N-30D 1 d431348dn30d.htm SPDR S&P 500 ETF TRUST <![CDATA[SPDR S&P 500 ETF TRUST]]>

 

SPDR S&P 500 ETF Trust

A Unit Investment Trust

Annual Report

September 30, 2012

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500®”, “500®”, “Standard & Poor’s Depositary Receipts®”, “SPDR®” and “SPDRs®” are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by S&P Dow Jones Indices LLC (“S&P”) and sublicensed for use by State Street Global Markets, LLC. SPDR S&P 500 ETF Trust is permitted to use these trademarks pursuant to a sublicense from State Street Global Markets, LLC. SPDR S&P 500 ETF Trust is not sponsored, endorsed, sold or promoted by S&P, its affiliates, or its third party licensors.

 

 

Precise in a world that isn’t.TM    LOGO

SPDR S&P 500 ETF Trust

Trust Overview

 

 

 

OBJECTIVE:

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

STRATEGY:

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

PERFORMANCE OVERVIEW:

The Trust ended its fiscal year on September 30, 2012 with a 12-month total return of 29.96% based on net asset value as compared to the Index return of 30.20%.

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

 

1

SPDR S&P 500 ETF Trust

Schedule of Investments

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

3M Co.

     5,841,514      $ 539,872,724   

Abbott Laboratories

     14,390,925        986,641,818   

Abercrombie & Fitch Co. (Class A)

     750,202        25,446,852   

Accenture PLC (Class A)

     5,833,456        408,516,924   

ACE, Ltd.

     3,109,291        235,062,400   

Adobe Systems, Inc.(a)

     4,503,476        146,182,831   

Advanced Micro Devices, Inc.(a)

     5,204,521        17,539,236   

Aetna, Inc.

     3,065,196        121,381,762   

AFLAC, Inc.

     4,293,820        205,588,102   

Agilent Technologies, Inc.

     3,195,082        122,850,903   

AGL Resources, Inc.

     1,058,421        43,300,003   

Air Products & Chemicals, Inc.

     1,941,255        160,541,789   

Airgas, Inc.

     628,190        51,700,037   

Akamai Technologies, Inc.(a)

     1,624,130        62,139,214   

Alcoa, Inc.

     9,670,997        85,588,323   

Alexion Pharmaceuticals, Inc.(a)

     1,770,179        202,508,478   

Allegheny Technologies, Inc.

     953,882        30,428,836   

Allergan, Inc.

     2,820,121        258,266,681   

Alpha Natural Resources, Inc.(a)

     1,991,206        13,082,223   

Altera Corp.

     2,916,700        99,124,050   

Altria Group, Inc.

     18,640,543        622,407,731   

Amazon.com, Inc.(a)

     3,316,033        843,333,513   

Ameren Corp.

     2,224,941        72,688,822   

American Electric Power Co., Inc.

     4,446,279        195,369,499   

American Express Co.

     9,063,866        515,371,421   

American International Group, Inc.(a)

     10,694,095        350,659,375   

American Tower Corp.

     3,623,457        258,678,595   

Ameriprise Financial, Inc.

     1,932,190        109,535,851   

AmerisourceBergen Corp.

     2,276,824        88,135,857   

Amgen, Inc.

     7,068,816        596,042,565   

Amphenol Corp. (Class A)

     1,468,506        86,465,633   

Anadarko Petroleum Corp.

     4,581,924        320,368,126   

Analog Devices, Inc.

     2,740,909        107,416,224   

Aon PLC

     2,962,900        154,930,041   

Apache Corp.

     3,587,403        310,202,737   

Apartment Investment & Management Co. (Class A)

     1,333,808        34,665,670   

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

     915,381        26,591,818   

Apple, Inc.

     8,595,329        5,735,319,229   

Applied Materials, Inc.

     11,350,395        126,727,160   

Archer-Daniels-Midland Co.

     6,039,172        164,144,695   

Assurant, Inc.

     735,726        27,442,580   

AT&T, Inc.

     52,915,205        1,994,903,228   

Autodesk, Inc.(a)

     2,059,590        68,728,518   

Automatic Data Processing, Inc.

     4,435,506        260,186,782   

AutoNation, Inc.(a)

     377,122        16,468,918   

Autozone, Inc.(a)

     341,563        126,265,594   

AvalonBay Communities, Inc.

     888,469        120,822,899   
Common Stocks   Shares     Value  

Avery Dennison Corp.

     949,058      $ 30,199,026   

Avon Products, Inc.

     3,961,728        63,189,562   

Baker Hughes, Inc.

     4,030,539        182,301,279   

Ball Corp.

     1,411,276        59,711,088   

Bank of America Corp.

     98,820,299        872,583,240   

Baxter International, Inc.

     5,018,558        302,418,305   

BB&T Corp.

     6,410,601        212,575,529   

Beam, Inc.

     1,452,292        83,564,882   

Becton, Dickinson & Co.

     1,838,210        144,409,778   

Bed Bath & Beyond, Inc.(a)

     2,108,989        132,866,307   

Bemis Co., Inc.

     931,217        29,305,399   

Berkshire Hathaway, Inc. (Class B)(a)

     16,803,224        1,482,044,357   

Best Buy Co., Inc.

     2,516,604        43,260,423   

Big Lots, Inc.(a)

     589,010        17,422,916   

Biogen Idec, Inc.(a)

     2,168,531        323,609,881   

BlackRock, Inc.

     1,173,527        209,239,864   

BMC Software, Inc.(a)

     1,347,671        55,914,870   

BorgWarner, Inc.(a)

     1,039,085        71,811,164   

Boston Properties, Inc.

     1,382,334        152,899,964   

Boston Scientific Corp.(a)

     12,979,338        74,501,400   

Bristol-Myers Squibb Co.

     15,397,670        519,671,362   

Broadcom Corp. (Class A)(a)

     4,712,800        162,968,624   

Brown-Forman Corp. (Class B)

     1,388,307        90,587,032   

C.H. Robinson Worldwide, Inc.

     1,475,026        86,362,772   

C.R. Bard, Inc.

     715,795        74,907,947   

CA, Inc.

     3,207,875        82,650,899   

Cablevision Systems Corp. (Class A)

     1,945,068        30,829,328   

Cabot Oil & Gas Corp.

     1,925,542        86,456,836   

Cameron International Corp.(a)

     2,258,332        126,624,675   

Campbell Soup Co.

     1,617,749        56,330,020   

Capital One Financial Corp.

     5,327,473        303,719,236   

Cardinal Health, Inc.

     3,136,152        122,215,843   

CareFusion Corp.(a)

     2,006,371        56,960,873   

CarMax, Inc.(a)

     2,093,961        59,259,096   

Carnival Corp.

     4,093,306        149,160,071   

Caterpillar, Inc.

     5,990,128        515,390,613   

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

     2,769,528        50,987,010   

CBS Corp. (Class B)

     5,466,857        198,610,915   

Celgene Corp.(a)

     3,987,366        304,634,762   

CenterPoint Energy, Inc.

     3,879,085        82,624,511   

CenturyLink, Inc.

     5,709,306        230,655,962   

Cerner Corp.(a)

     1,324,864        102,557,722   

CF Industries Holdings, Inc.

     575,314        127,857,783   

Chesapeake Energy Corp.

     4,782,519        90,246,134   

Chevron Corp.

     17,993,658        2,097,340,776   

Chipotle Mexican Grill, Inc.(a)

     287,546        91,307,357   

Chubb Corp.

     2,448,063        186,738,246   

CIGNA Corp.

     2,644,154        124,724,744   
 

 

See accompanying notes to financial statements.

 

2

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

Cincinnati Financial Corp.

     1,344,061      $ 50,926,471   

Cintas Corp.

     1,010,219        41,873,578   

Cisco Systems, Inc.

     48,494,323        925,756,626   

Citigroup, Inc.

     26,889,619        879,828,334   

Citrix Systems, Inc.(a)

     1,714,300        131,263,951   

Cliffs Natural Resources, Inc.

     1,294,228        50,643,142   

Clorox Co.

     1,183,127        85,244,300   

CME Group, Inc.

     2,809,326        160,974,380   

CMS Energy Corp.

     2,429,141        57,206,271   

Coach, Inc.

     2,607,613        146,078,480   

Coca-Cola Enterprises, Inc.

     2,542,092        79,491,217   

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

     2,753,671        192,536,676   

Colgate-Palmolive Co.

     4,092,189        438,764,505   

Comcast Corp. (Class A)

     24,539,536        877,779,203   

Comerica, Inc.

     1,783,183        55,367,832   

Computer Sciences Corp.

     1,393,270        44,877,227   

ConAgra Foods, Inc.

     3,732,029        102,966,680   

ConocoPhillips

     11,145,283        637,287,282   

CONSOL Energy, Inc.

     2,087,353        62,724,958   

Consolidated Edison, Inc.

     2,685,843        160,855,137   

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

     1,382,135        44,712,067   

Cooper Industries PLC

     1,465,866        110,027,902   

Corning, Inc.

     13,768,710        181,058,537   

Costco Wholesale Corp.

     3,964,375        396,933,047   

Coventry Health Care, Inc.

     1,214,201        50,620,040   

Covidien PLC

     4,402,570        261,600,709   

Crown Castle International Corp.(a)

     2,681,244        171,867,740   

CSX Corp.

     9,536,032        197,872,664   

Cummins, Inc.

     1,626,243        149,955,867   

CVS Caremark Corp.

     11,667,482        564,939,478   

D.R. Horton, Inc.

     2,509,585        51,797,834   

Danaher Corp.

     5,354,385        295,294,333   

Darden Restaurants, Inc.

     1,164,333        64,911,565   

DaVita, Inc.(a)

     782,272        81,051,202   

Dean Foods Co.(a)

     1,646,773        26,924,739   

Deere & Co.

     3,600,163        296,977,446   

Dell, Inc.

     13,481,552        132,928,103   

Denbury Resources, Inc.(a)

     3,536,598        57,151,424   

DENTSPLY International, Inc.

     1,266,291        48,296,339   

Devon Energy Corp.

     3,454,028        208,968,694   

Diamond Offshore Drilling, Inc.

     625,316        41,152,046   

DIRECTV(a)

     5,761,520        302,249,339   

Discover Financial Services

     4,721,336        187,578,679   

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

     2,266,195        135,133,208   

Dollar Tree, Inc.(a)

     2,103,781        101,560,028   

Dominion Resources, Inc.

     5,257,031        278,307,221   
Common Stocks   Shares     Value  

Dover Corp.

     1,664,697      $ 99,032,825   

Dr. Pepper Snapple Group, Inc.

     1,921,964        85,585,057   

DTE Energy Co.

     1,574,722        94,388,837   

Duke Energy Corp.

     6,456,335        418,370,508   

Dun & Bradstreet Corp.

     407,352        32,433,366   

E*TRADE Financial Corp.(a)

     2,267,732        19,978,719   

E. I. du Pont de Nemours & Co.

     8,532,308        428,919,123   

Eastman Chemical Co.

     1,383,621        78,880,233   

Eaton Corp.

     3,095,627        146,299,332   

eBay, Inc.(a)

     10,633,226        514,754,471   

Ecolab, Inc.

     2,418,693        156,755,493   

Edison International

     2,987,592        136,503,078   

Edwards Lifesciences Corp.(a)

     1,060,882        113,906,900   

Electronic Arts, Inc.(a)

     2,886,551        36,630,332   

Eli Lilly & Co.

     9,363,780        443,936,810   

EMC Corp.(a)

     19,244,632        524,801,115   

Emerson Electric Co.

     6,670,340        321,977,312   

Ensco PLC (Class A)

     2,127,790        116,092,222   

Entergy Corp.

     1,608,206        111,448,676   

EOG Resources, Inc.

     2,476,070        277,443,643   

EQT Corp.

     1,371,976        80,946,584   

Equifax, Inc.

     1,090,939        50,815,939   

Equity Residential

     2,760,116        158,789,473   

Exelon Corp.

     7,826,683        278,473,381   

Expedia, Inc.

     873,559        50,526,653   

Expeditors International of Washington, Inc.

     1,905,559        69,286,125   

Express Scripts Holding Co.(a)

     7,433,349        465,847,982   

Exxon Mobil Corp.

     42,331,566        3,871,221,711   

F5 Networks, Inc.(a)

     720,167        75,401,485   

Family Dollar Stores, Inc.

     892,461        59,170,164   

Fastenal Co.

     2,475,555        106,424,109   

Federated Investors, Inc. (Class B)

     835,317        17,282,709   

FedEx Corp.

     2,681,555        226,913,184   

Fidelity National Information Services, Inc.

     2,294,434        71,632,229   

Fifth Third Bancorp

     8,342,255        129,388,375   

First Horizon National Corp.

     2,291,130        22,063,582   

First Solar, Inc.(a)

     531,429        11,768,495   

FirstEnergy Corp.

     3,834,971        169,122,221   

Fiserv, Inc.(a)

     1,239,179        91,736,421   

FLIR Systems, Inc.

     1,398,055        27,926,149   

Flowserve Corp.

     463,554        59,214,388   

Fluor Corp.

     1,536,092        86,451,258   

FMC Corp.

     1,245,894        68,997,610   

FMC Technologies, Inc.(a)

     2,160,241        100,019,158   

Ford Motor Co.

     34,973,144        344,835,200   

Forest Laboratories, Inc.(a)

     2,149,348        76,538,282   

Fossil, Inc.(a)

     501,811        42,503,392   

Franklin Resources, Inc.

     1,285,119        160,729,833   
 

 

See accompanying notes to financial statements.

 

3

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

Freeport-McMoRan Copper & Gold, Inc.

     8,704,267      $ 344,514,888   

Frontier Communications Corp.

     8,952,121        43,865,393   

GameStop Corp. (Class A)

     1,182,864        24,840,144   

Gannett Co., Inc.

     2,148,088        38,128,562   

General Dynamics Corp.

     3,045,520        201,369,782   

General Electric Co.

     96,826,793        2,198,936,469   

General Mills, Inc.

     5,944,316        236,880,993   

Genuine Parts Co.

     1,415,443        86,384,486   

Genworth Financial, Inc. (Class A)(a)

     4,410,197        23,065,330   

Gilead Sciences, Inc.(a)

     6,937,647        460,174,126   

Google, Inc. (Class A)(a)

     2,427,195        1,831,318,627   

H&R Block, Inc.

     2,488,709        43,129,327   

H.J. Heinz Co.

     2,936,235        164,282,348   

Halliburton Co.

     8,506,274        286,576,371   

Harley-Davidson, Inc.

     2,102,097        89,065,850   

Harman International Industries, Inc.

     627,428        28,962,076   

Harris Corp.

     1,033,425        52,932,029   

Hartford Financial Services Group, Inc.

     3,996,759        77,696,995   

Hasbro, Inc.

     1,050,479        40,096,783   

HCP, Inc.

     3,936,814        175,109,487   

Health Care REIT, Inc.

     2,331,302        134,632,691   

Helmerich & Payne, Inc.

     961,706        45,786,823   

Hess Corp.

     2,747,851        147,614,556   

Hewlett-Packard Co.

     18,030,949        307,607,990   

Honeywell International, Inc.

     7,157,273        427,647,062   

Hormel Foods Corp.

     1,246,179        36,438,274   

Hospira, Inc.(a)

     1,484,728        48,728,773   

Host Hotels & Resorts, Inc.

     6,625,051        106,332,069   

Hudson City Bancorp, Inc.

     4,358,335        34,692,347   

Humana, Inc.

     1,481,369        103,918,035   

Huntington Bancshares, Inc.

     7,773,611        53,637,916   

Illinois Tool Works, Inc.

     3,962,392        235,643,452   

Ingersoll-Rand PLC

     2,688,262        120,487,903   

Integrys Energy Group, Inc.

     696,678        36,366,592   

Intel Corp.

     45,880,402        1,040,567,517   

IntercontinentalExchange, Inc.(a)

     660,476        88,114,103   

International Business Machines Corp.

     9,862,947        2,046,068,355   

International Flavors & Fragrances, Inc.

     729,319        43,452,826   

International Game Technology

     2,421,625        31,699,071   

International Paper Co.

     4,010,011        145,643,600   

Intuit, Inc.

     2,534,115        149,208,691   

Intuitive Surgical, Inc.(a)

     366,140        181,469,968   

Invesco, Ltd.

     4,059,288        101,441,607   

Iron Mountain, Inc.

     1,388,118        47,348,705   
Common Stocks   Shares     Value  

J.C. Penney Co., Inc.

     1,290,186      $ 31,338,618   

Jabil Circuit, Inc.

     1,713,563        32,077,899   

Jacobs Engineering Group, Inc.(a)

     1,189,865        48,106,242   

JDS Uniphase Corp.(a)

     2,045,092        25,328,464   

Johnson & Johnson

     25,279,291        1,741,995,943   

Johnson Controls, Inc.

     6,270,463        171,810,686   

Joy Global, Inc.

     958,852        53,753,243   

JPMorgan Chase & Co.

     34,834,535        1,410,101,977   

Juniper Networks, Inc.(a)

     4,765,887        81,544,327   

Kellogg Co.

     2,263,357        116,925,023   

KeyCorp

     8,561,409        74,826,715   

Kimberly-Clark Corp.

     3,620,555        310,571,208   

Kimco Realty Corp.

     3,731,465        75,636,796   

Kinder Morgan, Inc.

     5,230,464        185,786,081   

KLA-Tencor Corp.

     1,504,194        71,757,575   

Kohl’s Corp.

     1,982,255        101,531,101   

Kraft Foods, Inc. (Class A)

     16,272,625        672,873,044   

L-3 Communications Holdings, Inc.

     884,961        63,460,553   

Laboratory Corp. of America Holdings(a)

     879,857        81,360,377   

Lam Research Corp.(a)

     1,652,988        52,540,224   

Legg Mason, Inc.

     1,121,105        27,668,871   

Leggett & Platt, Inc.

     1,280,789        32,083,764   

Lennar Corp. (Class A)

     1,492,981        51,910,949   

Leucadia National Corp.

     1,775,269        40,387,370   

Life Technologies Corp.(a)

     1,620,948        79,231,938   

Limited Brands, Inc.

     2,193,160        108,035,062   

Lincoln National Corp.

     2,591,218        62,681,563   

Linear Technology Corp.

     2,089,976        66,565,736   

Lockheed Martin Corp.

     2,468,552        230,513,386   

Loews Corp.

     2,864,786        118,201,070   

Lorillard, Inc.

     1,197,704        139,472,631   

Lowe’s Cos., Inc.

     10,464,361        316,442,277   

LSI Corp.(a)

     5,155,411        35,623,890   

LyondellBasell Industries NV (Class A)

     3,106,743        160,494,343   

M & T Bank Corp.

     1,104,593        105,113,070   

Macy’s, Inc.

     3,739,814        140,691,803   

Marathon Oil Corp.

     6,464,646        191,159,582   

Marathon Petroleum Corp.

     3,094,270        168,916,199   

Marriott International, Inc. (Class A)

     2,310,722        90,349,230   

Marsh & McLennan Cos., Inc.

     4,990,343        169,322,338   

Masco Corp.

     3,226,083        48,552,549   

MasterCard, Inc. (Class A)

     984,105        444,303,725   

Mattel, Inc.

     3,126,523        110,929,036   

McCormick & Co., Inc.

     1,196,005        74,200,150   

McDonald’s Corp.

     9,248,695        848,567,766   

McKesson Corp.

     2,164,113        186,178,641   
 

 

See accompanying notes to financial statements.

 

4

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

Mead Johnson Nutrition Co.

     1,868,346      $ 136,912,395   

MeadWestvaco Corp.

     1,591,723        48,706,724   

Medtronic, Inc.

     9,356,595        403,456,376   

Merck & Co., Inc.

     27,926,734        1,259,495,703   

MetLife, Inc.

     9,740,516        335,658,181   

MetroPCS Communications, Inc.(a)

     2,895,609        33,907,581   

Microchip Technology, Inc.

     1,757,583        57,543,267   

Micron Technology, Inc.(a)

     9,325,896        55,815,488   

Microsoft Corp.

     69,173,970        2,060,000,827   

Molex, Inc.

     1,233,122        32,406,446   

Molson Coors Brewing Co. (Class B)

     1,426,864        64,280,223   

Monsanto Co.

     4,886,971        444,812,100   

Monster Beverage Corp.(a)

     1,407,560        76,233,450   

Moody’s Corp.

     1,770,616        78,208,109   

Morgan Stanley

     12,703,252        212,652,438   

Motorola Solutions, Inc.

     2,652,419        134,079,780   

Murphy Oil Corp.

     1,741,954        93,525,510   

Mylan, Inc.(a)

     3,680,887        89,813,643   

Nabors Industries, Ltd.(a)

     2,590,415        36,343,522   

National-Oilwell Varco, Inc.

     3,910,008        313,230,741   

NetApp, Inc.(a)

     3,293,353        108,285,447   

Netflix, Inc.(a)

     500,313        27,237,040   

Newell Rubbermaid, Inc.

     2,612,461        49,871,880   

Newfield Exploration Co.(a)

     1,237,590        38,761,319   

Newmont Mining Corp.

     4,549,355        254,809,374   

News Corp. (Class A)

     18,680,105        458,222,976   

NextEra Energy, Inc.

     3,875,541        272,566,799   

NIKE, Inc. (Class B)

     3,370,822        319,924,716   

NiSource, Inc.

     2,579,244        65,719,137   

Noble Corp.(a)

     2,316,168        82,872,491   

Noble Energy, Inc.

     1,630,557        151,168,939   

Nordstrom, Inc.

     1,446,882        79,838,949   

Norfolk Southern Corp.

     2,955,806        188,077,936   

Northeast Utilities

     2,877,356        110,001,320   

Northern Trust Corp.

     2,010,519        93,318,239   

Northrop Grumman Corp.

     2,276,950        151,257,789   

NRG Energy, Inc.

     2,081,190        44,516,654   

Nucor Corp.

     2,910,848        111,369,044   

NVIDIA Corp.(a)

     5,680,140        75,773,068   

NYSE Euronext(b)

     2,305,912        56,840,731   

O’Reilly Automotive, Inc.(a)

     1,079,001        90,226,064   

Occidental Petroleum Corp.

     7,427,050        639,171,923   

Omnicom Group, Inc.

     2,471,812        127,446,627   

Oneok, Inc.

     1,867,340        90,211,195   

Oracle Corp.

     34,932,798        1,100,033,809   

Owens-Illinois, Inc.(a)

     1,474,734        27,666,010   

PACCAR, Inc.

     3,229,348        129,254,654   

Pall Corp.

     1,046,192        66,422,730   
Common Stocks   Shares     Value  

Parker-Hannifin Corp.

     1,365,505      $ 114,128,908   

Patterson Cos., Inc.

     792,192        27,124,654   

Paychex, Inc.

     2,960,351        98,550,085   

Peabody Energy Corp.

     2,468,706        55,027,457   

Pentair, Inc.(a)

     922,200        41,047,122   

People’s United Financial, Inc.

     3,262,228        39,603,448   

Pepco Holdings, Inc.

     2,040,477        38,565,015   

PepsiCo, Inc.

     14,271,799        1,010,015,215   

PerkinElmer, Inc.

     1,021,756        30,111,149   

Perrigo Co.

     807,009        93,750,236   

Pfizer, Inc.

     68,495,163        1,702,104,801   

PG&E Corp.

     3,909,832        166,832,531   

Philip Morris International, Inc.

     15,460,752        1,390,540,035   

Phillips 66

     5,748,340        266,550,526   

Pinnacle West Capital Corp.

     978,661        51,673,301   

Pioneer Natural Resources Co.

     1,128,317        117,796,295   

Pitney Bowes, Inc.

     1,825,817        25,232,791   

Plum Creek Timber Co., Inc.

     1,454,959        63,785,403   

PNC Financial Services Group, Inc.

     4,854,477        306,317,499   

PPG Industries, Inc.

     1,399,984        160,774,163   

PPL Corp.

     5,325,389        154,702,550   

Praxair, Inc.

     2,734,355        284,044,797   

Precision Castparts Corp.

     1,332,709        217,684,688   

priceline.com, Inc.(a)

     456,802        282,637,101   

Principal Financial Group, Inc.

     2,547,631        68,633,179   

ProLogis, Inc.

     4,224,153        147,972,080   

Prudential Financial, Inc.

     4,253,503        231,858,449   

Public Service Enterprise Group, Inc.

     4,639,282        149,292,095   

Public Storage, Inc.

     1,321,435        183,904,109   

Pulte Group, Inc.(a)

     3,036,486        47,065,533   

QEP Resources, Inc.

     1,593,828        50,460,594   

QUALCOMM, Inc.

     15,620,995        976,155,978   

Quanta Services, Inc.(a)

     1,911,473        47,213,383   

Quest Diagnostics, Inc.

     1,455,870        92,345,834   

R.R. Donnelley & Sons Co.

     1,671,714        17,720,168   

Ralph Lauren Corp.

     560,193        84,717,987   

Range Resources Corp.

     1,472,689        102,896,780   

Raytheon Co.

     3,024,017        172,852,812   

Red Hat, Inc.(a)

     1,769,809        100,772,924   

Regions Financial Corp.

     12,797,378        92,269,095   

Republic Services, Inc.

     2,746,472        75,555,445   

Reynolds American, Inc.

     3,010,261        130,464,712   

Robert Half International, Inc.

     1,294,071        34,461,111   

Rockwell Automation, Inc.

     1,289,223        89,665,460   

Rockwell Collins, Inc.

     1,316,916        70,639,374   

Roper Industries, Inc.

     896,888        98,559,022   

Ross Stores, Inc.

     2,048,208        132,314,237   

Rowan Companies PLC (Class A)(a)

     1,125,889        38,021,272   
 

 

See accompanying notes to financial statements.

 

5

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

Ryder System, Inc.

     460,982      $ 18,005,957   

Safeway, Inc.

     2,177,258        35,032,081   

SAIC, Inc.

     2,506,860        30,182,594   

Salesforce.com, Inc.(a)

     1,174,169        179,283,865   

SanDisk Corp.(a)

     2,200,556        95,570,147   

SCANA Corp.

     1,201,374        57,990,323   

Schlumberger, Ltd.

     12,169,868        880,246,552   

Scripps Networks Interactive (Class A)

     792,406        48,519,019   

Seagate Technology PLC

     3,206,527        99,402,337   

Sealed Air Corp.

     1,736,948        26,853,216   

Sempra Energy

     2,063,615        133,082,531   

Sherwin-Williams Co.

     777,010        115,704,559   

Sigma-Aldrich Corp.

     1,096,726        78,931,370   

Simon Property Group, Inc.

     2,781,658        422,283,501   

SLM Corp.

     4,420,017        69,482,667   

Snap-on, Inc.

     523,986        37,658,874   

Southern Co.

     8,020,558        369,667,518   

Southwest Airlines Co.

     6,970,113        61,127,891   

Southwestern Energy Co.(a)

     3,167,639        110,170,484   

Spectra Energy Corp.

     5,986,563        175,765,490   

Sprint Nextel Corp.(a)

     27,512,293        151,867,857   

St. Jude Medical, Inc.

     2,850,482        120,090,807   

Stanley Black & Decker, Inc.

     1,539,336        117,374,370   

Staples, Inc.

     6,258,252        72,095,063   

Starbucks Corp.

     6,968,631        353,658,023   

Starwood Hotels & Resorts Worldwide, Inc.

     1,781,489        103,255,102   

State Street Corp.(c)

     4,420,941        185,502,684   

Stericycle, Inc.(a)

     774,302        70,089,817   

Stryker Corp.

     2,657,107        147,894,576   

Sunoco, Inc.

     959,532        44,934,884   

SunTrust Banks, Inc.

     4,937,742        139,589,966   

Symantec Corp.(a)

     6,545,266        117,814,788   

Sysco Corp.

     5,378,759        168,193,794   

T. Rowe Price Group, Inc.

     2,315,953        146,599,825   

Target Corp.

     5,986,137        379,940,115   

TE Connectivity, Ltd.

     3,922,819        133,415,074   

TECO Energy, Inc.

     1,933,072        34,292,697   

Tenet Healthcare Corp.(a)

     3,715,518        23,296,298   

Teradata Corp.(a)

     1,531,623        115,499,690   

Teradyne, Inc.(a)

     1,672,564        23,783,860   

Tesoro Corp.

     1,271,868        53,291,269   

Texas Instruments, Inc.

     10,433,882        287,453,449   

Textron, Inc.

     2,544,744        66,595,950   

The AES Corp.(a)

     5,838,202        64,045,076   

The Allstate Corp.

     4,461,279        176,711,261   

The Bank of New York Mellon Corp.

     10,797,685        244,243,635   

The Boeing Co.

     6,216,145        432,768,015   

The Charles Schwab Corp.

     10,045,187        128,477,942   
Common Stocks   Shares     Value  

The Coca-Cola Co.

     35,510,532      $ 1,346,914,479   

The Dow Chemical Co.

     10,985,991        318,154,299   

The Estee Lauder Cos., Inc. (Class A)

     2,198,790        135,379,500   

The Gap, Inc.

     2,739,783        98,029,436   

The Goldman Sachs Group, Inc.

     4,138,980        470,519,246   

The Goodyear Tire & Rubber Co.(a)

     2,189,756        26,693,126   

The Hershey Co.

     1,381,293        97,919,861   

The Home Depot, Inc.

     13,855,904        836,480,924   

The Interpublic Group of Cos., Inc.

     4,040,305        44,928,192   

The JM Smucker Co.

     1,025,376        88,520,710   

The Kroger Co.

     5,086,954        119,746,897   

The McGraw-Hill Cos., Inc.

     2,569,269        140,256,395   

The Mosaic Co.

     2,539,378        146,293,567   

The NASDAQ OMX Group, Inc.

     1,110,575        25,870,845   

The Procter & Gamble Co.

     25,253,126        1,751,556,819   

The Progressive Corp.

     5,146,818        106,745,005   

The Travelers Cos., Inc.

     3,522,312        240,433,017   

The Walt Disney Co.

     16,451,724        860,096,131   

The Washington Post Co. (Class B)

     44,014        15,978,402   

The Western Union Co.

     5,565,120        101,396,486   

The Williams Cos., Inc.

     5,744,321        200,878,905   

Thermo Fisher Scientific, Inc.

     3,334,377        196,161,399   

Tiffany & Co.

     1,092,911        67,629,333   

Time Warner Cable, Inc.

     2,833,503        269,352,795   

Time Warner, Inc.

     8,689,386        393,889,867   

Titanium Metals Corp.

     749,037        9,610,145   

TJX Cos., Inc.

     6,750,555        302,357,358   

Torchmark Corp.

     893,527        45,882,611   

Total System Services, Inc.

     1,460,947        34,624,444   

TripAdvisor, Inc.(a)

     1,003,633        33,049,635   

Tyco International, Ltd.

     4,217,289        237,264,679   

Tyson Foods, Inc. (Class A)

     2,643,001        42,340,876   

U.S. Bancorp

     17,378,992        596,099,426   

Union Pacific Corp.

     4,343,364        515,557,307   

United Parcel Service, Inc. (Class B)

     6,591,084        471,723,882   

United States Steel Corp.

     1,293,839        24,673,510   

United Technologies Corp.

     7,703,835        603,133,242   

UnitedHealth Group, Inc.

     9,470,222        524,745,001   

Unum Group

     2,595,951        49,894,178   

Urban Outfitters, Inc.(a)

     1,001,451        37,614,500   

V.F. Corp.

     805,985        128,441,770   

Valero Energy Corp.

     5,020,353        159,044,783   

Varian Medical Systems, Inc.(a)

     1,017,145        61,354,186   

Ventas, Inc.

     2,707,309        168,529,985   

VeriSign, Inc.(a)

     1,440,085        70,117,739   

Verizon Communications, Inc.

     26,121,831        1,190,371,839   

Viacom, Inc. (Class B)

     4,350,034        233,118,322   
 

 

See accompanying notes to financial statements.

 

6

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

Common Stocks   Shares     Value  

Visa, Inc. (Class A)

     4,788,707      $ 643,027,576   

Vornado Realty Trust

     1,553,049        125,874,621   

Vulcan Materials Co.

     1,186,363        56,114,970   

W.W. Grainger, Inc.

     554,301        115,499,699   

Wal-Mart Stores, Inc.

     15,418,913        1,137,915,779   

Walgreen Co.

     7,859,239        286,390,669   

Waste Management, Inc.

     4,000,254        128,328,148   

Waters Corp.(a)

     810,647        67,551,215   

Watson Pharmaceuticals, Inc.(a)

     1,170,335        99,665,729   

WellPoint, Inc.

     2,994,363        173,702,998   

Wells Fargo & Co.

     45,110,778        1,557,675,164   

Western Digital Corp.

     2,099,105        81,298,337   

Weyerhaeuser Co.

     4,931,280        128,903,659   

Whirlpool Corp.

     711,069        58,954,731   

Whole Foods Market, Inc.

     1,573,440        153,253,056   

Windstream Corp.

     5,323,590        53,821,495   

Wisconsin Energy Corp.

     2,089,818        78,723,444   

WPX Energy, Inc.(a)

     1,770,629        29,374,735   

Wyndham Worldwide Corp.

     1,322,459        69,402,648   

Wynn Resorts, Ltd.

     722,352        83,388,315   
Common Stocks   Shares     Value  

Xcel Energy, Inc.

     4,470,595      $ 123,880,187   

Xerox Corp.

     12,232,066        89,783,365   

Xilinx, Inc.

     2,385,490        79,699,221   

XL Group PLC

     2,830,430        68,015,233   

Xylem, Inc.

     1,667,460        41,936,619   

Yahoo!, Inc.(a)

     9,588,095        153,169,818   

Yum! Brands, Inc.

     4,169,406        276,598,394   

Zimmer Holdings, Inc.

     1,599,432        108,153,592   

Zions Bancorporation

     1,659,088        34,268,463   
   

 

 

  

Total Common Stocks(d)
(Cost $120,692,603,717)

     $ 118,116,973,886   
   

 

 

  

 

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

REIT = Real Estate Investment Trust

 

Investments in Affiliates of the Trustee and the Sponsor

SPDR S&P 500 ETF Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and the Sponsor (NYSE Euronext). Amounts related to these investments at September 30, 2012, and for the year then ended are (Note 3):

 

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

State Street Corp.

     3,942,241      $ 183,476,808      $ 126,782,471      $ 283,069,965        6,766,009      $ 258,571,619        6,287,309        4,420,941      $ 185,502,684      $ 3,785,256      $ 801,455   

NYSE Euronext

     2,043,815        71,544,918        47,498,261        95,171,941        3,550,580        87,118,153        3,288,483        2,305,912        56,840,731        2,521,378        (1,219,842 ) 

 

See accompanying notes to financial statements.

 

7

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2012

 

 

 

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*

 

INDUSTRY   PERCENT OF
NET ASSETS**		  

Oil, Gas & Consumable Fuels

             9.39 % 

Pharmaceuticals

     6.20   

Computers & Peripherals

     6.00   

IT Services

     3.88   

Insurance

     3.78   

Software

     3.58   

Media

     3.53   

Diversified Financial Services

     3.06   

Diversified Telecommunication Services

     2.97   

Commercial Banks

     2.86   

Industrial Conglomerates

     2.77   

Beverages

     2.44   

Food & Staples Retailing

     2.42   

Chemicals

     2.39   

Aerospace & Defense

     2.23   

Internet Software & Services

     2.23   

Household Products

     2.19   

Specialty Retail

     2.11   

Real Estate Investment Trusts (REITs)

     2.08   

Semiconductors & Semiconductor Equipment

     2.01   

Electric Utilities

     1.95   

Tobacco

     1.93   

Communications Equipment

     1.92   

Health Care Providers & Services

     1.92   

Energy Equipment & Services

     1.90   

Machinery

     1.88   

Hotels, Restaurants & Leisure

     1.83   

Capital Markets

     1.80   

Health Care Equipment & Supplies

     1.78   

Food Products

     1.71   

Biotechnology

     1.60   

Multi-Utilities

     1.35   

Internet & Catalog Retail

     1.05   

Consumer Finance

     0.91   

Road & Rail

     0.78   

Metals & Mining

     0.77   

Multiline Retail

     0.77   

Air Freight & Logistics

     0.72   

Textiles, Apparel & Luxury Goods

     0.61   

Electrical Equipment

     0.52   

Life Sciences Tools & Services

     0.42   

Electronic Equipment, Instruments & Components

     0.42   

Commercial Services & Supplies

     0.37   

Automobiles

     0.37   

Wireless Telecommunication Services

     0.30   

Household Durables

     0.27   

Auto Components

     0.23   
INDUSTRY   PERCENT OF
NET ASSETS**		  

Trading Companies & Distributors

             0.19 % 

Personal Products

     0.17   

Paper & Forest Products

     0.16   

Construction & Engineering

     0.15   

Leisure Equipment & Products

     0.13   

Containers & Packaging

     0.12   

Gas Utilities

     0.11   

Professional Services

     0.10   

Independent Power Producers & Energy Traders

     0.09   

Health Care Technology

     0.09   

Office Electronics

     0.08   

Distributors

     0.07   

Thrifts & Mortgage Finance

     0.06   

Diversified Consumer Services

     0.06   

Airlines

     0.05   

Construction Materials

     0.05   

Real Estate Management & Development

     0.04   

Building Products

     0.04   

Other Assets & Liabilities

     0.04   

 

  

Total

     100.00 % 

 

  

 

  

 

* SPDR S&P 500 ETF Trust’s industry breakdown is expressed as a percent of total net assets and may change over time.

 

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

 

See accompanying notes to financial statements.

 

8

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

September 30, 2012

 

ASSETS

  

Investments in unaffiliated issuers, at value

    $ 117,874,630,471   

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

      242,343,415   
  

 

 

  

Total investments

      118,116,973,886   

Cash

      562,995,481   

Receivable for investments sold

      47,192,662   

Dividends receivable — unaffiliated issuers

      141,557,038   

Dividends receivable — affiliated issuers

      1,078,457   
  

 

 

  

Total Assets

      118,869,797,524   
  

 

 

  

LIABILITIES

   

Payable for investments purchased

      54,855,068   

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

      249,568   

Income distribution payable

      622,376,885   

Accrued Trustee expense

      2,681,891   

Accrued expenses and other liabilities

      25,015,036   
  

 

 

  

Total Liabilities

      705,178,448   
  

 

 

  

NET ASSETS

    $ 118,164,619,076   
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid in Capital (Note 4)

    $ 128,375,117,286   

Distribution in excess of net investment income

      (615,214,265 ) 

Accumulated net realized loss on investments

      (7,019,654,114 ) 

Net unrealized depreciation on investments

      (2,575,629,831 ) 
  

 

 

  

NET ASSETS

    $ 118,164,619,076   
  

 

 

  

NET ASSET VALUE PER UNIT

    $ 144.00   
  

 

 

  

UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE

      820,582,116   
  

 

 

  

COST OF INVESTMENTS:

   

Unaffiliated issuers

    $ 120,405,448,243   

Affiliates of the Trustee and the Sponsor

      287,155,474   
  

 

 

  

Total Cost of Investments

    $ 120,692,603,717   
  

 

 

  

 

See accompanying notes to financial statements.

 

9

SPDR S&P 500 ETF Trust

Statements of Operations

 

     For the Year Ended
September 30, 2012		     For the Year Ended
September 30, 2011		     For the Year Ended
September 30, 2010		  

INVESTMENT INCOME

  

    

Dividend income — unaffiliated issuers

    $ 2,135,559,412      $ 1,783,414,525      $ 1,516,348,569   

Dividend income — affiliates of the Trustee and the Sponsor

      6,306,634        4,579,162        155,923   
  

 

 

    

 

 

    

 

 

  

Total Investment Income

      2,141,866,046        1,787,993,687        1,516,504,492   

EXPENSES

       

Trustee expense

      55,224,103        49,583,282        40,693,484   

S&P license fee

      30,163,235        27,574,288        21,931,368   

Marketing expense

      19,708,823        17,790,322        14,620,912   

Legal and audit services

      895,131        262,513        422,917   

Other expenses

      2,692,302        1,438,294        1,543,741   
  

 

 

    

 

 

    

 

 

  

Total Expenses

      108,683,594        96,648,699        79,212,422   

Trustee expense waiver

      (15,559,404 )      (12,589,426 )      (10,128,612 ) 
  

 

 

    

 

 

    

 

 

  

Net Expenses

      93,124,190        84,059,273        69,083,810   
  

 

 

    

 

 

    

 

 

  

NET INVESTMENT INCOME

      2,048,741,856        1,703,934,414        1,447,420,682   
  

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

       

Net realized gain (loss) on:

       

Investment transactions — unaffiliated issuers

      8,742,019,176        12,378,051,573        16,730,164,234   

Investment transactions — affiliates of the Trustee and the Sponsor

      (418,387 )      14,104,238        8,836,491   

Net change in unrealized appreciation (depreciation) on:

       

Investment transactions — unaffiliated issuers

      13,032,032,478        (13,392,528,820 )      (11,825,602,638 ) 

Investment transactions — affiliates of the Trustee and the Sponsor

      35,928,935        (49,684,986 )      (66,024,806 ) 
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

      21,809,562,202        (1,050,057,995 )      4,847,373,281   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 23,858,304,058      $ 653,876,419      $ 6,294,793,963   
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

10

SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets

 

     For the Year Ended
September 30, 2012		     For the Year Ended
September 30, 2011		     For the Year Ended
September 30, 2010		  

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

       

Net investment income

    $ 2,048,741,856      $ 1,703,934,414      $ 1,447,420,682   

Net realized gain (loss) on investment transactions

      8,741,600,789        12,392,155,811        16,739,000,725   

Net change in unrealized appreciation (depreciation)

      13,067,961,413        (13,442,213,806 )      (11,891,627,444 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      23,858,304,058        653,876,419        6,294,793,963   
  

 

 

    

 

 

    

 

 

  

NET EQUALIZATION CREDITS AND CHARGES

      115,422,459        136,345,475        102,137,436   
  

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME

      (2,209,395,148 )      (1,859,515,384 )      (1,549,861,683 ) 
  

 

 

    

 

 

    

 

 

  

INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:

       

Proceeds from sale of Units

      412,781,633,972        442,329,234,719        400,829,082,743   

Proceeds from reinvestment of distributions

      —        —        2,216,596   

Cost of Units repurchased

      (397,131,183,744 )      (438,449,217,218 )      (399,041,216,070 ) 

Net income equalization (Note 2)

      (115,422,459 )      (136,345,475 )      (102,137,436 ) 
  

 

 

    

 

 

    

 

 

  

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

      15,535,027,769        3,743,672,026        1,687,945,833   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

      37,299,359,138        2,674,378,536        6,535,015,549   

NET ASSETS AT BEGINNING OF PERIOD

      80,865,259,938        78,190,881,402        71,655,865,853   
  

 

 

    

 

 

    

 

 

  

NET ASSETS AT END OF PERIOD*

    $ 118,164,619,076      $ 80,865,259,938      $ 78,190,881,402   
  

 

 

    

 

 

    

 

 

  

UNIT TRANSACTIONS:

       

Units sold

      3,116,800,000        3,550,100,000        3,614,350,000   

Units issued from reinvestment of distributions

      —        —        21,395   

Units redeemed

      (3,011,050,000 )      (3,520,350,000 )      (3,607,000,000 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE)

      105,750,000        29,750,000        7,371,395   
  

 

 

    

 

 

    

 

 

  

*Includes undistributed (distribution in excess of) net investment income

    $ (615,214,265 )    $ (478,294,653 )    $ (426,704,977 ) 
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

11

SPDR S&P 500 ETF Trust

Financial Highlights

Selected data for a Unit outstanding throughout each period

 

    For the Year
Ended
September 30,
2012		     For the Year
Ended
September 30,
2011		     For the Year
Ended
September 30,
2010		     For the Year
Ended
September 30,
2009		     For the Year
Ended
September 30,
2008		  

Net asset value, beginning of year

   $ 113.12      $ 114.13      $ 105.73      $ 116.52      $ 152.48   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investment operations:

          

Net investment income(1)

     2.77        2.42        2.20        2.32        2.72   

Net realized and unrealized gain (loss) on investments

     30.80        (1.16 )      8.24        (10.90 )      (36.28 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     33.57        1.26        10.44        (8.58 )      (33.56 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net equalization credits and charges(1)

     0.16        0.19        0.16        0.10        0.38   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

          

Net investment income

     (2.85 )      (2.46 )      (2.20 )      (2.31 )      (2.78 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 144.00      $ 113.12      $ 114.13      $ 105.73      $ 116.52   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(2)

     29.96 %      1.01 %      10.08 %      (6.90 )%      (21.84 )% 

Ratios and supplemental data

          

Ratio to average net assets:

          

Net investment income

     2.08 %      1.92 %      1.98 %      2.58 %      1.99 % 

Total expenses(3)

     0.09 %      0.09 %      0.09 %      0.09 %      0.09 % 

Total expenses excluding Trustee earnings credit

     0.11 %      0.11 %      0.11 %      0.10 %      0.11 % 

Total expenses excluding Trustee earnings credit and fee waivers

     0.11 %      0.11 %      0.11 %      0.10 %      0.11 % 

Portfolio turnover rate(4)

     3.80 %      3.72 %      5.38 %      6.68 %      4.56 % 

Net assets, end of year (000’s)

   $ 118,164,619      $ 80,865,260      $ 78,190,881      $ 71,655,866      $ 92,963,266   

 

 

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

 

(2) Total return is calculated assuming a purchase of a Unit at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Broker commission charges are not included in this calculation.

 

(3) Net of expenses waived by the Trustee.

 

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

 

See accompanying notes to financial statements.

 

12

SPDR S&P 500 ETF Trust

Notes to Financial Statements

September 30, 2012

 

 

 

Note 1 — Organization

 

SPDR S&P 500 ETF Trust (the “Trust”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the Trust is referred to as a “Unit”. The Trust commenced operations on January 22, 1993 upon the initial issuance of 150,000 Units (equivalent to three “Creation Units” — see Note 4) in exchange for a portfolio of securities assembled to reflect the intended portfolio composition of the Trust.

Under the Amended and Restated Standard Terms and Conditions of the Trust, as amended (the “Trust Agreement”), PDR Services, LLC, as sponsor of the Trust (the “Sponsor”), and State Street Bank and Trust Company, as trustee of the Trust (the “Trustee”), are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of material loss to be remote.

Note 2 — Significant Accounting Policies

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

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

Security Valuation

The value of the Trust’s portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Trustee believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Trustee has established a Pricing and Investment Committee (the “Committee”) for the purpose of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Committee, subject to oversight by the Trustee, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, the Trust’s net asset value (“NAV”) may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Trust continues to follow the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial

 

13

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2012

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

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

 

•  

Level 1 — quoted prices in active markets for identical investments

 

•  

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

 

•  

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

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (i.e., 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 (i.e., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Trust’s net assets are computed and that may materially affect the value of the Trust’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate the Trust’s NAV and the prices used by the S&P 500 Index, which, in turn, could result in a difference between the Trust’s performance and the performance of the S&P 500 Index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The types of inputs used to value each security are identified in the Schedule of Investments, which also includes a breakdown of the Trust’s investments by industry.

The Trust did not hold any investments valued using Level 2 or Level 3 inputs as of September 30, 2012 and did not have any transfers between levels for the year ended September 30, 2012.

Subsequent Events

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

Investment Risk

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

An investment in the Trust involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and

 

14

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2012

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

perceived trends in stock prices. The value of a Unit will decline, more or less, in correlation with any decline in value of the S&P 500 Index. The values of equity securities could decline generally or could underperform other investments. The Trust would not sell an equity security because the security’s issuer was in financial trouble unless that security were removed from the S&P 500 Index.

Investment Transactions

Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date.

Distributions to Unitholders

The Trust declares and distributes dividends from net investment income to its holders of Units (“Unitholders”) quarterly. The Trust declares and distributes net realized capital gains, if any, at least annually.

Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional Units may be purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment service offered by such broker-dealer.

Equalization

The Trust follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring the Trust’s Units, equivalent on a per Unit basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per Unit is unaffected by sales or reacquisitions of the Trust’s Units.

U.S. Federal Income Tax and Certain Other Tax Matters

For U.S. federal income tax purposes, the Trust has qualified as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (a “RIC”) and intends to continue to qualify as a RIC. As a RIC, the Trust will generally not be subject to U.S. federal income tax for any taxable year on income, including net capital gains, that it distributes to its Unitholders, provided that it distributes on a timely basis at least 90% of its “investment company taxable income” (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided that the Trust distributes during each calendar year substantially all of its ordinary income and capital gains, the Trust will not be subject to U.S. federal excise tax.

The Trust has reviewed the tax positions for the open tax years as of September 30, 2012 and has determined that no provision for income tax is required in the Trust’s financial statements. The Trust’s U.S. federal tax returns for the prior three fiscal years remain subject to examination by the Trust’s major tax jurisdictions, which include the United States of America and the State of New York. The Trust would recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. There were no such expenses for the year ending September 30, 2012.

Under rules in effect for taxable years beginning before December 22, 2010, the capital loss carryforward period of a RIC was limited to eight years. Capital loss carryforwards of RICs for subsequent taxable years may be carried forward indefinitely, but capital loss carryforwards generated in taxable years subject to the prior rules must be fully used before those generated in subsequent taxable years. Therefore, under certain circumstances, capital loss carryforwards available as of the report date, as described below, may expire unused.

 

 

15

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2012

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

At September 30, 2012, the Trust had the following capital loss carryforwards that may be utilized to offset any net realized gains, expiring September 30:

 

2013

    $ 380,379,645   

2014

      1,174,140,896   

2015

      1,056,971,322   

2016

      917,820,735   

2017

      2,553,965,847   

2018

      188,539,023   

Non-Expiring – Short Term

      378,595,650   

Non-Expiring – Long Term

      345,451,782   

During the tax year ended September 30, 2012, the Trust utilized capital loss carryforwards of $0 and had $445,024,832 of capital loss carryforwards expire.

During the year ended September 30, 2012, the Trust reclassified $9,190,902,066 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At September 30, 2012, the cost of investments for U.S. federal income tax purposes was $120,716,392,931. Accordingly, gross unrealized appreciation was $5,196,171,442 and gross unrealized depreciation was $7,795,590,487, resulting in net unrealized depreciation of $2,599,419,045.

The tax character of distributions paid during the year ended September 30, 2012 was $2,209,395,148 of ordinary income.

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

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

As of September 30, 2012, the components of distributable earnings (excluding unrealized appreciation/(depreciation)) were undistributed ordinary income of $7,162,620, undistributed long-term capital gain of $0 and unrealized depreciation of $2,599,419,045.

Capital losses realized by the Trust after October 31 and ordinary income losses realized by the Trust after December 31, may be deferred and treated as occurring on the first day of the following fiscal year. The Trust elected for U.S. federal income tax purposes to defer the following current year post October 31 and post December 31 losses, as applicable, as though the losses were incurred on the first day of the next fiscal year:

 

Post October Loss Deferral

    $ 0   

Late Year Ordinary Loss Deferral

      0   

Note 3 — Transactions with the Trustee and Sponsor

In accordance with the Trust Agreement, the Trustee maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including filing of certain regulatory reports. The Trustee is also responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for

 

16

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2012

 

 

 

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

 

adjusting the composition of the Trust’s portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500 Index. For these services, the Trustee received a fee at the following annual rates for the year ended September 30, 2012:

 

Net asset value of the Trust

   

Fee as a percentage of net asset value of the Trust

$0 –$499,999,999

    0.10% per annum plus or minus the Adjustment Amount

$500,000,000 –$2,499,999,999

    0.08% per annum plus or minus the Adjustment Amount

$2,500,000,000 – and above

    0.06% per annum plus or minus the Adjustment Amount

The Adjustment Amount is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for creation and redemption of Units and (b) the amounts earned by the Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the year ended September 30, 2012, the Adjustment Amount reduced the Trustee’s fee by $4,602,275. The Adjustment Amount included an excess of net transaction fees from processing orders of $4,169,916 and a Trustee earnings credit of $432,359.

The Trustee voluntarily agreed to waive a portion of its fee, as needed, for one year until February 1, 2013, so that the total operating expenses would not exceed 0.0945% per annum of the daily NAV. The total amount of such waivers by the Trustee for the years ended September 30, 2010, September 30, 2011 and September 30, 2012 are identified in the Statements of Operations. The Trustee has not entered into an agreement with the Trust to recapture waived fees in subsequent periods and the Trustee may discontinue the voluntary waiver.

S&P Dow Jones Indices LLC (“S&P”), per a license from Standard & Poor’s Financial Services LLC, and State Street Global Markets, LLC (“SSGM” or the “Marketing Agent”) have entered into a License Agreement. The License Agreement grants SSGM, an affiliate of the Trustee, a license to use the S&P 500 Index and to use certain trade names and trademarks of S&P in connection with the Trust. The S&P 500 Index also serves as a basis for determining the composition of the portfolio. The Trustee, on behalf of the Trust, NYSE Arca, Inc. (“NYSE Arca”) and the Sponsor have each received a sublicense from SSGM for the use of the S&P 500 Index and certain trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of any of the owners of beneficial interests of Units. Currently, the License Agreement is scheduled to terminate on December 31, 2017, but its term may be extended without the consent of any of the owners of beneficial interests of Units. Pursuant to such arrangements and in accordance with the Trust Agreement, the Trust reimburses the Sponsor for payment of fees under the License Agreement to S&P equal to 0.03% of the daily size of the Trust (based on Unit closing price and outstanding Units) plus an annual fee of $600,000.

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

 

 

17

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2012

 

 

 

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

 

Investments in Affiliates of the Trustee and the Sponsor

The Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and Sponsor (NYSE Euronext). Such investments were made according to the representative portion of the S&P 500 Index. The market value of these investments at September 30, 2012 is listed in the Schedule of Investments.

Note 4 — Unitholder Transactions

Units are issued and redeemed by the Trust only in Creation Unit size aggregations of 50,000 Units. Such transactions are only permitted on an in-kind basis, with a separate cash payment that is equivalent to the undistributed net investment income per Unit (income equalization) and a balancing cash component to equate the transaction to the NAV per Unit of the Trust on the transaction date. A transaction fee of $3,000 is currently charged in connection with each creation or redemption of Creation Units through the clearing process per participating party per day, regardless of the number of Creation Units created or redeemed. In the case of redemptions outside the clearing process, the transaction fee plus an additional amount not to exceed three (3) times the transaction fee applicable for one Creation Unit per Creation Unit redeemed are deducted from the amount delivered to the redeemer. Transaction fees are received by the Trustee and used to defray the expense of processing orders.

Note 5 — Investment Transactions

For the year ended September 30, 2012, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $165,220,876,841, $149,670,178,338, $3,974,999,740, and $3,771,861,069, respectively. Net realized gain (loss) on investment transactions in the Statements of Operations includes net gains resulting from in-kind transactions of $9,217,362,190.

 

18

SPDR S&P 500 ETF Trust

Report of Independent Registered Public Accounting Firm

 

To the Trustee and Unitholders of

SPDR S&P 500 ETF Trust

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of SPDR S&P 500 ETF Trust (the “Trust”) at September 30, 2012, the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 27, 2012

 

19

SPDR S&P 500 ETF Trust

Other Information

September 30, 2012 (Unaudited)

 

For U.S. federal income tax purposes, the percentage of Trust distributions that qualify for the corporate dividends received deduction for the fiscal year ended September 30, 2012 is 98.32%.

For the fiscal year ended September 30, 2012, certain dividends paid by the Trust may be designated as qualified dividend income for U.S. federal income tax purposes and subject to a maximum U.S. federal income tax rate of 15%. Complete information will be reported in conjunction with your 2012 Form 1099-DIV.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Bid/Ask Price(1) vs Net Asset Value

As of September 30, 2012

 

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

2012

      0         0         0         0         0         0   

2011

      0         0         0         0         0         0   

2010

      0         0         0         0         0         0   

2009

      0         0         0         0         0         0   

2008

      3         4         1         5         1         0   

Comparison of Total Returns Based on NAV and Bid/Ask Price (1)

The table below is provided to compare the Trust’s total pre-tax return at NAV with the total pre-tax returns based on bid/ask price and the performance of the S&P 500 Index. Past performance is not an indication of how the Trust will perform in the future.

Cumulative Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      29.96 %      5.08 %      114.02 % 

Return Based on Bid/Ask Price

      29.84 %      4.98 %      114.37 % 

S&P 500 Index

      30.20 %      5.37 %      116.15 % 

Average Annual Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      29.96 %      1.00 %      7.91 % 

Return Based on Bid/Ask Price

      29.84 %      0.98 %      7.92 % 

S&P 500 Index

      30.20 %      1.05 %      8.01 % 

 

(1) Currently, the bid/ask price is the midpoint of the best bid and best offer prices on NYSE Arca at the time the Trust's NAV is calculated, ordinarily 4:00 p.m. Through November 28, 2008, the bid/ask price was the midpoint of the best bid and best offer prices on NYSE Alternext US (formerly the American Stock Exchange and now NYSE MKT) at the close of trading, ordinarily 4:00 p.m.

 

20

SPDR S&P 500 ETF Trust

 

Sponsor

PDR Services LLC

c/o NYSE Euronext

11 Wall Street

New York, NY 10005

Trustee

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

125 High Street

Boston, MA 02110

 

SPDRAR