N-30D 1 d623691dn30d.htm SPDR S&P 500 ETF TRUST <![CDATA[SPDR S&P 500 ETF Trust]]>

 

SPDR® S&P 500® ETF Trust

A Unit Investment Trust

Annual Report

September 30, 2013

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

 

Precise in a world that isn’t.TM   LOGO

SPDR S&P 500 ETF Trust

Trust Overview

 

 

 

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, 2013, with a 12-month total return of 19.09% based on net asset value, as compared to the S&P 500® Index return of 19.34%.

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. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

 

1

SPDR S&P 500 ETF Trust

Schedule of Investments

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

3M Co.

      6,273,661       $        749,137,860   

Abbott Laboratories

      15,020,773         498,539,456   

AbbVie, Inc.

      15,273,138         683,167,463   

Abercrombie & Fitch Co. (Class A)

      768,290         27,174,417   

Accenture PLC (Class A)

      6,232,914         458,991,787   

ACE, Ltd.

      3,281,039         306,974,009   

Actavis, Inc.(a)

      1,678,059         241,640,496   

Adobe Systems, Inc.(a)

      4,518,140         234,672,192   

Aetna, Inc.

      3,596,942         230,276,227   

AFLAC, Inc.

      4,503,700         279,184,363   

Agilent Technologies, Inc.

      3,198,277         163,911,696   

AGL Resources, Inc.

      1,139,044         52,430,195   

Air Products & Chemicals, Inc.

      2,009,381         214,139,733   

Airgas, Inc.

      658,371         69,820,245   

Akamai Technologies, Inc.(a)

      1,704,759         88,136,040   

Alcoa, Inc.

      10,295,877         83,602,521   

Alexion Pharmaceuticals, Inc.(a)

      1,880,576         218,447,708   

Allegheny Technologies, Inc.

      1,037,580         31,666,942   

Allergan, Inc.

      2,855,770         258,304,396   

Altera Corp.

      3,088,626         114,773,342   

Altria Group, Inc.

      19,378,665         665,657,143   

Amazon.com, Inc.(a)

      3,576,008         1,118,003,141   

Ameren Corp.

      2,333,508         81,299,419   

American Electric Power Co., Inc.

      4,687,501         203,203,168   

American Express Co.

      8,970,179         677,427,918   

American International Group, Inc.

      14,238,125         692,400,019   

American Tower Corp.

      3,814,781         282,789,716   

Ameriprise Financial, Inc.

      1,912,611         174,200,610   

AmerisourceBergen Corp.

      2,216,806         135,446,847   

AMETEK, Inc.

      2,335,525         107,480,860   

Amgen, Inc.

      7,280,921         815,026,297   

Amphenol Corp. (Class A)

      1,539,832         119,152,200   

Anadarko Petroleum Corp.

      4,835,817         449,682,623   

Analog Devices, Inc.

      2,972,029         139,833,964   

Aon PLC

      3,001,153         223,405,829   

Apache Corp.

      3,901,598         332,182,054   

Apartment Investment & Management Co. (Class A)

      1,399,397         39,099,152   

Apple, Inc.

      8,783,677         4,187,618,010   

Applied Materials, Inc.

      11,588,973         203,270,586   

Archer-Daniels-Midland Co.

      6,336,903         233,451,507   

Assurant, Inc.

      760,193         41,126,441   

AT&T, Inc.

      51,337,651         1,736,239,357   

Autodesk, Inc.(a)

      2,161,858         89,003,694   

Automatic Data Processing, Inc.

      4,671,021         338,088,500   

AutoNation, Inc.(a)

      619,092         32,298,030   
Common Stocks    Shares      Value  

Autozone, Inc.(a)

      349,594       $        147,783,872   

AvalonBay Communities, Inc.

      1,171,013         148,824,042   

Avery Dennison Corp.

      966,375         42,056,640   

Avon Products, Inc.

      4,155,711         85,607,647   

Baker Hughes, Inc.

      4,256,822         209,009,960   

Ball Corp.

      1,442,498         64,739,310   

Bank of America Corp.

      103,835,039         1,432,923,538   

Baxter International, Inc.

      5,254,843         345,190,637   

BB&T Corp.

      6,766,057         228,354,424   

Beam, Inc.

      1,543,304         99,774,604   

Becton, Dickinson & Co.

      1,869,299         186,967,286   

Bed Bath & Beyond, Inc.(a)

      2,107,621         163,045,561   

Bemis Co., Inc.

      978,197         38,159,465   

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

      17,398,471         1,974,900,443   

Best Buy Co., Inc.

      2,589,315         97,099,313   

Biogen Idec, Inc.(a)

      2,289,481         551,215,446   

BlackRock, Inc.

      1,210,134         327,486,463   

BorgWarner, Inc.

      1,114,828         113,032,411   

Boston Properties, Inc.

      1,460,478         156,125,098   

Boston Scientific Corp.(a)

      13,076,892         153,522,712   

Bristol-Myers Squibb Co.

      15,911,507         736,384,544   

Broadcom Corp. (Class A)

      5,313,642         138,207,828   

Brown-Forman Corp.
(Class B)

      1,569,491         106,929,422   

C.H. Robinson Worldwide, Inc.

      1,547,926         92,194,473   

C.R. Bard, Inc.

      764,811         88,106,227   

CA, Inc.

      3,205,575         95,109,410   

Cablevision Systems Corp. (Class A)

      2,087,711         35,157,053   

Cabot Oil & Gas Corp.

      4,065,212         151,713,712   

Cameron International Corp.(a)

      2,388,695         139,428,127   

Campbell Soup Co.

      1,725,415         70,241,645   

Capital One Financial Corp.

      5,633,556         387,250,639   

Cardinal Health, Inc.

      3,285,452         171,336,322   

CareFusion Corp.(a)

      2,143,815         79,106,774   

CarMax, Inc.(a)

      2,194,510         106,367,900   

Carnival Corp.

      4,282,347         139,775,806   

Caterpillar, Inc.

      6,151,347         512,837,799   

CBRE Group, Inc. (Class A)(a)

      2,682,236         62,040,119   

CBS Corp. (Class B)

      5,437,013         299,905,637   

Celgene Corp.(a)

      3,975,573         611,959,952   

CenterPoint Energy, Inc.

      4,117,707         98,701,437   

CenturyLink, Inc.

      5,872,395         184,275,755   

Cerner Corp.(a)

      2,819,456         148,162,413   

CF Industries Holdings, Inc.

      553,865         116,771,358   

Chesapeake Energy Corp.

      4,898,169         126,764,614   
 

 

See accompanying notes to financial statements.

 

2

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

Chevron Corp.

      18,673,493       $     2,268,829,399   

Chipotle Mexican Grill, Inc.(a)

      298,547         127,987,099   

Chubb Corp.

      2,470,139         220,484,607   

CIGNA Corp.

      2,755,711         211,803,947   

Cincinnati Financial Corp.

      1,409,906         66,491,167   

Cintas Corp.

      1,010,561         51,740,723   

Cisco Systems, Inc.

      51,817,085         1,213,556,131   

Citigroup, Inc.

      29,345,637         1,423,556,851   

Citrix Systems, Inc.(a)

      1,796,570         126,855,808   

Cliffs Natural Resources, Inc.

      1,458,007         29,889,144   

Clorox Co.

      1,262,980         103,210,726   

CME Group, Inc.

      3,036,553         224,340,536   

CMS Energy Corp.

      2,549,697         67,108,025   

Coach, Inc.

      2,705,284         147,519,137   

Coca-Cola Enterprises, Inc.

      2,403,563         96,647,268   

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

      2,907,632         238,774,740   

Colgate-Palmolive Co.

      8,517,148         505,066,876   

Comcast Corp. (Class A)

      25,279,958         1,141,390,104   

Comerica, Inc.

      1,807,503         71,052,943   

Computer Sciences Corp.

      1,480,076         76,579,132   

ConAgra Foods, Inc.

      4,019,022         121,937,127   

ConocoPhillips

      11,791,379         819,618,754   

CONSOL Energy, Inc.

      2,189,627         73,680,949   

Consolidated Edison, Inc.

      2,817,012         155,330,042   

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

      1,601,644         91,934,366   

Corning, Inc.

      14,192,757         207,072,325   

Costco Wholesale Corp.

      4,211,990         484,884,289   

Covidien PLC

      4,447,091         271,005,726   

Crown Castle International Corp.(a)

      2,824,457         206,270,095   

CSX Corp.

      9,831,118         253,052,977   

Cummins, Inc.

      1,700,508         225,946,498   

CVS Caremark Corp.

      11,850,698         672,527,111   

D.R. Horton, Inc.

      2,695,839         52,380,152   

Danaher Corp.

      5,779,719         400,650,121   

Darden Restaurants, Inc.

      1,245,967         57,675,812   

DaVita, Inc.(a)

      1,704,804         97,003,348   

Deere & Co.

      3,700,724         301,201,926   

Dell, Inc.

      14,155,395         194,919,789   

Delphi Automotive PLC

      2,728,811         159,417,139   

Delta Air Lines, Inc.

      8,290,642         195,576,245   

Denbury Resources, Inc.(a)

      3,602,490         66,321,841   

DENTSPLY International, Inc.

      1,365,760         59,287,642   

Devon Energy Corp.

      3,688,292         213,035,746   

Diamond Offshore Drilling, Inc.

      670,506         41,785,934   

DIRECTV(a)

      4,939,233         295,119,172   

Discover Financial Services

      4,676,302         236,340,303   
Common Stocks    Shares      Value  

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

      2,232,571       $          188,473,644   

Dollar General Corp.(a)

      2,912,830         164,458,382   

Dollar Tree, Inc.(a)

      2,188,185         125,076,655   

Dominion Resources, Inc.

      5,571,154         348,085,702   

Dover Corp.

      1,681,543         151,053,008   

Dr. Pepper Snapple Group, Inc.

      1,962,416         87,955,485   

DTE Energy Co.

      1,677,792         110,700,716   

Duke Energy Corp.

      6,806,659         454,548,688   

Dun & Bradstreet Corp.

      394,414         40,959,894   

E*TRADE Financial Corp.(a)

      2,753,660         45,435,390   

E. I. du Pont de Nemours & Co.

      8,924,316         522,607,945   

Eastman Chemical Co.

      1,495,329         116,486,129   

Eaton Corp. PLC

      4,563,108         314,124,355   

eBay, Inc.(a)

      11,265,577         628,506,541   

Ecolab, Inc.

      2,621,020         258,851,935   

Edison International

      3,134,797         144,388,750   

Edwards Lifesciences Corp.(a)

      1,097,939         76,449,493   

Electronic Arts, Inc.(a)

      2,895,582         73,982,120   

Eli Lilly & Co.

      9,609,527         483,647,494   

EMC Corp.

      20,113,597         514,103,539   

Emerson Electric Co.

      6,906,419         446,845,309   

Ensco PLC (Class A)

      2,247,634         120,810,327   

Entergy Corp.

      1,709,175         108,002,768   

EOG Resources, Inc.

      2,624,068         444,202,231   

EQT Corp.

      1,450,070         128,650,210   

Equifax, Inc.

      1,163,670         69,645,650   

Equity Residential

      3,237,521         173,434,000   

Exelon Corp.

      8,233,053         244,027,691   

Expedia, Inc.

      1,037,079         53,710,321   

Expeditors International of Washington, Inc.

      1,988,606         87,617,980   

Express Scripts Holding Co.(a)

      7,881,477         486,917,649   

Exxon Mobil Corp.

      42,545,752         3,660,636,502   

F5 Networks, Inc.(a)

      755,807         64,818,008   

Family Dollar Stores, Inc.

      925,951         66,686,991   

Fastenal Co.

      2,595,783         130,438,096   

FedEx Corp.

      2,871,539         327,671,315   

Fidelity National Information Services, Inc.

      2,819,481         130,936,698   

Fifth Third Bancorp

      8,571,382         154,627,731   

First Solar, Inc.(a)

      639,467         25,712,968   

FirstEnergy Corp.

      4,021,953         146,600,187   

Fiserv, Inc.(a)

      1,257,761         127,096,749   

FLIR Systems, Inc.

      1,397,928         43,894,939   

Flowserve Corp.

      1,390,801         86,772,074   

Fluor Corp.

      1,565,189         111,065,811   
 

 

See accompanying notes to financial statements.

 

3

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

FMC Corp.

      1,324,259       $ 94,975,855   

FMC Technologies, Inc.(a)

      2,290,471         126,937,903   

Ford Motor Co.

      38,075,772         642,338,274   

Forest Laboratories, Inc.(a)

      2,253,810         96,440,530   

Fossil Group, Inc.(a)

      486,143         56,509,262   

Franklin Resources, Inc.

      3,929,969         198,659,933   

Freeport-McMoRan Copper & Gold, Inc.

      9,994,866         330,630,167   

Frontier Communications Corp.

      9,622,045         40,123,928   

GameStop Corp. (Class A)

      1,169,171         58,049,340   

Gannett Co., Inc.

      2,216,484         59,379,606   

Garmin, Ltd.

      1,187,884         53,680,478   

General Dynamics Corp.

      3,198,374                279,921,692   

General Electric Co.

      98,441,184         2,351,759,886   

General Mills, Inc.

      6,225,427         298,322,462   

General Motors Co.(a)

      9,079,042         326,573,141   

Genuine Parts Co.

      1,495,097         120,938,396   

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

      4,753,323         60,795,001   

Gilead Sciences, Inc.(a)

      14,792,594         929,566,607   

Google, Inc. (Class A)(a)

      2,702,668         2,367,293,928   

H&R Block, Inc.

      2,611,202         69,614,645   

Halliburton Co.

      8,174,198         393,587,634   

Harley-Davidson, Inc.

      2,178,823         139,967,590   

Harman International Industries, Inc.

      656,537         43,482,446   

Harris Corp.

      1,083,570         64,255,701   

Hartford Financial Services Group, Inc.

      4,400,429         136,941,350   

Hasbro, Inc.

      1,103,880         52,036,903   

HCP, Inc.

      4,368,866         178,905,063   

Health Care REIT, Inc.

      2,742,011         171,046,646   

Helmerich & Payne, Inc.

      1,026,681         70,789,655   

Hess Corp.

      2,788,835         215,688,499   

Hewlett-Packard Co.

      18,596,061         390,145,360   

Honeywell International, Inc.

      7,589,036         630,193,549   

Hormel Foods Corp.

      1,297,759         54,661,609   

Hospira, Inc.(a)

      1,596,187         62,602,454   

Host Hotels & Resorts, Inc.

      7,183,790         126,937,569   

Hudson City Bancorp, Inc.

      4,572,561         41,381,677   

Humana, Inc.

      1,520,162         141,876,719   

Huntington Bancshares, Inc.

      8,124,706         67,110,072   

Illinois Tool Works, Inc.

      3,999,004         305,004,035   

Ingersoll-Rand PLC

      2,616,652         169,925,381   

Integrys Energy Group, Inc.

      755,972         42,251,275   

Intel Corp.

      48,149,332         1,103,582,689   

IntercontinentalExchange, Inc.(a)(b)

      700,086         127,009,602   

International Business Machines Corp.

      9,953,300         1,843,152,094   
Common Stocks    Shares      Value  

International Flavors & Fragrances, Inc.

      784,786       $ 64,587,888   

International Game Technology

      2,540,876         48,098,783   

International Paper Co.

      4,289,610         192,174,528   

Intuit, Inc.

      2,867,664         190,154,800   

Intuitive Surgical, Inc.(a)

      387,365         145,753,829   

Invesco, Ltd.

      4,289,402                136,831,924   

Iron Mountain, Inc.

      1,595,936         43,122,191   

J.C. Penney Co., Inc.(a)

      2,944,177         25,967,641   

Jabil Circuit, Inc.

      1,774,266         38,466,087   

Jacobs Engineering Group, Inc.(a)

      1,247,638         72,587,579   

JDS Uniphase Corp.(a)

      2,251,518         33,119,830   

Johnson & Johnson

      27,235,744         2,361,066,647   

Johnson Controls, Inc.

      6,606,312         274,161,948   

Joy Global, Inc.

      1,024,427         52,286,754   

JPMorgan Chase & Co.

      36,381,965         1,880,583,771   

Juniper Networks, Inc.(a)

      4,960,357         98,512,690   

Kansas City Southern

      1,060,840         116,013,462   

Kellogg Co.

      2,446,266         143,669,202   

KeyCorp

      8,897,259         101,428,753   

Kimberly-Clark Corp.

      3,732,125         351,640,817   

Kimco Realty Corp.

      3,914,573         78,996,083   

Kinder Morgan, Inc.

      6,503,132         231,316,405   

KLA-Tencor Corp.

      1,599,724         97,343,205   

Kohl’s Corp.

      1,962,930         101,581,628   

Kraft Foods Group, Inc.

      5,732,770         300,626,459   

L Brands, Inc.

      2,316,098         141,513,588   

L-3 Communications Holdings, Inc.

      866,500         81,884,250   

Laboratory Corp. of America Holdings(a)

      897,549         88,983,008   

Lam Research Corp.(a)

      1,560,880         79,901,447   

Legg Mason, Inc.

      1,107,418         37,032,058   

Leggett & Platt, Inc.

      1,377,187         41,522,188   

Lennar Corp. (Class A)

      1,596,004         56,498,542   

Leucadia National Corp.

      3,027,105         82,458,340   

Life Technologies Corp.(a)

      1,655,702         123,896,181   

Lincoln National Corp.

      2,613,625         109,746,114   

Linear Technology Corp.

      2,249,997         89,234,881   

Lockheed Martin Corp.

      2,605,372         332,315,199   

Loews Corp.

      2,982,017         139,379,475   

Lorillard, Inc.

      3,656,122         163,721,143   

Lowe’s Cos., Inc.

      10,167,258         484,063,153   

LSI Corp.

      5,305,399         41,488,220   

LyondellBasell Industries NV (Class A)

      4,323,053         316,577,171   

M & T Bank Corp.

      1,256,076         140,580,026   

Macy’s, Inc.

      3,700,187                160,107,091   

Marathon Oil Corp.

      6,837,081         238,477,385   
 

 

See accompanying notes to financial statements.

 

4

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

Marathon Petroleum Corp.

      3,026,928       $ 194,692,009   

Marriott International, Inc.
(Class A)

      2,198,628         92,474,294   

Marsh & McLennan Cos., Inc.

      5,309,435         231,225,894   

Masco Corp.

      3,441,907         73,243,781   

MasterCard, Inc. (Class A)

      1,008,741         678,660,770   

Mattel, Inc.

      3,320,663         139,002,953   

McCormick & Co., Inc.

      1,274,545         82,463,062   

McDonald’s Corp.

      9,669,143         930,268,248   

McKesson Corp.

      2,209,641         283,496,940   

Mead Johnson Nutrition Co.

      1,951,229         144,898,266   

MeadWestvaco Corp.

      1,706,176         65,483,035   

Medtronic, Inc.

      9,641,892         513,430,749   

Merck & Co., Inc.

      28,292,791         1,347,019,780   

MetLife, Inc.

      10,820,369         508,016,325   

Microchip Technology, Inc.

      1,881,592         75,809,342   

Micron Technology, Inc.(a)

      9,933,091         173,531,100   

Microsoft Corp.

      73,255,808         2,440,150,964   

Molex, Inc.

      1,336,568         51,484,599   

Molson Coors Brewing Co.
(Class B)

      1,514,489         75,921,334   

Mondelez International, Inc. (Class A)

      17,211,413         540,782,596   

Monsanto Co.

      5,158,365         538,378,555   

Monster Beverage Corp.(a)

      1,311,553         68,528,644   

Moody’s Corp.

      1,870,981         131,586,094   

Morgan Stanley

      13,437,639         362,144,371   

Motorola Solutions, Inc.

      2,290,234         135,994,095   

Murphy Oil Corp.

      1,698,512         102,454,244   

Mylan, Inc.(a)

      3,672,999         140,198,372   

Nabors Industries, Ltd.

      2,512,799         40,355,552   

National-Oilwell Varco, Inc.

      4,120,833         321,878,266   

NetApp, Inc.

      3,287,066         140,094,753   

Netflix, Inc.(a)

      569,203         176,003,260   

Newell Rubbermaid, Inc.

      2,782,983         76,532,033   

Newfield Exploration Co.(a)

      1,298,368         35,536,332   

Newmont Mining Corp.

      4,774,434         134,161,595   

News Corp. (Class A)(a)

      4,812,402         77,287,176   

NextEra Energy, Inc.

      4,095,415         328,288,466   

Nielsen Holdings NV

      2,008,645                  73,215,110   

NIKE, Inc. (Class B)

      7,225,946         524,892,717   

NiSource, Inc.

      3,009,152         92,952,705   

Noble Corp.

      2,430,163         91,787,257   

Noble Energy, Inc.

      3,459,506         231,821,497   

Nordstrom, Inc.

      1,442,173         81,050,123   

Norfolk Southern Corp.

      3,041,091         235,228,389   

Northeast Utilities

      3,018,340         124,506,525   

Northern Trust Corp.

      2,180,664         118,606,315   

Northrop Grumman Corp.

      2,225,181         211,970,742   

NRG Energy, Inc.

      3,111,246         85,030,353   

Nucor Corp.

      3,052,261         149,621,834   
Common Stocks    Shares      Value  

NVIDIA Corp.

      5,564,340       $ 86,581,130   

NYSE Euronext(b)

      2,341,254         98,285,843   

O’Reilly Automotive, Inc.(a)

      1,072,922         136,894,118   

Occidental Petroleum Corp.

      7,770,158         726,820,579   

Omnicom Group, Inc.

      2,518,379         159,765,964   

Oneok, Inc.

      1,988,068         106,003,786   

Oracle Corp.

      34,473,542         1,143,487,388   

Owens-Illinois, Inc.(a)

      1,586,254         47,619,345   

PACCAR, Inc.

      3,411,161         189,865,221   

Pall Corp.

      1,069,288         82,377,948   

Parker-Hannifin Corp.

      1,433,362         155,835,117   

Patterson Cos., Inc.

      807,162         32,447,912   

Paychex, Inc.

      3,106,202         126,236,049   

Peabody Energy Corp.

      2,589,610         44,670,773   

Pentair, Ltd.

      1,925,299         125,028,917   

People’s United Financial, Inc.

      3,280,363         47,171,620   

Pepco Holdings, Inc.

      2,394,072         44,194,569   

PepsiCo, Inc.

      14,914,749         1,185,722,545   

PerkinElmer, Inc.

      1,072,866         40,500,692   

Perrigo Co.

      908,970         112,148,719   

PetSmart, Inc.

      1,034,760         78,910,798   

Pfizer, Inc.

      63,989,946         1,837,151,350   

PG&E Corp.

      4,264,110         174,487,381   

Philip Morris International, Inc.

      15,644,812         1,354,684,271   

Phillips 66

      5,906,452         341,511,055   

Pinnacle West Capital Corp.

      1,055,787         57,793,780   

Pioneer Natural Resources Co.

      1,338,787                252,762,986   

Pitney Bowes, Inc.

      1,916,516         34,861,426   

Plum Creek Timber Co., Inc.

      1,570,463         73,544,782   

PNC Financial Services Group, Inc.

      5,105,849         369,918,760   

PPG Industries, Inc.

      1,375,696         229,823,774   

PPL Corp.

      6,095,038         185,167,254   

Praxair, Inc.

      2,852,026         342,842,045   

Precision Castparts Corp.

      1,410,098         320,430,670   

priceline.com, Inc.(a)

      499,395         504,863,375   

Principal Financial Group, Inc.

      2,656,613         113,756,169   

ProLogis, Inc.

      4,804,853         180,758,570   

Prudential Financial, Inc.

      4,494,703         350,496,940   

Public Service Enterprise Group, Inc.

      4,866,593         160,256,907   

Public Storage, Inc.

      1,392,495         223,565,072   

Pulte Group, Inc.

      3,268,143         53,924,360   

PVH Corp.

      781,139         92,713,388   

QEP Resources, Inc.

      1,722,563         47,697,769   

QUALCOMM, Inc.

      16,580,890         1,116,888,750   

Quanta Services, Inc.(a)

      2,056,980         56,587,520   

Quest Diagnostics, Inc.

      1,468,804         90,757,399   

Ralph Lauren Corp.

      585,633         96,471,324   

Range Resources Corp.

      1,563,887         118,683,384   
 

 

See accompanying notes to financial statements.

 

5

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

Raytheon Co.

      3,135,282       $ 241,636,184   

Red Hat, Inc.(a)

      1,855,829         85,627,950   

Regeneron Pharmaceuticals, Inc.(a)

      753,757         235,827,953   

Regions Financial Corp.

      13,594,492         125,884,996   

Republic Services, Inc.

      2,626,998         87,636,653   

Reynolds American, Inc.

      3,099,142         151,176,147   

Robert Half International, Inc.

      1,346,382         52,549,289   

Rockwell Automation, Inc.

      1,346,885         144,035,882   

Rockwell Collins, Inc.

      1,314,675         89,213,846   

Roper Industries, Inc.

      952,809         126,599,732   

Ross Stores, Inc.

      2,094,330         152,467,224   

Rowan Companies PLC (Class A)(a)

      1,182,218         43,411,045   

Ryder System, Inc.

      500,656         29,889,163   

Safeway, Inc.

      2,325,434         74,390,634   

Salesforce.com, Inc.(a)

      5,298,830         275,062,265   

SanDisk Corp.

      2,346,137         139,618,613   

SCANA Corp.

      1,341,329                  61,754,787   

Schlumberger, Ltd.

      12,789,057         1,130,041,077   

Scripps Networks Interactive (Class A)

      1,055,260         82,426,359   

Seagate Technology PLC

      3,001,341         131,278,655   

Sealed Air Corp.

      1,889,096         51,364,520   

Sempra Energy

      2,178,658         186,493,125   

Sherwin-Williams Co.

      843,399         153,650,430   

Sigma-Aldrich Corp.

      1,159,998         98,947,829   

Simon Property Group, Inc.

      2,997,197         444,274,511   

SLM Corp.

      4,216,519         104,991,323   

Snap-on, Inc.

      562,134         55,932,333   

Southern Co.

      8,392,809         345,615,875   

Southwest Airlines Co.

      7,018,115         102,183,754   

Southwestern Energy Co.(a)

      3,390,219         123,336,167   

Spectra Energy Corp.

      6,438,093         220,375,923   

St. Jude Medical, Inc.

      2,775,447         148,874,977   

Stanley Black & Decker, Inc.

      1,562,481         141,513,904   

Staples, Inc.

      6,489,412         95,069,886   

Starbucks Corp.

      7,261,930         558,950,752   

Starwood Hotels & Resorts Worldwide, Inc.

      1,865,622         123,970,582   

State Street Corp.(c)

      4,311,620         283,489,015   

Stericycle, Inc.(a)

      826,082         95,329,863   

Stryker Corp.

      2,849,607         192,604,937   

SunTrust Banks, Inc.

      5,180,038         167,936,832   

Symantec Corp.

      6,719,103         166,297,799   

Sysco Corp.

      5,726,993         182,290,187   

T. Rowe Price Group, Inc.

      2,494,780         179,449,525   

Target Corp.

      6,101,122         390,349,786   

TE Connectivity, Ltd.

      4,048,176         209,614,553   

TECO Energy, Inc.

      1,956,626         32,362,594   

Tenet Healthcare Corp.(a)

      1,006,471         41,456,540   
Common Stocks    Shares      Value  

Teradata Corp.(a)

      1,596,746       $ 88,523,598   

Teradyne, Inc.(a)

      1,835,779         30,327,069   

Tesoro Corp.

      1,322,539         58,165,265   

Texas Instruments, Inc.

      10,700,308         430,901,403   

Textron, Inc.

      2,679,839         73,990,355   

The ADT Corp.

      1,935,091         78,680,800   

The AES Corp.

      5,969,488         79,334,496   

The Allstate Corp.

      4,520,030                228,487,516   

The Bank of New York Mellon Corp.

      11,205,231         338,285,924   

The Boeing Co.

      6,707,085         788,082,487   

The Charles Schwab Corp.

      11,171,221         236,159,612   

The Coca-Cola Co.

      36,849,405         1,395,855,461   

The Dow Chemical Co.

      11,665,182         447,942,989   

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

      2,469,485         172,617,001   

The Gap, Inc.

      2,667,290         107,438,441   

The Goldman Sachs Group, Inc.

      4,037,851         638,828,407   

The Goodyear Tire & Rubber Co.(a)

      2,368,306         53,168,470   

The Hershey Co.

      1,446,515         133,802,637   

The Home Depot, Inc.

      13,847,568         1,050,338,033   

The Interpublic Group of Cos., Inc.

      4,135,975         71,056,051   

The JM Smucker Co.

      1,033,982         108,609,469   

The Kroger Co.

      5,018,001         202,426,160   

The Macerich Co.

      1,324,994         74,782,661   

The McGraw-Hill Cos., Inc.

      2,692,379         176,593,139   

The Mosaic Co.

      3,286,078         141,367,076   

The NASDAQ OMX Group, Inc.

      1,137,961         36,517,168   

The Procter & Gamble Co.

      26,470,052         2,000,871,231   

The Progressive Corp.

      5,353,176         145,766,982   

The Travelers Cos., Inc.

      3,639,354         308,508,039   

The Walt Disney Co.

      16,071,390         1,036,443,941   

The Washington Post Co.
(Class B)

      44,319         27,094,421   

The Western Union Co.

      5,476,356         102,188,803   

The Williams Cos., Inc.

      6,562,765         238,622,135   

Thermo Fisher Scientific, Inc.

      3,461,109         318,941,194   

Tiffany & Co.

      1,064,306         81,547,126   

Time Warner Cable, Inc.

      2,762,861         308,335,288   

Time Warner, Inc.

      8,892,840         585,237,800   

TJX Cos., Inc.

      6,940,681         391,385,002   

Torchmark Corp.

      903,953         65,401,000   

Total System Services, Inc.

      1,531,547         45,058,113   

TripAdvisor, Inc.(a)

      1,052,447         79,817,580   

Twenty-First Century Fox, Inc. (Class A)

      19,252,171         644,947,728   

Tyco International, Ltd.

      4,480,454         156,726,281   
 

 

See accompanying notes to financial statements.

 

6

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

 

 

Common Stocks    Shares      Value  

Tyson Foods, Inc. (Class A)

      2,738,395       $ 77,441,811   

U.S. Bancorp

      17,837,817         652,507,346   

Union Pacific Corp.

      4,483,645                696,489,414   

United Parcel Service, Inc.
(Class B)

      6,981,170         637,869,503   

United States Steel Corp.

      1,358,433         27,970,135   

United Technologies Corp.

      8,157,043         879,492,376   

UnitedHealth Group, Inc.

      9,867,889         706,639,531   

Unum Group

      2,599,870         79,140,043   

Urban Outfitters, Inc.(a)

      1,052,166         38,688,144   

V.F. Corp.

      845,675         168,331,609   

Valero Energy Corp.

      5,325,143         181,853,633   

Varian Medical Systems, Inc.(a)

      1,051,112         78,549,600   

Ventas, Inc.

      2,827,375         173,883,562   

VeriSign, Inc.(a)

      1,306,013         66,463,002   

Verizon Communications, Inc.

      27,657,426         1,290,495,497   

Vertex Pharmaceuticals, Inc.(a)

      2,226,175         168,788,588   

Viacom, Inc. (Class B)

      4,195,695         350,676,188   

Visa, Inc. (Class A)

      4,987,885         953,184,823   

Vornado Realty Trust

      1,680,092         141,228,534   

Vulcan Materials Co.

      1,244,662         64,485,938   

W.W. Grainger, Inc.

      597,552         156,385,334   

Wal-Mart Stores, Inc.

      15,732,972         1,163,610,609   

Walgreen Co.

      8,401,993         452,027,223   

Waste Management, Inc.

      4,234,851         174,645,255   

Waters Corp.(a)

      826,958         87,831,209   

WellPoint, Inc.

      2,922,173         244,322,885   
Common Stocks    Shares      Value  

Wells Fargo & Co.

      46,709,666       $ 1,930,043,399   

Western Digital Corp.

      2,038,942                129,268,923   

Weyerhaeuser Co.

      5,643,597         161,576,182   

Whirlpool Corp.

      756,920         110,843,365   

Whole Foods Market, Inc.

      3,597,569         210,457,786   

Windstream Holdings, Inc.

      5,716,102         45,728,816   

Wisconsin Energy Corp.

      2,193,180         88,560,608   

WPX Energy, Inc.(a)

      1,930,043         37,172,628   

Wyndham Worldwide Corp.

      1,315,893         80,229,996   

Wynn Resorts, Ltd.

      768,371         121,410,302   

Xcel Energy, Inc.

      4,797,368         132,455,330   

Xerox Corp.

      11,204,325         115,292,504   

Xilinx, Inc.

      2,544,215         119,221,915   

XL Group PLC

      2,839,876         87,524,978   

Xylem, Inc.

      1,796,184         50,167,419   

Yahoo!, Inc.(a)

      9,184,589         304,560,971   

Yum! Brands, Inc.

      4,340,281         309,852,661   

Zimmer Holdings, Inc.

      1,630,450         133,925,163   

Zions Bancorporation

      1,776,443         48,710,067   

Zoetis, Inc.

      4,913,755         152,916,056   
     

 

 

  

Total Common Stocks(d)
(Cost $144,097,260,052)

       $ 144,553,504,942   
     

 

 

  

 

(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 are considered affiliates of the Trustee (State Street Corp.) and the Sponsor (NYSE Euronext). Amounts related to these investments at September 30, 2013, and for the year 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 9/30/13		     Value at
9/30/13		     Dividend
Income		     Realized
Gain		  
          Cost     Shares     Proceeds     Shares          

State Street Corp.

     4,420,941      $ 208,776,609      $ 185,502,684      $ 340,616,640        5,906,042      $ 345,052,978        6,015,363        4,311,620      $ 283,489,015      $ 4,424,496      $ 62,942,263   

NYSE Euronext

     2,305,912        78,378,865        56,840,731        110,123,492        3,097,051        108,100,302        3,061,709        2,341,254        98,285,843        2,757,792        12,971,138   

IntercontinentalExchange, Inc.

     660,476        88,826,017        88,114,103        146,533,764        939,453        139,829,321        899,843        700,086        127,009,602        —        20,910,629   

 

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

 

See accompanying notes to financial statements.

 

7

SPDR S&P 500 ETF Trust

Schedule of Investments (continued)

September 30, 2013

 

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2013*

 

INDUSTRY    PERCENT OF
NET ASSETS**		  

Oil, Gas & Consumable Fuels

      8.56 % 

Pharmaceuticals

      6.23   

Insurance

      4.40   

Computers & Peripherals

      4.03   

Media

      3.83   

Diversified Financial Services

      3.76   

IT Services

      3.60   

Software

      3.40   

Commercial Banks

      2.81   

Aerospace & Defense

      2.72   

Chemicals

      2.58   

Industrial Conglomerates

      2.53   

Biotechnology

      2.44   

Internet Software & Services

      2.39   

Food & Staples Retailing

      2.38   

Specialty Retail

      2.34   

Diversified Telecommunication Services

      2.28   

Beverages

      2.22   

Capital Markets

      2.13   

Health Care Providers & Services

      2.05   

Household Products

      2.05   

Semiconductors & Semiconductor Equipment

      2.04   

Real Estate Investment Trusts (REITs)

      1.96   

Energy Equipment & Services

      1.89   

Communications Equipment

      1.89   

Machinery

      1.80   

Hotels, Restaurants & Leisure

      1.79   

Health Care Equipment & Supplies

      1.71   

Electric Utilities

      1.65   

Tobacco

      1.61   

Food Products

      1.60   

Internet & Catalog Retail

      1.34   

Multi-Utilities

      1.27   

Consumer Finance

      0.97   

Road & Rail

      0.92   

Air Freight & Logistics

      0.79   

Electrical Equipment

      0.79   

Multiline Retail

      0.77   

Automobiles

      0.77   

Textiles, Apparel & Luxury Goods

      0.75   

Metals & Mining

      0.54   

Life Sciences Tools & Services

      0.51   

Electronic Equipment, Instruments & Components

      0.46   

Commercial Services & Supplies

      0.42   

Auto Components

      0.41   

Household Durables

      0.34   

Airlines

      0.21   

 

INDUSTRY    PERCENT OF
NET ASSETS**		  

Trading Companies & Distributors

      0.20   

Personal Products

      0.18   

Paper & Forest Products

      0.18   

Construction & Engineering

      0.17   

Professional Services

      0.16   

Wireless Telecommunication Services

      0.14   

Containers & Packaging

      0.14   

Leisure Equipment & Products

      0.13   

Independent Power Producers & Energy Traders

      0.11   

Gas Utilities

      0.11   

Health Care Technology

      0.10   

Distributors

      0.08   

Office Electronics

      0.08   

Thrifts & Mortgage Finance

      0.06   

Building Products

      0.05   

Diversified Consumer Services

      0.05   

Construction Materials

      0.04   

Real Estate Management & Development

      0.04   

Other Assets & Liabilities

      0.05   

 

  

Total

      100.00 % 

 

  

 

* SPDR S&P 500 ETF Trust’s industry breakdown is expressed as a percentage of net assets and may change over time.
** Each security is valued based on Level 1 inputs. (Note 2)
 

 

See accompanying notes to financial statements.

 

8

SPDR S&P 500 ETF Trust

Statement of Assets and Liabilities

September 30, 2013

 

ASSETS

  

Investments in unaffiliated issuers, at value

    $ 144,171,730,084   

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

      381,774,858   
  

 

 

  

Total investments

      144,553,504,942   

Cash

      743,513,284   

Dividends receivable — unaffiliated issuers net of withholding tax

      171,570,283   

Dividends receivable — affiliated issuers

      1,130,446   
  

 

 

  

Total Assets

      145,469,718,955   
  

 

 

  

LIABILITIES

   

Payable for investments purchased

      66,286,445   

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

      495,014   

Income distribution payable

      738,009,477   

Accrued Trustee expense

      5,771,766   

Accrued marketing expense

      15,236,883   

Accrued expenses and other liabilities

      19,782,652   
  

 

 

  

Total Liabilities

      845,582,237   
  

 

 

  

NET ASSETS

    $ 144,624,136,718   
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid in Capital (Note 4)

    $ 151,845,255,567   

Distribution in excess of net investment income

      (704,159,370 ) 

Accumulated net realized loss on investments

      (6,973,204,369 ) 

Net unrealized appreciation on investments

      456,244,890   
  

 

 

  

NET ASSETS

    $ 144,624,136,718   
  

 

 

  

NET ASSET VALUE PER UNIT

    $ 167.96   
  

 

 

  

UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR VALUE

      861,082,116   
  

 

 

  

COST OF INVESTMENTS:

   

Unaffiliated issuers

    $ 143,736,604,325   

Affiliates of the Trustee and the Sponsor

      360,655,727   
  

 

 

  

Total Cost of Investments

    $ 144,097,260,052   
  

 

 

  

 

See accompanying notes to financial statements.

 

9

SPDR S&P 500 ETF Trust

Statements of Operations

 

     For the Year Ended
September 30, 2013		     For the Year Ended
September 30, 2012		     For the Year Ended
September 30, 2011		  

INVESTMENT INCOME

       

Dividend income — unaffiliated issuers

    $ 2,928,179,277      $ 2,135,559,412      $ 1,783,414,525   

Dividend income — affiliates of the Trustee and the Sponsor

      7,182,288        6,306,634        4,579,162   

Foreign taxes withheld

      (2,155,873 )      —        —   
  

 

 

    

 

 

    

 

 

  

Total Investment Income

      2,933,205,692        2,141,866,046        1,787,993,687   

EXPENSES

       

Trustee expense

      74,263,542        55,224,103        49,583,282   

S&P license fee

      39,725,196        30,163,235        27,574,288   

Marketing expense

      26,083,464        19,708,823        17,790,322   

Legal and audit services

      475,897        895,131        262,513   

Other expenses

      3,081,480        2,692,302        1,438,294   
  

 

 

    

 

 

    

 

 

  

Total Expenses

      143,629,579        108,683,594        96,648,699   

Trustee expense waiver

      (20,385,210 )      (15,559,404 )      (12,589,426 ) 
  

 

 

    

 

 

    

 

 

  

Net Expenses

      123,244,369        93,124,190        84,059,273   
  

 

 

    

 

 

    

 

 

  

NET INVESTMENT INCOME

      2,809,961,323        2,048,741,856        1,703,934,414   
  

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

       

Net realized gain (loss) on:

       

Investment transactions — unaffiliated issuers

      16,411,092,129        8,742,019,176        12,378,051,573   

Investment transactions — affiliates of the Trustee and the Sponsor

      75,913,401        (418,387 )      14,104,238   

Net change in unrealized appreciation (depreciation) on:

       

Investment transactions — unaffiliated issuers

      2,965,943,531        13,032,032,478        (13,392,528,820 ) 

Investment transactions — affiliates of the Trustee and the Sponsor

      65,931,190        35,928,935        (49,684,986 ) 
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

      19,518,880,251        21,809,562,202        (1,050,057,995 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 22,328,841,574      $ 23,858,304,058      $ 653,876,419   
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

10

SPDR S&P 500 ETF Trust

Statements of Changes in Net Assets

 

     For the Year Ended
September 30, 2013		     For the Year Ended
September 30, 2012		     For the Year Ended
September 30, 2011		  

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

       

Net investment income

    $ 2,809,961,323      $ 2,048,741,856      $ 1,703,934,414   

Net realized gain (loss) on investment transactions

      16,487,005,530        8,741,600,789        12,392,155,811   

Net change in unrealized appreciation (depreciation) on investment transactions

      3,031,874,721        13,067,961,413        (13,442,213,806 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      22,328,841,574        23,858,304,058        653,876,419   
  

 

 

    

 

 

    

 

 

  

NET EQUALIZATION CREDITS AND CHARGES

      69,879,138        115,422,459        136,345,475   
  

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME

      (2,898,906,428 )      (2,209,395,148 )      (1,859,515,384 ) 
  

 

 

    

 

 

    

 

 

  

INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:

       

Proceeds from issuance of Units

      421,569,465,638        412,781,633,972        442,329,234,719   

Cost of Units redeemed

      (414,539,883,142 )      (397,131,183,744 )      (438,449,217,218 ) 

Net income equalization (Note 2)

      (69,879,138 )      (115,422,459 )      (136,345,475 ) 
  

 

 

    

 

 

    

 

 

  

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

      6,959,703,358        15,535,027,769        3,743,672,026   
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

      26,459,517,642        37,299,359,138        2,674,378,536   

NET ASSETS AT BEGINNING OF PERIOD

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

 

 

    

 

 

    

 

 

  

NET ASSETS AT END OF PERIOD*

    $ 144,624,136,718      $ 118,164,619,076      $ 80,865,259,938   
  

 

 

    

 

 

    

 

 

  

UNIT TRANSACTIONS:

       

Units sold

      2,724,700,000        3,116,800,000        3,550,100,000   

Units redeemed

      (2,684,200,000 )      (3,011,050,000 )      (3,520,350,000 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE)

    $ 40,500,000      $ 105,750,000      $ 29,750,000   
  

 

 

    

 

 

    

 

 

  

*INCLUDES UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME

    $ (704,159,370 )    $ (615,214,265 )    $ (478,294,653 ) 
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

11

SPDR S&P 500 ETF Trust

Financial Highlights

Selected data for a Unit outstanding throughout each year

 

    For the Year
Ended
September 30,
2013		     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		  

Net asset value, beginning of year

   $ 144.00      $ 113.12      $ 114.13      $ 105.73      $ 116.52   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investment operations:

          

Net investment income(1)

     3.36        2.77        2.42        2.20        2.32   

Net realized and unrealized gain (loss) on investments

     23.91        30.80        (1.16 )      8.24        (10.90 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     27.27        33.57        1.26        10.44        (8.58 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net equalization credits and charges(1)

     0.08        0.16        0.19        0.16        0.10   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

          

Net investment income

     (3.39 )      (2.85 )      (2.46 )      (2.20 )      (2.31 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 167.96      $ 144.00      $ 113.12      $ 114.13      $ 105.73   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(2)

     19.09 %      29.96 %      1.01 %      10.08 %      (6.90 )% 

Ratios and supplemental data

          

Ratio to average net assets:

          

Net investment income

     2.15 %      2.08 %      1.92 %      1.98 %      2.58 % 

Total expenses(3)

     0.09 %      0.09 %      0.09 %      0.09 %      0.09 % 

Total expenses excluding Trustee earnings credit

     0.11 %      0.11 %      0.11 %      0.11 %      0.10 % 

Total expenses excluding Trustee earnings credit and fee waivers

     0.11 %      0.11 %      0.11 %      0.11 %      0.10 % 

Portfolio turnover rate(4)

     2.99 %      3.80 %      3.72 %      5.38 %      6.68 % 

Net assets, end of year (000’s)

   $ 144,624,137      $ 118,164,619      $ 80,865,260      $ 78,190,881      $ 71,655,866   

 

 

(1) Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the year.
(2) Total return is calculated assuming a purchase of 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. Broker commission charges are not included in this calculation.
(3) Net of expenses waived by the Trustee.
(4) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions of Units.

 

See accompanying notes to financial statements.

 

12

SPDR S&P 500 ETF Trust

Notes to Financial Statements

September 30, 2013

 

 

 

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.

On November 13, 2013, IntercontinentalExchange Group, Inc. (“ICE”) announced the completion of its acquisition of the NYSE Euronext (the parent company of the Sponsor). Upon the closing of the acquisition, IntercontinentalExchange, Inc. and the NYSE Euronext became wholly owned subsidiaries of ICE. As the parent company, ICE will be the publicly-traded entity, trading on the New York Stock Exchange under the symbol “ICE”.

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. Fair value pricing involves subjective judgments and it is

 

13

SPDR S&P 500 ETF Trust

Notes to Financial Statements — (continued)

September 30, 2013

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

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 establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:

 

•  

Level 1 — quoted prices in active markets for identical investments

 

•  

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

 

•  

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

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

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

The Trust did not hold any investments valued using Level 2 or Level 3 inputs as of September 30, 2013 and did not have any transfers between levels for the year ended September 30, 2013.

Investment Risk

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

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

 

14

SPDR S&P 500 ETF Trust

Notes to Financial Statements — (continued)

September 30, 2013

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

investments. The Trust would not sell an equity security because the security’s issuer was in financial trouble unless that security was removed from the S&P 500 Index.

Investment Transactions

Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Dividend income, which may be subject to withholding tax, 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.

Equalization

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

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

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

Accounting Standards Codification 740, Income Taxes (“ASC 740”) established financial accounting and disclosure requirements for recognition and measurement of tax positions taken, and whether those tax positions are more likely than not to be sustained upon examination by the applicable taxing authority based on the technical merits of the position. The Funds have not recognized any liabilities for unrecognized tax benefits, related to the current year or prior years impacting the NAVs of the Funds. The Funds may be subject to potential examinations by certain taxing authorities for all open tax years (the current and prior years, as applicable). Any potential tax liability is also subject to ongoing interpretation of laws by taxing authorities. The tax treatment of the Funds’ investments may change over time based on factors including, but not limited to new tax laws, regulations, and interpretations thereof.

 

15

SPDR S&P 500 ETF Trust

Notes to Financial Statements — (continued)

September 30, 2013

 

 

 

Note 2 — Significant Accounting Policies – (continued)

 

At September 30, 2013, the Trust had the following capital loss carryforwards that may be utilized to offset any net realized gains, expiring September 30 of the year indicated:

 

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

      448,917,006   

Non-Expiring – Long Term

      625,288,341   

During the tax year ended September 30, 2013, the Trust utilized capital loss carryforwards of $0 and had $380,379,645 of capital loss carryforwards expire.

During the year ended September 30, 2013, the Trust reclassified $16,803,212,328 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, 2013, the cost of investments for U.S. federal income tax purposes was $144,104,821,251. Accordingly, gross unrealized appreciation was $6,847,804,443 and gross unrealized depreciation was $6,399,120,753, resulting in net unrealized appreciation of $448,683,690.

The tax character of distributions paid during the year ended September 30, 2013 was $2,898,906,428 of ordinary income.

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

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

As of September 30, 2013, the components of distributable earnings (excluding unrealized appreciation/(depreciation)) were undistributed ordinary income of $33,850,107, undistributed long-term capital gain of $0 and unrealized appreciation of $448,683,690.

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

 

Post October Loss Deferral

    $ 0   

Late Year Ordinary Loss Deferral

      0   

Note 3 — Transactions with the Trustee and Sponsor

In accordance with the Trust Agreement, the Trustee maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including 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

 

16

SPDR S&P 500 ETF Trust

Notes to Financial Statements — (continued)

September 30, 2013

 

 

 

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

 

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

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 year ended September 30, 2013, the Adjustment Amount reduced the Trustee’s fee by $4,610,570. The Adjustment Amount included an excess of net transaction fees from processing orders of $4,023,246 and a Trustee earnings credit of $587,324.

The Trustee has voluntarily agreed to waive a portion of its fee, as needed, for one year until February 1, 2014, so that the total operating expenses do not exceed 0.0945% per annum of the daily NAV of the Trust. The total amount of such waivers by the Trustee for the years ended September 30, 2011, September 30, 2012 and September 30, 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 & 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 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 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 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 Marketing Agent include, but are not limited to: printing and distribution of marketing materials describing the Trust, associated legal, consulting, advertising and marketing costs and other out-of-pocket expenses.

 

17

SPDR S&P 500 ETF Trust

Notes to Financial Statements — (continued)

September 30, 2013

 

 

 

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

 

Investments in Affiliates of the Trustee and the Sponsor

The Trust has invested in companies that are considered affiliates of the Trustee (State Street Corp.) and Sponsor (NYSE Euronext). Such investments were made according to the representative portion of the S&P 500 Index. The market value of these investments at September 30, 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 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 (“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, 2013, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $176,356,264,327, $169,423,594,583, $3,970,308,050, and $3,854,040,433, respectively. Net realized gain (loss) on investment transactions in the Statements of Operations includes net gains resulting from in-kind transactions of $16,841,008,893.

 

18

SPDR S&P 500 ETF Trust

Report of Independent Registered Public Accounting Firm

 

 

 

To the Trustee and Unitholders of

SPDR S&P 500 ETF Trust:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the SPDR S&P 500 ETF Trust at September 30, 2013, 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, 2013 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.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 26, 2013

 

19

SPDR S&P 500 ETF Trust

Other Information

September 30, 2013 (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, 2013 is 97.94%.

For the fiscal year ended September 30, 2013, 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%. Complete information will be reported in conjunction with your 2013 Form 1099-DIV.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Bid/Ask Price(1) vs Net Asset Value

As of September 30, 2013

 

     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		  

2013

      0         0         0         0         0         0   

2012

      0         0         0         0         0         0   

2011

      0         0         0         0         0         0   

2010

      0         0         0         0         0         0   

2009

      0         0         0         0         0         0   

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

      19.09 %      60.11 %      105.33 % 

Return Based on Bid/Ask Price

      19.22 %      60.35 %      105.37 % 

S&P 500 Index

      19.34 %      61.18 %      107.37 % 

 

20

SPDR S&P 500 ETF Trust

Other Information — (continued)

September 30, 2013 (Unaudited)

 

 

 

Average Annual Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500 ETF Trust

       

Return Based on NAV

      19.09 %      9.87 %      7.46 % 

Return Based on Bid/Ask Price

      19.22 %      9.90 %      7.46 % 

S&P 500 Index

      19.34 %      10.02 %      7.57 % 

 

(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.

 

21

SPDR S&P 500 ETF Trust

 

Sponsor

PDR Services LLC

c/o NYSE Euronext

11 Wall Street

New York, NY 10005

Trustee

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

125 High Street

Boston, MA 02110

 

SPDRAR