N-30D 1 d516025dn30d.htm SPDR S&P 500 ETF <![CDATA[SPDR S&P 500 ETF]]>

 

SPDR® S&P 500® ETF Trust

A Unit Investment Trust

Semi-Annual Report

March 31, 2013

(Unaudited)

 

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

Schedule of Investments

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

3M Co.

      5,930,142       $ 630,433,396   

Abbott Laboratories

      14,669,404         518,123,349   

AbbVie, Inc.

      14,765,390         602,132,604   

Abercrombie & Fitch Co. (Class A)

      762,725         35,237,895   

Accenture PLC (Class A)

      6,017,857         457,176,596   

ACE, Ltd.

      3,158,289         280,992,972   

Actavis, Inc.(a)

      1,188,368         109,460,576   

Adobe Systems, Inc.(a)

      4,658,475         202,690,247   

Advanced Micro Devices, Inc.(a)

      5,289,359         13,487,865   

Aetna, Inc.

      3,065,319         156,699,107   

AFLAC, Inc.

      4,360,871         226,852,509   

Agilent Technologies, Inc.

      3,245,070         136,195,588   

AGL Resources, Inc.

      1,075,051         45,098,389   

Air Products & Chemicals, Inc.

      1,940,858         169,087,549   

Airgas, Inc.

      655,577         65,007,015   

Akamai Technologies, Inc.(a)

      1,649,499         58,210,820   

Alcoa, Inc.

      9,988,471         85,101,773   

Alexion Pharmaceuticals, Inc.(a)

      1,823,755         168,040,786   

Allegheny Technologies, Inc.

      1,004,102         31,840,074   

Allergan, Inc.

      2,864,169         319,727,185   

Altera Corp.

      2,962,582         105,082,784   

Altria Group, Inc.

      18,777,985         645,774,904   

Amazon.com, Inc.(a)

      3,396,358         905,095,443   

Ameren Corp.

      2,258,980         79,109,480   

American Electric Power Co., Inc.

      4,515,696         219,598,297   

American Express Co.

      8,979,842         605,780,141   

American International Group, Inc.(a)

      13,791,090         535,370,114   

American Tower Corp.

      3,680,343         283,091,984   

Ameriprise Financial, Inc.

      1,918,519         141,298,924   

AmerisourceBergen Corp.

      2,151,401         110,689,581   

Amgen, Inc.

      6,995,698         717,129,002   

Amphenol Corp. (Class A)

      1,492,655         111,426,696   

Anadarko Petroleum Corp.

      4,675,422         408,865,654   

Analog Devices, Inc.

      2,857,436         132,842,200   

Aon PLC

      2,911,807         179,076,131   

Apache Corp.

      3,659,346         282,355,137   

Apartment Investment & Management Co. (Class A)

      1,354,461         41,527,774   

Apollo Group, Inc. (Class A)(a)

      930,053         16,173,622   

Apple, Inc.

      8,772,359         3,882,909,264   

Applied Materials, Inc.

      11,159,785         150,433,902   

Archer-Daniels-Midland Co.

      6,134,003         206,899,921   

Assurant, Inc.

      748,036         33,669,100   

AT&T, Inc.

      51,338,479         1,883,608,795   
Common Stocks    Shares      Value  
               

Autodesk, Inc.(a)

      2,092,235       $ 86,283,771   

Automatic Data Processing, Inc.

      4,530,568         294,577,531   

AutoNation, Inc.(a)

      359,286         15,718,763   

Autozone, Inc.(a)

      339,834         134,835,936   

AvalonBay Communities, Inc.

      1,065,361         134,949,278   

Avery Dennison Corp.

      943,412         40,632,755   

Avon Products, Inc.

      4,022,940         83,395,546   

Baker Hughes, Inc.

      4,126,487         191,510,262   

Ball Corp.

      1,434,946         68,274,731   

Bank of America Corp.

      101,066,219         1,230,986,547   

Baxter International, Inc.

      5,118,808         371,830,213   

BB&T Corp.

      6,511,613         204,399,532   

Beam, Inc.

      1,497,359         95,142,191   

Becton, Dickinson & Co.

      1,812,307         173,274,672   

Bed Bath & Beyond, Inc.(a)

      2,112,042         136,057,746   

Bemis Co., Inc.

      946,413         38,197,229   

Berkshire Hathaway, Inc. (Class B)(a)

      17,037,991         1,775,358,662   

Best Buy Co., Inc.

      2,470,971         54,732,008   

Biogen Idec, Inc.(a)

      2,207,715         425,890,301   

BlackRock, Inc.

      1,175,049         301,846,587   

BMC Software, Inc.(a)

      1,222,920         56,657,884   

BorgWarner, Inc.(a)

      1,090,433         84,334,088   

Boston Properties, Inc.

      1,416,173         143,118,443   

Boston Scientific Corp.(a)

      12,783,856         99,841,915   

Bristol-Myers Squibb Co.

      15,297,585         630,107,526   

Broadcom Corp. (Class A)

      4,889,227         169,509,500   

Brown-Forman Corp. (Class B)

      1,409,561         100,642,655   

C.H. Robinson Worldwide, Inc.

      1,498,606         89,107,113   

C.R. Bard, Inc.

      726,827         73,249,625   

CA, Inc.

      3,109,097         78,255,972   

Cablevision Systems Corp. (Class A)

      1,975,746         29,557,160   

Cabot Oil & Gas Corp.

      1,955,627         132,219,941   

Cameron International Corp.(a)

      2,315,048         150,941,130   

Campbell Soup Co.

      1,674,315         75,946,928   

Capital One Financial Corp.

      5,439,004         298,873,270   

Cardinal Health, Inc.

      3,183,879         132,513,044   

CareFusion Corp.(a)

      2,078,990         72,743,860   

CarMax, Inc.(a)

      2,125,826         88,646,944   

Carnival Corp.

      4,158,310         142,630,033   

Caterpillar, Inc.

      6,118,740         532,146,818   

CBRE Group, Inc. (Class A)(a)

      2,811,726         70,996,082   

CBS Corp. (Class B)

      5,466,951         255,251,942   
 

 

See accompanying notes to financial statements.

 

1

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

Celgene Corp.(a)

      3,912,192       $ 453,462,175   

CenterPoint Energy, Inc.

      3,994,856         95,716,750   

CenturyLink, Inc.

      5,845,553         205,354,277   

Cerner Corp.(a)

      1,367,067         129,529,598   

CF Industries Holdings, Inc.

      584,484         111,268,219   

Chesapeake Energy Corp.

      4,856,345         99,118,001   

Chevron Corp.

      18,150,076         2,156,592,030   

Chipotle Mexican Grill, Inc.(a)

      292,831         95,424,838   

Chubb Corp.

      2,438,211         213,416,609   

CIGNA Corp.

      2,686,856         167,579,209   

Cincinnati Financial Corp.

      1,365,545         64,440,069   

Cintas Corp.

      1,000,059         44,132,604   

Cisco Systems, Inc.

      49,802,739         1,041,375,273   

Citigroup, Inc.

      28,363,206         1,254,788,233   

Citrix Systems, Inc.(a)

      1,741,548         125,670,104   

Cliffs Natural Resources, Inc.

      1,410,697         26,817,350   

Clorox Co.

      1,223,471         108,313,888   

CME Group, Inc.

      2,852,897         175,139,347   

CMS Energy Corp.

      2,467,863         68,952,092   

Coach, Inc.

      2,649,577         132,452,354   

Coca-Cola Enterprises, Inc.

      2,452,987         90,564,280   

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

      2,818,920         215,957,461   

Colgate-Palmolive Co.

      4,107,869         484,851,778   

Comcast Corp. (Class A)

      24,659,953         1,035,964,626   

Comerica, Inc.

      1,753,588         63,041,489   

Computer Sciences Corp.

      1,447,333         71,252,204   

ConAgra Foods, Inc.

      3,864,691         138,394,585   

ConocoPhillips

      11,404,221         685,393,682   

CONSOL Energy, Inc.

      2,120,058         71,339,952   

Consolidated Edison, Inc.

      2,727,140         166,437,354   

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

      1,410,359         67,189,503   

Corning, Inc.

      13,864,306         184,811,199   

Costco Wholesale Corp.

      4,068,991         431,760,635   

Coventry Health Care, Inc.

      1,257,551         59,142,624   

Covidien PLC

      4,410,014         299,175,350   

Crown Castle International Corp.(a)

      2,738,796         190,729,753   

CSX Corp.

      9,607,759         236,639,104   

Cummins, Inc.

      1,645,681         190,586,317   

CVS Caremark Corp.

      11,504,086         632,609,689   

D.R. Horton, Inc.

      2,611,106         63,449,876   

Danaher Corp.

      5,440,317         338,115,702   

Darden Restaurants, Inc.

      1,208,581         62,459,466   

DaVita, Inc.(a)

      788,524         93,511,061   

Dean Foods Co.(a)

      1,736,507         31,482,872   

Deere & Co.

      3,643,794         313,293,408   

Dell, Inc.

      13,642,145         195,491,938   

Delphi Automotive PLC

      2,725,569         121,015,264   
Common Stocks    Shares      Value  
               

Denbury Resources, Inc.(a)

      3,487,958       $ 65,050,417   

DENTSPLY International, Inc.

      1,321,920         56,075,846   

Devon Energy Corp.

      3,526,460         198,962,873   

Diamond Offshore Drilling, Inc.

      635,534         44,207,745   

DIRECTV(a)

      5,338,655         302,221,260   

Discover Financial Services

      4,629,417         207,583,058   

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

      2,289,770         180,296,490   

Dollar General Corp.(a)

      2,821,968         142,735,141   

Dollar Tree, Inc.(a)

      2,137,603         103,524,113   

Dominion Resources, Inc.

      5,383,113         313,189,514   

Dover Corp.

      1,632,599         118,983,815   

Dr. Pepper Snapple Group, Inc.

      1,903,080         89,349,606   

DTE Energy Co.

      1,599,305         109,296,504   

Duke Energy Corp.

      6,582,095         477,794,276   

Dun & Bradstreet Corp.

      382,540         31,999,471   

E*TRADE Financial Corp.(a)

      2,665,250         28,544,828   

E. I. du Pont de Nemours & Co.

      8,726,850         429,011,946   

Eastman Chemical Co.

      1,428,671         99,821,243   

Eaton Corp. PLC

      4,398,760         269,424,050   

eBay, Inc.(a)

      10,899,646         590,978,806   

Ecolab, Inc.

      2,479,069         198,771,752   

Edison International

      3,034,707         152,706,456   

Edwards Lifesciences Corp.(a)

      1,076,697         88,461,426   

Electronic Arts, Inc.(a)

      2,841,608         50,296,462   

Eli Lilly & Co.

      9,330,158         529,859,673   

EMC Corp.(a)

      19,625,449         468,851,977   

Emerson Electric Co.

      6,758,583         377,602,032   

Ensco PLC (Class A)

      2,160,564         129,633,840   

Entergy Corp.

      1,654,375         104,622,675   

EOG Resources, Inc.

      2,538,301         325,080,209   

EQT Corp.

      1,392,313         94,329,206   

Equifax, Inc.

      1,107,924         63,805,343   

Equity Residential

      2,976,999         163,913,565   

Exelon Corp.

      7,986,848         275,386,519   

Expedia, Inc.

      870,283         52,225,683   

Expeditors International of Washington, Inc.

      1,936,278         69,144,487   

Express Scripts Holding Co.(a)

      7,645,197         440,745,607   

Exxon Mobil Corp.

      41,845,370         3,770,686,291   

F5 Networks, Inc.(a)

      731,695         65,179,391   

Family Dollar Stores, Inc.

      906,476         53,527,408   

Fastenal Co.

      2,513,524         129,069,457   

FedEx Corp.

      2,731,692         268,252,154   

Fidelity National Information Services, Inc.

      2,729,609         108,147,109   

Fifth Third Bancorp

      8,180,614         133,425,814   
 

 

See accompanying notes to financial statements.

 

2

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

First Horizon National Corp.

      2,329,206       $ 24,875,920   

First Solar, Inc.(a)

      538,666         14,522,435   

FirstEnergy Corp.

      3,894,608         164,352,458   

Fiserv, Inc.(a)

      1,259,611         110,631,634   

FLIR Systems, Inc.

      1,421,770         36,980,238   

Flowserve Corp.

      449,956         75,462,121   

Fluor Corp.

      1,518,896         100,748,372   

FMC Corp.

      1,286,168         73,350,161   

FMC Technologies, Inc.(a)

      2,220,887         120,794,044   

Ford Motor Co.

      36,615,561         481,494,627   

Forest Laboratories, Inc.(a)

      2,181,999         83,003,242   

Fossil, Inc.(a)

      510,453         49,309,760   

Franklin Resources, Inc.

      1,287,293         194,136,657   

Freeport-McMoRan Copper & Gold, Inc.

      8,869,712         293,587,467   

Frontier Communications Corp.

      9,095,415         36,199,752   

GameStop Corp. (Class A)

      1,149,762         32,158,843   

Gannett Co., Inc.

      2,181,837         47,716,775   

Garmin, Ltd.

      999,156         33,012,114   

General Dynamics Corp.

      3,103,421         218,822,215   

General Electric Co.

      97,151,923         2,246,152,460   

General Mills, Inc.

      6,037,263         297,697,439   

Genuine Parts Co.

      1,437,221         112,103,238   

Genworth Financial, Inc. (Class A)(a)

      4,602,507         46,025,070   

Gilead Sciences, Inc.(a)

      14,219,475         695,758,912   

Google, Inc. (Class A)(a)

      2,494,082         1,980,375,930   

H&R Block, Inc.

      2,527,751         74,366,434   

H.J. Heinz Co.

      2,981,479         215,471,487   

Halliburton Co.

      8,703,515         351,709,041   

Harley-Davidson, Inc.

      2,118,122         112,895,903   

Harman International Industries, Inc.

      635,713         28,371,871   

Harris Corp.

      1,049,931         48,653,803   

Hartford Financial Services Group, Inc.

      4,059,562         104,736,700   

Hasbro, Inc.

      1,068,078         46,931,347   

HCP, Inc.

      4,235,064         211,160,291   

Health Care REIT, Inc.

      2,436,377         165,454,362   

Helmerich & Payne, Inc.

      976,595         59,279,317   

Hess Corp.

      2,763,774         197,913,856   

Hewlett-Packard Co.

      18,317,657         436,692,943   

Honeywell International, Inc.

      7,321,780         551,696,123   

Hormel Foods Corp.

      1,265,829         52,304,054   

Hospira, Inc.(a)

      1,544,763         50,714,569   

Host Hotels & Resorts, Inc.

      6,727,648         117,666,564   

Hudson City Bancorp, Inc.

      4,426,722         38,246,878   

Humana, Inc.

      1,472,120         101,738,213   

Huntington Bancshares, Inc.

      7,901,590         58,392,750   
Common Stocks    Shares      Value  
               

Illinois Tool Works, Inc.

      3,881,823       $ 236,558,294   

Ingersoll-Rand PLC

      2,574,000         141,595,740   

Integrys Energy Group, Inc.

      732,435         42,598,420   

Intel Corp.

      46,208,319         1,009,651,770   

IntercontinentalExchange, Inc.(a)

      678,618         110,662,237   

International Business Machines Corp.

      9,789,354         2,088,069,208   

International Flavors & Fragrances, Inc.

      759,578         58,236,845   

International Game Technology

      2,461,232         40,610,328   

International Paper Co.

      4,121,081         191,959,953   

Intuit, Inc.

      2,590,813         170,086,873   

Intuitive Surgical, Inc.(a)

      375,004         184,198,215   

Invesco, Ltd.

      4,123,944         119,429,418   

Iron Mountain, Inc.

      1,545,574         56,119,792   

J.C. Penney Co., Inc.

      1,309,475         19,786,167   

Jabil Circuit, Inc.

      1,740,597         32,166,233   

Jacobs Engineering Group, Inc.(a)

      1,208,209         67,949,674   

JDS Uniphase Corp.(a)

      2,177,992         29,119,753   

Johnson & Johnson

      26,106,400         2,128,454,792   

Johnson Controls, Inc.

      6,368,393         223,339,543   

Joy Global, Inc.

      991,741         59,028,424   

JPMorgan Chase & Co.

      35,748,072         1,696,603,497   

Juniper Networks, Inc.(a)

      4,844,804         89,822,666   

Kellogg Co.

      2,331,975         150,249,149   

KeyCorp

      8,702,848         86,680,366   

Kimberly-Clark Corp.

      3,621,964         354,880,033   

Kimco Realty Corp.

      3,789,850         84,892,640   

Kinder Morgan, Inc.

      5,896,193         228,064,745   

KLA-Tencor Corp.

      1,552,160         81,860,918   

Kohl’s Corp.

      1,970,137         90,882,420   

Kraft Foods Group, Inc.

      5,535,089         285,223,136   

L Brands, Inc.

      2,227,486         99,479,525   

L-3 Communications Holdings, Inc.

      841,036         68,056,633   

Laboratory Corp. of America Holdings(a)

      870,178         78,490,056   

Lam Research Corp.(a)

      1,511,587         62,670,397   

Legg Mason, Inc.

      1,072,585         34,483,608   

Leggett & Platt, Inc.

      1,333,347         45,040,462   

Lennar Corp. (Class A)

      1,515,734         62,872,646   

Leucadia National Corp.

      2,725,140         74,750,590   

Life Technologies Corp.(a)

      1,602,364         103,560,785   

Lincoln National Corp.

      2,535,368         82,678,350   

Linear Technology Corp.

      2,154,127         82,653,853   

Lockheed Martin Corp.

      2,507,852         242,057,875   

Loews Corp.

      2,909,243         128,210,339   
 

 

See accompanying notes to financial statements.

 

3

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

Lorillard, Inc.

      3,545,372       $ 143,055,760   

Lowe’s Cos., Inc.

      10,371,910         393,302,827   

LSI Corp.(a)

      5,238,680         35,518,250   

LyondellBasell Industries NV (Class A)

      3,546,696         224,470,390   

M & T Bank Corp.

      1,141,958         117,804,387   

Macy’s, Inc.

      3,682,659         154,082,453   

Marathon Oil Corp.

      6,610,545         222,907,577   

Marathon Petroleum Corp.

      3,097,312         277,519,155   

Marriott International, Inc. (Class A)

      2,291,975         96,790,104   

Marsh & McLennan Cos., Inc.

      5,121,768         194,473,531   

Masco Corp.

      3,277,047         66,360,202   

MasterCard, Inc. (Class A)

      983,175         532,025,488   

Mattel, Inc.

      3,218,094         140,920,336   

McCormick & Co., Inc.

      1,233,993         90,760,185   

McDonald’s Corp.

      9,367,656         933,861,627   

McKesson Corp.

      2,175,966         234,917,289   

Mead Johnson Nutrition Co.

      1,898,734         147,056,948   

MeadWestvaco Corp.

      1,616,617         58,683,197   

Medtronic, Inc.

      9,447,226         443,641,733   

Merck & Co., Inc.

      28,236,300         1,248,891,549   

MetLife, Inc.

      10,214,713         388,363,388   

MetroPCS Communications, Inc.(a)

      2,939,174         32,036,997   

Microchip Technology, Inc.

      1,825,159         67,092,845   

Micron Technology, Inc.(a)

      9,470,294         94,513,534   

Microsoft Corp.

      70,427,760         2,014,938,214   

Molex, Inc.

      1,292,827         37,853,975   

Molson Coors Brewing Co. (Class B)

      1,449,658         70,931,766   

Mondelez International, Inc. (Class A)

      16,611,057         508,464,455   

Monsanto Co.

      5,005,187         528,697,903   

Monster Beverage Corp.(a)

      1,346,190         64,267,111   

Moody’s Corp.

      1,798,343         95,887,649   

Morgan Stanley

      12,857,439         282,606,509   

Motorola Solutions, Inc.

      2,578,937         165,129,336   

Murphy Oil Corp.

      1,719,609         109,590,682   

Mylan, Inc.(a)

      3,697,477         107,004,984   

Nabors Industries, Ltd.

      2,718,490         44,093,908   

National-Oilwell Varco, Inc.

      3,971,012         280,949,099   

NetApp, Inc.(a)

      3,346,299         114,309,574   

Netflix, Inc.(a)

      523,135         99,087,000   

Newell Rubbermaid, Inc.

      2,654,643         69,286,182   

Newfield Exploration Co.(a)

      1,256,720         28,175,662   

Newmont Mining Corp.

      4,621,360         193,588,770   

News Corp. (Class A)

      18,683,220         570,211,874   

NextEra Energy, Inc.

      3,958,874         307,525,332   

NIKE, Inc. (Class B)

      6,798,473         401,177,892   
Common Stocks    Shares      Value  
               

NiSource, Inc.

      2,881,945       $ 84,556,266   

Noble Corp.

      2,352,541         89,749,439   

Noble Energy, Inc.

      1,676,757         193,933,715   

Nordstrom, Inc.

      1,423,521         78,621,065   

Norfolk Southern Corp.

      2,944,163         226,936,084   

Northeast Utilities

      2,922,637         127,017,804   

Northern Trust Corp.

      2,042,483         111,437,873   

Northrop Grumman Corp.

      2,216,702         155,501,645   

NRG Energy, Inc.

      2,979,558         78,928,491   

Nucor Corp.

      2,955,292         136,386,726   

NVIDIA Corp.

      5,767,647         73,941,235   

NYSE Euronext(b)

      2,288,826         88,440,237   

O’Reilly Automotive, Inc.(a)

      1,040,671         106,720,811   

Occidental Petroleum Corp.

      7,523,052         589,581,585   

Omnicom Group, Inc.

      2,473,726         145,702,461   

Oneok, Inc.

      1,895,750         90,370,403   

Oracle Corp.

      34,508,642         1,116,009,482   

Owens-Illinois, Inc.(a)

      1,498,838         39,944,033   

PACCAR, Inc.

      3,280,571         165,865,670   

Pall Corp.

      1,034,582         70,734,371   

Parker-Hannifin Corp.

      1,386,908         127,013,035   

Patterson Cos., Inc.

      804,506         30,603,408   

Paychex, Inc.

      3,006,991         105,455,174   

Peabody Energy Corp.

      2,507,437         53,032,293   

Pentair, Ltd.

      1,947,448         102,727,882   

People’s United Financial, Inc.

      3,163,096         42,512,010   

Pepco Holdings, Inc.

      2,136,244         45,715,622   

PepsiCo, Inc.

      14,411,413         1,140,086,882   

PerkinElmer, Inc.

      1,038,524         34,935,947   

Perrigo Co.

      819,278         97,272,877   

PetSmart, Inc.

      1,003,340         62,307,414   

Pfizer, Inc.

      67,191,930         1,939,159,100   

PG&E Corp.

      4,095,434         182,369,676   

Philip Morris International, Inc.

      15,397,521         1,427,504,172   

Phillips 66

      5,826,962         407,712,531   

Pinnacle West Capital Corp.

      1,021,574         59,138,919   

Pioneer Natural Resources Co.

      1,232,620         153,153,035   

Pitney Bowes, Inc.

      1,854,592         27,559,237   

Plum Creek Timber Co., Inc.

      1,503,970         78,507,234   

PNC Financial Services Group, Inc.

      4,929,526         327,813,479   

PPG Industries, Inc.

      1,331,856         178,388,793   

PPL Corp.

      5,408,619         169,343,861   

Praxair, Inc.

      2,776,958         309,741,895   

Precision Castparts Corp.

      1,367,762         259,355,030   

priceline.com, Inc.(a)

      465,838         320,463,935   

Principal Financial Group, Inc.

      2,588,192         88,076,174   

ProLogis, Inc.

      4,322,866         172,828,183   

Prudential Financial, Inc.

      4,343,205         256,205,663   
 

 

See accompanying notes to financial statements.

 

4

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

Public Service Enterprise Group, Inc.

      4,711,188       $ 161,782,196   

Public Storage, Inc.

      1,341,507         204,338,346   

Pulte Group, Inc.(a)

      3,166,544         64,090,851   

PVH Corp.

      724,872         77,423,578   

QEP Resources, Inc.

      1,667,692         53,099,313   

QUALCOMM, Inc.

      16,046,447         1,074,309,627   

Quanta Services, Inc.(a)

      1,991,682         56,922,272   

Quest Diagnostics, Inc.

      1,478,172         83,442,809   

Ralph Lauren Corp.

      569,101         96,354,490   

Range Resources Corp.

      1,514,431         122,729,488   

Raytheon Co.

      3,038,671         178,643,468   

Red Hat, Inc.(a)

      1,798,105         90,912,189   

Regions Financial Corp.

      13,155,922         107,747,001   

Republic Services, Inc.

      2,790,226         92,077,458   

Reynolds American, Inc.

      3,018,516         134,293,777   

Robert Half International, Inc.

      1,315,338         49,364,635   

Rockwell Automation, Inc.

      1,310,441         113,156,580   

Rockwell Collins, Inc.

      1,276,103         80,547,621   

Roper Industries, Inc.

      923,898         117,621,454   

Ross Stores, Inc.

      2,080,909         126,144,704   

Rowan Companies PLC (Class A)(a)

      1,143,398         40,430,553   

Ryder System, Inc.

      467,564         27,936,949   

Safeway, Inc.

      2,211,281         58,267,254   

SAIC, Inc.

      2,650,792         35,918,232   

Salesforce.com, Inc.(a)

      1,257,424         224,865,134   

SanDisk Corp.(a)

      2,258,857         124,237,135   

SCANA Corp.

      1,219,980         62,414,177   

Schlumberger, Ltd.

      12,407,841         929,223,213   

Scripps Networks Interactive (Class A)

      805,031         51,795,695   

Seagate Technology PLC

      2,987,074         109,207,425   

Sealed Air Corp.

      1,780,134         42,919,031   

Sempra Energy

      2,113,287         168,936,163   

Sherwin-Williams Co.

      796,870         134,583,374   

Sigma-Aldrich Corp.

      1,113,469         86,494,272   

Simon Property Group, Inc.

      2,929,149         464,445,865   

SLM Corp.

      4,236,617         86,765,916   

Snap-on, Inc.

      531,850         43,983,995   

Southern Co.

      8,129,822         381,451,248   

Southwest Airlines Co.

      6,920,963         93,294,581   

Southwestern Energy Co.(a)

      3,252,741         121,197,130   

Spectra Energy Corp.

      6,240,944         191,909,028   

Sprint Nextel Corp.(a)

      27,939,481         173,504,177   

St. Jude Medical, Inc.

      2,635,495         106,579,418   

Stanley Black & Decker, Inc.

      1,492,856         120,876,550   

Staples, Inc.

      6,357,737         85,384,408   

Starbucks Corp.

      6,998,014         398,606,877   
Common Stocks    Shares      Value  
               

Starwood Hotels & Resorts Worldwide, Inc.

      1,809,384       $ 115,312,042   

State Street Corp.(c)

      4,269,722         252,297,873   

Stericycle, Inc.(a)

      799,778         84,920,428   

Stryker Corp.

      2,686,536         175,269,609   

SunTrust Banks, Inc.

      5,014,657         144,472,268   

Symantec Corp.(a)

      6,463,899         159,529,027   

Sysco Corp.

      5,462,374         192,111,694   

T. Rowe Price Group, Inc.

      2,418,565         181,077,962   

Target Corp.

      6,080,696         416,223,641   

TE Connectivity, Ltd.

      3,935,481         165,014,718   

TECO Energy, Inc.

      1,893,424         33,740,816   

Tenet Healthcare Corp.(a)

      991,212         47,161,867   

Teradata Corp.(a)

      1,555,812         91,030,560   

Teradyne, Inc.(a)

      1,777,136         28,825,146   

Tesoro Corp.

      1,292,873         75,697,714   

Texas Instruments, Inc.

      10,323,620         366,282,038   

Textron, Inc.

      2,588,073         77,150,456   

The ADT Corp.

      2,169,440         106,172,394   

The AES Corp.

      5,778,647         72,637,593   

The Allstate Corp.

      4,460,574         218,880,366   

The Bank of New York Mellon Corp.

      10,878,658         304,493,637   

The Boeing Co.

      6,357,007         545,749,051   

The Charles Schwab Corp.

      10,266,285         181,610,582   

The Coca-Cola Co.

      35,808,345         1,448,089,472   

The Dow Chemical Co.

      11,249,188         358,174,146   

The Estee Lauder Cos., Inc. (Class A)

      2,233,898         143,036,489   

The Gap, Inc.

      2,781,817         98,476,322   

The Goldman Sachs Group, Inc.

      4,088,556         601,631,015   

The Goodyear Tire & Rubber Co.(a)

      2,224,065         28,045,460   

The Hershey Co.

      1,404,083         122,899,385   

The Home Depot, Inc.

      13,966,793         974,602,816   

The Interpublic Group of Cos., Inc.

      3,870,114         50,427,585   

The JM Smucker Co.

      1,019,527         101,096,297   

The Kroger Co.

      4,841,604         160,450,757   

The McGraw-Hill Cos., Inc.

      2,609,108         135,882,345   

The Mosaic Co.

      2,578,838         153,724,533   

The NASDAQ OMX Group, Inc.

      1,101,218         35,569,341   

The Procter & Gamble Co.

      25,517,472         1,966,376,392   

The Progressive Corp.

      5,228,848         132,132,989   

The Travelers Cos., Inc.

      3,529,951         297,186,575   

The Walt Disney Co.

      16,857,909         957,529,231   

The Washington Post Co. (Class B)

      42,500         18,997,500   
 

 

See accompanying notes to financial statements.

 

5

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

Common Stocks    Shares      Value  
               

The Western Union Co.

      5,318,710       $ 79,993,398   

The Williams Cos., Inc.

      6,364,516         238,414,769   

Thermo Fisher Scientific, Inc.

      3,353,554         256,513,345   

Tiffany & Co.

      1,109,315         77,141,765   

Time Warner Cable, Inc.

      2,761,752         265,293,897   

Time Warner, Inc.

      8,734,695         503,293,126   

TJX Cos., Inc.

      6,790,402         317,451,294   

Torchmark Corp.

      887,882         53,095,344   

Total System Services, Inc.

      1,484,527         36,786,579   

TripAdvisor, Inc.(a)

      1,019,046         53,520,296   

Tyco International, Ltd.

      4,337,978         138,815,296   

Tyson Foods, Inc. (Class A)

      2,686,038         66,667,463   

U.S. Bancorp

      17,409,993         590,721,063   

Union Pacific Corp.

      4,382,741         624,146,146   

United Parcel Service, Inc. (Class B)

      6,680,518         573,856,496   

United States Steel Corp.

      1,314,045         25,623,878   

United Technologies Corp.

      7,877,307         735,976,793   

UnitedHealth Group, Inc.

      9,573,705         547,711,663   

Unum Group

      2,521,602         71,235,257   

Urban Outfitters, Inc.(a)

      1,017,433         39,415,354   

V.F. Corp.

      818,823         137,357,558   

Valero Energy Corp.

      5,156,575         234,572,597   

Varian Medical Systems, Inc.(a)

      1,033,909         74,441,448   

Ventas, Inc.

      2,751,108         201,381,106   

VeriSign, Inc.(a)

      1,464,017         69,218,724   

Verizon Communications, Inc.

      26,698,807         1,312,246,364   

Viacom, Inc. (Class B)

      4,255,255         261,996,050   

Visa, Inc. (Class A)

      4,818,453         818,366,058   

Vornado Realty Trust

      1,577,157         131,913,412   

Vulcan Materials Co.

      1,204,658         62,280,819   

W.W. Grainger, Inc.

      556,578         125,218,918   
Common Stocks    Shares      Value  
               

Wal-Mart Stores, Inc.

      15,624,454       $ 1,169,177,893   

Walgreen Co.

      8,033,708         383,047,197   

Waste Management, Inc.

      4,062,831         159,303,604   

Waters Corp.(a)

      815,454         76,579,285   

WellPoint, Inc.

      2,830,456         187,461,101   

Wells Fargo & Co.

      45,789,053         1,693,737,070   

Western Digital Corp.

      2,023,919         101,762,647   

Weyerhaeuser Co.

      5,092,880         159,814,574   

Whirlpool Corp.

      733,383         86,876,550   

Whole Foods Market, Inc.

      1,598,023         138,628,495   

Windstream Corp.

      5,407,913         42,992,908   

Wisconsin Energy Corp.

      2,123,036         91,057,014   

WPX Energy, Inc.(a)

      1,869,242         29,945,257   

Wyndham Worldwide Corp.

      1,276,746         82,324,582   

Wynn Resorts, Ltd.

      744,811         93,220,545   

Xcel Energy, Inc.

      4,539,360         134,818,992   

Xerox Corp.

      11,440,608         98,389,229   

Xilinx, Inc.

      2,423,173         92,492,513   

XL Group PLC

      2,756,683         83,527,495   

Xylem, Inc.

      1,739,192         47,932,132   

Yahoo!, Inc.(a)

      9,068,122         213,372,911   

Yum! Brands, Inc.

      4,205,386         302,535,469   

Zimmer Holdings, Inc.

      1,582,795         119,057,840   

Zions Bancorporation

      1,686,074         42,134,989   
     

 

 

  

Total Common Stocks(d)
(Cost $129,544,724,992)

       $ 130,576,292,610   
     

 

 

  

 

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

REIT = Real Estate Investment Trust

 

INVESTMENTS IN AFFILIATES OF THE TRUSTEE AND THE SPONSOR

SPDR S&P 500 ETF Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and the Sponsor (NYSE Euronext). Amounts related to these investments at March 31, 2013, and for the period then ended are (Note 3):

 

    Number of
Shares Held
at 9/30/12		     Cost at 9/30/12     Value at 9/30/12     Purchased     Sold     Number of
Shares Held
at 3/31/13		     Value at 3/31/13     Dividend
Income		     Realized
Gain		  
          Cost     Shares     Proceeds     Shares          

State Street Corp.

     4,420,941      $ 208,776,609      $ 185,502,684      $ 162,262,369        3,202,915      $ 170,204,490        3,354,134        4,269,722      $ 252,297,873      $ 2,187,221      $ 6,291,565   

NYSE Euronext

     2,305,912        78,378,865        56,840,731        51,136,050        1,660,347        51,533,324        1,677,433        2,288,826        88,440,237        1,373,807        1,357,785   

 

See accompanying notes to financial statements.

 

6

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

March 31, 2013 (Unaudited)

 

 

 

INDUSTRY BREAKDOWN AS OF MARCH 31, 2013*

 

INDUSTRY   PERCENT OF
NET ASSETS**		  

Oil, Gas & Consumable Fuels

             9.05 % 

Pharmaceuticals

     6.40   

Insurance

     4.17   

Computers & Peripherals

     4.16   

IT Services

     3.86   

Media

     3.68   

Diversified Financial Services

     3.65   

Software

     3.35   

Commercial Banks

     2.75   

Diversified Telecommunication Services

     2.66   

Industrial Conglomerates

     2.57   

Chemicals

     2.43   

Beverages

     2.42   

Food & Staples Retailing

     2.42   

Aerospace & Defense

     2.38   

Household Products

     2.23   

Internet Software & Services

     2.23   

Specialty Retail

     2.20   

Real Estate Investment Trusts (REITs)

     2.11   

Capital Markets

     2.09   

Semiconductors & Semiconductor Equipment

     1.98   

Communications Equipment

     1.92   

Food Products

     1.91   

Electric Utilities

     1.90   

Health Care Providers & Services

     1.89   

Biotechnology

     1.88   

Energy Equipment & Services

     1.86   

Hotels, Restaurants & Leisure

     1.81   

Tobacco

     1.80   

Machinery

     1.80   

Health Care Equipment & Supplies

     1.79   

Multi-Utilities

     1.37   

Internet & Catalog Retail

     1.10   

Consumer Finance

     0.92   

Road & Rail

     0.85   

Multiline Retail

     0.81   

Air Freight & Logistics

     0.77   

Textiles, Apparel & Luxury Goods

     0.68   

Electrical Equipment

     0.67   

Metals & Mining

     0.61   

Commercial Services & Supplies

     0.47   

Life Sciences Tools & Services

     0.47   

Automobiles

     0.46   

Electronic Equipment, Instruments & Components

     0.44   

Auto Components

     0.35   

Household Durables

     0.35   
INDUSTRY   PERCENT OF
NET ASSETS**		  

Wireless Telecommunication Services

             0.30 % 

Trading Companies & Distributors

     0.19   

Paper & Forest Products

     0.19   

Personal Products

     0.17   

Construction & Engineering

     0.17   

Containers & Packaging

     0.15   

Leisure Equipment & Products

     0.14   

Independent Power Producers & Energy Traders

     0.12   

Professional Services

     0.11   

Gas Utilities

     0.10   

Health Care Technology

     0.10   

Distributors

     0.09   

Office Electronics

     0.08   

Airlines

     0.07   

Diversified Consumer Services

     0.07   

Thrifts & Mortgage Finance

     0.06   

Real Estate Management & Development

     0.05   

Building Products

     0.05   

Construction Materials

     0.05   

Other Assets & Liabilities

     0.07   

 

  

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.

 

7

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

March 31, 2013 (Unaudited)

 

 

 

ASSETS

   

Investments in unaffiliated issuers, at value

    $ 130,235,554,500   

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

      340,738,110   
  

 

 

  

Total investments

      130,576,292,610   

Cash

      550,099,237   

Receivable for investments sold

      20,504,599   

Receivable for units of fractional undivided interest (“Units”) sold in-kind

      1,170,017   

Dividends receivable — unaffiliated issuers

      162,678,062   

Dividends receivable — affiliated issuers

      1,104,071   
  

 

 

  

Total Assets

      131,311,848,596   
  

 

 

  

LIABILITIES

   

Payable for investments purchased

      22,903,443   

Income distribution payable

      584,862,926   

Accrued Trustee expense

      4,444,660   

Accrued expenses and other liabilities

      25,669,086   
  

 

 

  

Total Liabilities

      637,880,115   
  

 

 

  

NET ASSETS

    $ 130,673,968,481   
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid in Capital (Note 4)

    $ 137,529,941,798   

Distribution in excess of net investment income

      (670,474,054 ) 

Accumulated net realized loss on investments

      (7,217,066,881 ) 

Net unrealized appreciation on investments

      1,031,567,618   
  

 

 

  

NET ASSETS

    $ 130,673,968,481   
  

 

 

  

NET ASSET VALUE PER UNIT

    $ 156.74   
  

 

 

  

UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE

      833,682,116   
  

 

 

  

COST OF INVESTMENTS:

   

Unaffiliated issuers

    $ 129,244,420,174   

Affiliates of the Trustee and the Sponsor

      300,304,818   
  

 

 

  

Total Cost of Investments

    $ 129,544,724,992   
  

 

 

  

 

See accompanying notes to financial statements.

 

8

SPDR S&P 500 ETF Trust

Statements of Operations

 

 

 

    For the Six Months Ended
March 31, 2013 (Unaudited)		     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

   $ 1,454,298,761      $ 2,135,559,412      $ 1,783,414,525      $ 1,516,348,569   

Dividend income — affiliates of the Trustee and the Sponsor

     3,561,028        6,306,634        4,579,162        155,923   

Foreign taxes withheld

     (1,537,007 )      —        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investment Income

     1,456,322,782        2,141,866,046        1,787,993,687        1,516,504,492   

EXPENSES

        

Trustee expense

     33,755,947        55,224,103        49,583,282        40,693,484   

S&P license fee

     18,234,543        30,163,235        27,574,288        21,931,368   

Marketing expense

     11,956,910        19,708,823        17,790,322        14,620,912   

Legal and audit services

     305,465        895,131        262,513        422,917   

Other expenses

     1,793,669        2,692,302        1,438,294        1,543,741   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Expenses

     66,046,534        108,683,594        96,648,699        79,212,422   

Trustee expense waiver

     (9,550,134 )      (15,559,404 )      (12,589,426 )      (10,128,612 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net Expenses

     56,496,400        93,124,190        84,059,273        69,083,810   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INVESTMENT INCOME

     1,399,826,382        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

     6,862,430,818        8,742,019,176        12,378,051,573        16,730,164,234   

Investment transactions — affiliates of the Trustee and the Sponsor

     7,649,350        (418,387 )      14,104,238        8,836,491   

Net change in unrealized appreciation (depreciation) on:

        

Investment transactions — unaffiliated issuers

     3,521,952,098        13,032,032,478        (13,392,528,820 )      (11,825,602,638 ) 

Investment transactions — affiliates of the Trustee and the Sponsor

     85,245,351        35,928,935        (49,684,986 )      (66,024,806 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

     10,477,277,617        21,809,562,202        (1,050,057,995 )      4,847,373,281   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 11,877,103,999      $ 23,858,304,058      $ 653,876,419      $ 6,294,793,963   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

9

SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets

 

 

 

    For the Six Months
Ended March 31,
2013 (Unaudited)		     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

   $ 1,399,826,382      $ 2,048,741,856      $ 1,703,934,414      $ 1,447,420,682   

Net realized gain (loss) on investment transactions

     6,870,080,168        8,741,600,789        12,392,155,811        16,739,000,725   

Net change in unrealized appreciation (depreciation)

     3,607,197,449        13,067,961,413        (13,442,213,806 )      (11,891,627,444 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     11,877,103,999        23,858,304,058        653,876,419        6,294,793,963   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET EQUALIZATION CREDITS AND CHARGES

     65,099,147        115,422,459        136,345,475        102,137,436   
 

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME

     (1,455,086,171 )      (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

     220,763,545,945        412,781,633,972        442,329,234,719        400,829,082,743   

Proceeds from reinvestment of distributions

     —        —        —        2,216,596   

Cost of Units repurchased

     (218,676,214,368 )      (397,131,183,744 )      (438,449,217,218 )      (399,041,216,070 ) 

Net income equalization (Note 2)

     (65,099,147 )      (115,422,459 )      (136,345,475 )      (102,137,436 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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

     2,022,232,430        15,535,027,769        3,743,672,026        1,687,945,833   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

     12,509,349,405        37,299,359,138        2,674,378,536        6,535,015,549   

NET ASSETS AT BEGINNING OF PERIOD

     118,164,619,076        80,865,259,938        78,190,881,402        71,655,865,853   
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS AT END OF PERIOD*

   $ 130,673,968,481      $ 118,164,619,076      $ 80,865,259,938      $ 78,190,881,402   
 

 

 

    

 

 

    

 

 

    

 

 

  

UNIT TRANSACTIONS:

        

Units sold

     1,503,450,000        3,116,800,000        3,550,100,000        3,614,350,000   

Units issued from reinvestment of distributions

     —        —        —        21,395   

Units redeemed

     (1,490,350,000 )      (3,011,050,000 )      (3,520,350,000 )      (3,607,000,000 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE)

     13,100,000        105,750,000        29,750,000        7,371,395   
 

 

 

    

 

 

    

 

 

    

 

 

  

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

   $ (670,474,054 )    $ (615,214,265 )    $ (478,294,653 )    $ (426,704,977 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

10

SPDR S&P 500 ETF Trust

Financial Highlights

Selected data for a Unit outstanding throughout each period

 

 

 

    For the Six
Months
Ended
March 31,
2013
(Unaudited)		     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

   $ 144.00      $ 113.12      $ 114.13      $ 105.73      $ 116.52      $ 152.48   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investment Operations:

            

Net investment income(1)

     1.71        2.77        2.42        2.20        2.32        2.72   

Net realized and unrealized gain (loss) on investments

     12.67        30.80        (1.16 )      8.24        (10.90 )      (36.28 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     14.38        33.57        1.26        10.44        (8.58 )      (33.56 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net equalization credits and charges(1)

     0.08        0.16        0.19        0.16        0.10        0.38   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

            

Net investment income

     (1.72 )      (2.85 )      (2.46 )      (2.20 )      (2.31 )      (2.78 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 156.74      $ 144.00      $ 113.12      $ 114.13      $ 105.73      $ 116.52   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(2)

     10.07 %      29.96 %      1.01 %      10.08 %      (6.90 )%      (21.84 )% 

Ratios and supplemental data

            

Ratio to average net assets:

            

Net investment income

     2.34 %(4)      2.08 %      1.92 %      1.98 %      2.58 %      1.99 % 

Total expenses(3)

     0.09 %(4)      0.09 %      0.09 %      0.09 %      0.09 %      0.09 % 

Total expenses excluding Trustee earnings credit

     0.11 %(4)      0.11 %      0.11 %      0.11 %      0.10 %      0.11 % 

Total expenses excluding Trustee earnings credit and fee waivers

     0.11 %(4)      0.11 %      0.11 %      0.11 %      0.10 %      0.11 % 

Portfolio turnover rate(5)

     1.15 %      3.80 %      3.72 %      5.38 %      6.68 %      4.56 % 

Net assets, end of year (000’s)

   $ 130,673,968      $ 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 period.
(2) Total return is calculated assuming a purchase of a Unit at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total return for a period of less then one year is not annualized. Broker commission charges are not included in this calculation.
(3) Net of expenses waived by the Trustee.
(4) Annualized.
(5) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions of Units.

 

See accompanying notes to financial statements.

 

11

SPDR S&P 500 ETF Trust

Notes to Financial Statements

March 31, 2013 (Unaudited)

 

 

 

Note 1 — Organization

 

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

Under the Amended and Restated Standard Terms and Conditions of the Trust, as amended (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

 

12

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2013 (Unaudited)

 

 

 

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

The Trust did not hold any investments valued using Level 2 or Level 3 inputs as of March 31, 2013 and did not have any transfers between levels for the six months ended March 31, 2013.

Subsequent Events

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

Investment Risk

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

 

13

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2013 (Unaudited)

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

An investment in the Trust involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. The value of a Unit will decline, more or less, in correlation with any decline in value of the S&P 500 Index. The values of equity securities could decline generally or could underperform other investments. The Trust would not sell 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 and certain other tax matters, the Trust has qualified as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (a “RIC”) and intends to continue to qualify as a RIC. As a RIC, the Trust will generally not be subject to U.S. federal income tax for any taxable year on income, including net capital gains, that it distributes to 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

 

14

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2013 (Unaudited)

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

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.

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 six months ended March 31, 2013, the Trust reclassified $7,067,492,935 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities. At March 31, 2013, the cost of investments for U.S. federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, the cost was $129,544,724,992, gross unrealized appreciation was $7,613,843,495 and gross unrealized depreciation was $6,582,275,877, resulting in net unrealized appreciation of $1,031,567,618.

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 has not elected for U.S. federal income tax purposes to defer any current post October 31 or post December 31 losses as though the losses were incurred on the first day of the next fiscal year:

Note 3 — Transactions with the Trustee and Sponsor

In accordance with the Trust Agreement, the Trustee maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including filing of certain regulatory reports. The Trustee is also responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for adjusting the composition of the Trust’s portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500 Index. For these services, the Trustee received a fee at the following annual rates for the six months ended March 31, 2013:

 

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

 

 

15

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2013 (Unaudited)

 

 

 

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

 

The Adjustment Amount is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for creation and redemption of Units and (b) the amounts earned by the Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the six months ended March 31, 2013, the Adjustment Amount reduced the Trustee’s fee by $2,436,660. The Adjustment Amount included an excess of net transaction fees from processing orders of $2,105,102 and a Trustee earnings credit of $331,558.

The Trustee voluntarily agreed to waive a portion of its fee, as needed, for one year until February 1, 2014, 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, September 30, 2012 and the six months ended March 31, 2013 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 and 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.

Investments in Affiliates of the Trustee and the Sponsor

The Trust has invested in companies that may be considered affiliates of the Trustee (State Street Corp.) and Sponsor (NYSE Euronext). Such investments were made according to the representative portion of the S&P 500 Index. The market value of these investments at March 31, 2013 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

 

16

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

March 31, 2013 (Unaudited)

 

 

 

Note 4 — Unitholder Transactions – (continued)

 

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 six months ended March 31, 2013, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $89,305,667,970, $87,320,871,316, $1,647,993,808, and $1,647,834,082, respectively. Net realized gain (loss) on investment transactions in the Statements of Operations includes net gains resulting from in-kind transactions of $7,067,492,935.

 

17

SPDR S&P 500 ETF Trust

Other Information

March 31, 2013 (Unaudited)

 

 

 

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

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

      13.77 %      32.14 %      124.49 % 

Return Based on Bid/Ask Price

      13.71 %      32.22 %      124.61 % 

S&P 500 Index

      13.96 %      32.64 %      126.78 % 

Average Annual Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      13.77 %      5.73 %      8.42 % 

Return Based on Bid/Ask Price

      13.71 %      5.75 %      8.43 % 

S&P 500 Index

      13.96 %      5.81 %      8.53 % 

 

(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.

 

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SPDR S&P 500 ETF Trust

 

 

 

Sponsor

PDR Services LLC

c/o NYSE Euronext

11 Wall Street

New York, NY 10005

Trustee

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

125 High Street

Boston, MA 02110

 

SPDRSAR