344,484,241		$	4,172,196,697		$	2,974,936,710		$	1,823,722,299		$	9,696,108,012		$	6,315,504,297

NET ASSET VALUE:
Net asset value per Select Sector SPDR share	$	45.07		$	34.08		$	71.76		$	15.80		$	37.62		$	37.41		$	36.97		$	30.16		$	35.05

Shares outstanding (unlimited amount authorized, $0.01 par value)		71,953,252			161,321,809			108,674,200			464,895,427			110,915,324			79,526,000			49,323,725			321,455,897			180,174,160

COST OF INVESTMENTS:
Unaffiliated issuers	$	3,165,575,965		$	5,255,064,306		$	8,897,722,068		$	7,691,841,974		$	4,280,020,364		$	3,295,859,912		$	2,027,563,799		$	8,857,138,562		$	6,501,930,930
Affiliated issuers (Note 3)		103,814,792			85,264,899			145,996,415			248,821,780			43,608,767			70,552,843			90,986,640			129,455,050			171,660,142

Total cost of investments	$	3,269,390,757		$	5,340,329,205		$	9,043,718,483		$	7,940,663,754		$	4,323,629,131		$	3,366,412,755		$	2,118,550,439		$	8,986,593,612		$	6,673,591,072

* Includes investments of securities on loan, at value	$	96,465,685		$	83,902,992		$	144,338,210		$	156,855,837		$	40,851,541		$	64,241,600		$	85,299,096		$	131,726,601		$	214,924,288

See accompanying notes to financial statements.

THE SELECT SECTOR SPDR TRUST
STATEMENTS OF OPERATIONS

For the Six Months Ended March 31, 2012 (Unaudited)


	The Consumer			The Consumer
	Discretionary			Staples			The Energy			The Financial			The Health			The Industrial			The Materials			The Technology			The Utilities
	Select Sector			Select Sector			Select Sector			Select Sector			Care Select Sector			Select Sector			Select Sector			Select Sector			Select Sector
	SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund

INVESTMENT INCOME
Dividend income — unaffiliated issuers (Note 2)	$	23,474,472		$	83,492,789		$	65,922,324		$	61,184,756		$	46,777,270		$	39,255,058		$	20,295,435		$	69,132,335		$	145,607,914
Dividend income — affiliated issuers (Note 2)		6,712			11,103			12,681			786,307			7,022			7,190			4,615			21,258			16,543
Affiliated securities lending income — net (Note 3 and Note 7)		429,998			115,879			107,857			155,158			93,715			126,967			148,064			163,953			260,728

TOTAL INVESTMENT INCOME		23,911,182			83,619,771			66,042,862			62,126,221			46,878,007			39,389,215			20,448,114			69,317,546			145,885,185

EXPENSES
License fees (Note 3)		735,372			1,580,699			2,186,522			1,692,918			1,138,170			931,087			544,513			2,381,671			2,006,657
Distribution fees (Note 3)		662,790			1,433,143			1,975,512			1,525,424			1,030,090			840,529			491,666			2,150,674			1,820,266
Advisory fees (Note 3)		520,022			1,120,386			1,548,108			1,197,192			806,204			658,888			385,380			1,685,580			1,422,152
Administrator, custodian and transfer agent fees (Note 3)		284,904			616,306			848,587			653,993			443,152			360,861			212,521			922,585			781,382
Printing and postage expenses		54,139			128,846			173,729			130,848			91,641			76,118			39,894			184,600			168,687
Professional fees		10,404			24,035			36,073			26,393			17,605			14,822			9,308			34,340			29,431
SEC registration expenses		18,866			43,254			65,159			47,942			31,784			26,777			16,799			62,120			53,263
Trustees’ fees (Note 3)		13,385			33,985			46,720			34,572			24,180			19,246			12,123			43,867			42,095
Insurance expense		7,404			11,522			27,461			22,396			10,347			12,382			7,827			20,954			13,110
Miscellaneous expenses		14,083			31,562			38,909			29,245			21,806			16,868			9,630			45,816			40,759

TOTAL EXPENSES BEFORE WAIVERS		2,321,369			5,023,738			6,946,780			5,360,923			3,614,979			2,957,578			1,729,661			7,532,207			6,377,802

Fees waived by administrator, custodian and transfer agent (Note 3)		(9,402	)		(22,865	)		(29,766	)		(21,636	)		(15,975	)		(12,411	)		(7,341	)		(31,722	)		(29,188	)

NET EXPENSES		2,311,967			5,000,873			6,917,014			5,339,287			3,599,004			2,945,167			1,722,320			7,500,485			6,348,614

NET INVESTMENT INCOME		21,599,215			78,618,898			59,125,848			56,786,934			43,279,003			36,444,048			18,725,794			61,817,061			139,536,571

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		154,475,630			193,110,586			139,254,955			143,358,172			36,373,564			77,110,060			57,360,001			249,695,626			230,778,680
Investment transactions — affiliated issuers (Note 3)		—			—			—			571,571			—			—			—			—			—
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		464,427,817			557,682,420			1,204,773,187			1,386,893,857			571,138,457			618,438,563			345,613,071			1,739,433,515			37,558,191
Investment transactions — affiliated issuers (Note 3)		—			—			—			19,803,341			—			—			—			—			—

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		618,903,447			750,793,006			1,344,028,142			1,550,626,941			607,512,021			695,548,623			402,973,072			1,989,129,141			268,336,871

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	640,502,662		$	829,411,904		$	1,403,153,990		$	1,607,413,875		$	650,791,024		$	731,992,671		$	421,698,866		$	2,050,946,202		$	407,873,442

See accompanying notes to financial statements.

THE SELECT SECTOR SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS


	The Consumer Discretionary						The Consumer Staples						The Energy						The Financial						The Health Care
	Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund
	For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	21,599,215		$	34,024,866		$	78,618,898		$	111,015,744		$	59,125,848		$	123,567,579		$	56,786,934		$	86,983,728		$	43,279,003		$	65,207,198
Net realized gain (loss) on investment transactions		154,475,630			347,139,509			193,110,586			261,720,302			139,254,955			1,282,567,646			143,929,743			(100,285,976	)		36,373,564			120,890,129
Net change in unrealized appreciation (depreciation) on investments		464,427,817			(274,747,800	)		557,682,420			(122,298,477	)		1,204,773,187			(932,889,994	)		1,406,697,198			(1,193,778,323	)		571,138,457			(118,595,727	)

Net increase (decrease) in net assets resulting from operations		640,502,662			106,416,575			829,411,904			250,437,569			1,403,153,990			473,245,231			1,607,413,875			(1,207,080,571	)		650,791,024			67,501,600

Net equalization credits and charges		2,546,863			(1,374,615	)		637,610			6,334,999			(628,497	)		672,208			1,840,285			(6,391,060	)		(1,803,347	)		(2,524,097	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(24,382,433	)		(37,879,218	)		(80,293,426	)		(114,041,329	)		(59,098,760	)		(134,574,321	)		(55,635,282	)		(87,226,205	)		(41,249,481	)		(68,486,044	)

FROM SELECT SECTOR SPDR SHARE TRANSACTIONS:
Proceeds from sale of shares		3,564,743,715			8,090,841,835			3,419,086,333			7,361,693,347			13,321,295,250			25,997,518,124			13,755,467,065			24,964,537,841			4,041,553,709			8,931,934,237
Cost of shares repurchased		(2,717,038,943	)		(8,100,586,767	)		(3,802,639,967	)		(5,621,025,421	)		(13,144,003,911	)		(26,736,437,090	)		(12,267,007,812	)		(24,744,758,917	)		(4,588,675,811	)		(7,518,842,554	)
Net income equalization (Note 2)		(2,546,863	)		1,374,615			(637,610	)		(6,334,999	)		628,497			(672,208	)		(1,840,285	)		6,391,060			1,803,347			2,524,097

Net increase (decrease) in net assets from SPDR share transactions (Note 4)		845,157,909			(8,370,317	)		(384,191,244	)		1,734,332,927			177,919,836			(739,591,174	)		1,486,618,968			226,169,984			(545,318,755	)		1,415,615,780

Net increase (decrease) in net assets during period		1,463,825,001			58,792,425			365,564,844			1,877,064,166			1,521,346,569			(400,248,056	)		3,040,237,846			(1,074,527,852	)		62,419,441			1,412,107,239
Net assets at beginning of period		1,779,239,350			1,720,446,925			5,131,608,612			3,254,544,446			6,276,839,681			6,677,087,737			4,304,246,395			5,378,774,247			4,109,777,256			2,697,670,017

NET ASSETS END OF PERIOD (1)	$	3,243,064,351		$	1,779,239,350		$	5,497,173,456		$	5,131,608,612		$	7,798,186,250		$	6,276,839,681		$	7,344,484,241		$	4,304,246,395		$	4,172,196,697		$	4,109,777,256

SELECT SECTOR SPDR SHARES:
Shares sold		87,900,000			214,100,000			107,600,000			243,850,000			189,850,000			367,300,000			1,008,950,000			1,663,550,000			117,750,000			269,000,000
Shares redeemed		(66,950,000	)		(214,550,000	)		(119,400,000	)		(187,450,000	)		(188,400,000	)		(379,200,000	)		(908,500,000	)		(1,673,900,000	)		(136,300,000	)		(228,000,000	)

Net increase (decrease)		20,950,000			(450,000	)		(11,800,000	)		56,400,000			1,450,000			(11,900,000	)		100,450,000			(10,350,000	)		(18,550,000	)		41,000,000

(1) Including undistributed (distribution in excess of) net investment income	$	(2,783,218	)	$	—		$	2,016,851		$	3,691,379		$	27,088		$	—		$	2,566,909		$	1,415,257		$	2,029,522		$	—

See accompanying notes to financial statements.

THE SELECT SECTOR SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)


	The Industrial						The Materials						The Technology						The Utilities
	Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund
	For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11			For the Six Months Ended 3/31/12 (Unaudited)			Year Ended 9/30/11

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	36,444,048		$	71,710,314		$	18,725,794		$	48,329,537		$	61,817,061		$	94,340,332		$	139,536,571		$	182,104,712
Net realized gain (loss) on investment transactions		77,110,060			312,582,675			57,360,001			229,583,286			249,695,626			351,073,420			230,778,680			103,865,455
Net change in unrealized appreciation (depreciation) on investments		618,438,563			(537,369,356	)		345,613,071			(399,513,274	)		1,739,433,515			(416,487,828	)		37,558,191			214,330,551

Net increase (decrease) in net assets resulting from operations		731,992,671			(153,076,367	)		421,698,866			(121,600,451	)		2,050,946,202			28,925,924			407,873,442			500,300,718

Net equalization credits and charges		(2,459,687	)		(67,986	)		(803,577	)		(4,398,194	)		4,311,203			2,133,243			(372,914	)		11,752,247

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(34,061,355	)		(71,477,864	)		(19,049,222	)		(52,262,870	)		(66,217,869	)		(97,279,895	)		(139,840,086	)		(190,693,028	)

FROM SELECT SECTOR SPDR SHARE TRANSACTIONS:
Proceeds from sale of shares		7,765,005,537			12,760,825,519			4,048,810,548			10,064,644,421			3,662,792,357			7,720,612,499			2,953,436,588			6,403,397,809
Cost of shares repurchased		(7,849,085,864	)		(13,094,623,434	)		(4,270,924,045	)		(10,343,580,534	)		(2,515,335,945	)		(5,451,137,621	)		(3,547,588,418	)		(4,188,157,197	)
Net income equalization (Note 2)		2,459,687			67,986			803,577			4,398,194			(4,311,203	)		(2,133,243	)		372,914			(11,752,247	)

Net increase (decrease) in net assets from SPDR share transactions (Note 4)		(81,620,640	)		(333,729,929	)		(221,309,920	)		(274,537,919	)		1,143,145,209			2,267,341,635			(593,778,916	)		2,203,488,365

Net increase (decrease) in net assets during period		613,850,989			(558,352,146	)		180,536,147			(452,799,434	)		3,132,184,745			2,201,120,907			(326,118,474	)		2,524,848,302
Net assets at beginning of period		2,361,085,721			2,919,437,867			1,643,186,152			2,095,985,586			6,563,923,267			4,362,802,360			6,641,622,771			4,116,774,469

NET ASSETS END OF PERIOD (1)	$	2,974,936,710		$	2,361,085,721		$	1,823,722,299		$	1,643,186,152		$	9,696,108,012		$	6,563,923,267		$	6,315,504,297		$	6,641,622,771

SELECT SECTOR SPDR SHARES:
Shares sold		224,200,000			365,850,000			116,000,000			273,150,000			137,750,000			307,700,000			84,750,000			196,750,000
Shares redeemed		(225,450,000	)		(378,400,000	)		(122,650,000	)		(281,100,000	)		(94,600,000	)		(218,950,000	)		(102,150,000	)		(130,350,000	)

Net increase (decrease)		(1,250,000	)		(12,550,000	)		(6,650,000	)		(7,950,000	)		43,150,000			88,750,000			(17,400,000	)		66,400,000

(1) Including undistributed (distribution in excess of) net investment income	$	6,010,025		$	3,627,332		$	4,937,978		$	5,261,406		$	(4,400,808	)	$	—		$	(303,515	)	$	—

See accompanying notes to financial statements.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Consumer Discretionary Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	34.88		$	33.44		$	27.48		$	28.05		$	36.74		$	34.95

Income (loss) from investment operations:
Net investment income		0.35	(1)		0.58	(1)(2)		0.44	(1)		0.45	(1)		0.46	(1)		0.37
Net realized and unrealized gain (loss) (3)		10.16			1.49			6.05			(0.51	)		(8.57	)		1.80

Total from investment operations		10.51			2.07			6.49			(0.06	)		(8.11	)		2.17

Net equalization credits and charges (1)		0.04			(0.02	)		(0.10	)		(0.06	)		(0.09	)		(0.03	)

Distributions to shareholders from:
Net investment income		(0.36	)		(0.61	)		(0.43	)		(0.45	)		(0.49	)		(0.35	)

Net asset value, end of period	$	45.07		$	34.88		$	33.44		$	27.48		$	28.05		$	36.74

Total return (4)		30.33	%		6.00	%(2)		23.39	%		(0.04	)%		(22.39	)%		6.07	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	3,243,064		$	1,779,239		$	1,720,447		$	1,268,295		$	995,833		$	729,341
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		1.71	%(5)		1.52	%(2)		1.42	%		1.99	%		1.44	%		0.93	%
Portfolio turnover rate (6)		2.78	%		6.76	%		8.29	%		4.21	%		8.56	%		5.65	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Net investment income per share and the ratio of net investment income to average assets reflects receipt of special dividends from portfolio holdings. The resulting increase to net investment income amounted to $0.05 per share and 0.14% of average net assets. If the special dividends were not received during the year ended September 30, 2011, the total return would have been 5.81%.
(3)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Consumer Staples Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	29.64		$	27.88		$	25.49		$	27.42		$	27.94		$	25.34

Income (loss) from investment operations:
Net investment income		0.46	(1)		0.88	(1)		0.80	(1)		0.71	(1)		0.59			0.59
Net realized and unrealized gain (loss) (2)		4.44			1.69			2.39			(1.91	)		(0.53	)		2.60

Total from investment operations		4.90			2.57			3.19			(1.20	)		0.06			3.19

Net equalization credits and charges (1)		0.00	(3)		0.05			(0.04	)		(0.05	)		0.02			(0.01	)

Distributions to shareholders from:
Net investment income		(0.46	)		(0.86	)		(0.76	)		(0.68	)		(0.60	)		(0.58	)

Net asset value, end of period	$	34.08		$	29.64		$	27.88		$	25.49		$	27.42		$	27.94

Total return (4)		16.58	%		9.38	%		12.50	%		(4.37	)%		0.28	%		12.69	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	5,497,173		$	5,131,609		$	3,254,544		$	1,885,361		$	2,916,858		$	2,090,505
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		2.89	%(5)		2.91	%		2.95	%		3.05	%		2.22	%		2.18	%
Portfolio turnover rate (6)		8.05	%		3.64	%		5.07	%		14.41	%		3.20	%		5.76	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Energy Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	58.54		$	56.05		$	53.96		$	63.87		$	74.99		$	53.48

Income (loss) from investment operations:
Net investment income		0.55	(1)		1.01	(1)		1.01	(1)		0.96	(1)		0.93			0.78
Net realized and unrealized gain (loss) (2)		13.24			2.55			2.15			(9.85	)		(11.07	)		21.49

Total from investment operations		13.79			3.56			3.16			(8.89	)		(10.14	)		22.27

Net equalization credits and charges (1)		(0.01	)		0.01			(0.06	)		(0.05	)		(0.13	)		0.01

Distributions to shareholders from:
Net investment income		(0.56	)		(1.08	)		(1.01	)		(0.97	)		(0.85	)		(0.77	)

Net asset value, end of period	$	71.76		$	58.54		$	56.05		$	53.96		$	63.87		$	74.99

Total return (3)		23.57	%		6.07	%		5.80	%		(13.81	)%		(13.87	)%		41.87	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	7,798,186		$	6,276,840		$	6,677,088		$	5,218,998		$	6,617,777		$	4,882,544
Ratio of expenses to average net assets		0.18	%(4)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(4)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		1.57	%(4)		1.43	%		1.80	%		1.98	%		1.08	%		1.19	%
Portfolio turnover rate (5)		1.22	%		3.48	%		7.68	%		24.39	%		6.87	%		7.00	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(4)		Annualized.
(5)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Financial Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	11.81		$	14.35		$	14.94		$	20.09		$	34.28		$	34.64

Income (loss) from investment operations:
Net investment income		0.13	(1)		0.19	(1)		0.15	(1)		0.35	(1)		0.86			0.84	(1)
Net realized and unrealized gain (loss) (2)		3.99			(2.52	)		(0.58	)		(5.12	)		(14.48	)		(0.53	)

Total from investment operations		4.12			(2.33	)		(0.43	)		(4.77	)		(13.62	)		0.31

Net equalization credits and charges (1)		0.00	(3)		(0.01	)		(0.01	)		0.00	(3)		0.28			0.22

Distributions to shareholders from:
Net investment income		(0.13	)		(0.20	)		(0.15	)		(0.38	)		(0.85	)		(0.89	)

Net asset value, end of period	$	15.80		$	11.81		$	14.35		$	14.94		$	20.09		$	34.28

Total return (4)		35.02	%		(16.57	)%		(2.95	)%		(23.21	)%		(39.24	)%		1.41	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	7,344,484		$	4,304,246		$	5,378,774		$	7,494,113		$	11,898,718		$	2,831,956
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		1.95	%(5)		1.25	%		1.01	%		2.95	%		3.20	%		2.35	%
Portfolio turnover rate (6)		4.20	%		7.07	%		15.57	%		16.74	%		18.24	%		14.57	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Health Care Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	31.74		$	30.49		$	28.72		$	30.43		$	35.41		$	33.17

Income (loss) from investment operations:
Net investment income (1)		0.38			0.66			0.59			0.58			0.55			0.56
Net realized and unrealized gain (loss) (2)		5.89			1.28			1.78			(1.69	)		(4.97	)		2.27

Total from investment operations		6.27			1.94			2.37			(1.11	)		(4.42	)		2.83

Net equalization credits and charges (1)		(0.02	)		(0.03	)		(0.02	)		(0.04	)		(0.01	)		(0.03	)

Distributions to shareholders from:
Net investment income		(0.37	)		(0.66	)		(0.58	)		(0.56	)		(0.55	)		(0.56	)

Net asset value, end of period	$	37.62		$	31.74		$	30.49		$	28.72		$	30.43		$	35.41

Total return (3)		19.74	%		6.19	%		8.21	%		(3.58	)%		(12.55	)%		8.49	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	4,172,197		$	4,109,777		$	2,697,670		$	1,979,592		$	2,377,145		$	2,075,363
Ratio of expenses to average net assets		0.18	%(4)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(4)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		2.21	%(4)		1.98	%		1.96	%		2.22	%		1.68	%		1.64	%
Portfolio turnover rate (5)		2.55	%		6.99	%		4.38	%		5.61	%		3.69	%		10.15	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(4)		Annualized.
(5)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Industrial Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	29.23		$	31.28		$	26.39		$	30.66		$	40.92		$	33.35

Income (loss) from investment operations:
Net investment income (1)		0.40			0.69			0.60			0.67			0.69			0.63
Net realized and unrealized gain (loss) (2)		8.20			(2.05	)		4.93			(4.25	)		(10.21	)		7.60

Total from investment operations		8.60			(1.36	)		5.53			(3.58	)		(9.52	)		8.23

Net equalization credits and charges (1)		(0.03	)		(0.00	)(3)		(0.05	)		(0.01	)		(0.05	)		(0.00	)(3)

Distributions to shareholders from:
Net investment income		(0.39	)		(0.69	)		(0.59	)		(0.68	)		(0.69	)		(0.66	)

Net asset value, end of period	$	37.41		$	29.23		$	31.28		$	26.39		$	30.66		$	40.92

Total return (4)		29.42	%		(4.67	)%		20.94	%		(11.25	)%		(23.55	)%		24.88	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	2,974,937		$	2,361,086		$	2,919,438		$	2,010,293		$	1,663,838		$	1,989,147
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		2.28	%(5)		1.96	%		2.04	%		2.96	%		1.85	%		1.69	%
Portfolio turnover rate (6)		2.30	%		4.01	%		8.82	%		9.51	%		4.27	%		7.12	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Materials Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	29.36		$	32.79		$	30.96		$	33.10		$	42.15		$	31.67

Income (loss) from investment operations:
Net investment income (1)		0.35			0.76	(2)		1.08	(3)		0.64			0.94			0.85
Net realized and unrealized gain (loss) (4)		7.65			(3.30	)		1.93			(2.05	)		(8.78	)		10.46

Total from investment operations		8.00			(2.54	)		3.01			(1.41	)		(7.84	)		11.31

Net equalization credits and charges (1)		(0.02	)		(0.07	)		(0.13	)		(0.05	)		(0.28	)		(0.03	)

Distributions to shareholders from:
Net investment income		(0.37	)		(0.82	)		(1.05	)		(0.68	)		(0.93	)		(0.80	)

Net asset value, end of period	$	36.97		$	29.36		$	32.79		$	30.96		$	33.10		$	42.15

Total return (5)		27.29	%		(8.45	)%		9.39	%		(3.85	)%		(19.58	)%		35.97	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	1,823,722		$	1,643,186		$	2,095,986		$	1,725,054		$	1,395,939		$	1,724,848
Ratio of expenses to average net assets		0.18	%(6)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(6)		0.19	%		0.21	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		2.00	%(6)		2.02	%		3.35	%		2.54	%		2.27	%		2.26	%
Portfolio turnover rate (7)		2.41	%		13.86	%		13.98	%		35.67	%		12.03	%		8.94	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Net investment income per share and the ratio of net investment income to average assets reflects receipt of special dividends from portfolio holdings. The resulting increase to net investment income amounted to $0.09 per share and 0.23% of average net assets. If the special dividends were not received during the year ended September 30, 2011, the total return would have been (8.77)%.
(3)		Net investment income per share and the ratio of net investment income to average net assets reflect a special one time dividend from a portfolio holding (Weyerhauser Co.). The resulting increase to net investment income amounted to $0.52 per share and 1.61% of average net assets.
(4)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(5)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(6)		Annualized.
(7)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Technology Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	23.59		$	23.02		$	20.84		$	19.83		$	27.00		$	21.99

Income (loss) from investment operations:
Net investment income		0.20	(1)		0.36	(1)		0.32	(1)		0.30	(1)		0.27	(1)		0.20
Net realized and unrealized gain (loss) (2)		6.57			0.57			2.18			1.01			(7.16	)		5.02

Total from investment operations		6.77			0.93			2.50			1.31			(6.89	)		5.22

Net equalization credits and charges (1)		0.01			0.01			(0.01	)		0.02			(0.01	)		(0.00	)(3)

Distributions to shareholders from:
Net investment income		(0.21	)		(0.37	)		(0.31	)		(0.32	)		(0.27	)		(0.21	)

Net asset value, end of period	$	30.16		$	23.59		$	23.02		$	20.84		$	19.83		$	27.00

Total return (4)		28.85	%		3.97	%		11.97	%		7.01	%		(25.68	)%		23.79	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	9,696,108		$	6,563,923		$	4,362,802		$	3,854,165		$	2,436,742		$	2,726,921
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		1.51	%(5)		1.41	%		1.43	%		1.75	%		1.12	%		0.85	%
Portfolio turnover rate (6)		3.23	%		4.95	%		4.77	%		7.38	%		9.31	%		12.83	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each period


	The Utilities Select Sector SPDR Fund
	For the Six
	Months Ended			Year			Year			Year			Year			Year
	3/31/12			Ended			Ended			Ended			Ended			Ended
	(Unaudited)			9/30/11			9/30/10			9/30/09			9/30/08			9/30/07

Net asset value, beginning of period	$	33.62		$	31.38		$	29.31		$	33.11		$	39.90		$	33.97

Income (loss) from investment operations:
Net investment income (1)		0.70			1.35			1.28			1.25			1.19			1.10
Net realized and unrealized gain (loss) (2)		1.44			2.15			2.05			(3.80	)		(6.63	)		6.06

Total from investment operations		2.14			3.50			3.33			(2.55	)		(5.44	)		7.16

Net equalization credits and charges (1)		(0.00	)(3)		0.09			0.01			0.01			(0.15	)		(0.13	)

Distributions to shareholders from:
Net investment income		(0.71	)		(1.35	)		(1.27	)		(1.26	)		(1.20	)		(1.10	)

Net asset value, end of period	$	35.05		$	33.62		$	31.38		$	29.31		$	33.11		$	39.90

Total return (4)		6.38	%		11.63	%		11.64	%		(7.43	)%		(14.39	)%		20.83	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	6,315,504		$	6,641,623		$	4,116,774		$	2,462,725		$	2,218,518		$	2,734,750
Ratio of expenses to average net assets		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of expenses to average net assets before waivers		0.18	%(5)		0.19	%		0.20	%		0.22	%		0.22	%		0.23	%
Ratio of net investment income (loss) to average net assets		4.05	%(5)		4.17	%		4.25	%		4.49	%		2.97	%		2.85	%
Portfolio turnover rate (6)		1.62	%		3.20	%		10.84	%		9.63	%		3.83	%		9.80	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value per share on the first day and a sale at net asset value per share on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Total return for a period of less than one year is not annualized. Broker commission charges are not included in the calculation.
(5)		Annualized.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS

March 31, 2012 (Unaudited)


1.	Organization

The Select Sector SPDR Trust (the “Trust”) was organized in the Commonwealth of Massachusetts on June 10, 1998 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the common stocks in substantially the same weighting, in a particular sector or group of industries that are represented by a specified market sector index (each a “Select Sector Index”). Each of the nine Select Sector Indices represents a basket of equity securities of public companies that are components of the S&P 500. The Trust is comprised of the following series: The Consumer Discretionary Select Sector SPDR Fund, The Consumer Staples Select Sector SPDR Fund, The Energy Select Sector SPDR Fund, The Financial Select Sector SPDR Fund, The Health Care Select Sector SPDR Fund, The Industrial Select Sector SPDR Fund, The Materials Select Sector SPDR Fund, The Technology Select Sector SPDR Fund and The Utilities Select Sector SPDR Fund (each a “Fund” or “Select Sector SPDR Fund” and collectively the “Funds” or “Select Sector SPDR Funds”). Each Fund operates as a non-diversified investment company. The investment objective of each Fund is to provide investment results that, before expenses and fees, correspond generally to the price and yield performance of a specific Select Sector Index.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.

Each Fund’s investments are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investments will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

An investment in a Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. The value of each Fund’s shares will decline, more or less, in correlation with any decline in the value of the relevant Select Sector Index. The values of equity securities could decline generally or could underperform other investments. Generally, a Fund will not sell an equity security because the security’s issuer is in financial trouble, unless that security is removed from the relevant Select Sector Index. Each of the Select Sector SPDR Funds concentrates its investments in certain industries, subjecting them to greater risk than funds that invest in a wider range of industries.


2.	Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. These financial statements are presented in United States dollars.

Security Valuation

The value of each Fund’s portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in open-end investment companies are valued at their net asset value each business day. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

value in accordance with the Trust’s valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the “Committee”). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Fund’s net asset value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Funds continue 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 funds the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:


•	Level 1 — quoted prices in active markets for identical investments

•	Level 2 — other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•	Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds’ net assets are computed and that may materially affect the value of the Funds’ investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s respective Select Sector Index, which, in turn, could result in a difference between the Fund’s performance and the performance of the Fund’s respective Select Sector Index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Funds’ 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.

Investment Income

Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities.

Expenses

Expenses of the Trust, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees’ fees and other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

Distributions

Each Fund declares and distributes dividends from net investment income to its shareholders quarterly. Each Fund declares and distributes net realized capital gains, if any, at least annually.

Equalization

The Funds follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Select Sector SPDR shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisitions of Select Sector SPDR shares. Amounts related to Equalization can be found on the Statements of Changes.

Investment Transactions

Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of nonreclaimable foreign tax withholdings on the ex-dividend date.

Subsequent Events

Events or transactions occuring 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.

Federal Income Tax

Each Fund has qualified and intends to continue to qualify for and elect treatment as a “regulated investment company” (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions, Real Estate Investment Trusts (REITs) and losses deferred due to wash sales. Net investment income per share calculations in the Financial Highlights for all years presented exclude these differences.

The Funds have reviewed the tax positions for the open tax years as of September 30, 2011 and have determined that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

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 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 may expire unused.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

For the six months ended March 31, 2012, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (See Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:


	Net Gain (Loss)
	Reclassified to
	Paid in Capital

The Consumer Discretionary Select Sector SPDR Fund	$	171,975,273
The Consumer Staples Select Sector SPDR Fund		229,471,149
The Energy Select Sector SPDR Fund		169,776,923
The Financial Select Sector SPDR Fund		235,619,723
The Health Care Select Sector SPDR Fund		68,112,744
The Industrial Select Sector SPDR Fund		100,180,019
The Materials Select Sector SPDR Fund		72,771,377
The Technology Select Sector SPDR Fund		310,077,921
The Utilities Select Sector SPDR Fund		263,089,690

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


	2012		2013		2014		2015		2016		2017		2018		2019

The Consumer Discretionary Select Sector SPDR Fund	$	2,502,233	$	997,052	$	9,450,752	$	7,544,551	$	4,343,910	$	17,652,701	$	44,152,294	$	41,068,081
The Consumer Staples Select Sector SPDR Fund		23,758,907		799,804		23,679,427		175,734		2,872,408		—		3,835,906		7,952,209
The Energy Select Sector SPDR Fund		6,684,065		821,860		50,406		94,186,580		16,887,031		46,397,013		932,038,288		120,300,080
The Financial Select Sector SPDR Fund		8,078,713		4,176,362		9,961,554		10,349,660		41,633,377		423,127,850		90,041,088		5,257,095
The Health Care Select Sector SPDR Fund		1,306,855		6,333,060		7,166,786		3,362,549		1,330,406		21,726,896		29,635,140		22,933,364
The Industrial Select Sector SPDR Fund		6,331,812		1,389,592		4,968,985		7,287,655		5,756,566		15,013,076		80,582,108		27,687,839
The Materials Select Sector SPDR Fund		2,359,563		1,867,693		3,631,452		400,900		2,396,678		34,304,196		254,329,658		159,773,879
The Technology Select Sector SPDR Fund		123,285,364		9,613,457		52,407,581		149,073,403		64,942,837		121,713,434		135,090,209		61,133,352
The Utilities Select Sector SPDR Fund		15,559,181		400,327		2,962,529		4,942,581		—		23,780,627		83,031,840		104,752,494

Under current tax laws, capital losses realized after October 31, may be deferred and treated as occurring on the first day of the following fiscal year. The Funds incurred the following losses during the period November 1, 2010 through September 30, 2011 that have been deferred for tax purposes until fiscal year 2012:


	Deferred Losses

The Consumer Discretionary Select Sector SPDR Fund	$	29,550,446
The Consumer Staples Select Sector SPDR Fund		12,312,537
The Energy Select Sector SPDR Fund		57,439,838
The Financial Select Sector SPDR Fund		62,221,936
The Health Care Select Sector SPDR Fund		37,695,399

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)


	Deferred Losses

The Industrial Select Sector SPDR Fund	$	39,764,492
The Materials Select Sector SPDR Fund		82,397,307
The Technology Select Sector SPDR Fund		85,749,517
The Utilities Select Sector SPDR Fund		43,316,677


3.	Related Party Fees and Transactions

Adviser Fees

The Trust, on behalf of each Fund, has entered into an investment advisory agreement (“Investment Advisory Agreement” or “Agreement”) with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services provided to each Fund under its Investment Advisory Agreement, each Fund pays the Adviser a fee accrued daily and paid monthly. The advisory fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based on the relative net assets of each Fund. The advisory fee is a sliding fee scale calculated as follows: (i) 0.05% of average daily net assets of the Trust up to the first $12.5 billion of net assets; (ii) 0.04% of average daily net assets of the Trust up to the next $17.5 billion of net assets; (iii) 0.035% of average daily net assets of the Trust up to the next $20.0 billion of net assets; and (iv) 0.03% of average daily net assets on the remainder of net assets. From time to time, the Adviser may waive all or a portion of its fees. The Adviser did not waive any of its fees in the current period.

Unitary Fee

A “unitary” fee is paid by each Fund to State Street Bank and Trust Company (“State Street”) for the Administration, Custody and Transfer Agency services it provides to the Funds. The unitary fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based upon the relative net assets of each Fund. As of February 1, 2012, the unitary fee is a sliding scale fee calculated as follows: (i) 0.07% of average daily net assets of the Trust up to the first $4.5 billion of net assets; (ii) 0.05% of average daily net assets up to the next $4.5 billion of net assets of the Trust; (iii) 0.03% of average daily net assets of the next $3.5 billion of net assets of the Trust; (iv) 0.015% of average daily net assets of the next $10.0 billion of net assets of the Trust; and (v) 0.0075% of average daily net assets on the remainder of net assets. Prior to February 1, 2012, the unitary fee was a sliding scale fee calculated as follows: (i) 0.07% of average daily net assets of the Trust up to the first $4.5 billion of net assets; (ii) 0.05% of average daily net assets up to the next $4.5 billion of net assets of the Trust; (iii) 0.03% of average daily net assets of the next $3.5 billion of net assets of the Trust; (iv) 0.015% of average daily net assets of the next $10 billion of net assets of the Trust; and (v) 0.01% of average daily net assets on the remainder of net assets. State Street had voluntarily undertaken to waive 0.0025% of its unitary fee on net assets of the Trust over $22.5 billion through January 31, 2012. State Street has not entered into an agreement with the Trust to recapture waived fees in subsequent periods.

The waiver amounts for each Fund’s allocation of the unitary fee for the period ended March 31, 2012 are identified in the Statements of Operations.

State Street also acts as the securities lending agent for the Funds and receives a portion of any lending income. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio (“Prime Portfolio”) for which SSgA FM serves as investment adviser. Prime Portfolio is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. See Note 7 for additional information regarding securities lending.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

For the period ended March 31, 2012, State Street earned securities lending agent fees as follows:


	Securities Lending
	Agent Fees

The Consumer Discretionary Select Sector SPDR Fund	$	75,879
The Consumer Staples Select Sector SPDR Fund		20,443
The Energy Select Sector SPDR Fund		19,026
The Financial Select Sector SPDR Fund		27,374
The Health Care Select Sector SPDR Fund		10,533
The Industrial Select Sector SPDR Fund		22,400
The Materials Select Sector SPDR Fund		26,123
The Technology Select Sector SPDR Fund		28,927
The Utilities Select Sector SPDR Fund		45,997

Distributor

ALPS Distributors, Inc. (the “Distributor”) serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay fees, including fees to the Distributor, at an annualized rate of 0.25% of the average daily net assets of the Fund. The Board limited each Fund’s 12b-1 fee to 0.054% of its average daily net assets through January 31, 2012, and to 0.050% of average daily net assets from February 1, 2012, through at least January 31, 2013.

Trustees’ Fees

Effective January 1, 2012, the Trust pays each Trustee who is not an “interested person” (as defined in the 1940 Act) an annual fee of $88,000 plus a per meeting fee of $6,000 for each meeting of the Board attended by the Trustee and $2,000 for each telephone meeting. The Chairman of the Board receives an additional fee of $28,000 per year. The Trust also reimburses each Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Audit Committee members receive $3,500 per Committee meeting attended and Nominating and Governance Committee members receive $2,000 per Committee meeting attended. The Chairperson of the Audit Committee also receives an $8,000 annual fee and the Chairperson of the Nominating and Governance Committee also receives an annual fee of $4,000.

Prior to January 1, 2012, the Trust paid each Trustee who is not an “interested person” (as defined in the 1940 Act) an annual fee of $72,000 plus a per meeting fee of $5,000 for each meeting of the Board attended by the Trustee and $1,500 for each telephone meeting. The Chairman of the Board received an additional fee of $20,000 per year. The Trust also reimbursed each Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Audit Committee members received $2,500 per Committee meeting attended. The Chairperson of the Audit Committee also received a $4,000 annual fee.

Additional Expenses

Standard and Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies (“S&P”), NYSE Arca, Inc. and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“Merrill Lynch”) have entered into a license agreement with respect to each Select Sector Index. The Trust has entered into a sub-license agreement whereby the Trust agrees to pay a sub-license fee per annum (i) to S&P equal to the greater of 0.03% of the aggregate net assets of the Trust or $450,000 (the “Minimum Annual Fee”), and (ii) to Merrill Lynch equal to 0.03% of the aggregate net assets of the Trust up to $35 billion, 0.02% of the aggregate net assets of the Trust from $35 billion up to and including $50 billion and 0.01% on the remainder of net assets of the Trust. The fees to S&P and Merrill Lynch are payable on a quarterly basis. Each Select Sector SPDR Fund will pay its proportionate share of the annual sub-license fees based on the relative net assets of each Fund.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

Transactions with Affiliated Issuers

The Financial Select Sector SPDR Fund has invested in an affiliated company, State Street Corp. Amounts relating to this investment at March 31, 2012, and for the period then ended are:


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

	1,545,645	$	70,811,959	$	49,707,943	$	120,894,975		2,982,703	$	105,404,523		2,647,616		1,880,732	$	85,573,306	$	778,124	$	571,571

Each Fund may invest in certain money market funds managed by the Adviser, including the State Street Institutional Liquid Reserves Fund — Institutional Class (“Liquid Reserves Fund”), a series of State Street Institutional Investment Trust. The Liquid Reserves Fund is a feeder fund in a master/feeder fund structure that invests substantially all of its assets in the State Street Money Market Portfolio (“Master Portfolio”). The Liquid Reserves Fund does not pay an investment advisory fee to the Adviser, but the Master Portfolio in which it invests pays an investment advisory fee to the Adviser. The Liquid Reserves Fund intends to declare dividends on shares from net investment income daily and pay them as of the last business day of each month. All income distributions earned by a Fund from affiliated money market funds are recorded as dividend income on securities of affiliated issuers in the accompanying Statements of Operations. In addition, cash collateral from lending activities is invested in Prime Portfolio, for which SSgA FM serves as the investment adviser.

Amounts related to investments in Prime Portfolio and/or Liquid Reserves Fund at March 31, 2012 and for the period then ended are:


	Value at		Purchased				Sold				Value at
Prime Portfolio	9/30/11		Cost		Shares		Proceeds		Shares		3/31/12		Income

The Consumer Discretionary Select Sector SPDR Fund	$	96,892,617	$	331,894,074		331,894,074	$	330,557,965		330,557,965	$	98,228,726	$	429,998
The Consumer Staples Select Sector SPDR Fund		142,489,554		424,755,645		424,755,645		484,245,207		484,245,207		82,999,992		115,879
The Energy Select Sector SPDR Fund		100,170,748		752,074,524		752,074,524		709,557,373		709,557,373		142,687,899		107,857
The Financial Select Sector SPDR Fund		144,296,216		582,570,883		582,570,883		572,942,424		572,942,424		153,924,675		155,158
The Health Care Select Sector SPDR Fund		91,781,838		306,742,063		306,742,063		357,150,092		357,150,092		41,373,809		93,715
The Industrial Select Sector SPDR Fund		108,315,825		253,298,288		253,298,288		295,585,482		295,585,482		66,028,631		126,967
The Materials Select Sector SPDR Fund		100,601,043		297,762,806		297,762,806		311,170,071		311,170,071		87,193,778		148,064
The Technology Select Sector SPDR Fund		119,460,414		479,592,620		479,592,620		493,909,626		493,909,626		105,143,408		163,953
The Utilities Select Sector SPDR Fund		163,816,373		1,658,635,325		1,658,635,325		1,659,701,822		1,659,701,822		162,749,876		260,728


	Value at		Purchased				Sold				Value at
Liquid Reserves Fund	9/30/11		Cost		Shares		Proceeds		Shares		3/31/12		Income

The Consumer Discretionary Select Sector SPDR Fund	$	1,547,322	$	45,572,196		45,572,196	$	41,533,452		41,533,452	$	5,586,066	$	6,712
The Consumer Staples Select Sector SPDR Fund		7,061,290		158,899,740		158,899,740		163,696,123		163,696,123		2,264,907		11,103
The Energy Select Sector SPDR Fund		7,174,578		98,431,973		98,431,973		102,298,035		102,298,035		3,308,516		12,681
The Financial Select Sector SPDR Fund		8,465,728		113,860,993		113,860,993		114,303,597		114,303,597		8,023,124		8,394
The Health Care Select Sector SPDR Fund		4,118,194		64,044,483		64,044,483		65,927,719		65,927,719		2,234,958		7,045
The Industrial Select Sector SPDR Fund		4,150,289		65,284,932		65,284,932		64,911,009		64,911,009		4,524,212		7,214
The Materials Select Sector SPDR Fund		3,340,822		34,029,088		34,029,088		33,577,048		33,577,048		3,792,862		4,615
The Technology Select Sector SPDR Fund		26,793,302		119,859,996		119,859,996		122,341,656		122,341,656		24,311,642		21,824
The Utilities Select Sector SPDR Fund		13,697,413		264,223,539		264,223,539		269,010,686		269,010,686		8,910,266		16,916

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)


4.	Shareholder Transactions

Select Sector SPDR Fund shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis only, with a separate cash payment which is equivalent to the undistributed net investment income per share (income equalization) and a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. Transaction fees are received by the Funds’ custodian and are used to defray related expenses.


5.	Aggregate Unrealized Appreciation and Depreciation

The identified cost of investments in securities owned by each Fund for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and depreciation at March 31, 2012 were as follows:


			Gross		Gross		Net Unrealized
	Identified		Unrealized		Unrealized		Appreciation
	Cost		Appreciation		Depreciation		(Depreciation)

The Consumer Discretionary Select Sector SPDR Fund	$	3,269,390,757	$	210,775,555	$	141,021,302	$	69,754,253
The Consumer Staples Select Sector SPDR Fund		5,340,329,205		358,529,234		135,735,405		222,793,829
The Energy Select Sector SPDR Fund		9,043,718,483		46,601,522		1,151,422,657		(1,104,821,135	)
The Financial Select Sector SPDR Fund		7,940,663,754		152,984,194		601,649,603		(448,665,409	)
The Health Care Select Sector SPDR Fund		4,323,629,131		109,365,814		223,733,702		(114,367,888	)
The Industrial Select Sector SPDR Fund		3,366,412,755		22,038,814		352,875,491		(330,836,677	)
The Materials Select Sector SPDR Fund		2,118,550,439		26,765,349		236,244,115		(209,478,766	)
The Technology Select Sector SPDR Fund		8,986,593,612		1,306,034,278		490,953,588		815,080,690
The Utilities Select Sector SPDR Fund		6,673,591,072		221,020,824		432,957,418		(211,936,594	)


6.	Investment Transactions

For the six months ended March 31, 2012, the Trust had in-kind contributions, in-kind redemptions and in-kind net realized gain as follows:


					Realized
	Contributions		Redemptions		Gain/(Loss)

The Consumer Discretionary Select Sector SPDR Fund	$	2,859,734,252	$	2,014,479,442	$	171,975,273
The Consumer Staples Select Sector SPDR Fund		2,750,831,068		3,135,077,851		229,471,149
The Energy Select Sector SPDR Fund		8,582,141,783		8,392,972,638		169,776,923
The Financial Select Sector SPDR Fund		9,734,882,529		8,263,626,487		235,619,723
The Health Care Select Sector SPDR Fund		3,338,241,080		3,883,527,064		68,112,744
The Industrial Select Sector SPDR Fund		5,870,232,406		5,951,492,946		100,180,019
The Materials Select Sector SPDR Fund		3,114,775,280		3,336,032,393		72,771,377
The Technology Select Sector SPDR Fund		3,050,712,489		1,908,213,373		310,077,921
The Utilities Select Sector SPDR Fund		2,144,709,072		2,738,430,447		263,089,690

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2012 (Unaudited)

The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions on the Statements of Changes. The table represents the accumulation of the Funds’ daily net shareholder transactions while the Statements of Changes reflects gross shareholder transactions including any income equalization or cash component of the transactions.

For the six months ended March 31, 2012, the Trust had purchases and sales of investment securities as follows:


	Purchases		Sales

The Consumer Discretionary Select Sector SPDR Fund	$	69,925,905	$	75,045,178
The Consumer Staples Select Sector SPDR Fund		434,267,623		429,618,860
The Energy Select Sector SPDR Fund		90,067,395		98,078,393
The Financial Select Sector SPDR Fund		259,446,008		243,525,384
The Health Care Select Sector SPDR Fund		104,702,007		102,750,915
The Industrial Select Sector SPDR Fund		71,057,673		72,902,516
The Materials Select Sector SPDR Fund		43,734,852		45,073,906
The Technology Select Sector SPDR Fund		264,567,234		261,268,762
The Utilities Select Sector SPDR Fund		128,284,150		110,434,370


7.	Securities Lending

Each Fund may lend securities up to 331/3% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral held with respect to a loaned security may be temporarily more or less than the value of a security on loan due to market fluctuation of security values. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral. The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. Proceeds collected by State Street on investment of cash collateral or any fee income is partially allocated to State Street as compensation for its lending services.

The market value of securities on loan as of March 31, 2012 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION

March 31, 2012 (Unaudited)

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, distribution (12b-1) fees, administration, custodian and transfer agent fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested at October 1, 2011 and held for the six months ended March 31, 2012.

Actual Expenses

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. If you buy or sell Select Sector SPDR Fund shares in the secondary market, you will incur customary brokerage commissions and charges.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


								Expenses Paid
	Annualized			Beginning Account		Ending Account		During Period*
	Expense			Value		Value		10/1/11 to
	Ratio			10/1/11		3/31/12		3/31/12

Actual
The Consumer Discretionary Select Sector SPDR Fund		0.18	%	$	1,000	$	1,303.30	$	1.04
The Consumer Staples Select Sector SPDR Fund		0.18	%	$	1,000	$	1,165.80	$	0.97
The Energy Select Sector SPDR Fund		0.18	%	$	1,000	$	1,235.70	$	1.01
The Financial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,350.20	$	1.06
The Health Care Select Sector SPDR Fund		0.18	%	$	1,000	$	1,197.40	$	0.99
The Industrial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,294.20	$	1.03
The Materials Select Sector SPDR Fund		0.18	%	$	1,000	$	1,272.90	$	1.02
The Technology Select Sector SPDR Fund		0.18	%	$	1,000	$	1,288.50	$	1.03
The Utilities Select Sector SPDR Fund		0.18	%	$	1,000	$	1,063.80	$	0.93

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

March 31, 2012 (Unaudited)


								Expenses Paid
	Annualized			Beginning Account		Ending Account		During Period*
	Expense			Value		Value		10/1/11 to
	Ratio			10/1/11		3/31/12		3/31/12

Hypothetical (assuming a 5% return before expenses)
The Consumer Discretionary Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Consumer Staples Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Energy Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Financial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Health Care Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Industrial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Materials Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Technology Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Utilities Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91


*		Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six-month period (183), then divided by 366.

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-Sector-ETF (732-8673) or (ii) on the website of the Securities and Exchange Commission (“SEC”), at www.sec.gov.

Information regarding how proxies were voted relating to the Funds’ portfolio securities for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number above (toll free) and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.sectorspdrs.com.

Quarterly Portfolio Schedule

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-Sector-ETF (732-8673).

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e. at a discount) the net asset value of the Fund during the past calendar year can be found at www.sectorspdrs.com.

Advisory Contract Renewal

At an in-person meeting held on November 8, 2011, the Trustees of The Select Sector SPDR Trust (the “Trust”) considered the renewal of the Amended and Restated Investment Advisory Agreement (the “Agreement”), dated December 1, 2003, as amended as of February 1, 2011, between the Trust and SSgA Funds Management, Inc. (the “Adviser”) with respect to the nine series of the Trust (the “Funds”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “IndependentTrustees”) also met separately on October 21, 2011 with their counsel to consider the Agreement and the materials provided by the Adviser and State Street Bank and Trust Company (“State Street”) in response to a

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

March 31, 2012 (Unaudited)

request from independent legal counsel on their behalf. This meeting was preceded by a presentation by representatives of the Adviser and State Street. In deciding whether to renew the Agreement, the Trustees considered various factors, including (i)the nature, extent and quality of the services provided by the Adviser under the Agreement, (ii)the investment performance of the Funds, (iii)the costs to the Adviser of its services and the profits realized by the Adviser and its affiliate, State Street, from their relationship with the Trust, and (iv)the extent to which economies of scale would be realized if and as the Funds grow and whether the fee levels in the Agreement reflect these economies of scale.

Nature, Extent and Quality of Services

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior experience as Trustees of the Trust as well as on the materials provided for the meeting. They noted that under the Agreement the Adviser is responsible for managing the investment operations of each of the Funds in accordance with the Fund’s investment objective and policies, applicable legal and regulatory requirements, and the instructions of the Trustees, for providing necessary and appropriate reports and information to the Trustees, for maintaining all necessary books and records pertaining to the Trust’s securities transactions, and for furnishing each Fund with the assistance, cooperation and information necessary for the Fund to meet various legal requirements regarding registration and reporting. They noted the distinctive nature of the Funds, as exchange-traded funds (“ETFs”) investing in sectors of the S&P 500 Index, and the experience and expertise appropriate in an adviser to such funds. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations of the Trust, and the responsibilities of the latter with respect to the Funds. They also considered the resources, operational structures and practices of the Adviser in managing the Funds’ portfolios, in monitoring and securing each Fund’s compliance with its investment objective and policies and with applicable law and regulations, and in seeking best execution of portfolio transactions. Drawing upon the materials provided and their general knowledge of the business of the Adviser and its parent, State Street Global Advisors (“SSgA”), with which the Adviser shares all of its senior personnel, the Trustees took into account the experience, resources and strength of the Adviser and its affiliates in the areas of indexed products generally and ETFs in particular. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Trust were appropriate, had been of uniformly high quality, and could be expected to remain so.

Investment Performance of the Funds

The Trustees noted that, in view of the distinctive investment objective of the Funds, the investment performance of the Funds in absolute terms was not of the importance that normally attaches to the performance of actively managed funds. Of more importance to the Trustees was the extent to which each Fund achieved its objective to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in its applicable index. Drawing upon information provided at the meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Funds had in fact tracked their sector indexes within an acceptable range; they further concluded, on the basis of the data available (see discussion in “Comparison of Fees and Expense Ratios” below), that the expense ratios of the Funds were lower than those of all of their direct competitors. Moreover, none of the Funds generated any taxable gain during the most recent fiscal year. Accordingly, they concluded that the performance of each Fund was satisfactory.

Profitability to the Adviser and its Affiliates

The Trustees considered the profitability of the advisory arrangement with the Funds to the Adviser and of the Trust’s relationship with the Adviser’s affiliate, State Street, in its role as Administrator, Transfer Agent and Custodian. The Trustees also considered the profitability from the fees received and income earned by State Street as Securities Lending Agent for the Trust. The Trustees had been provided with data on the Funds’ profitability to the Adviser for each of the preceding five years through a recent date, as well as data on the Trust’s profitability to State Street for the same periods, together in both cases with profitability estimates for the coming year at several hypothetical asset levels. The Trustees also had been provided with information from both the Adviser and State Street discussing the methods

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

March 31, 2012 (Unaudited)

by which expenses were allocated to the Trust and to each of the Funds. On the basis of this information and discussions at the October 21, 2011 meeting and the November 8, 2011 meeting with representatives of the Adviser and State Street, the Trustees concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities, the profitability at current asset levels was not such as to render the advisory fee excessive.

Other Benefits to the Adviser

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees noted that the Adviser does not currently use the Funds’ assets for, or participate in, third party soft dollar arrangements, although the Adviser may receive proprietary research from various full service brokers, the cost of which is bundled with the cost of the broker’s execution services. It was further noted that the Trust’s brokerage transactions are not effected through the Adviser or any of its affiliates. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationship with the Trust, those benefits are not such as to render the Adviser’s fees excessive.

Economies of Scale

On the basis of their discussions with management and their analysis of information provided at and prior to the meeting, the Trustees determined that the nature of the Funds and their operations is such that the Adviser is likely to realize economies of scale in the management of the Funds as they grow in size. They were also of the view that these economies of scale were being shared with the Funds by virtue of an advisory fee, set at a relatively low level since the inception of the Trust, that subsumed economies of scale in the fee itself. Furthermore, the Trustees took into consideration the fact that, in order to ensure that if and as the Funds grow in size the economies of scale resulting from this growth would be shared with the Funds, the Adviser and State Street had each previously agreed to institute one or more breakpoints in their respective fee schedules, and that the Adviser had agreed to amend the Agreement effective February 1, 2011, to add a breakpoint at $30 billion of .035% and a breakpoint at $50 billion of .03%.

In addition, the Independent Trustees noted that, effective January 1, 2008, State Street had voluntarily agreed to waive a portion of its unitary fee for services as the Trust’s Administrator, Transfer Agent and Custodian for Trust assets over $22.5 billion, and had agreed to amend its contracts with the Trust effective February 1, 2011, to add a breakpoint on Trust assets over $22.5 billion of .01%, and to voluntarily waive one-quarter of its fee on Trust assets over $22.5 billion, so that the effective fee on Trust assets over $22.5 billion is .0075% through January 31, 2012. In connection with their annual review of the contracts with State Street, the Independent Trustees requested during an October 21, 2011 Board meeting, and State Street agreed at the November 8, 2011 meeting, to continue its fee waiver of .0025% on Trust assets over $22.5 billion, and State Street agreed to reflect this as a breakpoint in its contracts with the Trust.

Comparison of Fees and Expense Ratios

In order better to evaluate the Funds’ advisory fee, the Independent Trustees requested information with respect to expense ratios and advisory fees of comparable funds, and the Adviser provided (1) data for all domestic ETFs tracking sector indexes and (2) data obtained from a Lipper database of sector peer funds, including both ETFs tracking indexes as well as mutual funds. The Independent Trustees also requested, and the Adviser provided, information on the advisory fees charged to other clients with comparable investment objectives, and reviewed the differences in services provided to the Adviser’s institutional accounts. The Trustees found that, because of the distinctive nature of the Funds, the universe of comparable funds was limited. Moreover, they noted that because many ETFs paid a unitary advisory fee, encompassing all or virtually all of the ETFs’ operating expenses, in many cases a Fund’s advisory fee, which covered only advisory services, would be misleadingly low relative to its competitors’. The Trustees then reviewed expense ratios and noted that the overall expense ratio of each Fund was lower than that of all of its domestic sector ETF peers, but also noted that each Fund continued to be significantly larger than all of its ETF sector peers. The Independent Trustees noted that this had prompted them to request, in connection with their 2010 annual review of the Agreement and contracts with the Adviser’s affiliate, State Street, that new breakpoints be added

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

March 31, 2012 (Unaudited)

to the fee schedules of both the Agreement and the unitary fee payable under the Administration Agreement, Custodian Agreement and Transfer Agency Agreement, and that the Adviser and State Street agreed to changes to the fee schedules for the benefit of shareholders, effective February 1, 2011, as noted above. The Trustees noted that at current assets levels, shareholders were benefiting from these breakpoints, and that if assets rose above $50 billion, shareholders would benefit from an additional breakpoint. The Trustees concluded that the data available provided some indirect confirmation of the reasonableness of the Adviser’s fees.

Conclusion

The Trustees, including the Independent Trustees, approved the continuance of the Agreement, as so amended, after weighing the foregoing factors, none of which was dispositive in itself. They reasoned that, considered in themselves, the nature and extent of the services provided by the Adviser were appropriate, that the performance of the Funds had been satisfactory, and that the Adviser could be expected to provide services of high quality. As to the Adviser’s fees for each Fund, the Trustees determined that the fees, considered in relation to the services provided, were fair and reasonable, that the Trust’s relationship with the Adviser and State Street was not so profitable as to render the fees at current asset levels excessive, that any additional benefits to the Adviser and/or State Street were not of a magnitude to materially affect the outcome of the Trustees’ conclusions, and that, especially in light of the breakpoints in the Adviser’s and State Street’s fee schedules, the fees adequately shared economies of scale with the Funds.

The SPDR^® Family of Exchange Traded Funds

The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SPDR Series Trust

SPDR Dow Jones Total Market ETF (TMW)

SPDR Dow Jones Large Cap ETF (ELR)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Dow Jones Mid Cap ETF (EMM)

SPDR S&P 400 Mid Cap Growth ETF (MDYG)

SPDR S&P 400 Mid Cap Value ETF (MDYV)

SPDR S&P 600 Small Cap ETF (SLY)

SPDR S&P 600 Small Cap Growth ETF (SLYG)

SPDR S&P 600 Small Cap Value ETF (SLYV)

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

SPDR S&P Oil & Gas Equipment & Services ETF (XES)

SPDR S&P Oil & Gas Exploration & Production ETF (XOP)

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR Wells Fargo Preferred Stock ETF (PSK)

SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)

SPDR Barclays Capital TIPS ETF (IPE)

SPDR Barclays Capital Short Term Treasury ETF (SST)

SPDR Barclays Capital Intermediate Term Treasury ETF (ITE)

SPDR Barclays Capital Long Term Treasury ETF (TLO)

SDPR Barclays Capital Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Capital Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Capital Long Term Corporate Bond ETF (LWC)

SPDR Barclays Capital Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Capital Convertible Securities ETF (CWB)

SPDR Barclays Capital Mortgage Backed Bond ETF (MBG)

SPDR Barclays Capital Aggregate Bond ETF (LAG)

SPDR Nuveen Barclays Capital Municipal Bond ETF (TFI)

SPDR Nuveen Barclays Capital California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays Capital New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF (SHM)

SPDR Nuveen S&P VRDO Municipal Bond ETF (VRD)

SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)

SPDR Nuveen Barclays Capital Build America Bond ETF (BABS)

SPDR DB International Government Inflation-Protected Bond ETF (WIP)

SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays Capital International Treasury Bond ETF (BWX)

SPDR Barclays Capital International Corporate Bond ETF (IBND)

SPDR Barclays Capital Emerging Markets Local Bond ETF (EBND)

SPDR Barclays Capital High Yield Bond ETF (JNK)

SPDR Barclays Capital Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Capital Investment Grade Floating Rate ETF (FLRN)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR S&P Emerging Asia Pacific ETF (GMF)

SPDR S&P Small Cap Emerging Asia Pacific ETF (GMFS)

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF GML)

SPDR S&P Emerging Middle East & Africa ETF (GAF)

SPDR S&P World ex-US ETF (GWL)

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI EM 50 ETF (EMFT)

SPDR Russell/Nomura PRIME Japan ETF (JPP)

SPDR Russell/Nomura Small Cap Japan ETF (JSC)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

SPDR S&P Emerging Markets Small Cap ETF (EWX)

SPDR Dow Jones Global Real Estate ETF (RWO)

SPDR S&P International Consumer Discretionary Sector ETF (IPD)

SPDR S&P International Consumer Staples Sector ETF (IPS)

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

SPDR S&P International Health Care Sector ETF (IRY)

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

SSgA Active ETF Trust

SPDR SSgA Multi-Asset Real Return ETF (RLY)

SPDR SSgA Income Allocation ETF (INKM)

SPDR SSgA Global Allocation ETF (GAL)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts, and all investment portfolios of The Select Sector SPDR Trust.

Trustees

Cheryl Burgermeister

George R. Gaspari, Chairman

James E. Ross

Ernest J. Scalberg

R. Charles Tschampion

Officers

James E. Ross, President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew Flaherty, Assistant Treasurer

Laura Dell, Assistant Treasurer

Ryan M. Louvar, Secretary

Mark E. Tuttle, Assistant Secretary

Jacqueline Angell, Chief Compliance Officer

Investment Manager

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, Colorado 80203

Custodian, Administrator and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111

Legal Counsel

Clifford Chance US LLP

31 West 52nd Street

New York, New York 10166

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

125 High Street

Boston, Massachusetts 02110

The Select Sector SPDR Trust is distributed by ALPS Distributors, Inc.

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor. Please read the prospectus carefully before you invest.

Item 2. Code of Ethics

Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.

Item 3. Audit Committee Financial Expert

Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.

Item 4. Principal Accountant Fees and Services

Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.

Item 5. Audit Committee of Listed Registrants

Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.

Item 6. Schedule of Investments

A Schedule of Investments for each series of the Registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders

Not applicable to the Registrant.

Item 11. Controls and Procedures

(a) Within 90 days of the filing date of this Form N-CSR, James E. Ross, the Registrant’s President and Principal Executive Officer, and Chad C. Hallett, the Registrant’s Treasurer and Principal Financial Officer, reviewed the Registrant’s disclosure controls and procedures (the “Procedures”) and evaluated their effectiveness. Based on the review, Messrs. Ross and Hallett determined that the Procedures adequately ensure that information required to be disclosed by

the Registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission’s rules and regulations.

(b) In the Registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the Registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits

(a)(1) Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.

(2) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto.

(3) Not applicable

(b) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.


(Name and Address of Agent for Service)		Copy to:
Ryan M. Louvar, Esq. State Street Bank and Trust Company One Lincoln Street — CPH0326 Boston, MA 02111		Leonard Mackey, Esq. Clifford Chance US LLP 31 West 52^nd Street New York, New York 10019




			THE WALT	THE HOME DEPOT,
DESCRIPTION	MCDONALD’S CORP.	COMCAST CORP. (CLASS A)	DISNEY CO.	INC.	AMAZON.COM, INC.

MARKET VALUE	$232,115,587	187,982,100	182,288,887	180,171,530	171,259,669

% OF NET ASSETS	7.2	5.8	5.6	5.6	5.3




	THE PROCTER &		PHILIP MORRIS	WAL-MART
DESCRIPTION	GAMBLE CO.	THE COCA-COLA CO.	INTERNATIONAL, INC.	STORES, INC.	ALTRIA GROUP, INC.

MARKET VALUE	$740,175,396	669,699,320	610,012,063	427,321,962	257,504,050

% OF NET ASSETS	13.5	12.2	11.1	7.8	4.7




					OCCIDENTAL
DESCRIPTION	EXXON MOBIL CORP.	CHEVRON CORP.	SCHLUMBERGER, LTD.	CONOCOPHILLIPS	PETROLEUM CORP.

MARKET VALUE	$1,465,600,314	1,150,507,503	517,364,518	382,304,229	358,158,316

% OF NET ASSETS	18.8	14.8	6.6	4.9	4.6




			BERKSHIRE HATHAWAY,
DESCRIPTION	WELLS FARGO & CO.	JPMORGAN CHASE & CO.	INC. (CLASS B)	CITIGROUP, INC.	BANK OF AMERICA CORP.

MARKET VALUE	$693,913,628	676,475,416	549,936,995	412,591,495	395,890,085

% OF NET ASSETS	9.4	9.2	7.5	5.6	5.4


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.




				ABBOTT	UNITEDHEALTH
DESCRIPTION	JOHNSON & JOHNSON	PFIZER, INC.	MERCK & CO., INC.	LABORATORIES	GROUP, INC.

MARKET VALUE	$519,810,774	490,185,493	335,533,978	234,525,511	178,184,166

% OF NET ASSETS	12.5	11.7	8.0	5.6	4.3




	GENERAL ELECTRIC	UNITED PARCEL SERVICE,	UNITED TECHNOLOGIES	CATERPILLAR,
DESCRIPTION	CO.	INC. (CLASS B)	CORP.	INC.	3M CO.

MARKET VALUE	$331,068,518	165,876,048	165,133,706	154,869,321	133,772,804

% OF NET ASSETS	11.1	5.6	5.6	5.2	4.5




	E.I. DU PONT DE	MONSANTO	FREEPORT-MCMORAN	PRAXAIR,	NEWMONT MINING
DESCRIPTION	NEMOURS & CO.	CO.	COPPER & GOLD, INC.	INC.	CORP.

MARKET VALUE	$205,017,018	177,523,507	149,888,784	142,210,920	105,510,994

% OF NET ASSETS	11.2	9.7	8.2	7.8	5.8




		INTERNATIONAL BUSINESS			GOOGLE, INC.
DESCRIPTION	APPLE, INC.	MACHINES CORP.	MICROSOFT CORP.	AT&T, INC.	(CLASS A)

MARKET VALUE	$1,813,761,228	784,624,569	781,553,853	600,844,994	527,749,497

% OF NET ASSETS	18.7	8.1	8.1	6.2	5.4




			DOMINION	DUKE ENERGY	NEXTERA
DESCRIPTION	SOUTHERN CO.	EXELON CORP.	RESOURCES, INC.	CORP.	ENERGY, INC.

MARKET VALUE	$571,492,616	490,611,126	428,532,091	379,985,452	373,110,600

% OF NET ASSETS	9.0	7.8	6.8	6.0	5.9


THE SELECT SECTOR SPDR^® TRUST

By:		/s/ James E. Ross James E. Ross
		President and Principal Executive Officer


By:		/s/ James E. Ross James E. Ross
		President and Principal Executive Officer

Date: June 4, 2012

By:		/s/ Chad C. Hallett

		Chad C. Hallett
		Treasurer and Principal Financial Officer