N-30D 1 d235904dn30d.htm SPDR S&P 500 ETF TRUST SPDR S&P 500 ETF TRUST
Table of Contents

Annual Report

September 30, 2016

 

SPDR® S&P® 500 ETF Trust

A Unit Investment Trust

“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.

 

LOGO

Table of Contents

SPDR S&P 500 ETF Trust

Trust Overview

 

 

 

INVESTMENT OBJECTIVE

SPDR S&P 500 ETF Trust (the “Trust”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index (the “Index”).

INVESTMENT STRATEGY

The Trust seeks to achieve this investment objective by holding a portfolio of the common stocks that are included in the Index (the “Portfolio”), with the weight of each stock in the Portfolio substantially corresponding to the weight of such stock in the Index.

PERFORMANCE OVERVIEW

The Trust ended its fiscal year on September 30, 2016, with a 12-month total return of 15.30% based on net asset value (“NAV”), as compared to Index return of 15.43%.

The Trust’s performance reflects the operating expenses of the Trust, including brokerage expenses, marketing expenses, license fees, expenses relating to legal and audit services and Trustee fees. The Trust’s performance also reflects the impact of an expense waiver, and without this waiver, such performance would be lower. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

 

Table of Contents

SPDR S&P 500 ETF Trust

Annual Report

September 30, 2016

Table of Contents

 

Schedule of Investments

      1   

Statement of Assets and Liabilities

      8   

Statements of Operations

      9   

Statements of Changes in Net Assets

      10   

Financial Highlights

      11   

Notes to Financial Statements

      12   

Report of Independent Registered Public Accounting Firm

     19   

Other Information

      20   

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

3M Co.

      6,358,405       $ 1,120,541,713   

Abbott Laboratories

      15,392,220         650,936,984   

AbbVie, Inc.

      16,960,771         1,069,715,827   

Accenture PLC Class A

      6,558,471         801,248,402   

Activision Blizzard, Inc.

      7,266,135         321,889,780   

Acuity Brands, Inc.

      455,900         120,631,140   

Adobe Systems, Inc.(a)

      5,244,167         569,201,886   

Advance Auto Parts, Inc.

      766,021         114,229,052   

AES Corp.

      6,882,476         88,439,817   

Aetna, Inc.

      3,676,116         424,407,592   

Affiliated Managers Group, Inc.(a)

      564,015         81,612,971   

Aflac, Inc.

      4,342,811         312,117,827   

Agilent Technologies, Inc.

      3,420,035         161,049,448   

Air Products & Chemicals, Inc.

      2,297,949         345,473,653   

Akamai Technologies, Inc.(a)

      1,836,986         97,341,888   

Alaska Air Group, Inc.

      1,291,724         85,072,943   

Albemarle Corp.

      1,171,105         100,117,766   

Alcoa, Inc.

      13,723,479         139,156,077   

Alexion Pharmaceuticals, Inc.(a)

      2,353,039         288,341,399   

Allegion PLC

      1,003,598         69,157,938   

Allergan PLC(a)

      4,148,305         955,396,125   

Alliance Data Systems Corp.(a)

      618,330         132,650,335   

Alliant Energy Corp.

      2,356,387         90,273,186   

Allstate Corp.

      3,949,254         273,209,392   

Alphabet, Inc. Class A(a)

      3,106,064         2,497,461,820   

Alphabet, Inc. Class C(a)

      3,096,655         2,406,998,965   

Altria Group, Inc.

      20,511,373         1,296,934,115   

Amazon.com, Inc.(a)

      4,145,980         3,471,470,514   

Ameren Corp.

      2,543,944         125,111,166   

American Airlines Group, Inc.

      5,557,591         203,463,407   

American Electric Power Co., Inc.

      5,151,195         330,758,231   

American Express Co.

      8,190,314         524,507,709   

American International Group, Inc.

      10,714,151         635,777,720   

American Tower Corp. REIT

      4,451,451         504,482,942   

American Water Works Co., Inc.

      1,855,427         138,860,157   

Ameriprise Financial, Inc.

      1,738,461         173,446,254   

AmerisourceBergen Corp.

      1,923,003         155,340,182   

AMETEK, Inc.

      2,453,721         117,238,789   

Amgen, Inc.

      7,874,933         1,313,617,574   

Amphenol Corp. Class A

      3,214,449         208,682,029   

Anadarko Petroleum Corp.

      5,738,386         363,584,137   

Analog Devices, Inc.

      3,228,853         208,099,576   

Anthem, Inc.

      2,756,978         345,476,913   

Aon PLC

      2,776,812         312,363,582   

Apache Corp.

      3,952,641         252,455,181   

Apartment Investment & Management Co. Class A REIT

      1,635,810         75,100,037   
Common Stocks    Shares      Value  
               

Apple, Inc.

      56,712,296       $ 6,411,325,063   

Applied Materials, Inc.

      11,413,648         344,121,487   

Archer-Daniels-Midland Co.

      6,164,425         259,953,802   

Arthur J Gallagher & Co.

      1,849,417         94,079,843   

Assurant, Inc.

      649,825         59,946,356   

AT&T, Inc.

      64,541,437         2,621,027,757   

Autodesk, Inc.(a)

      2,077,282         150,249,807   

Automatic Data Processing, Inc.

      4,778,240         421,440,768   

AutoNation, Inc.(a)

      769,346         37,474,844   

AutoZone, Inc.(a)

      314,738         241,825,795   

AvalonBay Communities, Inc. REIT

      1,437,961         255,726,984   

Avery Dennison Corp.

      934,591         72,701,834   

Baker Hughes, Inc.

      4,588,645         231,588,913   

Ball Corp.

      1,822,220         149,330,929   

Bank of America Corp.

      107,852,094         1,687,885,271   

Bank of New York Mellon Corp.

      11,290,752         450,275,190   

Baxter International, Inc.

      5,178,211         246,482,844   

BB&T Corp.

      8,605,056         324,582,712   

Becton Dickinson and Co.

      2,225,043         399,906,978   

Bed Bath & Beyond, Inc.

      1,617,503         69,730,554   

Berkshire Hathaway, Inc.
Class B(a)

      20,003,837         2,889,954,331   

Best Buy Co., Inc.

      2,935,841         112,090,409   

Biogen, Inc.(a)

      2,296,521         718,879,969   

BlackRock, Inc.

      1,284,182         465,464,608   

Boeing Co.

      6,117,495         805,918,791   

BorgWarner, Inc.

      2,276,906         80,101,553   

Boston Properties, Inc. REIT

      1,610,494         219,494,227   

Boston Scientific Corp.(a)

      14,228,320         338,634,016   

Bristol-Myers Squibb Co.

      17,501,948         943,705,036   

Broadcom, Ltd.

      4,180,406         721,203,643   

Brown-Forman Corp. Class B

      2,090,881         99,191,395   

C.H. Robinson Worldwide, Inc.

      1,494,277         105,286,757   

C.R. Bard, Inc.

      769,968         172,688,423   

CA, Inc.

      3,106,664         102,768,445   

Cabot Oil & Gas Corp.

      4,876,722         125,819,428   

Campbell Soup Co.

      1,880,112         102,842,126   

Capital One Financial Corp.

      5,366,821         385,498,752   

Cardinal Health, Inc.

      3,437,987         267,131,590   

CarMax, Inc.(a)

      2,042,327         108,958,145   

Carnival Corp.

      4,594,309         224,294,165   

Caterpillar, Inc.

      6,121,516         543,406,975   

CBRE Group, Inc. Class A
REIT(a)

      3,040,044         85,060,431   

CBS Corp. Class B

      4,356,103         238,453,078   

Celgene Corp.(a)

      8,121,170         848,905,900   

Centene Corp.(a)

      1,787,538         119,693,544   

CenterPoint Energy, Inc.

      4,490,692         104,318,775   

CenturyLink, Inc.

      5,724,867         157,033,102   
 

 

See accompanying notes to financial statements.

 

1

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

Cerner Corp.(a)

      3,153,702       $ 194,741,098   

CF Industries Holdings, Inc.

      2,443,892         59,508,770   

Charles Schwab Corp.

      12,610,069         398,099,878   

Charter Communications, Inc.
Class A(a)

      2,277,339         614,813,210   

Chesapeake Energy Corp.(a)

      6,155,575         38,595,455   

Chevron Corp.

      19,760,556         2,033,756,424   

Chipotle Mexican Grill, Inc.(a)

      306,643         129,863,310   

Chubb, Ltd.

      4,868,241         611,694,482   

Church & Dwight Co., Inc.

      2,709,845         129,855,772   

Cigna Corp.

      2,689,415         350,484,563   

Cimarex Energy Co.

      989,792         132,998,351   

Cincinnati Financial Corp.

      1,544,345         116,474,500   

Cintas Corp.

      907,620         102,198,012   

Cisco Systems, Inc.

      52,733,800         1,672,716,136   

Citigroup, Inc.

      30,791,688         1,454,291,424   

Citizens Financial Group, Inc.

      5,512,264         136,208,043   

Citrix Systems, Inc.(a)

      1,626,331         138,595,928   

Clorox Co.

      1,350,714         169,082,379   

CME Group, Inc.

      3,550,622         371,111,011   

CMS Energy Corp.

      2,926,971         122,962,052   

Coach, Inc.

      2,915,195         106,579,529   

Coca-Cola Co.

      40,819,376         1,727,475,992   

Cognizant Technology Solutions Corp. Class A(a)

      6,364,135         303,632,881   

Colgate-Palmolive Co.

      9,362,155         694,110,172   

Comcast Corp. Class A

      25,343,901         1,681,314,392   

Comerica, Inc.

      1,822,775         86,253,713   

ConAgra Foods, Inc.

      4,570,815         215,331,095   

Concho Resources, Inc.(a)

      1,462,089         200,817,924   

ConocoPhillips

      12,984,506         564,436,476   

Consolidated Edison, Inc.

      3,190,135         240,217,165   

Constellation Brands, Inc.
Class A

      1,849,918         307,992,848   

Cooper Cos., Inc.

      512,016         91,783,988   

Corning, Inc.

      11,261,659         266,338,235   

Costco Wholesale Corp.

      4,594,468         700,702,315   

Coty, Inc. Class A(a)

      728,800         17,126,800   

Crown Castle International Corp. REIT

      3,532,760         332,821,320   

CSRA, Inc.

      1,422,221         38,257,745   

CSX Corp.

      10,056,350         306,718,675   

Cummins, Inc.

      1,661,816         212,961,720   

CVS Health Corp.

      11,255,811         1,001,654,621   

D.R. Horton, Inc.

      3,440,989         103,917,868   

Danaher Corp.

      6,284,152         492,614,675   

Darden Restaurants, Inc.

      1,207,012         74,013,976   

DaVita, Inc.(a)

      1,725,833         114,025,786   

Deere & Co.

      3,121,737         266,440,253   

Dell Technologies, Inc. — VMware, Inc. Class V(a)

      1         48   
Common Stocks    Shares      Value  
               

Delphi Automotive PLC

      2,890,543       $ 206,153,527   

Delta Air Lines, Inc.

      8,124,247         319,770,362   

DENTSPLY SIRONA, Inc.

      2,454,846         145,891,498   

Devon Energy Corp.

      5,495,078         242,387,891   

Digital Realty Trust, Inc. REIT

      1,539,990         149,563,829   

Discover Financial Services

      4,317,430         244,150,666   

Discovery Communications, Inc.
Class A(a)

      1,568,528         42,224,774   

Discovery Communications, Inc.
Class C(a)

      2,482,224         65,307,313   

Dollar General Corp.

      2,728,670         190,979,613   

Dollar Tree, Inc.(a)

      2,470,716         195,013,614   

Dominion Resources, Inc.

      6,465,567         480,197,661   

Dover Corp.

      1,618,053         119,153,423   

Dow Chemical Co.

      11,773,046         610,196,974   

Dr. Pepper Snapple Group, Inc.

      1,952,380         178,271,818   

DTE Energy Co.

      1,873,132         175,456,274   

Duke Energy Corp.

      7,223,259         578,149,650   

Dun & Bradstreet Corp.

      373,040         50,964,725   

E*TRADE Financial Corp.(a)

      2,944,106         85,732,367   

E.I. du Pont de Nemours & Co.

      9,159,465         613,409,371   

Eastman Chemical Co.

      1,559,220         105,528,010   

Eaton Corp. PLC

      4,799,945         315,404,386   

eBay, Inc.(a)

      11,077,043         364,434,715   

Ecolab, Inc.

      2,781,449         338,557,972   

Edison International

      3,404,196         245,953,161   

Edwards Lifesciences Corp.(a)

      2,234,606         269,404,099   

Electronic Arts, Inc.(a)

      3,162,399         270,068,875   

Eli Lilly & Co.

      10,183,952         817,363,988   

Emerson Electric Co.

      6,744,904         367,664,717   

Endo International PLC(a)

      2,127,972         42,878,636   

Entergy Corp.

      1,862,680         142,923,436   

EOG Resources, Inc.

      5,770,375         558,052,966   

EQT Corp.

      1,811,183         131,528,109   

Equifax, Inc.

      1,248,481         168,020,573   

Equinix, Inc. REIT

      728,249         262,351,702   

Equity Residential REIT

      3,831,901         246,506,191   

Essex Property Trust, Inc. REIT

      683,576         152,232,375   

Estee Lauder Cos., Inc.
Class A

      2,333,372         206,643,424   

Eversource Energy

      3,326,416         180,225,219   

Exelon Corp.

      9,665,153         321,752,943   

Expedia, Inc.

      1,236,964         144,378,438   

Expeditors International of Washington, Inc.

      1,900,420         97,909,638   

Express Scripts Holding Co.(a)

      6,633,762         467,879,234   

Extra Space Storage, Inc. REIT

      1,305,843         103,696,993   

Exxon Mobil Corp.

      43,474,370         3,794,443,014   

F5 Networks, Inc.(a)

      716,496         89,304,061   

Facebook, Inc. Class A(a)

      24,468,511         3,138,575,906   
 

 

See accompanying notes to financial statements.

 

2

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

Fastenal Co.

      3,028,831       $ 126,544,559   

Federal Realty Investment Trust REIT

      743,550         114,454,652   

FedEx Corp.

      2,615,306         456,841,652   

Fidelity National Information Services, Inc.

      3,488,039         268,683,644   

Fifth Third Bancorp

      8,056,590         164,837,831   

First Solar, Inc.(a)

      796,610         31,458,129   

FirstEnergy Corp.

      4,452,604         147,292,140   

Fiserv, Inc.(a)

      2,324,966         231,264,368   

FLIR Systems, Inc.

      1,433,522         45,041,261   

Flowserve Corp.

      1,358,881         65,552,419   

Fluor Corp.

      1,448,293         74,326,397   

FMC Corp.

      1,396,523         67,507,922   

FMC Technologies, Inc.(a)

      2,367,102         70,231,916   

Foot Locker, Inc.

      1,429,416         96,800,052   

Ford Motor Co.

      40,910,473         493,789,409   

Fortive Corp.

      3,141,137         159,883,873   

Fortune Brands Home & Security, Inc.

      1,597,115         92,792,382   

Franklin Resources, Inc.

      3,888,618         138,318,142   

Freeport-McMoRan, Inc.

      13,915,225         151,119,343   

Frontier Communications Corp.

      12,206,646         50,779,647   

Gap, Inc.

      2,356,430         52,407,003   

Garmin, Ltd.

      1,225,262         58,947,355   

General Dynamics Corp.

      3,011,540         467,270,546   

General Electric Co.

      94,331,459         2,794,097,816   

General Growth Properties, Inc. REIT

      6,086,139         167,977,436   

General Mills, Inc.

      6,232,707         398,145,323   

General Motors Co.

      14,687,341         466,616,824   

Genuine Parts Co.

      1,568,457         157,551,506   

Gilead Sciences, Inc.

      13,957,170         1,104,291,290   

Global Payments, Inc.

      1,609,951         123,579,839   

Goldman Sachs Group, Inc.

      3,969,477         640,157,556   

Goodyear Tire & Rubber Co.

      2,782,259         89,866,966   

H&R Block, Inc.

      2,353,224         54,477,136   

Halliburton Co.

      9,009,568         404,349,412   

Hanesbrands, Inc.

      3,961,414         100,025,704   

Harley-Davidson, Inc.

      1,918,405         100,888,919   

Harman International Industries, Inc.

      742,766         62,726,589   

Harris Corp.

      1,307,862         119,813,238   

Hartford Financial Services Group, Inc.

      4,134,458         177,037,492   

Hasbro, Inc.

      1,171,235         92,914,073   

HCA Holdings, Inc.(a)

      3,157,865         238,829,330   

HCP, Inc. REIT

      4,897,414         185,856,861   

Helmerich & Payne, Inc.

      1,128,183         75,926,716   

Henry Schein, Inc.(a)

      860,136         140,184,965   

Hershey Co.

      1,491,103         142,549,447   
Common Stocks    Shares      Value  
               

Hess Corp.

      2,764,923       $ 148,255,171   

Hewlett Packard Enterprise Co.

      17,416,286         396,220,506   

Hologic, Inc.(a)

      2,579,159         100,148,744   

Home Depot, Inc.

      13,038,672         1,677,816,313   

Honeywell International, Inc.

      7,989,390         931,482,980   

Hormel Foods Corp.

      2,809,546         106,566,080   

Host Hotels & Resorts, Inc. REIT

      7,847,536         122,186,136   

HP, Inc.

      18,000,787         279,552,222   

Humana, Inc.

      1,562,709         276,427,595   

Huntington Bancshares, Inc.

      11,382,614         112,232,574   

Illinois Tool Works, Inc.

      3,392,742         406,586,201   

Illumina, Inc.(a)

      1,543,481         280,388,758   

Ingersoll-Rand PLC

      2,699,491         183,403,419   

Intel Corp.

      49,509,393         1,868,979,586   

Intercontinental Exchange, Inc.(b)

      1,248,797         336,375,960   

International Business Machines Corp.

      9,156,244         1,454,469,359   

International Flavors & Fragrances, Inc.

      830,007         118,666,101   

International Paper Co.

      4,311,586         206,869,896   

Interpublic Group of Cos., Inc.

      4,192,458         93,701,436   

Intuit, Inc.

      2,679,632         294,786,316   

Intuitive Surgical, Inc.(a)

      399,191         289,345,613   

Invesco, Ltd.

      4,344,361         135,848,168   

Iron Mountain, Inc. REIT

      2,516,630         94,449,124   

J.M. Smucker Co.

      1,253,774         169,936,528   

Jacobs Engineering Group, Inc.(a)

      1,279,387         66,169,896   

JB Hunt Transport Services, Inc.

      928,426         75,332,486   

Johnson & Johnson

      28,834,142         3,406,177,194   

Johnson Controls International PLC

      9,908,569         461,045,716   

JPMorgan Chase & Co.

      38,036,871         2,532,875,240   

Juniper Networks, Inc.

      3,710,762         89,280,934   

Kansas City Southern

      1,133,085         105,739,492   

Kellogg Co.

      2,642,446         204,710,292   

KeyCorp

      11,350,946         138,141,013   

Kimberly-Clark Corp.

      3,770,080         475,557,891   

Kimco Realty Corp. REIT

      4,400,545         127,395,778   

Kinder Morgan, Inc.

      20,319,710         469,994,892   

KLA-Tencor Corp.

      1,626,563         113,387,707   

Kohl’s Corp.

      1,967,608         86,082,850   

Kraft Heinz Co.

      6,246,802         559,151,247   

Kroger Co.

      9,996,794         296,704,846   

L Brands, Inc.

      2,657,970         188,104,537   

L-3 Communications Holdings, Inc.

      810,242         122,127,777   

Laboratory Corp. of America Holdings(a)

      1,073,650         147,605,402   

Lam Research Corp.

      1,673,569         158,503,720   
 

 

See accompanying notes to financial statements.

 

3

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

Legg Mason, Inc.

      1,117,732       $ 37,421,667   

Leggett & Platt, Inc.

      1,416,661         64,571,408   

Lennar Corp. Class A

      1,925,159         81,511,232   

Leucadia National Corp.

      3,487,483         66,401,676   

Level 3 Communications, Inc.(a)

      3,039,994         140,994,922   

Lincoln National Corp.

      2,512,811         118,051,861   

Linear Technology Corp.

      2,501,277         148,300,713   

LKQ Corp.(a)

      3,213,046         113,934,611   

Lockheed Martin Corp.

      2,662,911         638,353,025   

Loews Corp.

      2,795,316         115,027,253   

Lowe’s Cos., Inc.

      9,284,386         670,425,513   

LyondellBasell Industries NV
Class A

      3,582,120         288,933,799   

M&T Bank Corp.

      1,666,799         193,515,364   

Macerich Co. REIT

      1,321,774         106,891,863   

Macy’s, Inc.

      3,234,574         119,840,967   

Mallinckrodt PLC(a)

      1,165,899         81,356,432   

Marathon Oil Corp.

      8,887,937         140,518,284   

Marathon Petroleum Corp.

      5,554,670         225,464,055   

Marriott International, Inc.
Class A

      3,404,304         229,211,788   

Marsh & McLennan Cos., Inc.

      5,463,799         367,440,483   

Martin Marietta Materials, Inc.

      671,195         120,217,736   

Masco Corp.

      3,477,897         119,326,646   

MasterCard, Inc. Class A

      10,122,349         1,030,151,458   

Mattel, Inc.

      3,549,136         107,467,838   

McCormick & Co., Inc.

      1,204,953         120,398,904   

McDonald’s Corp.

      8,992,994         1,037,431,788   

McKesson Corp.

      2,359,108         393,381,259   

Mead Johnson Nutrition Co.

      1,947,567         153,877,269   

Medtronic PLC

      14,547,072         1,256,867,021   

Merck & Co., Inc.

      29,019,587         1,811,112,425   

MetLife, Inc.

      11,518,545         511,768,954   

Mettler-Toledo International, Inc.(a)

      276,350         116,020,020   

Michael Kors Holdings, Ltd.(a)

      1,870,743         87,532,065   

Microchip Technology, Inc.

      2,252,567         139,974,513   

Micron Technology, Inc.(a)

      10,820,590         192,390,090   

Microsoft Corp.

      82,039,052         4,725,449,395   

Mohawk Industries, Inc.(a)

      664,368         133,099,485   

Molson Coors Brewing Co.
Class B

      1,930,410         211,959,018   

Mondelez International, Inc.
Class A

      16,271,210         714,306,119   

Monsanto Co.

      4,599,731         470,092,508   

Monster Beverage Corp.(a)

      1,474,456         216,464,885   

Moody’s Corp.

      1,768,479         191,490,906   

Morgan Stanley

      15,845,431         508,004,518   

Mosaic Co.

      3,680,113         90,015,564   

Motorola Solutions, Inc.

      1,656,880         126,386,806   

Murphy Oil Corp.

      1,684,329         51,203,602   
Common Stocks    Shares      Value  
               

Mylan NV(a)

      4,667,281       $ 177,916,752   

Nasdaq, Inc.

      1,194,239         80,658,902   

National Oilwell Varco, Inc.

      3,926,926         144,275,261   

Navient Corp.

      3,568,191         51,631,724   

NetApp, Inc.

      3,008,601         107,768,088   

Netflix, Inc.(a)

      4,490,866         442,574,844   

Newell Brands, Inc.

      5,057,583         266,332,321   

Newfield Exploration Co.(a)

      2,068,589         89,900,878   

Newmont Mining Corp.

      5,562,095         218,534,713   

News Corp. Class A

      3,970,215         55,503,606   

News Corp. Class B

      1,149,038         16,339,320   

NextEra Energy, Inc.

      4,839,902         592,016,813   

Nielsen Holdings PLC

      3,535,937         189,420,145   

NIKE, Inc. Class B

      13,961,567         735,076,503   

NiSource, Inc.

      3,338,081         80,481,133   

Noble Energy, Inc.

      4,477,387         160,021,811   

Nordstrom, Inc.

      1,337,115         69,369,526   

Norfolk Southern Corp.

      3,113,413         302,187,866   

Northern Trust Corp.

      2,243,026         152,503,338   

Northrop Grumman Corp.

      1,889,710         404,303,454   

NRG Energy, Inc.

      3,265,232         36,603,251   

Nucor Corp.

      3,321,895         164,267,708   

NVIDIA Corp.

      5,669,066         388,444,402   

O’Reilly Automotive, Inc.(a)

      1,015,113         284,343,302   

Occidental Petroleum Corp.

      8,007,706         583,921,922   

Omnicom Group, Inc.

      2,496,699         212,219,415   

ONEOK, Inc.

      2,191,515         112,621,956   

Oracle Corp.

      31,700,545         1,245,197,408   

Owens-Illinois, Inc.(a)

      1,678,247         30,862,962   

PACCAR, Inc.

      3,659,845         215,125,689   

Parker-Hannifin Corp.

      1,407,461         176,678,579   

Patterson Cos., Inc.

      872,455         40,080,583   

Paychex, Inc.

      3,344,940         193,571,678   

PayPal Holdings, Inc.(a)

      11,625,317         476,289,237   

Pentair PLC

      1,901,818         122,172,788   

People’s United Financial, Inc.

      3,232,347         51,135,730   

PepsiCo, Inc.

      15,141,923         1,646,986,965   

PerkinElmer, Inc.

      1,134,340         63,647,817   

Perrigo Co. PLC

      1,502,751         138,749,000   

Pfizer, Inc.

      63,588,106         2,153,729,150   

PG&E Corp.

      5,202,042         318,208,909   

Philip Morris International, Inc.

      16,264,761         1,581,260,064   

Phillips 66

      4,696,782         378,325,790   

Pinnacle West Capital Corp.

      1,158,774         88,055,236   

Pioneer Natural Resources Co.

      1,716,255         318,622,741   

Pitney Bowes, Inc.

      1,995,470         36,237,735   

PNC Financial Services Group, Inc.

      5,232,427         471,389,348   

PPG Industries, Inc.

      2,786,829         288,046,645   

PPL Corp.

      7,097,919         245,375,060   

Praxair, Inc.

      2,990,944         361,395,764   

Priceline Group, Inc.(a)

      520,847         766,421,152   
 

 

See accompanying notes to financial statements.

 

4

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

Principal Financial Group, Inc.

      2,821,729       $ 145,347,261   

Procter & Gamble Co.

      28,114,239         2,523,252,950   

Progressive Corp.

      6,104,189         192,281,953   

Prologis, Inc. REIT

      5,508,210         294,909,563   

Prudential Financial, Inc.

      4,656,027         380,164,605   

Public Service Enterprise Group, Inc.

      5,290,665         221,520,144   

Public Storage REIT

      1,545,611         344,887,639   

PulteGroup, Inc.

      3,312,885         66,390,215   

PVH Corp.

      855,527         94,535,734   

Qorvo, Inc.(a)

      1,341,195         74,758,209   

QUALCOMM, Inc.

      15,399,774         1,054,884,519   

Quanta Services, Inc.(a)

      1,584,882         44,360,847   

Quest Diagnostics, Inc.

      1,483,179         125,521,439   

Ralph Lauren Corp.

      605,221         61,212,052   

Range Resources Corp.

      1,776,548         68,841,235   

Raytheon Co.

      3,122,219         425,027,672   

Realty Income Corp. REIT

      2,701,667         180,822,572   

Red Hat, Inc.(a)

      1,907,335         154,169,888   

Regeneron Pharmaceuticals, Inc.(a)

      815,273         327,756,051   

Regions Financial Corp.

      13,412,442         132,380,803   

Republic Services, Inc.

      2,483,312         125,283,090   

Reynolds American, Inc.

      8,680,570         409,288,875   

Robert Half International, Inc.

      1,366,257         51,726,490   

Rockwell Automation, Inc.

      1,370,540         167,671,864   

Rockwell Collins, Inc.

      1,364,802         115,107,401   

Roper Technologies, Inc.

      1,055,906         192,671,168   

Ross Stores, Inc.

      4,228,381         271,884,898   

Royal Caribbean Cruises, Ltd.

      1,765,910         132,354,954   

Ryder System, Inc.

      558,498         36,832,943   

S&P Global, Inc.

      2,770,921         350,687,762   

salesforce.com, Inc.(a)

      6,679,646         476,459,149   

SCANA Corp.

      1,491,521         107,941,375   

Schlumberger, Ltd.

      14,568,544         1,145,670,300   

Scripps Networks Interactive, Inc. Class A

      991,359         62,941,383   

Seagate Technology PLC

      3,090,780         119,149,569   

Sealed Air Corp.

      2,066,892         94,704,991   

Sempra Energy

      2,650,996         284,160,261   

Sherwin-Williams Co.

      824,438         228,089,017   

Signet Jewelers, Ltd.

      827,225         61,653,079   

Simon Property Group, Inc. REIT

      3,245,026         671,752,832   

Skyworks Solutions, Inc.

      2,000,238         152,298,121   

SL Green Realty Corp. REIT

      1,045,839         113,055,196   

Snap-on, Inc.

      606,326         92,137,299   

Southern Co.

      10,349,196         530,913,755   

Southwest Airlines Co.

      6,691,867         260,246,708   

Southwestern Energy Co.(a)

      4,807,270         66,532,617   

Spectra Energy Corp.

      7,179,777         306,935,467   

St. Jude Medical, Inc.

      2,981,235         237,783,304   
Common Stocks    Shares      Value  
               

Stanley Black & Decker, Inc.

      1,585,871       $ 195,030,416   

Staples, Inc.

      6,747,624         57,692,185   

Starbucks Corp.

      15,357,988         831,481,470   

State Street Corp.(c)

      3,879,436         270,125,129   

Stericycle, Inc.(a)

      887,032         71,086,744   

Stryker Corp.

      3,292,596         383,291,100   

SunTrust Banks, Inc.

      5,262,721         230,507,180   

Symantec Corp.

      6,420,042         161,143,054   

Synchrony Financial

      8,701,994         243,655,832   

Sysco Corp.

      5,482,780         268,711,048   

T Rowe Price Group, Inc.

      2,602,191         173,045,701   

Target Corp.

      6,173,197         423,975,170   

TE Connectivity, Ltd.

      3,747,591         241,269,909   

TEGNA, Inc.

      2,286,932         49,992,334   

Teradata Corp.(a)

      1,384,192         42,909,952   

Tesoro Corp.

      1,257,898         100,078,365   

Texas Instruments, Inc.

      10,528,417         738,884,305   

Textron, Inc.

      2,826,224         112,342,404   

Thermo Fisher Scientific, Inc.

      4,140,801         658,635,807   

Tiffany & Co.

      1,156,844         84,021,580   

Time Warner, Inc.

      8,252,774         657,003,338   

TJX Cos., Inc.

      6,930,034         518,227,943   

Torchmark Corp.

      1,174,957         75,068,003   

Total System Services, Inc.

      1,769,992         83,455,123   

Tractor Supply Co.

      1,395,142         93,962,814   

TransDigm Group, Inc.(a)

      557,373         161,147,682   

Transocean, Ltd.

      3,577,077         38,131,641   

Travelers Cos., Inc.

      3,079,223         352,724,995   

TripAdvisor, Inc.(a)

      1,189,387         75,145,471   

Twenty-First Century Fox, Inc. Class A

      11,477,780         277,991,832   

Twenty-First Century Fox, Inc. Class B

      4,518,953         111,798,897   

Tyson Foods, Inc. Class A

      3,150,912         235,278,599   

UDR, Inc. REIT

      2,788,606         100,361,930   

Ulta Salon Cosmetics &
Fragrance, Inc.(a)

      654,570         155,774,569   

Under Armour, Inc. Class A(a)

      1,896,425         73,353,719   

Under Armour, Inc. Class C(a)

      1,909,643         64,660,512   

Union Pacific Corp.

      8,839,522         862,118,581   

United Continental Holdings, Inc.(a)

      3,115,444         163,467,347   

United Parcel Service, Inc.
Class B

      7,238,815         791,636,808   

United Rentals, Inc.(a)

      946,688         74,305,541   

United Technologies Corp.

      8,159,581         829,013,430   

UnitedHealth Group, Inc.

      9,968,802         1,395,632,280   

Universal Health Services, Inc.
Class B

      939,254         115,734,878   

Unum Group

      2,490,459         87,938,107   

Urban Outfitters, Inc.(a)

      902,751         31,162,965   
 

 

See accompanying notes to financial statements.

 

5

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

Common Stocks    Shares      Value  
               

US Bancorp

      17,056,331       $ 731,546,037   

Valero Energy Corp.

      4,911,649         260,317,397   

Varian Medical Systems, Inc.(a)

      994,840         99,016,425   

Ventas, Inc. REIT

      3,549,571         250,706,200   

VeriSign, Inc.(a)

      1,004,207         78,569,156   

Verisk Analytics, Inc.(a)

      1,615,881         131,338,808   

Verizon Communications, Inc.

      42,737,731         2,221,507,257   

Vertex Pharmaceuticals, Inc.(a)

      2,593,372         226,167,972   

VF Corp.

      3,500,393         196,197,028   

Viacom, Inc. Class B

      3,620,737         137,950,080   

Visa, Inc. Class A

      19,964,872         1,651,094,914   

Vornado Realty Trust REIT

      1,858,719         188,120,950   

Vulcan Materials Co.

      1,391,900         158,300,787   

W.W. Grainger, Inc.

      591,958         133,095,837   

Wal-Mart Stores, Inc.

      16,004,868         1,154,271,080   

Walgreens Boots Alliance, Inc.

      9,057,992         730,255,315   

Walt Disney Co.

      15,677,546         1,455,816,922   

Waste Management, Inc.

      4,327,893         275,946,458   

Waters Corp.(a)

      846,414         134,148,155   

WEC Energy Group, Inc.

      3,309,313         198,161,662   

Wells Fargo & Co.

      47,819,914         2,117,465,792   

Welltower, Inc. REIT

      3,743,115         279,872,709   

Western Digital Corp.

      2,951,427         172,569,937   

Western Union Co.

      5,223,599         108,755,331   
Common Stocks    Shares      Value  
               

WestRock Co.

      2,647,375       $ 128,344,740   

Weyerhaeuser Co. REIT

      7,832,837         250,180,814   

Whirlpool Corp.

      804,798         130,506,044   

Whole Foods Market, Inc.

      3,383,125         95,911,594   

Williams Cos., Inc.

      7,132,090         219,169,126   

Willis Towers Watson PLC

      1,449,502         192,450,381   

Wyndham Worldwide Corp.

      1,173,074         78,983,072   

Wynn Resorts, Ltd.

      849,611         82,769,104   

Xcel Energy, Inc.

      5,325,293         219,082,554   

Xerox Corp.

      9,921,549         100,505,291   

Xilinx, Inc.

      2,662,866         144,700,138   

XL Group, Ltd.

      2,985,024         100,386,357   

Xylem, Inc.

      1,859,433         97,527,261   

Yahoo!, Inc.(a)

      9,162,951         394,923,188   

Yum! Brands, Inc.

      3,912,052         355,253,442   

Zimmer Biomet Holdings, Inc.

      2,096,362         272,568,987   

Zions Bancorp

      2,136,703         66,280,527   

Zoetis, Inc.

      5,258,494         273,494,273   
     

 

 

  

Total Common Stocks
(Cost $206,950,171,369)

       $ 197,172,469,106   
     

 

 

  

 

(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.

REIT = Real Estate Investment Trust

PLC = Public Limited Company

 

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2016.

 

Description    Level 1 —
Quoted Prices		      Level 2 — Other Significant
Observable Inputs		      Level 3 — Significant
Unobservable Inputs		      Total  

ASSETS:

            

INVESTMENTS:

            

Common Stocks

    $ 197,172,469,106       $ —       $ —       $ 197,172,469,106   

INVESTMENTS IN AFFILIATES OF THE TRUSTEE AND THE SPONSOR

SPDR S&P 500 ETF Trust has invested in State Street Corp., which is considered an affiliate of the Trustee and Intercontinental Exchange, Inc., which is considered an affiliate of the Sponsor. Amounts related to these investments at September 30, 2016, and for the year then ended, are (Note 3):

 

     Number of
Shares Held
at 9/30/15		      Value At
9/30/15		      Shares
Purchased*		      Shares
Sold*		      Number of
Shares Held
at 9/30/16		      Value at
9/30/16		      Dividend
Income		      Realized
Gain (Loss)		  

Intercontinental Exchange, Inc.

      1,087,396       $ 255,527,186         1,259,092         1,097,691         1,248,797       $ 336,375,960       $ 3,900,155       $ 27,909,073   

State Street Corp.

      4,038,276         271,412,530         3,958,034         4,116,874         3,879,436         270,125,129         5,622,197         (1,288,406 ) 
     

 

 

              

 

 

     

 

 

     

 

 

  

TOTAL

       $ 526,939,716                $ 606,501,089       $ 9,522,352       $ 26,620,667   
     

 

 

              

 

 

     

 

 

     

 

 

  

 

* Purchased and Sold figures include securities received or delivered from processing creations or redemptions of Units.

 

See accompanying notes to financial statements.

 

6

Table of Contents

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2016

 

 

 

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2016

 

INDUSTRY

    PERCENT OF
NET ASSETS*		  

Oil, Gas & Consumable Fuels

      6.2 % 

Pharmaceuticals

      5.5   

Banks

      5.4   

Internet Software & Services

      4.6   

Software

      4.4   

IT Services

      3.8   

Technology Hardware, Storage & Peripherals

      3.8   

Semiconductors & Semiconductor Equipment

      3.3   

Real Estate Investment Trusts (REITs)

      3.0   

Biotechnology

      3.0   

Media

      2.9   

Health Care Equipment & Supplies

      2.8   

Insurance

      2.7   

Diversified Telecommunication Services

      2.6   

Health Care Providers & Services

      2.6   

Industrial Conglomerates

      2.6   

Capital Markets

      2.5   

Internet & Catalog Retail

      2.5   

Specialty Retail

      2.5   

Beverages

      2.2   

Aerospace & Defense

      2.1   

Chemicals

      2.1   

Food & Staples Retailing

      2.1   

Electric Utilities

      2.0   

Household Products

      2.0   

Food Products

      1.7   

Tobacco

      1.7   

Hotels, Restaurants & Leisure

      1.6   

Diversified Financial Services

      1.5   

Machinery

      1.4   

Communications Equipment

      1.1   

Energy Equipment & Services

      1.1   

Multi-Utilities

      1.1   

Road & Rail

      0.9   

Textiles, Apparel & Luxury Goods

      0.8   

Air Freight & Logistics

      0.7   

Consumer Finance

      0.7   

Life Sciences Tools & Services

      0.7   

Multiline Retail

      0.6   

Automobiles

      0.5   

Airlines

      0.5   

Electrical Equipment

      0.5   

Household Durables

      0.5   

Auto Components

      0.4   

Electronic Equipment, Instruments & Components

      0.4   

Commercial Services & Supplies

      0.3   

Containers & Packaging

      0.3   

 

INDUSTRY

    PERCENT OF
NET ASSETS*		  

Metals & Mining

      0.3 % 

Professional Services

      0.3   

Trading Companies & Distributors

      0.2   

Construction Materials

      0.1   

Building Products

      0.1   

Construction & Engineering

      0.1   

Distributors

      0.1   

Health Care Technology

      0.1   

Independent Power Producers & Energy Traders

      0.1   

Leisure Equipment & Products

      0.1   

Personal Products

      0.1   

Water Utilities

      0.1   

Diversified Consumer Services

      0.0 ** 

Real Estate Management & Development

      0.0 ** 

Other Assets in Excess of Liabilities

      0.1   

 

  

Total

      100.0 % 

 

  

 

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

 

** Amount shown represents less than 0.05% of net assets.
 

 

See accompanying notes to financial statements.

 

7

Table of Contents

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

September 30, 2016

 

 

 

ASSETS

   

Investments in unaffiliated issuers, at value (Note 2)

    $ 196,565,968,017   

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

      606,501,089   
  

 

 

  

Total Investments

      197,172,469,106   

Cash

      926,013,371   

Receivable for investments sold

      11,824,464   

Dividends receivable — unaffiliated issuers — net of withholding tax (Note 2)

      222,331,835   

Dividends receivable — affiliated issuers (Note 2)

      1,488,327   
  

 

 

  

Total Assets

      198,334,127,103   
  

 

 

  

LIABILITIES

   

Payable for investments purchased

      17,124,978   

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

      731,265   

Accrued Trustee expense (Note 3)

      6,934,866   

Accrued Marketing expense (Note 3)

      16,191,013   

Distribution payable

      985,690,493   

Other accrued expenses and liabilities

      26,490,524   
  

 

 

  

Total Liabilities

      1,053,163,139   
  

 

 

  

NET ASSETS

    $ 197,280,963,964   
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid in capital (Note 4)

    $ 213,393,189,765   

Distribution in excess of net investment income

      (985,690,493 ) 

Accumulated net realized gain (loss) on investments

      (5,348,833,045 ) 

Net unrealized appreciation (depreciation) on investments

      (9,777,702,263 ) 
  

 

 

  

NET ASSETS

    $ 197,280,963,964   
  

 

 

  

NET ASSET VALUE PER UNIT

    $ 216.40   
  

 

 

  

UNITS OUTSTANDING (UNLIMITED UNITS AUTHORIZED)

      911,632,116   
  

 

 

  

COST OF INVESTMENTS:

   

Unaffiliated issuers

    $ 206,338,815,247   

Affiliates of the Trustee and the Sponsor (Note 3)

      611,356,122   
  

 

 

  

Total Cost of Investments

    $ 206,950,171,369   
  

 

 

  

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500 ETF Trust

Statements of Operations

 

 

 

     Year Ended
9/30/16		     Year Ended
9/30/15		     Year Ended
9/30/14		  

INVESTMENT INCOME

       

Dividend income — unaffiliated issuers (Note 2)

    $ 3,945,216,356      $ 4,005,208,734      $ 3,282,246,167   

Dividend income — affiliates of the Trustee and the Sponsor

      9,522,352        8,629,447        7,737,949   

Foreign taxes withheld

      (1,701 )      (400,124 )      (55,714 ) 
  

 

 

    

 

 

    

 

 

  

Total Investment Income

      3,954,737,007        4,013,438,057        3,289,928,402   

EXPENSES

       

Trustee expense (Note 3)

      103,362,752        105,581,093        94,051,423   

S&P license fee (Note 3)

      55,221,522        55,780,384        49,409,863   

Marketing expense (Note 3)

      36,504,376        36,786,924        32,539,910   

Legal and audit fees

      384,056        558,523        31,642   

Other expenses

      2,221,602        3,771,679        2,594,912   
  

 

 

    

 

 

    

 

 

  

Total Expenses

      197,694,308        202,478,603        178,627,750   
  

 

 

    

 

 

    

 

 

  

Trustee expense waiver

      (25,222,398 )      (28,513,292 )      (24,863,548 ) 
  

 

 

    

 

 

    

 

 

  

Net Expenses

      172,471,910        173,965,311        153,764,202   
  

 

 

    

 

 

    

 

 

  

NET INVESTMENT INCOME

      3,782,265,097        3,839,472,746        3,136,164,200   
  

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) on:

       

Investments — unaffiliated issuers

      10,253,193,589        20,747,712,041        19,553,859,588   

Investments — affiliates of the Trustee and the Sponsor

      26,620,667        50,429,127        71,893,864   
  

 

 

    

 

 

    

 

 

  

Net realized gain (loss)

      10,279,814,256        20,798,141,168        19,625,753,452   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation on:

       

Investments — unaffiliated issuers

      10,942,349,396        (25,396,805,455 )      4,246,483,070   

Investments — affiliates of the Trustee and the Sponsor

      24,374,172        (34,779,514 )      (15,568,822 ) 
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation

      10,966,723,568        (25,431,584,969 )      4,230,914,248   
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS)

      21,246,537,824        (4,633,443,801 )      23,856,667,700   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 25,028,802,921      $ (793,971,055 )    $ 26,992,831,900   
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

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SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets

 

 

 

     Year Ended
9/30/16		     Year Ended
9/30/15		     Year Ended
9/30/14		  

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

       

Net investment income (loss)

    $ 3,782,265,097      $ 3,839,472,746      $ 3,136,164,200   

Net realized gain (loss)

      10,279,814,256        20,798,141,168        19,625,753,452   

Net change in unrealized appreciation/depreciation

      10,966,723,568        (25,431,584,969 )      4,230,914,248   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      25,028,802,921        (793,971,055 )      26,992,831,900   
  

 

 

    

 

 

    

 

 

  

NET EQUALIZATION CREDITS AND CHARGES (NOTE 2)

      21,466,005        69,539,438        62,384,940   
  

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME

      (3,930,525,113 )      (3,768,615,848 )      (3,236,399,773 ) 
  

 

 

    

 

 

    

 

 

  

INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:

       

Proceeds from issuance of Units

      432,172,352,001        515,823,857,164        384,831,248,199   

Cost of Units redeemed

      (422,673,566,737 )      (524,519,686,326 )      (373,296,420,608 ) 

Net income equalization (Note 2)

      (21,466,005 )      (69,539,438 )      (62,384,940 ) 
  

 

 

    

 

 

    

 

 

  

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

      9,477,319,259        (8,765,368,600 )      11,472,442,651   

Contribution by Trustee (Note 3)

      —        26,920,521        —   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

      30,597,063,072        (13,231,495,544 )      35,291,259,718   

NET ASSETS AT BEGINNING OF PERIOD

      166,683,900,892        179,915,396,436        144,624,136,718   
  

 

 

    

 

 

    

 

 

  

NET ASSETS AT END OF PERIOD

    $ 197,280,963,964      $ 166,683,900,892      $ 179,915,396,436   
  

 

 

    

 

 

    

 

 

  

DISTRIBUTION IN EXCESS OF NET INVESTMENT INCOME

    $ (985,690,493 )    $ (919,630,875 )    $ (804,394,943 ) 
  

 

 

    

 

 

    

 

 

  

UNIT TRANSACTIONS:

       

Units sold

      2,107,450,000        2,537,300,000        2,061,700,000   

Units redeemed

      (2,065,000,000 )      (2,581,500,000 )      (2,009,400,000 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE)

      42,450,000        (44,200,000 )      52,300,000   
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500 ETF Trust

Financial Highlights

Selected data for a unit outstanding throughout each period

 

 

 

     Year Ended
9/30/16		     Year Ended
9/30/15		     Year Ended
9/30/14		     Year Ended
9/30/13		     Year Ended
9/30/12		  

Net asset value, beginning of period

    $ 191.77      $ 196.98      $ 167.96      $ 144.00      $ 113.12   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (loss) from investment operations:

           

Net investment income
(loss)(a)

      4.27        4.28        3.60        3.36        2.77   

Net realized and unrealized gain (loss)

      24.76        (5.47 )      29.03        23.91        30.80   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      29.03        (1.19 )      32.63        27.27        33.57   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net equalization credits and charges(a)

      0.02        0.08        0.07        0.08        0.16   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Contribution by Trustee

      —        0.03 (b)      —        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions from:

           

Net investment income

      (4.42 )      (4.13 )      (3.68 )      (3.39 )      (2.85 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

    $ 216.40      $ 191.77      $ 196.98      $ 167.96      $ 144.00   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

      15.30 %      (0.64 )%(d)      19.57 %      19.09 %      29.96 % 

Ratios and Supplemental Data:

           

Net assets, end of period (in 000s)

    $ 197,280,964      $ 166,683,901      $ 179,915,396      $ 144,624,137      $ 118,164,619   

Ratios to average net assets:

           

Total expenses (excluding Trustee earnings credit)

      0.11 %      0.11 %      0.11 %      0.11 %      0.11 % 

Total expenses (excluding Trustee earnings credit and fee waivers)

      0.11 %      0.11 %      0.11 %      0.11 %      0.11 % 

Net expenses(e)

      0.09 %      0.09 %      0.09 %      0.09 %      0.09 % 

Net investment income (loss)

      2.07 %      2.09 %      1.93 %      2.15 %      2.08 % 

Portfolio turnover rate(f)

      4 %      3 %      4 %      3 %      4 % 

 

(a) Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the year.
(b) Contribution paid by the Trustee in the amount of $26,920,521. (See Note 3).
(c) Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation.
(d) Total return would have been lower by 0.01% if the Trustee had not made a contribution. (See Note 3).
(e) Net of expenses waived by the Trustee.
(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Units.

 

See accompanying notes to financial statements.

 

11

Table of Contents

SPDR S&P 500 ETF Trust

Notes to Financial Statements

September 30, 2016

 

 

 

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 Trustee expects the risk of material loss to be remote.

On November 13, 2013, the Sponsor became an indirect, wholly-owned subsidiary of Intercontinental Exchange, Inc. (“ICE”), following the acquisition of NYSE Holdings LLC (the parent company of the Sponsor) by ICE. As the parent company, ICE is the publicly-traded entity, trading on the New York Stock Exchange under the symbol “ICE.”

Note 2 — Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Trustee to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Trust is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board Accounting Standards Codification 946, Financial Services Investment Companies.

Security Valuation

The Trust’s investments are valued at fair value each day that the Trust’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Trust’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Trust are valued pursuant to the policy and procedures developed by the oversight committee of the Trustee (the “Committee”). The Committee provides oversight of the valuation of investments for the Trust. Valuation techniques used to value the Trust’s equity investments are as follows:

Equity investments (including preferred stocks) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the

 

12

Table of Contents

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2016

 

 

 

Note 2 — Summary of Significant Accounting Policies – (continued)

 

primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

In the event that prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Trustee.

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 Trust’s underlying index, “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 Trust values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques, giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with the investment.

The three levels of the fair value hierarchy are as follows:

 

•  

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities;

 

•  

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

 

•  

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Trust did not hold any investments valued using Level 2 or Level 3 inputs as of September 30, 2016 and did not have any transfers between levels for the year ended September 30, 2016.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock, if any, are recorded as dividend income at fair value. Distributions received by the Trust may include a return of capital that is estimated by the Trustee. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. The Trust invests in real estate investment trusts (“REITs”). REITs determine the characterization of their income annually and may

 

13

Table of Contents

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2016

 

 

 

Note 2 — Summary of Significant Accounting Policies – (continued)

 

characterize a portion of their distributions as a return of capital or capital gain. The Trust’s policy is to record all REIT distributions as dividend income initially and re-designate the prior calendar year’s return of capital or capital gain distributions at year end. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.

Distributions

The Trust declares and distributes dividends from net investment income to its holders of Units (“unitholders”), if any, quarterly. Capital gain distributions, if any, are generally declared and paid annually. Additional distributions may be paid by the Trust to avoid imposition of federal income and excise tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

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. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.

Federal Income Taxes

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” determined prior to the deduction for dividends paid by the Trust (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided that the Trust distributes substantially all of its ordinary income and capital gains during each calendar year, the Trust will not be subject to U.S. federal excise tax. Income and capital gain distributions are determined in accordance with tax regulations which may differ from U.S. GAAP. These book-tax differences are primarily due to differing treatments for expired carry forward losses, in-kind transactions, REITs and losses deferred due to wash sales.

U.S. GAAP requires the evaluation of tax positions taken in the course of preparing the Trust’s tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. For U.S. GAAP purposes, the Trust recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities.

The Trust has reviewed its tax positions for the open tax years as of September 30, 2016 and has determined that no provision for income tax is required in the Trust’s financial statements. Generally, the Trust’s tax returns for the prior three fiscal years remain subject to examinations by the Trust’s major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts and the State of New York. The Trust recognizes 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, 2016.

 

14

Table of Contents

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2016

 

 

 

Note 2 — Summary of Significant Accounting Policies – (continued)

 

No income tax returns are currently under examination. The Trustee has analyzed the relevant tax laws and regulations and their application to the Trust’s facts and circumstances and does not believe there are any uncertain tax positions that require recognition of any tax liabilities. Any potential tax liability is also subject to ongoing interpretation of laws by taxing authorities. The tax treatment of the Trust’s investments may change over time based on factors including, but not limited to, new tax laws, regulations and interpretations thereof.

During the year ended September 30, 2016, the Trust reclassified $11,282,034,332 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, 2016, the Trust had the following capital loss carryforwards that may be utilized to offset any net realized gains, expiring September 30:

 

2017

    $ 2,553,965,847   

2018

      188,539,023   

Non-Expiring – Short Term*

      404,086,012   

Non-Expiring – Long Term*

      2,197,285,149   

During the tax year ended September 30, 2016, the Trust utilized capital loss carryforwards of $0 and had $917,820,735 of capital loss carryforwards expire.

 

* Must be utilized prior to losses subject to expiration

At September 30, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

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

SPDR S&P 500 ETF Trust

    $ 206,955,128,384       $ 6,952,931,045       $ 16,735,590,323       $ (9,782,659,278 ) 

The tax character of distributions paid during the years ended September 30, 2016, 2015 and 2014 were as follows:

 

Distributions paid from:

    2016      2015      2014  

Ordinary Income

    $ 3,930,525,113       $ 3,768,615,848       $ 3,236,399,773   

As of September 30, 2016, the components of distributable earnings (excluding unrealized appreciation/ (depreciation)) were undistributed ordinary income of $0 and undistributed capital gain of $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 the 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

 

15

Table of Contents

SPDR S&P 500 ETF Trust

Notes to Financial Statements (continued)

September 30, 2016

 

 

 

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

 

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, 2016.

 

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 (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 the 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 period ended September 30, 2016, the Adjustment Amount reduced the Trustee’s fee by $6,750,376. The Adjustment Amount included an excess of net transaction fees from processing orders of $4,745,222 and a Trustee earnings credit of $2,005,154.

The Trustee has voluntarily agreed to waive a portion of its fee, as needed, for one year until February 1, 2018, so that the total operating expenses would not exceed 0.0945% per annum of the daily Net Asset Value (“NAV”) of the Trust. The total amount of such waivers by the Trustee for the years ended September 30, 2016, 2015 and 2014 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.

In accordance with the Trust Agreement and under the terms of an exemptive order issued by the Securities and Exchange Commission, dated December 30, 1997, the Sponsor is reimbursed by the Trust for certain expenses up to a maximum of 0.20% of the Trust’s net asset value on an annualized basis. The expenses reimbursed to the Sponsor for the years ended September 30, 2016, 2015 and 2014, did not exceed 0.20% per annum.

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”). 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 the basis for determining the composition of the Trust’s portfolio. The Trustee (on behalf of the Trust), the Sponsor and NYSE Arca, Inc. (“NYSE Arca”) 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 license 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

 

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Notes to Financial Statements (continued)

September 30, 2016

 

 

 

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

 

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.

ALPS Distributors, Inc. (the “Distributor”) serves as the distributor of the Units. The Sponsor pays the Distributor for its services a flat annual fee of $35,000, and the Trust does not reimburse the Sponsor for this fee.

Investments in Affiliates of the Trustee and the Sponsor

The Trust has invested in companies that are considered affiliates of the Trustee (State Street Corp.) and the Sponsor (ICE). Such investments were made according to the representative portion of the S&P 500 Index. The market values of these investments at September 30, 2016 are listed in the Schedule of Investments.

Contribution from the Trustee

On July 20, 2015, the Trustee made a cash contribution to the Trust in connection with the correction of a class action processing error.

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. There is a transaction fee payable to the Trustee in connection with each creation and redemption of Creation Units made through the clearing process (the “Transaction Fee”). The Transaction Fee is non-refundable, regardless of the NAV of the Trust. The Transaction Fee is the lesser of $3,000 or 0.10% (10 basis points) of the value of one Creation Unit at the time of creation per participating party per day, regardless of the number of Creation Units created or redeemed on such day. The Transaction Fee is currently $3,000. For creations and redemptions outside the clearing process, including orders from a participating party restricted from engaging in transactions in one or more of the common stocks that are included in the S&P 500 Index, an additional amount not to exceed three (3) times the Transaction Fee applicable for one Creation Unit is charged per Creation Unit per day.

Note 5 — Investment Transactions

For the year ended September 30, 2016, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $177,227,631,568, $167,729,988,725, $7,783,624,798, and $6,444,954,759, respectively. Net realized gain (loss) on investment transactions in the Statements of Operations includes net gains resulting from in-kind transactions of $11,282,034,332.

Note 6 — Market Risk

In the normal course of business, the Trust invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk). Due to the level of risk associated with certain investments, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

An investment in the Trust involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. The value of a Unit will decline, more or less, in correlation with any decline in

 

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Notes to Financial Statements (continued)

September 30, 2016

 

 

 

Note 6 — Market Risk – (continued)

 

value of the S&P 500 Index. The values of equity securities could decline generally or could underperform other investments. The Trust would not sell an equity security because the security’s issuer was in financial trouble unless that security was removed from the S&P 500 Index.

Note 7 — Subsequent Events

The Trustee has evaluated the impact of all subsequent events on the Trust through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

 

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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 the SPDR S&P 500 ETF Trust at September 30, 2016, 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, 2016 by correspondence with the custodian and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2016

 

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Other Information

September 30, 2016 (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, 2016 is 95.2%.

For the fiscal year ended September 30, 2016, 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 20% in the case of certain non-corporate shareholders that meet applicable holding period requirements with respect to their Units. Complete information will be reported in conjunction with your 2016 Form 1099-DIV.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Bid/Ask Price(1) vs Net Asset Value

As of September 30, 2016

 

     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		  

2016

      0         0         0         0         0         0   

2015

      0         0         0         0         0         0   

2014

      0         0         0         0         0         0   

2013

      0         0         0         0         0         0   

2012

      0         0         0         0         0         0   

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

The table below is provided to compare the Trust’s total pre-tax return at NAV with the total pre-tax returns based on bid/ask price and the performance of the S&P 500 Index. Past performance is not necessarily an indication of how the Trust will perform in the future. The return based on NAV shown in the table below reflects the impact of a fee waiver and, without this waiver, returns would have been lower.

Cumulative Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      15.30 %      111.91 %      99.29 % 

Return Based on Bid/Ask Price

      15.33 %      111.82 %      99.21 % 

S&P 500 Index

      15.43 %      113.44 %      101.14 % 

 

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Other Information (continued)

September 30, 2016 (Unaudited)

 

 

 

Average Annual Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      15.30 %      16.21 %      7.14 % 

Return Based on Bid/Ask Price

      15.33 %      16.20 %      7.14 % 

S&P 500 Index

      15.43 %      16.37 %      7.24 % 

 

(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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(Unaudited)

 

 

 

Sponsor

PDR Services LLC

c/o NYSE Holdings LLC

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

101 Seaport Boulevard, Suite 500

Boston, MA 02210

 

SPDRAR