-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WfvpdzxxpzFDlKZ47TnMIWMZQvsF9iA5+podNQ2rfSFqTktoBcVzOAo1E22DDazW hwtD9+TNC5E9ZA9xadWarQ== 0000950123-09-040926.txt : 20090903 0000950123-09-040926.hdr.sgml : 20090903 20090903170601 ACCESSION NUMBER: 0000950123-09-040926 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090903 DATE AS OF CHANGE: 20090903 EFFECTIVENESS DATE: 20090903 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SPDR SERIES TRUST CENTRAL INDEX KEY: 0001064642 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08839 FILM NUMBER: 091054231 BUSINESS ADDRESS: STREET 1: ONE LINCOLN STREET STREET 2: CPH0326 CITY: BOSTON STATE: MA ZIP: 02111 BUSINESS PHONE: 866-787-2257 MAIL ADDRESS: STREET 1: ONE LINCOLN STREET STREET 2: CPH0326 CITY: BOSTON STATE: MA ZIP: 02111 FORMER COMPANY: FORMER CONFORMED NAME: STREETTRACKS SERIES TRUST DATE OF NAME CHANGE: 20000925 FORMER COMPANY: FORMER CONFORMED NAME: INDEX EXCHANGE LISTED SECURITIES TRUST DATE OF NAME CHANGE: 19980622 0001064642 S000006973 SPDR(R) Dow Jones Total Market ETF C000019026 SPDR(R) Dow Jones Total Market ETF TMW 0001064642 S000006974 SPDR(R) Dow Jones Small Cap Value ETF C000019027 SPDR(R) Dow Jones Small Cap Value ETF DSV 0001064642 S000006975 SPDR(R) DJ Global Titans ETF C000019028 SPDR(R) DJ Global Titans ETF DGT 0001064642 S000006976 SPDR(R) Dow Jones REIT ETF C000019029 SPDR(R) Dow Jones REIT ETF RWR 0001064642 S000006977 SPDR(R) KBW Bank ETF C000019030 SPDR(R) KBW Bank ETF KBE 0001064642 S000006978 SPDR(R) KBW Capital Markets ETF C000019031 SPDR(R) KBW Capital Markets ETF KCE 0001064642 S000006979 SPDR(R) KBW Insurance ETF C000019032 SPDR(R) KBW Insurance ETF KIE 0001064642 S000006980 SPDR(R) Morgan Stanley Technology ETF C000019033 SPDR(R) Morgan Stanley Technology ETF MTK 0001064642 S000006981 SPDR(R) S&P(R) Dividend ETF C000019034 SPDR(R) S&P(R) Dividend ETF SDY 0001064642 S000006983 SPDR(R) Dow Jones Large Cap ETF C000019036 SPDR(R) Dow Jones Large Cap ETF ELR 0001064642 S000006984 SPDR(R) Dow Jones Large Cap Growth ETF C000019037 SPDR(R) Dow Jones Large Cap Growth ETF ELG 0001064642 S000006985 SPDR(R) Dow Jones Large Cap Value ETF C000019038 SPDR(R) Dow Jones Large Cap Value ETF ELV 0001064642 S000006986 SPDR(R) Dow Jones Mid Cap ETF C000019039 SPDR(R) Dow Jones Mid Cap ETF EMM 0001064642 S000006987 SPDR(R) Dow Jones Mid Cap Growth ETF C000019040 SPDR(R) Dow Jones Mid Cap Growth ETF EMG 0001064642 S000006988 SPDR(R) Dow Jones Mid Cap Value ETF C000019041 SPDR(R) Dow Jones Mid Cap Value ETF EMV 0001064642 S000006989 SPDR(R) Dow Jones Small Cap ETF C000019042 SPDR(R) Dow Jones Small Cap ETF DSC 0001064642 S000006990 SPDR(R) Dow Jones Small Cap Growth ETF C000019043 SPDR(R) Dow Jones Small Cap Growth ETF DSG 0001064642 S000010018 SPDR(R) S&P(R) Biotech ETF C000027706 SPDR(R) S&P(R) Biotech ETF XBI 0001064642 S000010019 SPDR(R) S&P(R) Homebuilders ETF C000027707 SPDR(R) S&P(R) Homebuilders ETF XHB 0001064642 S000010020 SPDR(R) S&P(R) Semiconductor ETF C000027708 SPDR(R) S&P(R) Semiconductor ETF XSD 0001064642 S000012319 SPDR(R) S&P(R) Oil & Gas Exploration & Production ETF C000033535 SPDR(R) S&P(R) Oil & Gas Exploration & Production ETF XOP 0001064642 S000012321 SPDR(R) S&P(R) Pharmaceuticals ETF C000033537 SPDR(R) S&P(R) Pharmaceuticals ETF XPH 0001064642 S000012322 SPDR(R) S&P(R) Retail ETF C000033538 SPDR(R) S&P(R) Retail ETF XRT 0001064642 S000012325 SPDR(R) KBW Regional Banking(SM) ETF C000033541 SPDR(R) KBW Regional Banking(SM) ETF KRE 0001064642 S000012326 SPDR(R) KBW Mortgage Finance(SM) ETF C000033542 SPDR(R) KBW Mortgage Finance(SM) ETF 0001064642 S000012333 SPDR(R) S&P(R) Metals & Mining ETF C000033549 SPDR(R) S&P(R) Metals & Mining ETF XME 0001064642 S000012334 SPDR(R) S&P(R) Oil & Gas Equipment & Services ETF C000033550 SPDR(R) S&P(R) Oil & Gas Equipment & Services ETF XES 0001064642 S000017326 SPDR(R) Barclays Capital 1-3 Month T-Bill ETF C000047963 SPDR(R) Barclays Capital 1-3 Month T-Bill ETF BIL 0001064642 S000017327 SPDR(R) Barclays Capital Short Term Municipal Bond ETF C000047964 SPDR(R) Barclays Capital Short Term Municipal Bond ETF 0001064642 S000017328 SPDR(R) Barclays Capital Intermediate Term Treasury ETF C000047965 SPDR(R) Barclays Capital Intermediate Term Treasury ETF ITE 0001064642 S000017329 SPDR(R) Barclays Capital Long Term Treasury ETF C000047966 SPDR(R) Barclays Capital Long Term Treasury ETF TLO 0001064642 S000017330 SPDR(R) Barclays Capital TIPS ETF C000047967 SPDR(R) Barclays Capital TIPS ETF IPE 0001064642 S000017331 SPDR(R) Barclays Capital California Municipal Bond ETF C000047968 SPDR(R) Barclays Capital California Municipal Bond ETF 0001064642 S000017332 SPDR(R) Barclays Capital New York Municipal Bond ETF C000047969 SPDR(R) Barclays Capital New York Municipal Bond ETF 0001064642 S000017333 SPDR(R) Barclays Capital Municipal Bond ETF C000047970 SPDR(R) Barclays Capital Municipal Bond ETF TFI 0001064642 S000017334 SPDR(R) Barclays Capital Aggregate Bond ETF C000047971 SPDR(R) Barclays Capital Aggregate Bond ETF LAG 0001064642 S000018782 SPDR(R) Barclays Capital International Treasury Bond ETF C000051964 SPDR(R) Barclays Capital International Treasury Bond ETF 0001064642 S000018783 SPDR(R) DB International Government Inflation-Protected Bond ETF C000051965 SPDR(R) DB International Government Inflation-Protected Bond ETF 0001064642 S000019669 SPDR(R) Barclays Capital High Yield Bond ETF C000055013 SPDR(R) Barclays Capital High Yield Bond ETF 0001064642 S000022922 SPDR(R) Barclays Capital Mortgage Backed Bond ETF C000066453 SPDR(R) Barclays Capital Mortgage Backed Bond ETF 0001064642 S000022923 SPDR(R) Barclays Capital Intermediate Term Credit Bond ETF C000066454 SPDR(R) Barclays Capital Intermediate Term Credit Bond ETF 0001064642 S000022924 SPDR(R) Barclays Capital Long Term Credit Bond ETF C000066455 SPDR(R) Barclays Capital Long Term Credit Bond ETF 0001064642 S000022925 SPDR(R) Barclays Capital Convertible Bond ETF C000066456 SPDR(R) Barclays Capital Convertible Bond ETF 0001064642 S000023655 SPDR(R) Barclays Capital Short Term International Treasury Bond ETF C000069669 SPDR(R) Barclays Capital Short Term International Treasury Bond ETF N-CSR 1 b76393a1nvcsr.txt SPDR(R) SERIES TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-08839 ---------- SPDR(R) SERIES TRUST (Exact name of registrant as specified in charter) One Lincoln Street, Boston, Massachusetts 02111 (Address of principal executive offices) (zip code) Ryan M. Louvar, Esq. State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts 02111 (Name and address of agent for service) Copy to: W. John McGuire, Esq. Morgan, Lewis and Bockius LLP 1111 Pennsylvania Ave., NW Washington, DC 20004 Registrant's telephone number, including area code: (866) 787-2257 Date of fiscal year end: June 30 Date of reporting period: June 30, 2009 ITEM 1. REPORTS TO SHAREHOLDERS. ANNUAL REPORT June 30, 2009 (SPDRS(SM) LOGO) PRECISE IN A WORLD THAT ISN'T.(SM) STATE STREET GLOBAL ADVISORS TABLE OF CONTENTS PRESIDENT'S LETTER TO SHAREHOLDERS............................... 1 MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE AND PORTFOLIO SUMMARY SPDR(R) DOW JONES TOTAL MARKET ETF (TMW)....................... 2 SPDR(R) DOW JONES LARGE CAP ETF (ELR).......................... 6 SPDR(R) DOW JONES LARGE CAP GROWTH ETF (ELG)................... 10 SPDR(R) DOW JONES LARGE CAP VALUE ETF (ELV).................... 14 SPDR(R) DOW JONES MID CAP ETF (EMM)............................ 18 SPDR(R) DOW JONES MID CAP GROWTH ETF (EMG)..................... 22 SPDR(R) DOW JONES MID CAP VALUE ETF (EMV)...................... 26 SPDR(R) DOW JONES SMALL CAP ETF (DSC).......................... 30 SPDR(R) DOW JONES SMALL CAP GROWTH ETF (DSG)................... 34 SPDR(R) DOW JONES SMALL CAP VALUE ETF (DSV).................... 38 SPDR(R) DJ GLOBAL TITANS ETF (DGT)............................. 42 SPDR(R) DOW JONES REIT ETF (RWR)............................... 46 SPDR(R) KBW BANK ETF (KBE)..................................... 50 SPDR(R) KBW CAPITAL MARKETS ETF (KCE).......................... 54 SPDR(R) KBW INSURANCE ETF (KIE)................................ 58 SPDR(R) MORGAN STANLEY TECHNOLOGY ETF (MTK).................... 62 SPDR(R) S&P(R) DIVIDEND ETF (SDY).............................. 66 SPDR(R) S&P(R) BIOTECH ETF (XBI)............................... 70 SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB).......................... 74 SPDR(R) S&P(R) METALS & MINING ETF (XME)....................... 78 SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)........ 82 SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF (XOP).... 86 SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH)....................... 90 SPDR(R) S&P(R) RETAIL ETF (XRT)................................ 95 SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD)......................... 99 SPDR(R) KBW REGIONAL BANKING ETF (KRE)......................... 103 SPDR(R) KBW MORTGAGE FINANCE ETF (KME)......................... 107 SUMMARY SCHEDULES OF INVESTMENTS SPDR(R) DOW JONES TOTAL MARKET ETF (TMW)....................... 108 SPDR(R) DOW JONES LARGE CAP ETF (ELR).......................... 111 SPDR(R) DOW JONES LARGE CAP GROWTH ETF (ELG)................... 114 SPDR(R) DOW JONES LARGE CAP VALUE ETF (ELV).................... 117 SPDR(R) DOW JONES MID CAP ETF (EMM)............................ 120 SPDR(R) DOW JONES MID CAP GROWTH ETF (EMG)..................... 123 SPDR(R) DOW JONES MID CAP VALUE ETF (EMV)...................... 126 SPDR(R) DOW JONES SMALL CAP ETF (DSC).......................... 128 SPDR(R) DOW JONES SMALL CAP GROWTH ETF (DSG)................... 131 SPDR(R) DOW JONES SMALL CAP VALUE ETF (DSV).................... 134
SCHEDULES OF INVESTMENTS SPDR(R) DJ GLOBAL TITANS ETF (DGT)............................. 137 SPDR(R) DOW JONES REIT ETF (RWR)............................... 138 SPDR(R) KBW BANK ETF (KBE)..................................... 140 SPDR(R) KBW CAPITAL MARKETS ETF (KCE).......................... 141 SPDR(R) KBW INSURANCE ETF (KIE)................................ 142 SPDR(R) MORGAN STANLEY TECHNOLOGY ETF (MTK).................... 143 SPDR(R) S&P(R) DIVIDEND ETF (SDY).............................. 144 SPDR(R) S&P(R) BIOTECH ETF (XBI)............................... 146 SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB).......................... 147 SPDR(R) S&P(R) METALS & MINING ETF (XME)....................... 148 SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)........ 149 SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF (XOP).... 150 SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH)....................... 151 SPDR(R) S&P(R) RETAIL ETF (XRT)................................ 152 SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD)......................... 154 SPDR(R) KBW REGIONAL BANKING ETF (KRE)......................... 155 SPDR(R) KBW MORTGAGE FINANCE ETF (KME)......................... 156 FINANCIAL STATEMENTS............................................. 158 FINANCIAL HIGHLIGHTS............................................. 182 NOTES TO FINANCIAL STATEMENTS.................................... 200 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM.......... 218 OTHER INFORMATION................................................ 219
[Logo] PRESIDENT'S LETTER TO SHAREHOLDERS Dear Shareholders, Enclosed, please find a copy of the annual report as of June 30, 2009. In the past year, despite market turmoil, we have continued our efforts to develop new and valuable additions to our family of SPDR exchange-traded funds ("ETFs"). State Street has launched 16 new SPDR ETFs since July 2008, offering investors exposure to international market sectors, the mortgage finance industry as well as multiple new fixed income products. NEW INTERNATIONAL SPDRS The suite of International Sector SPDRs launched in July complements their U.S. Select Sector SPDR counterparts, and covers key sectors of the developed international markets: - SPDR S&P International Consumer Discretionary Sector ETF (Ticker Symbol: IPD) - SPDR S&P International Financial Sector ETF (Ticker Symbol: IPF) - SPDR S&P International Technology Sector ETF (Ticker Symbol: IPK) - SPDR S&P International Industrial Sector ETF (Ticker Symbol: IPN) - SPDR S&P International Consumer Staples Sector ETF (Ticker Symbol: IPS) - SPDR S&P International Utilities Sector ETF (Ticker Symbol: IPU) - SPDR S&P International Energy Sector ETF (Ticker Symbol: IPW) - SPDR S&P International Materials Sector ETF (Ticker Symbol: IRV) - SPDR S&P International Health Care Sector ETF (Ticker Symbol: IRY) - SPDR S&P International Telecommunications Sector ETF (Ticker Symbol: IST) NEW FIXED INCOME SPDRS State Street also introduced five new fixed income SPDRs to provide precise bond exposure at highly competitive expense ratios. Fixed Income SPDRs launched include: - SPDR Barclays Capital Short Term International Treasury Bond ETF (Ticker Symbol: BWZ) - SPDR Barclays Capital Mortgage Backed Bond ETF (Ticker Symbol: MBG) - SPDR Barclays Capital Intermediate Term Credit Bond ETF (Ticker Symbol: ITR) - SPDR Barclays Capital Long Term Credit Bond ETF (Ticker Symbol: LWC) - SPDR Barclays Capital Convertible Bond ETF (Ticker Symbol: CWB) NEW INDUSTRY SPDR To further round out the Keefe, Bruyette & Woods (KBW) product offerings, we also launched the SPDR KBW Mortgage Finance ETF (Ticker Symbol: KME). It provides precise exposure to the U.S. mortgage finance industry and is benchmarked to the KBW Mortgage Finance Index. Each of these new ETFs was created to meet the demands of our investors, and in the months ahead, we look forward to launching new ETFs that will provide additional opportunities for those looking to diversify their portfolios. Given State Street's heritage as the industry's pioneer, my colleagues and I take great pride in these new additions to our SPDR family and we look forward to continuing to help you reach your investment goals in the days ahead. On behalf of the SPDR Series Trust, I thank you for your continued support. Sincerely, /s/ James Ross President 1 [Logo] SPDR Dow Jones Total Market ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Total Market ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy and "sampling methodology" designed to track the total return performance of the float-adjusted Composite Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -26.18%, and the total return for the Index was -26.39%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Despite a renewed collapse in vulnerable financial shares, news that US Treasury Secretary Henry Paulson was assembling a $700 billion Troubled Asset Relief Program (TARP) brought a fleeting sense of hope late in the month. While developed countries around the world continue to be mired in deep recession, hurt by excess capacity and painful job losses, the ongoing application of aggressive stimulus measures throughout the past year have worked effectively to thwart deflationary tendencies. Leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the fund rose over 16%. Despite the strong showing, the year was one that will be remembered for a long time, as the fund fell over 26% during the year. The final quarter of 2008 proved to be particularly difficult when the fund lost over 22% of its value. The Fund suffered weak returns along with other US equities over the past year as all 10 economic sectors fell by double digits. Given the widespread market declines, return spreads between large cap and small cap, as well as value and growth names, was minimal. Financial, Energy and Industrial stocks had the largest negative impact on performance. Once bellwether names like Citigroup, Inc. (-82%), Bank of America Corp. (-42%), General Electric Co. (-53%) and Exxon Mobil Corp. (-19%) offered heavy blows to the fund given their larger weight. A few names worked to offset the heavy losses of other stocks in the fund over the past year. Such stocks include Schering-Plough Corp., Genentech Inc., and Wyeth. In the case of Schering-Plough Corp., the stock price was jolted higher in March as a result of positive drug-development news, returning 29% over the past year. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 2 [Logo] SPDR Dow Jones Total Market ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/4/00, 10/10/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES TOTAL MARKET ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.20%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. TOTAL U.S. TOTAL NET ASSET MARKET STOCK MARKET NET ASSET MARKET STOCK MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -26.18% -26.10% -26.39% -26.18 -26.10% -26.39% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -22.32% -22.29% -22.44% -8.08% -8.06% -8.12% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -8.55% -8.51% -7.75% -1.77% -1.76% -1.60% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) (2) -20.37% -20.32% -20.11% -2.57% -2.57% -2.54% ----------------------------------------------------------------------------------------------------------------------
(1) Prior to June 14, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Total Stock Market Index. Performance of the Fund prior to June 14, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. (2) For the period October 4, 2000 to June 30, 2009. 3 [Logo] SPDR Dow Jones Total Market ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES TOTAL MARKET ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW SPDR DOW JONES U.S. JONES TOTAL TOTAL STOCK MARKET ETF MARKET INDEX (A)(1) (B) ----------- ------------ 10/4/00 10000 10000 10061 10061 9407 9406 12/31/00 9467 9467 9762 9766 9018 9022 3/31/01 8516 8520 9117 9123 9188 9195 6/30/01 8978 8987 8929 8938 8379 8387 9/30/01 7763 7771 7857 7865 8442 8454 12/31/01 8498 8514 8412 8429 8280 8297 3/31/02 8562 8583 8077 8098 8018 8039 6/30/02 7480 7498 6940 6957 6983 7002 9/30/02 6228 6245 6747 6767 7097 7120 12/31/02 6696 6720 6508 6531 6393 6417 3/31/03 6467 6494 6992 7025 7318 7354 6/30/03 7422 7461 7555 7597 7670 7714 9/30/03 7593 7638 8010 8060 8062 8114 12/31/03 8478 8536 8602 8663 8727 8790 3/31/04 8593 8656 8473 8537 8553 8620 6/30/04 8706 8776 8448 8517 8494 8564 9/30/04 8560 8632 8670 8746 9018 9098 12/31/04 9327 9414 9147 9235 9363 9454 3/31/05 9204 9296 9043 9135 9313 9410 6/30/05 9364 9486 9754 9879 9674 9790 9/30/05 9758 9868 9583 9686 9955 10073 12/31/05 9974 10086 10308 10446 10290 10442 3/31/06 10461 10635 10563 10753 10231 10407 6/30/06 10250 10426 10241 10414 10482 10657 9/30/06 10721 10892 11100 11287 11333 11542 12/31/06 11460 11677 11673 11898 11473 11710 3/31/07 11604 11840 12069 12313 12508 12765 6/30/07 12307 12559 11890 12130 12058 12299 9/30/07 12479 12740 12713 12981 12155 12398 12/31/07 12083 12318 11380 11571 11040 11223 3/31/08 10968 11146 11510 11701 11741 11945 6/30/08 10786 10973 10691 10878 10848 11049 9/30/08 9854 10022 8130 8261 7495 7600 12/31/08 7637 7731 7029 7100 6306 6361 3/31/09 6846 6915 7545 7642 7939 8047 6/30/09 7963 7989
(1) Prior to June 14, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Total Stock Market Index. Performance of the Fund prior to June 14, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. 4 [Logo] SPDR Dow Jones Total Market ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $5,524,917 3,008,783 2,503,119 2,395,977 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 3.5% 1.9 1.6 1.5 ------------------------------------------------------------------------------------------------------------------------------ -------------------------------------------------------- DESCRIPTION AT&T, INC. -------------------------------------------------------- MARKET VALUE 2,346,486 -------------------------------------------------------- % OF NET ASSETS 1.5 --------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil, Gas & Consumable Fuels 10.0% Pharmaceuticals 6.2 Computers & Peripherals 4.7 Software 4.2 Insurance 3.5 Diversified Financial Services 3.1 Commercial Banks 2.8 Capital Markets 2.7 Communications Equipment 2.7 Diversified Telecommunication Services 2.7 Media 2.6 Semiconductors & Semiconductor Equipment 2.6 Food & Staples Retailing 2.5 Aerospace & Defense 2.3 Health Care Providers & Services 2.3 Household Products 2.3 Beverages 2.2 Biotechnology 2.2 Health Care Equipment & Supplies 2.2 Specialty Retail 2.2 Electric Utilities 2.1 Chemicals 1.9 Energy Equipment & Services 1.8 Food Products 1.8 Hotels, Restaurants & Leisure 1.8 Industrial Conglomerates 1.8 Machinery 1.8 Real Estate Investment Trusts 1.8 Internet Software & Services 1.6 IT Services 1.6 Tobacco 1.4 Multi-Utilities 1.1 Metals & Mining 1.0 Road & Rail 1.0 Electronic Equipment, Instruments & Components 0.9 Multiline Retail 0.8 Air Freight & Logistics 0.7 Commercial Services & Supplies 0.7 Electrical Equipment 0.7 Life Sciences Tools & Services 0.7 Household Durables 0.6 Consumer Finance 0.5 Textiles, Apparel & Luxury Goods 0.5 Wireless Telecommunication Services 0.5 Diversified Consumer Services 0.4 Internet & Catalog Retail 0.4 Auto Components 0.3 Construction & Engineering 0.3 Containers & Packaging 0.3 Independent Power Producers & Energy Traders 0.3 Professional Services 0.3 Thrifts & Mortgage Finance 0.3 Automobiles 0.2 Leisure Equipment & Products 0.2 Paper & Forest Products 0.2 Personal Products 0.2 Water Utilities 0.2 Airlines 0.1 Building Products 0.1 Construction Materials 0.1 Distributors 0.1 Gas Utilities 0.1 Health Care Technology 0.1 Office Electronics 0.1 Real Estate Management & Development 0.1 Trading Companies & Distributors 0.1 Short Term Investments 5.2 Other Assets & Liabilities (4.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 5 [Logo] SPDR Dow Jones Large Cap ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Large Cap ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Large-Cap Total Stock Market Index ( the "Index"). In seeking the objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Large Cap Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -26.44%, and the total return for the Index was -26.65%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The final quarter of the year brought some renewed optimism as the Fund rose over 15%. Despite the strong showing, the year was one that will be remembered for a long time, as the Fund fell over 26% during the year. The final quarter of 2008 was particularly harsh. The fund lost over 22% of its value, as markets across the globe plummeted in response to the global credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. All 10 sectors within the Fund had double digits falls during the year. Financials, which were at the heart of the crisis, fell over 41%, and that includes a very strong rally from the middle of March through June 30. Energy (-41%) and Materials (-40%) both suffered from a very steep fall in commodity prices. Even normally defensive Utilities took a significant fall (-32%.) The best performing sectors were Consumer Staples (-14%) and Health Care (-12%). Both of these sectors are usually viewed as defensive and some strong showing by large firms helped boost results for the sectors. In looking back at the calamity of the past year, the automobile firms show a remarkable contrast. Ford Motor Co. was one of the top performers, rising 26%. The company benefited from its strong financial position relative to General Motors Corp. (GM) and Chrysler Group and avoided taking funds from the US government. GM was at the other end of the spectrum. GM needed government funding to stay afloat, but ultimately filed for Chapter 11 bankruptcy. During the last year, other notable firms that failed or were rescued by other parties include American International Group, Inc., Washington Mutual, Inc., Lehman Brothers Holdings Inc., Merrill Lynch & Co., Inc., Fannie Mae, and Freddie Mac. The financial industry is in the midst of an overhaul with new regulation and stronger regulators to enforce the rules. Many market participants are speaking of signs of a turn in the economy as unprecedented intervention by governments and central banks works through the global economy. While it is not clear that we are out of the woods, at least there are signs of some renewed optimism. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 6 [Logo] SPDR Dow Jones Large Cap ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES LARGE CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.20%.
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. LARGE-CAP LARGE-CAP TOTAL TOTAL NET ASSET MARKET STOCK MARKET NET ASSET MARKET STOCK MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -26.44% -26.39% -26.65% -26.44% -26.39% -26.65% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -21.85% -21.88% -21.83% -7.89% -7.90% -7.88% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -17.57% -17.55% -17.47% -5.17% -5.16% -5.14% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 7 [Logo] SPDR Dow Jones Large Cap ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES LARGE CAP ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW LARGE-CAP TOTAL JONES LARGE STOCK MARKET CAP ETF INDEX (B) (A) ----------- --------------- 11/8/2005 10000 10000 10266 10267 12/31/05 10277 10280 10569 10574 10570 10573 3/31/06 10717 10721 10850 10855 10532 10539 6/30/06 10548 10556 10587 10599 10830 10847 9/30/06 11096 11112 11467 11487 11707 11730 12/31/06 11860 11885 12072 12100 11850 11879 3/31/07 11980 12011 12482 12519 12923 12966 6/30/07 12710 12752 12323 12364 12502 12543 9/30/07 12971 13022 13210 13263 12674 12721 12/31/07 12597 12643 11837 11881 11481 11519 3/31/08 11411 11449 11982 12028 12191 12242 6/30/08 11207 11248 11078 11118 11225 11267 9/30/08 10209 10231 8478 8488 7848 7854 12/31/08 7949 7958 7314 7317 6570 6569 3/31/09 7133 7136 7806 7812 8222 8228 6/30/09 8243 8253
8 [Logo] SPDR Dow Jones Large Cap ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE........................ $1,507,959 818,116 683,702 652,087 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS..................... 3.9% 2.1 1.8 1.7 ------------------------------------------------------------------------------------------------------------------------------ -------------------------------------------------------- DESCRIPTION AT&T, INC. -------------------------------------------------------- MARKET VALUE........................ 642,511 -------------------------------------------------------- % OF NET ASSETS..................... 1.7 --------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil, Gas & Consumable Fuels 10.6% Pharmaceuticals 6.8 Computers & Peripherals 5.0 Software 4.2 Insurance 3.7 Diversified Financial Services 3.3 Diversified Telecommunication Services 3.0 Capital Markets 2.8 Food & Staples Retailing 2.8 Media 2.7 Beverages 2.5 Household Products 2.5 Semiconductors & Semiconductor Equipment 2.5 Aerospace & Defense 2.4 Communications Equipment 2.4 Commercial Banks 2.3 Electric Utilities 2.2 Health Care Equipment & Supplies 2.2 Health Care Providers & Services 2.1 Specialty Retail 2.0 Biotechnology 1.9 Chemicals 1.9 Industrial Conglomerates 1.9 Energy Equipment & Services 1.8 Food Products 1.7 Internet Software & Services 1.7 IT Services 1.7 Tobacco 1.6 Hotels, Restaurants & Leisure 1.5 Machinery 1.5 Multi-Utilities 1.4 Real Estate Investment Trusts 1.2 Metals & Mining 1.0 Road & Rail 0.9 Air Freight & Logistics 0.8 Electronic Equipment, Instruments & Components 0.7 Multiline Retail 0.7 Commercial Services & Supplies 0.6 Electrical Equipment 0.6 Life Sciences Tools & Services 0.6 Consumer Finance 0.5 Wireless Telecommunication Services 0.5 Construction & Engineering 0.4 Household Durables 0.4 Internet & Catalog Retail 0.4 Textiles, Apparel & Luxury Goods 0.4 Automobiles 0.3 Containers & Packaging 0.3 Diversified Consumer Services 0.3 Gas Utilities 0.3 Independent Power Producers & Energy Traders 0.3 Auto Components 0.2 Paper & Forest Products 0.2 Personal Products 0.2 Professional Services 0.2 Thrifts & Mortgage Finance 0.2 Airlines 0.1 Construction Materials 0.1 Distributors 0.1 Health Care Technology 0.1 Leisure Equipment & Products 0.1 Office Electronics 0.1 Real Estate Management & Development 0.1 Trading Companies & Distributors 0.1 Water Utilities 0.1 Building Products 0.0** Short Term Investments 28.7 Other Assets & Liabilities (28.4) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 9 [Logo] SPDR Dow Jones Large Cap Growth ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Large Cap Growth ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Large-Cap Growth Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Large Cap Growth Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -25.58%, and the total return for the Index was -25.54%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After six consecutive quarters of disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009, however the Fund ended up down over 25% for the twelve-month period. The majority of the rally came in April and May, when stock markets around the world posted consistent gains and the fund gained over 16% in the second quarter of 2009. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. All ten sectors in the fund lost ground over the course of the last twelve months. Telecommunication Services stocks helped growth-oriented benchmarks hold their own on a relative basis and Utilities were the top performer in the last twelve months. Low interest rates and banking system stability helped big rebounds in the first two quarters of 2009 for financial shares as credit conditions eased, however Financials still ended down over the last twelve months. Industrials and Energy were the most significant lagging sectors among large cap equities. Berkshire Hathaway, Inc., Apple, Inc., and Schering-Plough Corp. were the heaviest positive contributors to the Fund's absolute performance. While Procter & Gamble Co., Johnson & Johnson and Schlumberger Ltd. were the heaviest detractors from the Fund's absolute performance over the last 12 months. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 10 [Logo] SPDR Dow Jones Large Cap Growth ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES LARGE CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.20%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. LARGE-CAP LARGE-CAP GROWTH TOTAL GROWTH TOTAL NET ASSET MARKET STOCK NET ASSET MARKET STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -25.58% -25.52% -25.54% -25.58% -25.52% -25.54% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -16.63% -16.78% -16.29% -5.88% -5.94% -5.75% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -12.12% -12.16% -6.21% -2.55% -2.56% -1.27% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) (2) -56.42% -56.38% -43.92% -9.04% -9.03% -6.38% ----------------------------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Large-Cap Growth Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. (2) For the period September 25, 2000 to June 30, 2009. 11 [Logo] SPDR Dow Jones Large Cap Growth ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES LARGE CAP GROWTH ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW LARGE-CAP GROWTH JONES LARGE TOTAL STOCK CAP GROWTH MARKET INDEX ETF (A)(1) (B) ----------- ---------------- 9/25/2000 10000 10000 9800 9865 9286 9344 7793 7899 12/31/2000 7395 7726 8051 8266 6528 6932 3/31/2001 5703 6199 6512 6923 6406 6877 6/30/2001 6252 6762 5971 6488 5339 5907 9/30/2001 4696 5299 4972 5566 5566 6101 12/31/2001 5498 6136 5425 5983 5133 5683 3/31/2002 5244 5898 4738 5431 4610 5317 6/30/2002 4233 4881 3952 4592 3974 4637 9/30/2002 3506 4156 3882 4579 4126 4824 12/31/2002 3757 4496 3653 4385 3689 4347 3/31/2003 3780 4454 4063 4809 4201 4980 6/30/2003 4249 5050 4365 5162 4438 5262 9/30/2003 4377 5211 4652 5468 4683 5515 12/31/2003 4853 5730 4932 5868 4958 5937 3/31/2004 4871 5849 4829 5788 4910 5875 6/30/2004 4958 5980 4692 5715 4673 5713 9/30/2004 4696 5780 4755 5824 4913 6057 12/31/2004 5092 6277 4953 6100 4944 6166 3/31/2005 4839 6054 4734 5886 4960 6166 6/30/2005 4896 6208 5134 6516 5062 6470 9/30/2005 5067 6520 5046 6460 5254 6727 12/31/2005 5250 6724 5418 6939 5354 6858 3/31/2006 5434 6961 5435 6963 5247 6722 6/30/2006 5228 6700 5134 6580 5263 6747 9/30/2006 5391 6912 5583 7160 5704 7317 12/31/2006 5720 7339 5861 7521 5755 7386 3/31/2007 5790 7431 6032 7745 6248 8024 6/30/2007 6167 7920 6045 7764 6125 7867 9/30/2007 6378 8194 6594 8474 6343 8153 12/31/2007 6336 8144 5845 7512 5753 7394 3/31/2008 5708 7337 6035 7760 6266 8059 6/30/2008 5857 7533 5707 7341 5812 7477 9/30/2008 5153 6627 4234 5441 3892 5000 12/31/2008 3962 5091 3765 4837 3457 4441 3/31/2009 3746 4817 4156 5346 4315 5552 6/30/2009 4358 5608
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Large-Cap Growth Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. 12 [Logo] SPDR Dow Jones Large Cap Growth ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------------- DESCRIPTION MICROSOFT CORP. APPLE, INC. WAL-MART STORES, INC. CISCO SYSTEMS, INC. --------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $6,872,264 4,629,402 3,965,638 3,942,323 --------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.4% 3.0 2.6 2.5 --------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------- BERKSHIRE HATHAWAY, INC. DESCRIPTION (CLASS A) -------------------------------------------------------- MARKET VALUE 3,780,000 -------------------------------------------------------- % OF NET ASSETS 2.4 --------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Software 8.7% Computers & Peripherals 7.0 Oil, Gas & Consumable Fuels 6.3 Food & Staples Retailing 5.2 Communications Equipment 5.0 Media 4.6 Health Care Equipment & Supplies 4.3 Biotechnology 4.0 Specialty Retail 4.0 Energy Equipment & Services 3.7 Health Care Providers & Services 3.7 Internet Software & Services 3.4 IT Services 3.4 Semiconductors & Semiconductor Equipment 3.0 Insurance 2.8 Machinery 2.4 Beverages 2.2 Chemicals 2.2 Capital Markets 1.9 Metals & Mining 1.7 Electronic Equipment, Instruments & Components 1.4 Hotels, Restaurants & Leisure 1.3 Multiline Retail 1.3 Life Sciences Tools & Services 1.2 Diversified Financial Services 1.1 Electrical Equipment 1.1 Household Products 1.0 Internet & Catalog Retail 0.9 Air Freight & Logistics 0.8 Commercial Services & Supplies 0.8 Wireless Telecommunication Services 0.8 Independent Power Producers & Energy Traders 0.7 Real Estate Investment Trusts 0.7 Aerospace & Defense 0.6 Construction & Engineering 0.6 Textiles, Apparel & Luxury Goods 0.6 Automobiles 0.5 Diversified Consumer Services 0.5 Food Products 0.5 Pharmaceuticals 0.5 Professional Services 0.5 Gas Utilities 0.4 Personal Products 0.4 Containers & Packaging 0.3 Auto Components 0.2 Construction Materials 0.2 Electric Utilities 0.2 Thrifts & Mortgage Finance 0.2 Airlines 0.1 Consumer Finance 0.1 Diversified Telecommunication Services 0.1 Health Care Technology 0.1 Household Durables 0.1 Industrial Conglomerates 0.1 Multi-Utilities 0.1 Office Electronics 0.1 Road & Rail 0.1 Trading Companies & Distributors 0.1 Short Term Investments 6.1 Other Assets & Liabilities (5.9) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 13 [Logo] SPDR Dow Jones Large Cap Value ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Large Cap Value ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Large-Cap Value Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Large Cap Value Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.33%, and the total return for the Index was -27.53%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Given the overall drastic decline in the equities market, even the large cap value stocks, the so-called safe havens, could not retain much of their existing value. The Fund lost approximately 27% of its value in the last one year owing to the global economic meltdown, the collapse of the major financial giants and a detracting trend in both domestic sales and imports. The deepening banking crisis, the massive toll in jobless claims and the bearish investor sentiments from the recessionary phase have also taken a heavy drag on the Fund. Consumer Discretionary and Information Technology were the only two sectors that were able to post marginal positive performance to the Fund. Not surprisingly, the sector that was worst hit was the Financials, followed by Health Care. With a weight of little more than 20%, Financials posted a huge negative performance of approximately 12% to the Fund. To name a few, Bank of America Corp., Citigroup, Inc. and American International Group, Inc. were the worst underperformers in the Financials arena whereas General Electric Co. and Exxon Mobil Corp. were the poor performers in the Industrial and Energy sector respectively. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 14 [Logo] SPDR Dow Jones Large Cap Value ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES LARGE CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.20%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. LARGE-CAP LARGE-CAP VALUE VALUE NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.33% -27.21% -27.53% -27.33% -27.21% -27.53% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -27.52% -27.58% -27.53% -10.17% -10.20% -10.18% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -11.32% -11.30% -10.87% -2.37% -2.37% -2.27% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) (2) -6.39% -6.34% 2.68% -0.75% -0.75% 0.30% ----------------------------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Large-Cap Value Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. (2) For the period September 25, 2000 to June 30, 2009. 15 [Logo] SPDR Dow Jones Large Cap Value ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES LARGE CAP VALUE ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW LARGE-CAP VALUE JONES LARGE TOTAL STOCK CAP VALUE MARKET INDEX ETF (A)(1) (B) ----------- --------------- 9/25/2000 10000 10000 10175 10180 10519 10485 10244 10158 12/31/2000 10592 10613 10512 10616 10166 10297 3/31/2001 9812 9938 10244 10387 10444 10589 6/30/2001 10128 10305 10231 10459 9803 10071 9/30/2001 9422 9440 9314 9342 9792 9853 12/31/2001 9925 10041 9674 10048 9660 10190 3/31/2002 10079 10602 9502 10295 9569 10350 6/30/2002 8881 9705 8293 8855 8334 8874 9/30/2002 7418 7940 8096 8438 8538 8948 12/31/2002 8175 8563 7975 8338 7710 8146 3/31/2003 7726 8120 8451 8765 8949 9441 6/30/2003 9136 9550 9144 9701 9185 9917 9/30/2003 9152 9793 9525 10447 9570 10576 12/31/2003 10263 11179 10473 11336 10638 11544 3/31/2004 10428 11400 10265 11149 10317 11283 6/30/2004 10556 11520 10449 11242 10610 11348 9/30/2004 10690 11485 10833 11741 11239 12255 12/31/2004 11608 12694 11346 12424 11708 12846 3/31/2005 11518 12655 11419 12534 11577 12835 6/30/2005 11657 12858 11900 13218 11853 13097 9/30/2005 12032 13208 11786 12914 12210 13381 12/31/2005 12245 13420 12556 13763 12686 13909 3/31/2006 12843 14086 13152 14427 12835 14081 6/30/2006 12913 14169 13220 14509 13501 14822 9/30/2006 13830 15187 14265 15668 14554 15991 12/31/2006 14881 16354 15058 16550 14778 16244 3/31/2007 15012 16505 15646 17207 16196 17817 6/30/2007 15870 17458 15214 16736 15452 17002 9/30/2007 15982 17590 16015 17627 15310 16851 12/31/2007 15134 16655 14509 15968 13842 15231 3/31/2008 13781 15167 14367 15815 14293 15734 6/30/2008 12878 14167 12945 14241 13041 14348 9/30/2008 12187 13397 10228 11236 9537 10471 12/31/2008 9612 10555 8551 9381 7494 8214 3/31/2009 8157 8941 8810 9660 9400 10310 6/30/2009 9361 10268
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Large-Cap Value Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. 16 [Logo] SPDR Dow Jones Large Cap Value ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------- EXXON MOBIL DESCRIPTION CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. AT&T, INC. ------------------------------------------------------------------------------------------------------------------- MARKET VALUE $7,510,711 3,418,110 3,258,698 3,201,901 ------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 7.6% 3.4 3.3 3.2 ------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------- INTERNATIONAL BUSINESS DESCRIPTION MACHINES CORP. ---------------------------------------------------------------- MARKET VALUE 2,997,794 ---------------------------------------------------------------- % OF NET ASSETS 3.0 ----------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil, Gas & Consumable Fuels 14.7% Pharmaceuticals 12.7 Diversified Telecommunication Services 5.5 Diversified Financial Services 5.3 Insurance 4.5 Commercial Banks 4.4 Aerospace & Defense 4.1 Electric Utilities 4.1 Household Products 3.9 Capital Markets 3.7 Industrial Conglomerates 3.6 Computers & Peripherals 3.2 Tobacco 3.0 Beverages 2.8 Food Products 2.8 Multi-Utilities 2.7 Semiconductors & Semiconductor Equipment 2.0 Hotels, Restaurants & Leisure 1.8 Chemicals 1.7 Real Estate Investment Trusts 1.7 Road & Rail 1.7 Media 1.0 Consumer Finance 0.9 Air Freight & Logistics 0.8 Machinery 0.7 Health Care Providers & Services 0.6 Household Durables 0.6 Food & Staples Retailing 0.5 Commercial Services & Supplies 0.4 Auto Components 0.3 Containers & Packaging 0.3 Metals & Mining 0.3 Paper & Forest Products 0.3 Wireless Telecommunication Services 0.3 Gas Utilities 0.2 Health Care Equipment & Supplies 0.2 IT Services 0.2 Leisure Equipment & Products 0.2 Multiline Retail 0.2 Thrifts & Mortgage Finance 0.2 Airlines 0.1 Automobiles 0.1 Building Products 0.1 Construction & Engineering 0.1 Distributors 0.1 Diversified Consumer Services 0.1 Electrical Equipment 0.1 Electronic Equipment, Instruments & Components 0.1 Personal Products 0.1 Real Estate Management & Development 0.1 Software 0.1 Specialty Retail 0.1 Textiles, Apparel & Luxury Goods 0.1 Trading Companies & Distributors 0.1 Water Utilities 0.1 Energy Equipment & Services 0.0** Short Term Investments 4.5 Other Assets & Liabilities (4.1) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 17 [Logo] SPDR Dow Jones Mid Cap ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Mid Cap ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Mid-Cap Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Mid Cap Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.89%, and the total return for the Index was -27.96%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. From a financial standpoint, the closing stanza of 2008 brought a devastating end to an already brutal year. Against a backdrop of sharply deteriorating economic data, poor earnings news, and ongoing asset impairment at large financial institutions, few investors could muster the moxie or the money to resist the sustained selling pressure. Bucking the downtrend, however, were the US Federal Reserve and the US Treasury, which fought valiantly to preserve financial stability by injecting capital into lending institutions, accepting troubled assets as collateral, and slashing interest rates to the floor. Even though major banks and auto companies seemed on the brink of disaster in late November 2008, helping to push the overall markets to its lows for the current decade, money market conditions continued to improve steadily and December brought a solid rally to the credit markets. US equities in turn were able to end their worst year since the 1930's on a mildly upbeat note. Most US equity averages tagged their best levels of 2009 in early June, but lukewarm data on industrial production and a pullback in commodity prices brought loss of momentum and subsequent consolidation. Still, a fresh retreat in volatility measures to their lowest levels since the Lehman Brothers Holdings, Inc. collapse last September, as well as ample liquidity in the money markets, allowed most US benchmarks to eke out positive returns for June. As risk appetites recovered, mid-cap and smaller stocks tended to outperform during the second quarter, but not dramatically so. Indeed, mid caps retain a modest year- to-date advantage over the Dow Jones Large Cap, as measured by the Dow Jones Mid Cap. The largest positive impact on the Fund during this period was O'Reilly Automotive, Inc. The stock was able to generate a return of 70% while adding +28 bps to the overall Fund return. The positive returns in part reflect the effects of increasing synergies relating to the acquisition of CSK Auto Corp. in the middle of 2008. The largest negative impact during this period was Arch Coal, Inc. The stock return plummeted by close to 80% while dragging the overall Fund return by 63 bps. The company's stock price suffered most in the latter half of 2008 due to its inability to shield itself from the effects of the global recession and downward pressure of crude oil. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 18 [Logo] SPDR Dow Jones Mid Cap ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES MID CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. MID-CAP U.S. MID-CAP NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.89% -27.96% -27.96% -27.89% -27.96% -27.96% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -22.74% -22.60% -22.72% -8.24% -8.19% -8.23% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -15.85% -15.87% -15.74% -4.63% -4.63% -4.56% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 19 [Logo] SPDR Dow Jones Mid Cap ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES MID CAP ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW MID-CAP TOTAL JONES MID STOCK MARKET CAP ETF INDEX (B) (A) --------- ------------- 11/8/2005 10000 10000 10348 10348 12/31/05 10438 10441 10977 10976 10962 10963 3/31/06 11341 11346 11389 11397 10900 10907 6/30/06 10893 10903 10543 10555 10777 10791 9/30/06 10901 10918 11320 11341 11776 11802 12/31/06 11824 11851 12247 12279 12311 12347 3/31/07 12422 12460 12876 12920 13445 13495 6/30/07 13192 13243 12595 12647 12577 12632 9/30/07 12965 13024 13303 13368 12575 12637 12/31/07 12485 12513 11861 11889 11606 11633 3/31/08 11346 11373 12044 12074 12591 12624 6/30/08 11671 11697 11538 11566 11730 11759 9/30/08 10308 10326 8107 8114 7279 7277 12/31/08 7649 7651 7109 7107 6408 6402 3/31/09 6966 6968 8133 8139 8440 8447 6/30/09 8415 8426
20 [Logo] SPDR Dow Jones Mid Cap ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ CENTURYTEL, SUNTRUST BANKS, SEAGATE HOST HOTELS & OWENS-ILLINOIS, DESCRIPTION INC. INC. TECHNOLOGY RESORTS, INC. INC. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $300,522 250,073 166,994 164,880 153,831 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 1.0% 0.8 0.5 0.5 0.5 ------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil, Gas & Consumable Fuels 6.5% Real Estate Investment Trusts 6.2 Insurance 5.4 Commercial Banks 4.6 Specialty Retail 3.6 Machinery 3.5 Software 3.3 Hotels, Restaurants & Leisure 3.2 Semiconductors & Semiconductor Equipment 3.2 Capital Markets 3.0 Chemicals 3.0 Health Care Providers & Services 2.8 Gas Utilities 2.7 Household Durables 2.6 Containers & Packaging 2.5 IT Services 2.5 Health Care Equipment & Supplies 2.2 Computers & Peripherals 2.0 Electronic Equipment, Instruments & Components 2.0 Energy Equipment & Services 2.0 Metals & Mining 1.9 Commercial Services & Supplies 1.8 Electric Utilities 1.8 Construction & Engineering 1.6 Diversified Telecommunication Services 1.6 Biotechnology 1.4 Media 1.4 Multi-Utilities 1.4 Professional Services 1.4 Diversified Consumer Services 1.3 Communications Equipment 1.2 Life Sciences Tools & Services 1.2 Food Products 1.0 Pharmaceuticals 1.0 Aerospace & Defense 0.9 Auto Components 0.9 Road & Rail 0.9 Electrical Equipment 0.8 Internet & Catalog Retail 0.8 Building Products 0.7 Food & Staples Retailing 0.6 Independent Power Producers & Energy Traders 0.6 Personal Products 0.6 Health Care Technology 0.5 Industrial Conglomerates 0.5 Internet Software & Services 0.5 Multiline Retail 0.5 Wireless Telecommunication Services 0.5 Airlines 0.4 Household Products 0.4 Real Estate Management & Development 0.4 Thrifts & Mortgage Finance 0.4 Diversified Financial Services 0.3 Paper & Forest Products 0.3 Trading Companies & Distributors 0.3 Water Utilities 0.3 Beverages 0.2 Distributors 0.2 Marine 0.2 Air Freight & Logistics 0.1 Leisure Equipment & Products 0.1 Office Electronics 0.1 Short Term Investments 29.6 Other Assets & Liabilities (29.4) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 21 [Logo] SPDR Dow Jones Mid Cap Growth ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Mid Cap Growth ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Mid-Cap Growth Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Mid Cap Growth Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.51%, and the total return for the Index was -27.58%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009,leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Mid cap stocks tended to retain a modest advantage over the large cap stocks throughout the course of the year, but not dramatically so. The Fund lost approximately 27% of its value in the last twelve months owing to the energy stocks taking a beating due to dwindling oil prices, bleak earnings in the manufacturing firms and significant volatility in overall market prices due to the economically tough environment. The only sector that was able to contribute positive returns to the Fund was the Consumer Discretionary sector. Las Vegas Sands Corp., O'Reilly Automotive Inc., and Expedia, Inc. helped most in creating the positive momentum within this sector. On the other end of the spectrum, Energy and Industrials were among the worst underperformers with their individual contributions coming up to negative 9% and 6% approximately. Massey Energy Co., Bucyrus International, Inc. and Walter Energy, Inc. were amongst the hardest hit securities with each losing almost 80% of their share value and contributing more than negative 60 basis points to the Fund. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 22 [Logo] SPDR Dow Jones Mid Cap Growth ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES MID CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. MID-CAP MID-CAP GROWTH GROWTH NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.51% -27.51% -27.58% -27.51% -27.51% -27.58% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -17.47% -17.23% -17.32% -6.20% -6.11% -6.14% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -10.78% -10.78% -10.49% -3.08% -3.08% -2.98% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 23 [Logo] SPDR Dow Jones Mid Cap Growth ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES MID CAP GROWTH ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW MID-CAP GROWTH JONES MID TOTAL STOCK CAP GROWTH MARKET INDEX ETF (A) (B) ---------- -------------- 11/8/2005 10000 10000 10327 10329 12/31/05 10439 10444 11007 11002 10942 10943 3/31/06 11426 11433 11469 11481 10834 10847 6/30/06 10810 10827 10326 10343 10549 10570 9/30/06 10706 10729 11049 11076 11572 11604 12/31/06 11620 11653 12062 12099 12088 12129 3/31/07 12203 12247 12697 12746 13340 13398 6/30/07 13211 13271 12786 12847 12813 12877 9/30/07 13336 13409 13829 13911 13015 13088 12/31/07 12901 12965 12126 12187 11947 12005 3/31/08 11625 11682 12395 12457 13059 13123 6/30/08 12306 12362 11974 12032 12098 12156 9/30/08 10333 10374 7988 8015 7144 7165 12/31/08 7540 7564 7249 7269 6696 6713 3/31/09 7320 7341 8556 8584 8947 8977 6/30/09 8922 8951
24 [Logo] SPDR Dow Jones Mid Cap Growth ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------------- MICRON DESCRIPTION TECHNOLOGY, INC. TEREDATA CORP. BORGWARNER, INC. JOY GLOBAL, INC. ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $377,390 359,159 353,623 324,230 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.9% 0.8 0.8 0.8 ----------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------- ROBERT HALF INTERNA- TIONAL, DESCRIPTION INC. ---------------------------------------------------- MARKET VALUE 320,240 ---------------------------------------------------- % OF NET ASSETS 0.7 ----------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Semiconductors & Semiconductor Equipment 6.4% Oil, Gas & Consumable Fuels 6.1 Software 5.2 Specialty Retail 5.1 Machinery 4.6 Hotels, Restaurants & Leisure 4.3 IT Services 4.1 Health Care Providers & Services 4.0 Capital Markets 3.5 Metals & Mining 3.3 Energy Equipment & Services 3.2 Electronic Equipment, Instruments & Components 3.0 Health Care Equipment & Supplies 3.0 Professional Services 2.8 Biotechnology 2.7 Chemicals 2.3 Communications Equipment 2.3 Computers & Peripherals 2.2 Commercial Services & Supplies 2.1 Diversified Consumer Services 2.0 Life Sciences Tools & Services 2.0 Construction & Engineering 1.8 Auto Components 1.7 Internet & Catalog Retail 1.7 Media 1.6 Pharmaceuticals 1.5 Containers & Packaging 1.2 Independent Power Producers & Energy Traders 1.2 Road & Rail 1.1 Wireless Telecommunication Services 1.0 Internet Software & Services 1.0 Diversified Telecommunication Services 0.9 Health Care Technology 0.9 Real Estate Investment Trusts 0.9 Aerospace & Defense 0.8 Household Products 0.7 Multiline Retail 0.7 Personal Products 0.7 Gas Utilities 0.6 Airlines 0.5 Distributors 0.5 Diversified Financial Services 0.5 Electric Utilities 0.5 Food & Staples Retailing 0.5 Insurance 0.5 Electrical Equipment 0.4 Food Products 0.4 Household Durables 0.4 Marine 0.4 Office Electronics 0.3 Trading Companies & Distributors 0.3 Air Freight & Logistics 0.2 Thrifts & Mortgage Finance 0.2 Industrial Conglomerates 0.1 Short Term Investments 29.1 Other Assets & Liabilities (29.0) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 25 [Logo] SPDR Dow Jones Mid Cap Value ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Mid Cap Value ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Mid-Cap Value Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Mid Cap Value Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.27%, and the total return for the Index was -27.36%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double- digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth-oriented securities. Mid cap stocks are usually considered to provide relative stability compared to their small cap peers and at the same time, they enjoy the speculation for large upside potential. However, given the brutally challenging economic conditions, the Fund witnessed an erosion of almost 27% in its value in the last one year. A shift in investor sentiments leaning more towards growth stocks and moving away from value stocks, the exacerbated woes of financial firms and the depressing real estate environment were some of the few factors that led to the negative performance in the Fund. Approximately half of the underperformance in the Fund comes from the Financials sector. While recovery hopes from the credit crunch and mortgage crisis have brightened, it has been difficult for financial firms to bump the pace of appreciation. With a heavy weight of more than 30%, this sector posted a negative performance of approximately 12% to the Fund. Marshall & Ilsley Corp., Zions Bancorp and Developers Diversified Realty Corp. were the top few detractors. The sectors that were able to provide marginal positive contribution to the Fund include Consumer Discretionary and Industrials. On the security level, Seagate Technology, Owens-Illinois Inc. and Host Hotels & Resorts Inc. were among the top few positive contributors to the Fund. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 26 [Logo] SPDR Dow Jones Mid Cap Value ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES MID CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. MID-CAP U.S. MID-CAP VALUE VALUE NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.27% -27.33% -27.36% -27.27% -27.33% -27.36% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -28.78% -28.68% -28.60% -10.70% -10.66% -10.62% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -21.83% -21.86% -21.54% -6.54% -6.55% -6.44% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 27 [Logo] SPDR Dow Jones Mid Cap Value ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES MID CAP VALUE ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW MID-CAP VALUE JONES MID TOTAL STOCK CAP VALUE MARKET INDEX ETF (A) (B) --------- ------------- 11/8/2005 10000 10000 10368 10366 12/31/05 10439 10439 10947 10951 10976 10981 3/31/06 11241 11249 11295 11304 10963 10973 6/30/06 10976 10987 10779 10791 11022 11038 9/30/06 11114 11132 11613 11636 11999 12027 12/31/06 12048 12078 12452 12541 12554 12572 3/31/07 12660 12694 13065 13115 13540 13595 6/30/07 13136 13191 12332 12384 12258 12314 9/30/07 12473 12533 12597 12659 11989 12049 12/31/07 11865 11924 11445 11503 11091 11148 3/31/08 10911 10968 11509 11571 11893 11960 6/30/08 10748 10801 10892 10946 11178 11237 9/30/08 10259 10303 8228 8256 7414 7439 12/31/08 7755 7785 6919 6941 6044 6058 3/31/09 6531 6553 7615 7646 7838 7871 6/30/09 7817 7846
28 [Logo] SPDR Dow Jones Mid Cap Value ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------- SUNTRUST BANKS, SEAGATE HOST HOTELS & DESCRIPTION INC. TECHNOLOGY RESORTS, INC. OWENS-ILLINOIS, INC. ------------------------------------------------------------------------------------------------------------------- MARKET VALUE $147,244 98,471 97,232 90,696 ------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.7% 1.1 1.1 1.0 ------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------- REGIONS FINANCIAL DESCRIPTION CORP. ----------------------------------------------------------- MARKET VALUE 85,939 ----------------------------------------------------------- % OF NET ASSETS 1.0 -----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Real Estate Investment Trusts 12.0% Insurance 10.7 Commercial Banks 9.4 Oil, Gas & Consumable Fuels 6.9 Household Durables 5.1 Gas Utilities 4.8 Containers & Packaging 3.9 Chemicals 3.7 Electric Utilities 3.3 Multi-Utilities 2.8 Capital Markets 2.4 Machinery 2.3 Specialty Retail 2.2 Hotels, Restaurants & Leisure 2.0 Computers & Peripherals 1.8 Food Products 1.7 Commercial Services & Supplies 1.5 Health Care Providers & Services 1.5 Building Products 1.4 Construction & Engineering 1.4 Health Care Equipment & Supplies 1.3 Software 1.3 Diversified Telecommunication Services 1.2 Electrical Equipment 1.2 Media 1.2 Aerospace & Defense 1.1 Electronic Equipment, Instruments & Components 1.0 Industrial Conglomerates 0.9 IT Services 0.9 Real Estate Management & Development 0.9 Road & Rail 0.9 Energy Equipment & Services 0.8 Food & Staples Retailing 0.6 Paper & Forest Products 0.6 Thrifts & Mortgage Finance 0.6 Diversified Consumer Services 0.5 Personal Products 0.5 Pharmaceuticals 0.5 Water Utilities 0.5 Airlines 0.4 Beverages 0.4 Metals & Mining 0.4 Multiline Retail 0.4 Life Sciences Tools & Services 0.3 Leisure Equipment & Products 0.2 Trading Companies & Distributors 0.2 Short Term Investment 30.0 Other Assets & Liabilities (29.6) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 29 [Logo] SPDR Dow Jones Small Cap ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Small Cap ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Small-Cap Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Small Cap Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -23.98%, and the total return for the Index was -23.99%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Despite the strong second quarter, the year was one that will be remembered for a long time, as the Fund fell 23.98% during the twelve month period. In the second half of 2008 the Fund lost over 31% of its value, as markets across the globe plummeted in response to the global credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. The Fund moved in line with its benchmark during the crisis. The second quarter of 2009 brought some renewed optimism as leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For the Fund, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains and the Fund bounced back by 26.04% in the second quarter of 2009. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Despite the rebound in the first half of 2009, nine out of ten sectors in the Fund remained in the negative territory over the last twelve months. Information Technology was the only sector that had moderately positive returns over the twelve month period. Financials, Energy and Industrials sectors were the heaviest detractors from the Fund's absolute performance. On an individual security basis, XL Capital Ltd.(Class A), Fifth Third Bankcorp, and Genworth Financial, Inc (Class A). were the heaviest positive contributors to the Fund's absolute performance. The St. Joe Co., Alexandria Real Estate Equities, Inc., and Energy Conversion Devices Inc., were the heaviest detractors from the Fund's performance. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 30 [Logo] SPDR Dow Jones Small Cap ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES SMALL CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. SMALL- U.S. SMALL- CAP CAP NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -23.98% -24.09% -23.99% -23.98% -24.09% -23.99% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -23.99% -23.73% -23.82% -8.74% -8.64% -8.67% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -15.25% -15.30% -14.86% -4.44% -4.46% -4.29% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 31 [Logo] SPDR Dow Jones Small Cap ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES SMALL CAP ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW SMALL-CAP TOTAL JONES SMALL STOCK MARKET CAP ETF INDEX (B) (A) ----------- --------------- 11/8/2005 10000 10000 10353 10356 12/31/05 10359 10366 11169 11183 11145 11160 3/31/06 11656 11676 11688 11710 11114 11136 6/30/06 11151 11177 10798 10827 11053 11086 9/30/06 11124 11159 11706 11748 12080 12127 12/31/06 12079 12127 12383 12438 12383 12440 3/31/07 12530 12590 12859 12926 13433 13507 6/30/07 13238 13310 12492 12561 12655 12727 9/30/07 12920 12996 13237 13317 12362 12437 12/31/07 12285 12359 11540 11610 11227 11293 3/31/08 11102 11166 11648 11712 12167 12232 6/30/08 11152 11202 11279 11330 11649 11704 9/30/08 10501 10537 8264 8284 7294 7305 12/31/08 7682 7692 6974 6979 6164 6165 3/31/09 6726 6736 8043 8073 8403 8437 6/30/09 8475 8514
32 [Logo] SPDR Dow Jones Small Cap ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------------- BROCADE GENWORTH XL CAPITAL, COMMUNICATIONS FINANCIAL, DESCRIPTION FIFTH THIRD BANCORP LTD.(CLASS A) SYSTEMS, INC. INC.(CLASS A) -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $88,949 83,658 64,922 64,846 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.4% 0.4 0.3 0.3 -------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------ DESCRIPTION DENDREON CORP. ------------------------------------------------------------ MARKET VALUE 61,529 ------------------------------------------------------------ % OF NET ASSETS 0.3 ------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Real Estate Investment Trusts 6.4% Commercial Banks 6.1 Oil, Gas & Consumable Fuels 5.4 Insurance 4.3 Software 3.8 Communications Equipment 3.7 Machinery 3.6 Semiconductors & Semiconductor Equipment 3.6 Specialty Retail 3.6 Health Care Providers & Services 3.4 Hotels, Restaurants & Leisure 3.0 Biotechnology 2.9 Health Care Equipment & Supplies 2.6 Energy Equipment & Services 2.3 Chemicals 2.2 Capital Markets 2.0 Commercial Services & Supplies 1.9 Electronic Equipment, Instruments & Components 1.9 Electrical Equipment 1.8 IT Services 1.8 Internet Software & Services 1.7 Metals & Mining 1.6 Textiles, Apparel & Luxury Goods 1.6 Aerospace & Defense 1.5 Household Durables 1.5 Food Products 1.4 Media 1.3 Thrifts & Mortgage Finance 1.3 Diversified Consumer Services 1.2 Electric Utilities 1.2 Gas Utilities 1.2 Pharmaceuticals 1.2 Computers & Peripherals 1.0 Professional Services 1.0 Road & Rail 1.0 Food & Staples Retailing 0.9 Life Sciences Tools & Services 0.9 Building Products 0.8 Trading Companies & Distributors 0.8 Construction & Engineering 0.7 Containers & Packaging 0.7 Diversified Financial Services 0.7 Diversified Telecommunication Services 0.7 Personal Products 0.7 Airlines 0.6 Auto Components 0.5 Health Care Technology 0.5 Real Estate Management & Development 0.5 Consumer Finance 0.4 Leisure Equipment & Products 0.4 Marine 0.4 Multi-Utilities 0.4 Multiline Retail 0.4 Air Freight & Logistics 0.3 Industrial Conglomerates 0.3 Internet & Catalog Retail 0.3 Paper & Forest Products 0.3 Wireless Telecommunication Services 0.3 Construction Materials 0.2 Distributors 0.2 Tobacco 0.2 Water Utilities 0.2 Automobiles 0.1 Beverages 0.1 Household Products 0.1 Independent Power Producers & Energy Traders 0.1 Office Electronics 0.1 Transportation Infrastructure 0.0** Short Term Investments 29.6 Other Assets & Liabilities (29.4) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 33 [Logo] SPDR Dow Jones Small Cap Growth ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Small Cap Growth ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Small-Cap Growth Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Small Cap Growth Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -25.21%, and the total return for the Index was -25.28%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Given the downshift in the equity momentum last year, almost all types of size and style funds have had a rough time in attaining annual positive returns. The Fund observed a deteriorating spectacle of double-digit negative returns in the second half of last year, a cumulative of approximately 36%. While the performance of the Fund was still negative in the first quarter of this year, one witnessed a sweeping double-digit recovery of approximately 28% for the second quarter. Unfortunately, this last quarter victory was not enough to recover the poor performance of the previous quarters. Small cap growth stocks are usually considered for investors inclined to take on a comparatively higher risk strategy. With a loss in the risk appetite from investors and a drastic reduction in direct spending from both individual consumers and institutions, the Fund lost approximately 25% of its value during the course of the year. Consumer Staples, Materials and Utilities were the only sectors that were able to contribute marginal positive performance to the Fund. Energy, Industrials and Financials were amongst the worst offenders. On an underlying constituent level, the top three contributors were CB Richard Ellis Group, Inc., Wyndham Worldwide Corp. and AK Steel Holding Corp. whereas the top three detractors were Energy Conversion Devices, Petrohawk Energy Corp. and Penn Virginia Corporation. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 34 [Logo] SPDR Dow Jones Small Cap Growth ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES SMALL CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. SMALL- U.S. SMALL- CAP GROWTH CAP GROWTH NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -25.21% -25.27% -25.28% -25.21% -25.27% -25.28% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -20.38% -19.93% -20.25% -7.31% -7.14% -7.27% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -0.06% 0.05% 2.62% -0.01% 0.01% 0.52% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) (2) -29.98% -29.97% -14.03% -3.99% -3.98% -1.71% ----------------------------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Small-Cap Growth Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. (2) For the period September 25, 2000 to June 30, 2009. 35 [Logo] SPDR Dow Jones Small Cap Growth ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES SMALL CAP GROWTH ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW SMALL-CAP GROWTH JONES SMALL TOTAL STOCK CAP GROWTH MARKET INDEX ETF (A)(1) (B) ----------- ---------------- 9/25/00 10000 10000 9988 9993 9321 9132 7568 7350 12/31/00 8019 7812 8629 8417 7391 7157 3/31/01 6585 6388 7499 7326 7691 7564 6/30/01 7893 7733 7235 7148 6709 6667 9/30/01 5499 5480 6114 6108 6809 6724 12/31/01 7307 7185 6997 6944 6308 6480 3/31/02 6824 7016 6427 6807 5971 6437 6/30/02 5396 5910 4599 5111 4536 5157 9/30/02 4090 4749 4368 5016 4884 5531 12/31/02 4462 5134 4397 4995 4284 4852 3/31/03 4338 4932 4744 5449 5253 6087 6/30/03 5341 6266 5665 6652 5973 7035 9/30/03 5865 6866 6392 7487 6595 7704 12/31/03 6606 7754 6845 8098 6917 8166 3/31/04 6944 8250 6703 7966 6810 8116 6/30/04 7007 8377 6583 7802 6506 7673 9/30/04 6735 8081 6884 8295 7308 8911 12/31/04 7607 9230 7401 8925 7576 9123 3/31/05 7393 8899 7086 8450 7478 9027 6/30/05 7646 9318 8106 9861 8013 9755 9/30/05 8054 9878 7802 9545 8229 10070 12/31/05 8271 10124 8952 10962 8927 10931 3/31/06 9415 11535 9431 11560 8824 10819 6/30/06 8793 10780 8390 10289 8584 10532 9/30/06 8643 10609 9140 11224 9421 11573 12/31/06 9376 11519 9651 11860 9664 11877 3/31/07 9808 12058 10105 12428 10598 13038 6/30/07 10518 12942 10037 12353 10169 12519 9/30/07 10479 12903 10861 13372 10102 12440 12/31/07 10115 12447 9263 11398 9048 11129 3/31/08 8903 10951 9413 11576 9941 12221 6/30/08 9361 11503 9324 11455 9572 11760 9/30/08 8338 10238 6436 7899 5632 6903 12/31/08 5969 7308 5550 6792 4988 6097 3/31/09 5444 6660 6506 7979 6832 8382 6/30/09 7002 8597
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Small-Cap Growth Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. 36 [Logo] SPDR Dow Jones Small Cap Growth ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------- BROCADE COMMUNICATIONS CHIPOTLE MEXICAN DESCRIPTION SYSTEMS, INC. EQUINIX, INC. F5 NETWORKS, INC. GRILL, INC. --------------------------------------------------------------------------------------------------------------------- MARKET VALUE $522,173 478,993 470,493 445,440 --------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.6% 0.5 0.5 0.5 --------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------- OCEANEERING DESCRIPTION INTERNATIONAL, INC. ----------------------------------------------------------------- MARKET VALUE 434,282 ----------------------------------------------------------------- % OF NET ASSETS 0.5 -----------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Semiconductors & Semiconductor Equipment 6.6% Communications Equipment 6.3 Software 6.1 Biotechnology 4.9 Oil, Gas & Consumable Fuels 4.7 Health Care Providers & Services 4.5 Specialty Retail 4.0 Health Care Equipment & Supplies 3.9 Energy Equipment & Services 3.8 Hotels, Restaurants & Leisure 3.7 Machinery 3.7 Internet Software & Services 3.6 IT Services 2.5 Electronic Equipment, Instruments & Components 2.3 Aerospace & Defense 2.2 Pharmaceuticals 2.2 Commercial Services & Supplies 2.0 Diversified Consumer Services 1.9 Professional Services 1.9 Capital Markets 1.7 Textiles, Apparel & Luxury Goods 1.7 Electrical Equipment 1.6 Media 1.6 Metals & Mining 1.4 Real Estate Investment Trusts 1.3 Computers & Peripherals 1.2 Chemicals 1.1 Diversified Telecommunication Services 1.1 Life Sciences Tools & Services 1.1 Personal Products 1.1 Road & Rail 1.1 Health Care Technology 1.0 Commercial Banks 0.9 Insurance 0.9 Diversified Financial Services 0.8 Food Products 0.8 Airlines 0.7 Construction & Engineering 0.6 Food & Staples Retailing 0.6 Trading Companies & Distributors 0.6 Air Freight & Logistics 0.5 Consumer Finance 0.5 Household Durables 0.5 Internet & Catalog Retail 0.5 Thrifts & Mortgage Finance 0.5 Auto Components 0.4 Distributors 0.4 Marine 0.4 Real Estate Management & Development 0.4 Wireless Telecommunication Services 0.4 Building Products 0.3 Office Electronics 0.3 Construction Materials 0.2 Leisure Equipment & Products 0.2 Multiline Retail 0.2 Automobiles 0.1 Beverages 0.1 Gas Utilities 0.1 Independent Power Producers & Energy Traders 0.1 Industrial Conglomerates 0.1 Containers & Packaging 0.0** Short Term Investments 29.4 Other Assets & Liabilities (29.3) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 37 [Logo] SPDR Dow Jones Small Cap Value ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones Small Cap Value ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Small-Cap Value Total Stock Market Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the float-adjusted Small Cap Value Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -22.20%, and the total return for the Index was -22.45%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc., under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Despite a renewed collapse in vulnerable financial shares, news that US Treasury Secretary Henry Paulson was assembling a $700 billion Troubled Asset Relief Program (TARP) brought a fleeting sense of hope late in the month. While developed countries around the world continue to be mired in deep recession, hurt by excess capacity and painful job losses, the ongoing application of aggressive stimulus measures throughout the past year have worked effectively to thwart deflationary tendencies. Leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the fund rose over 23%. Despite the strong showing, the year was one that will be remembered for a long time, as the fund fell over 22% during the year. The final quarter of 2008 proved to be particularly difficult when the fund lost more than 25% of its value. The Fund suffered weak returns along with other US equities over the past year. While 7 of 10 sectors offered double digit negative returns, the largest detractions stemmed from Financials. The impact of Financials came as a double- blow, as not only were the returns deep in the red, but the weight of Financials has been about 36% for the Fund over the past 12 months. The largest stock-level detractions stemmed from Alexandria Real Estate Equities, Inc. (-61%) and The St. Joe Co. (-23%). Also hurting performance were Industrial and Energy stocks which had steep declines. Health Care names helped to reduce some of the losses, as this sector was slightly positive for the year. Dendreon Corp., a biotech company focused on cancer treatment options, had the most positive impact on performance, returning 462% this year as a result of positive news. Over the course of the past 12 months the return spread between large cap and small cap stocks and between growth and value indices was minimal. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 38 [Logo] SPDR Dow Jones Small Cap Value ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES SMALL CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. SMALL- U.S. SMALL- CAP VALUE CAP VALUE NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -22.20% -22.25% -22.45% -22.20% -22.25% -22.45% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -27.21% -27.06% -27.33% -10.05% -9.98% -10.10% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -6.58% -6.41% -6.75% -1.35% -1.32% -1.39% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) (2) 78.99% 79.02% 61.67% 6.87% 6.87% 5.63% ----------------------------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Small-Cap Value Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. (2) For the period September 25, 2000 to June 30, 2009. 39 [Logo] SPDR Dow Jones Small Cap Value ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES SMALL CAP VALUE ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW SMALL-CAP VALUE JONES SMALL TOTAL STOCK CAP VALUE MARKET INDEX ETF (A)(1) (B) ----------- --------------- 9/25/00 10000 10000 10195 10154 10249 10065 10234 9699 12/31/00 11575 10714 11599 10990 11740 10890 3/31/01 11449 10569 11964 11122 12426 11480 6/30/01 12669 11766 12790 11637 12735 11548 9/30/01 11504 10324 11667 10664 12418 11431 12/31/01 13002 12077 13228 12127 13527 12178 3/31/02 14476 13097 14872 13374 14597 12965 6/30/02 14130 12517 12871 11090 13076 11175 9/30/02 12165 10464 12237 10576 12781 11356 12/31/02 12648 11026 12261 10733 11896 10455 3/31/03 11928 10520 13169 11569 14421 12624 6/30/03 14634 12839 15172 13455 15640 13971 9/30/03 15391 13866 16569 14944 17289 15560 12/31/03 18075 16192 18646 16728 19189 17001 3/31/04 19358 17191 18068 16234 18406 16538 6/30/04 19159 17336 18145 16521 18343 16634 9/30/04 18982 17152 19319 17448 20776 18831 12/31/04 21320 19367 20253 18577 20618 18951 3/31/05 20255 18549 19203 17690 20364 18644 6/30/05 21077 19353 22447 20565 22263 20185 9/30/05 22305 20222 21674 19576 22645 20459 12/31/05 22575 20394 24257 21921 24220 21892 3/31/06 25128 22721 25213 22804 24345 22021 6/30/06 24588 22247 24136 21845 24715 22374 9/30/06 24860 22508 26039 23585 26898 24371 12/31/06 27012 24480 27591 25015 27557 24989 3/31/07 27800 25206 28421 25778 29575 26832 6/30/07 28924 26242 26970 24468 27312 24784 9/30/07 27617 25064 27954 25377 26212 23793 12/31/07 25872 23469 24988 22666 24208 21957 3/31/08 24062 21827 25044 22713 25864 23458 6/30/08 23005 20847 23672 21452 24616 22308 9/30/08 22997 20802 18433 16650 16416 14804 12/31/08 17184 15505 15251 13750 13269 11956 3/31/09 14485 13068 17352 15668 18037 16285 6/30/09 17899 16167
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from the Dow Jones U.S. Small-Cap Value Total Stock Market Index. Performance of the Fund prior to November 1, 2005 is therefore based on the Fund's investment strategy to track the prior index. Future performance may vary from past results. 40 [Logo] SPDR Dow Jones Small Cap Value ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ XL CAPITAL, LTD. GENWORTH FINANCIAL, DESCRIPTION FIFTH THIRD BANCORP. (CLASS A) INC. (CLASS A) DENDREON CORP. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $565,046 543,353 418,757 392,530 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 0.8% 0.8 0.6 0.6 ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------ FIRST HORIZON DESCRIPTION NATIONAL CORP. ------------------------------------------------------------ MARKET VALUE 356,226 ------------------------------------------------------------ % OF NET ASSETS 0.5 ------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Real Estate Investment Trusts 12.1% Commercial Banks 11.9 Insurance 7.9 Oil, Gas & Consumable Fuels 6.1 Machinery 3.5 Chemicals 3.4 Specialty Retail 3.2 Household Durables 2.6 Electric Utilities 2.5 Gas Utilities 2.4 Capital Markets 2.2 Health Care Providers & Services 2.2 Hotels, Restaurants & Leisure 2.2 Thrifts & Mortgage Finance 2.1 Electrical Equipment 2.0 Food Products 2.0 Commercial Services & Supplies 1.9 Metals & Mining 1.8 Electronic Equipment, Instruments & Components 1.5 Textiles, Apparel & Luxury Goods 1.5 Containers & Packaging 1.4 Building Products 1.3 Food & Staples Retailing 1.3 Health Care Equipment & Supplies 1.1 Media 1.1 IT Services 1.0 Software 1.0 Communications Equipment 0.9 Trading Companies & Distributors 0.9 Aerospace & Defense 0.8 Biotechnology 0.8 Multi-Utilities 0.8 Road & Rail 0.8 Auto Components 0.7 Construction & Engineering 0.7 Energy Equipment & Services 0.7 Life Sciences Tools & Services 0.7 Computers & Peripherals 0.6 Diversified Consumer Services 0.6 Diversified Financial Services 0.6 Leisure Equipment & Products 0.6 Multiline Retail 0.6 Paper & Forest Products 0.6 Industrial Conglomerates 0.5 Real Estate Management & Development 0.5 Airlines 0.4 Diversified Telecommunication Services 0.4 Marine 0.4 Semiconductors & Semiconductor Equipment 0.4 Tobacco 0.4 Water Utilities 0.4 Beverages 0.3 Construction Materials 0.2 Consumer Finance 0.2 Household Products 0.2 Personal Products 0.2 Professional Services 0.2 Distributors 0.1 Internet Software & Services 0.1 Pharmaceuticals 0.1 Wireless Telecommunication Services 0.1 Air Freight & Logistics 0.0** Automobiles 0.0** Transportation Infrastructure 0.0** Short Term Investments 27.6 Other Assets & Liabilities (27.3) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 41 [Logo] SPDR DJ Global Titans ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR DJ Global Titans ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones Global Titans 50 Index U.S. Close (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Global Titans Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -26.89%, and the total return for the Index was -27.18%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. While economic activity seems to be rebounding in the international developed markets, the year did not fare very well for the Fund. The Fund witnessed positive returns only in the second quarter of this year and it was not enough to undo the double-digit negative returns of the previous three quarters. For the last twelve months, the Fund's return was approximately negative 27% as international markets plummeted in response to the collapse of the banking sector, the global credit crisis, and the fear of a worsening recession. The ongoing asset impairment at large financial institutions, reduced consumer spending and a widespread softness in industrial production led to a dwindling of corporate profits even for the 'too big to fail' titans of the world. On a sector level, the Telecommunications and Information Technology firms provided marginal positive proceeds but it was overshadowed by the massive losses from the Financials and Energy firms. To name a few on an individual security level, Oracle Corp., Apple, Inc., International Business Machines Corp. and Verizon Communications, Inc. were the trivial positive contributors to the Fund. For the detractors, General Electric Co., Exxon Mobile Corp., Citigroup, Inc., Bank of America Corp. and HSBC Holdings PLC each individually contributed more than a negative 1% return to the performance of the Fund. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 42 [Logo] SPDR DJ Global Titans ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR DJ GLOBAL TITANS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.50%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES GLOBAL GLOBAL NET ASSET MARKET TITANS 50 NET ASSET MARKET TITANS 50 VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -26.89% -26.72% -27.18% -26.89% -26.72% -27.18% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -23.46% -23.46% -23.32% -8.53% -8.53% -8.47% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS -12.70% -12.70% -11.69% -2.68% -2.68% -2.46% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -32.64% -32.58% -31.43% -4.41% -4.40% -4.18% ----------------------------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to June 30, 2009. 43 [Logo] SPDR DJ Global Titans ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DJ GLOBAL TITANS ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES GLOBAL SPDR DJ TITANS 50 GLOBAL TITANS INDEX (B) ETF (A) ------------- ------------ 9/25/00 10000 10000 9982 9998 10111 10137 9346 9376 12/31/00 9147 9180 9502 9539 8601 8636 3/31/01 8107 8142 8815 8858 8702 8749 6/30/01 8446 8453 8301 8347 7799 7845 9/30/01 7378 7422 7551 7600 7940 7995 12/31/01 7967 8026 7674 7735 7515 7579 3/31/02 7788 7857 7211 7276 7202 7268 6/30/02 6765 6833 6265 6330 6264 6332 9/30/02 5547 5611 6168 6245 6511 6595 12/31/02 6106 6186 5904 5984 5765 5844 3/31/03 5822 5906 6320 6412 6588 6688 6/30/03 6683 6789 6726 6837 6726 6840 9/30/03 6812 6932 7049 7176 7154 7288 12/31/03 7629 7777 7730 7883 7804 7964 3/31/04 7604 7763 7570 7729 7624 7788 6/30/04 7717 7889 7541 7712 7590 7764 9/30/04 7590 7767 7683 7860 7929 8129 12/31/04 8186 8392 8010 8215 8288 8516 3/31/05 8083 8303 8038 8255 8136 8363 6/30/05 8082 8316 8255 8498 8285 8533 9/30/05 8405 8658 8237 8490 8389 8649 12/31/05 8423 8691 8653 8930 8613 8890 3/31/06 8748 9038 8997 9299 8759 9052 6/30/06 8800 9096 9071 9380 9351 9677 9/30/06 9441 9774 9710 10057 9887 10244 12/31/06 10094 10464 10143 10521 9834 10200 3/31/07 9942 10322 10392 10790 10649 11063 6/30/07 10623 11044 10386 10795 10530 10947 9/30/07 10971 11416 11183 11638 10799 11238 12/31/07 10694 11125 10000 10403 9687 10072 3/31/08 9705 10090 10097 10508 9976 10373 6/30/08 9213 9579 9101 9458 8991 9342 9/30/08 8304 8625 7000 7270 6585 6840 12/31/08 6660 6914 5928 6148 5369 5560 3/31/09 5810 6021 6191 6413 6721 6961 6/30/09 6736 6857
44 [Logo] SPDR DJ Global Titans ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $4,807,781 2,617,172 2,186,289 2,084,267 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 6.8% 3.7 3.1 2.9 ------------------------------------------------------------------------------------------------------------------------------ -------------------------------------------------------- DESCRIPTION BP PLC ADR -------------------------------------------------------- MARKET VALUE 2,075,606 -------------------------------------------------------- % OF NET ASSETS 2.9 --------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil, Gas & Consumable Fuels 19.6% Pharmaceuticals 14.5 Commercial Banks 7.3 Diversified Telecommunication Services 7.3 Computers & Peripherals 7.0 Software 5.3 Diversified Financial Services 4.5 Beverages 3.7 Industrial Conglomerates 3.5 Communications Equipment 3.2 Household Products 2.9 Semiconductors & Semiconductor Equipment 2.9 Food Products 2.6 Automobiles 2.2 Food & Staples Retailing 2.1 Internet software & Services 2.0 Wireless Telecommunication Services 2.0 Metals & Mining 1.8 Tobacco 1.7 Electric Utilities 1.4 Energy Equipment & Services 1.3 Insurance 0.8 Short-Term Investments 9.1 Other Assets & Liabilities (8.7) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 45 [Logo] SPDR Dow Jones REIT ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Dow Jones REIT ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Dow Jones U.S. Select REIT Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the REIT Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -44.96%, and the total return for the Index was -45.35%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The decline of the U.S. REIT market was predicated on the collapse of the U.S. financial services markets, further tightening of the debt and credit markets, confirmation of a global recession, and deterioration in commercial real estate fundamentals. The deep and protracted nature of the credit crisis became apparent in the second half of 2008 and the real estate sector was not immune. For a capital intensive business such as real estate, illiquid debt markets served as a reminder that the sector could become capital constrained even despite its real asset base and relatively stable long-term cash flows. Capital market illiquidity and related concerns over real estate valuations caused publicly traded real estate to preemptively sell off in anticipation of a significant cap rate expansion in the underlying direct property market. In contrast, direct property valuations had been "artificially" stable due to the lack of the transactional activity. In early March of 2009, the sector staged a value-based rally. This rally was sparked by a combination of new equity issuance, some easing of the credit markets, signs of stabilization in the macroeconomic environment and improved consumer confidence. Short-covering and speculation about additional recapitalizations helped to add momentum. At the sub-sector level, transition in the housing market helped self-storage to become the best performing sector during the Reporting Period. Similarly, housing dislocation and access to financing through Fannie Mae (Federal National Mortgage Association) and Freddie Mac (Federal Home Loan Mortgage Corporation) positioned the apartment sub-sector to outperform the index. The defensive, needs-based nature of healthcare demand as well as the readily available liquidity from the GSEs (Government Sponsored Enterprises), helped this sub- sector to withstand the economic and credit crises and to outperforming the benchmark. The regional mall retail sub-sector underperformed due to a contraction in consumer spending and an increase in store bankruptcies. The Industrial sub- sector was penalized for its general exposure to oversized development pipelines and the resulting need for ongoing construction funding. Offices performed in the middle of the pack, hurt by their exposure to the financial sector but offset by successful access to public equity. The best performing stocks during the Reporting Period were the two niche office landlords, Digital Realty and Corporate Office Properties. Their unique recession-resilient demand drivers, data storage and government spending respectively, helped the companies to outperform. The shares of Tanger Factory Outlet Centers outperformed due to the defensive nature of discount retail. The biggest detractors from the Fund's performance were companies that were highly levered, were active real estate developers or both. Examples of those include ProLogis (Industrial) and First Industrial Realty Trust, Inc. (Industrial), General Growth Properties, Inc. (Retail), Kite Realty Group Trust (Retail) and Developers Diversified Realty Corp. (Retail), Maguire Properties, Inc. (Office) and SL Green Realty Corp. (Office). During the Reporting Period, the Fund tracked inline with the Index, trading mostly when the composition of the Index changed or to re-invest dividend income. For the Period, the Fund outperformed its benchmark by 39 basis points largely due to the cash and receivable (phantom cash) positions in the Fund. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 46 [Logo] SPDR Dow Jones REIT ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/23/01, 4/27/01, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DOW JONES REIT ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES NET ASSET MARKET U.S. SELECT NET ASSET MARKET U.S. SELECT VALUE VALUE REIT INDEX VALUE VALUE REIT INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -44.96% -45.01% -45.35% -44.96% -45.01% -45.35% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -48.12% -48.07% -48.28% -19.65% -19.62% -19.73% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS -15.61% -15.78% -15.34% -3.34% -3.38% -3.28% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 42.07% 42.06% 44.18% 4.38% 4.38% 4.54% ----------------------------------------------------------------------------------------------------------------------
(1) For the period April 23, 2001 to June 30, 2009. 47 [Logo] SPDR Dow Jones REIT ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DOW JONES REIT ETF (BASED ON NET ASSET VALUE) (Line Graph)
DOW JONES U.S. SPDR DOW SELECT REIT JONES REIT INDEX (B) ETF (A) ---------- ----------- 4/23/2001 10000 10000 10259 10252 10505 10502 6/30/2001 11122 11124 10898 10900 11325 11334 9/30/2001 10849 10857 10461 10470 11087 11103 12/31/2001 11364 11389 11316 11345 11560 11593 3/31/2002 12301 12342 12361 12411 12515 12578 6/30/2002 12848 12910 12156 12211 12163 12222 9/30/2002 11684 11737 11057 11108 11582 11639 12/31/2002 11733 11797 11392 11454 11596 11662 3/31/2003 11872 11946 12324 12406 13017 13108 6/30/2003 13286 13391 13985 14103 14097 14220 9/30/2003 14579 14721 14788 14939 15436 15598 12/31/2003 15894 16066 16525 16708 16796 16986 3/31/2004 17797 18006 15202 15370 16362 16543 6/30/2004 16833 17029 16913 17116 18301 18528 9/30/2004 18211 18439 19213 19463 20062 20335 12/31/2004 21091 21390 19241 19512 19841 20125 3/31/2005 19566 19849 20712 21020 21387 21712 6/30/2005 22495 22847 24200 24590 23266 23646 9/30/2005 23378 23748 22889 23244 23942 24323 12/31/2005 23966 24347 25831 26256 26378 26818 3/31/2006 27721 28191 26670 27125 25921 26374 6/30/2006 27385 27875 28358 28864 29297 29834 9/30/2006 29862 30416 31734 32332 33242 33874 12/31/2006 32479 33109 35348 36059 34554 35251 3/31/2007 33670 34349 33649 34335 33665 34359 6/30/2007 30515 31133 28112 28689 29756 30384 9/30/2007 30891 31572 31249 31935 28212 28831 12/31/2007 26734 27297 26595 27166 25590 26142 3/31/2008 27274 27881 28940 29598 29001 29663 6/30/2008 25813 26377 26558 27139 27155 27755 9/30/2008 27069 27638 18343 18689 13871 14101 12/31/2008 16324 16597 13398 13596 10489 10625 3/31/2009 10832 10967 14355 14566 14724 14940 6/30/2009 14207 14418
48 [Logo] SPDR Dow Jones REIT ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------- SIMON PROPERTY VORNADO BOSTON DESCRIPTION GROUP, INC. PUBLIC STORAGE REALTY TRUST PROPERTIES, INC. ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $91,415,282 53,873,801 47,439,555 41,609,712 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 10.1% 5.9 5.2 4.6 ----------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------- DESCRIPTION EQUITY RESIDENTIAL ---------------------------------------------------------------- MARKET VALUE 38,961,965 ---------------------------------------------------------------- % OF NET ASSETS 4.3 ----------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Specialized REITs 27.3% Retail REITs 24.1 Office REITs 17.2 Residential REITs 16.2 Diversified REITs 8.6 Industrial REITs 6.2 Short Term Investments 23.4 Other Assets & Liabilities (23.0) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 49 [Logo] SPDR KBW Bank ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR KBW Bank ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the KBW Bank Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -34.54%, and the total return for the Index was -34.88%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. A strong rebound in financials in the final quarter of the year brought some renewed optimism as the Fund rose over 30%. Despite the strong showing, the year was one that will be remembered for a long time, as the Fund fell over 34% for the year. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. The final quarter of 2008 proved to be particularly difficult when the fund lost over 33% of its value, following by another painful quarter of, when the fund lost another 36%. Given that this Fund invests in banks, it was hit particularly hard, relative to the overall market, as a result of the credit crisis, the failure of Lehman, a deep recession in many of the largest economies and fears of banking failures. Given the deep blows that the Financial sector has seen over the past year, it is not surprising that the Fund lagged the overall market by a sizeable margin for the one year period ending June 30, 2009. Twenty-two of twenty-seven stocks held in the fund during the past year offered double digit negative returns. The largest detraction stemmed from Citigroup Inc., which lost 82% of its stock value as investors became more aware of the companies exposure to bad debt. Other names that detracted from performance include Zions Bancorp and SunTrust Banks, Inc. The silver lining of this past year's returns is that a few stocks worked to offset the negative performance. Both Northern Trust Corp. and BB&T Corp. were hit less hard and contributed positively to performance. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 50 [Logo] SPDR KBW Bank ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR KBW BANK ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- NET ASSET MARKET KBW NET ASSET MARKET KBW VALUE VALUE BANK INDEX VALUE VALUE BANK INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -34.54% -34.51% -34.88% -34.54% -34.51% -34.88% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -61.77% -61.84% -61.93% -27.42% -27.47% -27.52% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -58.37% -58.37% -58.42% -21.38% -21.37% -21.41% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 51 [Logo] SPDR KBW Bank ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR KBW BANK ETF (BASED ON NET ASSET VALUE) (Line Graph)
SPDR KBW KBW BANK ETF BANK INDEX (A) (B) -------- ---------- 11/8/2005 10000 10000 10349 10351 12/31/05 10379 10388 10359 10372 10681 10697 3/31/06 10696 10719 11396 11425 11006 11035 6/30/06 10890 10921 11279 11316 11254 11295 9/30/06 11567 11615 11656 11707 11576 11631 12/31/06 12092 12156 12163 12232 11952 12022 3/31/07 11795 11874 12055 12134 12197 12283 6/30/07 11792 11870 11008 11085 11156 11220 9/30/07 11183 11251 10935 11001 10319 10382 12/31/07 9455 9504 10105 10160 8824 8870 3/31/08 8523 8569 8960 9011 8247 8294 6/30/08 6360 6383 7264 7295 7279 7308 9/30/08 7495 7522 6506 6525 5348 5358 12/31/08 4974 4984 3240 3241 2739 2738 3/31/09 3192 3196 3729 3731 4265 4264 6/30/09 4163 4158
52 [Logo] SPDR KBW Bank ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------- BANK OF JPMORGAN DESCRIPTION AMERICA CORP. CHASE & CO. WELLS FARGO & CO. U.S. BANCORP -------------------------------------------------------------------------------------------------------------- MARKET VALUE $77,323,264 63,912,282 63,860,399 57,635,182 -------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.4% 7.8 7.8 7.0 -------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------- THE BANK OF NEW YORK DESCRIPTION MELLON CORP. ---------------------------------------------------------- MARKET VALUE 48,175,674 ---------------------------------------------------------- % OF NET ASSETS 5.9 ----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Regional Banks 41.6% Other Diversified Financial Services 20.8 Diversified Banks 18.1 Asset Management & Custody Banks 12.9 Consumer Finance 3.8 Thrifts & Mortgage Finance 2.6 Short Term Investments 26.0 Other Assets & Liabilities (25.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 53 [Logo] SPDR KBW Capital Markets ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR KBW Capital Markets ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the KBW Capital Markets Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -24.98%, and the total return for the Index was -24.92%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc. and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Staring in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe- haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining -31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell -26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Despite the large rebound in the Financial sector during the second half of the period, the Fund still declined sharply over the full twelve months as nearly all of the names in the Index experienced large double digit negative returns for that entire period. The impact from the fall of Lehman Brothers Holdings, Inc., Bear Stearns Co., Inc., and Merrill Lynch & Co., Inc., alone was difficult to erase by increased confidence in the capital markets sector overall. The final two quarters of the year brought some renewed optimism as the Fund rose almost 50%. Despite the strong showing, the year was one that will be remembered for a long time, as the Fund fell over 24% during the year. The final quarter of 2008 was particularly harsh. The fund lost over 33% of its value, as markets across the globe plummeted in response to the global credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 54 [Logo] SPDR KBW Capital Markets ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR KBW CAPITAL MARKETS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- KBW CAPITAL KBW CAPITAL NET ASSET MARKET MARKETS NET ASSET MARKET MARKETS VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -24.98% -24.98% -24.92% -24.98% -24.98% -24.92% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -38.76% -38.62% -38.39% -15.08% -15.01% -14.91% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -32.30% -32.26% -31.71% -10.15% -10.14% -9.94% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 55 [Logo] SPDR KBW Capital Markets ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR KBW CAPITAL MARKETS ETF (BASED ON NET ASSET VALUE) (Line Graph)
KBW SPDR KBW CAPITAL MARKETS CAPITAL MARKETS INDEX (B) ETF (A) --------------- --------------- 11/8/2005 10000 10000 11/30/2005 10275 10277 12/31/2005 10293 10298 1/31/2006 11191 11204 2/28/2006 11492 11510 3/31/2006 11761 11784 4/30/2006 11862 11888 5/31/2006 11148 11174 6/30/2006 11056 11082 7/31/2006 11213 11244 8/31/2006 11343 11378 9/30/2006 12244 12286 10/31/2006 12773 12823 11/30/2006 12983 13038 12/31/2006 13224 13283 1/31/2007 13846 13913 2/28/2007 13118 13187 3/31/2007 13076 13146 4/30/2007 13592 13669 5/31/2007 14171 14264 6/30/2007 13614 13703 7/31/2007 12812 12897 8/31/2007 12397 12474 9/30/2007 13085 13174 10/31/2007 14135 14237 11/30/2007 13210 13308 12/31/2007 13348 13449 1/31/2008 12334 12429 2/29/2008 10880 10964 3/31/2008 9986 10064 4/30/2008 10860 10947 5/31/2008 10359 10444 6/30/2008 9025 9094 7/31/2008 9225 9298 8/31/2008 9158 9233 9/30/2008 7967 8032 10/31/2008 6113 6157 11/30/2008 5188 5220 12/31/2008 5303 5337 1/31/2009 4588 4614 2/28/2009 4369 4395 3/31/2009 5246 5284 4/30/2009 5887 5933 5/31/2009 6632 6685 6/30/2009 6770 6829
56 [Logo] SPDR KBW Capital Markets ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------- THE GOLDMAN STATE STREET DESCRIPTION SACHS GROUP, INC. MORGAN STANLEY CORP. CME GROUP, INC. ------------------------------------------------------------------------------------------------------------------- MARKET VALUE $7,379,962 7,093,459 7,058,524 6,009,090 ------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.2% 8.8 8.8 7.5 ------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------ THE CHARLES DESCRIPTION SCHWAB CORP. ------------------------------------------------------------ MARKET VALUE 5,278,189 ------------------------------------------------------------ % OF NET ASSETS 6.6 ------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Investment Banking & Brokerage 51.8% Asset Management & Custody Banks 29.3 Specialized Finance 18.8 Short Term Investments 11.9 Other Assets & Liabilities (11.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 57 [Logo] SPDR KBW Insurance ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR KBW Insurance ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the KBW Insurance Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -33.69%, and the total return for the Index was -33.50%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. A strong rebound in financials in the final quarter of the year brought some renewed optimism as the fund rose over 32%. Despite the strong showing, the year was one that will be remembered for a long time, as the fund fell over 33% for the year. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc. and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. The final quarter of 2008 proved to be particularly difficult when the fund lost over 28% of its value, following by another painful quarter of, when the fund lost another 26%. Given that this fund invests in insurance companies, it was hit particularly hard, relative to the overall market, as a result of American International Group's, Inc. plunge, the credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. Given the deep blows that the Financial sector has seen over the past year, it is not surprising that the Fund lagged the broader US market by a sizable margin for the one year period ending June 30, 2009. From the time Lehman Brothers Holdings, Inc. collapsed in September 2008 through February 2009, the Fund lost over half of its value. Worries about impaired assets and tight credit conditions lingered throughout the early months of 2009. Thanks to increasingly aggressive government initiatives, the longsuffering financials finally got some respect, kicking off a Three-month rally starting in March. The Index returned 59.5% from March through May as credit conditions eased. The largest detractor from performance was American International Group, Inc., which fell about 95% before it was deleted from the Index in the first quarter of 2009. Hartford Financials Services Group, Inc. the next biggest detractor, fell over 80% during the year. XL Capital Ltd (Class A) was the largest contributor to performance as it rallied over 340% from its 52 week low in February. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 58 [Logo] SPDR KBW Insurance ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR KBW INSURANCE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- KBW KBW NET ASSET MARKET INSURANCE NET ASSET MARKET INSURANCE VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -33.69% -33.61% -33.50% -33.69% -33.61% -33.50% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -45.22% -45.17% -44.74% -18.18% -18.15% -17.94% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -45.73% -45.72% -45.14% -15.44% -15.44% -15.20% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 59 [Logo] SPDR KBW Insurance ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR KBW INSURANCE ETF (BASED ON NET ASSET VALUE) (Line Graph)
SPDR KBW KBW INSURANCE ETF INSURANCE INDEX (A) (B) ------------- --------------- 11/8/2005 10000 10000 11/30/2005 10254 10257 12/31/2005 10093 10098 1/31/2006 9913 9920 2/28/2006 10031 10041 3/31/2006 9848 9859 4/30/2006 10303 10320 5/31/2006 9980 9999 6/30/2006 9906 9928 7/31/2006 9893 9918 8/31/2006 10095 10124 9/30/2006 10429 10463 10/31/2006 10554 10589 11/30/2006 10778 10819 12/31/2006 11121 11168 1/31/2007 11054 11105 2/28/2007 11044 11097 3/31/2007 11057 11114 4/30/2007 11646 11710 5/31/2007 11943 12012 6/30/2007 11636 11706 7/31/2007 10643 10709 8/31/2007 10778 10848 9/30/2007 11291 11371 10/31/2007 10908 10988 11/30/2007 10716 10798 12/31/2007 10474 10554 1/31/2008 9914 9991 2/29/2008 9274 9347 3/31/2008 9188 9262 4/30/2008 9652 9733 5/31/2008 9529 9611 6/30/2008 8184 8248 7/31/2008 8320 8387 8/31/2008 8596 8667 9/30/2008 7809 7873 10/31/2008 5320 5357 11/30/2008 5009 5050 12/31/2008 5573 5625 1/31/2009 4375 4414 2/28/2009 3517 3546 3/31/2009 4093 4130 4/30/2009 4979 5029 5/31/2009 5596 5656 6/30/2009 5427 5486
60 [Logo] SPDR KBW Insurance ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------------------- THE TRAVELERS PRUDENTIAL DESCRIPTION COS., INC. METLIFE, INC. CHUBB CORP. AFLAC, INC. FINANCIAL, INC. ---------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $10,689,976 10,554,877 10,501,321 8,804,439 8,595,810 ---------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 7.7% 7.6 7.5 6.3 6.2 ----------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Property & Casualty Insurance 37.5% Life & Health Insurance 31.1 Multi-line Insurance 10.1 Insurance Brokers 7.4 Asset Management & Custody Banks 5.4 Reinsurance 4.3 Thrifts & Mortgage Finance 3.9 Short Term Investments 4.8 Other Assets & Liabilities (4.5) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 61 [Logo] SPDR Morgan Stanley Technology ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Morgan Stanley Technology ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the Morgan Stanley Technology Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Technology Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -17.97%, and the total return for the Index was -17.72%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. With the entire economy being extremely bruised and battered in the second half of last year, the Technology sector also had its share of the losses and wrestled its ailing wounds. Thankfully, the landscape has changed to a comparatively positive note and technology stocks have shown tremendous growth in the last two quarters of this year. In fact, most of the negative returns in the fund came from last year, almost a nose-diving negative 38% approximately and the Fund has managed to recover almost half of its losses in the second quarter of this year. Looking at a total twelve month return, the Fund witnessed a negative 18% approximately due to the falling demand for new hardware and software products, a cut back in the discretionary budget for advanced technologies by financial firms and overall reduced spending by other industries for IT services. Even the big blue-chip firms have observed a meaningful reduction in their sales cycles and faced a direct negative impact of the entire slowdown in the economy. On an individual security constituent level, Alcatel-Lucent and Electronic Arts were the worst performers with each contributing more than negative 2% return to the Fund. Amazon.com, Inc. has by far been the only steady constituent providing more than 1% positive return. Lastly, it is noteworthy to mention the string of interesting acquisition attempts for three major constituents -- EDS Consulting being acquired by Hewlett-Packard Co., the short lived tug of war between International Business Machines Corp. and Oracle Corp. for Sun Microsystems, Inc. and on the acquirer side, EMC Corp.'s constant and successful battle to purchase Data Domain. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 62 [Logo] SPDR Morgan Stanley Technology ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR MORGAN STANLEY TECHNOLOGY ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.50%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- MORGAN MORGAN STANLEY STANLEY NET ASSET MARKET TECHNOLOGY NET ASSET MARKET TECHNOLOGY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -17.97% -17.90% -17.72% -17.97% -17.90% -17.72% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -7.54% -7.59% -6.37% -2.58% -2.60% -2.17% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS -7.39% -7.28% -5.29% -1.52% -1.50% -1.08% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -53.43% -53.37% -51.77% -8.35% -8.34% -7.98% ----------------------------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to June 30, 2009. 63 [Logo] SPDR Morgan Stanley Technology ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR MORGAN STANLEY TECHNOLOGY ETF (BASED ON NET ASSET VALUE) (Line Graph)
SPDR MORGAN MORGAN STANLEY STANLEY TECHNOLOGY TECHNOLOGY INDEX ETF (A) (B) ------------------ ---------------- 9/25/00 10000 10000 9725 9725 9485 9489 7243 7247 12/31/00 6876 6834 8096 8052 6106 6075 3/31/01 5391 5365 6245 6218 5851 5828 6/30/01 5948 5933 5599 5582 4921 4908 9/30/01 3839 3830 4534 4525 5272 5264 12/31/01 5203 5199 5162 5160 4339 4340 3/31/02 4663 4666 4091 4096 3956 3962 6/30/02 3404 3410 3072 3079 3002 3010 9/30/02 2444 2451 2979 2990 3500 3513 12/31/02 2943 2958 2951 2967 2947 2964 3/31/03 2941 2959 3245 3266 3753 3778 6/30/03 3750 3778 3945 3976 4304 4340 9/30/03 4207 4243 4632 4674 4740 4785 12/31/03 4858 4908 5141 5197 5056 5111 3/31/04 4970 5027 4654 4709 4838 4897 6/30/04 5029 5093 4469 4527 4303 4360 9/30/04 4546 4608 4675 4741 4965 5037 12/31/04 5177 5254 4828 4902 4822 4898 3/31/05 4642 4717 4452 4526 4883 4968 6/30/05 4815 4901 5102 5196 5061 5155 9/30/05 5164 5263 5090 5190 5392 5500 12/31/05 5324 5433 5515 5629 5405 5519 3/31/06 5589 5710 5546 5669 5120 5236 6/30/06 5037 5153 4764 4876 5188 5313 9/30/06 5416 5549 5639 5779 5867 6016 12/31/06 5794 5943 5769 5920 5756 5909 3/31/07 5673 5826 6051 6218 6288 6463 6/30/07 6356 6536 6382 6566 6495 6682 9/30/07 6820 7019 6973 7180 6295 6485 12/31/07 6358 6552 5581 5753 5411 5580 3/31/08 5431 5602 5880 6069 6324 6531 6/30/08 5678 5863 5691 5879 5737 5929 9/30/08 4872 5019 3862 3978 3404 3506 12/31/08 3503 3608 3440 3544 3283 3383 3/31/09 3732 3848 4338 4476 4525 4671 6/30/09 4657 4823
64 [Logo] SPDR Morgan Stanley Technology ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------- SUN MICROSYSTEMS, RESEARCH IN FLEXTRONICS DESCRIPTION INC. MOTION, LTD. INTERNATIONAL, LTD. AMAZON.COM, INC. ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $9,544,175 7,142,372 7,107,945 6,987,618 ------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.8% 3.6 3.6 3.5 ------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------- DESCRIPTION APPLE, INC. ---------------------------------------------------------- MARKET VALUE 6,813,994 ---------------------------------------------------------- % OF NET ASSETS 3.4 ----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Computers & Peripherals 21.8% Communications Equipment 19.9 Software 18.8 Semiconductors & Semiconductor Equipment 16.7 Internet Software & Services 8.2 IT Services 7.4 Electronic Equipment & Instruments 3.6 Internet & Catalog Retail 3.5 Short Term Investments 7.2 Other Assets & Liabilities (7.1) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 65 [Logo] SPDR S&P Dividend ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Dividend ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of the S&P High Yield Dividend Aristocrats Index (the "Index"). In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the Index. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -10.06%, and the total return for the Index was -10.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% between April and June 2009. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the Fund rose over 13%. Despite the strong showing in these last months of the period, the year as a whole was one that will be remembered for a long time, as the Fund fell over 26% during the year. The final quarter of 2008 was particularly difficult for dividend stocks. The Fund lost over 23% of its value against a backdrop of sharply deteriorating economic data, poor earnings news, and ongoing asset impairment at large financial institutions, few investors could muster the moxie or the money to resist the sustained selling pressure. The rebound in the Financials sector was a boost to Fund performance as 7 of the top 10 performers in the Fund are financial stocks, led by BB&T Corp., who managed to increasingly raise dividend at a time when many other banks were scaling back their dividends to preserve capital -- or to conform to requirements imposed by their participation in the TARP. Conversely, Gannett Co., Inc, a leading newspaper publisher, was a negative impact on the Fund. The U.S. newspaper industry is struggling as the recession prompts advertisers to slash budgets and readers go online for their news, thus the persistent declines in revenue and workforce reduction at Gannett Co., Inc. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 66 [Logo] SPDR S&P Dividend ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR S&P DIVIDEND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P HIGH S&P HIGH YIELD YIELD DIVIDEND DIVIDEND NET ASSET MARKET ARISTOCRATS NET ASSET MARKET ARISTOCRATS VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -10.06% -10.11% -10.40% -10.06% -10.11% -10.40% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -21.96% -22.14% -21.90% -7.93% -8.01% -7.91% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -17.15% -17.17% -17.08% -5.03% -5.04% -4.98% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to June 30, 2009. 67 [Logo] SPDR S&P Dividend ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P DIVIDEND ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P HIGH YIELD SPDR S&P DIVIDEND ARISTOCRATS DIVIDEND ETF INDEX (B) (A) ------------ -------------------- 11/8/2005 10000 10000 11/30/2005 10176 10178 12/31/2005 10171 10171 1/31/2006 10405 10408 2/28/2006 10487 10492 3/31/2006 10538 10546 4/30/2006 10762 10758 5/31/2006 10567 10565 6/30/2006 10618 10617 7/31/2006 10899 10902 8/31/2006 11149 11156 9/30/2006 11301 11312 10/31/2006 11669 11684 11/30/2006 11748 11767 12/31/2006 11976 12001 1/31/2007 12078 12106 2/28/2007 12117 12148 3/31/2007 12132 12166 4/30/2007 12490 12531 5/31/2007 12774 12816 6/30/2007 12293 12333 7/31/2007 11668 11708 8/31/2007 11991 12036 9/30/2007 11923 11972 10/31/2007 11864 11916 11/30/2007 11495 11549 12/31/2007 11212 11246 1/31/2008 11243 11302 2/29/2008 10463 10518 3/31/2008 10583 10642 4/30/2008 10882 10944 5/31/2008 10865 10928 6/30/2008 9214 9255 7/31/2008 9734 9780 8/31/2008 10114 10165 9/30/2008 10301 10354 10/31/2008 9260 9304 11/30/2008 8715 8754 12/31/2008 8631 8659 1/31/2009 7498 7519 2/28/2009 6486 6501 3/31/2009 7272 7284 4/30/2009 8254 8272 5/31/2009 8306 8326 6/30/2009 8285 8292
68 [Logo] SPDR S&P Dividend ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------- INTEGRYS ENERGY CONSOLIDATED BLACK HILLS LEGGETT & PLATT, DESCRIPTION GROUP, INC. EDISON, INC. CORP. INC. ----------------------------------------------------------------------------------------------------------- MARKET VALUE $25,030,224 21,808,937 21,122,890 20,679,324 ----------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.8% 3.3 3.2 3.1 ----------------------------------------------------------------------------------------------------------- --------------------------------------------------------------- DESCRIPTION CENTURYTEL, INC. --------------------------------------------------------------- MARKET VALUE 20,671,814 --------------------------------------------------------------- % OF NET ASSETS 3.1 ---------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Multi-Utilities 13.1% Gas Utilities 8.4 Pharmaceuticals 8.2 Commercial Banks 7.6 Commercial Services & Supplies 7.0 Chemicals 5.8 Household Products 5.5 Household Durables 4.8 Insurance 4.7 Industrial Conglomerates 4.1 Containers & Packaging 3.6 Capital Markets 3.4 Beverages 3.2 Diversified Telecommunication Services 3.1 Media 2.7 Computers & Peripherals 1.9 Textiles, Apparel & Luxury Goods 1.9 Electrical Equipment 1.8 Hotels, Restaurants & Leisure 1.6 Water Utilities 1.6 Food & Staples Retailing 1.5 IT Services 1.5 Machinery 1.4 Auto Components 1.2 Short Term Investments 25.2 Other Assets & Liabilities (24.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 69 [Logo] SPDR S&P Biotech ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Biotech ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the biotechnology segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Biotechnology Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -11.46%, and the total return for the Index was -11.11%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining -31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell -26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the Fund rose over 10%. Despite the strong showing, the year was one that will be remembered for a long time, as the Fund fell over 11% during the year. The final quarter of 2008 and the first quarter of 2009 where both particularly harsh. The Fund lost over 20% of its value, as markets across the globe plummeted in response to the global credit crisis, the failure of Lehman, a deep recession in many of the largest economies and fears of banking failures. Over the last 12 months, the negative returns in the Index were a function of several weak performers including Cepheid, Inc., BioMarin Pharmaceuticals, Inc., OSI Pharmaceuticals, Inc. and Amylin Pharmaceuticals, Inc. Cepheid, Inc., a manufacturer of tests for genetic analysis in the clinical, industrial and biothreat markets was the hardest hit stock in the Index over the past twelve months. The top performers in the Index, ImClone Systems, Inc., Myriad Genetics, Inc., and Genentech, all found appreciation in corporate actions. ImClone Systems, Inc., a company devoted to the development of therapeutic oncology products, was acquired by Eli Lilly & Co. on November 30, 2008. Myriad Genetics, Inc. spun off its pharmaceutical division in June 2009, and Genentech Inc. was acquired in April, 2009 by Swiss biotech Roche Holding AG. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 70 [Logo] SPDR S&P Biotech ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P BIOTECH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P S&P BIOTECHNOL- BIOTECHNOL- OGY OGY SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -11.46% -11.38% -11.11% -11.46% -11.38% -11.11% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 12.45% 12.59% 13.62% 3.99% 4.03% 4.35% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 3.92% 3.95% 5.24% 1.13% 1.14% 1.51% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to June 30, 2009. 71 [Logo] SPDR S&P Biotech ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P BIOTECH ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P SPDR S&P BIOTECHNOLOGY SELECT BIOTECH ETF INDUSTRY INDEX (A) (B) ----------- -------------------- 1/31/2006 10000 10000 2/28/2006 10730 10733 3/31/2006 10130 10145 4/30/2006 9647 9663 5/31/2006 9059 9076 6/30/2006 9241 9262 7/31/2006 9040 9063 8/31/2006 9337 9364 9/30/2006 9161 9190 10/31/2006 10189 10225 11/30/2006 10177 10215 12/31/2006 9291 9326 1/31/2007 9631 9670 2/28/2007 9692 9735 3/31/2007 9726 9772 4/30/2007 10604 10663 5/31/2007 10844 10907 6/30/2007 10282 10342 7/31/2007 10188 10251 8/31/2007 11233 11306 9/30/2007 11713 11793 10/31/2007 12228 12316 11/30/2007 12256 12348 12/31/2007 11996 12089 1/31/2008 11356 11447 2/29/2008 10830 10918 3/31/2008 10820 10907 4/30/2008 11290 11384 5/31/2008 12118 12217 6/30/2008 11738 11838 7/31/2008 14103 14229 8/31/2008 13230 13351 9/30/2008 12388 12503 10/31/2008 10924 11025 11/30/2008 10029 10121 12/31/2008 10940 11072 1/31/2009 10779 10909 2/28/2009 9512 9627 3/31/2009 9839 9960 4/30/2009 9300 9413 5/31/2009 9652 9771 6/30/2009 10392 10524
72 [Logo] SPDR S&P Biotech ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------------- AMYLIN VERTEX PHARMACEUTICALS, PHARMACEUTICALS, DESCRIPTION ALKERMES, INC. MEDAREX, INC. INC. INC. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $19,228,914 18,915,831 18,661,954 18,642,714 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.5% 4.4 4.4 4.4 -------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------ DESCRIPTION CELGENE CORP. ------------------------------------------------------------ MARKET VALUE 18,250,051 ------------------------------------------------------------ % OF NET ASSETS 4.3 ------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Biotechnology 99.9% Short Term Investments 25.5 Other Assets & Liabilities (25.4) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 73 [Logo] SPDR S&P Homebuilders ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Homebuilders ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the homebuilding segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Homebuilders Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.30%, and the total return for the Index was -27.53%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining -31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell -26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Over the last 12 months the Homebuilders industry continued to suffer at the hands of the subprime mortgage crisis and broader economic woes. Weak demand, job cuts, and impairment charges to mark down land that's fallen in value have all further eroded returns in the industry. Contributing most significantly to the negative returns were Furniture Brands International, Inc., Champion Enterprises, Inc., Standard Pacific Corp. and Hovnanian Enterprises, Inc. Those names, including The Home Depot, Inc., Sherwin-Williams Co. and Bed, Bath & Beyond, Inc., were the Fund's only bright spot over the year. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 74 [Logo] SPDR S&P Homebuilders ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P HOMEBUILDERS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN CUMULATIVE TOTAL RETURN ---------------------------------------------------------------------------------- S&P S&P HOMEBUILDERS HOMEBUILDERS SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.30% -27.38% -27.53% -27.30% -27.38% -27.53% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -63.58% -63.70% -63.89% -28.58% -28.67% -28.79% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -73.67% -73.66% -73.88% -32.35% -32.35% -32.49% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to June 30, 2009. 75 [Logo] SPDR S&P Homebuilders ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P HOMEBUILDERS ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P SPDR S&P HOMEBUILDERS SELECT HOMEBUILDERS ETF INDUSTRY INDEX (A) (B) ---------------- ------------------- 1/31/2006 10000 10000 2/28/2006 9531 9533 3/31/2006 9507 9510 4/30/2006 9053 9057 5/31/2006 7837 7842 6/30/2006 7230 7232 7/31/2006 6633 6636 8/31/2006 6707 6712 9/30/2006 7035 7038 10/31/2006 7343 7349 11/30/2006 7916 7926 12/31/2006 8006 8021 1/31/2007 8227 8245 2/28/2007 7655 7672 3/31/2007 7001 7022 4/30/2007 7352 7376 5/31/2007 7665 7694 6/30/2007 6542 6565 7/31/2007 5723 5743 8/31/2007 5381 5401 9/30/2007 4623 4607 10/31/2007 4811 4804 11/30/2007 4065 4060 12/31/2007 4191 4191 1/31/2008 4866 4866 2/29/2008 4381 4379 3/31/2008 4729 4720 4/30/2008 4805 4793 5/31/2008 4328 4314 6/30/2008 3622 3604 7/31/2008 3840 3820 8/31/2008 4320 4296 9/30/2008 4307 4307 10/31/2008 3113 3111 11/30/2008 2613 2609 12/31/2008 2674 2655 1/31/2009 2275 2258 2/28/2009 2062 2046 3/31/2009 2384 2361 4/30/2009 3015 2988 5/31/2009 2700 2676 6/30/2009 2633 2612
76 [Logo] SPDR S&P Homebuilders ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- LENNAR CORP. TEMPUR-PEDIC UNIVERSAL FOREST MERITAGE HOMES DESCRIPTION (CLASS A) INTERNATIONAL, INC. PRODUCTS, INC. CORP. ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $26,900,972 25,266,127 24,961,640 24,279,157 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.8% 4.5 4.5 4.4 ---------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------- BED BATH & DESCRIPTION BEYOND, INC. ------------------------------------------------------------- MARKET VALUE 24,005,326 ------------------------------------------------------------- % OF NET ASSETS 4.3 -------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Homebuilding 41.0% Building Products 23.5 Home Furnishings 11.9 Home Furnishing Retail 11.7 Home Improvement Retail 11.7 Short Term Investments 23.0 Other Assets & Liabilities (22.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 77 [Logo] SPDR S&P Metals & Mining ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Metals & Mining ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the metals and mining segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Metals & Mining Select Industry Index (the "Metals & Mining Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -59.95%, and the total return for the Index was -59.99%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Despite the strong second quarter in 2009, the year was one that will be remembered for a long time, as the Fund fell over 59% during the twelve month period. In the second half of 2008 the Fund lost over 70% of its value, as markets across the globe plummeted in response to the global credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. The second quarter of 2009 brought some renewed optimism as leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For the Fund, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains and the Fund bounced back by 47% in the second quarter of 2009. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Schnitzer Steel Industries, Inc. (Class A) and Newmont Mining Corp. were the best positive contributors to the Fund's absolute performance. Patriot Coal Corp. and Alpha Natural Resources, Inc. were the heaviest detractors from the Fund's performance. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 78 [Logo] SPDR S&P Metals & Mining ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P METALS & MINING ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P METALS & S&P METALS & MINING MINING SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -59.95% -60.02% -59.99% -59.95% -60.02% -59.99% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -23.73% -23.38% -23.28% -8.64% -8.50% -8.46% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -11.76% -11.79% -11.23% -4.04% -4.05% -3.85% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 79 [Logo] SPDR S&P Metals & Mining ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P METALS & MINING ETF (BASED ON NET ASSET VALUE) (Line Graph)
SPDR S&P S&P METALS METALS & & MINING MINING ETF SELECT INDUSTRY (A) INDEX (B) ---------- --------------- 6/19/2006 10000 10000 6/30/2006 11570 11571 7/31/2006 10563 10568 8/31/2006 10227 10235 9/30/2006 9606 9615 10/31/2006 11003 11018 11/30/2006 12059 12081 12/31/2006 11389 11411 1/31/2007 12245 12274 2/28/2007 12538 12572 3/31/2007 13308 13353 4/30/2007 14455 14509 5/31/2007 15375 15438 6/30/2007 14569 14631 7/31/2007 13826 13887 8/31/2007 13454 13512 9/30/2007 14849 14915 10/31/2007 15987 16063 11/30/2007 15570 15643 12/31/2007 16239 16318 1/31/2008 15362 15440 2/29/2008 17296 17391 3/31/2008 16369 16460 4/30/2008 17841 17946 5/31/2008 20490 20622 6/30/2008 22031 22188 7/31/2008 18529 18662 8/31/2008 16769 16889 9/30/2008 11068 11132 10/31/2008 7355 7389 11/30/2008 6221 6245 12/31/2008 6571 6608 1/31/2009 6215 6249 2/28/2009 5554 5583 3/31/2009 5969 5999 4/30/2009 7567 7610 5/31/2009 8995 9050 6/30/2009 8824 8877
80 [Logo] SPDR S&P Metals & Mining ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------------- COEUR D'ALENE AK STEEL HOLDING NEWMONT MINING DESCRIPTION MINES CORP. ROYAL GOLD, INC. CORP. CORP. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $27,704,520 27,599,979 27,175,189 27,004,648 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.6% 4.6 4.5 4.5 -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------- COMPASS MINERALS DESCRIPTION INTERNATIONAL, INC. -------------------------------------------------------------------- MARKET VALUE 26,591,980 -------------------------------------------------------------------- % OF NET ASSETS 4.4 --------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Steel 46.1% Coal & Consumable Fuels 23.6 Gold 9.1 Precious Metals & Minerals 8.7 Diversified Metals & Mining 8.4 Aluminum 4.0 Short Term Investments 24.7 Other Assets & Liabilities (24.6) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 81 [Logo] SPDR S&P Oil & Gas Equipment & Services ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Oil & Gas Equipment & Services ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the oil and gas equipment and services segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Oil & Gas Equipment & Services Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -56.87%, and the total return for the Index was -56.84%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% between April and June 2009. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the Fund rose over 30%. Despite the strong rally in most markets, the year was one that will be remembered for a long time, as the Fund fell over 56% during the year. The final quarter of 2008 was particularly harsh. Commodities tumbled as slowing global activity exacerbated steep drops in demand. With swift builds in inventory relieving intermittent supply concerns, prices for oil stocks plunged, as evidenced by the Fund's performance and loss of 47% of its value. Oil services companies, which depend on robust oil prices to fuel customer demand for drilling and other services, edged downward. Gas prices bottomed out significantly over the period and there were limited stocks in the Fund with positive performance. The best performing name in the Fund for the Reporting Period was Atwood Oceanics, Inc. Atwood's revenue is driven by leasing the rigs that drill for oil, sometimes at astronomical rates. The lease contracts on their rigs usually span a few years, with rates locked into the future, which has been a boost for the stock's performance during the period. Following these declines in commodity prices, many companies in the oil and natural gas industry reported losses well into the double digits, such as industry leader Transocean. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 82 [Logo] SPDR S&P Oil & Gas Equipment & Services ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- S&P OIL & GAS S&P OIL & GAS EQUIPMENT & EQUIPMENT & NET ASSET MARKET SERVICES SELECT NET ASSET MARKET SERVICES SELECT VALUE VALUE INDUSTRY INDEX VALUE VALUE INDUSTRY INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -56.87% -56.95% -56.84% -56.87% -56.95% -56.84% ------------------------------------------------------------------------------------------------------------------------------- THREE YEARS -28.81% -28.62% -28.32% -10.71% -10.63% -10.50% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -21.00% -21.10% -20.44% -7.48% -7.52% -7.26% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 83 [Logo] SPDR S&P Oil & Gas Equipment & Services ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P OIL & SPDR S&P GAS EQUIPMENT OIL & & SERVICES GAS EQUIPMENT SELECT INDUSTRY & SERVICES INDEX (B) ETF (A) ------------- --------------- 6/19/2006 10000 10000 6/30/2006 11098 11099 7/31/2006 10866 10870 8/31/2006 10200 10207 9/30/2006 9604 9614 10/31/2006 10050 10062 11/30/2006 11015 11032 12/31/2006 10507 10526 1/31/2007 10416 10444 2/28/2007 10530 10561 3/31/2007 11258 11296 4/30/2007 11968 12013 5/31/2007 12885 12938 6/30/2007 13215 13273 7/31/2007 13293 13359 8/31/2007 13400 13458 9/30/2007 14266 14334 10/31/2007 14110 14182 11/30/2007 13569 13635 12/31/2007 14582 14660 1/31/2008 12542 12612 2/29/2008 13958 14034 3/31/2008 14102 14181 4/30/2008 15766 15857 5/31/2008 17305 17411 6/30/2008 18317 18435 7/31/2008 15564 15669 8/31/2008 14992 15098 9/30/2008 11795 11877 10/31/2008 7821 7873 11/30/2008 6712 6754 12/31/2008 6178 6218 1/31/2009 6347 6389 2/28/2009 5896 5934 3/31/2009 6058 6099 4/30/2009 7520 7573 5/31/2009 8745 8812 6/30/2009 7900 7956
84 [Logo] SPDR S&P Oil & Gas Equipment & Services ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------------- SEACOR HOLDINGS, PRIDE DRESSER-RAND DESCRIPTION DRIL-QUIP, INC. INC. INTERNATIONAL, INC. GROUP, INC. ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $8,634,984 8,617,764 8,587,561 8,354,036 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.3% 4.3 4.3 4.2 ----------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------- FMC TECHNOLOGIES, DESCRIPTION INC. --------------------------------------------------------------- MARKET VALUE 8,344,301 --------------------------------------------------------------- % OF NET ASSETS 4.2 ---------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil & Gas Equipment & Services 64.0% Oil & Gas Drilling 35.9 Short Term Investments 20.4 Other Assets & Liabilities (20.3) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 85 [Logo] SPDR S&P Oil & Gas Exploration & Production ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Oil & Gas Exploration & Production ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the oil and gas exploration and production segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Oil & Gas Exploration & Production Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -54.44%, and the total return for the Index was -54.42%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Staring in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% between April and June 2009. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the Fund rose over 17%. Despite the strong rally in most markets, the year was one that will be remembered for a long time, as the Fund fell over 54% during the year. The final quarter of 2008 was particularly harsh. Commodities tumbled as slowing global activity exacerbated steep drops in demand. With swift builds in inventory relieving intermittent supply concerns, prices for oil stocks plunged, as evidenced by the fund's performance and loss of 33% of its value. Oil services companies, which depend on robust oil prices to fuel customer demand for drilling and other services, edged downward. Gas prices bottomed out significantly over the period and there were limited stocks in the Fund with positive performance. The best performing name in the Fund for the Reporting Period was World Fuel Services Corp., a global leader in the marketing and sale of marine, aviation and land fuel products, as well as related services. World Fuel Services Corp. managed to deliver impressive earnings in the face of plummeting revenue. During much of the Reporting Period, most energy stocks fell into the red along with the broad market and oil prices, such as natural gas and oil producer Forest Oil Corp., which suffered because of losses related to decreased revenue and write-downs for oil and gas properties. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 86 [Logo] SPDR S&P Oil & Gas Exploration & Production ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P OIL & S&P OIL & GAS GAS EXPLORATION EXPLORATION & & PRODUCTION PRODUCTION SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -54.44% -54.44% -54.42% -54.44% -54.44% -54.42% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -17.96% -17.64% -17.44% -6.39% -6.26% -6.19% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -5.06% -5.12% -4.44% -1.70% -1.72% -1.46% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 87 [Logo] SPDR S&P Oil & Gas Exploration & Production ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P OIL SPDR S&P & GAS OIL & EXPLORATION & GAS EXPLORATION PRODUCTION SELECT & PRODUCTION INDUSTRY INDEX ETF (A) (B) --------------- ----------------- 6/19/2006 10000 10000 6/30/2006 11574 11575 7/31/2006 11895 11900 8/31/2006 11431 11436 9/30/2006 10535 10538 10/31/2006 11111 11119 11/30/2006 12183 12198 12/31/2006 11300 11313 1/31/2007 11608 11622 2/28/2007 11469 11486 3/31/2007 12065 12089 4/30/2007 12838 12869 5/31/2007 13802 13841 6/30/2007 13623 13659 7/31/2007 13078 13117 8/31/2007 12796 12839 9/30/2007 13961 14012 10/31/2007 15709 15771 11/30/2007 14397 14457 12/31/2007 15471 15540 1/31/2008 14331 14398 2/29/2008 16127 16206 3/31/2008 15970 16054 4/30/2008 17526 17621 5/31/2008 19306 19416 6/30/2008 20843 20968 7/31/2008 16119 16210 8/31/2008 16318 16414 9/30/2008 13387 13461 10/31/2008 10195 10250 11/30/2008 9253 9300 12/31/2008 8858 8905 1/31/2009 8921 8969 2/28/2009 7759 7801 3/31/2009 8058 8100 4/30/2009 9229 9283 5/31/2009 10812 10875 6/30/2009 9494 9556
88 [Logo] SPDR S&P Oil & Gas Exploration & Production ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------- WORLD FUEL SERVICES VALERO ENERGY OCCIDENTAL DESCRIPTION CORP. CORP. PETROLEUM CORP. CONOCOPHILIPS --------------------------------------------------------------------------------------------------------------------- MARKET VALUE $9,882,584 9,606,306 9,555,941 9,492,690 --------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.5% 3.4 3.4 3.4 --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------- DESCRIPTION EXXON MOBIL CORP. --------------------------------------------------------------- MARKET VALUE 9,491,121 --------------------------------------------------------------- % OF NET ASSETS 3.4 ---------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Oil & Gas Exploration & Production 66.9% Oil & Gas Refining & Marketing 19.5 Integrated Oil & Gas 13.4 Short Term Investments 20.6 Other Assets & Liabilities (20.4) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 89 [Logo] SPDR S&P Pharmaceuticals ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Pharmaceuticals ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the pharmaceuticals segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Pharmaceuticals Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -1.89%, and the total return for the Index was -1.86%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Despite a renewed collapse in vulnerable financial shares, news that US Treasury Secretary Henry Paulson was assembling a $700 billion Troubled Asset Relief Program (TARP) brought a fleeting sense of hope late in the month. While developed countries around the world continue to be mired in deep recession, hurt by excess capacity and painful job losses, the ongoing application of aggressive stimulus measures throughout the past year have worked effectively to thwart deflationary tendencies. Leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hit hardest, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the fund rose over 10%. Despite the strong showing, the fund fell roughly 2% during the year. In the final quarter of 2008 the fund lost over 10% of its value, as markets across globe plummeted in response to the global credit crisis, the failure of Lehman Brothers, a deep recession in many of the largest economies and fears of banking failures. The Fund moved in line with its benchmark during the crisis. Through the Reporting Period, the Index returns were driven by Valeant Pharmaceuticals International and Schering-Plough Corp. Valeant Pharmaceuticals International's performance was driven by first quarter results and higher annual profit forecast based on expectations for Valeant's drug candidate a Retigabine. For Schering Plough, performance was driven by the pending merger with Merck & Co., Inc. On the downside, Medicines Co. and ViroPharma, Inc. both lagged over the last year. Medicines Co. has been pressured by the expiration of its patent on Angiomax and the failure of the two phase III studies of Cangrelor, its anti- clotting drug. It finished down over 50% for the twelve month period. ViroPharma, Inc.'s 90 [Logo] SPDR S&P Pharmaceuticals ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) stock also dropped over 50% when ViroPharma, Inc.'s phase III drug, Maribavir, failed to show an effect in reducing Cytomegalovirus (CMV) Disease in stem cell transplant patients. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 91 [Logo] SPDR S&P Pharmaceuticals ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARE. THE TOTAL EXPENSE RATIO FOR SPDR S&P PHARMACEUTICALS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P S&P PHARMACEUTI- PHARMACEUTI- CALS CALS SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -1.89% -1.87% -1.86% -1.89% -1.87% -1.86% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -1.99% -1.98% -1.64% -0.67% -0.67% -0.55% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -0.56% -0.48% -0.19% -0.18% -0.16% -0.06% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 92 [Logo] SPDR S&P Pharmaceuticals ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P PHARMACEUTICALS ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P PHARMACEUTICALS SPDR S&P SELECT INDUSTRY PHARMACEUTICALS ETF INDEX (B) (A) ------------------- ------------------- 6/19/2006 10000 10000 6/30/2006 10146 10147 7/31/2006 10341 10345 8/31/2006 10658 10667 9/30/2006 10951 10963 10/31/2006 11058 11073 11/30/2006 10932 10950 12/31/2006 11063 11085 1/31/2007 11522 11550 2/28/2007 11231 11261 3/31/2007 11115 11148 4/30/2007 11788 11829 5/31/2007 11911 11952 6/30/2007 11482 11521 7/31/2007 10691 10729 8/31/2007 10723 10764 9/30/2007 10941 10987 10/31/2007 11124 11175 11/30/2007 11054 11109 12/31/2007 10908 10965 1/31/2008 10413 10467 2/29/2008 10214 10267 3/31/2008 9910 9939 4/30/2008 10296 10328 5/31/2008 10537 10572 6/30/2008 10135 10168 7/31/2008 10496 10532 8/31/2008 11043 11084 9/30/2008 10320 10357 10/31/2008 8989 9014 11/30/2008 9137 9161 12/31/2008 9907 9935 1/31/2009 9659 9684 2/28/2009 8394 8413 3/31/2009 8913 8936 4/30/2009 8679 8704 5/31/2009 9279 9308 6/30/2009 9944 9981
93 [Logo] SPDR S&P Pharmaceuticals ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------- AUXILIUM WATSON VALEANT PHARMACEUTICALS, PHARMACEUTICALS, PHARMACEUTICALS XENOPORT, DESCRIPTION INC. INC. INTERNATIONAL INC. ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,996,490 1,987,912 1,974,396 1,910,019 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.9% 4.9 4.9 4.7 ----------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------- DESCRIPTION MERCK & CO., INC. --------------------------------------------------------------- MARKET VALUE 1,892,137 --------------------------------------------------------------- % OF NET ASSETS 4.7 ---------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Pharmaceuticals 99.8% Short Term Investments 29.2 Other Assets & Liabilities (29.0) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 94 [Logo] SPDR S&P Retail ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Retail ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the retail segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Retail Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -3.61%, and the total return for the Index was -3.43%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. (AIG) under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Despite a renewed collapse in vulnerable financial shares, news that US Treasury Secretary Henry Paulson was assembling a $700 billion Troubled Asset Relief Program (TARP) brought a fleeting sense of hope late in the month. While developed countries around the world continue to be mired in deep recession, hurt by excess capacity and painful job losses, the ongoing application of aggressive stimulus measures throughout the past year have worked effectively to thwart deflationary tendencies. Leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the fund rose over 20%. Despite the strong showing, the fund fell over 3% during the year. The final quarter of the 2008 was particularly harsh. The fund lost over 30% of its value, as markets across globe plummeted in response to the global credit crisis, the failure of Lehman Brothers Holdings, Inc., a deep recession in many of the largest economies and fears of banking failures. The Fund moved in line with its benchmark during the crisis. Through the reporting period, the Index returns were driven by a number of different factors. Some of the top performers in the index were Chico's FAS, Inc. and CarMax, Inc. New management at Chico's FAS, Inc., along with an improved product and in-store services has boosted sales. CarMax, Inc.'s drastic cuts in operating costs and better sales execution combined to produce earnings ahead of analysts' expectations. On the downside, Office Depot, Inc. and AnnTaylor Stores Corp. were among the companies whose returns lagged the Index. Office Depot, Inc. was down roughly 58% for the 12-month period due to weakening sales and a lack of cost controls. AnnTaylor Stores Corp.'s sales were down during the year driving down the value of the company. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 95 [Logo] SPDR S&P Retail ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P RETAIL ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P RETAIL S&P RETAIL SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -3.61% -3.33% -3.43% -3.61% -3.33% -3.43% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -24.01% -23.96% -23.22% -8.75% -8.73% -8.43% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -22.17% -22.17% -21.36% -7.93% -7.93% -7.61% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 96 [Logo] SPDR S&P Retail ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P RETAIL ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P SPDR S&P RETAIL SELECT RETAIL ETF INDUSTRY INDEX (A) (B) ---------- -------------- 6/19/2006 10000 10000 6/30/2006 10242 10243 7/31/2006 9698 9702 8/31/2006 9912 9919 9/30/2006 10699 10709 10/31/2006 11254 11267 11/30/2006 11124 11140 12/31/2006 11103 11124 1/31/2007 11460 11486 2/28/2007 11460 11489 3/31/2007 11753 11796 4/30/2007 11807 11854 5/31/2007 12259 12311 6/30/2007 11891 11948 7/31/2007 10835 10886 8/31/2007 10848 10902 9/30/2007 10691 10750 10/31/2007 10550 10610 11/30/2007 9730 9789 12/31/2007 9311 9366 1/31/2008 9388 9444 2/29/2008 8761 8807 3/31/2008 8760 8837 4/30/2008 9067 9148 5/31/2008 9117 9200 6/30/2008 8073 8143 7/31/2008 8288 8364 8/31/2008 8885 8967 9/30/2008 8418 8497 10/31/2008 6400 6452 11/30/2008 5094 5130 12/31/2008 5698 5752 1/31/2009 5498 5549 2/28/2009 5530 5581 3/31/2009 6429 6493 4/30/2009 7741 7823 5/31/2009 7709 7791 6/30/2009 7783 7864
97 [Logo] SPDR S&P Retail ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------ GROUP 1 O'REILLY DESCRIPTION AUTOMOTIVE, INC. NETFLIX, INC. CARMAX, INC. AUTOMOTIVE, INC. ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $20,060,067 18,737,148 18,197,836 18,102,470 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 2.0% 1.8 1.8 1.8 ------------------------------------------------------------------------------------------------------------------ ---------------------------------------------------------- COLLECTIVE DESCRIPTION BRANDS, INC. ---------------------------------------------------------- MARKET VALUE 18,036,902 ---------------------------------------------------------- % OF NET ASSETS 1.8 ----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Apparel Retail 32.9% Specialty Stores 14.5 Automotive Retail 12.3 Food Retail 9.5 Department Stores 8.0 Internet Retail 6.7 General Merchandise Stores 4.9 Computer & Electronics Retail 4.5 Drug Retail 3.3 Hypermarkets & Super Centers 3.3 Short Tem Investments 6.6 Other Assets & Liabilities (6.5) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 98 [Logo] SPDR S&P Semiconductor ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR S&P Semiconductor ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the semiconductor segment of a U.S. total market composite index. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the S&P Semiconductor Select Industry Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -17.88%, and the total return for the Index was -19.13%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia, and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. The final quarter of the year brought some renewed optimism as the fund rose almost 23%. Despite the strong showing, the year was one that will be remembered for a long time, as the fund fell almost 18% during the year. The final quarter of 2008 proved to be particularly difficult when the Fund lost over 31% of its value. With weak market conditions, the Fund offered negative returns over the past year with 76% of the stocks within the equal-weighted Fund being negative for the same time period. Despite these dreary returns, it is worth noting that the Fund outperformed the overall market, which suffered larger declines. For the fund, the largest negative detractions stemmed from positions in Microsemi Corp. and Atheros Communications, Inc., which fell a respective 45% and 36% over the past year. Despite the negative total return, Skyworks Solutions, Inc., Silicon Laboratories, Inc. and Cree, Inc. bolstered performance. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 99 [Logo] SPDR S&P Semiconductor ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P SEMICONDUCTOR ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S&P S&P SEMICONDUC- SEMICONDUC- TOR TOR SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -17.88% -18.01% -19.13% -17.88% -18.01% -19.13% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -27.04% -26.47% -27.80% -9.98% -9.74% -10.29% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -35.26% -35.26% -35.85% -11.96% -11.96% -12.19% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to June 30, 2009. 100 [Logo] SPDR S&P Semiconductor ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR S&P SEMICONDUCTOR ETF (BASED ON NET ASSET VALUE) (Line Graph)
S&P SEMICONDUCTOR SELECT SPDR S&P INDUSTRY INDEX SEMICONDUCTOR ETF (B) (A) ----------------- -------------------- 1/31/2006 10000 10000 2/28/2006 9981 9984 3/31/2006 10136 10142 4/30/2006 10406 10415 5/31/2006 9305 9315 6/30/2006 8875 8885 7/31/2006 8248 8261 8/31/2006 9032 9050 9/30/2006 9081 9101 10/31/2006 9196 9220 11/30/2006 9503 9530 12/31/2006 9244 9271 1/31/2007 9231 9261 2/28/2007 9569 9603 3/31/2007 9155 9194 4/30/2007 9753 9799 5/31/2007 9830 9880 6/30/2007 10018 10071 7/31/2007 9892 9946 8/31/2007 10084 10142 9/30/2007 10400 10463 10/31/2007 9857 9919 11/30/2007 8765 8821 12/31/2007 8778 8834 1/31/2008 7561 7609 2/29/2008 7263 7308 3/31/2008 7398 7443 4/30/2008 8248 8300 5/31/2008 8959 9017 6/30/2008 7884 7931 7/31/2008 7538 7582 8/31/2008 7953 8002 9/30/2008 6648 6582 10/31/2008 5593 5533 11/30/2008 4372 4320 12/31/2008 4581 4532 1/31/2009 4485 4436 2/28/2009 4554 4504 3/31/2009 5224 5171 4/30/2009 5961 5902 5/31/2009 6358 6298 6/30/2009 6474 6415
101 [Logo] SPDR S&P Semiconductor ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------------- TEXAS CYPRESS DESCRIPTION PMC-SIERRA, INC. INSTRUMENTS, INC. CREE, INC. SEMICONDUCTOR CORP. ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $4,399,324 4,387,395 4,374,848 4,348,960 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.3% 4.2 4.2 4.2 ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------- DESCRIPTION INTEL CORP. ----------------------------------------------------------- MARKET VALUE 4,345,732 ----------------------------------------------------------- % OF NET ASSETS 4.2 -----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF NET ASSETS ------------------------------------------ Semiconductors 99.9% Short Term Investments 24.9 Other Assets & Liabilities (24.8) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 102 [Logo] SPDR KBW Regional Banking ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR KBW Regional Banking ETF (the "Fund") seeks to replicate as closely as possible, before expenses, the performance of an index derived from the regional banking segment of the U.S. banking industry. In seeking this objective, the Fund uses a passive management strategy designed to track the total return performance of the KBW Regional Banking Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -27.94%, and the total return for the Index was -28.12%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. After beginning the past one-year period with disruption and disappointment, global equity markets finally managed a meaningful rebound through the spring of 2009. The beginning of the end started with the dramatic collapse into bankruptcy of New York-based Lehman Brothers Holdings, Inc., and the devastating fall of insurance giant American International Group, Inc. under the sway of emergency US government financing. Moreover, the financial conflagration still engulfing the US spread into Europe in dramatic fashion. Starting in 2009, leading indicators of economic activity began to turn upward, and investors responded by selling safe-haven assets and increasing exposure to stocks, corporate bonds, and commodities. For equities, which had suffered severe losses through the beginning of 2009, the rally came in March, April and May, when stock markets around the world posted consistent gains. Strong rebounds in financial shares were accompanied by renewed interest in economically sensitive groups, as investors decided that a retreat in consumer spending may have seen its worst and that demand for basic materials might prove resilient. Commodity benchmarks posted double-digit gains in May, but with capacity utilization low and wage trends flaccid, worries over inflation ebbed during June. Among developed markets, the MSCI EAFE (Morgan Stanley Capital International for Europe, Australasia and Far East) Index was hardest hit, declining 31.35% over the past year. However, with the recent recovery, this region has climbed 25% over the most recent quarter. Within the US, the S&P 500 fell 26% for the past year, but gained 16% in the second quarter. Small cap stocks weathered the storm slightly better than their large cap peers, while value stocks suffered larger losses as compared to growth- oriented securities. Despite substantial rebounds in the economy as credit conditions eased and risk appetites recovered, the Fund has still unfortunately had quite a pullback. While the Fund reigned in high positive territories during the third quarter of last year with almost 30% returns, it lost course over the ground and went sliding down to the negative arena in the following three quarters. For the last twelve months, the Fund lost approximately 28% of its value as regional banks got submerged into the grave real estate mortgage crisis and battled new problems such as losses on auto and credit card loans. The profound reduction in home sales, the dwindling values in home equities, and a decline in the commercial and construction loans were some other market factors that led to increasing bank failures and worsened the deteriorating condition of the regional banks. On an individual constituent level, the worst offenders were Pacific Capital Bancorp that lost more than 80% of its share value, followed by Susquehanna Bancshares, Inc., National Penn Bancshares, Inc. and Central Pacific Financial that each lost more than 60% of its value. Each of them individually contributed to more than 1% negative return to the Fund. With the high credit losses and the mortgage and credit crisis still looming in front of us, there still seems to be a continued stress and concern for the regional banking sector. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 103 [Logo] SPDR KBW Regional Banking ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR KBW REGIONAL BANKING ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- KBW REGIONAL KBW REGIONAL NET ASSET MARKET BANKING NET ASSET MARKET BANKING VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -27.94% -28.14% -28.12% -27.94% -28.14% -28.12% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -57.35% -57.31% -57.12% -24.73% -24.70% -24.59% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -57.07% -57.12% -56.84% -24.33% -24.36% -24.20% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to June 30, 2009. 104 [Logo] SPDR KBW Regional Banking ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR KBW REGIONAL BANKING ETF (BASED ON NET ASSET VALUE) (Line Graph)
KBW SPDR KBW REGIONAL BANKING REGIONAL BANKING INDEX (B) ETF (A) ---------------- ---------------- 6/19/2006 10000 10000 6/30/2006 10066 10066 7/31/2006 10127 10132 8/31/2006 10189 10199 9/30/2006 10256 10269 10/31/2006 10246 10263 11/30/2006 10441 10464 12/31/2006 10593 10692 1/31/2007 10456 10554 2/28/2007 10317 10422 3/31/2007 10183 10292 4/30/2007 9916 10025 5/31/2007 10110 10229 6/30/2007 9848 9968 7/31/2007 8928 9039 8/31/2007 9601 9725 9/30/2007 9532 9658 10/31/2007 9111 9228 11/30/2007 8677 8791 12/31/2007 8261 8343 1/31/2008 8629 8719 2/29/2008 7557 7630 3/31/2008 7827 7904 4/30/2008 7664 7738 5/31/2008 7365 7435 6/30/2008 5956 6005 7/31/2008 6789 6844 8/31/2008 7227 7286 9/30/2008 8036 8099 10/31/2008 7374 7426 11/30/2008 6721 6764 12/31/2008 6745 6795 1/31/2009 4777 4805 2/28/2009 4192 4215 3/31/2009 4503 4530 4/30/2009 4852 4883 5/31/2009 4666 4695 6/30/2009 4293 4316
105 [Logo] SPDR KBW Regional Banking ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------- HANCOCK PINNACLE FINANCIAL DESCRIPTION F.N.B. CORP. HOLDING CO. PARTNERS, INC. SIGNATURE BANK ---------------------------------------------------------------------------------------------------------------- MARKET VALUE $11,851,999 11,793,221 11,755,926 11,581,894 ---------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 2.7% 2.7 2.7 2.7 ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------- BANK OF DESCRIPTION HAWAII CORP. ---------------------------------------------------------- MARKET VALUE 11,475,525 ---------------------------------------------------------- % OF NET ASSETS 2.6 ----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF NET ASSETS ------------------------------------------ Regional Banks 89.5% Thrifts & Mortgage Finance 10.2 Short Term Investments 31.4 Other Assets & Liabilities (31.1) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 106 [Logo] SPDR KBW Mortgage Finance ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------------- FIDELITY NATIONAL NEW YORK HUDSON CITY FINANCIAL, INC. COMMUNITY DESCRIPTION BANCORP, INC. (CLASS A) BANCORP, INC. D.R. HORTON, INC. --------------------------------------------------------------------------------------------------------------------- MARKET VALUE $468,539 437,222 402,575 394,084 --------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 8.6% 8.1 7.4 7.3 --------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------- DESCRIPTION PHH CORP. --------------------------------------------------------- MARKET VALUE 278,281 --------------------------------------------------------- % OF NET ASSETS 5.1 ---------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) INDUSTRY BREAKDOWN AS OF JUNE 30, 2009*
------------------------------------------ PERCENT OF INDUSTRY NET ASSETS ------------------------------------------ Thrifts & Mortgage Finance 36.7% Household Durables 36.1 Insurance 12.2 Diversified Financial Services 5.1 IT Services 4.7 Commercial Banks 3.7 Real Estate Management & Development 1.4 Short Term Investments 0.6 Other Assets & Liabilities (0.5) ------------------------------------------ TOTAL 100.0% ------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. 107 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE United Technologies Corp. .................. 13,879 $ 721,153 0.46% Other Securities.......... 2,910,602 1.84 ------------ ------ 3,631,755 2.30 ------------ ------ AIR FREIGHT & LOGISTICS Other Securities (a)...... 1,132,304 0.72 ------------ ------ AIRLINES Other Securities (a)...... 217,627 0.14 ------------ ------ AUTO COMPONENTS Other Securities (a)...... 446,242 0.28 ------------ ------ AUTOMOBILES Other Securities (a)...... 389,097 0.25 ------------ ------ BEVERAGES PepsiCo, Inc. ............ 24,487 1,345,806 0.85 The Coca-Cola Co. ........ 33,288 1,597,491 1.01 Other Securities (a)...... 540,667 0.34 ------------ ------ 3,483,964 2.20 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b)........... 17,032 901,674 0.57 Gilead Sciences, Inc. (b)..................... 14,956 700,539 0.44 Other Securities (a)...... 1,801,098 1.14 ------------ ------ 3,403,311 2.15 ------------ ------ BUILDING PRODUCTS Other Securities (a)...... 114,886 0.07 ------------ ------ CAPITAL MARKETS State Street Corp. (c).... 7,122 336,158 0.21 The Goldman Sachs Group, Inc. ................... 7,002 1,032,375 0.65 Other Securities (a)...... 2,849,046 1.81 ------------ ------ 4,217,579 2.67 ------------ ------ CHEMICALS Monsanto Co. ............. 8,942 664,748 0.42 Other Securities (a)...... 2,268,037 1.43 ------------ ------ 2,932,785 1.85 ------------ ------ COMMERCIAL BANKS Wells Fargo & Co. ........ 72,181 1,751,111 1.11 Other Securities (a)...... 2,605,270 1.64 ------------ ------ 4,356,381 2.75 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)...... 1,116,215 0.71 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b)... 93,603 1,744,760 1.10 QUALCOMM, Inc. ........... 26,481 1,196,941 0.76 Other Securities (a)...... 1,252,459 0.79 ------------ ------ 4,194,160 2.65 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b)........... 14,460 2,059,538 1.30 Hewlett-Packard Co. ...... 39,679 1,533,593 0.97 International Business Machines Corp. ......... 20,516 2,142,281 1.35 Other Securities (a)...... 1,650,825 1.05 ------------ ------ 7,386,237 4.67 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities.......... 552,999 0.35 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a)...... 199,052 0.13 ------------ ------ CONSUMER FINANCE Other Securities (a)...... 764,981 0.48 ------------ ------ CONTAINERS & PACKAGING Other Securities (a)...... 421,476 0.27 ------------ ------ DISTRIBUTORS Other Securities (a)...... 99,329 0.06 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)...... 697,806 0.44 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. .... 117,219 1,547,291 0.98 JPMorgan Chase & Co. ..... 60,217 2,054,002 1.30 Other Securities (a)...... 1,228,129 0.77 ------------ ------ 4,829,422 3.05 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. ............... 94,464 2,346,486 1.48 Verizon Communications, Inc. ................... 44,680 1,373,016 0.87 Other Securities (a)...... 588,183 0.37 ------------ ------ 4,307,685 2.72 ------------ ------ ELECTRIC UTILITIES Exelon Corp. ............. 10,686 547,230 0.35 Other Securities (a)...... 2,719,306 1.71 ------------ ------ 3,266,536 2.06 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a)...... 1,153,740 0.73 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)...... 1,399,189 0.88 ------------ ------ ENERGY EQUIPMENT & SERVICES Schlumberger, Ltd. ....... 19,831 1,073,055 0.68 Other Securities (a)...... 1,842,218 1.16 ------------ ------ 2,915,273 1.84 ------------ ------ FOOD & STAPLES RETAILING CVS Caremark Corp. ....... 24,309 774,728 0.49 Wal-Mart Stores, Inc. .... 34,073 1,650,496 1.04 Other Securities (a)...... 1,496,870 0.95 ------------ ------ 3,922,094 2.48 ------------ ------ FOOD PRODUCTS Kraft Foods, Inc. ........ 22,909 580,514 0.37 Other Securities (a)...... 2,215,162 1.40 ------------ ------ 2,795,676 1.77 ------------ ------ GAS UTILITIES Other Securities (a)...... 222,017 0.14 ------------ ------
See accompanying notes to financial statements. 108 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE EQUIPMENT & SUPPLIES Medtronic, Inc. .......... 18,795 $ 655,758 0.41% Other Securities (a)...... 2,862,131 1.81 ------------ ------ 3,517,889 2.22 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a)...... 3,673,108 2.32 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a)...... 141,348 0.09 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. ......... 17,720 1,018,723 0.64 Other Securities (a)...... 1,783,135 1.13 ------------ ------ 2,801,858 1.77 ------------ ------ HOUSEHOLD DURABLES Other Securities (a)...... 924,664 0.58 ------------ ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. .... 8,017 567,123 0.36 Procter & Gamble Co. ..... 46,888 2,395,977 1.51 Other Securities (a)...... 656,755 0.42 ------------ ------ 3,619,855 2.29 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)...... 550,135 0.35 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. ................... 10,326 620,593 0.39 General Electric Co. ..... 171,333 2,008,023 1.27 Other Securities (a)...... 140,037 0.09 ------------ ------ 2,768,653 1.75 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (b)........... 17 1,530,000 0.97 Other Securities (a)...... 4,078,931 2.58 ------------ ------ 5,608,931 3.55 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a)...... 644,793 0.41 ------------ ------ INTERNET SOFTWARE & SERVICES Google, Inc. (Class A) (b)..................... 3,671 1,547,657 0.98 Other Securities (a)...... 987,372 0.62 ------------ ------ 2,535,029 1.60 ------------ ------ IT SERVICES Other Securities (a)...... 2,578,598 1.63 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities.......... 312,776 0.20 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)...... 1,113,175 0.70 ------------ ------ MACHINERY Other Securities (a)...... 2,871,869 1.82 ------------ ------ MEDIA Comcast Corp. (Class A)... 44,851 649,891 0.41 The Walt Disney Co. ...... 27,667 645,471 0.41 Time Warner, Inc. ........ 21,191 533,801 0.34 Other Securities (a)...... 2,274,460 1.43 ------------ ------ 4,103,623 2.59 ------------ ------ METALS & MINING Other Securities (a)...... 1,598,583 1.01 ------------ ------ MULTI-UTILITIES Other Securities (a)...... 1,807,008 1.14 ------------ ------ MULTILINE RETAIL Other Securities (a)...... 1,274,828 0.81 ------------ ------ OFFICE ELECTRONICS Other Securities (a)...... 160,164 0.10 ------------ ------ OIL, GAS & CONSUMABLE FUELS Chevron Corp. ............ 32,554 2,156,703 1.36 ConocoPhillips............ 21,501 904,332 0.57 Exxon Mobil Corp. ........ 79,029 5,524,917 3.49 Occidental Petroleum Corp. .................. 13,354 878,827 0.56 Other Securities (a)...... 6,399,483 4.05 ------------ ------ 15,864,262 10.03 ------------ ------ PAPER & FOREST PRODUCTS Other Securities.......... 322,887 0.20 ------------ ------ PERSONAL PRODUCTS Other Securities (a)...... 347,068 0.22 ------------ ------ PHARMACEUTICALS Abbott Laboratories....... 24,929 1,172,660 0.74 Bristol-Myers Squibb Co. .................... 30,471 618,866 0.39 Johnson & Johnson......... 44,069 2,503,119 1.58 Merck & Co., Inc. ........ 34,373 961,069 0.61 Pfizer, Inc. ............. 107,742 1,616,130 1.02 Schering-Plough Corp. .... 26,059 654,602 0.41 Wyeth..................... 21,032 954,643 0.60 Other Securities (a)...... 1,369,046 0.88 ------------ ------ 9,850,135 6.23 ------------ ------ PROFESSIONAL SERVICES Other Securities (a)...... 481,886 0.30 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a)...... 2,774,050 1.75 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a)...... 167,001 0.11 ------------ ------ ROAD & RAIL Other Securities (a)...... 1,567,248 0.99 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. .............. 89,506 1,481,324 0.94 Other Securities (a)...... 2,687,647 1.69 ------------ ------ 4,168,971 2.63 ------------ ------ SOFTWARE Microsoft Corp. .......... 126,579 3,008,783 1.90 Oracle Corp. ............. 63,797 1,366,532 0.86 Other Securities (a)...... 2,280,450 1.45 ------------ ------ 6,655,765 4.21 ------------ ------ SPECIALTY RETAIL The Home Depot, Inc. ..... 28,248 667,500 0.42 Other Securities (a)...... 2,783,490 1.76 ------------ ------ 3,450,990 2.18 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)...... 717,673 0.45 ------------ ------
See accompanying notes to financial statements. 109 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)...... $ 540,735 0.34% ------------ ------ TOBACCO Altria Group, Inc. ....... 33,250 544,968 0.35 Philip Morris International, Inc. .... 31,598 1,378,305 0.87 Other Securities.......... 289,855 0.18 ------------ ------ 2,213,128 1.40 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)...... 223,334 0.14 ------------ ------ WATER UTILITIES Other Securities (a)...... 240,115 0.15 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities.......... 839,159 0.53 ------------ ------ TOTAL COMMON STOCKS -- (Cost $185,272,494)..... 157,601,112 99.60 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (d)(e).. 7,113,997 7,113,997 4.50 STIC Prime Portfolio...... 1,164,008 1,164,008 0.73 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $8,278,005)....... 8,278,005 5.23 ------------ ------ TOTAL INVESTMENTS (F) (Cost $193,550,499)..... 165,879,117 104.83 OTHER ASSETS AND LIABILITIES............. (7,641,106) (4.83) ------------ ------ NET ASSETS................ $158,238,011 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Affiliated issuer. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 110 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE United Technologies Corp. (a).................... 3,859 $ 200,514 0.52% Other Securities (a)..... 731,540 1.91 ------------ ------ 932,054 2.43 ------------ ------ AIR FREIGHT & LOGISTICS United Parcel Service, Inc. (Class B) (a)..... 3,048 152,370 0.40 Other Securities (a)..... 140,335 0.36 ------------ ------ 292,705 0.76 ------------ ------ AIRLINES Other Securities (a)..... 45,162 0.12 ------------ ------ AUTO COMPONENTS Other Securities (a)..... 84,918 0.22 ------------ ------ AUTOMOBILES Other Securities (a)..... 100,294 0.26 ------------ ------ BEVERAGES PepsiCo, Inc. ........... 6,873 377,740 0.98 The Coca-Cola Co. (a).... 9,248 443,812 1.16 Other Securities (a)..... 139,245 0.36 ------------ ------ 960,797 2.50 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b).......... 4,449 235,530 0.61 Gilead Sciences, Inc. (b).................... 4,005 187,594 0.49 Other Securities (a)..... 312,378 0.81 ------------ ------ 735,502 1.91 ------------ ------ BUILDING PRODUCTS Other Securities (a)..... 15,395 0.04 ------------ ------ CAPITAL MARKETS Morgan Stanley (a)....... 5,283 150,618 0.39 State Street Corp. (c)... 2,069 97,657 0.25 The Bank of New York Mellon Corp. .......... 5,216 152,881 0.40 The Goldman Sachs Group, Inc. (a)............... 1,856 273,649 0.71 Other Securities (a)..... 411,016 1.08 ------------ ------ 1,085,821 2.83 ------------ ------ CHEMICALS Monsanto Co. (a)......... 2,380 176,929 0.46 Other Securities (a)..... 567,377 1.48 ------------ ------ 744,306 1.94 ------------ ------ COMMERCIAL BANKS Wells Fargo & Co. (a).... 19,678 477,388 1.24 Other Securities (a)..... 404,110 1.05 ------------ ------ 881,498 2.29 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)..... 227,948 0.59 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b).. 25,047 466,876 1.21 QUALCOMM, Inc. (a)....... 7,112 321,462 0.84 Other Securities (a)..... 135,244 0.35 ------------ ------ 923,582 2.40 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b).......... 3,904 556,047 1.45 Hewlett-Packard Co. ..... 10,475 404,859 1.05 International Business Machines Corp. ........ 5,747 600,102 1.56 Other Securities (a)..... 370,030 0.97 ------------ ------ 1,931,038 5.03 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a)..... 137,028 0.36 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a)..... 31,517 0.08 ------------ ------ CONSUMER FINANCE Other Securities (a)..... 192,035 0.50 ------------ ------ CONTAINERS & PACKAGING Other Securities (a)..... 112,768 0.29 ------------ ------ DISTRIBUTORS Other Securities (a)..... 23,626 0.06 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)..... 123,949 0.32 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. (a).................... 33,243 438,808 1.14 JPMorgan Chase & Co. (a).................... 16,285 555,481 1.45 Other Securities (a)..... 276,322 0.72 ------------ ------ 1,270,611 3.31 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. .............. 25,866 642,511 1.67 Verizon Communications, Inc. (a)............... 12,560 385,969 1.00 Other Securities (a)..... 103,825 0.28 ------------ ------ 1,132,305 2.95 ------------ ------ ELECTRIC UTILITIES Other Securities (a)..... 845,520 2.20 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a)..... 234,008 0.61 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)..... 263,976 0.69 ------------ ------ ENERGY EQUIPMENT & SERVICES Schlumberger, Ltd. (a)... 5,240 283,536 0.74 Other Securities (a)..... 407,315 1.06 ------------ ------ 690,851 1.80 ------------ ------ FOOD & STAPLES RETAILING CVS Caremark Corp. (a)... 6,300 200,781 0.52 Wal-Mart Stores, Inc. ... 9,807 475,051 1.24 Other Securities (a)..... 391,617 1.02 ------------ ------ 1,067,449 2.78 ------------ ------ FOOD PRODUCTS Kraft Foods, Inc. (a).... 5,919 149,987 0.39 Other Securities (a)..... 508,011 1.32 ------------ ------ 657,998 1.71 ------------ ------ GAS UTILITIES Other Securities (a)..... 117,991 0.31 ------------ ------
See accompanying notes to financial statements. 111 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE EQUIPMENT & SUPPLIES Medtronic, Inc. ......... 4,946 $ 172,566 0.45% Other Securities (a)..... 671,751 1.75 ------------ ------ 844,317 2.20 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a)..... 804,999 2.10 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a)..... 27,497 0.07 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. ........ 4,898 281,586 0.73 Other Securities (a)..... 307,907 0.80 ------------ ------ 589,493 1.53 ------------ ------ HOUSEHOLD DURABLES Other Securities (a)..... 140,315 0.37 ------------ ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. (a).................... 2,140 151,384 0.39 Procter & Gamble Co. .... 12,761 652,087 1.70 Other Securities (a)..... 158,193 0.41 ------------ ------ 961,664 2.50 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)..... 124,690 0.32 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. .................. 2,822 169,602 0.44 General Electric Co. (a).................... 45,957 538,616 1.40 Other Securities (a)..... 31,309 0.08 ------------ ------ 739,527 1.92 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (b).......... 5 450,000 1.17 Other Securities (a)..... 957,565 2.49 ------------ ------ 1,407,565 3.66 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a)..... 168,878 0.44 ------------ ------ INTERNET SOFTWARE & SERVICES Google, Inc. (Class A) (b).................... 1,010 425,806 1.11 Other Securities (a)..... 205,903 0.53 ------------ ------ 631,709 1.64 ------------ ------ IT SERVICES Other Securities (a)..... 667,874 1.74 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a)..... 38,636 0.10 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)..... 220,113 0.57 ------------ ------ MACHINERY Other Securities (a)..... 585,706 1.52 ------------ ------ MEDIA Comcast Corp. (Class A).. 12,672 183,617 0.48 The Walt Disney Co. (a).. 7,641 178,265 0.46 Other Securities (a)..... 686,444 1.79 ------------ ------ 1,048,326 2.73 ------------ ------ METALS & MINING Other Securities (a)..... 374,090 0.97 ------------ ------ MULTI-UTILITIES Other Securities (a)..... 553,447 1.44 ------------ ------ MULTILINE RETAIL Other Securities (a)..... 282,521 0.74 ------------ ------ OFFICE ELECTRONICS Other Securities (a)..... 24,773 0.06 ------------ ------ OIL, GAS & CONSUMABLE FUELS Chevron Corp. ........... 8,796 582,735 1.52 ConocoPhillips (a)....... 5,667 238,354 0.62 Exxon Mobil Corp. (a).... 21,570 1,507,959 3.92 Occidental Petroleum Corp. ................. 3,563 234,481 0.61 Other Securities (a)..... 1,522,178 3.96 ------------ ------ 4,085,707 10.63 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a)..... 65,339 0.17 ------------ ------ PERSONAL PRODUCTS Other Securities (a)..... 77,409 0.20 ------------ ------ PHARMACEUTICALS Abbott Laboratories...... 6,661 313,334 0.81 Bristol-Myers Squibb Co. ................... 8,657 175,824 0.46 Johnson & Johnson........ 12,037 683,702 1.78 Merck & Co., Inc. (a).... 9,291 259,776 0.68 Pfizer, Inc. (a)......... 29,297 439,455 1.14 Schering-Plough Corp. ... 7,128 179,055 0.47 Wyeth.................... 5,765 261,673 0.68 Other Securities (a)..... 311,397 0.81 ------------ ------ 2,624,216 6.83 ------------ ------ PROFESSIONAL SERVICES Other Securities (a)..... 92,832 0.24 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a)..... 467,882 1.22 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a)..... 17,644 0.05 ------------ ------ ROAD & RAIL Other Securities (a)..... 356,313 0.93 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. (a).......... 24,228 400,973 1.04 Other Securities (a)..... 557,681 1.46 ------------ ------ 958,654 2.50 ------------ ------ SOFTWARE Microsoft Corp. ......... 34,418 818,116 2.13 Oracle Corp. (a)......... 16,621 356,022 0.93 Other Securities (a)..... 445,481 1.16 ------------ ------ 1,619,619 4.22 ------------ ------ SPECIALTY RETAIL The Home Depot, Inc. (a).................... 7,476 176,658 0.46 Other Securities (a)..... 582,268 1.52 ------------ ------ 758,926 1.98 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)..... 132,754 0.35 ------------ ------
See accompanying notes to financial statements. 112 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)..... $ 63,540 0.17% ------------ ------ TOBACCO Philip Morris International, Inc. (a).................... 8,587 374,565 0.97 Other Securities (a)..... 226,757 0.59 ------------ ------ 601,322 1.56 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)..... 50,711 0.13 ------------ ------ WATER UTILITIES Other Securities (a)..... 19,127 0.05 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)..... 205,658 0.54 ------------ ------ TOTAL COMMON STOCKS -- (Cost $38,988,829)..... 38,296,445 99.68 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (d)(e).............. 10,783,247 10,783,247 28.07 STIC Prime Portfolio..... 263,385 263,385 0.68 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $11,046,632)..... 11,046,632 28.75 ------------ ------ TOTAL INVESTMENTS (F) (Cost $50,035,461)..... 49,343,077 128.43 OTHER ASSETS AND LIABILITIES............ (10,924,092) (28.43) ------------ ------ NET ASSETS............... $ 38,418,985 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Affiliated issuer. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 113 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)...... $ 963,075 0.62% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities.......... 1,174,200 0.76 ------------ ------ AIRLINES Other Securities (a)...... 219,810 0.14 ------------ ------ AUTO COMPONENTS Other Securities (a)...... 239,467 0.16 ------------ ------ AUTOMOBILES Ford Motor Co. (a)(b)..... 117,904 715,677 0.46 ------------ ------ BEVERAGES PepsiCo, Inc. ............ 57,376 3,153,385 2.04 Other Securities (a)...... 227,643 0.14 ------------ ------ 3,381,028 2.18 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b)........... 37,159 1,967,197 1.27 Celgene Corp. (b)......... 16,871 807,109 0.52 Gilead Sciences, Inc. (b)..................... 33,261 1,557,945 1.00 Other Securities (a)...... 1,845,090 1.20 ------------ ------ 6,177,341 3.99 ------------ ------ CAPITAL MARKETS Other Securities (a)...... 2,978,020 1.92 ------------ ------ CHEMICALS Monsanto Co. ............. 19,762 1,469,107 0.95 Praxair, Inc. ............ 11,305 803,446 0.52 Other Securities.......... 1,103,802 0.71 ------------ ------ 3,376,355 2.18 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)...... 1,290,560 0.83 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b)... 211,498 3,942,323 2.54 QUALCOMM, Inc. ........... 60,158 2,719,142 1.76 Other Securities.......... 1,132,734 0.73 ------------ ------ 7,794,199 5.03 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b)........... 32,503 4,629,402 2.99 Dell, Inc. (b)............ 63,366 870,015 0.56 EMC Corp. (b)............. 73,588 964,003 0.62 Hewlett-Packard Co. ...... 88,290 3,412,409 2.20 Other Securities.......... 1,027,460 0.67 ------------ ------ 10,903,289 7.04 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities.......... 988,073 0.64 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a)...... 282,937 0.18 ------------ ------ CONSUMER FINANCE Other Securities.......... 176,315 0.11 ------------ ------ CONTAINERS & PACKAGING Other Securities.......... 498,391 0.32 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)...... 787,823 0.51 ------------ ------ DIVERSIFIED FINANCIAL SERVICES CME Group, Inc. .......... 2,463 766,264 0.50 Other Securities.......... 991,713 0.64 ------------ ------ 1,757,977 1.14 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a)...... 233,400 0.15 ------------ ------ ELECTRIC UTILITIES Other Securities (a)...... 234,440 0.15 ------------ ------ ELECTRICAL EQUIPMENT Emerson Electric Co. ..... 27,675 896,670 0.58 Other Securities (a)...... 840,279 0.54 ------------ ------ 1,736,949 1.12 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Corning, Inc. ............ 57,347 920,993 0.60 Other Securities (a)...... 1,174,708 0.75 ------------ ------ 2,095,701 1.35 ------------ ------ ENERGY EQUIPMENT & SERVICES Halliburton Co. .......... 32,853 680,057 0.44 Schlumberger, Ltd. ....... 43,701 2,364,661 1.53 Other Securities (a)...... 2,623,592 1.69 ------------ ------ 5,668,310 3.66 ------------ ------ FOOD & STAPLES RETAILING Costco Wholesale Corp. ... 15,829 723,385 0.47 CVS Caremark Corp. ....... 52,304 1,666,928 1.08 Wal-Mart Stores, Inc. .... 81,867 3,965,638 2.56 Walgreen Co. ............. 36,285 1,066,779 0.69 Other Securities (a)...... 582,201 0.37 ------------ ------ 8,004,931 5.17 ------------ ------ FOOD PRODUCTS Other Securities (a)...... 768,894 0.50 ------------ ------ GAS UTILITIES Other Securities.......... 562,508 0.36 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Baxter International, Inc. ................... 22,062 1,168,403 0.75 Medtronic, Inc. .......... 41,070 1,432,932 0.93 Other Securities (a)...... 4,072,872 2.63 ------------ ------ 6,674,207 4.31 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Medco Health Solutions, Inc. (b)................ 17,678 806,294 0.52 UnitedHealth Group, Inc. ................... 43,619 1,089,603 0.70 WellPoint, Inc. (b)....... 17,805 906,096 0.59 Other Securities (a)...... 2,983,807 1.93 ------------ ------ 5,785,800 3.74 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities.......... 225,347 0.15 ------------ ------ HOTELS, RESTAURANTS & LEISURE Other Securities (a)...... 1,971,244 1.27 ------------ ------ HOUSEHOLD DURABLES Other Securities (a)...... 169,445 0.11 ------------ ------
See accompanying notes to financial statements. 114 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. .... 18,305 $ 1,294,896 0.84% Other Securities.......... 267,137 0.17 ------------ ------ 1,562,033 1.01 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)...... 1,050,159 0.68 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities.......... 165,425 0.11 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (a)(b)........ 42 3,780,000 2.44 Other Securities.......... 548,754 0.36 ------------ ------ 4,328,754 2.80 ------------ ------ INTERNET & CATALOG RETAIL Amazon.com, Inc. (b)...... 11,307 945,943 0.61 Other Securities (a)...... 464,431 0.30 ------------ ------ 1,410,374 0.91 ------------ ------ INTERNET SOFTWARE & SERVICES eBay, Inc. (b)............ 40,390 691,881 0.45 Google, Inc. (Class A) (b)..................... 8,388 3,536,297 2.28 Yahoo!, Inc. (a)(b)....... 47,957 751,007 0.49 Other Securities (a)...... 309,472 0.20 ------------ ------ 5,288,657 3.42 ------------ ------ IT SERVICES Accenture, Ltd. (Class A)...................... 21,520 720,059 0.47 Visa, Inc. (Class A) (a).. 15,741 980,035 0.63 Other Securities (a)...... 3,526,849 2.28 ------------ ------ 5,226,943 3.38 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)...... 1,824,884 1.18 ------------ ------ MACHINERY Caterpillar, Inc. (a)..... 22,092 729,920 0.47 Other Securities (a)...... 2,916,308 1.89 ------------ ------ 3,646,228 2.36 ------------ ------ MEDIA Comcast Corp. (Class A)... 105,205 1,524,420 0.98 The Walt Disney Co. ...... 63,435 1,479,939 0.96 Time Warner, Inc. ........ 43,628 1,098,989 0.71 Other Securities (a)...... 3,042,787 1.97 ------------ ------ 7,146,135 4.62 ------------ ------ METALS & MINING Freeport-McMoRan Copper & Gold, Inc. ............. 15,052 754,256 0.49 Newmont Mining Corp. ..... 17,506 715,470 0.46 Other Securities (a)...... 1,124,964 0.73 ------------ ------ 2,594,690 1.68 ------------ ------ MULTI-UTILITIES Other Securities.......... 114,579 0.07 ------------ ------ MULTILINE RETAIL Target Corp. ............. 25,053 988,842 0.64 Other Securities (a)...... 1,053,314 0.68 ------------ ------ 2,042,156 1.32 ------------ ------ OFFICE ELECTRONICS Other Securities.......... 202,954 0.13 ------------ ------ OIL, GAS & CONSUMABLE FUELS Anadarko Petroleum Corp. .................. 18,301 830,682 0.54 Occidental Petroleum Corp. .................. 29,670 1,952,583 1.26 XTO Energy, Inc. ......... 21,159 807,004 0.52 Other Securities (a)...... 6,139,611 3.97 ------------ ------ 9,729,880 6.29 ------------ ------ PERSONAL PRODUCTS Other Securities (a)...... 535,726 0.35 ------------ ------ PHARMACEUTICALS Other Securities (a)...... 733,365 0.47 ------------ ------ PROFESSIONAL SERVICES Other Securities (a)...... 757,575 0.49 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a)...... 1,099,491 0.71 ------------ ------ ROAD & RAIL Other Securities (a)...... 159,352 0.10 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Texas Instruments, Inc. .. 46,647 993,581 0.64 Other Securities (a)...... 3,655,532 2.36 ------------ ------ 4,649,113 3.00 ------------ ------ SOFTWARE Microsoft Corp. .......... 289,115 6,872,264 4.44 Oracle Corp. ............. 140,247 3,004,091 1.94 Other Securities (a)...... 3,600,759 2.33 ------------ ------ 13,477,114 8.71 ------------ ------ SPECIALTY RETAIL Lowe's Cos., Inc. ........ 53,534 1,039,095 0.67 The Home Depot, Inc. ..... 62,049 1,466,218 0.95 Other Securities (a)...... 3,700,397 2.39 ------------ ------ 6,205,710 4.01 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)...... 930,963 0.60 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities.......... 265,815 0.17 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)...... 220,917 0.14 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)...... 1,202,259 0.78 ------------ ------ TOTAL COMMON STOCKS -- (Cost $206,159,404)..... 154,406,964 99.74 ------------ ------
See accompanying notes to financial statements. 115 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (c)(d).. 8,792,553 $ 8,792,553 5.68% STIC Prime Portfolio...... 702,984 702,984 0.45 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $9,495,537)....... 9,495,537 6.13 ------------ ------ TOTAL INVESTMENTS (E) (Cost $215,654,941)..... 163,902,501 105.87 OTHER ASSETS AND LIABILITIES............. (9,085,566) (5.87) ------------ ------ NET ASSETS................ $154,816,935 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 116 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Boeing Co. ............... 14,223 $ 604,478 0.61% Honeywell International, Inc. ................... 14,669 460,607 0.46 Lockheed Martin Corp. .... 6,713 541,403 0.55 United Technologies Corp. .................. 19,009 987,708 1.00 Other Securities (a)...... 1,434,550 1.44 ------------ ------ 4,028,746 4.06 ------------ ------ AIR FREIGHT & LOGISTICS United Parcel Service, Inc. (Class B).......... 15,128 756,249 0.76 ------------ ------ AIRLINES Other Securities.......... 95,888 0.10 ------------ ------ AUTO COMPONENTS Other Securities (a)...... 277,777 0.28 ------------ ------ AUTOMOBILES Other Securities (a)...... 82,266 0.08 ------------ ------ BEVERAGES The Coca-Cola Co. ........ 46,160 2,215,219 2.23 Other Securities.......... 543,140 0.55 ------------ ------ 2,758,359 2.78 ------------ ------ BUILDING PRODUCTS Other Securities (a)...... 74,274 0.07 ------------ ------ CAPITAL MARKETS Morgan Stanley............ 26,258 748,615 0.75 State Street Corp. (b).... 10,424 492,013 0.50 The Bank of New York Mellon Corp. ........... 25,858 757,898 0.76 The Goldman Sachs Group, Inc. ................... 9,228 1,360,576 1.37 Other Securities (a)...... 283,414 0.29 ------------ ------ 3,642,516 3.67 ------------ ------ CHEMICALS E. I. du Pont de Nemours & Co. .................... 18,372 470,691 0.47 Other Securities (a)...... 1,235,060 1.25 ------------ ------ 1,705,751 1.72 ------------ ------ COMMERCIAL BANKS U.S. Bancorp.............. 38,085 682,483 0.69 Wells Fargo & Co. ........ 97,972 2,376,801 2.39 Other Securities (a)...... 1,318,287 1.33 ------------ ------ 4,377,571 4.41 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)...... 386,013 0.39 ------------ ------ COMPUTERS & PERIPHERALS International Business Machines Corp. ......... 28,709 2,997,794 3.02 Other Securities.......... 144,324 0.15 ------------ ------ 3,142,118 3.17 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities.......... 91,662 0.09 ------------ ------ CONSUMER FINANCE American Express Co. ..... 23,073 536,216 0.54 Other Securities (a)...... 317,543 0.32 ------------ ------ 853,759 0.86 ------------ ------ CONTAINERS & PACKAGING Other Securities.......... 257,994 0.26 ------------ ------ DISTRIBUTORS Other Securities.......... 114,742 0.12 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities.......... 146,028 0.15 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. .... 165,881 2,189,629 2.21 JPMorgan Chase & Co. ..... 80,982 2,762,296 2.78 Other Securities (a)...... 332,691 0.34 ------------ ------ 5,284,616 5.33 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. ............... 128,901 3,201,901 3.23 Verizon Communications, Inc. ................... 62,024 1,905,997 1.92 Other Securities (a)...... 368,646 0.37 ------------ ------ 5,476,544 5.52 ------------ ------ ELECTRIC UTILITIES Exelon Corp. ............. 14,349 734,812 0.74 FPL Group, Inc. .......... 8,214 467,048 0.47 The Southern Co. ......... 16,843 524,828 0.53 Other Securities (a)...... 2,371,019 2.39 ------------ ------ 4,097,707 4.13 ------------ ------ ELECTRICAL EQUIPMENT Other Securities.......... 123,692 0.12 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)...... 60,900 0.06 ------------ ------ ENERGY EQUIPMENT & SERVICES Other Securities.......... 46,471 0.05 ------------ ------ FOOD & STAPLES RETAILING Other Securities.......... 548,170 0.55 ------------ ------ FOOD PRODUCTS Kraft Foods, Inc. ........ 29,129 738,129 0.75 Other Securities (a)...... 2,076,671 2.09 ------------ ------ 2,814,800 2.84 ------------ ------ GAS UTILITIES Other Securities (a)...... 250,887 0.25 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a)...... 229,752 0.23 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a)...... 591,023 0.60 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. ......... 24,178 1,389,993 1.40 Other Securities (a)...... 361,640 0.37 ------------ ------ 1,751,633 1.77 ------------ ------ HOUSEHOLD DURABLES Other Securities (a)...... 600,198 0.61 ------------ ------
See accompanying notes to financial statements. 117 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOUSEHOLD PRODUCTS Kimberly-Clark Corp. ..... 9,078 $ 475,960 0.48% Procter & Gamble Co. ..... 63,771 3,258,698 3.28 Other Securities (a)...... 168,718 0.17 ------------ ------ 3,903,376 3.93 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. ................... 13,911 836,051 0.84 General Electric Co. ..... 229,863 2,693,994 2.72 Other Securities (a)...... 60,622 0.06 ------------ ------ 3,590,667 3.62 ------------ ------ INSURANCE The Travelers Cos., Inc. ................... 12,620 517,925 0.52 Other Securities (a)...... 3,936,874 3.97 ------------ ------ 4,454,799 4.49 ------------ ------ IT SERVICES Other Securities.......... 200,545 0.20 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities.......... 190,145 0.19 ------------ ------ MACHINERY Other Securities (a)...... 719,653 0.73 ------------ ------ MEDIA News Corp. (Class A)...... 50,625 461,194 0.46 Other Securities (a)...... 505,277 0.51 ------------ ------ 966,471 0.97 ------------ ------ METALS & MINING Other Securities (a)...... 328,775 0.33 ------------ ------ MULTI-UTILITIES Dominion Resources, Inc. ................... 12,682 423,832 0.43 Other Securities (a)...... 2,263,832 2.28 ------------ ------ 2,687,664 2.71 ------------ ------ MULTILINE RETAIL Other Securities (a)...... 193,871 0.20 ------------ ------ OIL, GAS & CONSUMABLE FUELS Apache Corp. ............. 7,185 518,398 0.52 Chevron Corp. ............ 43,626 2,890,223 2.91 ConocoPhillips............ 28,264 1,188,784 1.20 Devon Energy Corp. ....... 9,130 497,585 0.50 Exxon Mobil Corp. ........ 107,434 7,510,711 7.57 Marathon Oil Corp. ....... 15,536 468,100 0.47 Other Securities (a)...... 1,483,053 1.50 ------------ ------ 14,556,854 14.67 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a)...... 327,900 0.33 ------------ ------ PERSONAL PRODUCTS Other Securities.......... 70,485 0.07 ------------ ------ PHARMACEUTICALS Abbott Laboratories....... 33,387 1,570,525 1.58 Bristol-Myers Squibb Co. .................... 42,675 866,729 0.87 Eli Lilly & Co. .......... 21,303 737,936 0.74 Johnson & Johnson......... 60,178 3,418,110 3.45 Merck & Co., Inc. ........ 45,864 1,282,357 1.29 Pfizer, Inc. ............. 146,234 2,193,510 2.21 Schering-Plough Corp. .... 35,101 881,737 0.89 Wyeth..................... 28,896 1,311,590 1.32 Other Securities (a)...... 378,706 0.39 ------------ ------ 12,641,200 12.74 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a)...... 1,697,573 1.71 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a)...... 86,062 0.09 ------------ ------ ROAD & RAIL Burlington Northern Santa Fe Corp. ............... 6,017 442,490 0.45 Union Pacific Corp. ...... 10,944 569,745 0.57 Other Securities (a)...... 661,488 0.67 ------------ ------ 1,673,723 1.69 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. .............. 120,615 1,996,178 2.01 ------------ ------ SOFTWARE Other Securities.......... 60,579 0.06 ------------ ------ SPECIALTY RETAIL Other Securities.......... 70,982 0.07 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)...... 107,822 0.11 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)...... 152,290 0.15 ------------ ------ TOBACCO Altria Group, Inc. ....... 44,650 731,814 0.74 Philip Morris International, Inc. .... 42,520 1,854,722 1.87 Other Securities (a)...... 391,103 0.39 ------------ ------ 2,977,639 3.00 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)...... 106,771 0.11 ------------ ------ WATER UTILITIES Other Securities (a)...... 92,480 0.09 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)...... 298,792 0.30 ------------ ------ TOTAL COMMON STOCKS -- (Cost $125,508,418)..... 98,821,402 99.60 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (c)(d).. 3,567,500 3,567,500 3.59 STIC Prime Portfolio...... 859,528 859,528 0.87 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $4,427,028)....... 4,427,028 4.46 ------------ ------ TOTAL INVESTMENTS (E) (Cost $129,935,446)..... 103,248,430 104.06 OTHER ASSETS AND LIABILITIES............. (4,027,884) (4.06) ------------ ------ NET ASSETS................ $ 99,220,546 100.00 ============ ======
See accompanying notes to financial statements. 118 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Affiliated issuer. (Note 3) (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 119 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)...... $ 285,081 0.91% ----------- ------ AIR FREIGHT & LOGISTICS Other Securities.......... 37,563 0.12 ----------- ------ AIRLINES Other Securities (a)...... 132,213 0.42 ----------- ------ AUTO COMPONENTS BorgWarner, Inc. (a)...... 3,823 130,555 0.42 Other Securities (a)...... 142,763 0.45 ----------- ------ 273,318 0.87 ----------- ------ BEVERAGES Other Securities (a)...... 56,328 0.18 ----------- ------ BIOTECHNOLOGY Other Securities (a)...... 435,844 1.39 ----------- ------ BUILDING PRODUCTS Masco Corp. (a)........... 11,945 114,433 0.36 Other Securities (a)...... 92,323 0.30 ----------- ------ 206,756 0.66 ----------- ------ CAPITAL MARKETS Eaton Vance Corp. (a)..... 3,851 103,014 0.33 Legg Mason, Inc. (a)...... 4,706 114,732 0.37 Other Securities (a)...... 711,689 2.27 ----------- ------ 929,435 2.97 ----------- ------ CHEMICALS Celanese Corp. (Series A) ..................... 4,767 113,216 0.36 Lubrizol Corp. ........... 2,235 105,738 0.34 Other Securities (a)...... 716,838 2.29 ----------- ------ 935,792 2.99 ----------- ------ COMMERCIAL BANKS Comerica, Inc. (a)........ 5,020 106,173 0.34 Regions Financial Corp. (a)..................... 36,071 145,727 0.47 SunTrust Banks, Inc. (a).. 15,202 250,073 0.80 Other Securities (a)...... 924,527 2.95 ----------- ------ 1,426,500 4.56 ----------- ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)...... 556,850 1.78 ----------- ------ COMMUNICATIONS EQUIPMENT Brocade Communications Systems, Inc. (b)....... 12,857 100,542 0.32 Other Securities (a)...... 272,505 0.87 ----------- ------ 373,047 1.19 ----------- ------ COMPUTERS & PERIPHERALS SanDisk Corp. (a)(b)...... 7,472 109,764 0.35 Seagate Technology (a).... 15,965 166,994 0.53 Teradata Corp. (b)........ 5,672 132,895 0.43 Other Securities.......... 209,502 0.67 ----------- ------ 619,155 1.98 ----------- ------ CONSTRUCTION & ENGINEERING Aecom Technology Corp. (b)..................... 3,165 101,280 0.32 KBR, Inc. ................ 5,368 98,986 0.32 URS Corp. (b)............. 2,750 136,180 0.44 Other Securities (a)...... 173,790 0.55 ----------- ------ 510,236 1.63 ----------- ------ CONTAINERS & PACKAGING Owens-Illinois, Inc. (b).. 5,492 153,831 0.49 Other Securities (a)...... 620,737 1.99 ----------- ------ 774,568 2.48 ----------- ------ DISTRIBUTORS Other Securities (a)...... 75,736 0.24 ----------- ------ DIVERSIFIED CONSUMER SERVICES Strayer Education, Inc. (a)..................... 466 101,639 0.32 Other Securities.......... 302,139 0.97 ----------- ------ 403,778 1.29 ----------- ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a)...... 81,190 0.26 ----------- ------ DIVERSIFIED TELECOMMUNICATION SERVICES CenturyTel, Inc. (a)...... 9,789 300,522 0.96 Other Securities (a)...... 218,282 0.70 ----------- ------ 518,804 1.66 ----------- ------ ELECTRIC UTILITIES Other Securities (a)...... 575,656 1.84 ----------- ------ ELECTRICAL EQUIPMENT Other Securities (a)...... 241,132 0.77 ----------- ------ ELECTRONIC EQUIPMENT INSTRUMENTS & COMPONENTS Other Securities (a)...... 627,251 2.01 ----------- ------ ENERGY EQUIPMENT & SERVICES Helmerich & Payne, Inc. (a)..................... 3,177 98,074 0.31 Other Securities (a)...... 526,512 1.69 ----------- ------ 624,586 2.00 ----------- ------ FOOD & STAPLES RETAILING Other Securities (a)...... 178,640 0.57 ----------- ------ FOOD PRODUCTS Other Securities (a)...... 321,450 1.03 ----------- ------ GAS UTILITIES Other Securities (a)...... 832,887 2.67 ----------- ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a)...... 682,494 2.18 ----------- ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a)...... 864,206 2.77 ----------- ------ HEALTH CARE TECHNOLOGY Other Securities (a)...... 147,086 0.47 ----------- ------ HOTELS, RESTAURANTS & LEISURE Las Vegas Sands Corp. (a)(b).................. 14,374 112,980 0.36 Starwood Hotels & Resorts Worldwide, Inc. (a)..... 5,674 125,963 0.40 Other Securities (a)...... 750,668 2.41 ----------- ------ 989,611 3.17 ----------- ------
See accompanying notes to financial statements. 120 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOUSEHOLD DURABLES Whirlpool Corp. (a)....... 2,443 $ 103,974 0.33% Other Securities (a)...... 725,546 2.32 ----------- ------ 829,520 2.65 ----------- ------ HOUSEHOLD PRODUCTS Energizer Holdings, Inc. (a)(b).................. 2,249 117,488 0.38 ----------- ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)...... 193,930 0.62 ----------- ------ INDUSTRIAL CONGLOMERATES Other Securities (a)...... 154,233 0.49 ----------- ------ INSURANCE Torchmark Corp. (a)....... 2,750 101,860 0.33 XL Capital, Ltd. (Class A) (a)..................... 11,270 129,154 0.41 Other Securities (a)...... 1,465,956 4.69 ----------- ------ 1,696,970 5.43 ----------- ------ INTERNET & CATALOG RETAIL Expedia, Inc. (a)(b)...... 6,888 104,078 0.33 Liberty Media Corp - Interactive (Class A) (a)(b).................. 19,737 98,882 0.32 Other Securities (a)...... 62,341 0.20 ----------- ------ 265,301 0.85 ----------- ------ INTERNET SOFTWARE & SERVICES Other Securities (a)...... 158,884 0.51 ----------- ------ IT SERVICES Global Payments, Inc. .... 2,652 99,344 0.32 Other Securities (a)...... 679,082 2.17 ----------- ------ 778,426 2.49 ----------- ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a)...... 24,757 0.08 ----------- ------ LIFE SCIENCES TOOLS & SERVICES Covance, Inc. (a)(b)...... 2,119 104,255 0.33 Other Securities.......... 269,949 0.87 ----------- ------ 374,204 1.20 ----------- ------ MACHINERY Joy Global, Inc. (a)...... 3,364 120,162 0.38 Other Securities (a)...... 965,813 3.09 ----------- ------ 1,085,975 3.47 ----------- ------ MARINE Other Securities (a)...... 56,268 0.18 ----------- ------ MEDIA Other Securities (a)...... 444,887 1.42 ----------- ------ METALS & MINING Allegheny Technologies, Inc. (a)................ 3,049 106,501 0.34 Cliffs Natural Resources, Inc. (a)................ 4,272 104,536 0.34 Steel Dynamics, Inc. (a).. 6,874 101,254 0.32 Other Securities (a)...... 281,397 0.90 ----------- ------ 593,688 1.90 ----------- ------ MULTI-UTILITIES NiSource, Inc. (a)........ 9,103 106,141 0.34 Other Securities (a)...... 321,111 1.03 ----------- ------ 427,252 1.37 ----------- ------ MULTILINE RETAIL Nordstrom, Inc. (a)....... 5,597 111,324 0.36 Other Securities (a)...... 57,854 0.18 ----------- ------ 169,178 0.54 ----------- ------ OFFICE ELECTRONICS Other Securities (a)...... 46,539 0.15 ----------- ------ OIL, GAS & CONSUMABLE FUELS Cabot Oil & Gas Corp. .... 3,413 104,574 0.34 Newfield Exploration Co. (b)..................... 4,337 141,690 0.45 Plains Exploration & Production Co. (a)(b)... 3,972 108,674 0.35 Other Securities (a)...... 1,664,086 5.32 ----------- ------ 2,019,024 6.46 ----------- ------ PAPER & FOREST PRODUCTS Other Securities (a)...... 87,958 0.28 ----------- ------ PERSONAL PRODUCTS Other Securities (a)...... 182,180 0.58 ----------- ------ PHARMACEUTICALS Other Securities (a)...... 321,424 1.03 ----------- ------ PROFESSIONAL SERVICES Manpower, Inc. ........... 2,592 109,745 0.35 Robert Half International, Inc. (a)................ 5,032 118,856 0.38 Other Securities (a)...... 214,710 0.69 ----------- ------ 443,311 1.42 ----------- ------ REAL ESTATE INVESTMENT TRUSTS Federal Realty Investment Trust (a)............... 1,953 100,618 0.32 Host Hotels & Resorts, Inc. (a)................ 19,652 164,880 0.53 Kimco Realty Corp. (a).... 12,396 124,580 0.40 ProLogis (a).............. 14,579 117,507 0.38 Other Securities (a)...... 1,435,773 4.59 ----------- ------ 1,943,358 6.22 ----------- ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a)...... 134,372 0.43 ----------- ------ ROAD & RAIL Other Securities (a)...... 298,580 0.96 ----------- ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Lam Research Corp. (a)(b).................. 4,154 108,004 0.35 LSI Logic Corp. (a)(b).... 21,435 97,743 0.31 Micron Technology, Inc. (a)(b).................. 27,594 139,626 0.45 Other Securities (a)...... 672,616 2.15 ----------- ------ 1,017,989 3.26 ----------- ------ SOFTWARE Other Securities (a)...... 1,032,466 3.30 ----------- ------ SPECIALTY RETAIL Limited Brands, Inc. (a).. 9,139 109,394 0.35 Tiffany & Co. (a)......... 4,122 104,534 0.33 Other Securities (a)...... 928,948 2.98 ----------- ------ 1,142,876 3.66 ----------- ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)...... 130,564 0.42 ----------- ------
See accompanying notes to financial statements. 121 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)...... $ 85,776 0.27% ----------- ------ WATER UTILITIES Other Securities (a)...... 80,711 0.26 ----------- ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)...... 160,739 0.51 ----------- ------ TOTAL COMMON STOCKS -- (Cost $33,351,485)...... 31,216,021 99.85 ----------- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (c)(d).. 9,024,333 9,024,333 28.87 STIC Prime Portfolio...... 221,425 221,425 0.71 ----------- ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $9,245,758)....... 9,245,758 29.58 ----------- ------ TOTAL INVESTMENTS (E) (Cost $42,597,243)...... 40,461,779 129.43 OTHER ASSETS AND LIABILITIES............. (9,201,493) (29.43) ----------- ------ NET ASSETS................ $31,260,286 100.00 =========== ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 122 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)..... $ 330,305 0.77% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities......... 101,038 0.24 ------------ ------ AIRLINES Other Securities (a)..... 196,731 0.46 ------------ ------ AUTO COMPONENTS BorgWarner, Inc. (a)..... 10,355 353,623 0.82 The Goodyear Tire & Rubber Co. (a)(b)...... 21,397 240,930 0.56 Other Securities (a)..... 141,683 0.33 ------------ ------ 736,236 1.71 ------------ ------ BIOTECHNOLOGY Other Securities (a)..... 1,165,623 2.71 ------------ ------ CAPITAL MARKETS Eaton Vance Corp. (a).... 10,423 278,815 0.65 SEI Investments Co. ..... 13,875 250,305 0.58 Other Securities (a)..... 998,557 2.33 ------------ ------ 1,527,677 3.56 ------------ ------ CHEMICALS Celanese Corp. (Series A)..................... 12,772 303,335 0.71 Other Securities (a)..... 697,209 1.62 ------------ ------ 1,000,544 2.33 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)..... 902,809 2.10 ------------ ------ COMMUNICATIONS EQUIPMENT Brocade Communications Systems, Inc. (b)...... 34,454 269,430 0.63 F5 Networks, Inc. (a)(b)................. 6,962 240,816 0.56 Other Securities (a)..... 489,158 1.14 ------------ ------ 999,404 2.33 ------------ ------ COMPUTERS & PERIPHERALS SanDisk Corp. (a)(b)..... 20,297 298,163 0.69 Teradata Corp. (b)....... 15,329 359,159 0.84 Other Securities......... 300,654 0.70 ------------ ------ 957,976 2.23 ------------ ------ CONSTRUCTION & ENGINEERING Aecom Technology Corp. (a)(b)................. 8,481 271,392 0.63 KBR, Inc. ............... 14,467 266,772 0.62 Other Securities (a)..... 242,900 0.57 ------------ ------ 781,064 1.82 ------------ ------ CONTAINERS & PACKAGING Pactiv Corp. (a)(b)...... 11,803 256,125 0.60 Sealed Air Corp. (a)..... 14,039 259,020 0.60 ------------ ------ 515,145 1.20 ------------ ------ DISTRIBUTORS Other Securities (a)..... 205,115 0.48 ------------ ------ DIVERSIFIED CONSUMER SERVICES Strayer Education, Inc. (a).................... 1,243 271,111 0.63 Other Securities (a)..... 609,745 1.42 ------------ ------ 880,856 2.05 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a)..... 217,614 0.51 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a)..... 389,481 0.91 ------------ ------ ELECTRIC UTILITIES Other Securities (a)..... 197,543 0.46 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a)..... 160,825 0.37 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)..... 1,279,298 2.98 ------------ ------ ENERGY EQUIPMENT & SERVICES Helmerich & Payne, Inc. (a).................... 8,515 262,858 0.61 Other Securities (a)..... 1,095,216 2.55 ------------ ------ 1,358,074 3.16 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a)..... 234,764 0.55 ------------ ------ FOOD PRODUCTS Other Securities (a)..... 168,408 0.39 ------------ ------ GAS UTILITIES Energen Corp. ........... 6,487 258,831 0.61 Other Securities......... 22,575 0.05 ------------ ------ 281,406 0.66 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES IDEXX Laboratories, Inc. (a)(b)................. 5,268 243,382 0.57 Other Securities (a)..... 1,053,904 2.45 ------------ ------ 1,297,286 3.02 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Coventry Health Care, Inc. (b)............... 13,217 247,290 0.57 Other Securities (a)..... 1,480,502 3.45 ------------ ------ 1,727,792 4.02 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a)..... 393,861 0.92 ------------ ------ HOTELS, RESTAURANTS & LEISURE Las Vegas Sands Corp. (a)(b)................. 38,472 302,390 0.70 Wynn Resorts, Ltd. (a)(b)................. 6,831 241,134 0.56 Other Securities (a)..... 1,287,744 3.00 ------------ ------ 1,831,268 4.26 ------------ ------ HOUSEHOLD DURABLES Other Securities (a)..... 168,997 0.39 ------------ ------ HOUSEHOLD PRODUCTS Energizer Holdings, Inc. (a)(b)................. 6,051 316,104 0.74 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)..... 525,240 1.22 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (a)..... 31,416 0.07 ------------ ------
See accompanying notes to financial statements. 123 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ INSURANCE Other Securities (a)..... $ 200,197 0.47% ------------ ------ INTERNET & CATALOG RETAIL Expedia, Inc. (a)(b)..... 18,675 282,179 0.66 Liberty Media Corp - Interactive (Class A) (a)(b)................. 52,881 264,934 0.61 Other Securities (a)..... 167,096 0.39 ------------ ------ 714,209 1.66 ------------ ------ INTERNET SOFTWARE & SERVICES Equinix, Inc. (a)(b)..... 3,363 244,625 0.57 Other Securities (a)..... 180,648 0.42 ------------ ------ 425,273 0.99 ------------ ------ IT SERVICES Global Payments, Inc. ... 7,145 267,652 0.62 Total System Services, Inc.................... 17,543 234,901 0.55 Other Securities (a)..... 1,241,706 2.89 ------------ ------ 1,744,259 4.06 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Covance, Inc. (a)(b)..... 5,710 280,932 0.66 Other Securities (a)..... 589,755 1.37 ------------ ------ 870,687 2.03 ------------ ------ MACHINERY AGCO Corp. (a)(b)........ 8,175 237,647 0.55 Joy Global, Inc. (a)..... 9,077 324,230 0.76 Navistar International Corp. (a)(b)........... 5,600 244,160 0.57 Other Securities (a)..... 1,153,784 2.68 ------------ ------ 1,959,821 4.56 ------------ ------ MARINE Other Securities......... 153,641 0.36 ------------ ------ MEDIA Other Securities......... 687,376 1.60 ------------ ------ METALS & MINING Allegheny Technologies, Inc. (a)............... 8,178 285,658 0.67 Cliffs Natural Resources, Inc. .................. 11,486 281,062 0.65 Steel Dynamics, Inc. (a).................... 18,511 272,667 0.64 Other Securities......... 600,360 1.39 ------------ ------ 1,439,747 3.35 ------------ ------ MULTILINE RETAIL Nordstrom, Inc. (a)...... 15,011 298,569 0.70 ------------ ------ OFFICE ELECTRONICS Other Securities......... 124,026 0.29 ------------ ------ OIL, GAS & CONSUMABLE FUELS Cabot Oil & Gas Corp. ... 9,137 279,958 0.65 Plains Exploration & Production Co. (a)(b).. 10,686 292,369 0.68 Other Securities......... 2,037,644 4.75 ------------ ------ 2,609,971 6.08 ------------ ------ PERSONAL PRODUCTS Other Securities......... 289,352 0.67 ------------ ------ PHARMACEUTICALS Other Securities......... 656,074 1.53 ------------ ------ PROFESSIONAL SERVICES Manpower, Inc. (a)....... 6,981 295,576 0.69 Robert Half International, Inc. (a).................... 13,558 320,240 0.75 Other Securities......... 580,874 1.35 ------------ ------ 1,196,690 2.79 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities......... 372,753 0.87 ------------ ------ ROAD & RAIL Other Securities......... 455,409 1.06 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Lam Research Corp. (a)(b)................. 11,082 288,132 0.67 LSI Logic Corp. (a)(b)... 57,490 262,154 0.61 Micron Technology, Inc. (a)(b)................. 74,583 377,390 0.88 National Semiconductor Corp. (a).............. 20,459 256,761 0.60 ON Semiconductor Corp. (a)(b)................. 37,482 257,127 0.60 Other Securities......... 1,297,557 3.02 ------------ ------ 2,739,121 6.38 ------------ ------ SOFTWARE Ansys, Inc. (a)(b)....... 7,821 243,702 0.57 Nuance Communications, Inc. (a)(b)............ 19,478 235,489 0.55 Other Securities......... 1,758,540 4.09 ------------ ------ 2,237,731 5.21 ------------ ------ SPECIALTY RETAIL CarMax, Inc. (a)(b)...... 17,593 258,617 0.60 PetSmart, Inc. (a)....... 11,335 243,249 0.57 Tiffany & Co. (a)........ 11,087 281,166 0.65 Urban Outfitters, Inc. (a)(b)................. 11,739 244,993 0.57 Other Securities......... 1,151,983 2.69 ------------ ------ 2,180,008 5.08 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)..... 101,833 0.24 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)..... 135,321 0.32 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES SBA Communications Corp. (Class A) (a)(b)....... 10,383 254,799 0.59 Other Securities (a)..... 178,941 0.42 ------------ ------ 433,740 1.01 ------------ ------ TOTAL COMMON STOCKS -- (Cost $45,646,136)..... 42,905,708 99.92 ------------ ------
See accompanying notes to financial statements. 124 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (c)(d).............. 12,397,043 $ 12,397,043 28.87% STIC Prime Portfolio..... 88,922 88,922 0.21 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $12,485,965)..... 12,485,965 29.08 ------------ ------ TOTAL INVESTMENTS (E) (Cost $58,132,101)..... 55,391,673 129.00 OTHER ASSETS AND LIABILITIES............ (12,452,414) (29.00) ------------ ------ NET ASSETS............... $ 42,939,259 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 125 SPDR DOW JONES MID CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Alliant Techsystems, Inc. (a)(b).................. 637 $ 52,463 0.60% Other Securities (b)...... 41,563 0.47 ----------- ------ 94,026 1.07 ----------- ------ AIRLINES Other Securities (b)...... 34,099 0.39 ----------- ------ BEVERAGES Other Securities (b)...... 32,869 0.37 ----------- ------ BUILDING PRODUCTS Masco Corp. (b)........... 6,992 66,983 0.76 Other Securities (b)...... 53,696 0.61 ----------- ------ 120,679 1.37 ----------- ------ CAPITAL MARKETS Legg Mason, Inc. (b)...... 2,754 67,142 0.76 Other Securities (b)...... 145,145 1.65 ----------- ------ 212,287 2.41 ----------- ------ CHEMICALS Eastman Chemical Co. (b).. 1,331 50,445 0.57 International Flavors & Fragrances, Inc. (b).... 1,531 50,094 0.57 Lubrizol Corp. ........... 1,309 61,929 0.70 Other Securities (b)...... 166,545 1.89 ----------- ------ 329,013 3.73 ----------- ------ COMMERCIAL BANKS Comerica, Inc. (b)........ 2,938 62,139 0.70 Cullen/Frost Bankers, Inc. (b)..................... 1,093 50,409 0.57 First Horizon National Corp. (a)(b)............ 4,174 50,083 0.57 Regions Financial Corp. (b)..................... 21,272 85,939 0.97 SunTrust Banks, Inc. (b).. 8,951 147,244 1.67 Other Securities (b)...... 438,132 4.97 ----------- ------ 833,946 9.45 ----------- ------ COMMERCIAL SERVICES & SUPPLIES Avery Dennison Corp. (b).. 2,195 56,368 0.64 Other Securities (b)...... 71,927 0.81 ----------- ------ 128,295 1.45 ----------- ------ COMPUTERS & PERIPHERALS Seagate Technology (b).... 9,414 98,471 1.11 Other Securities (b)...... 57,136 0.65 ----------- ------ 155,607 1.76 ----------- ------ CONSTRUCTION & ENGINEERING URS Corp. (a)............. 1,623 80,371 0.91 Other Securities (b)...... 47,169 0.54 ----------- ------ 127,540 1.45 ----------- ------ CONTAINERS & PACKAGING Bemis Co., Inc. (b)....... 1,959 49,367 0.56 Owens-Illinois, Inc. (a).. 3,238 90,696 1.03 Other Securities (b)...... 200,674 2.27 ----------- ------ 340,737 3.86 ----------- ------ DIVERSIFIED CONSUMER SERVICES Other Securities (b)...... 43,922 0.50 ----------- ------ DIVERSIFIED TELECOMMUNICATION SERVICES CenturyTel, Inc. (b)...... 1,949 59,834 0.68 Other Securities ......... 42,740 0.48 ----------- ------ 102,574 1.16 ----------- ------ ELECTRIC UTILITIES DPL, Inc. (b)............. 2,259 52,341 0.59 NV Energy, Inc. .......... 4,554 49,138 0.56 Other Securities (b)...... 191,272 2.17 ----------- ------ 292,751 3.32 ----------- ------ ELECTRICAL EQUIPMENT Other Securities (b)...... 106,004 1.20 ----------- ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Ingram Micro, Inc. (Class A) (a)(b)............... 3,153 55,178 0.63 Other Securities (b)...... 32,261 0.36 ----------- ------ 87,439 0.99 ----------- ------ ENERGY EQUIPMENT & SERVICES Other Securities (b)...... 70,472 0.80 ----------- ------ FOOD & STAPLES RETAILING Other Securities (b)...... 52,852 0.60 ----------- ------ FOOD PRODUCTS Other Securities (b)...... 150,861 1.71 ----------- ------ GAS UTILITIES UGI Corp. ................ 2,097 53,453 0.60 Other Securities (b)...... 371,360 4.22 ----------- ------ 424,813 4.82 ----------- ------ HEALTH CARE EQUIPMENT & SUPPLIES Inverness Medical Innovations, Inc. (a)(b).................. 1,534 54,580 0.62 Other Securities (b)...... 61,250 0.69 ----------- ------ 115,830 1.31 ----------- ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (b)...... 128,974 1.46 ----------- ------ HOTELS, RESTAURANTS & LEISURE Starwood Hotels & Resorts Worldwide, Inc. (b)..... 3,348 74,326 0.84 Other Securities (b)...... 106,345 1.21 ----------- ------ 180,671 2.05 ----------- ------ HOUSEHOLD DURABLES Newell Rubbermaid, Inc. .. 5,432 56,547 0.64 NVR, Inc. (a)(b).......... 103 51,746 0.59 The Stanley Works (b)..... 1,525 51,606 0.58 Whirlpool Corp. (b)....... 1,430 60,861 0.69 Other Securities (b)...... 227,695 2.58 ----------- ------ 448,455 5.08 ----------- ------ INDUSTRIAL CONGLOMERATES Other Securities (b)...... 81,735 0.93 ----------- ------ INSURANCE American International Group, Inc. (b)......... 45,944 53,295 0.60 Assurant, Inc. (b)........ 2,296 55,311 0.63 Torchmark Corp. (b)....... 1,610 59,634 0.68
See accompanying notes to financial statements. 126 SPDR DOW JONES MID CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ XL Capital, Ltd. (Class A) (b)..................... 6,651 $ 76,220 0.86% Other Securities (b)...... 701,409 7.95 ----------- ------ 945,869 10.72 ----------- ------ IT SERVICES Lender Processing Services, Inc. ......... 1,847 51,291 0.58 Other Securities (b)...... 24,601 0.28 ----------- ------ 75,892 0.86 ----------- ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (b)...... 14,448 0.16 ----------- ------ LIFE SCIENCES TOOLS & SERVICES Other Securities.......... 28,230 0.32 ----------- ------ MACHINERY Other Securities (b)...... 208,167 2.36 ----------- ------ MEDIA Virgin Media, Inc. (b).... 5,695 53,248 0.60 Other Securities (b)...... 56,949 0.65 ----------- ------ 110,197 1.25 ----------- ------ METALS & MINING Other Securities (b)...... 34,609 0.39 ----------- ------ MULTI-UTILITIES CMS Energy Corp. (b)...... 4,389 53,019 0.60 NiSource, Inc. (b)........ 5,330 62,148 0.71 OGE Energy Corp. (b)...... 1,855 52,534 0.60 Other Securities (b)...... 82,745 0.93 ----------- ------ 250,446 2.84 ----------- ------ MULTILINE RETAIL Other Securities (b)...... 33,375 0.38 ----------- ------ OIL, GAS & CONSUMABLE FUELS Newfield Exploration Co. (a)..................... 2,558 83,570 0.95 Pioneer Natural Resources Co. .................... 2,219 56,584 0.64 TEPPCO Partners LP (b).... 1,659 49,538 0.56 Other Securities (b)...... 420,530 4.77 ----------- ------ 610,222 6.92 ----------- ------ PAPER & FOREST PRODUCTS MeadWestvaco Corp. (b).... 3,145 51,609 0.59 ----------- ------ PERSONAL PRODUCTS Other Securities (b)...... 42,850 0.49 ----------- ------ PHARMACEUTICALS Other Securities.......... 46,185 0.52 ----------- ------ REAL ESTATE INVESTMENT TRUSTS AMB Property Corp. (b).... 2,848 53,571 0.61 Federal Realty Investment Trust (b)............... 1,143 58,887 0.67 Host Hotels & Resorts, Inc. (b)................ 11,589 97,232 1.10 Kimco Realty Corp. (b).... 7,316 73,526 0.83 Nationwide Health Properties, Inc. (b).... 1,994 51,326 0.58 ProLogis (b).............. 8,606 69,364 0.78 Rayonier, Inc. (b)........ 1,526 55,470 0.63 Regency Centers Corp. (b)..................... 1,558 54,390 0.62 Other Securities (b)...... 542,651 6.15 ----------- ------ 1,056,417 11.97 ----------- ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (b)...... 77,875 0.88 ----------- ------ ROAD & RAIL Other Securities (b)...... 75,881 0.86 ----------- ------ SOFTWARE Synopsys, Inc. (a)........ 2,779 54,218 0.61 Other Securities (b)...... 62,560 0.71 ----------- ------ 116,778 1.32 ----------- ------ SPECIALTY RETAIL Limited Brands, Inc. (b).. 5,349 64,027 0.73 Other Securities (b)...... 128,610 1.45 ----------- ------ 192,637 2.18 ----------- ------ THRIFTS & MORTGAGE FINANCE Other Securities (b)...... 53,936 0.61 ----------- ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (b)...... 20,525 0.23 ----------- ------ WATER UTILITIES Other Securities (b)...... 46,808 0.53 ----------- ------ TOTAL COMMON STOCKS -- (Cost $10,499,080)...... 8,789,407 99.62 ----------- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (c)(d).. 2,551,586 2,551,586 28.92 STIC Prime Portfolio...... 92,156 92,156 1.04 ----------- ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $2,643,742)....... 2,643,742 29.96 ----------- ------ TOTAL INVESTMENTS (E) (Cost $13,142,822)...... 11,433,149 129.58 OTHER ASSETS AND LIABILITIES............. (2,609,660) (29.58) ----------- ------ NET ASSETS................ $ 8,823,489 100.00 =========== ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 127 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)...... $ 346,530 1.53% ----------- ------ AIR FREIGHT & LOGISTICS Other Securities (a)...... 62,904 0.28 ----------- ------ AIRLINES Other Securities (a)...... 129,348 0.57 ----------- ------ AUTO COMPONENTS Other Securities (a)...... 120,057 0.53 ----------- ------ AUTOMOBILES Other Securities (a)...... 20,247 0.09 ----------- ------ BEVERAGES Other Securities (a)...... 35,245 0.16 ----------- ------ BIOTECHNOLOGY Dendreon Corp. (a)(b)..... 2,476 61,529 0.27 United Therapeutics Corp. (a)(b).................. 506 42,165 0.19 Other Securities (a)...... 563,732 2.49 ----------- ------ 667,426 2.95 ----------- ------ BUILDING PRODUCTS Other Securities (a)...... 171,886 0.76 ----------- ------ CAPITAL MARKETS Janus Capital Group, Inc. (a)..................... 3,475 39,615 0.18 Teton Advisors, Inc. (b)(c).................. 1 2 0.00 Waddell & Reed Financial, Inc. (Class A).......... 1,898 50,050 0.22 Other Securities (a)...... 357,401 1.57 ----------- ------ 447,068 1.97 ----------- ------ CHEMICALS Ashland, Inc. (a)......... 1,425 39,971 0.18 Nalco Holding Co. ........ 2,985 50,267 0.22 RPM International, Inc. .. 2,793 39,214 0.17 Valspar Corp. ............ 2,016 45,420 0.20 Other Securities (a)...... 324,977 1.44 ----------- ------ 499,849 2.21 ----------- ------ COMMERCIAL BANKS Fifth Third Bancorp (a)... 12,528 88,949 0.39 First Horizon National Corp. (a)(b)............ 4,648 55,781 0.25 Huntington Bancshares, Inc. (a)................ 11,792 49,291 0.22 Other Securities (a)...... 1,196,886 5.28 ----------- ------ 1,390,907 6.14 ----------- ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)...... 432,819 1.91 ----------- ------ COMMUNICATIONS EQUIPMENT 3Com Corp. (b)............ 8,482 39,950 0.18 Brocade Communications Systems, Inc. (b)....... 8,302 64,922 0.29 CommScope, Inc. (a)(b).... 1,739 45,666 0.20 F5 Networks, Inc. (a)(b).. 1,704 58,941 0.26 Palm, Inc. (a)(b)......... 2,686 44,507 0.20 Tellabs, Inc. (a)(b)...... 7,896 45,244 0.20 Other Securities (a)...... 537,428 2.36 ----------- ------ 836,658 3.69 ----------- ------ COMPUTERS & PERIPHERALS Other Securities (a)...... 218,220 0.96 ----------- ------ CONSTRUCTION & ENGINEERING Other Securities (a)...... 155,133 0.69 ----------- ------ CONSTRUCTION MATERIALS Other Securities (a)...... 44,295 0.20 ----------- ------ CONSUMER FINANCE Other Securities (a)...... 87,910 0.39 ----------- ------ CONTAINERS & PACKAGING Other Securities (a)...... 162,137 0.72 ----------- ------ DISTRIBUTORS LKQ Corp. (a)(b).......... 3,032 49,876 0.22 Other Securities (a)...... 8,448 0.04 ----------- ------ 58,324 0.26 ----------- ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)...... 281,137 1.24 ----------- ------ DIVERSIFIED FINANCIAL SERVICES MSCI, Inc. (Class A) (a)(b).................. 2,170 53,035 0.24 Other Securities (a)...... 104,777 0.46 ----------- ------ 157,812 0.70 ----------- ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a)...... 164,779 0.73 ----------- ------ ELECTRIC UTILITIES Great Plains Energy, Inc. ................... 2,897 45,048 0.20 Other Securities (a)...... 230,447 1.02 ----------- ------ 275,495 1.22 ----------- ------ ELECTRICAL EQUIPMENT General Cable Corp. (a)(b).................. 1,126 42,315 0.19 Other Securities (a)...... 369,887 1.63 ----------- ------ 412,202 1.82 ----------- ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)...... 433,111 1.91 ----------- ------ ENERGY EQUIPMENT & SERVICES Dresser-Rand Group, Inc. (b)..................... 1,777 46,380 0.21 Oceaneering International, Inc. (b)................ 1,196 54,059 0.24 Other Securities (a)...... 410,995 1.81 ----------- ------ 511,434 2.26 ----------- ------ FOOD & STAPLES RETAILING Other Securities (a)...... 206,536 0.91 ----------- ------ FOOD PRODUCTS Corn Products International, Inc. (a)..................... 1,606 43,025 0.19 Del Monte Foods Co. ...... 4,323 40,550 0.18 Other Securities (a)...... 239,644 1.06 ----------- ------ 323,219 1.43 ----------- ------ GAS UTILITIES Other Securities (a)...... 279,414 1.23 ----------- ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a)...... 581,229 2.57 ----------- ------
See accompanying notes to financial statements. 128 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE PROVIDERS & SERVICES Pediatrix Medical Group, Inc. (a)(b)............. 989 $ 41,667 0.18% VCA Antech, Inc. (a)(b)... 1,836 49,021 0.22 Other Securities (a)...... 675,640 2.98 ----------- ------ 766,328 3.38 ----------- ------ HEALTH CARE TECHNOLOGY Other Securities (a)...... 111,965 0.49 ----------- ------ HOTELS, RESTAURANTS & LEISURE Chipotle Mexican Grill, Inc. (a)(b)............. 696 55,680 0.25 Wyndham Worldwide Corp. (a)..................... 3,839 46,529 0.21 Other Securities (a)...... 574,591 2.53 ----------- ------ 676,800 2.99 ----------- ------ HOUSEHOLD DURABLES Other Securities (a)...... 343,190 1.52 ----------- ------ HOUSEHOLD PRODUCTS Other Securities (a)...... 25,242 0.11 ----------- ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)...... 16,567 0.07 ----------- ------ INDUSTRIAL CONGLOMERATES Other Securities (a)...... 73,278 0.32 ----------- ------ INSURANCE Arthur J. Gallagher & Co. (a)..................... 2,129 45,433 0.20 Genworth Financial, Inc. (Class A) (a)........... 9,277 64,846 0.29 XL Capital, Ltd. (Class A) (a)..................... 7,300 83,658 0.37 Other Securities (a)...... 775,604 3.42 ----------- ------ 969,541 4.28 ----------- ------ INTERNET & CATALOG RETAIL Other Securities (a)...... 60,276 0.27 ----------- ------ INTERNET SOFTWARE & SERVICES Equinix, Inc. (a)(b)...... 823 59,865 0.26 Other Securities (a)...... 332,547 1.47 ----------- ------ 392,412 1.73 ----------- ------ IT SERVICES Other Securities (a)...... 403,417 1.78 ----------- ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a)...... 91,144 0.40 ----------- ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)...... 203,943 0.90 ----------- ------ MACHINERY Bucyrus International, Inc. (Class A).......... 1,643 46,924 0.21 IDEX Corp. (a)............ 1,750 42,998 0.19 Other Securities (a)...... 720,898 3.18 ----------- ------ 810,820 3.58 ----------- ------ MARINE Other Securities (a)...... 86,916 0.38 ----------- ------ MEDIA Other Securities (a)...... 299,430 1.32 ----------- ------ METALS & MINING AK Steel Holding Corp. ... 2,370 45,480 0.20 Commercial Metals Co. (a)..................... 2,436 39,049 0.17 Walter Energy, Inc. (a)... 1,147 41,567 0.18 Other Securities (a)...... 228,030 1.01 ----------- ------ 354,126 1.56 ----------- ------ MULTI-UTILITIES Other Securities (a)...... 96,183 0.42 ----------- ------ MULTILINE RETAIL Other Securities (a)...... 83,269 0.37 ----------- ------ OFFICE ELECTRONICS Other Securities (a)...... 30,498 0.13 ----------- ------ OIL, GAS & CONSUMABLE FUELS Linn Energy LLC........... 2,446 47,868 0.21 Southern Union Co. (a).... 2,264 41,635 0.18 Other Securities (a)...... 1,128,449 4.99 ----------- ------ 1,217,952 5.38 ----------- ------ PAPER & FOREST PRODUCTS Other Securities (a)...... 66,049 0.29 ----------- ------ PERSONAL PRODUCTS Herbalife, Ltd. .......... 1,335 42,106 0.19 Other Securities (a)...... 108,848 0.48 ----------- ------ 150,954 0.67 ----------- ------ PHARMACEUTICALS Sepracor, Inc. (a)(b)..... 2,409 41,724 0.18 Other Securities (a)...... 225,595 1.00 ----------- ------ 267,319 1.18 ----------- ------ PROFESSIONAL SERVICES Other Securities (a)...... 238,370 1.05 ----------- ------ REAL ESTATE INVESTMENT TRUSTS Camden Property Trust (a)..................... 1,417 39,109 0.17 Chimera Investment Corp. (a)..................... 13,121 45,792 0.20 Duke Realty Corp. (a)..... 4,667 40,930 0.18 Senior Housing Properties Trust (a)............... 2,604 42,497 0.19 Other Securities (a)...... 1,294,331 5.72 ----------- ------ 1,462,659 6.46 ----------- ------ REAL ESTATE MANAGEMENT & DEVELOPMENT CB Richard Ellis Group, Inc. (Class A) (b)...... 4,900 45,864 0.20 Other Securities (a)...... 61,838 0.28 ----------- ------ 107,702 0.48 ----------- ------ ROAD & RAIL Landstar Systems, Inc. ... 1,121 40,255 0.18 Other Securities (a)...... 182,053 0.80 ----------- ------ 222,308 0.98 ----------- ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Other Securities (a)...... 818,356 3.61 ----------- ------ SOFTWARE MICROS Systems, Inc. (a)(b).................. 1,749 44,285 0.20 Other Securities (a)...... 819,571 3.61 ----------- ------ 863,856 3.81 ----------- ------
See accompanying notes to financial statements. 129 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SPECIALTY RETAIL Aeropostale, Inc. (a)(b).. 1,452 $ 49,760 0.22% Other Securities (a)...... 766,378 3.38 ----------- ------ 816,138 3.60 ----------- ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)...... 356,198 1.57 ----------- ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)...... 290,897 1.28 ----------- ------ TOBACCO Other Securities (a)...... 38,866 0.17 ----------- ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)...... 173,022 0.76 ----------- ------ TRANSPORTATION INFRASTRUCTURE Other Securities (a)...... 3,707 0.02 ----------- ------ WATER UTILITIES Other Securities (a)...... 43,391 0.19 ----------- ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)...... 60,339 0.27 ----------- ------ TOTAL COMMON STOCKS -- (Cost $27,393,885)...... 22,606,759 99.80 ----------- ------ WARRANTS COMMUNICATIONS EQUIPMENT Pegasus Wireless Corp. (expiring 12/18/09) (b)(c) (Cost $0)............... 97 0 0.00 ----------- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (d)(e).. 6,570,359 6,570,359 29.01 STIC Prime Portfolio...... 126,782 126,782 0.56 ----------- ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $6,697,141)....... 6,697,141 29.57 ----------- ------ TOTAL INVESTMENTS (F) (Cost $34,091,026)...... 29,303,900 129.37 OTHER ASSETS AND LIABILITIES............. (6,652,474) (29.37) ----------- ------ NET ASSETS................ $22,651,426 100.00 =========== ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Security is valued at fair value as determined in good faith by Trust's Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on inputs established by FAS 157. Teton Advisors, Inc.'s value is determined based on Level 3 inputs and Pegasus Wireless Corp.'s value is determined based on Level 2 inputs. (Note 2) (d) Investment of cash collateral for securities loaned. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 130 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)..... $ 2,064,051 2.19% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities (a)..... 489,471 0.52 ------------ ------ AIRLINES Other Securities (a)..... 656,630 0.70 ------------ ------ AUTO COMPONENTS Gentex Corp. (a)......... 23,850 276,660 0.29 Other Securities (a)..... 130,892 0.14 ------------ ------ 407,552 0.43 ------------ ------ AUTOMOBILES Other Securities (a)..... 121,407 0.13 ------------ ------ BEVERAGES Other Securities (a)..... 51,901 0.06 ------------ ------ BIOTECHNOLOGY Onyx Pharmaceuticals, Inc. (a)(b)............ 9,836 277,965 0.30 United Therapeutics Corp. (a)(b)................. 4,040 336,653 0.36 Other Securities (a)..... 4,013,022 4.26 ------------ ------ 4,627,640 4.92 ------------ ------ BUILDING PRODUCTS Other Securities (a)..... 272,712 0.29 ------------ ------ CAPITAL MARKETS Knight Capital Group, Inc. (Class A) (a)(b).. 16,075 274,079 0.29 Other Securities (a)..... 1,390,255 1.48 ------------ ------ 1,664,334 1.77 ------------ ------ CHEMICALS Nalco Holding Co. ....... 23,803 400,843 0.42 Other Securities (a)..... 630,018 0.68 ------------ ------ 1,030,861 1.10 ------------ ------ COMMERCIAL BANKS Other Securities (a)..... 820,008 0.87 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Tetra Tech, Inc. (b)..... 10,411 298,275 0.32 Other Securities (a)..... 1,546,361 1.64 ------------ ------ 1,844,636 1.96 ------------ ------ COMMUNICATIONS EQUIPMENT Brocade Communications Systems, Inc. (b)...... 66,774 522,173 0.55 CommScope, Inc. (a)(b)... 14,179 372,341 0.40 F5 Networks, Inc. (a)(b)................. 13,602 470,493 0.50 Palm, Inc. (a)(b)........ 22,113 366,412 0.39 Polycom, Inc. (a)(b)..... 14,358 291,037 0.31 Tellabs, Inc. (a)(b)..... 62,998 360,979 0.38 Other Securities (a)..... 3,527,955 3.75 ------------ ------ 5,911,390 6.28 ------------ ------ COMPUTERS & PERIPHERALS Other Securities (a)..... 1,172,641 1.25 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a)..... 591,758 0.63 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a)..... 190,259 0.20 ------------ ------ CONSUMER FINANCE Other Securities (a)..... 535,513 0.57 ------------ ------ CONTAINERS & PACKAGING Other Securities (a)..... 23,351 0.02 ------------ ------ DISTRIBUTORS LKQ Corp. (b)............ 24,154 397,333 0.42 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)..... 1,759,675 1.87 ------------ ------ DIVERSIFIED FINANCIAL SERVICES MSCI, Inc. (Class A) (a)(b)................. 17,406 425,403 0.45 Other Securities (a)..... 305,219 0.33 ------------ ------ 730,622 0.78 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a)..... 957,451 1.02 ------------ ------ ELECTRICAL EQUIPMENT General Cable Corp. (a)(b)................. 8,983 337,581 0.36 Other Securities (a)..... 1,216,239 1.29 ------------ ------ 1,553,820 1.65 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a)..... 2,155,497 2.29 ------------ ------ ENERGY EQUIPMENT & SERVICES Dresser-Rand Group, Inc. (b).................... 14,221 371,168 0.40 Oceaneering International, Inc. (b).................... 9,608 434,282 0.46 Other Securities (a)..... 2,741,098 2.91 ------------ ------ 3,546,548 3.77 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a)..... 553,640 0.59 ------------ ------ FOOD PRODUCTS Green Mountain Coffee Roasters, Inc. (a)(b).. 4,817 284,781 0.30 Other Securities (a)..... 523,953 0.56 ------------ ------ 808,734 0.86 ------------ ------ GAS UTILITIES Other Securities......... 43,150 0.05 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES NuVasive, Inc. (a)(b).... 6,304 281,158 0.30 Other Securities (a)..... 3,405,323 3.62 ------------ ------ 3,686,481 3.92 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Pediatrix Medical Group, Inc. (b)............... 7,966 335,608 0.36 VCA Antech, Inc. (a)(b).. 14,632 390,674 0.42 Other Securities (a)..... 3,553,732 3.77 ------------ ------ 4,280,014 4.55 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a)..... 905,570 0.96 ------------ ------
See accompanying notes to financial statements. 131 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOTELS, RESTAURANTS & LEISURE Bally Technologies, Inc. (a)(b)................. 9,427 $ 282,056 0.30% Chipotle Mexican Grill, Inc. (a)(b)............ 5,568 445,440 0.47 Wyndham Worldwide Corp. (a).................... 30,755 372,751 0.40 Other Securities (a)..... 2,423,868 2.58 ------------ ------ 3,524,115 3.75 ------------ ------ HOUSEHOLD DURABLES Jarden Corp. (a)(b)...... 15,179 284,606 0.30 Other Securities (a)..... 198,810 0.21 ------------ ------ 483,416 0.51 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a)..... 124,155 0.13 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (a)..... 141,185 0.15 ------------ ------ INSURANCE Other Securities (a)..... 808,028 0.86 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a)..... 482,561 0.51 ------------ ------ INTERNET SOFTWARE & SERVICES Equinix, Inc. (a)(b)..... 6,585 478,993 0.51 VistaPrint, Ltd. (a)(b).. 6,710 286,181 0.30 Other Securities (a)..... 2,306,564 2.45 ------------ ------ 3,071,738 3.26 ------------ ------ IT SERVICES NeuStar, Inc. (Class A) (a)(b)................. 12,500 277,000 0.29 Other Securities (a)..... 2,086,608 2.22 ------------ ------ 2,363,608 2.51 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a)..... 189,050 0.20 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)..... 1,003,190 1.07 ------------ ------ MACHINERY Bucyrus International, Inc. (Class A) (a)..... 12,947 369,766 0.39 Other Securities......... 3,067,420 3.26 ------------ ------ 3,437,186 3.65 ------------ ------ MARINE Kirby Corp. (a)(b)....... 9,266 294,566 0.31 Other Securities (a)..... 61,702 0.07 ------------ ------ 356,268 0.38 ------------ ------ MEDIA Sirius XM Radio, Inc. (a)(b)................. 667,751 287,133 0.31 Other Securities (a)..... 1,192,933 1.26 ------------ ------ 1,480,066 1.57 ------------ ------ METALS & MINING AK Steel Holding Corp. (a).................... 18,923 363,132 0.39 Royal Gold, Inc. (a)..... 7,035 293,360 0.31 Other Securities (a)..... 625,565 0.66 ------------ ------ 1,282,057 1.36 ------------ ------ MULTILINE RETAIL Other Securities (a)..... 178,581 0.19 ------------ ------ OFFICE ELECTRONICS Other Securities (a)..... 243,887 0.26 ------------ ------ OIL, GAS & CONSUMABLE FUELS Other Securities (a)..... 4,434,240 4.71 ------------ ------ PERSONAL PRODUCTS Herbalife, Ltd. ......... 10,647 335,807 0.36 Other Securities (a)..... 735,897 0.78 ------------ ------ 1,071,704 1.14 ------------ ------ PHARMACEUTICALS Sepracor, Inc. (a)(b).... 18,860 326,655 0.35 Valeant Pharmaceuticals International (a)(b)... 12,057 310,106 0.33 Other Securities (a)..... 1,418,147 1.50 ------------ ------ 2,054,908 2.18 ------------ ------ PROFESSIONAL SERVICES Other Securities (a)..... 1,767,119 1.88 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Corporate Office Properties Trust (a)... 9,940 291,540 0.31 Other Securities......... 889,670 0.95 ------------ ------ 1,181,210 1.26 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT CB Richard Ellis Group, Inc. (Class A) (a)(b).. 39,131 366,266 0.39 Other Securities (a)..... 53,272 0.06 ------------ ------ 419,538 0.45 ------------ ------ ROAD & RAIL Landstar Systems, Inc. .. 8,990 322,831 0.34 Other Securities (a)..... 715,694 0.76 ------------ ------ 1,038,525 1.10 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Novellus Systems, Inc. (b).................... 16,943 282,948 0.30 PMC-Sierra, Inc. (a)(b).. 37,605 299,336 0.32 Rambus, Inc. (a)(b)...... 18,206 282,011 0.30 Silicon Laboratories, Inc. (a)(b)............ 7,752 294,111 0.31 Skyworks Solutions, Inc. (a)(b)................. 28,880 282,446 0.30 Other Securities (a)..... 4,744,680 5.04 ------------ ------ 6,185,532 6.57 ------------ ------
See accompanying notes to financial statements. 132 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SOFTWARE Jack Henry & Associates, Inc. (a)............... 14,536 $ 301,622 0.32% Macrovision Solutions Corp. (a)(b)........... 14,232 310,400 0.33 MICROS Systems, Inc. (a)(b)................. 13,954 353,315 0.38 Solera Holdings, Inc. (b).................... 12,013 305,130 0.32 Other Securities (a)..... 4,730,177 5.03 ------------ ------ 6,000,644 6.38 ------------ ------ SPECIALTY RETAIL Aeropostale, Inc. (a)(b)................. 11,617 398,115 0.42 Chico's FAS, Inc. (a)(b)................. 30,502 296,784 0.32 Other Securities (a)..... 3,077,091 3.27 ------------ ------ 3,771,990 4.01 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)..... 1,567,529 1.67 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a)..... 479,629 0.51 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)..... 569,514 0.61 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)..... 423,013 0.45 ------------ ------ TOTAL COMMON STOCKS -- (Cost $119,866,435).... 93,988,836 99.90 ------------ ------ WARRANTS COMMUNICATIONS EQUIPMENT Pegasus Wireless Corp. (expiring 12/18/09) (b)(c) (Cost $0).............. 569 0 0 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (d)(e).............. 27,383,717 27,383,717 29.11 STIC Prime Portfolio..... 254,615 254,615 0.27 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $27,638,332)..... 27,638,332 29.38 ------------ ------ TOTAL INVESTMENTS (F) (Cost $147,504,767).... 121,627,168 129.28 OTHER ASSETS AND LIABILITIES............ (27,549,902) (29.28) ------------ ------ NET ASSETS............... $ 94,077,266 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund as of June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Security is valued at fair value as determined in good faith by Trust's Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs established under FAS 157. (Note 2) (d) Investments of cash collateral for securities loaned. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 133 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a)..... $ 561,231 0.80% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities......... 11,056 0.02 ------------ ------ AIRLINES Other Securities (a)..... 302,818 0.43 ------------ ------ AUTO COMPONENTS Other Securities (a)..... 460,978 0.66 ------------ ------ AUTOMOBILES Other Securities (a)..... 28,323 0.04 ------------ ------ BEVERAGES Other Securities (a)..... 191,133 0.27 ------------ ------ BIOTECHNOLOGY Dendreon Corp. (b)....... 15,796 392,530 0.56 Other Securities (a)..... 165,133 0.24 ------------ ------ 557,663 0.80 ------------ ------ BUILDING PRODUCTS Lennox International, Inc. (a)............... 7,193 230,967 0.33 Other Securities (a)..... 658,248 0.94 ------------ ------ 889,215 1.27 ------------ ------ CAPITAL MARKETS Janus Capital Group, Inc. (a).................... 22,197 253,045 0.36 Teton Advisors, Inc. (b)(c)................. 10 23 0.00(d) The Blackstone Group LP (a).................... 22,441 236,528 0.34 Waddell & Reed Financial, Inc. (Class A)......... 11,837 312,142 0.45 Other Securities (a)..... 732,811 1.05 ------------ ------ 1,534,549 2.20 ------------ ------ CHEMICALS Ashland, Inc. (a)........ 9,180 257,499 0.37 RPM International, Inc. .................. 17,833 250,375 0.36 Valspar Corp. ........... 12,874 290,051 0.41 Other Securities (a)..... 1,561,821 2.24 ------------ ------ 2,359,746 3.38 ------------ ------ COMMERCIAL BANKS Bank of Hawaii Corp. (a).................... 6,628 237,481 0.34 Fifth Third Bancorp (a).. 79,584 565,046 0.81 First Horizon National Corp. (b).............. 29,686 356,226 0.51 Huntington Bancshares, Inc. (a)............... 75,287 314,700 0.45 Valley National Bancorp (a).................... 19,558 228,829 0.33 Other Securities (a)..... 6,578,458 9.41 ------------ ------ 8,280,740 11.85 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a)..... 1,312,440 1.88 ------------ ------ COMMUNICATIONS EQUIPMENT 3Com Corp. (b)........... 53,564 252,286 0.36 Other Securities (a)..... 384,056 0.55 ------------ ------ 636,342 0.91 ------------ ------ COMPUTERS & PERIPHERALS Diebold, Inc. ........... 9,127 240,588 0.35 Other Securities (a)..... 203,746 0.29 ------------ ------ 444,334 0.64 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a)..... 520,606 0.75 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a)..... 121,364 0.17 ------------ ------ CONSUMER FINANCE Other Securities (a)..... 152,499 0.22 ------------ ------ CONTAINERS & PACKAGING Packaging Corp. of America................ 14,146 229,165 0.33 Other Securities (a)..... 778,216 1.11 ------------ ------ 1,007,381 1.44 ------------ ------ DISTRIBUTORS Other Securities (a).... 51,276 0.07 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a)..... 388,197 0.56 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a)..... 422,771 0.60 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a)..... 304,266 0.44 ------------ ------ ELECTRIC UTILITIES Great Plains Energy, Inc. (a).................... 18,494 287,582 0.41 Hawaiian Electric Industries, Inc. (a)... 12,676 241,605 0.35 Other Securities (a)..... 1,215,306 1.74 ------------ ------ 1,744,493 2.50 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a)..... 1,395,875 2.00 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Tech Data Corp. (b)...... 6,974 228,120 0.33 Other Securities (a)..... 830,451 1.18 ------------ ------ 1,058,571 1.51 ------------ ------ ENERGY EQUIPMENT & SERVICES Other Securities (a)..... 477,085 0.68 ------------ ------ FOOD & STAPLES RETAILING BJ's Wholesale Club, Inc. (a)(b)................. 7,566 243,852 0.35 Other Securities (a)..... 631,026 0.90 ------------ ------ 874,878 1.25 ------------ ------ FOOD PRODUCTS Corn Products International, Inc. (a).................... 10,255 274,732 0.39 Del Monte Foods Co. ..... 27,558 258,494 0.37 Other Securities (a)..... 864,096 1.24 ------------ ------ 1,397,322 2.00 ------------ ------ GAS UTILITIES Other Securities (a)..... 1,691,185 2.42 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a)..... 757,849 1.08 ------------ ------
See accompanying notes to financial statements. 134 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE PROVIDERS & SERVICES Owens & Minor, Inc. (a).. 5,636 $ 246,970 0.35% Other Securities (a)..... 1,266,039 1.82 ------------ ------ 1,513,009 2.17 ------------ ------ HOTELS, RESTAURANTS & LEISURE Brinker International, Inc. (a)............... 14,036 239,033 0.34 Other Securities (a)..... 1,294,505 1.85 ------------ ------ 1,533,538 2.19 ------------ ------ HOUSEHOLD DURABLES Snap-on, Inc. ........... 7,934 228,023 0.33 Tupperware Brands Corp. ................. 8,708 226,582 0.32 Other Securities (a)..... 1,337,589 1.91 ------------ ------ 1,792,194 2.56 ------------ ------ HOUSEHOLD PRODUCTS Other Securities (a)..... 150,280 0.22 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (a)..... 366,322 0.52 ------------ ------ INSURANCE Arthur J. Gallagher & Co. (a).................... 13,818 294,876 0.42 Aspen Insurance Holdings, Ltd. .................. 10,363 231,509 0.33 Genworth Financial, Inc. (Class A) (a).......... 59,908 418,757 0.60 XL Capital, Ltd. (Class A)..................... 47,413 543,353 0.78 Other Securities (a)..... 4,035,074 5.77 ------------ ------ 5,523,569 7.90 ------------ ------ INTERNET SOFTWARE & SERVICES Other Securities......... 75,431 0.11 ------------ ------ IT SERVICES Other Securities (a)..... 684,998 0.98 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a)..... 440,639 0.63 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a)..... 502,075 0.72 ------------ ------ MACHINERY IDEX Corp. (a)........... 11,131 273,489 0.39 Other Securities (a)..... 2,176,260 3.12 ------------ ------ 2,449,749 3.51 ------------ ------ MARINE Other Securities (a)..... 256,532 0.37 ------------ ------ MEDIA Other Securities (a)..... 749,816 1.07 ------------ ------ METALS & MINING Commercial Metals Co. (a).................... 15,552 249,299 0.36 Walter Energy, Inc. (a).. 7,310 264,914 0.38 Other Securities (a)..... 746,840 1.06 ------------ ------ 1,261,053 1.80 ------------ ------ MULTI-UTILITIES Other Securities (a)..... 587,244 0.84 ------------ ------ MULTILINE RETAIL Big Lots, Inc. (a)(b).... 11,410 239,952 0.35 Other Securities (a)..... 148,259 0.21 ------------ ------ 388,211 0.56 ------------ ------ OIL, GAS & CONSUMABLE FUELS Encore Acquisition Co. (a)(b)................. 7,371 227,395 0.32 Linn Energy LLC (a)...... 15,846 310,106 0.44 Massey Energy Co. (a).... 11,720 229,009 0.33 Southern Union Co. ...... 14,408 264,963 0.38 Other Securities (a)..... 3,239,015 4.64 ------------ ------ 4,270,488 6.11 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a)..... 435,184 0.62 ------------ ------ PERSONAL PRODUCTS Other Securities......... 107,406 0.15 ------------ ------ PHARMACEUTICALS Other Securities (a)..... 74,447 0.11 ------------ ------ PROFESSIONAL SERVICES Other Securities (a)..... 115,790 0.17 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Camden Property Trust (a).................... 9,030 249,228 0.36 Chimera Investment Corp. (a).................... 83,696 292,099 0.42 Duke Realty Corp. (a).... 30,939 271,335 0.39 Essex Property Trust, Inc. (a)............... 3,783 235,416 0.34 Mack-Cali Realty Corp. (a).................... 10,503 239,468 0.34 Senior Housing Properties Trust (a).............. 16,640 271,565 0.39 SL Green Realty Corp. (a).................... 10,178 233,483 0.33 Weingarten Realty Investors (a).......... 16,564 240,344 0.34 Other Securities (a)..... 6,417,739 9.18 ------------ ------ 8,450,677 12.09 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a)..... 360,117 0.52 ------------ ------ ROAD & RAIL Other Securities (a)..... 573,410 0.82 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Other Securities (a)..... 303,037 0.43 ------------ ------ SOFTWARE Compuware Corp. (b)...... 34,156 234,310 0.34 Other Securities (a)..... 498,028 0.71 ------------ ------ 732,338 1.05 ------------ ------ SPECIALTY RETAIL RadioShack Corp. (a)..... 17,333 241,969 0.35 Signet Jewelers, Ltd. ... 11,825 246,196 0.35 Other Securities (a)..... 1,762,299 2.52 ------------ ------ 2,250,464 3.22 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a)..... 1,052,853 1.51 ------------ ------
See accompanying notes to financial statements. 135 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ THRIFTS & MORTGAGE FINANCE First Niagara Financial Group, Inc. (a)........ 20,105 $ 229,599 0.33% Other Securities (a)..... 1,236,318 1.77 ------------ ------ 1,465,917 2.10 ------------ ------ TOBACCO Other Securities (a)..... 246,538 0.35 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a)..... 650,161 0.93 ------------ ------ TRANSPORTATION INFRASTRUCTURE Other Securities (a)..... 23,608 0.03 ------------ ------ WATER UTILITIES Other Securities (a)..... 279,796 0.40 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a)..... 41,853 0.06 ------------ ------ TOTAL COMMON STOCKS -- (Cost $99,621,079)..... 69,644,930 99.66 ------------ ------ RIGHTS HOUSEHOLD DURABLES Sealy Corp. (expiring 7/2/09) (a)(b) (Cost $19,066)......... 5,075 10,759 0.01 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (e)(f).............. 18,673,686 18,673,686 26.72 STIC Prime Portfolio..... 644,592 644,592 0.92 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $19,318,278)..... 19,318,278 27.64 ------------ ------ TOTAL INVESTMENTS (G) (Cost $118,958,423).... 88,973,967 127.31 OTHER ASSETS AND LIABILITIES............ (19,088,633) (27.31) ------------ ------ NET ASSETS............... $ 69,885,334 100.00 ============ ======
Other Securities are those securities, which individually, are not one of the 50 largest unaffiliated issuers and which represent less than one percent of the net assets of the Fund at June 30, 2009. (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Security is valued at fair value as determined in good faith by Trust's Pricing and investment Committee in accordance with procedures approved by the Board of Trustees. Security value determined based on Level 3 inputs established under FAS 157. (Note 2) (d) Amount represents less than 0.005% of net assets. (e) Investments in cash collateral for securities loaned. (f) Affiliated Fund managed by SSgA Funds Management, inc. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 136 SPDR DJ GLOBAL TITANS ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% AUSTRALIA -- 1.8% BHP Billiton Ltd. ADR (a)...... 23,345 $ 1,277,672 ----------- BRAZIL -- 1.0% Petroleo Brasileiro SA ADR..... 21,551 718,941 ----------- FINLAND -- 1.1% Nokia Oyj ADR.................. 52,117 759,866 ----------- FRANCE -- 5.5% BNP Paribas.................... 12,481 809,675 France Telecom SA ADR.......... 26,436 603,005 Sanofi-Aventis SA ADR.......... 29,232 862,052 Total SA ADR................... 29,246 1,586,010 ----------- 3,860,742 ----------- GERMANY -- 3.3% Allianz SE ADR................. 62,952 579,788 E.ON AG........................ 27,847 985,083 Siemens AG ADR................. 11,366 786,414 ----------- 2,351,285 ----------- ITALY -- 1.1% Eni SpA ADR.................... 16,956 803,884 ----------- JAPAN -- 3.6% Mitsubishi UFJ Financial Group, Inc. ADR (a)................. 160,982 988,429 Toyota Motor Corp. ADR (a)..... 20,730 1,565,737 ----------- 2,554,166 ----------- NETHERLANDS ANTILLES -- 1.3% Schlumberger, Ltd. ............ 16,590 897,685 ----------- SOUTH KOREA -- 1.1% Samsung Electronics Co., Ltd. GDR*......................... 3,415 796,549 ----------- SPAIN -- 3.8% Banco Santander SA ADR (a)..... 113,499 1,373,338 Telefonica SA ADR.............. 19,032 1,292,082 ----------- 2,665,420 ----------- SWITZERLAND -- 6.4% Nestle SA...................... 49,234 1,852,471 Novartis AG ADR................ 34,061 1,389,348 Roche Holding AG............... 9,778 1,327,949 ----------- 4,569,768 ----------- UNITED KINGDOM -- 11.3% BP PLC ADR (a)................. 43,532 2,075,606 GlaxoSmithKline PLC ADR (a).... 36,436 1,287,648 HSBC Holdings PLC ADR (a)...... 47,886 2,000,198 Royal Dutch Shell PLC ADR...... 24,682 1,238,790 Vodafone Group PLC ADR......... 73,489 1,432,301 ----------- 8,034,543 ----------- UNITED STATES -- 58.3% Abbott Laboratories............ 21,412 1,007,220 Apple, Inc. (b)................ 12,371 1,762,002 AT&T, Inc. .................... 82,678 2,053,721 Bank of America Corp. ......... 106,482 1,405,562 Chevron Corp. ................. 27,897 1,848,176 Cisco Systems, Inc. (b)........ 80,270 1,496,233 ConocoPhillips................. 18,118 762,043 Exxon Mobil Corp. ............. 68,771 4,807,781 General Electric Co. .......... 146,965 1,722,430 Google, Inc. (Class A) (b)..... 3,355 1,414,434 Hewlett-Packard Co. ........... 33,503 1,294,891 Intel Corp. ................... 77,404 1,281,036 International Business Machines Corp. ....................... 18,389 1,920,179 Johnson & Johnson.............. 38,491 2,186,289 JPMorgan Chase & Co. .......... 51,942 1,771,742 Merck & Co., Inc. ............. 29,422 822,639 Microsoft Corp. ............... 110,104 2,617,172 Oracle Corp. .................. 53,249 1,140,594 PepsiCo, Inc. ................. 21,787 1,197,414 Pfizer, Inc. .................. 93,812 1,407,180 Philip Morris International, Inc. ........................ 27,298 1,190,739 Procter & Gamble Co. .......... 40,788 2,084,267 The Coca-Cola Co. (a).......... 29,627 1,421,800 Verizon Communications, Inc. .. 39,802 1,223,115 Wal-Mart Stores, Inc. ......... 31,186 1,510,650 ----------- 41,349,309 ----------- TOTAL COMMON STOCKS -- (Cost $97,627,442)........... 70,639,830 ----------- SHORT TERM INVESTMENTS -- 9.1% MONEY MARKET FUND -- 9.1% State Street Navigator Securities Lending Prime Portfolio (c)(d)....... 5,673,841 5,673,841 STIC Prime Portfolio........... 761,705 761,705 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $6,435,546)............ 6,435,546 ----------- TOTAL INVESTMENTS -- 108.7% (E) (Cost $104,062,988).......... 77,075,376 OTHER ASSETS AND LIABILITIES -- (8.7)%........ (6,152,844) ----------- NET ASSETS -- 100.0%........... $70,922,532 ===========
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) ADR = American Depositary Receipt GDR = Global Depositary Receipt * Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 1.1% of net assets as of June 30, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. See accompanying notes to financial statements. 137 SPDR DOW JONES REIT ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% DIVERSIFIED REITS -- 8.6% Colonial Properties Trust (a)....................... 310,681 $ 2,299,039 Liberty Property Trust...... 675,667 15,567,368 PS Business Parks, Inc. (a)....................... 98,111 4,752,497 Vornado Realty Trust (a).... 1,053,510 47,439,555 Washington Real Estate Investment Trust (a)...... 372,848 8,340,610 -------------- 78,399,069 -------------- INDUSTRIAL REITS -- 6.2% AMB Property Corp. (a)...... 935,895 17,604,185 DCT Industrial Trust, Inc. (a)....................... 1,250,985 5,104,019 DuPont Fabros Technology, Inc. (a).................. 259,057 2,440,317 EastGroup Properties, Inc. (a)....................... 161,180 5,322,164 First Industrial Realty Trust, Inc. (a)........... 255,003 1,109,263 First Potomac Realty Trust.. 174,777 1,704,076 ProLogis (a)................ 2,832,889 22,833,085 -------------- 56,117,109 -------------- OFFICE REITS -- 17.2% Alexandria Real Estate Equities, Inc. (a)........ 252,032 9,020,225 BioMed Realty Trust, Inc. .. 616,620 6,308,023 Boston Properties, Inc. (a)....................... 872,321 41,609,712 Brandywine Realty Trust (a)....................... 791,140 5,893,993 Corporate Office Properties Trust (a)................. 367,257 10,771,648 Cousins Properties, Inc. (a)....................... 266,727 2,267,179 Digital Realty Trust, Inc. (a)....................... 448,375 16,074,244 Douglas Emmett, Inc. (a).... 777,378 6,988,628 Duke Realty Corp. (a)....... 1,432,617 12,564,051 Highwoods Properties, Inc. (a)....................... 447,513 10,010,866 HRPT Properties Trust....... 1,442,857 5,857,999 Kilroy Realty Corp. (a)..... 267,814 5,500,900 Mack-Cali Realty Corp. ..... 491,115 11,197,422 Parkway Properties, Inc. (a)....................... 137,404 1,786,252 SL Green Realty Corp. (a)... 473,918 10,871,679 -------------- 156,722,821 -------------- RESIDENTIAL REITS -- 16.2% American Campus Communities, Inc. (a).................. 337,336 7,482,113 Apartment Investment & Management Co. (Class A) (a)....................... 747,954 6,619,393 Avalonbay Communities, Inc. (a)....................... 508,466 28,443,588 BRE Properties, Inc. (a).... 327,276 7,776,078 Camden Property Trust....... 418,089 11,539,256 Education Realty Trust, Inc. (a)....................... 171,752 736,816 Equity Lifestyle Properties, Inc. (a).................. 148,863 5,534,726 Equity Residential.......... 1,752,675 38,961,965 Essex Property Trust, Inc. (a)....................... 175,754 10,937,171 Home Properties, Inc. (a)... 210,319 7,171,878 Mid-America Apartment Communities, Inc. (a)..... 180,466 6,624,907 Post Properties, Inc. (a)... 281,933 3,789,180 Sun Communities, Inc. (a)... 108,606 1,496,591 UDR, Inc. (a)............... 954,359 9,858,528 -------------- 146,972,190 -------------- RETAIL REITS -- 24.1% Acadia Realty Trust......... 253,497 3,308,136 Alexander's, Inc. (a)....... 16,853 4,543,569 CBL & Associates Properties, Inc. (a).................. 828,150 4,463,729 Cedar Shopping Centers, Inc. (a)....................... 287,776 1,300,748 Developers Diversified Realty Corp. (a).......... 872,183 4,256,253 Equity One, Inc. (a)........ 249,979 3,314,722 Federal Realty Investment Trust (a)................. 376,038 19,373,478 Inland Real Estate Corp. (a)....................... 461,157 3,228,099 Kimco Realty Corp. (a)...... 2,408,861 24,209,053 Kite Realty Group Trust..... 377,039 1,100,954 Pennsylvania Real Estate Investment Trust (a)...... 256,793 1,283,965 Ramco-Gershenson Properties Trust (a)................. 117,984 1,181,020 Regency Centers Corp. (a)... 512,217 17,881,495 Saul Centers, Inc. ......... 73,041 2,159,822 Simon Property Group, Inc. ..................... 1,777,470 91,415,282 Tanger Factory Outlet Centers, Inc. (a)......... 202,342 6,561,951 Taubman Centers, Inc. (a)... 336,761 9,045,400 The Macerich Co. (a)........ 500,435 8,812,660 Weingarten Realty Investors................. 765,548 11,108,101 -------------- 218,548,437 -------------- SPECIALIZED REITS -- 27.3% Ashford Hospitality Trust, Inc. (a).................. 610,369 1,715,137 DiamondRock Hospitality Co. (a)....................... 689,534 4,316,483 Extra Space Storage, Inc. (a)....................... 546,564 4,563,809 FelCor Lodging Trust, Inc. (a)....................... 413,545 1,017,321 HCP, Inc. (a)............... 1,744,106 36,957,606 Health Care REIT, Inc. ..... 708,802 24,170,148 Healthcare Realty Trust, Inc. (a).................. 376,518 6,336,798 Hersha Hospitality Trust.... 307,570 762,774 Hospitality Properties Trust (a)....................... 712,563 8,472,374 Host Hotels & Resorts, Inc. ..................... 3,818,725 32,039,103 LaSalle Hotel Properties (a)....................... 405,203 5,000,205 Nationwide Health Properties, Inc. ......... 655,129 16,863,020 Public Storage.............. 822,752 53,873,801 Senior Housing Properties Trust..................... 768,285 12,538,411 Sovran Self Storage, Inc. .. 141,220 3,474,012 Sunstone Hotel Investors, Inc. ..................... 459,467 2,458,148 U-Store-It Trust (a)........ 306,511 1,501,904 Universal Health Realty Income Trust.............. 70,180 2,212,074 Ventas, Inc. (a)............ 1,001,741 29,911,986 -------------- 248,185,114 -------------- TOTAL COMMON STOCKS -- (Cost $1,558,405,725)..... 904,944,740 --------------
See accompanying notes to financial statements. 138 SPDR DOW JONES REIT ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 23.4% MONEY MARKET FUNDS -- 23.4% State Street Navigator Securities Lending Prime Portfolio (b)(c).... 195,862,882 $ 195,862,882 STIC Prime Portfolio........ 16,782,630 16,782,630 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $212,645,512)....... 212,645,512 -------------- TOTAL INVESTMENTS -- 123.0% (D) (Cost $1,771,051,237)..... 1,117,590,252 OTHER ASSETS AND LIABILITIES -- (23.0)%.... (208,699,922) -------------- NET ASSETS -- 100.0%........ $ 908,890,330 ==============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Investments of cash collateral for securities loaned. (c) Affiliated fund managed by SSgA Funds Management, Inc. (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. 139 SPDR KBW BANK ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% ASSET MANAGEMENT & CUSTODY BANKS -- 12.9% Northern Trust Corp. ........ 444,956 $ 23,885,238 State Street Corp. (a)....... 726,963 34,312,654 The Bank of New York Mellon Corp. ..................... 1,643,660 48,175,674 -------------- 106,373,566 -------------- CONSUMER FINANCE -- 3.8% Capital One Financial Corp. (b)........................ 1,435,079 31,399,529 -------------- DIVERSIFIED BANKS -- 18.1% Comerica, Inc. (b)........... 1,267,456 26,806,694 U.S. Bancorp (b)............. 3,216,249 57,635,182 Wells Fargo & Co. ........... 2,632,333 63,860,399 -------------- 148,302,275 -------------- OTHER DIVERSIFIED FINANCIAL SERVICES -- 20.8% Bank of America Corp. (b).... 5,857,823 77,323,264 Citigroup, Inc. (b).......... 9,994,689 29,684,226 JPMorgan Chase & Co. ........ 1,873,711 63,912,282 -------------- 170,919,772 -------------- REGIONAL BANKS -- 41.6% BB&T Corp. (b)............... 1,684,906 37,034,234 Commerce Bancshares, Inc. (b)........................ 541,147 17,224,709 Cullen/Frost Bankers, Inc. (b)........................ 424,131 19,560,922 Fifth Third Bancorp (b)...... 5,173,990 36,735,329 Huntington Bancshares, Inc. (b)........................ 7,401,261 30,937,271 Keycorp (b).................. 4,435,448 23,241,747 M&T Bank Corp. (b)........... 672,647 34,257,912 Marshall & Ilsley Corp. (b).. 4,865,233 23,353,118 PNC Financial Services Group, Inc. ...................... 752,606 29,208,639 Regions Financial Corp. (b).. 7,689,715 31,066,449 SunTrust Banks, Inc. ........ 2,013,148 33,116,284 Synovus Financial Corp. (b).. 2,661,477 7,957,816 Zions Bancorp (b)............ 1,534,780 17,742,057 -------------- 341,436,487 -------------- THRIFTS & MORTGAGE FINANCE -- 2.6% People's United Financial, Inc. (b)................... 1,410,538 21,214,491 -------------- TOTAL COMMON STOCKS -- (Cost $1,328,589,508)............ 819,646,120 -------------- SHORT TERM INVESTMENTS -- 26.0% MONEY MARKET FUNDS -- 26.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)..... 207,065,428 207,065,428 STIC Prime Portfolio......... 6,805,803 6,805,803 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $213,871,231)........ 213,871,231 -------------- TOTAL INVESTMENTS -- 125.8% (E) (Cost $1,542,460,739).. 1,033,517,351 OTHER ASSETS AND LIABILITIES -- (25.8)%..... (211,823,749) -------------- NET ASSETS -- 100.0%......... $ 821,693,602 ==============
(a) Affiliated issuer. (Note 3) (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 140 SPDR KBW CAPITAL MARKETS ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% ASSET MANAGEMENT & CUSTODY BANKS -- 29.3% Franklin Resources, Inc. ...... 47,560 $ 3,424,796 Janus Capital Group, Inc. (a).. 271,696 3,097,334 Legg Mason, Inc. (a)........... 116,831 2,848,340 SEI Investments Co. ........... 196,485 3,544,589 State Street Corp. (b)......... 149,545 7,058,524 T. Rowe Price Group, Inc. (a).. 83,543 3,481,237 ----------- 23,454,820 ----------- INVESTMENT BANKING & BROKERAGE -- 51.8% Greenhill & Co., Inc. (a)...... 14,438 1,042,568 Investment Technology Group, Inc. (b)..................... 100,791 2,055,128 Jefferies Group, Inc. (b)...... 149,101 3,180,324 Knight Capital Group, Inc. (Class A) (a)(c)............. 142,435 2,428,517 Lazard, Ltd. (Class A) (a)..... 77,314 2,081,293 Morgan Stanley................. 248,806 7,093,459 optionsXpress Holdings, Inc. (a).......................... 177,304 2,753,531 Piper Jaffray Co., Inc. (b).... 23,059 1,006,987 Raymond James Financial, Inc. (a).......................... 149,304 2,569,522 Stifel Financial Corp. (a)(c).. 33,132 1,593,318 TD Ameritrade Holding Corp. (a)(c)....................... 176,105 3,088,882 The Charles Schwab Corp. ...... 300,923 5,278,189 The Goldman Sachs Group, Inc. ........................ 50,054 7,379,962 ----------- 41,551,680 ----------- SPECIALIZED FINANCE -- 18.8% CME Group, Inc. ............... 19,315 6,009,090 Interactive Brokers Group, Inc. (Class A) (b)................ 84,470 1,311,819 Intercontinental Exchange, Inc. (b).......................... 28,432 3,248,072 NYSE Euronext (a).............. 102,682 2,798,084 The Nasdaq OMX Group, Inc. (b).......................... 81,052 1,727,217 ----------- 15,094,282 ----------- TOTAL COMMON STOCKS -- (Cost $109,657,058).......... 80,100,782 ----------- SHORT TERM INVESTMENTS -- 11.9% MONEY MARKET FUNDS State Street Navigator Securities Lending Prime Portfolio (d)(e)....... 9,170,277 9,170,277 STIC Prime Portfolio........... 372,020 372,020 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $9,542,297)............ 9,542,297 ----------- TOTAL INVESTMENTS -- 111.8% (F) (Cost $119,199,355).......... 89,643,079 OTHER ASSETS AND LIABILITIES -- (11.8)%....... (9,454,712) ----------- NET ASSETS -- 100.0%........... $80,188,367 ===========
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Affiliated issuer. (Note 3) (c) Non-income producing security. (d) Investments of cash collateral for securities loaned. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 141 SPDR KBW INSURANCE ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% ASSET MANAGEMENT & CUSTODY BANKS -- 5.4% Ameriprise Financial, Inc. ... 309,134 $ 7,502,682 ------------ INSURANCE BROKERS -- 7.4% AON Corp. .................... 128,981 4,884,510 Marsh & McLennan Cos., Inc. .. 270,453 5,444,219 ------------ 10,328,729 ------------ LIFE & HEALTH INSURANCE -- 31.1% AFLAC, Inc. .................. 283,192 8,804,439 Lincoln National Corp. ....... 276,040 4,750,649 MetLife, Inc. ................ 351,712 10,554,877 Principal Financial Group, Inc. ....................... 283,427 5,339,765 Prudential Financial, Inc. ... 230,946 8,595,810 Unum Group.................... 333,794 5,293,973 ------------ 43,339,513 ------------ MULTI-LINE INSURANCE -- 10.1% Assurant, Inc. ............... 156,817 3,777,722 Genworth Financial, Inc. (Class A)................... 995,117 6,955,868 Hartford Financial Services Group, Inc. (a)............. 280,351 3,327,766 ------------ 14,061,356 ------------ PROPERTY & CASUALTY INSURANCE -- 37.5% Axis Capital Holdings, Ltd. (a)......................... 198,118 5,186,729 Chubb Corp. .................. 263,323 10,501,321 Cincinnati Financial Corp. ... 178,053 3,979,485 Fidelity National Financial, Inc. (Class A).............. 236,195 3,195,718 MBIA, Inc. (a)................ 446,494 1,933,319 The Allstate Corp. ........... 228,247 5,569,227 The Progressive Corp. ........ 354,502 5,356,525 The Travelers Cos., Inc. ..... 260,477 10,689,976 XL Capital, Ltd. (Class A) (a)......................... 500,801 5,739,180 ------------ 52,151,480 ------------ REINSURANCE -- 4.3% Arch Capital Group, Ltd. (b).. 32,602 1,909,825 Everest Re Group, Ltd. ....... 56,511 4,044,492 ------------ 5,954,317 ------------ THRIFTS & MORTGAGE FINANCE -- 3.9% MGIC Investment Corp. (a)..... 1,242,290 5,466,076 ------------ TOTAL COMMON STOCKS -- (Cost $158,639,893)......... 138,804,153 ------------ SHORT TERM INVESTMENTS -- 4.8% MONEY MARKET FUNDS -- 4.8% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 5,982,505 5,982,505 STIC Prime Portfolio.......... 720,900 720,900 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $6,703,405)........... 6,703,405 ------------ TOTAL INVESTMENTS -- 104.5% (E) (Cost $165,343,298)..... 145,507,558 OTHER ASSETS AND LIABILITIES -- (4.5)%....... (6,302,714) ------------ NET ASSETS -- 100.0%.......... $139,204,844 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 142 SPDR MORGAN STANLEY TECHNOLOGY ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 19.9% Cisco Systems, Inc. (a)....... 258,732 $ 4,822,764 Juniper Networks, Inc. (a)(b)...................... 255,437 6,028,313 Motorola, Inc. ............... 967,703 6,415,871 Nokia Oyj ADR (b)............. 274,432 4,001,219 QUALCOMM, Inc. ............... 122,893 5,554,764 Research In Motion, Ltd. (a).. 100,526 7,142,372 Telefonaktiebolaget LM Ericsson (Class B) ADR (b).. 554,206 5,420,135 ------------ 39,385,438 ------------ COMPUTERS & PERIPHERALS -- 21.8% Apple, Inc. (a)............... 47,841 6,813,994 Dell, Inc. (a)................ 388,340 5,331,908 EMC Corp. (a)................. 391,748 5,131,899 Hewlett-Packard Co. .......... 121,680 4,702,932 International Business Machines Corp. ............. 51,557 5,383,582 NetApp, Inc. (a).............. 316,673 6,244,791 Sun Microsystems, Inc. (a).... 1,035,160 9,544,175 ------------ 43,153,281 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.6% Flextronics International, Ltd. (a).................... 1,729,427 7,107,945 ------------ INTERNET & CATALOG RETAIL -- 3.5% Amazon.com, Inc. (a).......... 83,524 6,987,618 ------------ INTERNET SOFTWARE & SERVICES -- 8.2% eBay, Inc. (a)................ 297,988 5,104,534 Google, Inc. (Class A) (a).... 13,930 5,872,749 Yahoo!, Inc. (a)(b)........... 330,456 5,174,941 ------------ 16,152,224 ------------ IT SERVICES -- 7.4% Accenture, Ltd. (Class A)..... 133,652 4,471,996 Automatic Data Processing, Inc. ....................... 114,549 4,059,617 Infosys Technologies, Ltd. ADR (b)......................... 168,441 6,195,260 ------------ 14,726,873 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 16.7% Analog Devices, Inc. ......... 226,988 5,624,763 Applied Materials, Inc. ...... 425,073 4,663,051 Broadcom Corp. (Class A) (a).. 244,855 6,069,955 Intel Corp. .................. 297,518 4,923,923 NVIDIA Corp. (a)(b)........... 505,381 5,705,751 Texas Instruments, Inc. ...... 285,570 6,082,641 ------------ 33,070,084 ------------ SOFTWARE -- 18.8% Activision Blizzard, Inc. (a)......................... 453,236 5,724,371 Adobe Systems, Inc. (a)....... 194,582 5,506,670 Intuit, Inc. (a).............. 185,204 5,215,345 Microsoft Corp. .............. 225,217 5,353,408 Oracle Corp. ................. 242,236 5,188,695 Salesforce.com, Inc. (a)(b)... 133,351 5,090,008 SAP AG ADR.................... 124,871 5,018,565 ------------ 37,097,062 ------------ TOTAL COMMON STOCKS -- (Cost $239,642,935)......... 197,680,525 ------------ SHORT TERM INVESTMENTS -- 7.2% MONEY MARKET FUNDS -- 7.2% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 13,653,424 13,653,424 STIC Prime Portfolio.......... 579,972 579,972 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $14,233,396).......... 14,233,396 ------------ TOTAL INVESTMENTS -- 107.1% (E) (Cost $253,876,331)..... 211,913,921 OTHER ASSETS AND LIABILITIES -- (7.1)%....... (14,095,688) ------------ NET ASSETS -- 100.0%.......... $197,818,233 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investment of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) ADR = American Depositary Receipt See accompanying notes to financial statements. 143 SPDR S&P DIVIDEND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% AUTO COMPONENTS -- 1.2% Johnson Controls, Inc. (a).. 377,641 $ 8,202,363 ------------- BEVERAGES -- 3.2% PepsiCo, Inc. .............. 197,438 10,851,192 The Coca-Cola Co. (a)....... 211,443 10,147,150 ------------- 20,998,342 ------------- CAPITAL MARKETS -- 3.4% Eaton Vance Corp. (a)....... 246,291 6,588,284 Legg Mason, Inc. (a)........ 650,891 15,868,723 ------------- 22,457,007 ------------- CHEMICALS -- 5.8% Air Products & Chemicals, Inc. ..................... 127,562 8,239,229 PPG Industries, Inc. (a).... 331,659 14,559,830 RPM International, Inc. .... 1,079,291 15,153,246 ------------- 37,952,305 ------------- COMMERCIAL BANKS -- 7.6% BB&T Corp. (a).............. 391,608 8,607,544 M&T Bank Corp. (a).......... 360,042 18,336,939 National Penn Bancshares, Inc. (a).................. 1,876,712 8,651,642 Wilmington Trust Corp. (a).. 1,036,879 14,163,767 ------------- 49,759,892 ------------- COMMERCIAL SERVICES & SUPPLIES -- 7.0% ABM Industries, Inc. (a).... 526,659 9,516,728 Avery Dennison Corp. (a).... 660,948 16,973,145 Pitney Bowes, Inc. (a)...... 883,144 19,367,348 ------------- 45,857,221 ------------- COMPUTERS & PERIPHERALS -- 1.9% Diebold, Inc. .............. 483,564 12,746,747 ------------- CONTAINERS & PACKAGING -- 3.6% Bemis Co., Inc. (a)......... 439,203 11,067,916 Sonoco Products Co. ........ 537,160 12,864,982 ------------- 23,932,898 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.1% CenturyTel, Inc. (a)........ 673,349 20,671,814 ------------- ELECTRICAL EQUIPMENT -- 1.8% Emerson Electric Co. ....... 366,185 11,864,394 ------------- FOOD & STAPLES RETAILING -- 1.5% SUPERVALU, Inc. (a)......... 773,150 10,012,293 ------------- GAS UTILITIES -- 8.4% National Fuel Gas Co. (a)... 353,879 12,767,954 Northwest Natural Gas Co. (a)....................... 257,317 11,404,290 Piedmont Natural Gas Co., Inc. ..................... 629,338 15,173,339 WGL Holdings, Inc. (a)...... 495,938 15,879,935 ------------- 55,225,518 ------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% McDonald's Corp. ........... 177,449 10,201,543 ------------- HOUSEHOLD DURABLES -- 4.8% Leggett & Platt, Inc. (a)... 1,357,802 20,679,324 The Stanley Works........... 313,063 10,594,052 ------------- 31,273,376 ------------- HOUSEHOLD PRODUCTS -- 5.5% Kimberly-Clark Corp. ....... 276,530 14,498,468 Procter & Gamble Co. ....... 199,659 10,202,575 The Clorox Co. (a).......... 207,653 11,593,267 ------------- 36,294,310 ------------- INDUSTRIAL CONGLOMERATES -- 4.1% 3M Co. ..................... 183,661 11,038,026 Carlisle Cos., Inc. ........ 341,691 8,214,252 General Electric Co. ....... 686,717 8,048,323 ------------- 27,300,601 ------------- INSURANCE -- 4.7% Chubb Corp. ................ 268,565 10,710,372 Cincinnati Financial Corp. (a)....................... 896,240 20,030,964 ------------- 30,741,336 ------------- IT SERVICES -- 1.5% Automatic Data Processing, Inc. (a).................. 282,226 10,002,089 ------------- MACHINERY -- 1.4% Dover Corp. (a)............. 279,270 9,241,044 ------------- MEDIA -- 2.7% Gannett Co., Inc. (a)....... 2,490,561 8,891,303 The McGraw-Hill Cos., Inc. (a)....................... 304,741 9,175,751 ------------- 18,067,054 ------------- MULTI-UTILITIES -- 13.1% Black Hills Corp. (a)....... 918,786 21,122,890 Consolidated Edison, Inc. (a)....................... 582,815 21,808,937 Integrys Energy Group, Inc. (a)....................... 834,619 25,030,224 Vectren Corp. (a)........... 786,631 18,430,765 ------------- 86,392,816 ------------- PHARMACEUTICALS -- 8.2% Abbott Laboratories......... 247,395 11,637,461 Eli Lilly & Co. ............ 510,961 17,699,689 Johnson & Johnson........... 199,076 11,307,517 Pfizer, Inc. (a)............ 909,795 13,646,925 ------------- 54,291,592 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.9% V. F. Corp. (a)............. 221,487 12,259,305 ------------- WATER UTILITIES -- 1.6% American States Water Co. .. 294,364 10,196,769 ------------- TOTAL COMMON STOCKS -- (Cost $643,520,220)....... 655,942,629 ------------- SHORT TERM INVESTMENTS -- 25.2% MONEY MARKET FUNDS -- 25.2% State Street Navigator Securities Lending Prime Portfolio (b)(c).......... 157,934,201 157,934,201 STIC Prime Portfolio........ 8,155,867 8,155,867 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $166,090,068)....... 166,090,068 ------------- TOTAL INVESTMENTS -- 124.8% (D) (Cost $809,610,288)....... 822,032,697 OTHER ASSETS AND LIABILITIES -- (24.8)%.... (163,377,532) ------------- NET ASSETS -- 100.0%........ $ 658,655,165 =============
See accompanying notes to financial statements. 144 SPDR S&P DIVIDEND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Investments of cash collateral for securities loaned. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 145 SPDR S&P BIOTECH ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 99.9% Acorda Therapeutics, Inc. (a)(b)...................... 645,962 $ 18,209,669 Alexion Pharmaceuticals, Inc. (a)(b)...................... 419,709 17,258,434 Alkermes, Inc. (b)............ 1,777,164 19,228,914 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 730,671 16,272,043 Amgen, Inc. (b)............... 327,171 17,320,433 Amylin Pharmaceuticals, Inc. (a)(b)...................... 1,382,367 18,661,954 Biogen Idec, Inc. (a)(b)...... 320,794 14,483,849 BioMarin Pharmaceutical, Inc. (a)(b)...................... 1,115,836 17,418,200 Celera Corp. (a)(b)........... 2,077,018 15,847,647 Celgene Corp. (b)............. 381,481 18,250,051 Cephalon, Inc. (a)(b)......... 292,253 16,556,132 Cubist Pharmaceuticals, Inc. (b)......................... 953,245 17,472,981 Dendreon Corp. (b)............ 644,183 16,007,948 Genzyme Corp. (b)............. 280,627 15,622,505 Gilead Sciences, Inc. (b)..... 366,984 17,189,531 Isis Pharmaceuticals, Inc. (a)(b)...................... 1,079,311 17,808,632 Martek Biosciences Corp. (a).. 727,513 15,386,900 Medarex, Inc. (b)............. 2,265,369 18,915,831 Myriad Genetics, Inc. (a)(b).. 455,132 16,225,456 Onyx Pharmaceuticals, Inc. (a)(b)...................... 631,140 17,836,016 OSI Pharmaceuticals, Inc. (a)(b)...................... 562,086 15,867,688 Regeneron Pharmaceuticals, Inc. (a)(b)................. 1,008,009 18,063,521 Theravance, Inc. (a)(b)....... 1,177,981 17,245,642 United Therapeutics Corp. (a)(b)...................... 194,250 16,186,853 Vertex Pharmaceuticals, Inc. (a)(b)...................... 523,084 18,642,714 ------------- TOTAL COMMON STOCKS -- (Cost $477,085,795)......... 427,979,544 ------------- SHORT TERM INVESTMENTS -- 25.5% MONEY MARKET FUNDS -- 25.5% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 109,293,810 109,293,810 STIC Prime Portfolio.......... 100 100 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $109,293,910)......... 109,293,910 ------------- TOTAL INVESTMENTS -- 125.4% (E) (Cost $586,379,705)..... 537,273,454 OTHER ASSETS AND LIABILITIES -- (25.4)%...... (108,765,510) ------------- NET ASSETS -- 100.0%.......... $ 428,507,944 =============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 146 SPDR S&P HOMEBUILDERS ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% BUILDING PRODUCTS -- 23.5% Lennox International, Inc. ... 656,790 $ 21,089,527 Masco Corp. (a)............... 2,231,027 21,373,239 Owens Corning, Inc. (a)(b).... 1,855,438 23,712,497 Simpson Manufacturing Co., Inc. (a).................... 937,522 20,269,226 Universal Forest Products, Inc. (a).................... 754,356 24,961,640 USG Corp. (a)(b).............. 1,893,443 19,066,971 ------------- 130,473,100 ------------- HOME FURNISHINGS -- 11.9% Leggett & Platt, Inc. (a)..... 1,429,304 21,768,300 Mohawk Industries, Inc. (a)(b)...................... 545,626 19,467,935 Tempur-Pedic International, Inc. ....................... 1,933,139 25,266,127 ------------- 66,502,362 ------------- HOME FURNISHING RETAIL -- 11.7% Aaron's, Inc. (a)............. 686,371 20,467,583 Bed Bath & Beyond, Inc. (a)(b)...................... 780,661 24,005,326 Williams-Sonoma, Inc. (a)..... 1,733,542 20,577,143 ------------- 65,050,052 ------------- HOME IMPROVEMENT RETAIL -- 11.7% Lowe's Cos., Inc. ............ 1,116,104 21,663,578 The Home Depot, Inc. ......... 917,300 21,675,799 The Sherwin-Williams Co. (a).. 402,021 21,608,629 ------------- 64,948,006 ------------- HOMEBUILDING -- 41.0% Centex Corp. (a).............. 2,612,468 22,101,479 D.R. Horton, Inc. (a)......... 2,314,942 21,667,857 KB HOME (a)................... 1,572,389 21,510,282 Lennar Corp. (Class A) (a).... 2,776,158 26,900,972 M.D.C. Holdings, Inc. (a)..... 774,843 23,330,523 Meritage Homes Corp. (a)(b)... 1,287,336 24,279,157 NVR, Inc. (a)(b).............. 43,966 22,088,079 Pulte Homes, Inc. (a)......... 2,511,826 22,179,424 Ryland Group, Inc. (a)........ 1,324,183 22,193,307 Toll Brothers, Inc. (a)(b).... 1,284,217 21,793,162 ------------- 228,044,242 ------------- TOTAL COMMON STOCKS -- (Cost $579,593,382)......... 555,017,762 ------------- SHORT TERM INVESTMENTS -- 23.0% MONEY MARKET FUNDS -- 23.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 125,762,270 125,762,270 STIC Prime Portfolio.......... 2,291,329 2,291,329 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $128,053,599)......... 128,053,599 ------------- TOTAL INVESTMENTS -- 122.8% (E) (Cost $707,646,981)..... 683,071,361 OTHER ASSETS AND LIABILITIES -- (22.8)%...... (126,960,812) ------------- NET ASSETS -- 100.0%.......... $ 556,110,549 =============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 147 SPDR S&P METALS & MINING ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% ALUMINUM -- 4.0% Alcoa, Inc. (a)............... 2,353,871 $ 24,315,487 COAL & CONSUMABLE FUELS -- 23.6% Alpha Natural Resources, Inc. (a)(b)...................... 945,852 24,847,532 Arch Coal, Inc. (a)........... 1,509,291 23,197,803 CONSOL Energy, Inc. .......... 675,003 22,923,102 Foundation Coal Holdings, Inc. (a)......................... 894,259 25,137,620 Massey Energy Co. (a)......... 1,143,116 22,336,487 Peabody Energy Corp. ......... 791,459 23,870,403 ------------- 142,312,947 ------------- DIVERSIFIED METALS & MINING -- 8.4% Compass Minerals International, Inc. (a)..... 484,283 26,591,980 Freeport-McMoRan Copper & Gold, Inc. (a).............. 482,322 24,169,155 ------------- 50,761,135 ------------- GOLD -- 9.1% Newmont Mining Corp. ......... 660,745 27,004,648 Royal Gold, Inc. (a).......... 661,870 27,599,979 ------------- 54,604,627 ------------- PRECIOUS METALS & MINERALS -- 8.7% Coeur d'Alene Mines Corp. (a)(b)...................... 2,252,400 27,704,520 Hecla Mining Co. (a)(b)....... 9,104,297 24,399,516 ------------- 52,104,036 ------------- STEEL -- 46.1% AK Steel Holding Corp. (a).... 1,416,112 27,175,189 Allegheny Technologies, Inc. (a)......................... 673,880 23,538,629 Carpenter Technology Corp. ... 1,196,409 24,897,271 Cliffs Natural Resources, Inc. (a)......................... 986,519 24,140,120 Commercial Metals Co. (a)..... 1,614,628 25,882,487 Nucor Corp. (a)............... 594,180 26,399,418 Reliance Steel & Aluminum Co. (a)......................... 664,375 25,505,356 Schnitzer Steel Industries, Inc. (Class A) (a).......... 457,465 24,181,600 Steel Dynamics, Inc. (a)...... 1,746,477 25,725,606 United States Steel Corp. (a)......................... 717,801 25,654,208 Worthington Industries, Inc. (a)......................... 1,900,499 24,307,382 ------------- 277,407,266 ------------- TOTAL COMMON STOCKS -- (Cost $628,044,825)........ 601,505,498 ------------- SHORT TERM INVESTMENTS -- 24.7% MONEY MARKET FUNDS -- 24.7% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 146,985,910 146,985,910 STIC Prime Portfolio.......... 1,860,669 1,860,669 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $148,846,579)......... 148,846,579 ------------- TOTAL INVESTMENTS -- 124.6% (E) (Cost $776,891,404)..... 750,352,077 OTHER ASSETS AND LIABILITIES -- (24.6)%...... (147,929,285) ------------- NET ASSETS -- 100.0%.......... $ 602,422,792 =============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 148 SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% OIL & GAS DRILLING -- 35.9% Atwood Oceanics, Inc. (a)(b).. 330,978 $ 8,244,662 Diamond Offshore Drilling, Inc. (b).................... 98,874 8,211,486 ENSCO International, Inc. .... 222,180 7,747,416 Helmerich & Payne, Inc. (b)... 259,715 8,017,402 Nabors Industries, Ltd. (a)(b)...................... 495,753 7,723,832 Patterson-UTI Energy, Inc. (b)......................... 634,588 8,160,802 Pride International, Inc. (a)(b)...................... 342,680 8,587,561 Rowan Cos., Inc. (b).......... 390,994 7,554,004 Unit Corp. (a)(b)............. 263,437 7,262,958 ------------ 71,510,123 ------------ OIL & GAS EQUIPMENT & SERVICES -- 64.0% Baker Hughes, Inc. ........... 217,337 7,919,760 BJ Services Co. (b)........... 577,927 7,877,145 Cameron International Corp. (a)......................... 288,553 8,166,050 Dresser-Rand Group, Inc. (a).. 320,078 8,354,036 Dril-Quip, Inc. (a)........... 226,640 8,634,984 Exterran Holdings, Inc. (a)(b)...................... 497,968 7,987,407 FMC Technologies, Inc. (a).... 222,041 8,344,301 Halliburton Co. .............. 377,941 7,823,378 National-Oilwell Varco, Inc. (a)......................... 234,352 7,653,936 Oceaneering International, Inc. (a).................... 171,264 7,741,133 Oil States International, Inc. (a)......................... 323,520 7,832,419 Schlumberger, Ltd. ........... 150,466 8,141,715 SEACOR Holdings, Inc. (a)(b).. 114,537 8,617,764 Smith International, Inc. (b)......................... 294,873 7,592,980 Superior Energy Services, Inc. (a)......................... 395,570 6,831,494 Tidewater, Inc. (b)........... 183,555 7,869,003 ------------ 127,387,505 ------------ TOTAL COMMON STOCKS -- (Cost $238,715,836)........ 198,897,628 ------------ SHORT TERM INVESTMENTS -- 20.4% MONEY MARKET FUNDS -- 20.4% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 40,191,165 40,191,165 STIC Prime Portfolio.......... 483,522 483,522 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $40,674,687).......... 40,674,687 ------------ TOTAL INVESTMENTS -- 120.3% (E) (Cost $279,390,523)....... 239,572,315 OTHER ASSETS AND LIABILITIES -- (20.3)%...... (40,471,389) ------------ NET ASSETS -- 100.0%.......... $199,100,926 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 149 SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% INTEGRATED OIL & GAS -- 13.4% Chevron Corp. ................ 137,835 $ 9,131,569 ConocoPhillips................ 225,694 9,492,690 Exxon Mobil Corp. ............ 135,762 9,491,121 Occidental Petroleum Corp. ... 145,205 9,555,941 ------------ 37,671,321 ------------ OIL & GAS EXPLORATION & PRODUCTION -- 66.9% Anadarko Petroleum Corp. ..... 198,069 8,990,352 Apache Corp. ................. 118,965 8,583,325 Cabot Oil & Gas Corp. (a)..... 281,437 8,623,230 Chesapeake Energy Corp. (a)... 420,189 8,332,348 Cimarex Energy Co. (a)........ 296,081 8,390,936 Comstock Resources, Inc. (a)(b)...................... 249,598 8,249,214 Denbury Resources, Inc. (a)(b)...................... 590,250 8,694,383 Devon Energy Corp. ........... 152,844 8,329,998 Encore Acquisition Co. (a)(b)...................... 265,093 8,178,119 EOG Resources, Inc. .......... 129,032 8,763,853 EXCO Resources, Inc. (b)...... 676,307 8,737,886 Forest Oil Corp. (a)(b)....... 505,623 7,543,895 Newfield Exploration Co. (b).. 273,163 8,924,235 Noble Energy, Inc. (a)........ 149,979 8,844,262 Petrohawk Energy Corp. (b).... 397,937 8,873,995 Pioneer Natural Resources Co. (a)......................... 342,066 8,722,683 Plains Exploration & Production Co. (a)(b)....... 312,748 8,556,785 Range Resources Corp. (a)..... 214,013 8,862,278 Southwestern Energy Co. (b)... 224,918 8,738,064 Ultra Petroleum Corp. (b)..... 202,726 7,906,314 Whiting Petroleum Corp. (a)(b)...................... 224,845 7,905,550 XTO Energy, Inc. ............. 230,338 8,785,091 ------------ 187,536,796 ------------ OIL & GAS REFINING & MARKETING -- 19.5% Frontier Oil Corp. (a)........ 682,748 8,950,826 Holly Corp. (a)............... 483,392 8,691,388 Sunoco, Inc. (a).............. 378,966 8,792,011 Tesoro Corp. (a).............. 676,749 8,615,015 Valero Energy Corp. (a)....... 568,757 9,606,306 World Fuel Services Corp. (a)......................... 239,694 9,882,584 ------------ 54,538,130 ------------ TOTAL COMMON STOCKS -- (Cost $358,707,239)......... 279,746,247 ------------ SHORT TERM INVESTMENTS -- 20.6% MONEY MARKET FUNDS -- 20.6% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 56,506,368 56,506,368 STIC Prime Portfolio.......... 1,093,635 1,093,635 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $57,600,003).......... 57,600,003 ------------ TOTAL INVESTMENTS -- 120.4% (E) (Cost $416,307,242)..... 337,346,250 OTHER ASSETS AND LIABILITIES -- (20.4)%...... (57,064,190) ------------ NET ASSETS -- 100.0%.......... $280,282,060 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 150 SPDR S&P PHARMACEUTICALS ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% PHARMACEUTICALS -- 99.8% Abbott Laboratories (a)....... 38,859 $ 1,827,927 Allergan, Inc. (a)............ 38,137 1,814,558 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 63,623 1,996,490 Bristol-Myers Squibb Co. ..... 89,090 1,809,418 Eli Lilly & Co. (a)........... 51,470 1,782,921 Endo Pharmaceuticals Holdings, Inc. (a)(b)................. 99,655 1,785,818 Forest Laboratories, Inc. (a)(b)...................... 72,899 1,830,494 Johnson & Johnson............. 31,482 1,788,178 King Pharmaceuticals, Inc. (a)(b)...................... 177,019 1,704,693 Medicis Pharmaceutical Corp. (Class A) (a)............... 112,415 1,834,613 Merck & Co., Inc. (a)......... 67,673 1,892,137 Mylan, Inc. (a)(b)............ 129,204 1,686,112 Par Pharmaceutical Cos., Inc. (a)(b)...................... 122,392 1,854,239 Perrigo Co. (a)............... 66,702 1,852,982 Pfizer, Inc. (a).............. 119,574 1,793,610 Schering-Plough Corp. ........ 74,096 1,861,291 Sepracor, Inc. (a)(b)......... 108,741 1,883,394 Valeant Pharmaceuticals International (a)(b)........ 76,765 1,974,396 ViroPharma, Inc. (a)(b)....... 296,122 1,756,003 Watson Pharmaceuticals, Inc. (a)(b)...................... 59,006 1,987,912 Wyeth......................... 39,394 1,788,094 XenoPort, Inc. (a)(b)......... 82,435 1,910,019 ------------ TOTAL COMMON STOCKS -- (Cost $37,863,566).......... 40,415,299 ------------ SHORT TERM INVESTMENTS -- 29.2% MONEY MARKET FUNDS -- 29.2% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 11,638,204 11,638,204 STIC Prime Portfolio.......... 194,878 194,878 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $11,833,082).......... 11,833,082 ------------ TOTAL INVESTMENTS -- 129.0% (E) (Cost $49,696,648).......... 52,248,381 OTHER ASSETS AND LIABILITIES -- (29.0)%...... (11,749,740) ------------ NET ASSETS -- 100.0%.......... $ 40,498,641 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 151 SPDR S&P RETAIL ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% APPAREL RETAIL -- 32.9% Abercrombie & Fitch Co. (Class A) (a)...................... 621,580 $ 15,781,916 Aeropostale, Inc. (a)(b)...... 488,581 16,743,671 American Eagle Outfitters, Inc. (a).................... 1,177,702 16,688,037 Chico's FAS, Inc. (a)(b)...... 1,656,712 16,119,808 Collective Brands, Inc. (a)(b)...................... 1,237,948 18,036,902 Foot Locker, Inc. ............ 1,597,968 16,730,725 Guess ?, Inc. ................ 645,752 16,647,487 Gymboree Corp. (a)(b)......... 481,074 17,068,505 J. Crew Group, Inc. (a)(b).... 667,109 18,025,285 Jos. A. Bank Clothiers, Inc. (b)......................... 506,248 17,445,306 Limited Brands, Inc. ......... 1,338,591 16,022,934 Mens Wearhouse, Inc. (a)...... 867,520 16,639,034 Ross Stores, Inc. (a)......... 435,002 16,791,077 The Buckle, Inc. (a).......... 537,735 17,083,841 The Cato Corp. (Class A) (a).. 942,008 16,428,620 The Children's Place Retail Stores, Inc. (a)(b)......... 567,970 15,011,447 The Dress Barn, Inc. (b)...... 1,152,562 16,481,637 The Gap, Inc. ................ 1,047,615 17,180,886 The TJX Cos., Inc. (a)........ 558,215 17,561,444 Urban Outfitters, Inc. (a)(b)...................... 794,917 16,589,918 -------------- 335,078,480 -------------- AUTOMOTIVE RETAIL -- 12.3% Advance Auto Parts, Inc. ..... 415,809 17,251,915 AutoNation, Inc. (a)(b)....... 975,799 16,930,113 AutoZone, Inc. (a)(b)......... 110,230 16,656,855 CarMax, Inc. (a)(b)........... 1,237,948 18,197,836 Group 1 Automotive, Inc. (a).. 770,948 20,060,067 Monro Muffler Brake, Inc. (a)......................... 689,711 17,732,470 O'Reilly Automotive, Inc. (a)(b)...................... 475,380 18,102,470 -------------- 124,931,726 -------------- COMPUTER & ELECTRONICS RETAIL -- 4.5% Best Buy Co., Inc. (a)........ 444,649 14,891,295 GameStop Corp. (Class A) (b).. 711,115 15,651,641 RadioShack Corp. (a).......... 1,135,017 15,844,837 -------------- 46,387,773 -------------- DEPARTMENT STORES -- 8.0% J. C. Penney Co., Inc. (a).... 587,817 16,876,226 Kohl's Corp. (a)(b)........... 368,058 15,734,479 Macy's, Inc. (a).............. 1,368,652 16,095,348 Nordstrom, Inc. (a)........... 825,738 16,423,929 Sears Holdings Corp. (a)(b)... 248,919 16,558,092 -------------- 81,688,074 -------------- DRUG RETAIL -- 3.3% CVS Caremark Corp. ........... 564,961 18,005,307 Walgreen Co. ................. 550,201 16,175,909 -------------- 34,181,216 -------------- FOOD RETAIL -- 9.5% Casey's General Stores, Inc. (a)......................... 674,380 17,324,822 Ruddick Corp. (a)............. 687,199 16,101,073 Safeway, Inc. ................ 806,658 16,431,623 SUPERVALU, Inc. (a)........... 1,046,908 13,557,459 The Kroger Co. ............... 789,647 17,411,716 Whole Foods Market, Inc. (a).. 838,958 15,923,423 -------------- 96,750,116 -------------- GENERAL MERCHANDISE STORES -- 4.9% Dollar Tree Stores, Inc. (b).. 396,016 16,672,274 Family Dollar Stores, Inc. (a)......................... 581,297 16,450,705 Target Corp. ................. 424,636 16,760,383 -------------- 49,883,362 -------------- HYPERMARKETS & SUPER CENTERS -- 3.3% Costco Wholesale Corp. ....... 364,452 16,655,456 Wal-Mart Stores, Inc. ........ 343,885 16,657,790 -------------- 33,313,246 -------------- INTERNET RETAIL -- 6.7% Amazon.com, Inc. (b).......... 204,183 17,081,950 Expedia, Inc. (a)(b).......... 1,018,969 15,396,622 Netflix, Inc. (a)(b).......... 453,245 18,737,148 Priceline.com, Inc. (a)(b).... 148,489 16,563,948 -------------- 67,779,668 -------------- SPECIALTY STORES -- 14.5% Barnes & Noble, Inc. (a)...... 735,366 15,170,600 Dick's Sporting Goods, Inc. (a)(b)...................... 994,007 17,096,920 Office Depot, Inc. (b)........ 3,572,562 16,290,883 OfficeMax, Inc. (a)........... 2,256,192 14,168,886 PetSmart, Inc. ............... 813,316 17,453,761 Sally Beauty Holdings, Inc. (a)(b)...................... 2,717,525 17,283,459 Staples, Inc. ................ 812,493 16,387,984 Tiffany & Co. (a)............. 628,191 15,930,924 Tractor Supply Co. (a)(b)..... 429,769 17,758,055 -------------- 147,541,472 -------------- TOTAL COMMON STOCKS -- (Cost $1,027,856,095)....... 1,017,535,133 -------------- SHORT TERM INVESTMENTS -- 6.6% MONEY MARKET FUNDS -- 6.6% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 65,789,143 65,789,143 STIC Prime Portfolio.......... 1,292,554 1,292,554 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $67,081,697).......... 67,081,697 -------------- TOTAL INVESTMENTS -- 106.5% (E) (Cost $1,094,937,792)....... 1,084,616,830 OTHER ASSETS AND LIABILITIES -- (6.5)%....... (66,609,607) -------------- NET ASSETS -- 100.0%.......... $1,018,007,223 ==============
See accompanying notes to financial statements. 152 SPDR S&P RETAIL ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2008 (UNAUDITED) - -------------------------------------------------------------------------------- (a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 153 SPDR S&P SEMICONDUCTOR ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% SEMICONDUCTORS -- 99.9% Advanced Micro Devices, Inc. (a)(b)...................... 958,113 $ 3,707,897 Altera Corp. (b).............. 255,688 4,162,601 Analog Devices, Inc. ......... 168,655 4,179,271 Atmel Corp. (a)(b)............ 1,054,892 3,934,747 Broadcom Corp. (Class A) (a)(b)...................... 162,854 4,037,151 Cree, Inc. (a)(b)............. 148,855 4,374,848 Cypress Semiconductor Corp. (a)(b)...................... 472,713 4,348,960 Intel Corp. (b)............... 262,582 4,345,732 International Rectifier Corp. (a)(b)...................... 270,381 4,004,343 Intersil Corp. (Class A) (b).. 328,988 4,135,379 Linear Technology Corp. (b)... 181,622 4,240,874 LSI Logic Corp. (a)(b)........ 877,683 4,002,235 Maxim Integrated Products, Inc. (b).................... 258,771 4,060,117 Microchip Technology, Inc. (b)......................... 188,246 4,244,947 Micron Technology, Inc. (a)(b)...................... 782,954 3,961,747 Microsemi Corp. (a)........... 279,546 3,857,735 National Semiconductor Corp. (b)......................... 315,166 3,955,333 NVIDIA Corp. (a)(b)........... 372,137 4,201,427 ON Semiconductor Corp. (a)(b)...................... 622,528 4,270,542 PMC-Sierra, Inc. (a)(b)....... 552,679 4,399,324 Rambus, Inc. (a)(b)........... 245,620 3,804,654 Silicon Laboratories, Inc. (a)(b)...................... 113,029 4,288,320 Skyworks Solutions, Inc. (a)(b)...................... 417,401 4,082,182 Texas Instruments, Inc. (b)... 205,981 4,387,395 Xilinx, Inc. (b).............. 204,851 4,191,251 ------------ TOTAL COMMON STOCKS -- (Cost $93,505,998).......... 103,179,012 ------------ SHORT TERM INVESTMENTS -- 24.9% MONEY MARKET FUNDS -- 24.9% State Street Navigator Securities Lending Prime Portfolio (c)(d)...... 25,378,726 25,378,726 STIC Prime Portfolio.......... 373,219 373,219 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $25,751,945).......... 25,751,945 ------------ TOTAL INVESTMENTS -- 124.8% (E) (Cost $119,257,943)......... 128,930,957 OTHER ASSETS AND LIABILITIES -- (24.8)%...... (25,648,579) ------------ NET ASSETS -- 100.0%.......... $103,282,378 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 154 SPDR KBW REGIONAL BANKING ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% REGIONAL BANKS -- 89.5% Associated Banc-Corp (a).... 868,355 $ 10,854,437 BancorpSouth, Inc. (a)...... 483,977 9,936,048 Bank of Hawaii Corp. (a).... 320,277 11,475,525 BOK Financial Corp. (a)..... 234,915 8,849,248 Boston Private Financial Holdings, Inc. (a)........ 2,049,979 9,183,906 Cathay General Bancorp (a).. 939,576 8,935,368 Central Pacific Financial Corp. (a)................. 1,138,852 4,270,695 Citizens Republic Bancorp, Inc. (b).................. 3,630,077 2,577,355 City National Corp. (a)..... 256,220 9,436,583 Community Bank System, Inc. (a)....................... 605,070 8,809,819 CVB Financial Corp. (a)..... 1,395,103 8,328,765 East West Bancorp, Inc. .... 1,081,945 7,021,823 F.N.B. Corp. (a)............ 1,914,701 11,851,999 First Commonwealth Financial Corp. (a)................. 1,359,475 8,619,071 First Horizon National Corp. (a)(b).................... 718,858 8,626,291 First Midwest Bancorp, Inc. (a)....................... 953,814 6,972,380 FirstMerit Corp. ........... 669,136 11,361,929 Fulton Financial Corp. (a).. 1,722,485 8,974,147 Glacier Bancorp, Inc. (a)... 619,246 9,146,263 Hancock Holding Co. (a)..... 362,980 11,793,221 IBERIABANK Corp. (a)........ 213,576 8,417,030 MB Financial, Inc. (a)...... 768,759 7,833,654 National Penn Bancshares, Inc. ..................... 1,302,545 6,004,732 Old National Bancorp (a).... 903,984 8,877,123 Pacific Capital Bancorp (a)....................... 1,145,967 2,452,369 PacWest Bancorp (a)......... 647,699 8,523,719 Pinnacle Financial Partners, Inc. (a)(b)............... 882,577 11,755,926 PrivateBancorp, Inc. ....... 412,852 9,181,828 Prosperity Bancshares, Inc. (a)....................... 320,308 9,554,788 S&T Bancorp, Inc. (a)....... 469,739 5,712,026 Signature Bank (a)(b)....... 427,061 11,581,894 Sterling Bancshares, Inc. (a)....................... 1,416,454 8,966,154 Susquehanna Bancshares, Inc. (a)....................... 1,331,090 6,509,030 SVB Financial Group (a)(b).. 341,702 9,301,128 TCF Financial Corp. (a)..... 669,064 8,945,386 Trustmark Corp. (a)......... 533,811 10,313,228 UCBH Holdings, Inc. (a)..... 3,089,179 3,892,366 UMB Financial Corp. ........ 234,852 8,926,725 Umpqua Holdings Corp. (a)... 1,181,547 9,168,805 United Bankshares, Inc. (a)....................... 448,388 8,761,502 Valley National Bancorp. (a)....................... 861,220 10,076,274 Westamerica Bancorp. (a).... 185,072 9,181,422 Whitney Holding Corp. (a)... 953,763 8,736,469 Wilmington Trust Corp. (a).. 711,810 9,723,325 Wintrust Financial Corp. (a)....................... 626,387 10,072,303 ------------- 389,494,079 ------------- THRIFTS & MORTGAGE FINANCE -- 10.2% Brookline Bancorp, Inc. .... 1,046,375 9,752,215 First Niagara Financial Group, Inc. .............. 768,706 8,778,623 Hudson City Bancorp, Inc. .. 697,538 9,270,280 Provident Financial Services, Inc. ........... 1,024,941 9,326,963 Webster Financial Corp. (a)....................... 882,584 7,104,801 ------------- 44,232,882 ------------- TOTAL COMMON STOCKS -- (Cost $739,742,644)....... 433,726,961 ------------- SHORT TERM INVESTMENTS -- 31.4% MONEY MARKET FUNDS -- 31.4% State Street Navigator Securities Lending Prime Portfolio (c)(d).... 133,202,649 133,202,649 STIC Prime Portfolio........ 3,113,302 3,113,302 Federated Prime Obligations Fund...................... 118 118 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $136,316,069)....... 136,316,069 ------------- TOTAL INVESTMENTS -- 131.1% (E) (Cost $876,058,713)....... 570,043,030 OTHER ASSETS AND LIABILITIES -- (31.1)%.... (135,105,626) ------------- NET ASSETS -- 100.0%........ $ 434,937,404 =============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 155 SPDR KBW MORTGAGE FINANCE ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% COMMERCIAL BANKS -- 3.7% Popular, Inc. ................... 40,697 $ 89,533 United Community Banks, Inc. (a)............................ 18,450 110,515 ---------- 200,048 ---------- DIVERSIFIED FINANCIAL SERVICES -- 5.1% PHH Corp. (a).................... 15,307 278,281 ---------- HOUSEHOLD DURABLES -- 36.1% Centex Corp. .................... 22,912 193,836 D.R. Horton, Inc. ............... 42,103 394,084 KB HOME.......................... 15,333 209,755 Lennar Corp. (Class A)........... 24,639 238,752 M.D.C. Holdings, Inc. ........... 7,502 225,885 Meritage Homes Corp. (a)......... 11,210 211,421 Pulte Homes, Inc. ............... 18,569 163,964 Ryland Group, Inc. .............. 8,058 135,052 Toll Brothers, Inc. (a).......... 11,171 189,572 ---------- 1,962,321 ---------- INSURANCE -- 12.2% Fidelity National Financial, Inc. (Class A)...................... 32,315 437,222 First American Corp. ............ 8,615 223,215 ---------- 660,437 ---------- IT SERVICES -- 4.7% Lender Processing Services, Inc. .......................... 9,187 255,123 ---------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.4% Avatar Holdings, Inc. (a)........ 4,099 74,479 ---------- THRIFTS & MORTGAGE FINANCE -- 36.7% Astoria Financial Corp. ......... 15,785 135,435 Capitol Federal Financial........ 5,291 202,804 Hudson City Bancorp, Inc. ....... 35,255 468,539 New York Community Bancorp, Inc. .......................... 37,659 402,575 New Alliance Bancshares, Inc. ... 19,849 228,263 Ocwen Financial Corp. (a)........ 17,604 228,324 TFS Financial Corp. ............. 11,364 120,686 Washington Federal, Inc. ........ 15,743 204,659 ---------- 1,991,285 ---------- TOTAL COMMON STOCKS -- (Cost $6,085,884).............. 5,421,974 ---------- SHORT TERM INVESTMENTS -- 0.6% MONEY MARKET FUND -- 0.6% State Street Institutional Liquid Reserves Fund (b) (Cost $31,581)................. 31,581 31,581 ---------- TOTAL INVESTMENTS -- 100.5% (C) (Cost $6,117,465).............. 5,453,555 OTHER ASSETS AND LIABILITIES -- (0.5)%.......... (26,378) ---------- NET ASSETS -- 100.0%............. $5,427,177 ==========
(a) Non-income producing security. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 156 (This page intentionally left blank) 157 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES TOTAL MARKET LARGE CAP LARGE CAP GROWTH ETF ETF ETF ------------ ----------- ---------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)..................................... $158,428,962 $38,462,173 $155,109,948 Investments in securities of affiliated issuers, at value (Note 3)...................................... 7,450,155 10,880,904 8,792,553 ------------ ----------- ------------ Total Investments................................... 165,879,117 49,343,077 163,902,501 Receivable for Fund shares sold in-kind................ -- -- 76,301 Receivable for investments sold........................ 719,118 30,420 -- Dividends receivable (Note 2).......................... 230,823 60,086 108,158 ------------ ----------- ------------ TOTAL ASSETS...................................... 166,829,058 49,433,583 164,086,960 ------------ ----------- ------------ LIABILITIES Payable upon return of securities loaned............... 7,113,997 10,783,247 8,792,553 Payable for Fund shares repurchased in-kind............ 38,365 -- -- Payable for investments purchased...................... 558,473 8,592 37,868 Distributions payable.................................. 852,469 215,975 411,231 Accrued advisory fee (Note 3).......................... 26,708 6,636 26,815 Accrued trustees fee (Note 3).......................... 1,035 148 1,558 ------------ ----------- ------------ TOTAL LIABILITIES................................. 8,591,047 11,014,598 9,270,025 ------------ ----------- ------------ NET ASSETS........................................ $158,238,011 $38,418,985 $154,816,935 ============ =========== ============ NET ASSETS CONSIST OF: Paid in capital (Note 4)............................... $201,071,939 $40,312,251 $250,647,375 Undistributed (distribution in excess of) net investment income................................... (186,444) (87,266) 40,187 Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (14,976,102) (1,113,616) (44,118,187) Net unrealized appreciation (depreciation) on: Investments......................................... (27,671,382) (692,384) (51,752,440) ------------ ----------- ------------ NET ASSETS........................................ $158,238,011 $38,418,985 $154,816,935 ============ =========== ============ NET ASSET VALUE PER SHARE Net asset value per share.............................. $ 67.33 $ 42.69 $ 39.70 ============ =========== ============ Shares outstanding (unlimited amount authorized, $0.01 par value).......................................... 2,350,124 900,000 3,900,121 ============ =========== ============ COST OF INVESTMENTS: Unaffiliated issuers................................... $186,090,658 $39,166,784 $206,862,388 Affiliated issuers..................................... 7,459,841 10,868,677 8,792,553 ------------ ----------- ------------ Total cost of investments.............................. $193,550,499 $50,035,461 $215,654,941 ============ =========== ============ * Includes $6,869,621, $10,446,097, $8,568,162, $3,492,271, $8,737,747, $12,010,530, $2,467,083, $6,325,756, $26,299,875, respectively, of investments in securities on loan, at value.
See accompanying notes to financial statements. 158 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES DOW JONES DOW JONES DOW JONES LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH ETF ETF ETF ETF ETF ETF --------------- ----------- -------------- ------------- ----------- ---------------- $ 99,188,917 $31,437,446 $ 42,994,630 $ 8,881,563 $22,733,541 $ 94,243,451 4,059,513 9,024,333 12,397,043 2,551,586 6,570,359 27,383,717 ------------ ----------- ------------ ----------- ----------- ------------ 103,248,430 40,461,779 55,391,673 11,433,149 29,303,900 121,627,168 -- -- -- -- -- -- 323,182 160,315 38,235 -- 32,530 141,661 209,794 37,087 26,125 19,039 25,566 43,415 ------------ ----------- ------------ ----------- ----------- ------------ 103,781,406 40,659,181 55,456,033 11,452,188 29,361,996 121,812,244 ------------ ----------- ------------ ----------- ----------- ------------ 3,567,500 9,024,333 12,397,043 2,551,586 6,570,359 27,383,717 -- -- -- -- -- -- 181,286 219,399 36,238 4,612 51,828 215,054 794,801 148,475 74,296 70,060 83,945 115,965 16,540 6,515 8,931 2,366 4,316 19,641 733 173 266 75 122 601 ------------ ----------- ------------ ----------- ----------- ------------ 4,560,860 9,398,895 12,516,774 2,628,699 6,710,570 27,734,978 ------------ ----------- ------------ ----------- ----------- ------------ $ 99,220,546 $31,260,286 $ 42,939,259 $ 8,823,489 $22,651,426 $ 94,077,266 ============ =========== ============ =========== =========== ============ $149,646,625 $38,761,285 $ 56,446,126 $15,309,657 $29,069,110 $132,269,740 (183,617) (97,275) (22,153) (49,561) (66,365) (115,978) (23,555,446) (5,268,260) (10,744,286) (4,726,934) (1,564,193) (12,198,897) (26,687,016) (2,135,464) (2,740,428) (1,709,673) (4,787,126) (25,877,599) ------------ ----------- ------------ ----------- ----------- ------------ $ 99,220,546 $31,260,286 $ 42,939,259 $ 8,823,489 $22,651,426 $ 94,077,266 ============ =========== ============ =========== =========== ============ $ 48.38 $ 36.78 $ 45.20 $ 35.29 $ 41.18 $ 67.19 ============ =========== ============ =========== =========== ============ 2,050,743 850,000 950,000 250,000 550,009 1,400,107 ============ =========== ============ =========== =========== ============ $125,827,423 $33,572,910 $ 45,735,058 $10,591,236 $27,520,667 $120,121,050 4,108,023 9,024,333 12,397,043 2,551,586 6,570,359 27,383,717 ------------ ----------- ------------ ----------- ----------- ------------ $129,935,446 $42,597,243 $ 58,132,101 $13,142,822 $34,091,026 $147,504,767 ============ =========== ============ =========== =========== ============
159 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DJ GLOBAL DOW JONES SMALL CAP VALUE TITANS REIT ETF ETF ETF --------------- ------------ -------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2) $ 70,300,281 $ 71,401,535 $ 921,727,370 Investments in securities of affiliated issuers, at value (Note 3) 18,673,686 5,673,841 195,862,882 ------------ ------------ -------------- Total Investments................................... 88,973,967 77,075,376 1,117,590,252 Foreign currency, at value............................. -- 27,252 -- Cash................................................... -- -- 537 Receivable for Fund shares sold in-kind................ -- -- -- Receivable for investments sold........................ 239,392 -- 993,392 Dividends receivable (Note 2).......................... 141,375 286,864 3,939,851 ------------ ------------ -------------- TOTAL ASSETS...................................... 89,354,734 77,389,492 1,122,524,032 ------------ ------------ -------------- LIABILITIES Payable upon return of securities loaned............... 18,673,686 5,673,841 195,862,882 Payable for Fund shares repurchased in-kind............ -- -- 3,274 Payable for investments purchased...................... 247,718 -- 3,083,753 Distributions payable.................................. 533,100 761,962 14,481,812 Due to custodian....................................... -- -- -- Accrued advisory fee (Note 3).......................... 14,334 30,362 193,770 Accrued trustees fee (Note 3).......................... 562 795 8,211 ------------ ------------ -------------- TOTAL LIABILITIES................................. 19,469,400 6,466,960 213,633,702 ------------ ------------ -------------- NET ASSETS........................................ $ 69,885,334 $ 70,922,532 $ 908,890,330 ============ ============ ============== NET ASSETS CONSIST OF: Paid in capital (Note 4)............................... $113,532,744 $123,816,422 $1,859,511,194 Undistributed (distribution in excess of) net investment income................................... (400,089) 181,483 (14,481,812) Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (13,262,865) (26,082,261) (282,678,067) Net unrealized appreciation (depreciation) on: Investments......................................... (29,984,456) (26,987,612) (653,460,985) Foreign currency.................................... -- (5,500) -- ------------ ------------ -------------- NET ASSETS........................................ $ 69,885,334 $ 70,922,532 $ 908,890,330 ============ ============ ============== NET ASSET VALUE PER SHARE Net asset value per share.............................. $ 43.64 $ 47.27 $ 34.00 ============ ============ ============== Shares outstanding (unlimited amount authorized, $0.01 par value).......................................... 1,601,329 1,500,442 26,729,490 ============ ============ ============== COST OF INVESTMENTS: Unaffiliated issuers................................... $100,284,737 $ 98,389,147 $1,575,188,355 Affiliated issuers..................................... 18,673,686 5,673,841 195,862,882 ------------ ------------ -------------- Total cost of investments.............................. $118,958,423 $104,062,988 $1,771,051,237 ============ ============ ============== Foreign currency, at cost.............................. $ -- $ 31,473 $ -- ============ ============ ============== * Includes $17,958,773, $5,484,196, $192,448,607, $197,282,672, $8,853,608, $5,641,106, $13,099,745, $152,334,260, $106,408,364, respectively, of investments in securities on loan, at value.
See accompanying notes to financial statements. 160 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR KBW KBW MORGAN STANLEY SPDR S&P SPDR S&P KBW BANK CAPITAL MARKETS INSURANCE TECHNOLOGY DIVIDEND BIOTECH ETF ETF ETF ETF ETF ETF - --------------- --------------- ------------ -------------- ------------- ------------- $ 792,139,269 $ 73,414,278 $139,525,053 $198,260,497 $ 664,098,496 $ 427,979,644 241,378,082 16,228,801 5,982,505 13,653,424 157,934,201 109,293,810 - --------------- ------------ ------------ ------------ ------------- ------------- 1,033,517,351 89,643,079 145,507,558 211,913,921 822,032,697 537,273,454 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 122 -- 6,686,272 -- 981,914 -- -- 780,399 1,819,223 42,010 270,996 60,677 1,951,550 43,853 - --------------- ------------ ------------ ------------ ------------- ------------- 1,042,022,846 89,685,089 146,760,468 211,974,598 823,984,369 538,097,706 - --------------- ------------ ------------ ------------ ------------- ------------- 207,065,428 9,170,277 5,982,505 13,653,424 157,934,201 109,293,810 734 2,296 19 297 -- 170,427 6,846,175 132,229 1,026,375 -- -- -- 6,173,498 164,618 512,606 423,535 7,205,725 -- -- -- -- -- -- 3,679 236,697 26,654 33,531 77,706 186,138 118,132 6,712 648 588 1,403 3,140 3,714 - --------------- ------------ ------------ ------------ ------------- ------------- 220,329,244 9,496,722 7,555,624 14,156,365 165,329,204 109,589,762 - --------------- ------------ ------------ ------------ ------------- ------------- $ 821,693,602 $ 80,188,367 $139,204,844 $197,818,233 $ 658,655,165 $ 428,507,944 =============== ============ ============ ============ ============= ============= $1,660,706,255 $169,958,484 $176,624,989 $311,057,125 $ 791,045,256 $ 591,553,671 (584,114) 89,192 (301,169) (21,280) (1,650,886) 12,140 (329,485,151) (60,303,033) (17,283,236) (71,255,202) (143,161,614) (113,951,616) (508,943,388) (29,556,276) (19,835,740) (41,962,410) 12,422,409 (49,106,251) -- -- -- -- -- -- - --------------- ------------ ------------ ------------ ------------- ------------- $ 821,693,602 $ 80,188,367 $139,204,844 $197,818,233 $ 658,655,165 $ 428,507,944 =============== ============ ============ ============ ============= ============= $ 18.08 $ 33.41 $ 26.52 $ 44.96 $ 37.96 $ 50.71 =============== ============ ============ ============ ============= ============= 45,452,007 2,400,000 5,250,000 4,400,108 17,351,456 8,450,000 =============== ============ ============ ============ ============= ============= $1,293,539,410 $100,761,832 $159,360,793 $240,222,907 $ 651,676,087 $ 477,085,895 248,921,329 18,437,523 5,982,505 13,653,424 157,934,201 109,293,810 - --------------- ------------ ------------ ------------ ------------- ------------- $1,542,460,739 $119,199,355 $165,343,298 $253,876,331 $ 809,610,288 $ 586,379,705 =============== ============ ============ ============ ============= ============= $ -- $ -- $ -- $ -- $ -- $ -- =============== ============ ============ ============ ============= =============
161 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR S&P OIL & GAS SPDR S&P SPDR S&P EQUIPMENT & HOMEBUILDERS METALS & SERVICES ETF MINING ETF ETF ------------- ------------- ------------ ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)..................................... $ 557,309,091 $ 603,366,167 $199,381,150 Investments in securities of affiliated issuers, at value (Note 3)...................................... 125,762,270 146,985,910 40,191,165 ------------- ------------- ------------ Total Investments................................... 683,071,361 750,352,077 239,572,315 Receivable for Fund shares sold in-kind................ 4,171 27,042 -- Receivable for investments sold........................ -- -- -- Dividends receivable (Note 2).......................... 739,718 619,607 110,050 ------------- ------------- ------------ TOTAL ASSETS...................................... 683,815,250 750,998,726 239,682,365 ------------- ------------- ------------ LIABILITIES Payable upon return of securities loaned............... 125,762,270 146,985,910 40,191,165 Payable for Fund shares repurchased in-kind............ -- -- -- Payable for investments purchased...................... -- -- -- Distributions payable.................................. 1,769,292 1,409,584 329,946 Accrued advisory fee (Note 3).......................... 168,698 177,692 59,134 Accrued trustees fee (Note 3).......................... 4,441 2,748 1,194 ------------- ------------- ------------ TOTAL LIABILITIES................................. 127,704,701 148,575,934 40,581,439 ------------- ------------- ------------ NET ASSETS........................................ $ 556,110,549 $ 602,422,792 $199,100,926 ============= ============= ============ NET ASSETS CONSIST OF: Paid in capital (Note 4)............................... $ 772,596,260 $ 904,254,342 $297,969,153 Undistributed (distribution in excess of) net investment income................................... (478,257) 142,357 (23,202) Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (191,431,834) (275,434,580) (59,026,817) Net unrealized appreciation (depreciation) on: Investments......................................... (24,575,620) (26,539,327) (39,818,208) ------------- ------------- ------------ NET ASSETS........................................ $ 556,110,549 $ 602,422,792 $199,100,926 ============= ============= ============ NET ASSET VALUE PER SHARE Net asset value per share.............................. $ 11.77 $ 37.07 $ 21.76 ============= ============= ============ Shares outstanding (unlimited amount authorized, $0.01 par value).......................................... 47,250,000 16,250,097 9,150,000 ============= ============= ============ COST OF INVESTMENTS: Unaffiliated issuers................................... $ 581,884,711 $ 629,905,494 $239,199,358 Affiliated issuers..................................... 125,762,270 146,985,910 40,191,165 ------------- ------------- ------------ Total cost of investments.............................. $ 707,646,981 $ 776,891,404 $279,390,523 ============= ============= ============ * Includes $120,687,762, $139,240,658, $38,952,903, $55,241,928, $11,311,405, $64,076,700, $24,584,114, $126,666,664, $0, respectively, of investments in securities on loan, at value.
See accompanying notes to financial statements. 162 - --------------------------------------------------------------------------------
SPDR S&P SPDR KBW SPDR KBW OIL & GAS SPDR S&P SPDR S&P REGIONAL MORTGAGE EXPLORATION & PHARMACEUTICALS SPDR S&P SEMICONDUCTOR BANKING FINANCE PRODUCTION ETF ETF RETAIL ETF ETF ETF ETF -------------- --------------- -------------- ------------- ------------- ---------- $ 280,839,882 $40,610,177 $1,018,827,687 $103,552,231 $ 436,840,381 $5,421,974 56,506,368 11,638,204 65,789,143 25,378,726 133,202,649 31,581 ------------- ----------- -------------- ------------ ------------- ---------- 337,346,250 52,248,381 1,084,616,830 128,930,957 570,043,030 5,453,555 -- 50 15,543 -- -- -- -- -- -- -- 5,312,848 -- 270,872 33,608 314,485 39,083 1,172,637 1,902 ------------- ----------- -------------- ------------ ------------- ---------- 337,617,122 52,282,039 1,084,946,858 128,970,040 576,528,515 5,455,457 ------------- ----------- -------------- ------------ ------------- ---------- 56,506,368 11,638,204 65,789,143 25,378,726 133,202,649 -- 2,702 -- -- -- 11,968 -- -- -- -- -- 5,267,298 -- 729,395 132,973 1,019,830 277,320 2,970,217 26,714 94,530 11,957 128,073 31,326 134,153 1,561 2,067 264 2,589 290 4,826 5 ------------- ----------- -------------- ------------ ------------- ---------- 57,335,062 11,783,398 66,939,635 25,687,662 141,591,111 28,280 ------------- ----------- -------------- ------------ ------------- ---------- $ 280,282,060 $40,498,641 $1,018,007,223 $103,282,378 $ 434,937,404 $5,427,177 ============= =========== ============== ============ ============= ========== $ 476,615,511 $42,111,865 $1,063,159,943 $116,872,634 $ 902,329,659 $6,139,244 (94,490) (36,724) 127,439 (38,107) (1,299,562) (4,796) (117,277,969) (4,128,233) (34,959,197) (23,225,163) (160,077,010) (43,361) (78,960,992) 2,551,733 (10,320,962) 9,673,014 (306,015,683) (663,910) ------------- ----------- -------------- ------------ ------------- ---------- $ 280,282,060 $40,498,641 $1,018,007,223 $103,282,378 $ 434,937,404 $5,427,177 ============= =========== ============== ============ ============= ========== $ 31.67 $ 30.00 $ 27.70 $ 33.86 $ 18.31 $ 36.18 ============= =========== ============== ============ ============= ========== 8,850,000 1,350,134 36,750,055 3,050,000 23,751,655 150,000 ============= =========== ============== ============ ============= ========== $ 359,800,874 $38,058,444 $1,029,148,649 $ 93,879,217 $ 742,856,064 $6,085,884 56,506,368 11,638,204 65,789,143 25,378,726 133,202,649 31,581 ------------- ----------- -------------- ------------ ------------- ---------- $ 416,307,242 $49,696,648 $1,094,937,792 $119,257,943 $ 876,058,713 $6,117,465 ============= =========== ============== ============ ============= ==========
163 SPDR SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES TOTAL MARKET LARGE CAP LARGE CAP GROWTH ETF ETF ETF ------------ --------- ---------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2)................................ $ 3,241,666 $ 502,731 $ 2,646,474 Dividend income on securities of affiliated issuers (Note 3)........................................ 2,330 387 -- Affiliated securities lending -- net (Note 3 and Note 8)......................................... 204,983 49,963 207,386 Foreign taxes withheld............................. (150) (33) (516) ------------ --------- ------------ TOTAL INVESTMENT INCOME............................ 3,448,829 553,048 2,853,344 ------------ --------- ------------ EXPENSES Advisory fee (Note 3).............................. 261,839 38,680 386,520 Trustees fee (Note 3).............................. 4,067 445 7,037 Miscellaneous expense.............................. 8,623 6,067 1,260 ------------ --------- ------------ TOTAL EXPENSES..................................... 274,529 45,192 394,817 ------------ --------- ------------ NET INVESTMENT INCOME (LOSS)....................... 3,174,300 507,856 2,458,527 ------------ --------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers....................................... (1,159,437) (699,292) (29,611,526) Investments in securities of affiliated issuers....................................... 4,981 (1,902) (107,989) Foreign currency transactions................... 35 -- -- Net change in unrealized appreciation (depreciation) on: Investments..................................... (34,356,107) 379,416 (52,514,346) Foreign currency transactions................... -- -- -- ------------ --------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.................................. (35,510,528) (321,778) (82,233,861) ------------ --------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......................................... $(32,336,228) $ 186,078 $(79,775,334) ============ ========= ============
See accompanying notes to financial statements. 164 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES DOW JONES DOW JONES DOW JONES LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH ETF ETF ETF ETF ETF ETF --------------- ----------- -------------- ------------- ----------- ---------------- $ 3,482,970 $ 445,538 $ 243,137 $ 336,916 $ 331,075 $ 568,387 4,648 -- -- -- -- -- 150,009 64,336 100,496 27,189 54,919 297,902 (130) (221) -- (188) (71) (31) ------------ ----------- ----------- ----------- ----------- ------------ 3,637,497 509,653 343,633 363,917 385,923 866,258 ------------ ----------- ----------- ----------- ----------- ------------ 184,359 54,982 83,742 23,568 38,918 189,756 2,968 681 1,090 303 468 2,448 7,734 10,647 7,893 7,915 9,695 8,524 ------------ ----------- ----------- ----------- ----------- ------------ 195,061 66,310 92,725 31,786 49,081 200,728 ------------ ----------- ----------- ----------- ----------- ------------ 3,442,436 443,343 250,908 332,131 336,842 665,530 ------------ ----------- ----------- ----------- ----------- ------------ (22,338,749) (5,130,083) (8,964,604) (3,282,204) (1,529,733) (10,609,076) (59,504) -- -- -- -- -- -- -- -- -- 12 (13) (10,478,734) (1,113,940) (419,371) 404,013 (2,381,697) (10,871,283) -- -- -- -- -- -- ------------ ----------- ----------- ----------- ----------- ------------ (32,876,987) (6,244,023) (9,383,975) (2,878,191) (3,911,418) (21,480,372) ------------ ----------- ----------- ----------- ----------- ------------ $(29,434,551) $(5,800,680) $(9,133,067) $(2,546,060) $(3,574,576) $(20,814,842) ============ =========== =========== =========== =========== ============
165 SPDR SERIES TRUST STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DJ GLOBAL DOW JONES SMALL CAP VALUE TITANS REIT ETF ETF ETF --------------- ------------ ------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2)............................... $ 2,278,873 $ 3,682,218 $ 47,568,828 Dividend income on securities of affiliated issuers (Note 3)............................... -- -- -- Affiliated securities lending -- net (Note 3 and Note 8)........................................ 239,898 120,900 1,825,081 Foreign taxes withheld............................ (633) (159,180) -- ------------ ------------ ------------- TOTAL INVESTMENT INCOME........................... 2,518,138 3,643,938 49,393,909 ------------ ------------ ------------- EXPENSES Advisory fee (Note 3) ............................ 175,605 491,732 2,556,320 Trustees fee (Note 3)............................. 2,429 3,591 35,919 Miscellaneous expense............................. 11,013 1,490 2,292 ------------ ------------ ------------- TOTAL EXPENSES.................................... 189,047 496,813 2,594,531 ------------ ------------ ------------- NET INVESTMENT INCOME (LOSS)...................... 2,329,091 3,147,125 46,799,378 ------------ ------------ ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers...................................... (11,897,564) (20,479,681) (274,749,551) Investments in securities of affiliated issuers...................................... -- -- -- Foreign currency transactions.................. -- (8,636) -- Net change in unrealized appreciation (depreciation) on: Investments.................................... (12,389,930) (24,244,289) (433,828,051) Foreign currency transactions.................. -- (12,236) -- ------------ ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS................................. (24,287,494) (44,744,842) (708,577,602) ------------ ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $(21,958,403) $(41,597,717) $(661,778,224) ============ ============ =============
See accompanying notes to financial statements. 166 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR SPDR SPDR KBW KBW KBW MORGAN STANLEY S&P S&P BANK CAPITAL MARKETS INSURANCE TECHNOLOGY DIVIDEND BIOTECH ETF ETF ETF ETF ETF ETF ------------- --------------- ------------ -------------- ------------- ------------- $ 33,854,751 $ 1,427,669 $ 2,092,916 $ 1,703,834 $ 21,006,957 $ 4,480,366 351,342 58,260 -- -- -- -- 4,968,932 144,074 121,254 216,803 1,022,873 1,042,804 -- -- -- (56,951) -- -- ------------- ------------ ------------ ------------ ------------- ------------- 39,175,025 1,630,003 2,214,170 1,863,686 22,029,830 5,523,170 ------------- ------------ ------------ ------------ ------------- ------------- 2,952,524 284,784 266,043 877,701 1,413,666 1,627,334 29,023 2,862 2,163 6,226 10,666 15,152 3,314 2,906 357 402 2,810 3,621 ------------- ------------ ------------ ------------ ------------- ------------- 2,984,861 290,552 268,563 884,329 1,427,142 1,646,107 ------------- ------------ ------------ ------------ ------------- ------------- 36,190,164 1,339,451 1,945,607 979,357 20,602,688 3,877,063 ------------- ------------ ------------ ------------ ------------- ------------- (328,387,789) (57,447,351) (48,781,149) (34,789,154) (134,987,178) (94,674,335) (12,913,201) (3,141,442) -- -- -- -- -- -- -- -- -- -- (193,187,760) 17,974,335 9,231,599 (18,399,193) 77,037,794 (24,720,840) -- -- -- -- -- -- ------------- ------------ ------------ ------------ ------------- ------------- (534,488,750) (42,614,458) (39,549,550) (53,188,347) (57,949,384) (119,395,175) ------------- ------------ ------------ ------------ ------------- ------------- $(498,298,586) $(41,275,007) $(37,603,943) $(52,208,990) $ (37,346,696) $(115,518,112) ============= ============ ============ ============ ============= =============
167 SPDR SERIES TRUST STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR S&P SPDR SPDR OIL & GAS S&P S&P EQUIPMENT & HOMEBUILDERS METALS & MINING SERVICES ETF ETF ETF ------------- --------------- ------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2).............................. $ 9,973,826 $ 5,608,592 $ 1,473,619 Dividend income on securities of affiliated issuers (Note 3).............................. -- -- -- Affiliated securities lending -- net (Note 3 and Note 8)....................................... 2,268,729 609,277 190,780 ------------- ------------- ------------- TOTAL INVESTMENT INCOME.......................... 12,242,555 6,217,869 1,664,399 ------------- ------------- ------------- EXPENSES Advisory fee (Note 3)............................ 1,948,518 1,220,504 525,881 Trustees fee (Note 3)............................ 17,656 11,664 5,262 Miscellaneous expense............................ 10,113 5,731 1,048 ------------- ------------- ------------- TOTAL EXPENSES................................... 1,976,287 1,237,899 532,191 ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS)..................... 10,266,268 4,979,970 1,132,208 ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers..................................... (459,491,919) (261,610,132) (55,640,576) Net change in unrealized appreciation (depreciation) on: Investments................................... 143,673,510 (66,817,314) (88,887,400) ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS................................ (315,818,409) (328,427,446) (144,527,976) ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $(305,552,141) $(323,447,476) $(143,395,768) ============= ============= =============
(1) For the period April 29, 2009 (commencement of operations) to June 30, 2009. See accompanying notes to financial statements. 168 - --------------------------------------------------------------------------------
SPDR S&P SPDR SPDR OIL & GAS SPDR SPDR KBW KBW EXPLORATION & S&P SPDR S&P REGIONAL MORTGAGE PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING FINANCE ETF ETF ETF ETF ETF ETF(1) ------------- --------------- ------------- ------------- ------------- --------- $ 2,751,808 $ 550,465 $ 5,410,551 $ 473,398 $ 20,662,985 $ 25,083 -- -- -- -- -- 9 300,656 104,914 1,032,013 92,379 3,617,147 -- ------------- ----------- ------------- ------------ ------------- --------- 3,052,464 655,379 6,442,564 565,777 24,280,132 25,092 ------------- ----------- ------------- ------------ ------------- --------- 910,986 117,780 1,148,265 134,485 2,104,178 3,169 8,511 846 10,398 934 20,480 5 728 2,841 5,247 394 1,822 -- ------------- ----------- ------------- ------------ ------------- --------- 920,225 121,467 1,163,910 135,813 2,126,480 3,174 ------------- ----------- ------------- ------------ ------------- --------- 2,132,239 533,912 5,278,654 429,964 22,153,652 21,918 ------------- ----------- ------------- ------------ ------------- --------- (132,834,713) (3,493,487) (216,930,922) (16,661,344) (240,638,024) (43,361) (83,900,106) 2,830,730 21,099,340 23,342,847 (151,814,096) (663,910) ------------- ----------- ------------- ------------ ------------- --------- (216,734,819) (662,757) (195,831,582) 6,681,503 (392,452,120) (707,271) ------------- ----------- ------------- ------------ ------------- --------- $(214,602,580) $ (128,845) $(190,552,928) $ 7,111,467 $(370,298,468) $(685,353) ============= =========== ============= ============ ============= =========
169 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR SPDR DOW JONES DOW JONES TOTAL MARKET LARGE CAP ETF ETF --------------------------- ------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ------------ ------------ ----------- ----------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).................. $ 3,174,300 $ 2,244,548 $ 507,856 $ 177,274 Net realized gain (loss) on investments and foreign currency transactions.............. (1,154,421) 3,186,022 (701,194) 727,553 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...................... (34,356,107) (21,214,649) 379,416 (2,121,495) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. (32,336,228) (15,784,079) 186,078 (1,216,668) ------------ ------------ ----------- ----------- Net equalization credits and charges.......... 167,286 41,743 98,422 203 ------------ ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (3,248,305) (2,289,838) (588,582) (177,131) Net realized gains............................ -- -- -- (15,041) ------------ ------------ ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS........... (3,248,305) (2,289,838) (588,582) (192,172) ------------ ------------ ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.......... 89,281,386 19,545,099 33,927,680 6,883,341 Net proceeds from reinvestment of distributions.............................. 487 101 -- -- Cost of shares redeemed....................... (21,571,970) (5,576,845) (4,039,406) (6,878,146) Net income equalization (Note 2).............. (167,286) (41,743) (98,422) (203) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.............. 67,542,617 13,926,612 29,789,852 4,992 ------------ ------------ ----------- ----------- Net increase (decrease) in net assets during year....................................... 32,125,370 (4,105,562) 29,485,770 (1,403,645) Net assets at beginning of year............... 126,112,641 130,218,203 8,933,215 10,336,860 ------------ ------------ ----------- ----------- NET ASSETS END OF YEAR (1)...................... $158,238,011 $126,112,641 $38,418,985 $ 8,933,215 ============ ============ =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold................................... 1,300,000 200,000 850,000 100,000 Shares issued to shareholders from reinvestment of distributions.............. 6 1 -- -- Shares redeemed............................... (300,000) (50,000) (100,000) (100,000) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE)......................... 1,000,006 150,001 750,000 -- ============ ============ =========== =========== (1) Including undistributed (distribution in excess of) net investment income........... $ (186,444) $ (70,336) $ (87,266) $ (447) ============ ============ =========== ===========
See accompanying notes to financial statements. 170 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES LARGE CAP GROWTH LARGE CAP VALUE MID CAP ETF ETF ETF ----------------------------- --------------------------- ------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 -------------- ------------ ------------ ------------ ----------- ----------- $ 2,458,527 $ 2,373,733 $ 3,442,436 $ 3,454,312 $ 443,343 $ 267,638 (29,719,515) 7,751,617 (22,398,253) 9,349,127 (5,130,083) 1,031,186 (52,514,346) (25,147,072) (10,478,734) (37,561,456) (1,113,940) (4,543,696) ------------- ------------ ------------ ------------ ----------- ----------- (79,775,334) (15,021,722) (29,434,551) (24,758,017) (5,800,680) (3,244,872) ------------- ------------ ------------ ------------ ----------- ----------- (127,275) 53,609 124,412 (133,124) 37,015 (3,315) ------------- ------------ ------------ ------------ ----------- ----------- (2,246,413) (2,447,123) (3,648,149) (3,329,881) (471,074) (286,883) -- -- -- -- -- (1,081,382) ------------- ------------ ------------ ------------ ----------- ----------- (2,246,413) (2,447,123) (3,648,149) (3,329,881) (471,074) (1,368,265) ------------- ------------ ------------ ------------ ----------- ----------- 18,321,830 125,624,489 53,353,954 29,080,124 16,712,294 5,453,476 327 -- 13,625 6,865 -- -- (70,498,609) (42,848,098) (14,492,257) (56,818,532) -- (5,074,560) 127,275 (53,609) (124,412) 133,124 (37,015) 3,315 ------------- ------------ ------------ ------------ ----------- ----------- (52,049,177) 82,722,782 38,750,910 (27,598,419) 16,675,279 382,231 ------------- ------------ ------------ ------------ ----------- ----------- (134,198,199) 65,307,546 5,792,622 (55,819,441) 10,440,540 (4,234,221) 289,015,134 223,707,588 93,427,924 149,247,365 20,819,746 25,053,967 ------------- ------------ ------------ ------------ ----------- ----------- $ 154,816,935 $289,015,134 $ 99,220,546 $ 93,427,924 $31,260,286 $20,819,746 ============= ============ ============ ============ =========== =========== 450,000 2,200,000 1,000,000 350,000 450,000 100,000 9 -- 264 84 -- -- (1,900,000) (750,000) (300,000) (700,000) -- (100,000) ------------- ------------ ------------ ------------ ----------- ----------- (1,449,991) 1,450,000 700,264 (349,916) 450,000 -- ============= ============ ============ ============ =========== =========== $ 40,187 $ (72,213) $ (183,617) $ 96,762 $ (97,275) $ (29,496) ============= ============ ============ ============ =========== ===========
171 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR SPDR DOW JONES DOW JONES MID CAP GROWTH MID CAP VALUE ETF ETF -------------------------- ------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ----------- ------------ ----------- ----------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).................... $ 250,908 $ 190,598 $ 332,131 $ 299,689 Net realized gain (loss) on investments and foreign currency transactions................ (8,964,604) 1,375,831 (3,282,204) (1,625,365) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions........................ (419,371) (6,371,142) 404,013 (1,554,983) ----------- ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................. (9,133,067) (4,804,713) (2,546,060) (2,880,659) ----------- ------------ ----------- ----------- Net equalization credits and charges............ 10,023 (1,714) (23,866) (25,215) ----------- ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................... (254,596) (193,740) (319,079) (302,238) Net realized gains.............................. -- (726,522) -- -- ----------- ------------ ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS............. (254,596) (920,262) (319,079) (302,238) ----------- ------------ ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares............ 11,384,549 41,395,403 5,146,279 -- Net proceeds from reinvestment of distributions................................ -- -- -- -- Cost of shares redeemed......................... (3,034,805) (15,799,591) (3,525,839) (5,678,054) Net income equalization (Note 2)................ (10,023) 1,714 23,866 25,215 ----------- ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS................ 8,339,721 25,597,526 1,644,306 (5,652,839) ----------- ------------ ----------- ----------- Net increase (decrease) in net assets during year......................................... (1,037,919) 19,870,837 (1,244,699) (8,860,951) Net assets at beginning of year................. 43,977,178 24,106,341 10,068,188 18,929,139 ----------- ------------ ----------- ----------- NET ASSETS END OF YEAR (1)........................ $42,939,259 $ 43,977,178 $ 8,823,489 $10,068,188 =========== ============ =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold..................................... 300,000 600,000 150,000 -- Shares issued to shareholders from reinvestment of distributions............................. -- -- -- -- Shares redeemed................................. (50,000) (250,000) (100,000) (100,000) ----------- ------------ ----------- ----------- NET INCREASE (DECREASE)......................... 250,000 350,000 50,000 (100,000) =========== ============ =========== =========== (1) Including undistributed (distribution in excess of) net investment income............. $ (22,153) $ (6,255) $ (49,561) $ (16,973) =========== ============ =========== ===========
See accompanying notes to financial statements. 172 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES SMALL CAP SMALL CAP GROWTH SMALL CAP VALUE ETF ETF ETF -------------------------- --------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 ------------ ----------- ------------ ------------ ------------ ------------ $ 336,842 $ 163,631 $ 665,530 $ 432,859 $ 2,329,091 $ 2,066,772 (1,529,721) 735,067 (10,609,089) 14,964,160 (11,897,564) 5,149,277 (2,381,697) (2,758,524) (10,871,283) (27,173,239) (12,389,930) (30,679,465) ----------- ----------- ------------ ------------ ------------ ------------ (3,574,576) (1,859,826) (20,814,842) (11,776,220) (21,958,403) (23,463,416) ----------- ----------- ------------ ------------ ------------ ------------ 24,819 8,188 47,524 3,615 (27,061) 14,047 ----------- ----------- ------------ ------------ ------------ ------------ (327,907) (181,544) (683,706) (433,982) (1,928,987) (2,295,875) -- -- -- (1,492,119) (266,335) (424,791) ----------- ----------- ------------ ------------ ------------ ------------ (327,907) (181,544) (683,706) (1,926,101) (2,195,322) (2,720,666) ----------- ----------- ------------ ------------ ------------ ------------ 12,736,870 14,851,257 45,604,693 70,646,661 39,138,899 9,480,238 300 -- 88 559 3,933 10,808 -- (8,977,921) (16,157,524) (59,224,273) (34,960,025) (13,540,557) (24,819) (8,188) (47,524) (3,615) 27,061 (14,047) ----------- ----------- ------------ ------------ ------------ ------------ 12,712,351 5,865,148 29,399,733 11,419,332 4,209,868 (4,063,558) ----------- ----------- ------------ ------------ ------------ ------------ 8,834,687 3,831,966 7,948,709 (2,279,374) (19,970,918) (30,233,593) 13,816,739 9,984,773 86,128,557 88,407,931 89,856,252 120,089,845 ----------- ----------- ------------ ------------ ------------ ------------ $22,651,426 $13,816,739 $ 94,077,266 $ 86,128,557 $ 69,885,334 $ 89,856,252 =========== =========== ============ ============ ============ ============ 300,000 250,000 700,000 700,000 700,000 150,000 9 -- 1 6 73 166 -- (150,000) (250,000) (600,000) (650,000) (200,000) ----------- ----------- ------------ ------------ ------------ ------------ 300,009 100,000 450,001 100,006 50,073 (49,834) =========== =========== ============ ============ ============ ============ $ (66,365) $ (34,268) $ (115,978) $ (21,223) $ (400,089) $ (480,556) =========== =========== ============ ============ ============ ============
173 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR SPDR DJ DOW JONES GLOBAL TITANS REIT ETF ETF --------------------------- ------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ------------ ------------ -------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).............. $ 3,147,125 $ 4,569,354 $ 46,799,378 $ 34,780,063 Net realized gain (loss) on investments and foreign currency transactions...... (20,488,317) (7,992,699) (274,749,551) 51,644,515 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions.......... (24,256,525) (21,693,159) (433,828,051) (284,506,178) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. (41,597,717) (25,116,504) (661,778,224) (198,081,600) ------------ ------------ -------------- -------------- Net equalization credits and charges...... (176,604) 78,677 2,600,928 2,733,717 ------------ ------------ -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................... (2,892,421) (4,723,060) (55,657,332) (58,172,700) Net realized gains........................ -- -- -- -- ------------ ------------ -------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS....... (2,892,421) (4,723,060) (55,657,332) (58,172,700) ------------ ------------ -------------- -------------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares...... 23,127,126 27,231,499 528,069,032 735,860,724 Net proceeds from reinvestment of distributions.......................... 7,504 3,706 323,119 265,995 Cost of shares redeemed................... (71,375,891) (3,849,946) (191,862,425) (437,969,362) Net income equalization (Note 2).......... 176,604 (78,677) (2,600,928) (2,733,717) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......... (48,064,657) 23,306,582 333,928,798 295,423,640 ------------ ------------ -------------- -------------- Net increase (decrease) in net assets during year............................ (92,731,399) (6,454,305) (380,905,830) 41,903,057 Net assets at beginning of year........... 163,653,931 170,108,236 1,289,796,160 1,247,893,103 ------------ ------------ -------------- -------------- NET ASSETS END OF YEAR (1).................. $ 70,922,532 $163,653,931 $ 908,890,330 $1,289,796,160 ============ ============ ============== ============== SHARES OF BENEFICIAL INTEREST: Shares sold............................... 450,000 350,000 11,500,000 10,100,000 Shares issued to shareholders from reinvestment of distributions.......... 157 48 6,899 3,537 Shares redeemed........................... (1,400,000) (50,000) (4,500,000) (5,800,000) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE)..................... (949,843) 300,048 7,006,899 4,303,537 ============ ============ ============== ============== (1) Including undistributed (distribution in excess of) net investment income....... $ 181,483 $ (64,585) $ (14,481,812) $ (16,456,066) ============ ============ ============== ==============
See accompanying notes to financial statements. 174 - --------------------------------------------------------------------------------
SPDR SPDR SPDR KBW KBW KBW BANK CAPITAL MARKETS INSURANCE ETF ETF ETF --------------------------------- ------------------------------- ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 --------------- --------------- ------------- --------------- ------------- ------------- $ 36,190,164 $ 17,645,349 $ 1,339,451 $ 1,404,657 $ 1,945,607 $ 2,058,705 (341,300,990) (71,181,193) (60,588,793) (33,359,964) (48,781,149) (9,563,252) (193,187,760) (313,025,630) 17,974,335 (42,353,956) 9,231,599 (28,059,915) --------------- --------------- ------------- --------------- ------------- ------------- (498,298,586) (366,561,474) (41,275,007) (74,309,263) (37,603,943) (35,564,462) --------------- --------------- ------------- --------------- ------------- ------------- 1,161,281 6,463,701 (69,089) 274,818 419,502 241,888 --------------- --------------- ------------- --------------- ------------- ------------- (31,427,389) (22,992,238) (1,034,884) (1,696,609) (2,043,777) (2,328,352) -- -- -- -- -- -- --------------- --------------- ------------- --------------- ------------- ------------- (31,427,389) (22,992,238) (1,034,884) (1,696,609) (2,043,777) (2,328,352) --------------- --------------- ------------- --------------- ------------- ------------- 6,031,102,867 4,476,767,384 576,362,751 2,178,610,256 494,256,921 516,506,101 39,103 25,301 -- -- -- -- (5,563,002,677) (3,276,027,101) (571,164,830) (2,071,307,179) (378,778,174) (474,652,361) (1,161,281) (6,463,701) 69,089 (274,818) (419,502) (241,888) --------------- --------------- ------------- --------------- ------------- ------------- 466,978,012 1,194,301,883 5,267,010 107,028,259 115,059,245 41,611,852 --------------- --------------- ------------- --------------- ------------- ------------- (61,586,682) 811,211,872 (37,111,970) 31,297,205 75,831,027 3,960,926 883,280,284 72,068,412 117,300,337 86,003,132 63,373,817 59,412,891 --------------- --------------- ------------- --------------- ------------- ------------- $ 821,693,602 $ 883,280,284 $ 80,188,367 $ 117,300,337 $ 139,204,844 $ 63,373,817 =============== =============== ============= =============== ============= ============= 273,200,000 106,350,000 17,200,000 34,200,000 17,650,000 9,900,000 1,392 612 -- -- -- -- (258,650,000) (76,750,000) (17,400,000) (32,850,000) (13,950,000) (9,350,000) --------------- --------------- ------------- --------------- ------------- ------------- 14,551,392 29,600,612 (200,000) 1,350,000 3,700,000 550,000 =============== =============== ============= =============== ============= ============= $ (584,114) $ (5,346,889) $ 89,192 $ (215,175) $ (301,169) $ (202,999) =============== =============== ============= =============== ============= =============
175 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR SPDR MORGAN STANLEY TECHNOLOGY S&P DIVIDEND ETF ETF --------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ------------ ------------ ------------- ------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)................ $ 979,357 $ 608,029 $ 20,602,688 $ 9,929,169 Net realized gain (loss) on investments and foreign currency transactions............ (34,789,154) (1,131,878) (134,987,178) (7,300,900) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions.................... (18,399,193) (30,793,772) 77,037,794 (74,999,594) ------------ ------------ ------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ (52,208,990) (31,317,621) (37,346,696) (72,371,325) ------------ ------------ ------------- ------------ Net equalization credits and charges........ (10,362) (20,040) 1,680,369 99,649 ------------ ------------ ------------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................... (984,816) (623,850) (22,069,140) (10,113,603) Net realized gains.......................... -- -- -- (3,272,942) ------------ ------------ ------------- ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS......... (984,816) (623,850) (22,069,140) (13,386,545) ------------ ------------ ------------- ------------ FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares........ 106,881,919 112,430,275 551,760,708 67,799,118 Net proceeds from reinvestment of distributions............................ 182 -- 51,009 4,601 Cost of shares redeemed..................... (84,740,532) (40,429,206) (64,119,182) (26,986,453) Net income equalization (Note 2)............ 10,362 20,040 (1,680,369) (99,649) ------------ ------------ ------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS............ 22,151,931 72,021,109 486,012,166 40,717,617 ------------ ------------ ------------- ------------ Voluntary contribution from Adviser......... -- -- -- -- ------------ ------------ ------------- ------------ Net increase (decrease) in net assets during year..................................... (31,052,237) 40,059,598 428,276,699 (44,940,604) Net assets at beginning of year............. 228,870,470 188,810,872 230,378,466 275,319,070 ------------ ------------ ------------- ------------ NET ASSETS END OF YEAR (1).................... $197,818,233 $228,870,470 $ 658,655,165 $230,378,466 ============ ============ ============= ============ SHARES OF BENEFICIAL INTEREST: Shares sold................................. 2,550,000 1,850,000 13,950,000 1,250,000 Shares issued to shareholders from reinvestment of distributions............ 4 -- 1,325 85 Shares redeemed............................. (2,300,000) (750,000) (1,800,000) (450,000) ------------ ------------ ------------- ------------ NET INCREASE (DECREASE) 250,004 1,100,000 12,151,325 800,085 ============ ============ ============= ============ (1) Including undistributed (distribution in excess of) net investment income......... $ (21,280) $ (15,821) $ (1,650,886) $ (184,434) ============ ============ ============= ============
See accompanying notes to financial statements. 176 - --------------------------------------------------------------------------------
SPDR SPDR SPDR S&P BIOTECH S&P HOMEBUILDERS S&P METALS & MINING ETF ETF ETF ------------------------------ --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 -------------- ------------- --------------- --------------- --------------- --------------- $ 3,877,063 $ 3,117,219 $ 10,266,268 $ 8,290,987 $ 4,979,970 $ 2,065,183 (94,674,335) 22,042,568 (459,491,919) (142,189,940) (261,610,132) 130,740,731 (24,720,840) (17,796,047) 143,673,510 (123,156,917) (66,817,314) 48,689,578 ------------- ------------- --------------- --------------- --------------- --------------- (115,518,112) 7,363,740 (305,552,141) (257,055,870) (323,447,476) 181,495,492 ------------- ------------- --------------- --------------- --------------- --------------- 5,249 (73,636) 618,208 (1,258,222) 393,942 (11,437) ------------- ------------- --------------- --------------- --------------- --------------- (1,461,033) (3,143,730) (12,064,713) (6,970,799) (5,169,117) (1,900,215) -- -- -- -- -- -- ------------- ------------- --------------- --------------- --------------- --------------- (1,461,033) (3,143,730) (12,064,713) (6,970,799) (5,169,117) (1,900,215) ------------- ------------- --------------- --------------- --------------- --------------- 821,819,762 513,373,804 2,989,402,107 5,717,311,767 2,140,363,923 2,105,539,857 -- -- -- -- 2,648 327 (542,400,771) (360,208,917) (2,651,227,691) (5,248,799,178) (2,028,519,747) (1,669,482,816) (5,249) 73,636 (618,208) 1,258,222 (393,942) 11,437 ------------- ------------- --------------- --------------- --------------- --------------- 279,413,742 153,238,523 337,556,208 469,770,811 111,452,882 436,068,805 ------------- ------------- --------------- --------------- --------------- --------------- 1,726,351 -- -- -- -- -- ------------- ------------- --------------- --------------- --------------- --------------- 164,166,197 157,384,897 20,557,562 204,485,920 (216,769,769) 615,652,645 264,341,747 106,956,850 535,552,987 331,067,067 819,192,561 203,539,916 ------------- ------------- --------------- --------------- --------------- --------------- $ 428,507,944 $ 264,341,747 $ 556,110,549 $ 535,552,987 $ 602,422,792 $ 819,192,561 ============= ============= =============== =============== =============== =============== 14,200,000 8,900,000 221,600,000 269,300,000 51,650,000 28,650,000 -- -- -- -- 92 5 (10,350,000) (6,400,000) (206,750,000) (247,800,000) (44,100,000) (23,200,000) ------------- ------------- --------------- --------------- --------------- --------------- 3,850,000 2,500,000 14,850,000 21,500,000 7,550,092 5,450,005 ============= ============= =============== =============== =============== =============== $ 12,140 $ 62,240 $ (478,257) $ 1,320,188 $ 142,357 $ 331,504 ============= ============= =============== =============== =============== ===============
177 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR S&P OIL & GAS EQUIPMENT SPDR S&P OIL & GAS EXPLORATION & SERVICES & PRODUCTION ETF ETF ---------------------------- ------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ------------- ------------- --------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)............... $ 1,132,208 $ 533,539 $ 2,132,239 $ 423,269 Net realized gain (loss) on investments and foreign currency transactions........... (55,640,576) 20,853,423 (132,834,713) 69,600,369 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions........... (88,887,400) 35,819,574 (83,900,106) 6,341,520 ------------- ------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... (143,395,768) 57,206,536 (214,602,580) 76,365,158 ------------- ------------- --------------- -------------- Net equalization credits and charges....... 5,007 20,424 169,086 52,962 ------------- ------------- --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income...................... (1,111,182) (577,767) (2,190,011) (462,680) Net realized gains......................... -- (476,105) -- -- ------------- ------------- --------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS........ (1,111,182) (1,053,872) (2,190,011) (462,680) ------------- ------------- --------------- -------------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares....... 163,432,877 197,459,958 2,641,583,363 1,166,925,024 Net proceeds from reinvestment of distributions........................... -- -- -- -- Cost of shares redeemed.................... (99,773,052) (117,592,013) (2,456,461,127) (969,915,790) Net income equalization (Note 2)........... (5,007) (20,424) (169,086) (52,962) ------------- ------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS........... 63,654,818 79,847,521 184,953,150 196,956,272 ------------- ------------- --------------- -------------- Voluntary contribution from Adviser........ -- -- -- -- ------------- ------------- --------------- -------------- Net increase (decrease) in net assets during year............................. (80,847,125) 136,020,609 (31,670,355) 272,911,712 Net assets at beginning of year............ 279,948,051 143,927,442 311,952,415 39,040,703 ------------- ------------- --------------- -------------- NET ASSETS END OF YEAR (1)................... $ 199,100,926 $ 279,948,051 $ 280,282,060 $ 311,952,415 ============= ============= =============== ============== SHARES OF BENEFICIAL INTEREST: Shares sold................................ 7,300,000 4,650,000 75,050,000 20,700,000 Shares issued to shareholders from reinvestment of distributions........... -- -- -- -- Shares redeemed............................ (3,650,000) (3,050,000) (70,650,000) (17,100,000) ------------- ------------- --------------- -------------- NET INCREASE (DECREASE)...................... 3,650,000 1,600,000 4,400,000 3,600,000 ============= ============= =============== ============== (1) Including undistributed (distribution in excess of) net investment income........ $ (23,202) $ (44,228) $ (94,490) $ (36,718) ============= ============= =============== ==============
See accompanying notes to financial statements. 178 - --------------------------------------------------------------------------------
SPDR SPDR SPDR S&P PHARMACEUTICALS S&P RETAIL S&P SEMICONDUCTOR ETF ETF ETF --------------------------- --------------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 ------------- ------------ ---------------- --------------- ------------ ------------- $ 533,912 $ 86,848 $ 5,278,654 $ 2,632,222 $ 429,964 $ 635,032 (3,493,487) (977,925) (216,930,922) (17,914,685) (16,661,344) (23,174,644) 2,830,730 (338,625) 21,099,340 (29,868,212) 23,342,847 (12,583,453) ------------ ------------ ---------------- --------------- ------------ ------------- (128,845) (1,229,702) (190,552,928) (45,150,675) 7,111,467 (35,123,065) ------------ ------------ ---------------- --------------- ------------ ------------- 38,194 8,174 (95,155) (473,125) 29,997 35,395 ------------ ------------ ---------------- --------------- ------------ ------------- (562,918) (95,265) (5,623,569) (2,110,822) (433,928) (669,175) (65,554) -- -- -- -- -- ------------ ------------ ---------------- --------------- ------------ ------------- (628,472) (95,265) (5,623,569) (2,110,822) (433,928) (669,175) ------------ ------------ ---------------- --------------- ------------ ------------- 49,204,184 17,268,279 11,839,508,553 6,499,402,770 124,086,754 267,129,205 31 31 1,282 64 -- -- (17,276,711) (15,511,958) (10,888,760,286) (6,325,436,259) (67,019,898) (298,237,858) (38,194) (8,174) 95,155 473,125 (29,997) (35,395) ------------ ------------ ---------------- --------------- ------------ ------------- 31,889,310 1,748,178 950,844,704 174,439,700 57,036,859 (31,144,048) ------------ ------------ ---------------- --------------- ------------ ------------- -- -- 53,830 1,697,400 -- -- ------------ ------------ ---------------- --------------- ------------ ------------- 31,170,187 431,385 754,626,882 128,402,478 63,744,395 (66,900,893) 9,328,454 8,897,069 263,380,341 134,977,863 39,537,983 106,438,876 ------------ ------------ ---------------- --------------- ------------ ------------- $ 40,498,641 $ 9,328,454 $ 1,018,007,223 $ 263,380,341 $103,282,378 $ 39,537,983 ============ ============ ================ =============== ============ ============= 1,700,000 550,000 470,050,000 190,550,000 4,150,000 5,750,000 1 1 53 2 -- -- (650,000) (500,000) (442,300,000) (184,650,000) (2,050,000) (6,800,000) ------------ ------------ ---------------- --------------- ------------ ------------- 1,050,001 50,001 27,750,053 5,900,002 2,100,000 (1,050,000) ============ ============ ================ =============== ============ ============= $ (36,724) $ (7,718) $ 127,439 $ 521,400 $ (38,107) $ (34,143) ============ ============ ================ =============== ============ =============
179 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR KBW REGIONAL BANKING ETF -------------------------------- SPDR KBW MORTGAGE FINANCE ETF ---------------- FOR THE PERIOD YEAR ENDED YEAR ENDED 4/29/09*- 6/30/09 6/30/08 6/30/09 --------------- --------------- ---------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)...................... $ 22,153,652 $ 13,039,136 $ 21,918 Net realized gain (loss) on investments and foreign currency transactions.................. (240,638,024) (66,927,922) (43,361) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions.......................... (151,814,096) (151,148,823) (663,910) --------------- --------------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................ (370,298,468) (205,037,609) (685,353) --------------- --------------- ---------- Net equalization credits and charges.............. 1,694,638 (5,519,790) 6,083 --------------- --------------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............................. (30,200,435) (7,465,907) (26,714) Net realized gains................................ -- -- -- --------------- --------------- ---------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS............... (30,200,435) (7,465,907) (26,714) --------------- --------------- ---------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.............. 5,364,521,846 6,047,386,542 6,139,244 Net proceeds from reinvestment of distributions... 40,388 4,656 -- Cost of shares redeemed........................... (5,238,409,636) (5,254,127,148) -- Net income equalization (Note 2).................. (1,694,638) 5,519,790 (6,083) --------------- --------------- ---------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.................. 124,457,960 798,783,840 6,133,161 --------------- --------------- ---------- Net increase (decrease) in net assets during year........................................... (274,346,305) 580,760,534 5,427,177 Net assets at beginning of year................... 709,283,709 128,523,175 -- --------------- --------------- ---------- NET ASSETS END OF YEAR (1).......................... $ 434,937,404 $ 709,283,709 $5,427,177 =============== =============== ========== SHARES OF BENEFICIAL INTEREST: Shares sold....................................... 189,700,000 164,500,000 150,000 Shares issued to shareholders from reinvestment of distributions.................................. 1,519 135 -- Shares redeemed................................... (192,650,000) (140,600,000) -- --------------- --------------- ---------- NET INCREASE (DECREASE)............................. (2,948,481) 23,900,135 150,000 =============== =============== ========== (1) Including undistributed (distribution in excess of) net investment income...................... $ (1,299,562) $ 6,747,221 $ (4,796) =============== =============== ========== * Commencement of operations
See accompanying notes to financial statements. 180 (This page intentionally left blank) 181 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES TOTAL MARKET ETF --------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 -------- -------- -------- ------- -------- NET ASSET VALUE, BEGINNING OF PERIOD............. $ 93.41 $ 108.50 $ 91.82 $ 85.26 $ 80.87 -------- -------- -------- ------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)..................... 1.66(4) 1.74 1.61 1.50 1.69 Net realized and unrealized gain (loss) (5)...... (26.18) (15.07) 16.69 6.54 4.38 -------- -------- -------- ------- -------- Total from investment operations................. (24.52) (13.33) 18.30 8.04 6.07 -------- -------- -------- ------- -------- Net equalization credits and charges (4)......... 0.09 0.03 -- -- -- -------- -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............................ (1.65) (1.79) (1.62) (1.48) (1.68) Net realized gains............................... -- -- -- -- -- -------- -------- -------- ------- -------- Total distributions.............................. (1.65) (1.79) (1.62) (1.48) (1.68) -------- -------- -------- ------- -------- NET ASSET VALUE, END OF PERIOD................... $ 67.33 $ 93.41 $ 108.50 $ 91.82 $ 85.26 ======== ======== ======== ======= ======== TOTAL RETURN (1)................................. (26.18)% (12.36)% 20.06% 9.47% 7.55% Net assets, end of period (in 000s).............. $158,238 $126,113 $130,218 $96,416 $106,580 Ratio of expenses to average net assets.......... 0.21% 0.20% 0.20% 0.21% 0.21% Ratio of net investment income (loss) to average net assets..................................... 2.42% 1.74% 1.62% 1.62% 2.05% Portfolio turnover rate (3)...................... 10% 1% 2% 2% 32%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 182 - --------------------------------------------------------------------------------
SPDR DOW JONES SPDR DOW JONES LARGE CAP ETF LARGE CAP GROWTH ETF ------------------------------------------------ ----------------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED 11/8/05*- ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ------- ------- ------- -------------- -------- -------- -------- -------- ------- $ 59.55 $ 68.91 $ 58.17 $56.03 $ 54.02 $ 57.36 $ 49.05 $ 46.27 $ 47.56 ------- ------- ------- ------ -------- -------- -------- -------- ------- 1.09(4) 1.18 1.11 0.94 0.52(4) 0.44 0.47 0.34 0.71 (17.02) (9.26) 10.74 2.11 (14.31) (3.33) 8.32 2.78 (1.29) ------- ------- ------- ------ -------- -------- -------- -------- ------- (15.93) (8.08) 11.85 3.05 (13.79) (2.89) 8.79 3.12 (0.58) ------- ------- ------- ------ -------- -------- -------- -------- ------- 0.21 (0.00)+ -- -- (0.03) 0.01 (0.01) -- -- ------- ------- ------- ------ -------- -------- -------- -------- ------- (1.14) (1.18) (1.11) (0.91) (0.50) (0.46) (0.47) (0.34) (0.71) -- (0.10) -- -- -- -- -- -- -- ------- ------- ------- ------ -------- -------- -------- -------- ------- (1.14) (1.28) (1.11) (0.91) (0.50) (0.46) (0.47) (0.34) (0.71) ------- ------- ------- ------ -------- -------- -------- -------- ------- $ 42.69 $ 59.55 $ 68.91 $58.17 $ 39.70 $ 54.02 $ 57.36 $ 49.05 $ 46.27 ======= ======= ======= ====== ======== ======== ======== ======== ======= (26.44)% (11.84)% 20.50% 5.47% (25.58)% (5.04)% 17.96% 6.75% (1.25)% $38,419 $ 8,933 $10,337 $5,817 $154,817 $289,015 $223,708 $137,353 $80,981 0.23% 0.20% 0.20% 0.21%(2) 0.20% 0.20% 0.20% 0.21% 0.21% 2.63% 1.80% 1.69% 1.68%(2) 1.27% 0.81% 0.92% 0.74% 1.57% 10% 7% 4% 4% 32% 14% 15% 43% 21%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 183 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES LARGE CAP VALUE ETF ------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) ------- ------- -------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 69.18 $ 87.77 $ 73.15 $ 67.72 $ 62.91 ------- ------- -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).................. 1.93(4) 2.37 1.99 1.80 1.70 Net realized and unrealized gain (loss) (5)... (20.78) (18.59) 14.61 5.44 4.81 ------- ------- -------- -------- -------- Total from investment operations.............. (18.85) (16.22) 16.60 7.24 6.51 ------- ------- -------- -------- -------- Net equalization credits and charges (4)...... 0.07 (0.09) 0.02 -- -- ------- ------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (2.02) (2.28) (2.00) (1.81) (1.70) Net realized gains............................ -- -- -- -- -- ------- ------- -------- -------- -------- Total distributions........................... (2.02) (2.28) (2.00) (1.81) (1.70) ------- ------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD................ $ 48.38 $ 69.18 $ 87.77 $ 73.15 $ 67.72 ======= ======= ======== ======== ======== TOTAL RETURN (1).............................. (27.33)% (18.85)% 22.90% 10.80% 10.43% Net assets, end of period (in 000s)........... $99,221 $93,428 $149,247 $102,432 $135,456 Ratio of expenses to average net assets....... 0.21% 0.20% 0.20% 0.21% 0.21% Ratio of net investment income (loss) to average net assets.......................... 3.73% 2.80% 2.44% 2.52% 2.51% Portfolio turnover rate (3)................... 36% 13% 13% 42% 19%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 184 - --------------------------------------------------------------------------------
SPDR DOW JONES SPDR DOW JONES MID CAP ETF MID CAP GROWTH ETF -------------------------------------------- -------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 11/8/05*- ENDED ENDED ENDED 11/8/05*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 ------- ------- ------- -------------- ------- ------- ------- -------------- $ 52.05 $ 62.63 $ 53.16 $ 49.18 $ 62.82 $ 68.88 $ 58.22 $ 53.95 ------- ------- ------- ------- ------- ------- ------- ------- 0.74(4) 0.65 0.78 0.41 0.33(4) 0.28 0.51 0.11 (15.32) (7.80) 10.28 3.96 (17.64) (5.01) 12.17 4.26 ------- ------- ------- ------- ------- ------- ------- ------- (14.58) (7.15) 11.06 4.37 (17.31) (4.73) 12.68 4.37 ------- ------- ------- ------- ------- ------- ------- ------- 0.06 (0.01) -- -- 0.01 (0.00)+ -- -- ------- ------- ------- ------- ------- ------- ------- ------- (0.75) (0.72) (0.80) (0.39) (0.32) (0.29) (0.52) (0.10) -- (2.70) (0.79) -- -- (1.04) (1.50) -- ------- ------- ------- ------- ------- ------- ------- ------- (0.75) (3.42) (1.59) (0.39) (0.32) (1.33) (2.02) (0.10) ------- ------- ------- ------- ------- ------- ------- ------- $ 36.78 $ 52.05 $ 62.63 $ 53.16 $ 45.20 $ 62.82 $ 68.88 $ 58.22 ======= ======= ======= ======= ======= ======= ======= ======= (27.89)% (11.53)% 21.11% 8.92% (27.51)% (6.85)% 22.22% 8.10% $31,260 $20,820 $25,054 $15,949 $42,939 $43,977 $24,106 $20,375 0.30% 0.25% 0.25% 0.26%(2) 0.28% 0.25% 0.25% 0.26%(2) 2.02% 1.17% 1.41% 1.24%(2) 0.75% 0.45% 0.83% 0.30%(2) 58% 45% 40% 25% 74% 59% 55% 34%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 185 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES MID CAP VALUE ETF -------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 11/8/05*- 6/30/09 6/30/08 6/30/07 6/30/06 ------- ------- ------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD................. $ 50.34 $ 63.10 $ 54.63 $50.42 ------- ------- ------- ------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 1.30(4) 1.28 1.28 0.73 Net realized and unrealized gain (loss) (5).......... (14.89) (12.58) 9.32 4.18 ------- ------- ------- ------ Total from investment operations..................... (13.59) (11.30) 10.60 4.91 ------- ------- ------- ------ Net equalization credits and charges (4)............. (0.09) (0.10) (0.01) -- ------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (1.37) (1.36) (1.29) (0.70) Net realized gains................................... -- -- (0.83) -- ------- ------- ------- ------ Total distributions.................................. (1.37) (1.36) (2.12) (0.70) ------- ------- ------- ------ NET ASSET VALUE, END OF PERIOD....................... $ 35.29 $ 50.34 $ 63.10 $54.63 ======= ======= ======= ====== TOTAL RETURN (1)..................................... (27.27)% (18.18)% 19.68% 9.76% Net assets, end of period (in 000s).................. $ 8,823 $10,068 $18,929 $8,194 Ratio of expenses to average net assets.............. 0.34% 0.25% 0.25% 0.26%(2) Ratio of net investment income (loss) to average net assets............................................. 3.52% 2.18% 2.10% 2.20%(2) Portfolio turnover rate (3).......................... 73% 51% 45% 29%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 186 - --------------------------------------------------------------------------------
SPDR DOW JONES SPDR DOW JONES SMALL CAP ETF SMALL CAP GROWTH ETF - -------------------------------------------------- --------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED 11/8/05*- ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ------- ------- ------- -------------- ------- ------- ------- ------- ------- $ 55.27 $ 66.57 $58.03 $ 52.42 $ 90.65 $104.00 $ 87.11 $ 75.96 $ 69.92 ------- ------- ------ ------- ------- ------- ------- ------- ------- 0.86(4) 0.69 0.89 0.46 0.56(4) 0.42 0.20 0.23 0.33 (14.20) (11.19) 9.78 5.56 (23.51) (11.83) 16.88 11.17 6.03 ------- ------- ------ ------- ------- ------- ------- ------- ------- (13.34) (10.50) 10.67 6.02 (22.95) (11.41) 17.08 11.40 6.36 ------- ------- ------ ------- ------- ------- ------- ------- ------- 0.06 0.04 -- -- 0.04 (0.00)+ -- -- -- ------- ------- ------ ------- ------- ------- ------- ------- ------- (0.81) (0.84) (0.99) (0.41) (0.55) (0.45) (0.19) (0.25) (0.32) -- -- (1.14) -- -- (1.49) -- -- -- ------- ------- ------ ------- ------- ------- ------- ------- ------- (0.81) (0.84) (2.13) (0.41) (0.55) (1.94) (0.19) (0.25) (0.32) ------- ------- ------ ------- ------- ------- ------- ------- ------- $ 41.18 $ 55.27 $66.57 $ 58.03 $ 67.19 $ 90.65 $104.00 $ 87.11 $ 75.96 ======= ======= ====== ======= ======= ======= ======= ======= ======= (23.98)% (15.76)% 18.70% 11.49% (25.21)% (11.01)% 19.63% 15.02% 9.13% $22,651 $13,817 $9,985 $26,113 $94,077 $86,129 $88,408 $78,405 $53,183 0.32% 0.25% 0.25% 0.26%(2) 0.26% 0.25% 0.25% 0.26% 0.26% 2.16% 1.34% 1.18% 1.35%(2) 0.88% 0.46% 0.22% 0.26% 0.46% 28% 24% 16% 10% 42% 38% 25% 84% 36%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 187 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES SMALL CAP VALUE ETF ------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) ------- ------- -------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 57.92 $ 75.01 $ 65.35 $ 59.03 $ 56.97 ------- ------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).................. 1.52(4) 1.25 1.62 1.40(4) 1.14(4) Net realized and unrealized gain (loss) (5)... (14.33) (16.50) 9.76 8.21 4.55 ------- ------- -------- -------- ------- Total from investment operations.............. (12.81) (15.25) 11.38 9.61 5.69 ------- ------- -------- -------- ------- Net equalization credits and charges (4)...... (0.02) 0.01 0.02 -- -- ------- ------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (1.28) (1.56) (1.73) (1.30) (1.14) Net realized gains............................ (0.17) (0.29) (0.01) (1.99) (2.49) ------- ------- -------- -------- ------- Total distributions........................... (1.45) (1.85) (1.74) (3.29) (3.63) ------- ------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD................ $ 43.64 $ 57.92 $ 75.01 $ 65.35 $ 59.03 ======= ======= ======== ======== ======= TOTAL RETURN (1).............................. (22.20)% (20.46)% 17.64% 16.66% 10.07% Net assets, end of period (in 000s)........... $69,885 $89,856 $120,090 $101,344 $88,583 Ratio of expenses to average net assets....... 0.27% 0.25% 0.25% 0.26% 0.26% Ratio of net investment income (loss) to average net assets.......................... 3.32% 2.12% 2.27% 2.21% 2.00% Portfolio turnover rate (3)................... 38% 28% 23% 97% 33%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 188 - --------------------------------------------------------------------------------
SPDR DJ SPDR DOW JONES GLOBAL TITANS ETF REIT ETF ------------------------------------------------------ ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 6/30/09 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- ---------- $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 65.40 $ 80.93 $ 75.98 $ 65.56 $ 51.38 ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- 1.64(4) 1.89 1.67 1.46 1.47 1.91(4) 2.43 2.57 2.99 2.98(4) (19.47) (12.28) 12.11 4.08 1.44 (31.15) (14.86) 6.27 10.88 14.00 ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- (17.83) (10.39) 13.78 5.54 2.91 (29.24) (12.43) 8.84 13.87 16.98 ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- (0.09) 0.03 -- -- -- 0.11 0.16 (0.02) -- -- ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- (1.60) (1.96) (1.65) (1.44) (1.46) (2.27) (3.26) (3.33) (3.00) (2.80) -- -- -- -- -- -- -- (0.54) (0.45) -- ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- (1.60) (1.96) (1.65) (1.44) (1.46) (2.27) (3.26) (3.87) (3.45) (2.80) ------- -------- -------- ------- -------- -------- ---------- ---------- ---------- -------- $ 47.27 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 34.00 $ 65.40 $ 80.93 $ 75.98 $ 65.56 ======= ======== ======== ======= ======== ======== ========== ========== ========== ======== (26.89)% (13.28)% 20.72% 8.88% 4.75% (44.96)% (15.41)% 11.43% 21.73% 33.64% $70,923 $163,654 $170,108 $77,044 $106,904 $908,890 $1,289,796 $1,247,893 $1,049,212 $659,223 0.51% 0.50% 0.51% 0.51% 0.51% 0.25% 0.25% 0.25% 0.26% 0.26% 3.20% 2.55% 2.33% 2.11% 2.47% 4.58% 2.79% 2.95% 3.57% 5.06% 10% 15% 9% 9% 36% 15% 14% 16% 11% 12%
189 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR KBW BANK ETF ------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 11/8/05*- 6/30/09 6/30/08 6/30/07 6/30/06 -------- -------- ------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD................. $ 28.58 $ 55.44 $ 53.73 $ 50.17 -------- -------- ------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.94(4) 1.60 2.54 0.93 Net realized and unrealized gain (loss) (5).......... (10.67) (27.35) 1.64 3.52 -------- -------- ------- -------- Total from investment operations..................... (9.73) (25.75) 4.18 4.45 -------- -------- ------- -------- Net equalization credits and charges (4)............. 0.03 0.66 0.30 -- -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (0.80) (1.77) (2.77) (0.89) Net realized gains................................... -- -- -- -- -------- -------- ------- -------- Total distributions.................................. (0.80) (1.77) (2.77) (0.89) -------- -------- ------- -------- NET ASSET VALUE, END OF PERIOD....................... $ 18.08 $ 28.58 $ 55.44 $ 53.73 ======== ======== ======= ======== TOTAL RETURN (1)..................................... (34.54)% (46.07)% 8.28% 8.90% Net assets, end of period (in 000s).................. $821,694 $883,280 $72,068 $147,756 Ratio of expenses to average net assets.............. 0.35% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets............................................. 4.29% 4.46% 2.93% 3.06%(2) Portfolio turnover rate (3).......................... 51% 23% 8% 22%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 190 - --------------------------------------------------------------------------------
SPDR KBW SPDR CAPITAL MARKETS ETF KBW INSURANCE ETF ------------------------------------------ ------------------------------------------------ YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 11/8/05*- ENDED ENDED ENDED 11/8/05*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 ------- -------- ------- -------------- -------- ------- ------- -------------- $ 45.12 $ 68.80 $ 56.18 $ 53.07 $ 40.89 $ 59.41 $ 51.22 $ 52.12 ------- -------- ------- ------- -------- ------- ------- ------- 0.52(4) 0.53 (4) 0.41 2.63 0.67(4) 1.02(4) 0.76 0.44 (11.79) (23.68) 12.60 3.09 (14.55) (18.56) 8.17 (0.93) ------- -------- ------- ------- -------- ------- ------- ------- (11.27) (23.15) 13.01 5.72 (13.88) (17.54) 8.93 (0.49) ------- -------- ------- ------- -------- ------- ------- ------- (0.03) 0.10 (0.04) -- 0.14 0.12 (0.02) -- ------- -------- ------- ------- -------- ------- ------- ------- (0.41) (0.63) (0.35) (2.61) (0.63) (1.10) (0.72) (0.41) -- -- -- -- -- -- -- -- ------- -------- ------- ------- -------- ------- ------- ------- (0.41) (0.63) (0.35) (2.61) (0.63) (1.10) (0.72) (0.41) ------- -------- ------- ------- -------- ------- ------- ------- $ 33.41 $ 45.12 $ 68.80 $ 56.18 $ 26.52 $ 40.89 $ 59.41 $ 51.22 ======= ======== ======= ======= ======== ======= ======= ======= (24.98)% (33.71)% 23.14% 10.55% (33.69)% (29.67)% 17.46% (0.93)% $80,188 $117,300 $86,003 $50,559 $139,205 $63,374 $59,413 $35,855 0.36% 0.35% 0.35% 0.36%(2) 0.35% 0.35% 0.35% 0.36%(2) 1.65% 0.89% 0.52% 2.42%(2) 2.56% 1.99% 1.32% 1.27%(2) 52% 52% 96% 11% 53% 18% 6% 16%
191 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR MORGAN STANLEY TECHNOLOGY ETF --------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 -------- -------- -------- -------- ------- NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 55.15 $ 61.90 $ 49.11 $ 46.99 $ 49.18 -------- -------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)...................... 0.23(4) 0.15 0.05 0.03 0.11 Net realized and unrealized gain (loss)(5)........ (10.18) (6.74) 12.80 2.13 (2.19) -------- -------- -------- -------- ------- Total from investment operations.................. (9.95) (6.59) 12.85 2.16 (2.08) -------- -------- -------- -------- ------- Net equalization credits and charges (4).......... (0.00)+ (0.01) (0.00)+ -- -- -------- -------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............................. (0.24) (0.15) (0.05) (0.03) (0.11) Net realized gains................................ -- -- -- -- -- Return of capital................................. -- -- (0.01) (0.01) -- -------- -------- -------- -------- ------- Total distributions............................... (0.24) (0.15) (0.06) (0.04) (0.11) -------- -------- -------- -------- ------- Voluntary contribution from Adviser............... -- -- -- -- -- -------- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD.................... $ 44.96 $ 55.15 $ 61.90 $ 49.11 $ 46.99 ======== ======== ======== ======== ======= TOTAL RETURN (1).................................. (17.97)% (10.67)% 26.19% 4.60% (4.25)% Net assets, end of period (in 000s)............... $197,818 $228,870 $188,811 $144,873 $30,546 Ratio of expenses to average net assets........... 0.50% 0.50% 0.50% 0.51% 0.51% Ratio of expense to average net assets before waivers......................................... -- -- -- -- -- Ratio of net investment income (loss) to average net assets...................................... 0.56% 0.26% 0.09% 0.07% 0.24% Portfolio turnover rate (3)....................... 19% 24% 22% 23% 46%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 192 - --------------------------------------------------------------------------------
SPDR S&P SPDR S&P DIVIDEND ETF BIOTECH ETF - ----------------------------------------------------- -------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 11/8/05*- ENDED ENDED ENDED 1/31/06*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 -------- -------- -------- -------------- -------- -------- -------- -------------- $ 44.30 $ 62.57 $ 55.70 $ 53.49 $ 57.47 $ 50.93 $ 45.90 $ 49.67 -------- -------- -------- -------- -------- -------- -------- ------- 1.97(4) 2.19(4) 1.75 1.12 0.44(4) 0.66 0.18 (0.07) (6.47) (17.49) 6.87 2.15 (7.23) 6.59 5.04 (3.70) -------- -------- -------- -------- -------- -------- -------- ------- (4.50) (15.30) 8.62 3.27 (6.79) 7.25 5.22 (3.77) -------- -------- -------- -------- -------- -------- -------- ------- 0.16 0.02 0.12 (0.00)+ (0.00)+ (0.02) (0.05) -- -------- -------- -------- -------- -------- -------- -------- ------- (2.00) (2.19) (1.87) (1.06) (0.16) (0.69) (0.14) -- -- (0.80) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- ------- (2.00) (2.99) (1.87) (1.06) (0.16) (0.69) (0.14) -- -------- -------- -------- -------- -------- -------- -------- ------- -- -- -- -- 0.19 -- -- -- -------- -------- -------- -------- -------- -------- -------- ------- $ 37.96 $ 44.30 $ 62.57 $ 55.70 $ 50.71 $ 57.47 $ 50.93 $ 45.90 ======== ======== ======== ======== ======== ======== ======== ======= (10.06)% (25.05)% 15.78% 6.16% (11.46)%(7) 14.15% 11.26% (7.59)% $658,655 $230,378 $275,319 $100,263 $428,508 $264,342 $106,957 $29,835 0.35% 0.35% 0.34% 0.30%(2) 0.35% 0.35% 0.35% 0.36%(2) -- -- 0.35% 0.36%(2) -- -- -- -- 5.10% 3.92% 3.11% 3.45%(2) 0.83% 1.48% 0.51% (0.33)%(2) 105% 48% 41% 25% 78% 79% 74% 38%
193 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P HOMEBUILDERS ETF ------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 1/31/06*- 6/30/09 6/30/08 6/30/07 6/30/06 -------- -------- -------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD................. $ 16.53 $ 30.37 $ 33.86 $ 46.92 -------- -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.24(4) 0.36 0.28 0.07 Net realized and unrealized gain (loss) (5).......... (4.72) (13.82) (3.49) (13.06) -------- -------- -------- -------- Total from investment operations..................... (4.48) (13.46) (3.21) (12.99) -------- -------- -------- -------- Net equalization credits and charges (4)............. 0.01 (0.06) 0.01 (0.00)+ -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (0.29) (0.32) (0.29) (0.07) Net realized gains................................... -- -- -- -- -------- -------- -------- -------- Total distributions.................................. (0.29) (0.32) (0.29) (0.07) -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD....................... $ 11.77 $ 16.53 $ 30.37 $ 33.86 ======== ======== ======== ======== TOTAL RETURN (1)..................................... (27.30)% (44.63)% (9.51)% (27.70)% Net assets, end of period (in 000s).................. $556,111 $535,553 $331,067 $165,908 Ratio of expenses to average net assets.............. 0.35% 0.35% 0.35% 0.36%(2) Ratio of expense to average net assets before waivers............................................ -- -- -- -- Ratio of net investment income (loss) to average net assets............................................. 1.84% 1.80% 0.64% 0.34%(2) Portfolio turnover rate (3).......................... 82% 76% 16% 19%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 194 - --------------------------------------------------------------------------------
SPDR S&P SPDR S&P OIL & GAS METALS & MINING ETF EQUIPMENT & SERVICES ETF ----------------------------------------------- ------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 6/19/06*- ENDED ENDED ENDED 6/19/06*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 -------- -------- -------- -------------- -------- -------- -------- -------------- $ 94.16 $ 62.63 $ 50.08 $ 43.29 $ 50.90 $ 36.90 $ 31.07 $ 27.99 -------- -------- -------- ------- -------- -------- -------- ------- 0.55(4) 0.39 0.39 0.02 0.18(4) 0.11 0.08 0.00+ (57.11) 31.54 12.55 6.77 (29.14) 14.11 5.83 3.08 -------- -------- -------- ------- -------- -------- -------- ------- (56.56) 31.93 12.94 6.79 (28.96) 14.22 5.91 3.08 -------- -------- -------- ------- -------- -------- -------- ------- 0.04 -- (0.03) -- (0.00)+ (0.00)+ (0.00)+ -- -------- -------- -------- ------- -------- -------- -------- ------- (0.57) (0.40) (0.36) -- (0.18) (0.12) (0.08) -- -- -- -- -- -- (0.10) -- -- -------- -------- -------- ------- -------- -------- -------- ------- (0.57) (0.40) (0.36) -- (0.18) (0.22) (0.08) -- -------- -------- -------- ------- -------- -------- -------- ------- $ 37.07 $ 94.16 $ 62.63 $ 50.08 $ 21.76 $ 50.90 $ 36.90 $ 31.07 ======== ======== ======== ======= ======== ======== ======== ======= (59.95)% 51.22% 25.93% 15.70% (56.87)% 38.61% 19.08% 10.98% $602,423 $819,193 $203,540 $30,050 $199,101 $279,948 $143,927 $15,535 0.35% 0.35% 0.35% 0.36%(2) 0.35% 0.36% 0.35% 0.36%(2) -- -- -- -- -- -- -- -- 1.43% 0.59% 0.70% 1.65%(2) 0.75% 0.28% 0.36% 0.17%(2) 68% 59% 31% 0% 42% 51% 43% 0%
195 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF ---------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 6/19/06*- 6/30/09 6/30/08 6/30/07 6/30/06 -------- -------- ------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD................. $ 70.10 $ 45.93 $ 39.12 $ 33.80 -------- -------- ------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.29(4) 0.13 0.10 0.00+ Net realized and unrealized gain (loss) (5).......... (38.46) 24.16 6.81 5.32 -------- -------- ------- -------- Total from investment operations..................... (38.17) 24.29 6.91 5.32 -------- -------- ------- -------- Net equalization credits and charges (4)............. 0.02 0.02 (0.00)+ -- -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (0.28) (0.14) (0.10) -- Net realized gains................................... -- -- -- -- -------- -------- ------- -------- Total distributions.................................. (0.28) (0.14) (0.10) -- -------- -------- ------- -------- Voluntary contribution from Adviser.................. -- -- -- -- -------- -------- ------- -------- NET ASSET VALUE, END OF PERIOD....................... $ 31.67 $ 70.10 $ 45.93 $ 39.12 ======== ======== ======= ======== TOTAL RETURN (1)..................................... (54.44)% 52.99% 17.68% 15.74% Net assets, end of period (in 000s).................. $280,282 $311,952 $39,041 $19,560 Ratio of expenses to average net assets.............. 0.35% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets............................................. 0.82% 0.28% 0.23% 0.10%(2) Portfolio turnover rate (3).......................... 45% 44% 48% 0%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 196 - --------------------------------------------------------------------------------
SPDR S&P PHARMACEUTICALS ETF SPDR S&P RETAIL ETF ---------------------------------------------- --------------------------------------------------------- YEAR YEAR YEAR FOR THE PERIOD YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 6/19/06*- ENDED ENDED ENDED 6/19/06*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 6/30/08 6/30/07 6/30/06 ------- ------- ------- -------------- ---------- -------- -------- -------------- $ 31.08 $ 35.57 $ 31.88 $ 31.42 $ 29.26 $ 43.54 $ 37.61 $ 36.72 ------- ------- ------- ------- ---------- -------- -------- ------- 0.45(4) 0.32(4) 0.38 0.00+ 0.40(4) 0.37 0.11 0.01 (1.07) (4.51) 3.80 0.46 (1.70) (14.39) 5.93 0.88 ------- ------- ------- ------- ---------- -------- -------- ------- (0.62) (4.19) 4.18 0.46 (1.30) (14.02) 6.04 0.89 ------- ------- ------- ------- ---------- -------- -------- ------- 0.03 0.03 -- -- (0.01) (0.09) 0.02 -- ------- ------- ------- ------- ---------- -------- -------- ------- (0.44) (0.33) (0.38) -- (0.43) (0.31) (0.13) -- (0.05) -- (0.11) -- -- -- -- -- ------- ------- ------- ------- ---------- -------- -------- ------- (0.49) (0.33) (0.49) -- (0.43) (0.31) (0.13) -- ------- ------- ------- ------- ---------- -------- -------- ------- -- -- -- -- 0.18 0.14 -- -- ------- ------- ------- ------- ---------- -------- -------- ------- $ 30.00 $ 31.08 $35.57 $ 31.88 $ 27.70 $ 29.26 $ 43.54 $ 37.61 ======= ======= ======= ======= ========== ======== ======== ======= (1.89)% (11.73)% 13.17% 1.46% (3.61)%(7) (32.11)%(7) 16.12% 2.42% $40,499 $ 9,328 $8,897 $15,939 $1,018,007 $263,380 $134,978 $20,687 0.36% 0.35% 0.35% 0.36%(2) 0.35% 0.35% 0.35% 0.36%(2) 1.59% 0.97% 0.95% 0.29%(2) 1.61% 1.40% 0.35% 0.82%(2) 80% 50% 23% 0% 69% 50% 71% 0%
197 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P SEMICONDUCTOR ETF ------------------------------------------------ YEAR YEAR YEAR FOR THE PERIOD ENDED ENDED ENDED 1/31/06*- 6/30/09 6/30/08 6/30/07 6/30/06 -------- ------- -------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD................. $ 41.62 $ 53.22 $ 47.29 $ 53.32 -------- ------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.35(4) 0.24 0.16 0.02 Net realized and unrealized gain (loss) (5).......... (7.84) (11.58) 5.93 (6.03) -------- ------- -------- ------- Total from investment operations..................... (7.49) (11.34) 6.09 (6.01) -------- ------- -------- ------- Net equalization credits and charges (4)............. 0.02 0.01 (0.00)+ -- -------- ------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (0.29) (0.27) (0.16) (0.02) -------- ------- -------- ------- Total distributions.................................. (0.29) (0.27) (0.16) (0.02) -------- ------- -------- ------- NET ASSET VALUE, END OF PERIOD....................... $ 33.86 $ 41.62 $ 53.22 $ 47.29 ======== ======= ======== ======= TOTAL RETURN (1)..................................... (17.88)% (21.30)% 12.89% (11.26)% Net assets, end of period (in 000s).................. $103,282 $39,538 $106,439 $47,290 Ratio of expenses to average net assets.............. 0.35% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets............................................. 1.12% 0.52% 0.35% 0.10%(2) Portfolio turnover rate (3).......................... 41% 65% 52% 40%
See accompanying notes to Financial Highlights on page 199 and notes to financial statements. 198 - --------------------------------------------------------------------------------
SPDR KBW SPDR KBW REGIONAL BANKING ETF MORTGAGE FINANCE ETF ----------------------------------------------- -------------------- YEAR YEAR YEAR FOR THE PERIOD FOR THE PERIOD ENDED ENDED ENDED 6/19/06*- 4/29/09*- 6/30/09 6/30/08 6/30/07 6/30/06 6/30/09 -------- -------- -------- -------------- -------------------- $ 26.56 $ 45.90 $ 48.33 $ 48.02 $ 41.19 -------- -------- -------- ------- ------- 0.94(4) 1.43 1.84 0.02 0.15(4) (8.04) (18.58) (2.40) 0.29 (5.02) -------- -------- -------- ------- ------- (7.10) (17.15) (0.56) 0.31 (4.87) -------- -------- -------- ------- ------- 0.07 (0.60) (0.43) -- 0.04 -------- -------- -------- ------- ------- (1.22) (1.59) (1.44) -- (0.18) -------- -------- -------- ------- ------- (1.22) (1.59) (1.44) -- (0.18) -------- -------- -------- ------- ------- $ 18.31 $ 26.56 $ 45.90 $ 48.33 $ 36.18 ======== ======== ======== ======= ======= (27.94)% (39.51)% (2.16)% 0.66% (11.73)% $434,937 $709,284 $128,523 $99,076 $ 5,427 0.35% 0.35% 0.36% 0.36%(2) 0.35%(2) 3.68% 4.04% 2.16% 4.01%(2) 2.38%(2) 51% 35% 39% 0% 5%
* Commencement of operations + Amount is less than $0.005 per share. (1) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. (2) Annualized. (3) Portfolio Turnover rate excludes securities received or delivered from in kind processing of creations or redemptions. (4) Per share numbers have been calculated using the average shares method. (5) The amounts shown at this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. (6) All share amounts representing data prior to September 21, 2005 have been adjusted for the affect of stock splits which occured on September 21, 2005, as follows: SPDR Dow Jones Large Cap Value ETF: 2 for 1; SPDR Dow Jones Small Cap Value ETF and SPDR Dow Jones REIT ETF: 3 for 1. (7) If the Adviser had not made a voluntary contribution in 2009 to SPDR S&P Biotech ETF, the total return would have been (11.79)%. If the Adviser had not made a voluntary contribution in 2008 to SPDR S&P Retail ETF, the total return would have been (32.44)%. If the Adviser had not made a voluntary contribution in 2009 to SPDR S&P Retail ETF, the total return would have been (3.62)%. See accompanying notes to financial statements. 199 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS JUNE 30, 2009 - -------------------------------------------------------------------------------- 1. ORGANIZATION The SPDR Series Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended ("1940 Act"), is an open-end investment management company that was organized as a Massachusetts business trust on June 12, 1998. As of June 30, 2009, the Trust offered forty-four (44) portfolios, each of which represents a separate series of beneficial interest in the Trust (each referred to as a "Fund", collectively as the "Funds"). The financial statements herein relate to the following twenty-seven (27) Funds: SPDR Dow Jones Total Market ETF (formerly "SPDR DJ Wilshire Total Market ETF"), SPDR Dow Jones Large Cap ETF (formerly SPDR DJ Wilshire Large Cap ETF"), SPDR Dow Jones Large Cap Growth ETF (formerly "SPDR DJ Wilshire Large Cap Growth ETF"), SPDR Dow Jones Large Cap Value ETF (formerly "SPDR DJ Wilshire Large Cap Value ETF"), SPDR Dow Jones Mid Cap ETF (formerly "SPDR DJ Wilshire Mid Cap ETF"), SPDR Dow Jones Mid Cap Growth ETF (formerly "SPDR DJ Wilshire Mid Cap Growth ETF"), SPDR Dow Jones Mid Cap Value ETF (formerly "SPDR DJ Wilshire Mid Cap Value ETF"), SPDR Dow Jones Small Cap ETF (formerly "SPDR DJ Wilshire Small Cap ETF"), SPDR Dow Jones Small Cap Growth ETF (formerly "SPDR DJ Wilshire Small Cap Growth ETF"), SPDR Dow Jones Small Cap Value ETF (formerly "SPDR DJ Wilshire Small Cap Value ETF"), SPDR DJ Global Titans ETF, SPDR Dow Jones REIT ETF (formerly "SPDR DJ Wilshire REIT ETF"), SPDR KBW Bank ETF , SPDR KBW Capital Markets ETF, SPDR KBW Insurance ETF, SPDR Morgan Stanley Technology ETF, SPDR S&P Dividend ETF, SPDR S&P Biotech ETF, SPDR S&P Homebuilders ETF, SPDR S&P Metals & Mining ETF, SPDR S&P Oil & Gas Equipment & Services ETF, SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Pharmaceuticals ETF, SPDR S&P Retail ETF, SPDR S&P Semiconductor ETF, SPDR KBW Regional Banking ETF and SPDR KBW Mortgage Finance ETF. Each Fund operates as a non-diversified investment company. The investment objective of each Fund is to replicate as closely as possible, before expenses and fees, the price and yield performance or total return of a specified market index. The other seventeen (17) Funds are included in a separate Annual Report. Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. The Trust invests in various investments which 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 a Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. An investor in a Fund should anticipate that the value of a Fund's shares will decline, more or less, in correlation with any decline in the value of the Fund's benchmark index. The values of equity securities could decline generally or could underperform other investments. Further, a Fund would not sell an equity security because the security's issuer was in financial trouble unless that security is removed from a Fund's benchmark index. 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. SECURITY VALUATION The value of each Fund's portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in open-end investment companies are valued at their net asset value each business day. If a security's 200 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the "Board") believes will better reflect fair value in accordance with the Trust's valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the "Committee"). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Fund's net asset value may reflect certain portfolio securities' fair values rather than their market prices. Effective July 1, 2008, the Funds adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." This standard defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. Various inputs are used in determining the value of the Funds' investments. These inputs are summarized in the three broad levels listed below. - Level 1 -- quoted prices in active markets for identical investments. - Level 2 -- other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds' net assets are computed and that may materially affect the value of the Funds' investments). Examples of events that may be "significant events" are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations. Fair value pricing could result in a difference between the prices used to calculate a Fund's net asset value and the prices used by the Fund's benchmark index, which, in turn, could result in a difference between the Fund's performance and the performance of the Fund's benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. 201 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The following table summarizes the inputs used in valuing the Funds' investments, as of June 30, 2009:
LEVEL 2 - OTHER LEVEL 3 - LEVEL 1 - SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS TOTAL - --------------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 165,879,117 $-- $-- $ 165,879,117 SPDR Dow Jones Large Cap ETF 49,343,077 -- -- 49,343,077 SPDR Dow Jones Large Cap Growth ETF 163,902,501 -- -- 163,902,501 SPDR Dow Jones Large Cap Value ETF 103,248,430 -- -- 103,248,430 SPDR Dow Jones Mid Cap ETF 40,461,779 -- -- 40,461,779 SPDR Dow Jones Mid Cap Growth ETF 55,391,673 -- -- 55,391,673 SPDR Dow Jones Mid Cap Value ETF 11,433,149 -- -- 11,433,149 SPDR Dow Jones Small Cap ETF 29,303,898 --* 2 29,303,900 SPDR Dow Jones Small Cap Growth ETF 121,627,168 --* -- 121,627,168 SPDR Dow Jones Small Cap Value ETF 88,973,944 -- 23 88,973,967 SPDR DJ Global Titans ETF 77,075,376 -- -- 77,075,376 SPDR Dow Jones REIT ETF 1,117,590,252 -- -- 1,117,590,252 SPDR KBW Bank ETF 1,033,517,351 -- -- 1,033,517,351 SPDR KBW Capital Markets ETF 89,643,079 -- -- 89,643,079 SPDR KBW Insurance ETF 145,507,558 -- -- 145,507,558 SPDR Morgan Stanley Technology ETF 211,913,921 -- -- 211,913,921 SPDR S&P Dividend ETF 822,032,697 -- -- 822,032,697 SPDR S&P Biotech ETF 537,273,454 -- -- 537,273,454 SPDR S&P Homebuilders ETF 683,071,361 -- -- 683,071,361 SPDR S&P Metals & Mining ETF 750,352,077 -- -- 750,352,077 SPDR S&P Oil & Gas Equipment & Services ETF 239,572,315 -- -- 239,572,315 SPDR S&P Oil & Gas Exploration & Production ETF 337,346,250 -- -- 337,346,250 SPDR S&P Pharmaceuticals ETF 52,248,381 -- -- 52,248,381 SPDR S&P Retail ETF 1,084,616,830 -- -- 1,084,616,830 SPDR S&P Semiconductor ETF 128,930,957 -- -- 128,930,957 SPDR KBW Regional Bank ETF 570,043,030 -- -- 570,043,030 SPDR KBW Mortgage Finance ETF 5,453,555 -- -- 5,453,555
* Level 2 valuation inputs were used to value certain securities held by the Fund at zero. The following table provides the reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for the period ended June 30, 2009:
NET CHANGE IN UNREALIZED REALIZED APPRECIATION GAIN (LOSS) (DEPRECIATION) (AMORTIZED AND CHANGE IN FROM BALANCES AT PREMIUMS) UNREALIZED NET BALANCE INVESTMENTS BEGINNING ACCRETED APPRECIATION PURCHASES NET TRANSFERS AT END STILL HELD AT OF PERIOD DISCOUNTS (DEPRECIATION) SALES IN OR OUT OF PERIOD END OF PERIOD ----------- ---------- -------------- --------- ------------- --------- -------------- SPDR Dow Jones Small Cap ETF $--* $-- $-- $-- $ 2* $ 2 $-- SPDR Dow Jones Small Cap Growth ETF --* -- -- -- --* -- -- SPDR Dow Jones Small Cap Value ETF -- -- -- -- 23 23 --
* Includes investments transferred out during the period that were valued at zero. In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157 when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on 202 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- identifying circumstances that indicate a transaction is not orderly. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Funds' investments by industry. INVESTMENT INCOME Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. EXPENSES Advisory fees and other expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Certain Funds, based on their investments, may incur a tax liability in the states where the investments have business operations. The taxes incurred will increase the total expenses of the Funds and are included in miscellaneous expenses on the Statement of Operations. Trustees fees and other expenses which cannot be attributed to a Fund are allocated in such a manner as deemed equitable, taking into consideration the relative net assets of the Funds. EQUALIZATION The Funds follow the accounting practice known as "Equalization" by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. INVESTMENT TRANSACTIONS Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings. FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS The accounting records of the Funds are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of misappropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. FEDERAL INCOME TAX The Funds have qualified and intend to continue to qualify for and elect treatment as "regulated investment companies" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions, foreign currencies, Real Estate Investment Trusts (REITs) and losses deferred due to wash sales. 203 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- Additionally, based on the Fund's understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which the applicable Funds invest, the Funds will provide for foreign taxes and, where appropriate, deferred foreign taxes. The Funds have reviewed the tax positions for the open tax years as of June 30, 2009 and have determined that no provision for income tax is required in the Funds' Financial Statements. The Funds' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. For the year ended June 30, 2009, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:
NET GAIN (LOSS) RECLASSIFIED TO PAID IN CAPITAL - --------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 5,390,957 SPDR Dow Jones Large Cap ETF 462,122 SPDR Dow Jones Large Cap Growth ETF (6,158,218) SPDR Dow Jones Large Cap Value ETF (776,284) SPDR Dow Jones Mid Cap ETF -- SPDR Dow Jones Mid Cap Growth ETF 296,960 SPDR Dow Jones Mid Cap Value ETF 489,706 SPDR Dow Jones Small Cap ETF -- SPDR Dow Jones Small Cap Growth ETF 1,296,227 SPDR Dow Jones Small Cap Value ETF 1,855,974 SPDR DJ Global Titans ETF (6,227,182) SPDR Dow Jones REIT ETF 5,806,941 SPDR KBW Bank ETF 17,155,795 SPDR KBW Capital Markets ETF (15,900,353) SPDR KBW Insurance ETF (30,300,924) SPDR Morgan Stanley Technology ETF (11,524,191) SPDR S&P Dividend ETF 1,181,756 SPDR S&P Biotech ETF 25,238,580 SPDR S&P Homebuilders ETF (307,846,839) SPDR S&P Metals & Mining ETF 18,403,801 SPDR S&P Oil & Gas Equipment & Services ETF 10,849,600 SPDR S&P Oil & Gas Exploration & Production ETF (4,982,953) SPDR S&P Pharmaceuticals ETF 1,300,222 SPDR S&P Retail ETF (177,507,104) SPDR S&P Semiconductor ETF (6,303,628) SPDR KBW Regional Banking ETF (73,275,631) SPDR KBW Mortgage Finance ETF --
204 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- At June 30, 2009, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains expiring June 30:
2010 2011 2012 2013 2014 2015 2016 - ------------------------------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ -- $ (2,005,163) $ (1,348,494) $ (153,659) $(4,842,998) $ -- $ -- SPDR Dow Jones Large Cap ETF -- -- -- -- -- -- -- SPDR Dow Jones Large Cap Growth ETF (5,421,523) (4,738,409) (2,821,107) (309,686) (3,652,975) -- -- SPDR Dow Jones Large Cap Value ETF -- -- -- (974,429) -- -- -- SPDR Dow Jones Mid Cap ETF -- -- -- -- -- -- -- SPDR Dow Jones Mid Cap Growth ETF -- -- -- -- -- -- -- SPDR Dow Jones Mid Cap Value ETF -- -- -- -- -- -- (493,781) SPDR Dow Jones Small Cap ETF -- -- -- -- -- -- -- SPDR Dow Jones Small Cap Growth ETF -- -- -- -- -- -- -- SPDR Dow Jones Small Cap Value ETF -- -- -- -- -- -- -- SPDR DJ Global Titans ETF (417,404) (1,493,437) (984,760) -- -- (282,717) -- SPDR Dow Jones REIT ETF -- -- -- -- -- -- -- SPDR KBW Bank ETF -- -- -- -- -- -- (435,385) SPDR KBW Capital Markets ETF -- -- -- -- -- -- (9,042,847) SPDR KBW Insurance ETF -- -- -- -- -- -- (514,950) SPDR Morgan Stanley Technology ETF (2,341,875) (10,238,030) (19,143,628) (8,746,932) (3,784,746) (2,360,832) (745,443) SPDR S&P Dividend ETF -- -- -- -- -- -- -- SPDR S&P Biotech ETF -- -- -- -- -- (2,145,212) (733,614) SPDR S&P Homebuilders ETF -- -- -- -- -- (4,745,039) (8,203,751) SPDR S&P Metals & Mining ETF -- -- -- -- -- (104,652) -- SPDR S&P Oil & Gas Equipment & Services ETF -- -- -- -- -- -- -- SPDR S&P Oil & Gas Exploration & Production ETF -- -- -- -- -- -- -- SPDR S&P Pharmaceuticals ETF -- -- -- -- -- -- -- SPDR S&P Retail ETF -- -- -- -- -- -- (1,022,978) SPDR S&P Semiconductor ETF -- -- -- -- -- (1,832,423) -- SPDR KBW Regional Banking ETF -- -- -- -- -- -- -- SPDR KBW Mortgage Finance ETF -- -- -- -- -- -- -- 2017 - ------------------------------------------- SPDR Dow Jones Total Market ETF $ (1,378,715) SPDR Dow Jones Large Cap ETF (131,432) SPDR Dow Jones Large Cap Growth ETF (6,452,641) SPDR Dow Jones Large Cap Value ETF (5,372,858) SPDR Dow Jones Mid Cap ETF (558,343) SPDR Dow Jones Mid Cap Growth ETF (2,960,864) SPDR Dow Jones Mid Cap Value ETF (1,200,592) SPDR Dow Jones Small Cap ETF (85,737) SPDR Dow Jones Small Cap Growth ETF (2,152,440) SPDR Dow Jones Small Cap Value ETF (1,882,152) SPDR DJ Global Titans ETF (12,535,918) SPDR Dow Jones REIT ETF (1,122,565) SPDR KBW Bank ETF (118,852,502) SPDR KBW Capital Markets ETF (23,772,407) SPDR KBW Insurance ETF (1,401,569) SPDR Morgan Stanley Technology ETF (2,659,957) SPDR S&P Dividend ETF (15,532,281) SPDR S&P Biotech ETF (24,363,945) SPDR S&P Homebuilders ETF (24,813,335) SPDR S&P Metals & Mining ETF (49,841,508) SPDR S&P Oil & Gas Equipment & Services ETF (1,830,538) SPDR S&P Oil & Gas Exploration & Production ETF (11,779,459) SPDR S&P Pharmaceuticals ETF -- SPDR S&P Retail ETF (250,690) SPDR S&P Semiconductor ETF (12,113,199) SPDR KBW Regional Banking ETF (24,075,194) SPDR KBW Mortgage Finance ETF --
205 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- Under current tax laws, capital losses realized after October 31, may be deferred and treated as occurring on the first day of the following fiscal Year. The Funds incurred the following losses during the period November 1, 2008 through June 30, 2009 that are deferred for tax purposes until fiscal 2010:
DEFERRED LOSSES - --------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ (4,813,098) SPDR Dow Jones Large Cap ETF (628,727) SPDR Dow Jones Large Cap Growth ETF (19,914,331) SPDR Dow Jones Large Cap Value ETF (16,263,686) SPDR Dow Jones Mid Cap ETF (4,622,097) SPDR Dow Jones Mid Cap Growth ETF (7,587,964) SPDR Dow Jones Mid Cap Value ETF (2,966,458) SPDR Dow Jones Small Cap ETF (1,420,882) SPDR Dow Jones Small Cap Growth ETF (9,472,006) SPDR Dow Jones Small Cap Value ETF (11,547,583) SPDR DJ Global Titans ETF (9,664,574) SPDR Dow Jones REIT ETF (174,705,656) SPDR KBW Bank ETF (192,730,377) SPDR KBW Capital Markets ETF (27,417,548) SPDR KBW Insurance ETF (14,753,338) SPDR Morgan Stanley Technology ETF (20,984,947) SPDR S&P Dividend ETF (107,850,466) SPDR S&P Biotech ETF (82,043,991) SPDR S&P Homebuilders ETF (153,472,009) SPDR S&P Metals & Mining ETF (224,955,376) SPDR S&P Oil & Gas Equipment & Services ETF (50,933,135) SPDR S&P Oil & Gas Exploration & Production ETF (104,828,837) SPDR S&P Pharmaceuticals ETF (3,063,197) SPDR S&P Retail ETF (33,685,196) SPDR S&P Semiconductor ETF (8,250,102) SPDR KBW Regional Banking ETF (127,410,392) SPDR KBW Mortgage Finance ETF (42,885)
206 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- For the year ended June 30, 2009, there were no significant differences between the book basis and the tax basis character of distributions to shareholders. The tax character of distributions paid during the year ended June 30, 2009, was as follows:
LONG-TERM RETURN ORDINARY INCOME CAPITAL GAINS OF CAPITAL - ------------------------------------------------------------------------------------------------ SPDR Dow Jones Total Market ETF $ 3,248,305 $ -- $-- SPDR Dow Jones Large Cap ETF 588,582 -- -- SPDR Dow Jones Large Cap Growth ETF 2,246,413 -- -- SPDR Dow Jones Large Cap Value ETF 3,648,149 -- -- SPDR Dow Jones Mid Cap ETF 471,074 -- -- SPDR Dow Jones Mid Cap Growth ETF 254,596 -- -- SPDR Dow Jones Mid Cap Value ETF 319,079 -- -- SPDR Dow Jones Small Cap ETF 327,907 -- -- SPDR Dow Jones Small Cap Growth ETF 683,706 -- -- SPDR Dow Jones Small Cap Value ETF 1,928,987 266,335 -- SPDR DJ Global Titans ETF 2,892,421 -- -- SPDR Dow Jones REIT ETF 55,657,332 -- -- SPDR KBW Bank ETF 31,427,389 -- -- SPDR KBW Capital Markets ETF 1,034,884 -- -- SPDR KBW Insurance ETF 2,043,777 -- -- SPDR Morgan Stanley Technology ETF 984,816 -- -- SPDR S&P Dividend ETF 22,069,140 -- -- SPDR S&P Biotech ETF 1,461,033 -- -- SPDR S&P Homebuilders ETF 12,064,713 -- -- SPDR S&P Metals & Mining ETF 5,169,117 -- -- SPDR S&P Oil & Gas Equipment & Services ETF 1,111,182 -- -- SPDR S&P Oil & Gas Exploration & Production ETF 2,190,011 -- -- SPDR S&P Pharmaceuticals ETF 628,472 -- -- SPDR S&P Retail ETF 5,623,569 -- -- SPDR S&P Semiconductor ETF 433,928 -- -- SPDR KBW Regional Banking ETF 30,200,435 -- -- SPDR KBW Mortgage Finance ETF 26,714 -- --
207 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The tax character of distributions paid during the year ended June 30, 2008, was as follows:
LONG-TERM RETURN ORDINARY INCOME CAPITAL GAINS OF CAPITAL - -------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 2,289,838 $ -- $-- SPDR Dow Jones Large Cap ETF 181,788 10,384 -- SPDR Dow Jones Large Cap Growth ETF 2,447,123 -- -- SPDR Dow Jones Large Cap Value ETF 3,329,881 -- -- SPDR Dow Jones Mid Cap ETF 678,459 689,806 -- SPDR Dow Jones Mid Cap Growth ETF 675,530 244,732 -- SPDR Dow Jones Mid Cap Value ETF 302,238 -- -- SPDR Dow Jones Small Cap ETF 181,554 -- -- SPDR Dow Jones Small Cap Growth ETF 433,982 1,492,119 -- SPDR Dow Jones Small Cap Value ETF 2,295,875 424,791 -- SPDR DJ Global Titans ETF 4,723,060 -- -- SPDR Dow Jones REIT ETF 51,236,129 6,936,571 -- SPDR KBW Bank ETF 22,992,238 -- -- SPDR KBW Capital Markets ETF 1,696,609 -- -- SPDR KBW Insurance ETF 2,328,352 -- -- SPDR Morgan Stanley Technology ETF 623,850 -- -- SPDR S&P Dividend ETF 12,939,615 446,930 -- SPDR S&P Biotech ETF 3,143,730 -- -- SPDR S&P Homebuilders ETF 6,970,799 -- -- SPDR S&P Metals & Mining ETF 1,900,215 -- -- SPDR S&P Oil & Gas Equipment & Services ETF 1,053,872 -- -- SPDR S&P Oil & Gas Exploration & Production ETF 462,680 -- -- SPDR S&P Pharmaceuticals ETF 95,265 -- -- SPDR S&P Retail ETF 2,159,868 -- -- SPDR S&P Semiconductor ETF 669,175 -- -- SPDR KBW Regional Banking ETF 7,465,907 -- -- SPDR KBW Mortgage Finance ETF -- -- --
208 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- There were no significant differences between the book basis and the tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in value of investments attributable to the tax deferral of losses on wash sales, the cumulative return of capital payments of REITs and the deferral of post-October losses and dividends payable. As of June 30, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED NET UNREALIZED ORDINARY LONG-TERM APPRECIATION INCOME CAPITAL GAINS (DEPRECIATION) - ------------------------------------------------------------------------------------------------------ SPDR Dow Jones Total Market ETF $ 666,025 $-- $ (28,105,357) SPDR Dow Jones Large Cap ETF 128,708 -- (1,045,841) SPDR Dow Jones Large Cap Growth ETF 451,418 -- (52,559,955) SPDR Dow Jones Large Cap Value ETF 611,184 -- (27,631,489) SPDR Dow Jones Mid Cap ETF 51,200 -- (2,223,284) SPDR Dow Jones Mid Cap Growth ETF 52,143 -- (2,935,886) SPDR Dow Jones Mid Cap Value ETF 20,499 -- (1,775,775) SPDR Dow Jones Small Cap ETF 17,580 -- (4,844,700) SPDR Dow Jones Small Cap Growth ETF -- -- (26,452,063) SPDR Dow Jones Small Cap Value ETF 133,011 -- (29,817,586) SPDR DJ Global Titans ETF 943,445 -- (27,696,563) SPDR Dow Jones REIT ETF -- -- (760,310,831) SPDR KBW Bank ETF 5,589,384 -- (526,410,275) SPDR KBW Capital Markets ETF 253,810 -- (29,626,507) SPDR KBW Insurance ETF 211,437 -- (20,449,119) SPDR Morgan Stanley Technology ETF 402,255 -- (42,211,222) SPDR S&P Dividend ETF 5,554,839 -- (7,356,458) SPDR S&P Biotech ETF 12,140 -- (53,771,105) SPDR S&P Homebuilders ETF 1,291,035 -- (24,773,320) SPDR S&P Metals & Mining ETF 1,551,941 -- (27,072,371) SPDR S&P Oil & Gas Equipment & Services ETF 306,744 -- (46,081,352) SPDR S&P Oil & Gas Exploration & Production ETF 634,905 -- (79,630,665) SPDR S&P Pharmaceuticals ETF 96,249 -- 1,486,697 SPDR S&P Retail ETF 1,147,269 -- (10,321,295) SPDR S&P Semiconductor ETF 239,213 -- 8,643,575 SPDR KBW Regional Banking ETF 1,670,655 -- (314,607,107) SPDR KBW Mortgage Finance ETF 21,918 -- (664,386)
DISTRIBUTIONS Each Fund declares and distributes dividends from net investment income, if any, to its shareholders quarterly. Each Fund distributes net realized capital gains, if any, at least annually. Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. NEW ACCOUNTING PRONOUNCEMENTS In March, 2008, FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161"). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. The adoption of FAS 161 has no impact to the Funds' financial statement disclosures as the Funds' currently do not invest in derivative instruments or engage in hedging activities. 209 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY TRANSACTIONS ADVISORY FEE Each Fund has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the "Adviser" or "SSgA FM"). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund's average daily net assets as shown in the following table:
ANNUAL RATE - --------------------------------------------------------------- SPDR Dow Jones Total Market ETF 0.20% SPDR Dow Jones Large Cap ETF 0.20 SPDR Dow Jones Large Cap Growth ETF 0.20 SPDR Dow Jones Large Cap Value ETF 0.20 SPDR Dow Jones Mid Cap ETF 0.25 SPDR Dow Jones Mid Cap Growth ETF 0.25 SPDR Dow Jones Mid Cap Value ETF 0.25 SPDR Dow Jones Small Cap ETF 0.25 SPDR Dow Jones Small Cap Growth ETF 0.25 SPDR Dow Jones Small Cap Value ETF 0.25 SPDR DJ Global Titans ETF 0.50 SPDR Dow Jones REIT ETF 0.25 SPDR KBW Bank ETF 0.35 SPDR KBW Capital Markets ETF 0.35 SPDR KBW Insurance ETF 0.35 SPDR Morgan Stanley Technology ETF 0.50 SPDR S&P Dividend ETF 0.35 SPDR S&P Biotech ETF 0.35 SPDR S&P Homebuilders ETF 0.35 SPDR S&P Metals & Mining ETF 0.35 SPDR S&P Oil & Gas Equipment & Services ETF 0.35 SPDR S&P Oil & Gas Exploration & Production ETF 0.35 SPDR S&P Pharmaceuticals ETF 0.35 SPDR S&P Retail ETF 0.35 SPDR S&P Semiconductor ETF 0.35 SPDR KBW Regional Banking ETF 0.35 SPDR KBW Mortgage Finance ETF 0.35
The Adviser pays all expenses of each Fund other than management fee, distribution fee pursuant to each Fund's Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees' counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses. On December 23, 2008 the Adviser agreed to make a voluntary contribution of $53,830 to the SPDR S&P Retail ETF to correct for market impact of securities investments that should have been held in cash. On March 20, 2009 the Adviser agreed to make a voluntary contribution of $1,726,352 to the SPDR S&P Biotech ETF to compensate the fund for a delayed rebalancing trade and limit tracking error against the Index. State Street Bank and Trust Company ("State Street"), an affiliate of the Adviser, receives fees for its services as Custodian, Administrator and Transfer Agent from the Adviser. See also Note 4. State Street also acts as the securities lending agent for the Funds and receives a portion of any lending income. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio for which SSgA FM serves as the investment adviser. The State Street Navigator Securities Lending Prime Portfolio is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. See Note 8 for additional information regarding securities lending. 210 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- For the period July 1, 2008 through June 30, 2009, State Street earned securities lending agent fees as follows:
SECURITIES LENDING AGENT FEES - ------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 35,987 SPDR Dow Jones Large Cap ETF 8,628 SPDR Dow Jones Large Cap Growth ETF 36,525 SPDR Dow Jones Large Cap Value ETF 26,430 SPDR Dow Jones Mid Cap ETF 11,324 SPDR Dow Jones Mid Cap Growth ETF 17,724 SPDR Dow Jones Mid Cap Value ETF 4,791 SPDR Dow Jones Small Cap ETF 9,366 SPDR Dow Jones Small Cap Growth ETF 52,512 SPDR Dow Jones Small Cap Value ETF 42,287 SPDR DJ Global Titans ETF 21,294 SPDR Dow Jones REIT ETF 321,558 SPDR KBW Bank ETF 876,186 SPDR KBW Capital Markets ETF 25,371 SPDR KBW Insurance ETF 21,362 SPDR Morgan Stanley Technology ETF 38,187 SPDR S&P Dividend ETF 180,278 SPDR S&P Biotech ETF 183,660 SPDR S&P Homebuilders ETF 399,709 SPDR S&P Metals & Mining ETF 107,312 SPDR S&P Oil & Gas Equipment & Services ETF 33,604 SPDR S&P Oil & Gas Exploration & Production ETF 52,960 SPDR S&P Pharmaceuticals ETF 18,493 SPDR S&P Retail ETF 181,911 SPDR S&P Semiconductor ETF 16,286 SPDR KBW Regional Banking ETF 637,570 SPDR KBW Mortgage Finance ETF --
DISTRIBUTOR State Street Global Markets, LLC (the "Distributor"), an affiliate of the Adviser, serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan, pursuant to Rule 12b-1 under the 1940 Act, each Fund, with the exception of SPDR Dow Jones Total Market ETF, is authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. However, the Board of Trustees has determined that no such payments will be made through at least October 31, 2009 and therefore no such payments have been made to the Distributor. The Distributor has established an assisted trading program to aid Authorized Participants in certain creation and redemption activity for which the Distributor receives commissions from Authorized Participants. In addition, the Distributor receives compensation from State Street associated with on-line creation and redemption activity of Authorized Participants. TRUSTEES' FEES The Trust and SPDR Index Share Funds ("SIS Trust") pay, in the aggregate, each Independent Trustee an annual fee of $90,000 plus $5,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chair of the Board receives an additional annual fee of $25,000 and the Chair of the Audit Committee 211 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- receives an additional annual fee of $10,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated between the Trust and SIS Trust and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series. Prior to April 20, 2009, the Trust paid each Independent Trustee an annual fee of $60,000 plus $3,000 per in person meeting attended and $1,000 for each meeting attended via telephone or video conference and the Audit Chair received an additional annual fee of $9,000. TRANSACTIONS WITH AFFILIATES The Funds listed below have invested in an affiliated company, State Street Corp. Amounts relating to these investments at June 30, 2009 and for the period then ended are:
NUMBER OF PURCHASED SOLD NUMBER OF SHARES HELD VALUE AT ----------------------- ----------------------- SHARES HELD VALUE AT FUND AT 6/30/08 6/30/08 COST SHARES PROCEEDS SHARES AT 6/30/09 6/30/09 - --------------------------------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF 3,168 $ 202,720 $ 196,208 4,767 $ 33,721 813 7,122 $ 336,158 SPDR Dow Jones Large Cap ETF 307 19,645 75,347 1,999 10,762 237 2,069 97,657 SPDR Dow Jones Large Cap Growth ETF 18,221 1,165,962 -- -- 1,101,557 18,221 -- -- SPDR Dow Jones Large Cap Value ETF -- -- 691,123 13,281 91,096 2,857 10,424 492,013 SPDR KBW Bank ETF 726,298 46,475,809 177,092,850 3,953,256 176,040,990 3,952,591 726,963 34,312,654 SPDR KBW Capital Markets ETF 154,087 9,860,027 40,425,456 836,303 39,425,218 840,845 149,545 7,058,524 DIVIDEND REALIZED FUND INCOME GAIN/(LOSS) - --------------------------------------------------- SPDR Dow Jones Total Market ETF $ 2,330 $ 4,981 SPDR Dow Jones Large Cap ETF 387 (1,902) SPDR Dow Jones Large Cap Growth ETF -- (107,989) SPDR Dow Jones Large Cap Value ETF 4,648 (59,504) SPDR KBW Bank ETF 351,342 (12,913,201) SPDR KBW Capital Markets ETF 58,260 (3,141,442)
Each Fund may invest in certain money market funds managed by the Adviser, including the State Street Institutional Liquid Reserves Fund ("Liquid Reserves Fund"), a series of State Street Institutional Investment Trust. The Liquid Reserves Fund is a feeder fund in a master/feeder fund structure that invests subtantially all of its assets in the State Street Master Funds (Master Portfolio"). The Liquid Reserves Fund does not pay an investment advisory fee to the Adviser, but the respective master portfolio in which it invests pays an investment advisory fee to the Adviser. The Liquid Reserves Fund intends to declare dividends on shares from net investment income daily and pay them as of the last business day of each month. All income distributions earned by the the Fund from affiliated money market funds are recorded as dividend income on securities of affiliated issuers in the accompanying Statement of Operations.
PURCHASED SOLD VALUE AT ---------------- ----------------- VALUE AT REALIZED FUND 6/30/08 COST SHARES PROCEEDS SHARES 6/30/09 INCOME GAIN/(LOSS) - ---------------------------------------------------------------------------------------------------------------------- SPDR KBW Mortgage Finance ETF $-- $42,719 42,719 $11,138 11,138 $31,581 $9 $--
212 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- Each Fund invests its cash collateral for securities lending in the shares of the State Street Navigator Securities Lending Prime Portfolio, an affiliated fund of the Adviser. Amounts relating to these investments at June 30, 2009 and for the period then ended are:
PURCHASED SOLD VALUE AT ----------------------------- ----------------------------- VALUE AT FUND 6/30/08 COST SHARES PROCEEDS SHARES 6/30/09 INCOME - ---------------------------------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 21,262,511 $ 139,990,003 139,990,003 $ 154,138,517 154,138,517 $ 7,113,997 $ 204,725 SPDR Dow Jones Large Cap ETF 1,832,154 51,035,874 51,035,874 42,084,781 42,084,781 10,783,247 49,920 SPDR Dow Jones Large Cap Growth ETF 20,052,330 165,118,239 165,118,239 176,378,016 176,378,016 8,792,553 207,061 SPDR Dow Jones Large Cap Value ETF 12,921,394 156,796,193 156,796,193 166,150,087 166,150,087 3,567,500 149,491 SPDR Dow Jones Mid Cap ETF 5,859,846 36,029,791 36,029,791 32,865,304 32,865,304 9,024,333 64,185 SPDR Dow Jones Mid Cap Growth ETF 12,388,543 50,671,217 50,671,217 50,662,717 50,662,717 12,397,043 100,466 SPDR Dow Jones Mid Cap Value ETF 2,862,416 13,602,952 13,602,952 13,913,782 13,913,782 2,551,586 27,166 SPDR Dow Jones Small Cap ETF 3,968,716 23,058,123 23,058,123 20,456,480 20,456,480 6,570,359 54,779 SPDR Dow Jones Small Cap Growth ETF 24,685,849 127,286,423 127,286,423 124,588,555 124,588,555 27,383,717 297,051 SPDR Dow Jones Small Cap Value ETF 25,747,911 143,900,619 143,900,619 150,974,844 150,974,844 18,673,686 239,777 SPDR DJ Global Titans ETF 9,237,026 240,441,748 240,441,748 244,004,933 244,004,933 5,673,841 120,900 SPDR Dow Jones REIT ETF 125,989,046 1,654,244,798 1,654,244,798 1,584,370,962 1,584,370,962 195,862,882 1,806,654 SPDR KBW Bank ETF 99,463,820 1,411,554,199 1,411,554,199 1,303,952,591 1,303,952,591 207,065,428 4,926,897 SPDR KBW Capital Markets ETF 26,491,439 203,546,433 203,546,433 220,867,595 220,867,595 9,170,277 143,902 SPDR KBW Insurance ETF 10,865,370 222,043,789 222,043,789 226,926,654 226,926,654 5,982,505 121,253 SPDR Morgan Stanley Technology ETF 19,361,762 311,010,831 311,010,831 316,719,169 316,719,169 13,653,424 216,697 SPDR S&P Dividend ETF 48,339,022 678,946,572 678,946,572 569,351,393 569,351,393 157,934,201 1,022,620 SPDR S&P Biotech ETF 72,559,744 700,682,862 700,682,862 663,948,796 663,948,796 109,293,810 1,042,694 SPDR S&P Homebuilders ETF 134,901,443 1,054,231,693 1,054,231,693 1,063,370,866 1,063,370,866 125,762,270 2,268,442 SPDR S&P Metals & Mining ETF 94,876,401 728,501,112 728,501,112 676,391,603 676,391,603 146,985,910 609,227 SPDR S&P Oil & Gas Equipment & Services ETF 34,443,666 248,425,302 248,425,302 242,677,803 242,677,803 40,191,165 190,754 SPDR S&P Oil & Gas Exploration & Production ETF 38,608,950 458,738,605 458,738,605 440,841,187 440,841,187 56,506,368 300,176 SPDR S&P Pharmaceuticals ETF 2,523,940 82,435,911 82,435,911 73,321,647 73,321,647 11,638,204 104,914 SPDR S&P Retail ETF 28,405,647 1,016,726,875 1,016,726,875 979,343,379 979,343,379 65,789,143 1,030,255 SPDR S&P Semiconductor ETF 10,428,550 91,282,771 91,282,771 76,332,595 76,332,595 25,378,726 92,217 SPDR KBW Regional Banking ETF 170,496,072 1,105,084,489 1,105,084,489 1,142,377,912 1,142,377,912 133,202,649 3,616,576 REALIZED FUND GAIN/(LOSS) - ----------------------------------------- SPDR Dow Jones Total Market ETF $-- SPDR Dow Jones Large Cap ETF -- SPDR Dow Jones Large Cap Growth ETF -- SPDR Dow Jones Large Cap Value ETF -- SPDR Dow Jones Mid Cap ETF -- SPDR Dow Jones Mid Cap Growth ETF -- SPDR Dow Jones Mid Cap Value ETF -- SPDR Dow Jones Small Cap ETF -- SPDR Dow Jones Small Cap Growth ETF -- SPDR Dow Jones Small Cap Value ETF -- SPDR DJ Global Titans ETF -- SPDR Dow Jones REIT ETF -- SPDR KBW Bank ETF -- SPDR KBW Capital Markets ETF -- SPDR KBW Insurance ETF -- SPDR Morgan Stanley Technology ETF -- SPDR S&P Dividend ETF -- SPDR S&P Biotech ETF -- SPDR S&P Homebuilders ETF -- SPDR S&P Metals & Mining ETF -- SPDR S&P Oil & Gas Equipment & Services ETF -- SPDR S&P Oil & Gas Exploration & Production ETF -- SPDR S&P Pharmaceuticals ETF -- SPDR S&P Retail ETF -- SPDR S&P Semiconductor ETF -- SPDR KBW Regional Banking ETF --
4. SHAREHOLDER TRANSACTIONS With the exception of the Trust's dividend reinvestment plan, Shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally on an in-kind basis, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees ranging from $250 to $4,500 per Creation Unit regardless of the number of Creation Units that are created or redeemed on the same day, are charged to Authorized Participants. An additional variable fee may be charged for certain transactions. Transaction fees from certain Creation Units transactions are received by the Trust and/or Custodian and used to defray related expenses. The Custodian also receives amounts earned on cash collateral provided by Authorized Participants pending delivery of missing deposit securities. 213 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation at June 30, 2009 were as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) - ----------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 193,984,474 $ 8,817,460 $ 36,922,817 $ (28,105,357) SPDR Dow Jones Large Cap ETF 50,388,918 1,728,972 2,774,813 (1,045,841) SPDR Dow Jones Large Cap Growth ETF 216,462,456 3,751,517 56,311,472 (52,559,955) SPDR Dow Jones Large Cap Value ETF 130,879,919 3,524,307 31,155,796 (27,631,489) SPDR Dow Jones Mid Cap ETF 42,685,063 2,415,580 4,638,864 (2,223,284) SPDR Dow Jones Mid Cap Growth ETF 58,327,559 3,789,108 6,724,994 (2,935,886) SPDR Dow Jones Mid Cap Value ETF 13,208,924 681,436 2,457,211 (1,775,775) SPDR Dow Jones Small Cap ETF 34,148,600 1,368,325 6,213,025 (4,844,700) SPDR Dow Jones Small Cap Growth ETF 148,079,231 5,203,382 31,655,445 (26,452,063) SPDR Dow Jones Small Cap Value ETF 118,791,553 4,762,235 34,579,821 (29,817,586) SPDR DJ Global Titans ETF 104,766,439 745,750 28,436,813 (27,691,063) SPDR Dow Jones REIT ETF 1,877,901,083 144,813 760,455,644 (760,310,831) SPDR KBW Bank ETF 1,559,927,626 -- 526,410,275 (526,410,275) SPDR KBW Capital Markets ETF 119,269,586 218,360 29,844,867 (29,626,507) SPDR KBW Insurance ETF 165,956,677 2,580,307 23,029,426 (20,449,119) SPDR Morgan Stanley Technology ETF 254,125,143 6,701,246 48,912,468 (42,211,222) SPDR S&P Dividend ETF 829,389,155 13,565,465 20,921,923 (7,356,458) SPDR S&P Biotech ETF 591,044,559 11,614,666 65,385,771 (53,771,105) SPDR S&P Homebuilders ETF 707,844,681 7,249,823 32,023,143 (24,773,320) SPDR S&P Metals & Mining ETF 777,424,448 18,662,787 45,735,158 (27,072,371) SPDR S&P Oil & Gas Equipment & Services ETF 285,653,667 4,743,637 50,824,989 (46,081,352) SPDR S&P Oil & Gas Exploration & Production ETF 416,976,915 771,671 80,402,336 (79,630,665) SPDR S&P Pharmaceuticals ETF 50,761,684 3,375,783 1,889,086 1,486,697 SPDR S&P Retail ETF 1,094,938,125 9,899,550 20,220,845 (10,321,295) SPDR S&P Semiconductor ETF 120,287,382 10,001,663 1,358,088 8,643,575 SPDR KBW Regional Banking ETF 884,650,137 -- 314,607,107 (314,607,107) SPDR KBW Mortgage Finance ETF 6,117,941 49,463 713,849 (664,386)
214 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 6. INVESTMENT TRANSACTIONS For the year ended June 30, 2009, the Trust had in-kind contributions and in- kind redemptions as follows:
CONTRIBUTIONS REDEMPTIONS - ---------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 88,227,618 $ 21,388,088 SPDR Dow Jones Large Cap ETF 31,560,484 2,111,679 SPDR Dow Jones Large Cap Growth ETF 18,476,243 70,908,059 SPDR Dow Jones Large Cap Value ETF 52,493,299 14,056,486 SPDR Dow Jones Mid Cap ETF 16,712,294 -- SPDR Dow Jones Mid Cap Growth ETF 11,382,275 3,034,522 SPDR Dow Jones Mid Cap Value ETF 5,145,641 3,521,307 SPDR Dow Jones Small Cap ETF 12,717,679 -- SPDR Dow Jones Small Cap Growth ETF 45,418,122 16,103,479 SPDR Dow Jones Small Cap Value ETF 39,107,180 34,913,995 SPDR DJ Global Titans ETF 23,122,326 71,364,162 SPDR Dow Jones REIT ETF 494,570,232 158,485,467 SPDR KBW Bank ETF 4,228,406,739 3,760,264,990 SPDR KBW Capital Markets ETF 506,267,543 498,609,955 SPDR KBW Insurance ETF 454,492,002 339,090,673 SPDR Morgan Stanley Technology ETF 106,878,927 84,735,941 SPDR S&P Dividend ETF 549,526,104 63,545,216 SPDR S&P Biotech ETF 752,643,705 473,518,996 SPDR S&P Homebuilders ETF 2,337,510,496 1,997,355,967 SPDR S&P Metals & Mining ETF 1,720,469,297 1,610,673,905 SPDR S&P Oil & Gas Equipment & Services ETF 163,405,152 99,773,679 SPDR S&P Oil & Gas Exploration & Production ETF 2,124,027,510 1,938,810,304 SPDR S&P Pharmaceuticals ETF 49,203,150 17,276,067 SPDR S&P Retail ETF 7,361,766,713 6,408,682,681 SPDR S&P Semiconductor ETF 121,194,037 64,120,388 SPDR KBW Regional Banking ETF 3,906,378,725 3,779,322,984 SPDR KBW Mortgage Finance ETF 6,133,755 --
The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions on the Statement of Changes. The table represents the accumulation of the Fund's daily net shareholder transactions while the Statement of Changes reflect gross shareholder transactions including any cash component of the transaction. 215 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- For the year ended June 30, 2009, the Trust had purchases and sales of investment securities as follows:
PURCHASES SALES - -------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 13,581,313 $ 12,695,574 SPDR Dow Jones Large Cap ETF 2,217,590 1,955,017 SPDR Dow Jones Large Cap Growth ETF 63,171,609 62,447,872 SPDR Dow Jones Large Cap Value ETF 33,789,454 33,595,610 SPDR Dow Jones Mid Cap ETF 13,152,388 13,060,395 SPDR Dow Jones Mid Cap Growth ETF 25,964,423 25,684,851 SPDR Dow Jones Mid Cap Value ETF 7,021,838 6,959,732 SPDR Dow Jones Small Cap ETF 4,579,289 4,491,806 SPDR Dow Jones Small Cap Growth ETF 32,913,609 32,343,738 SPDR Dow Jones Small Cap Value ETF 28,175,901 27,627,826 SPDR DJ Global Titans ETF 11,035,637 10,371,896 SPDR Dow Jones REIT ETF 166,401,908 159,462,619 SPDR KBW Bank ETF 448,612,900 442,588,373 SPDR KBW Capital Markets ETF 42,480,913 44,554,258 SPDR KBW Insurance ETF 42,018,934 42,273,544 SPDR Morgan Stanley Technology ETF 33,606,751 33,565,142 SPDR S&P Dividend ETF 428,115,686 429,395,597 SPDR S&P Biotech ETF 358,346,364 356,620,839 SPDR S&P Homebuilders ETF 460,032,232 464,027,229 SPDR S&P Metals & Mining ETF 256,951,493 255,535,509 SPDR S&P Oil & Gas Equipment & Services ETF 67,137,303 67,166,078 SPDR S&P Oil & Gas Exploration & Production ETF 114,319,943 114,413,154 SPDR S&P Pharmaceuticals ETF 26,799,989 26,965,558 SPDR S&P Retail ETF 252,840,998 255,525,290 SPDR S&P Semiconductor ETF 17,155,907 17,192,951 SPDR KBW Regional Banking ETF 289,551,803 297,106,794 SPDR KBW Mortgage Finance ETF 256,310 260,820
7. CONCENTRATION OF RISK The Funds' assets may be concentrated in a particular industry, group of industries or sector. Because each Fund will generally concentrate its investments to approximately the same extent that its index is so concentrated, a Fund may be adversely affected by the performance of a particular industry, group of industries or sector, and its shares may be subject to increased price volatility. In addition, if a Fund concentrates in a single industry or group of industries, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry or group of industries. 8. SECURITIES LENDING Each Fund may lend securities up to 33 1/3% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. Proceeds collected by State Street on investment of cash collateral or any fee income is partially allocated to State Street as compensation for its lending services. The market value of securities on loan as of June 30, 2009 and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Securities lending income, as disclosed in the Funds' Statements of Operations, represent the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. 216 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 9. SUBSEQUENT EVENTS In accordance with the provisions set forth in FASB Statement of Financial Accounting Standards No. 165 "Subsequent Events", adopted by the Funds as of June 30, 2009, management has evaluated the possibility of subsequent events existing in the Fund's financial statements through August 25, 2009. Management has determined that there are no material events that would require disclosure in the Fund's financial statement through this date. 217 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Trustees of SPDR(R) Series Trust We have audited the accompanying statements of assets and liabilities of SPDR(R) Dow Jones Total Market ETF (formerly "SPDR(R) DJ Wilshire Total Market ETF"), SPDR(R) Dow Jones Large Cap ETF (formerly "SPDR(R) DJ Wilshire Large Cap ETF"), SPDR(R) Dow Jones Large Cap Growth ETF (formerly "SPDR(R) DJ Wilshire Large Cap Growth ETF"), SPDR(R) Dow Jones Large Cap Value ETF (formerly "SPDR(R) DJ Wilshire Large Cap Value ETF"), SPDR(R) Dow Jones Mid Cap ETF (formerly "SPDR(R) DJ Wilshire Mid Cap ETF"), SPDR(R) Dow Jones Mid Cap Growth ETF (formerly "SPDR(R) DJ Wilshire Mid Cap Growth ETF"), SPDR(R) Dow Jones Mid Cap Value ETF (formerly "SPDR(R) DJ Wilshire Mid Cap Value ETF"), SPDR(R) Dow Jones Small Cap ETF (formerly "SPDR(R) DJ Wilshire Small Cap ETF"), SPDR(R) Dow Jones Small Cap Growth ETF (formerly "SPDR DJ Wilshire Small Cap Growth ETF"), SPDR(R) Dow Jones Small Cap Value ETF (formerly "SPDR(R) DJ Wilshire Small Cap Value ETF"), SPDR(R) DJ Global Titans ETF, SPDR(R) Dow Jones REIT ETF (formerly "SPDR(R) DJ Wilshire REIT ETF"), SPDR(R) KBW Bank ETF, SPDR(R) KBW Capital Markets ETF, SPDR(R) KBW Insurance ETF, SPDR(R) Morgan Stanley Technology ETF, SPDR(R) S&P(R) Dividend ETF, SPDR(R) S&P(R) Biotech ETF, SPDR(R) S&P(R) Homebuilders ETF, SPDR(R) S&P(R) Metals & Mining ETF, SPDR(R) S&P(R) Oil & Gas Equipment & Services ETF, SPDR(R) S&P(R) Oil & Gas Exploration & Production ETF, SPDR(R) S&P(R) Pharmaceuticals ETF, SPDR(R) S&P(R) Retail ETF, SPDR(R) S&P(R) Semiconductor ETF, SPDR(R) KBW Regional Banking ETF, and SPDR(R) KBW Mortgage Finance ETF, twenty-seven of the portfolios (collectively, the "Funds") comprising SPDR(R) Series Trust, including the schedules of investments, as of June 30, 2009, and the related statements of operations, statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits 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 and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2009 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned Funds of SPDR(R) Series Trust at June 30, 2009, the results of their operations, changes in their net assets, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles. LOGO Boston, Massachusetts August 25, 2009 218 SPDR SERIES TRUST OTHER INFORMATION JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/OFFER MIDPOINT VS. NAV AS OF JUNE 30, 2009 The following charts are provided to show the frequency at which the daily market price on the NYSE Arca, Inc. ("Exchange"), the secondary market for shares of each Fund, was at a discount or premium to such Fund's daily net asset value ("NAV"). The market price of each Fund generally is determined using the midpoint between the highest bid and lowest offer on the Exchange, as of the time that the Fund's NAV is calculated (referred to as the "Bid/Offer Midpoint"). Each Fund's Bid/Offer Midpoint may at times be at, above or below its NAV. The discount or premium is the percentage difference between the NAV and the Bid/Offer Midpoint of a Fund. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of NAV. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Bid/Offer Midpoint of each Fund will fluctuate in accordance with changes in its NAV, as well as supply and demand. SPDR DOW JONES TOTAL MARKET ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 26 16 12 13 8 6
SPDR DOW JONES LARGE CAP ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 36 17 10 25 7 1
SPDR DOW JONES LARGE CAP GROWTH ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 21 3 1 13 1 0
SPDR DOW JONES LARGE CAP VALUE ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 26 7 5 26 1 0
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. 219 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR DOW JONES MID CAP ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 13 1 0 11 0 0
SPDR DOW JONES MID CAP GROWTH ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 20 8 1 14 7 0
SPDR DOW JONES MID CAP VALUE ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 10 3 0 18 2 0
SPDR DOW JONES SMALL CAP ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 15 7 7 24 5 3
SPDR DOW JONES SMALL CAP GROWTH ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 32 15 9 29 8 4
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. 220 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR DOW JONES SMALL CAP VALUE ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 37 18 12 40 9 1
SPDR DJ GLOBAL TITANS ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 50 22 17 43 19 4
SPDR DOW JONES REIT ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 31 8 1 16 4 1
SPDR KBW BANK ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 24 9 2 16 4 2
SPDR KBW CAPITAL MARKETS ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 13 11 2 15 3 3
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. 221 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR KBW INSURANCE ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 21 7 1 16 5 2
SPDR MORGAN STANLEY TECHNOLOGY ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ 5 Years Ended: 6/30/09................................. 33 9 10 33 11 1
SPDR S&P DIVIDEND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (11/15/05) through 6/30/09......................... 28 14 9 13 2 2
SPDR S&P BIOTECH ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (2/6/06) through 6/30/09......................... 12 3 0 14 5 1
SPDR S&P HOMEBUILDERS ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (2/6/06) through 6/30/09......................... 33 11 3 28 8 1
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. 222 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR S&P METALS & MINING ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 20 13 2 17 5 2
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 21 8 1 14 8 1
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 15 5 1 18 5 0
SPDR S&P PHARMACEUTICALS ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 7 21 3 10 4 0
SPDR S&P RETAIL ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 19 5 1 11 1 0
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. 223 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR S&P SEMICONDUCTOR ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (2/6/06) through 6/30/09......................... 17 4 3 19 4 0
SPDR KBW REGIONAL BANKING ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT* VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (6/22/06) through 6/30/09......................... 23 8 3 13 3 1
SPDR KBW MORTGAGE FINANCE ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of trading (4/30/09) through 6/30/09......................... 0 0 0 0 0 0
* Prior to 11/1/2006, the discount and premium information was calculated by comparing the closing price (last trade) vs. the NAV of the Fund. SHAREHOLDER EXPENSE EXAMPLE As a shareholder of a Fund, you incur two types of costs: (1) transaction costs which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, trustees fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at January 1, 2009 and held for the six-months ended June 30, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Funds charge transaction fees ranging from $250 to $4,500 per transaction to those persons creating or redeeming Creation Units. Variable transaction fees may 224 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- also apply. If you buy or sell Shares of the Fund in the secondary market, you will incur customary brokerage commissions and charges. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees on brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* ACTUAL 1/1/09 6/30/09 1/1/09-6/30/09 - ------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $1,000 $1,042.50 $1.06 SPDR Dow Jones Large Cap ETF 1,000 1,037.10 1.11 SPDR Dow Jones Large Cap Growth ETF 1,000 1,100.20 1.09 SPDR Dow Jones Large Cap Value ETF 1,000 973.70 1.03 SPDR Dow Jones Mid Cap ETF 1,000 1,100.20 1.56 SPDR Dow Jones Mid Cap Growth ETF 1,000 1,183.00 1.52 SPDR Dow Jones Mid Cap Value ETF 1,000 1,008.10 1.64 SPDR Dow Jones Small Cap ETF 1,000 1,103.50 1.62 SPDR Dow Jones Small Cap Growth ETF 1,000 1,173.00 1.45 SPDR Dow Jones Small Cap Value ETF 1,000 1,041.50 1.37 SPDR DJ Global Titans ETF 1,000 1,011.40 2.54 SPDR Dow Jones REIT ETF 1,000 870.30 1.16 SPDR KBW Bank ETF 1,000 836.90 1.64 SPDR KBW Capital Markets ETF 1,000 1,276.80 2.03 SPDR KBW Insurance ETF 1,000 973.80 1.71 SPDR Morgan Stanley Technology ETF 1,000 1,329.70 2.89 SPDR S&P Dividend ETF 1,000 960.20 1.70 SPDR S&P Biotech ETF 1,000 950.00 1.74 SPDR S&P Homebuilders ETF 1,000 984.70 1.77 SPDR S&P Metals & Mining ETF 1,000 1,342.70 2.09 SPDR S&P Oil & Gas Equipment & Services ETF 1,000 1,278.60 1.98 SPDR S&P Oil & Gas Exploration & Production ETF 1,000 1,072.10 1.80 SPDR S&P Pharmaceuticals ETF 1,000 1,003.70 1.84 SPDR S&P Retail ETF 1,000 1,365.50 2.11 SPDR S&P Semiconductor ETF 1,000 1,413.20 2.09 KBW Regional Banking ETF 1,000 636.30 1.46 SPDR KBW Mortgage Finance ETF** 1,000 882.70 0.56
BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* HYPOTHETICAL 1/1/09 6/30/09 1/1/09-6/30/09 - ------------------------------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $1,000 $1,023.75 $1.05 SPDR Dow Jones Large Cap ETF 1,000 1,023.70 1.10 SPDR Dow Jones Large Cap Growth ETF 1,000 1,023.75 1.05 SPDR Dow Jones Large Cap Value ETF 1,000 1,023.75 1.05 SPDR Dow Jones Mid Cap ETF 1,000 1,023.31 1.51 SPDR Dow Jones Mid Cap Growth ETF 1,000 1,023.41 1.40 SPDR Dow Jones Mid Cap Value ETF 1,000 1,023.16 1.66 SPDR Dow Jones Small Cap ETF 1,000 1,023.26 1.56 SPDR Dow Jones Small Cap Growth ETF 1,000 1,023.46 1.35 SPDR Dow Jones Small Cap Value ETF 1,000 1,023.46 1.35 SPDR DJ Global Titans ETF 1,000 1,022.27 2.56 SPDR Dow Jones REIT ETF 1,000 1,023.55 1.25 SPDR KBW Bank ETF 1,000 1,023.01 1.81 SPDR KBW Capital Markets ETF 1,000 1,023.01 1.81 SPDR KBW Insurance ETF 1,000 1,023.06 1.76 SPDR Morgan Stanley Technology ETF 1,000 1,022.32 2.51
225 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* HYPOTHETICAL (CONTINUED) 1/1/09 6/30/09 1/1/09-6/30/09 - ------------------------------------------------------------------------------------------------------- SPDR S&P Dividend ETF $1,000 $1,023.06 $1.76 SPDR S&P Biotech ETF 1,000 1,023.01 1.81 SPDR S&P Homebuilders ETF 1,000 1,023.01 1.81 SPDR S&P Metals & Mining ETF 1,000 1,023.01 1.81 SPDR S&P Oil & Gas Equipment & Services ETF 1,000 1,023.06 1.76 SPDR S&P Oil & Gas Exploration & Production ETF 1,000 1,023.06 1.76 SPDR S&P Pharmaceuticals ETF 1,000 1,022.96 1.86 SPDR S&P Retail ETF 1,000 1,023.01 1.81 SPDR S&P Semiconductor ETF 1,000 1,023.06 1.76 KBW Regional Banking ETF 1,000 1,023.01 1.81 SPDR KBW Mortgage Finance ETF** 1,000 1,023.06 1.76
* Expenses are equal to the Fund's annualized net expense ratios of 0.21%, 0.22%, 0.21%, 0.21%, 0.30%, 0.28%, 0.33%, 0.31%, 0.27%, 0.27%, 0.51%, 0.25%, 0.36%, 0.36%, 0.35%, 0.50%, 0.35%, 0.36%, 0.36%, 0.36%, 0.35%, 0.35%, 0.37%, 0.36%, 0.35%, 0.36% and 0.35% respectively. Expenses are equal to the Funds' annualized expense ratio, multiplied by the average account value of the period, multiplied by the number of days in the most recent six month period, then divided by 365. ** Actual period is from commencement of operations 4/29/09. Hypothetical period is from 1/1/09. TAX INFORMATION For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year end June 30, 2009: Percentage of distributions which qualify for the corporate dividends paid deduction:
PERCENTAGE - ------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF 86.05% SPDR Dow Jones Large Cap ETF 77.64% SPDR Dow Jones Large Cap Growth ETF 91.19% SPDR Dow Jones Large Cap Value ETF 83.01% SPDR Dow Jones Mid Cap ETF 64.29% SPDR Dow Jones Mid Cap Growth ETF 65.83% SPDR Dow Jones Mid Cap Value ETF 54.13% SPDR Dow Jones Small Cap ETF 63.24% SPDR Dow Jones Small Cap Growth ETF 65.67% SPDR Dow Jones Small Cap Value ETF 65.43% SPDR DJ Global Titans ETF 41.84% SPDR Dow Jones REIT ETF 0.00% SPDR KBW Bank ETF 72.61% SPDR KBW Capital Markets ETF 81.47% SPDR KBW Insurance ETF 64.77% SPDR Morgan Stanley Technology ETF 96.89% SPDR S&P Dividend ETF 82.23% SPDR S&P Biotech ETF 93.01% SPDR S&P Homebuilders ETF 63.62% SPDR S&P Metals & Mining ETF 90.70% SPDR S&P Oil & Gas Equipment & Services ETF 71.27% SPDR S&P Oil & Gas Exploration & Production ETF 81.35% SPDR S&P Pharmaceuticals ETF 78.31% SPDR S&P Retail ETF 38.45% SPDR S&P Semiconductor ETF 100.00% SPDR KBW Regional Banking ETF 57.23% SPDR KBW Mortgage Finance ETF 0.00%
226 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- Qualified Dividend Income: A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2009, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 15% depending on an individual's tax bracket. These amounts are noted below:
AMOUNT - -------------------------------------------------------------------------------- SPDR Dow Jones Total Market ETF $ 2,678,721 SPDR Dow Jones Large Cap ETF 385,141 SPDR Dow Jones Large Cap Growth ETF 2,186,831 SPDR Dow Jones Large Cap Value ETF 2,782,137 SPDR Dow Jones Mid Cap ETF 251,069 SPDR Dow Jones Mid Cap Growth ETF 161,526 SPDR Dow Jones Mid Cap Value ETF 155,751 SPDR Dow Jones Small Cap ETF 157,499 SPDR Dow Jones Small Cap Growth ETF 324,138 SPDR Dow Jones Small Cap Value ETF 1,072,623 SPDR DJ Global Titans ETF 3,051,461 SPDR Dow Jones REIT ETF -- SPDR KBW Bank ETF 24,299,252 SPDR KBW Capital Markets ETF 1,021,326 SPDR KBW Insurance ETF 1,447,366 SPDR Morgan Stanley Technology ETF 1,481,793 SPDR S&P Dividend ETF 20,731,690 SPDR S&P Biotech ETF 9,183,120 SPDR S&P Homebuilders ETF 6,446,680 SPDR S&P Metals & Mining ETF 4,203,007 SPDR S&P Oil & Gas Equipment & Services ETF 1,087,031 SPDR S&P Oil & Gas Exploration & Production ETF 1,960,140 SPDR S&P Pharmaceuticals ETF 457,566 SPDR S&P Retail ETF 1,572,683 SPDR S&P Semiconductor ETF 421,766 SPDR KBW Regional Banking ETF 12,736,916 SPDR KBW Mortgage Finance ETF 29,943
Long term capital gains dividends were paid from the following Fund during the year ended June 30, 2009:
AMOUNT - ------------------------------------------------------------------------------ SPDR Dow Jones Small Cap Value ETF $266,335
For the fiscal year ended June 30, 2009, certain dividends paid by SPDR Dow Jones Total Market ETF , SPDR Dow Jones Large Cap ETF , SPDR Dow Jones Large Cap Growth ETF , SPDR Dow Jones Large Cap Value ETF, SPDR Dow Jones Mid Cap ETF , SPDR Dow Jones Mid Cap Growth ETF, SPDR Dow Jones Mid Cap Value ETF, SPDR Dow Jones Small Cap ETF, SPDR Dow Jones Small Cap Growth ETF, SPDR Dow Jones Small Cap Value ETF, SPDR DJ Global Titans ETF, SPDR Dow Jones REIT ETF, SPDR KBW Bank ETF , SPDR KBW Capital Markets ETF, SPDR KBW Insurance ETF, SPDR Morgan Stanley Technology ETF, SPDR S&P Dividend ETF, SPDR S&P Biotech ETF, SPDR S&P Homebuilders ETF, SPDR S&P Metals & Mining ETF, SPDR S&P Oil & Gas Equipment & Services ETF, SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Pharmaceuticals ETF, SPDR S&P Retail ETF, SPDR S&P Semiconductor ETF, SPDR KBW Regional Banking ETF and SPDR KBW Mortgage Finance ETF may be subject to a maximum tax rate of 15% as provided for by the Internal Revenue Code. The funds noted above hereby designate the maximum amount of such dividends allowable up to the amount of dividends that were paid during the year. Complete information will be reported in conjunction with the 2009 Form 1099-DIV. PROXY VOTING POLICIES A description of the Trust's proxy voting policies and procedures that are used by the Funds' investment adviser to vote proxies relating to the Funds' portfolio of securities is available (i) without charge, upon request, by calling 1-866-787-2257 (toll free) or (ii) on the website of the Securities and Exchange Commission ("SEC") at www.sec.gov. Information regarding how the investment adviser voted proxies for the prior 12 months ended June 30 is 227 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Funds' website at www.spdrs.com. QUARTERLY PORTFOLIO SCHEDULE The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on the Form N-Q. The Funds' Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, DC. Information on Form N-Q will be available upon request without charge, by calling 1-866-787-2257 (toll free), and on the Funds' website at www.spdrs.com. FULL PORTFOLIO SCHEDULE The complete schedule of portfolio holdings for the following Funds is available on the Funds' website at www.spdrs.com, without charge, upon request, by calling 1-800-787-2257 (toll free) and on the SEC's website at www.sec.gov. SPDR Dow Jones Total Market ETF SPDR Dow Jones Large Cap ETF SPDR Dow Jones Large Cap Growth ETF SPDR Dow Jones Large Cap Value ETF SPDR Dow Jones Mid Cap ETF SPDR Dow Jones Mid Cap Growth ETF SPDR Dow Jones Mid Cap Value ETF SPDR Dow Jones Small Cap ETF SPDR Dow Jones Small Cap Growth ETF SPDR Dow Jones Small Cap Value ETF APPROVAL OF ADVISORY AGREEMENT At in-person meetings, the Board of Trustees of the Trust (the "Board") evaluated various proposals related to new series of the Trust, including a proposal to approve the Investment Advisory Agreement (the "Agreement") with respect to SPDR KBW Mortgage Finance ETF (the "New ETF"), which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not "interested persons" of the Trust within the meaning of the Investment Company Act of 1940, as amended (the "Independent Trustees") also met separately with their independent legal counsel to consider the Agreement. In evaluating the Agreement, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street Bank and Trust Company, the Trust's Administrator, Transfer Agent and Custodian ("State Street"). In deciding whether to approve the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by the Adviser with respect to the New ETF under the Agreement, (ii) costs to the Adviser of its services, and (iii) the extent to which economies of scale would be realized if and as the New ETF grows and whether the fee in the Agreement reflects these economies of scale. The Board considered the nature, extent and quality of services to be provided by the Adviser. In doing so, they relied on their prior experience with the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser's anticipated responsibilities for managing investment operations of the New ETF, in accordance with the New ETF's investment objective and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the New ETF, as an exchange-traded fund ("ETF"), and the experience and expertise of the Adviser with ETFs. The Board considered the background and experience of the Adviser's senior management, including those individuals responsible for portfolio management and compliance of the New ETF. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the New ETF's compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser's best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser's general knowledge of the investment business and that of its affiliates which make up State Street Global Advisers, with which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world's largest 228 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- investment management enterprises for indexed products generally and ETFs in particular. The Board also considered the Adviser's experience in managing fixed income ETFs. The Board then determined that the nature, extent and quality of services anticipated to be provided by the Adviser to the Trust were necessary and appropriate. The Board considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust's brokerage transactions. The Board concluded that, to the extent that the Adviser or its affiliates derives other benefits from its relationship with the Trust, those benefits are not so significant as to cause the Adviser's fees with respect to the New ETF to be excessive. The Board determined that the Adviser is likely to realize economies of scale in managing the New ETF as assets grow in size. The Board further determined that such economies of scale are shared with the New ETF by way of the relatively low advisory fee and unitary fee structure of the Trust, although the Board intends to continue to monitor fees as the New ETF grows in size and assess whether fee breakpoints may be warranted. The Board evaluated the New ETF's unitary fee through review of comparative information with respect to fees paid by similar funds -- i.e., ETFs tracking fixed income indexes. The Board reviewed the universe of similar ETFs for the New ETF based upon data from Lipper Analytical Services and related comparative information for similar ETFs. The Board also reviewed the estimated expense ratio of the New ETF. The Board used a fund by fund analysis of the data. The Board concluded, based on the information presented, that the New ETF's fees were fair and reasonable in light of those of its direct competitors. The Board's conclusions in approving the Agreement, including the Independent Trustees voting separately, were as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to the New ETF were appropriate; (b) the Adviser's fee for the New ETF and the unitary fee, considered in relation to services expected to be provided, were fair and reasonable; (c) any additional benefits to the Adviser were not of a magnitude materially to affect the Board's conclusions; and (d) fees expected to be paid to the Adviser were expected to share economies of scale with respect to the New ETF by way of the relatively low fee structure of the Trust. 229 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) June 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- TRUSTEES AND OFFICERS
NUMBER OF PORTFO- TERM OF LIOS OFFICE PRINCIPAL IN FUND OTHER POSI- AND OCCUPA- COMPLEX DIRECTOR- TION(S) LENGTH OF TION(S) OVERSEEN SHIPS NAME, ADDRESS WITH TIME DURING PAST BY HELD BY AND YEAR OF BIRTH FUNDS SERVED 5 YEARS TRUSTEE TRUSTEE - ----------------- -------- --------- ----------- --------- ----------- INDEPENDENT TRUSTEES FRANK NESVET Indepen- Unlimited Chief 92 SPDR Index c/o SPDR Series Trust dent Elected: Executive Shares State Street Financial Center Trustee, September Officer, Funds One Lincoln Street Chairman 2000 Libra (Trustee). Boston, MA 02111-2900 Group, Inc. 1943 (1998- present) (a financial services consulting company). HELEN F. PETERS Indepen- Unlimited Professor 92 Federal c/o SPDR Series Trust dent Elected: of Finance, Home Loan State Street Financial Center Trustee, September Carroll Bank of One Lincoln Street Chair of 2000 School of Boston Boston, MA 02111-2900 Audit Management, (Director); 1948 Commit- Boston BJ's tee College Wholesale (2003- Clubs present); (Director); Dean, SPDR Index Boston Shares College Funds (August (Trustee); 2000-2003). Eaton Vance Funds (Trustee). DAVID M. KELLY Indepen- Unlimited Retired. 92 Chicago c/o SPDR Series Trust dent Elected: Stock State Street Financial Center Trustee September Exchange One Lincoln Street 2000 (Public Boston, MA 02111-2900 Governor/ 1938 Director); Penson Worldwide Inc. (Director); SPDR Index Shares Funds (Trustee). INTERESTED TRUSTEE JAMES E. ROSS* Inter- Unlimited President, 123 SPDR Index SSgA Funds Management, Inc. ested Elected SSgA Funds Shares State Street Financial Center Trustee, Presi- Management, Funds One Lincoln Street Presi- dent: Inc. (2005- (Trustee); Boston, MA 02111 dent May 2005 present); Select 1965 Elected Principal, Sector SPDR Trustee: SSgA Funds Trust November Management, (Trustee); 2005 Inc. (2001- State present); Street Senior Master Managing Funds Director, (Trustee); State State Street Street Global Institu- Advisors tional (2006- Investment present); Trust Principal, (Trustee). State Street Global Advisors (2000- 2006).
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. 230 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) June 30, 2009 (Unaudited) - --------------------------------------------------------------------------------
TERM OF PRINCIPAL OFFICE AND OCCUPATION(S) NAME, ADDRESS POSITION(S) LENGTH OF DURING PAST AND DATE OF BIRTH WITH FUNDS TIME SERVED 5 YEARS - ----------------- --------------- --------------- ------------------ OFFICERS ELLEN M. NEEDHAM Vice Unlimited Principal, SSgA SSgA Funds Management, Inc. President Elected: Funds Management, State Street Financial Center March 2008 Inc. (1992- One Lincoln Street present)*; Boston, MA 02111 Managing Director, 1967 State Street Global Advisors (1992 to present)* MICHAEL P. RILEY Vice Unlimited Principal, State SSgA Funds Management, Inc. President Elected: Street Global State Street Financial Center February 2005 Advisors (2005- One Lincoln Street present); Boston, MA 02111 Assistant Vice 1969 President, State Street Bank and Trust Company (2000-2004). GARY L. FRENCH Treasurer Unlimited Senior Vice State Street Bank and Trust Elected: President, State Company May 2005 Street Bank and Two Avenue de Lafayette Trust Company Boston, MA 02111 (2002-present). 1951 MATTHEW FLAHERTY Assistant Unlimited Assistant Vice State Street Bank and Trust Treasurer Elected: President, State Company May 2005 Street Bank and Two Avenue de Lafayette Trust (1994- Boston, MA 02111 present).* 1971 CHAD C. HALLETT Assistant Unlimited Vice President, State Street Bank and Trust Treasurer Elected: State Street Bank Company May 2006 and Trust Company Two Avenue de Lafayette (2001-present).* Boston, MA 02111 1969 LAURA F. HEALY Assistant Unlimited Vice President, State Street Bank and Trust Treasurer Elected: State Street Bank Company November 2007 and Trust Company Two Avenue de Lafayette (2002-present).* Boston, MA 02111 1964
* Served in various capacities during noted time period. 231 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) June 30, 2009 (Unaudited) - --------------------------------------------------------------------------------
TERM OF PRINCIPAL OFFICE AND OCCUPATION(S) NAME, ADDRESS POSITION(S) LENGTH OF DURING PAST AND DATE OF BIRTH WITH FUNDS TIME SERVED 5 YEARS - ----------------- --------------- --------------- ------------------ RYAN M. LOUVAR Secretary Unlimited Vice President and State Street Bank and Trust Elected: Senior Counsel, Company August 2008 State Street Bank Four Copley Place, CPH0326 and Trust Company Boston, MA 02116 (2005- present)*; 1972 Counsel, BISYS Group, Inc. (2000- 2005) (a financial services company). MARK E. TUTTLE Assistant Unlimited Vice President and State Street Bank and Trust Secretary Elected: Counsel, State Company August 2007 Street Bank and Four Copley Place, CPH0326 Trust Company Boston, MA 02116 (2007-present)*; 1970 Assistant Counsel, BISYS Group, Inc. (2005-2007)*; (a financial services company); Sole Practitioner, Mark E. Tuttle Attorney at Law (2004- 2005). JULIE B. PIATELLI Chief Unlimited Principal and SSgA Funds Management, Inc. Compliance Elected: Senior Compliance State Street Financial Center Officer August 2007 Officer, SSgA One Lincoln Street Funds Management, Boston, MA 02111 Inc. (2004- 1967 present); Vice President, State Street Global Advisors (2004- present); Senior Manager, Pricewaterhou- seCoopers, LLP (1999-2004).
* Served in various capacities during noted time period. Additional information regarding the Trustees is available in the Trust's statement of additional information which is available upon request without charge, by calling 1-866-787-2257 (toll free), and on the Funds' website at www.spdrs.com. 232 THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR ANY SPDR ETF. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL. SPDR SERIES TRUST SPDR Dow Jones Total Market ETF (TMW) SPDR Dow Jones Large Cap ETF (ELR) SPDR Dow Jones Large Cap Growth ETF (ELG) SPDR Dow Jones Large Cap Value ETF (ELV) SPDR Dow Jones Mid Cap ETF (EMM) SPDR Dow Jones Mid Cap Growth ETF (EMG) SPDR Dow Jones Mid Cap Value ETF (EMV) SPDR Dow Jones Small Cap ETF (DSC) SPDR Dow Jones Small Cap Growth ETF (DSG) SPDR Dow Jones Small Cap Value ETF (DSV) SPDR DJ Global Titans ETF (DGT) SPDR Dow Jones REIT ETF (RWR) SPDR KBW Bank ETF (KBE) SPDR KBW Capital Markets ETF (KCE) SPDR KBW Insurance ETF (KIE) SPDR Morgan Stanley Technology ETF (MTK) SPDR S&P Dividend ETF (SDY) SPDR S&P Biotech ETF (XBI) SPDR S&P Homebuilders ETF (XHB) SPDR S&P Metals & Mining ETF (XME) SPDR S&P Oil & Gas Equipment & Services ETF (XES) SPDR S&P Oil & Gas Exploration & Production ETF (XOP) SPDR S&P Pharmaceuticals ETF (XPH) SPDR S&P Retail ETF (XRT) SPDR S&P Semiconductor ETF (XSD) SPDR KBW Regional Banking ETF (KRE) SPDR KBW Mortgage Finance ETF (KME) SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) SPDR Barclays Capital TIPS ETF (IPE) SPDR Barclays Capital Intermediate Term Treasury ETF (ITE) SPDR Barclays Capital Long Term Treasury ETF (TLO) SPDR Barclays Capital Aggregate Bond ETF (LAG) SPDR Barclays Capital Municipal Bond ETF (TFI) SPDR Barclays Capital California Municipal Bond ETF (CXA) SPDR Barclays Capital New York Municipal Bond ETF (INY) SPDR Barclays Capital Short Term Municipal Bond ETF (SHM) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital High Yield Bond ETF (JNK) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR) SPDR Barclays Capital Long Term Credit Bond ETF (LWC) SPDR Barclays Capital Convertible Bond ETF (CWB) SPDR Barclays Capital Mortgage Backed Bond ETF (MBG) SPDR INDEX SHARES FUNDS SPDR DJ STOXX 50 ETF (FEU) SPDR DJ EURO STOXX 50 ETF (FEZ) SPDR S&P Emerging Asia Pacific ETF (GMF) SPDR S&P China ETF (GXC) SPDR S&P Emerging Markets ETF (GMM) SPDR S&P BRIC 40 ETF (BIK) SPDR S&P Emerging Europe ETF (GUR) SPDR S&P Emerging Latin America ETF (GML) SPDR S&P Emerging Middle East & Africa ETF (GAF) SPDR S&P World ex-US ETF (GWL) SPDR S&P International Small Cap ETF (GWX) SPDR S&P International Dividend ETF (DWX) SPDR S&P International Mid Cap ETF (MDD) SPDR S&P Emerging Markets Small Cap ETF (EWX) SPDR Dow Jones Global Real Estate ETF (RWO) SPDR Dow Jones International Real Estate ETF (RWX) SPDR INDEX SHARES FUNDS (CONTINUED) SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII) SPDR MSCI ACWI ex-US ETF (CWI) SPDR Russell/Nomura PRIME Japan ETF (JPP) SPDR Russell/Nomura Small Cap Japan ETF (JSC) SPDR S&P International Consumer Discretionary Sector ETF (IPD) SPDR S&P International Consumer Staples Sector ETF (IPS) SPDR S&P International Energy Sector ETF (IPW) SPDR S&P International Financial Sector ETF (IPF) SPDR S&P International Health Care Sector ETF (IRY) SPDR S&P International Industrial Sector ETF (IPN) SPDR S&P International Materials Sector ETF (IRV) SPDR S&P International Technology Sector ETF (IPK) SPDR S&P International Telecommunications Sector ETF (IST) SPDR S&P International Utilities Sector ETF (IPU) DIAMONDS TRUST, SERIES 1 (DIA) SPDR TRUST, SERIES 1 (SPY) THE SELECT SECTOR SPDR TRUST The Consumer Discretionary Select Sector SPDR Fund (XLY) The Consumer Staples Select Sector SPDR Fund (XLP) The Energy Select Sector SPDR Fund (XLE) The Financial Select Sector SPDR Fund (XLF) The Health Care Select Sector SPDR Fund (XLV) The Industrial Select Sector SPDR Fund (XLI) The Materials Select Sector SPDR Fund (XLB) The Technology Select Sector SPDR Fund (XLK) The Utilities Select Sector SPDR Fund (XLU) State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR Trust and DIAMONDS Trust, both unit investment trusts; and all investment portfolios of The Select Sector SPDR Trust. SPDR SERIES TRUST TRUSTEES David M. Kelly Frank Nesvet Helen F. Peters James E. Ross OFFICERS James E. Ross, President Ellen M. Needham, Vice President Michael P. Riley, Vice President Gary L. French, Treasurer Matthew W. Flaherty, Assistant Treasurer Chad C. Hallett, Assistant Treasurer Laura F. Healy, Assistant Treasurer Ryan M. Louvar, Secretary Mark E. Tuttle, Assistant Secretary Julie B. Piatelli, Chief Compliance Officer INVESTMENT MANAGER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 DISTRIBUTOR State Street Global Markets, LLC One Lincoln Street Boston, MA 02111 CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT State Street Bank and Trust Company One Lincoln Street Boston, MA 02111 LEGAL COUNSEL Morgan, Lewis and Bockius LLP 1111 Pennsylvania Avenue, NW Washington, DC 20004 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC is a member of FINRA and SIPC. THE INFORMATION CONTAINED IN THIS REPORT IS INTENDED FOR THE GENERAL INFORMATION OF SHAREHOLDERS OF THE TRUST. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT TRUST PROSPECTUS WHICH CONTAINS IMPORTANT INFORMATION CONCERNING THE TRUST. YOU MAY OBTAIN A CURRENT PROSPECTUSF AND SAI FROM THE DISTRIBUTOR BY CALLING 1-866-787-2257 OR VISITING www.spdrs.com PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST. State Street Global Advisors State Street Financial Center One Lincoln Street Boston, MA 02111 The investment return and principal value of an investment in the Funds will fluctuate in value, so that when shares are sold or redeemed they may be worth more or less than when they were purchased. ETFs trade like stocks, are subject to investment risk and will fluctuate in market value. For SPDR Dow Jones Small Cap Growth ETF, SPDR Dow Jones Small Cap Value ETF, SPDR Morgan Stanley Technology ETF, SPDR Dow Jones REIT ETF, SPDR KBW Bank ETF, SPDR KBW Capital Markets ETF, SPDR KBW Insurance ETF, SPDR KBW Regional Banking ETF, SPDR S&P Dividend ETF, SPDR S&P Biotech ETF, SPDR Homebuilders ETF, SPDR Semiconductor ETF, SPDR S&P Metals & Mining ETF, SPDR S&P Oil & Gas Equipment & Services ETF, SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Pharmaceuticals ETF and SPDR S&P Retail ETF: In addition to the normal risks associated with equity investing, narrowly focused investments and investments in smaller companies typically exhibit higher volatility and price fluctuation. For SPDR DJ Global Titans ETF: International investments may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. In general, Fund shares can be expected to move up or down in value with the value of the applicable index. Although Fund shares may be bought and sold on the exchange through any brokerage account, Fund shares are not individually redeemable from the Fund. Investors may directly acquire shares of the Funds and tender them for redemption in Creation Unit Aggregations only. Please see the prospectus for more details. The Funds are not sponsored, endorsed, sold, or promoted by Dow Jones & Company, Time Inc., Morgan Stanley Dean Witter, Keefe, Bruyette & Woods, Inc., or Standard & Poor's. Neither do these companies make any representation regarding the advisability of investing in the Funds. The Funds are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC is a member of FINRA, SIPC. References to State Street may include State Street Corporation and its affiliates. Shares of the Funds are not insured by the FDIC or by another governmental agency; they are not obligations of the FDIC nor are they deposits or obligations of or guaranteed by State Street Bank and Trust Company. Fund shares are subject to investment risks, including possible loss of the principal invested. The Funds pay State Street for its services as investment advisor, custodian, transfer agent and administrator. Please read the prospectus carefully before you invest or send money. (C) 2009 State Street Corporation SPDREQAR For more complete information, please call 866.787.2257 or visit www.spdrs.com today ANNUAL REPORT June 30, 2009 [SPDRs LOGO] PRECISE IN A WORLD THAT ISN'T.(SM) TABLE OF CONTENTS PRESIDENT'S LETTER TO SHAREHOLDERS............................... 1 MANAGEMENT DISCUSSION OF FUND PERFORMANCE & PORTFOLIO SUMMARY SPDR(R) BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BIL)............ 2 SPDR(R) BARCLAYS CAPITAL TIPS ETF (IPE)........................ 6 SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (ITE).. 10 SPDR(R) BARCLAYS CAPITAL LONG TERM TREASURY ETF (TLO).......... 15 SPDR(R) BARCLAYS CAPITAL AGGREGATE BOND ETF (LAG).............. 20 SPDR(R) BARCLAYS CAPITAL MUNICIPAL BOND ETF (TFI).............. 25 SPDR(R) BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (CXA)... 30 SPDR(R) BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (INY)..... 35 SPDR(R) BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (SHM)... 40 SPDR(R) DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF (WIP)................................................... 45 SPDR(R) BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (BWX)....................................................... 49 SPDR(R) BARCLAYS CAPITAL HIGH YIELD BOND ETF (JNK)............. 54 SPDR(R) BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF (BWZ)................................................... 59 SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF (ITR)....................................................... 60 SPDR(R) BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF (LWC)....... 61 SPDR(R) BARCLAYS CAPITAL CONVERTIBLE BOND ETF (CWB)............ 62 SPDR(R) BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF (MBG)........ 63 SCHEDULES OF INVESTMENTS SPDR(R) BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BIL)............ 64 SPDR(R) BARCLAYS CAPITAL TIPS ETF (IPE)........................ 65 SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (ITE).. 66 SPDR(R) BARCLAYS CAPITAL LONG TERM TREASURY ETF (TLO).......... 68 SPDR(R) BARCLAYS CAPITAL AGGREGATE BOND ETF (LAG).............. 69 SPDR(R) BARCLAYS CAPITAL MUNICIPAL BOND ETF (TFI).............. 73 SPDR(R) BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (CXA)... 79 SPDR(R) BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (INY)..... 81 SPDR(R) BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (SHM)... 83 SPDR(R) DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF (WIP)................................................... 88 SPDR(R) BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (BWX)....................................................... 90 SPDR(R) BARCLAYS CAPITAL HIGH YIELD BOND ETF (JNK)............. 92 SPDR(R) BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF (BWZ)................................................... 96 SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF (ITR)....................................................... 98 SPDR(R) BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF (LWC)....... 100 SPDR(R) BARCLAYS CAPITAL CONVERTIBLE BOND ETF (CWB)............ 102 SPDR(R) BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF (MBG)........ 105 FINANCIAL STATEMENTS............................................. 106 FINANCIAL HIGHLIGHTS............................................. 120 NOTES TO FINANCIAL STATEMENTS.................................... 125 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM.......... 141 OTHER INFORMATION................................................ 142
(This page intentionally left blank) [Logo] PRESIDENT'S LETTER TO SHAREHOLDERS Dear Shareholders, Enclosed, please find a copy of the annual report as of June 30, 2009. In the past year, despite market turmoil, we have continued our efforts to develop new and valuable additions to our family of SPDR exchange-traded funds ("ETFs"). State Street has launched 16 new SPDR ETFs since July 2008, offering investors exposure to international market sectors, the mortgage finance industry as well as multiple new fixed income products. NEW INTERNATIONAL SPDRS The suite of International Sector SPDRs launched in July complements their U.S. Select Sector SPDR counterparts, and covers key sectors of the developed international markets: - - SPDR S&P International Consumer Discretionary Sector ETF (Ticker Symbol: IPD) - - SPDR S&P International Financial Sector ETF (Ticker Symbol: IPF) - - SPDR S&P International Technology Sector ETF (Ticker Symbol: IPK) - - SPDR S&P International Industrial Sector ETF (Ticker Symbol: IPN) - - SPDR S&P International Consumer Staples Sector ETF (Ticker Symbol: IPS) - - SPDR S&P International Utilities Sector ETF (Ticker Symbol: IPU) - - SPDR S&P International Energy Sector ETF (Ticker Symbol: IPW) - - SPDR S&P International Materials Sector ETF (Ticker Symbol: IRV) - - SPDR S&P International Health Care Sector ETF (Ticker Symbol: IRY) - - SPDR S&P International Telecommunications Sector ETF (Ticker Symbol: IST) NEW FIXED INCOME SPDRS State Street also introduced five new fixed income SPDRs to provide precise bond exposure at highly competitive expense ratios. Fixed Income SPDRs launched include: - - SPDR Barclays Capital Short Term International Treasury Bond ETF (Ticker Symbol: BWZ) - - SPDR Barclays Capital Mortgage Backed Bond ETF (Ticker Symbol: MBG) - - SPDR Barclays Capital Intermediate Term Credit Bond ETF (Ticker Symbol: ITR) - - SPDR Barclays Capital Long Term Credit Bond ETF (Ticker Symbol: LWC) - - SPDR Barclays Capital Convertible Bond ETF (Ticker Symbol: CWB) NEW INDUSTRY SPDR To further round out the Keefe, Bruyette & Woods (KBW) product offerings, we also launched the SPDR KBW Mortgage Finance ETF (Ticker Symbol: KME). It provides precise exposure to the U.S. mortgage finance industry and is benchmarked to the KBW Mortgage Finance Index. Each of these new ETFs was created to meet the demands of our investors, and in the months ahead, we look forward to launching new ETFs that will provide additional opportunities for those looking to diversify their portfolios. Given State Street's heritage as the industry's pioneer, my colleagues and I take great pride in these new additions to our SPDR family and we look forward to continuing to help you reach your investment goals in the days ahead. On behalf of the SPDR Series Trust, I thank you for your continued support. Sincerely, /s/ James Ross President 1 [Logo] SPDR Barclays Capital 1-3 Month T-Bill ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital 1-3 Month T-Bill ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the 1-3 month sector of the United States Treasury Bill market. In seeking this objective, the Fund utilizes a passive management strategy designed to track the price and yield performance of the Barclays Capital 1-3 Month U.S. Treasury Bill Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 0.79%, and the total return for the Index was 0.77%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Demand for short maturity Treasury bills remained high throughout the year, particularly following the Lehman Brothers Bankruptcy in September 2008. Yields fell and prices rose dramatically as investors engaged in a flight to quality. The flight to quality heightened around year-end, driving rates close to zero percent. The Fund's holdings benefited greatly from these rallies. In an attempt to promote market making and liquidity, and address trade delivery failures that occurred around year end, the Treasury Market Practices Group installed a 300 basis point penalty charge on Treasury trade fails. As a result, a strong rally occurred in the bill market again at the end of April 2009 as traders covered shorts and hoarded bills to ensure they wouldn't fail to deliver on the effective date of May 1(st). This was evident in the net long positions of dealers being reported at all-time highs at the time. Subsequently, bills sold off in early May as the event passed and participants became more comfortable with the new rules, however, rates remain nominally low. Due to the relatively small numbers of issues in the Index and the Fund's in- kind creation/redemption process, the Fund was able to closely track its Index throughout the year. The Fund typically holds a small cash balance invested in a money market fund that is used to pay expenses. The Fund continued to lend securities in an attempt to offset transaction costs. As a result of the credit/liquidity crisis of 2008-2009, the bills held in the Fund benefited from a significant flight to quality. Yields fell close to zero at times, as prices rose. Recent Federal Open Market Committee statements have indicated that they "anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period." As a result, bills continue to trade at historically low rates. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 2 [Logo] SPDR Barclays Capital 1-3 Month T-Bill ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/25/07, 5/30/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.1345%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL 1-3 MONTH 1-3 MONTH NET ASSET MARKET U.S. TREASURY NET ASSET MARKET U.S. TREASURY VALUE VALUE BILL INDEX VALUE VALUE BILL INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 0.79% 0.81% 0.77% 0.79% 0.81% 0.77% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 4.50% 4.54% 4.61% 2.12% 2.14% 2.17% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to June 30, 2009. 3 [Logo] SPDR Barclays Capital 1-3 Month T-Bill ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
BARCLAYS CAPITAL SPDR BARCLAYS 1-3 MONTH CAPITAL 1-3 U.S. TREASURY MONTH T-BILL BILL INDEX ETF (A) (B) ------------- ---------------- 5/25/07 10000 10000 5/30/07 10009 10009 6/30/07 10048 10049 7/31/07 10085 10087 8/31/07 10135 10137 9/30/07 10171 10172 10/31/07 10200 10203 11/30/07 10237 10242 12/31/07 10261 10271 1/31/08 10299 10310 2/28/09 10313 10324 3/31/08 10333 10346 4/30/08 10344 10358 5/31/08 10349 10364 6/30/08 10368 10381 7/31/08 10383 10399 8/31/08 10397 10413 9/30/08 10418 10433 10/31/08 10430 10446 11/30/08 10439 10452 12/31/08 10442 10452 1/31/09 10442 10452 2/28/09 10444 10454 3/31/09 10445 10456 4/30/09 10447 10459 5/31/09 10448 10460 6/30/09 10450 10461
4 [Logo] SPDR Barclays Capital 1-3 Month T-Bill ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------- DESCRIPTION UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY BILL, TREASURY BILL, TREASURY BILL, TREASURY BILL, TREASURY BILL, 0.14%, 8/27/2009 0.18%, 9/24/2009 0.16%, 8/13/2009 0.16%, 8/20/2009 0.15%, 9/10/2009 ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $152,624,119 150,714,919 114,944,966 114,941,054 114,933,245 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 15.5% 15.3 11.7 11.7 11.7 -----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Treasury Obligations 99.9% Short Term Investments 0.1 Other Assets & Liabilities 0.0** ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 5 [Logo] SPDR Barclays Capital TIPS ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital TIPS ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the inflation protected sector of the United States Treasury market. In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays U.S. Government Inflation-Linked Bond Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -1.11%, and the total return for the Index was -1.19%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The performance of the Index in any period is primarily driven by real yield changes, inflation accruals, and real coupon accrual. In the second half of 2008, economic activity declined substantially and credit became scarce following the collapse of Lehman Brothers in September. As a result, commodity prices suffered major declines and deflation concerns increased sending real yields spiking. The rise in yields caused the prices of inflation-linked bonds to fall. In addition, the financial crisis led to a large flight to quality move to US Treasuries, especially short term instruments, causing a significant nominal yield premium. Inflation accruals were positive during the period following the lagged effects of the commodity rally in the first half of 2008, but could not offset the negative impact from rising real yields and foreign currency depreciation. The aggressive monetary and fiscal stimulus allowed financial markets to stabilize in the first half of 2009 and stem the freefall in economic activity. Deflation over an extended period was largely priced out of the inflation-linked bond market leading to lower real yields. Inflation accruals were positive in the first half of 2009 due to the recovery in commodity prices. The performance of the Fund relative to the Index was negatively impacted by a decline in liquidity and the deleveraging flows that plagued the financial sector in the second half of 2008 and into the beginning of 2009. Transactions costs associated with managing the Fund increased as a result. The Fund seeks to match major risk factors of the Index including but not limited to overall duration, partial curve durations, and security level market value weights. The decline in liquidity and increased transactions costs experienced during the second half of 2008 and into the beginning of 2009 led to higher tracking error than normal during the period. The best performing securities within the Index were longer dated Treasury Inflation Protected securities ("TIPs") with maturities greater than 20 years. Longer dated real yields were roughly unchanged over the period as the rise in real yields in late 2008 generated significant buying interest from real money and liability matching accounts. TIPs with maturities longer than 20 years are also less sensitive to realized inflations accruals than shorter maturity TIPs and were therefore pressured less by the decline in commodity prices and expectations surrounding deflation. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 6 [Logo] SPDR Barclays Capital TIPS ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/25/07, 5/30/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL TIPS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.1845%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS U.S. BARCLAYS U.S. GOVERNMENT GOVERNMENT NET ASSET MARKET INFLATION-LINKED NET ASSET MARKET INFLATION-LINKED VALUE VALUE BOND INDEX VALUE VALUE BOND INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -1.11% -1.34% -1.19% -1.11% -1.34% -1.19% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 13.38% 13.38% 13.53% 6.16% 6.16% 6.23% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to June 30, 2009. 7 [Logo] SPDR Barclays Capital TIPS ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL TIPS ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
BARCLAYS U.S. SPDR BARCLAYS GOVERNMENT INFLATION-LINKED CAPITAL TIPS BOND INDEX ETF (A) (B) ------------- --------------------------- 5/25/07 10000 10000 5/30/07 9990 9995 6/30/07 9973 9979 7/31/07 10169 10207 8/31/07 10295 10300 9/30/07 10429 10430 10/31/07 10548 10551 11/30/07 10963 10974 12/31/07 10941 10967 1/31/08 11366 11372 2/28/09 11511 11526 3/31/08 11501 11527 4/30/08 11258 11283 5/31/08 11292 11303 6/30/08 11465 11490 7/31/08 11408 11413 8/31/08 11499 11527 9/30/08 11056 11073 10/31/08 10098 10156 11/30/08 10175 10282 12/31/08 10686 10779 1/31/09 10861 10868 2/28/09 10645 10658 3/31/09 11268 11285 4/30/09 11047 11067 5/31/09 11285 11298 6/30/09 11338 11353
8 [Logo] SPDR Barclays Capital TIPS ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------ DESCRIPTION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION PROTECTED PROTECTED PROTECTED PROTECTED PROTECTED INDEXED BOND, INDEXED BOND, INDEXED NOTE, INDEXED NOTE, INDEXED BOND, 2.38%, 1/15/2025 3.88%, 4/15/2029 2.00%, 1/15/2014 3.00%, 7/15/2012 3.63%, 4/15/2028 ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $19,429,541 19,032,525 15,349,417 14,316,527 13,348,786 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 6.7% 6.6 5.3 5.0 4.6 ------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Treasury Obligations 99.1% Short Term Investments 20.3 Other Assets & Liabilities (19.4) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 9 [Logo] SPDR Barclays Capital Intermediate Term Treasury ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE SPDR Barclays Capital Intermediate Term Treasury ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the 1-10 year sector of the United States Treasury market. In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Intermediate U.S. Treasury Index (the "Index"). The performance of the Fund for the year ended June 30, 2009 (the "Reporting Period"), was 6.20% versus the Index return of 6.12%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged, and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. During the third quarter of 2008, the market saw US Treasuries rally and riskier assets underperform this trend in a powerful flight to quality as the economy continued to demonstrate negative fundamentals. In August, economic strength continued to wane and inflationary concerns were replaced by concerns about future growth not only domestically, but globally. At the start of the fourth quarter, the floodgates opened, and full-fledged contagion swept up all non- Treasury sectors in a highly correlated negative run. In this risk-averse environment, Treasuries continued their rally. At the beginning of July, two- year Treasuries were yielding roughly 2.62% and ten-year Treasuries were at 3.98%. As of the end of December, those numbers were 0.76% and 2.25%, down 1.86% and 1.73%, respectively. Continued and worsening housing woes and the broader economic crisis they spawned forced governments, regulators and markets into uncharted territory. The Fed cut interest rates seven times in 2008 and promised additional "quantitative" easing measures. The Treasury made many direct investments into both securities markets and private entities to help maintain order. Both these institutions, as well as others globally, redefined their roles in the global financial markets. The latter part of 2008's fourth quarter finally brought early signs that extreme liquidity and market intervention programs undertaken by governments and regulators around the world were beginning to result in improved fixed income market liquidity. As a harbinger to 2009, January saw 10-year Treasury rates rise to 2.81%, and the Treasury yield curve between two- and thirty-year maturities steepen by 0.74%. As opposed to the flight to quality, which had been driving the market in 2008, the focus was instead on upcoming supply pressures in the Treasury sector from a myriad of government programs launched to combat the ongoing financial crisis. Additionally, buyers continued their return to spread product, which began in late December 2008. The economy continued to suffer throughout the month of February, with the continued trend of companies around the world announcing poor results, downsized expectations, and reduced investment plans. Near quarter-end, the U.S. Treasury announced another program in the form of a public-private partnership to help move toxic assets off of banks' balance sheets. The second quarter saw 10-year Treasury rates rise again, ending the quarter at 3.52%. Meanwhile, the Treasury yield curve steepened. Buyers continue to sell Treasuries for riskier assets and anticipate rising inflation as the economy heals. Despite the market volatility endemic throughout the period, the Fund was able to track its Index well. Tracking error remained sufficiently within bounds expected of the strategy. The credit/liquidity crisis of 2008-2009 resulted in a significant flight to quality in the Treasury market. Treasuries rallied across the yield curve as investors sought safer asset classes. The short-end of the curve has been 10 [Logo] SPDR Barclays Capital Intermediate Term Treasury ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) anchored by low policy rates. Recent Federal Open Market Committee statements have indicated that the federal funds rate will remain at low levels for an "extended period." However, more recently, long yields have risen due to a burgeoning government deficit, economic improvement, and concerns about long- term inflation. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 11 [Logo] SPDR Barclays Capital Intermediate Term Treasury ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.1345%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL NET ASSET MARKET INTERMEDIATE NET ASSET MARKET INTERMEDIATE VALUE VALUE U.S. TREASURY INDEX VALUE VALUE U.S. TREASURY INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 6.20% 6.35% 6.12% 6.20% 6.35% 6.12% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 16.51% 16.61% 16.56% 7.52% 7.57% 7.55% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to June 30, 2009. 12 [Logo] SPDR Barclays Capital Intermediate Term Treasury ETF-- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL INTERMEDIATE INTERMEDIATE U.S. TERM TREASURY TREASURY INDEX ETF (A) (B) -------------------- ----------------- 5/23/07 10000 10000 5/30/07 9983 9991 6/30/07 9999 10007 7/31/07 10129 10147 8/31/07 10288 10298 9/30/07 10350 10360 10/31/07 10414 10425 11/30/07 10691 10705 12/31/07 10711 10727 1/31/08 10979 10996 2/28/09 11125 11143 3/31/08 11198 11215 4/30/08 11015 11028 5/31/08 10910 10923 6/30/08 10971 10984 7/31/08 11030 11044 8/31/08 11135 11148 9/30/08 11207 11223 10/31/08 11286 11298 11/30/08 11706 11716 12/31/08 11940 11947 1/31/09 11767 11771 2/28/09 11721 11722 3/31/09 11908 11912 4/30/09 11777 11781 5/31/09 11698 11703 6/30/09 11651 11656
13 [Logo] SPDR Barclays Capital Intermediate Term Treasury ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------ DESCRIPTION UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, 3.75%, 11/15/2018 0.88%, 2/28/2011 2.75%, 2/15/2019 0.88%, 5/31/2011 2.25%, 5/31/2014 ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $2,965,109 2,714,343 2,642,916 2,491,025 2,269,203 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 2.1% 1.9 1.8 1.7 1.6 ------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Treasury Obligations 99.2% Short Term Investments 20.5 Other Assets & Liabilities (19.7) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 14 [Logo] SPDR Barclays Capital Long Term Treasury ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE SPDR Barclays Capital Long Term Treasury ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the long term sector of the United States Treasury market. In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Long U.S. Treasury Index (the "Index"). The performance of the Fund for the year ended June 30, 2009 (the "Reporting Period") was 7.51%, versus the Index return of 7.36%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged, and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. During the third quarter of 2008, the market saw US Treasuries rally and riskier assets underperform this trend in a powerful flight to quality as the economy continued to demonstrate negative fundamentals. In August, economic strength continued to wane and inflationary concerns were replaced by concerns about future growth not only domestically, but globally. At the start of the fourth quarter, the floodgates opened, and full-fledged contagion swept up all non- Treasury sectors in a highly correlated negative run. In this risk-averse environment, Treasuries continued their rally. At the beginning of July, ten- year Treasuries were yielding roughly 3.98% and thirty-year Treasuries were at 4.53%. As of the end of December, those numbers were 2.25% and 2.69%, down 1.73% and 1.84%, respectively. Continued and worsening housing woes and the broader economic crisis they spawned forced governments, regulators and markets into uncharted territory. The Fed cut interest rates seven times in 2008 and promised additional "quantitative" easing measures. The Treasury made many direct investments into both securities markets and private entities to help maintain order. Both these institutions, as well as others globally, redefined their roles in the global financial markets. The latter part of 2008's fourth quarter finally brought early signs that extreme liquidity and market intervention programs undertaken by governments and regulators around the world were beginning to result in improved fixed income market liquidity. As a harbinger to 2009, January saw 10-year Treasury rates rise to 2.81%, and the Treasury yield curve between two- and thirty-year maturities steepen by 0.74%. As opposed to the flight to quality, which had been driving the market in 2008, the focus was instead on upcoming supply pressures in the Treasury sector from a myriad of government programs launched to combat the ongoing financial crisis. Additionally, buyers continued their return to spread product, which began in late December 2008. The economy continued to suffer throughout the month of February, with the continued trend of companies around the world announcing poor results, downsized expectations, and reduced investment plans. Near quarter-end the U.S. Treasury announced another program, in the form of a public-private partnership, to help move toxic assets off of banks' balance sheets. The second quarter saw 10-year Treasury rates rise again, ending the quarter at 3.52%. Meanwhile, the Treasury yield curve steepened. Buyers continued to sell Treasuries for riskier assets and anticipated rising inflation as the economy heads down the road to recovery. Despite the market volatility endemic throughout the period, the Fund was able to track its Index well. Tracking error remained sufficiently within bounds expected of the strategy, given the long-duration nature of its universe. 15 [Logo] SPDR Barclays Capital Long Term Treasury ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) The credit/liquidity crisis of 2008-2009 resulted in a significant flight to quality in the Treasury market. Treasuries rallied across the yield curve as investors sought safer asset classes. The short-end of the curve has been anchored by low policy rates. Recent Federal Open Market Committee statements have indicated that the federal funds rate will remain at low levels for an "extended period." However, more recently, long yields have risen due to a burgeoning government deficit, economic improvement, and concerns about long- term inflation. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 16 [Logo] SPDR Barclays Capital Long Term Treasury ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.1345%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL NET ASSET MARKET LONG U.S. NET ASSET MARKET LONG U.S. VALUE VALUE TREASURY INDEX VALUE VALUE TREASURY INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 7.51% 7.29% 7.36% 7.51% 7.29% 7.36% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 20.00% 19.93% 19.95% 9.04% 9.01% 9.02% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to June 30, 2009. 17 [Logo] SPDR Barclays Capital Long Term Treasury ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL LONG LONG U.S. TERM TREASURY TREASURY INDEX ETF (A) (B) ------------- ---------------- 5/23/07 10000 10000 5/30/07 9996 10003 6/30/07 9910 9919 7/31/07 10131 10185 8/31/07 10364 10374 9/30/07 10391 10403 10/31/07 10536 10550 11/30/07 11017 11035 12/31/07 10971 10991 1/31/08 11260 11281 2/28/09 11310 11330 3/31/08 11409 11428 4/30/08 11191 11209 5/31/08 10970 10986 6/30/08 11161 11173 7/31/08 11153 11165 8/31/08 11430 11442 9/30/08 11473 11488 10/31/08 11103 11113 11/30/08 12468 12480 12/31/08 13620 13632 1/31/09 12448 12453 2/28/09 12323 12327 3/31/09 12918 12919 4/30/09 12252 12251 5/31/09 11920 11915 6/30/09 12000 11995
18 [Logo] SPDR Barclays Capital Long Term Treasury ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------- UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES DESCRIPTION TREASURY BOND, TREASURY BOND, TREASURY BOND, TREASURY BOND, TREASURY BOND, 8.00%, 11/15/2021 4.50%, 2/15/2036 6.25%, 8/15/2023 4.25%, 5/15/2039 6.13%, 11/15/2027 ------------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,176,382 909,631 816,455 768,989 747,715 ------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 7.1% 5.5 4.9 4.7 4.5 -------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Treasury Obligations 98.5% Short Term Investments 20.5 Other Assets & Liabilities (19.0) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 19 [Logo] SPDR Barclays Capital Aggregate Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE SPDR Barclays Capital Aggregate Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. dollar denominated investment grade bond market. The Fund is benchmarked to the Barclays Capital U.S. Aggregate Index (the "Index"), which represents the securities of the U.S. dollar denominated investment grade bond market. The performance of the Fund for the year ended June 30, 2009 (the "Reporting Period") was 6.94% versus the Index return of 6.05%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged, and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. During the third quarter of 2008, the market saw Treasuries rally and riskier assets underperform this trend in a powerful flight to quality as the economy continued to demonstrate negative fundamentals. The summer brought questions about the viability of Federal National Mortgage Association ("FNMA") and Federal Home Loan Mortgage Corp. ("FHLMC"), and eventually, an outright bailout of these two government sponsored enterprises. August saw falling Treasury rates as economic strength continued to wane and inflationary concerns were replaced by concerns about future growth not only domestically, but globally. With this, the dollar found some relative strength, downward trends began to take hold in commodity prices, and housing continued its slide. Toward the end of August, MBS joined an already weakening credit sector and widened versus Treasuries. In September, the floodgates opened, and full-fledged contagion swept up all markets in a highly correlated negative run. It seemed every week, market participants would learn of a new change to regulatory structures (e.g. Fed liquidity provisions); one or more institutions pulled into forced marriages or paradigm shifts (e.g. Goldman and Morgan Stanley becoming commercial banks); or the bankruptcy of a major financial institution (e.g. Lehman Brothers). At this point, the world markets had joined in lockstep panicked selling and the end seemed elusive. The latter part of 2008's fourth quarter finally brought early signs that extreme liquidity and market intervention programs undertaken by governments and regulators around the world were beginning to result in improved fixed income market liquidity. LIBOR (short term funding) rates fell and commercial paper outstanding began to slowly increase. However, with this step forward for the market, there was a big step back in investment performance, as economic conditions continued to worsen around the globe. U.S. jobs data, consumer confidence and other key economic measures provided a steady stream of bad news nearly across the board. Similar scenarios unfolded worldwide, culminating in a coordinated 50 basis point rate cut among major central banks in the latter part of October. In November, for the first time in nearly a decade, there was a month over month decline in U.S. CPI. This, along with plummeting commodities prices, shifted market concerns from inflation to the potential for deflation as a real risk. In the third week of December, the Federal Reserve announced a new fed funds rate target range of 0-0.25%. All of this negative activity caused stocks to tumble drastically through most of the quarter, but they seemed to find a floor as the cumulative affect of government support and resulting tentative improvement in liquidity took hold. The dollar registered its best annual return against a broad basket of currencies since 1997. 20 [Logo] SPDR Barclays Capital Aggregate Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) As a harbinger for 2009, January saw 10-year Treasury rates rise, and the Treasury yield curve between two year and thirty year maturities steepen by 0.74%. As opposed to the flight to quality which had been driving the market in 2008, the focus was instead on upcoming supply pressures in the Treasury sector from myriad Government programs launched to combat the ongoing financial crisis. Additionally, buyers continued their return to spread product which began in late December, 2008. The economy continued to suffer throughout the month of February, with the continued trend of companies around the world announcing poor results, downsized expectations, and reduced investment plans. The impact of all this on the consumer (the largest component driver of the U.S. economy) was continued layoffs, resulting in lower housing prices, reduced retail demand and poor sentiment. Within the credit markets, while the shortest-term areas showed some signs of life, broad swaths of the securitized and lower-quality corporate markets remained in virtual lock-down. The second quarter of 2009 saw a continued positive tone in the equity and bond markets, and continued optimism that the U.S. economy's long season of decline may be moderating. Over the period, 10-year Treasury rates rose again, and the Treasury yield curve steepened, as buyers continued to sell Treasuries for riskier assets and anticipated rising inflation as the economy heals. With broad cutbacks in corporate spending of all types, the start of earnings season brought better results than many expected even as sales continued to fall, particularly within more cyclical areas of the economy. Despite continued negative fundamental developments in the economy, capital markets soared upward virtually across the board. As the markets anticipated economic recovery (and the inflationary implications of that), the dollar began to decline, and commodity prices saw a strong upward move (helping emerging equity markets to soar). In June, we saw indications of a slowing decline in U.S. home prices, which observers have been anticipating as an indicator that the economy is closer to an upward turn. Importantly, the quarter also saw short term fixed income markets provide a signal of a more normal market environment in the form of reduced LIBOR funding rates, and falling commercial paper yields. Due to a more volatile bond market environment, tracking error increased this year relative to last year, but still remains well within the bounds expected of the strategy. The credit/liquidity crisis of 2008-2009 resulted in a significant flight to quality in the Treasury market. Treasuries rallied across the yield curve as investors sought safer asset classes, driving down returns to historic lows. However, beginning in 2009, non-Treasury sectors within the Index outperformed. This was the case particularly for utilities and financial institutions. The securitized sector also realized strong returns on the back of government sponsored programs like Term Asset-Backed Securities Loan Facility ("TALF"). The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 21 [Logo] SPDR Barclays Capital Aggregate Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.1845%.* PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL NET ASSET MARKET U.S. NET ASSET MARKET U.S. VALUE VALUE AGGREGATE INDEX VALUE VALUE AGGREGATE INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 6.90% 7.01% 6.05% 6.90% 7.01% 6.05% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 13.93% 14.43% 13.19% 6.39% 6.61% 6.06% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to June 30, 2009. * SSgA Funds Management, Inc. has contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.1345% until October 31, 2009. 22 [Logo] SPDR Barclays Capital Aggregate Bond ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS CAPITAL AGGREGATE BARCLAYS CAPITAL BOND ETF U.S. AGGREGATE (A) INDEX (B) ----------------- ---------------- 5/23/07 10000 10000 5/30/07 9983 9993 6/30/07 9949 9963 7/31/07 10018 10046 8/31/07 10159 10169 9/30/07 10241 10247 10/31/07 10285 10339 11/30/07 10476 10525 12/31/07 10495 10554 1/31/08 10735 10732 2/28/09 10775 10747 3/31/08 10786 10783 4/30/08 10749 10761 5/31/08 10657 10682 6/30/08 10657 10673 7/31/08 10659 10664 8/31/08 10764 10766 9/30/08 10627 10622 10/31/08 10433 10371 11/30/08 10875 10708 12/31/08 11254 11107 1/31/09 11155 11010 2/28/09 11104 10968 3/31/09 11224 11120 4/30/09 11236 11174 5/31/09 11332 11255 6/30/09 11397 11319
23 [Logo] SPDR Barclays Capital Aggregate Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------- DESCRIPTION FANNIE MAE, FREDDIE MAC, FREDDIE MAC, TREASURY NOTES, TREASURY NOTES, 5.50%, TBA 5.00/%, TBA 6.00%, TBA 1.38%, 5/15/2012 0.88%, 12/31/2010 ----------------------------------------------------------------------------------------------------- MARKET VALUE $18,576,562 11,600,391 9,703,969 8,543,013 6,504,548 ----------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.5% 5.9 5.0 4.4 3.3 -----------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Government Agency MBS TBA 38.1% U.S. Treasury Obligations 25.4 Corporate Bonds & Notes 24.0 U.S. Government Agency Obligations 9.5 Collateralized Mortgage Obligations 3.2 Foreign Government Obligations 1.6 Municipal Bonds And Notes 0.0** Short Term Investments 50.7 Other Assets And Liabilities (52.5) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. ** Amount represents less than 0.05% of net assets. 24 [Logo] SPDR Barclays Capital Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital Municipal Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. municipal bond market and provides income that is exempt from federal income taxes. In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Municipal Managed Money Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 5.07%, and the total return for the Index was 5.67%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Municipals turned in another strong quarter on top of excellent returns experienced in the first quarter. Through the first half of the year the Barclays Capital Municipal Bond Index provided a total return of 6.43%. One of the biggest catalysts for this return was the introduction of Build America Bonds (BAB). BABs are taxable debt issued by municipalities who then receive a 35% tax credit from the Federal Treasury on the interest cost. BABs have allowed many municipalities to reduce their effective borrowing cost significantly. In addition, the securities have ushered in a new class of buyer for municipal debt, namely investors exempt from income taxes like pensions and endowments. BABs have taken a great deal of supply out of the market giving traditional municipal debt a scarcity value that triggered both a rate and spread rally in the tax-exempt market. While the news on municipalities has been negative, the returns of municipal debt in the marketplace have been fairly strong. This is by no means an endorsement to ignore the fundamental deterioration in many municipal credits but rather to highlight the technical aspects of the municipal market which affect performance. Supply and demand being one, the concern over higher future taxes being another and the general improvement in economic conditions since the fourth quarter of 2008 being a third. The budget pressures on states and localities are intensifying. Municipalities are wrestling with reduced property, sales and income taxes, all while larger populations look to government to provide a safety net. Budgets gaps are widespread and municipalities will seek to close these gaps through a combination of staff and service cuts, tax increases and debt issuance. California, the most notable example, began to issue IOUs to pay its workers and vendors. It has only recently reached a budget agreement and has plans to issue cash flow financing soon and IOU issuance is expected to end in September. The state has been downgraded again (Baa1/A/BBB) compounding its difficulties. Similar situations, albeit to a lesser extent, exist throughout the country. Our belief is that most municipalities will find suitable, if unpleasant, solutions to their fiscal deficits this year. A prolonged recession, however, will only force them to revisit these issues next year, and then with possibly lower debt ratings and smaller tax bases. Year to date new issue supply is down over 16% from last year, but much of that is due to the preference by municipalities to issue BABs. Some of the major deals of the quarter were issued by: Puerto Rico ($4.1 billion and an additional $1.2 billion BAB financing) and Florida Citizens Property Insurance Co. ($1.0 billion). 25 [Logo] SPDR Barclays Capital Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) Being a passive strategy, we seek to match the return of the underlying index. We employ sampling to achieve this goal. Given we sample from and do not replicate the underlying index some variation will exist, however, this variation has been within our projected tolerances. Securities of intermediate maturity underperformed the "tails" of the municipal yield curve during the quarter. Revenue sectors performed better than General Obligation bonds and lower quality investment grade debt outperformed the highest grades as spread sectors rallied during the quarter. In general, headline states with budgetary issues were under pressure during the second quarter and included California, Connecticut, New Jersey, Illinois and Massachusetts. Not surprisingly, states with better fiscal situations were the best performers and included Texas, Wyoming, North and South Dakota and New Hampshire. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 26 [Logo] SPDR Barclays Capital Municipal Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/11/07, 9/13/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.3000%.* PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL NET ASSET MARKET MUNICIPAL MANAGED NET ASSET MARKET MUNICIPAL MANAGED VALUE VALUE MONEY INDEX VALUE VALUE MONEY INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 5.07% 5.60% 5.67% 5.07% 5.60% 5.67% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 5.83% 6.08% 6.70% 3.20% 3.33% 3.66% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period September 11, 2007 to June 30, 2009. * SSgA Funds Management, Inc. has contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.2000% until October 31, 2009. 27 [Logo] SPDR Barclays Capital Municipal Bond ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL MUNICIPAL MUNICIPAL MANAGED BOND ETF MONEY INDEX (A) (B) ----------------- ----------------- 9/11/2007 10000 10000 9/30/07 9928 9952 10/31/07 9967 9995 11/30/07 10067 10082 12/31/07 10119 10119 1/31/08 10252 10231 2/28/09 9696 9660 3/31/08 9994 10011 4/30/08 10143 10162 5/31/08 10208 10230 6/30/08 10073 10098 7/31/08 10128 10152 8/31/08 10264 10291 9/30/08 9736 9744 10/31/08 9727 9737 11/30/08 9811 9813 12/31/08 10088 10106 1/31/09 10397 10473 2/28/09 10428 10500 3/31/09 10434 10510 4/30/09 10645 10722 5/31/09 10704 10785 6/30/09 10583 10670
28 [Logo] SPDR Barclays Capital Municipal Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------- DESCRIPTION MASSACHUSETTS, DALLAS, TX, AREA ARIZONA, STATE ATLANTA, GA, NEW YORK & NEW STATE GENERAL RAPID TRANSIT, TRANSPORTATION METROPOLITAN RAPID JERSEY, PORT OBLIGATION, SALES TAX REVENUE BOARD, HIGHWAY TRANSIT AUTHORITY, AUTHORITY REVENUE, SERIES C, SERIES A, REVENUE, SALES TAX REVENUE, 156TH SERIES, 5.50%, 12/1/2022 5.00%, 12/1/2015 SERIES A, SERIES B, 4.75%, 11/1/2036 5.00%, 7/1/2028 5.00%, 7/1/2037 ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $12,698,510 7,607,749 7,438,802 6,813,537 6,670,230 ----------------------------------------------------------------------------------------------------------------- % OF NET 2.2% 1.3 1.3 1.2 1.1 ASSETS.......... -----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Municipal Bonds & Notes 97.3% Short Term Investments 1.0 Other Assets & Liabilities 1.7 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 29 [Logo] SPDR Barclays Capital California Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital California Municipal Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the California municipal bond market and provides income that is exempt from federal and California state income taxes In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Managed Money Municipal California Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 2.02%, and the total return for the Index was 2.36%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Municipals turned in another strong quarter on top of excellent returns experienced in the first quarter. Through the first half of the year the Barclays Capital Municipal Bond Index provided a total return of 6.43%. One of the biggest catalysts for this return was the introduction of Build America Bonds (BAB). BABs are taxable debt issued by municipalities who then receive a 35% tax credit from the Federal Treasury on the interest cost. BABs have allowed many municipalities to reduce their effective borrowing cost significantly. In addition, the securities have ushered in a new class of buyer for municipal debt, namely investors exempt from income taxes like pensions and endowments. BABs have taken a great deal of supply out of the market giving traditional municipal debt a scarcity value that triggered both a rate and spread rally in the tax-exempt market. While the news on municipalities has been negative, the returns of municipal debt in the marketplace have been so good. This is by no means an endorsement to ignore the fundamental deterioration in many municipal credits but rather to highlight the technical aspects of the municipal market which affect performance. Supply and demand being one, the concern over higher future taxes being another and the general improvement in economic conditions since the fourth quarter of 2008 being a third. The financial pressures experienced in the State of California, have effected investors perception of risk within municipal credit in the State. California municipals lagged the broader nation index during the quarter The budget pressures on states and localities are intensifying. Municipalities are wrestling with reduced property, sales and income taxes, all while larger populations look to government to provide a safety net. Budgets gaps are widespread and municipalities will seek to close these gaps through a combination of staff and service cuts, tax increases and debt issuance. California, the most notable example, began to issue IOUs to pay its workers and vendors. It has only recently reached a budget agreement and has plans to issue cash flow financing soon and IOU issuance is expected to end in September. The state has been downgraded again (Baa1/A/BBB) compounding its difficulties. Similar situations, albeit to a lesser extent, exist throughout the country. Our belief is that most municipalities will find suitable, if unpleasant, solutions to their fiscal deficits this year. A prolonged recession, however, will only force them to revisit these issues next year, and then with possibly lower debt ratings and smaller tax bases. 30 [Logo] SPDR SPDR Barclays Capital California Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) Year to date new issue supply is down over 16% from last year, but much of that is due to the preference by municipalities to issue BABs. Some of the major deals of the quarter were issued by: Puerto Rico ($4.1 billion and an additional $1.2 billion BAB financing) and Florida Citizens Property Insurance Co. ($1.0 billion). Being a passive strategy, we seek to match the return of the underlying index. We employ sampling to achieve this goal. Given we sample from and do not replicate the underlying index some variation will exist, however, this variation has been within our projected tolerances. Securities of intermediate maturity underperformed the "tails" of the municipal yield curve during the quarter. Revenue sectors performed better than General Obligation bonds and lower quality investment grade debt outperformed the highest grades as spread sectors rallied during the quarter. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 31 [Logo] SPDR Barclays Capital California Municipal Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/10/07, 10/15/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.2000%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL MANAGED MONEY MANAGED MONEY NET ASSET MARKET MUNICIPAL NET ASSET MARKET MUNICIPAL VALUE VALUE CALIFORNIA INDEX VALUE VALUE CALIFORNIA INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 2.02% 0.94% 2.36% 2.02% 0.94% 2.36% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 2.57% 2.47% 3.20% 1.48% 1.43% 1.81% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to June 30, 2009. 32 [Logo] SPDR Barclays Capital California Municipal Bond ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL CALIFORNIA MANAGED MONEY MUNICIPAL BOND MUNICIPAL CALIFORNIA ETF (A) INDEX (B) ------------------ -------------------- 10/10/07 10000 10000 10/31/07 10014 10100 11/30/07 10093 10149 12/31/07 10129 10173 1/31/08 10184 10213 2/28/09 9601 9618 3/31/08 9939 9960 4/30/08 10110 10156 5/31/08 10195 10236 6/30/08 10054 10082 7/31/08 10074 10095 8/31/08 10201 10253 9/30/08 9596 9646 10/31/08 9553 9581 11/30/08 9537 9550 12/31/08 9773 9820 1/31/09 10109 10174 2/28/09 10213 10260 3/31/09 10145 10197 4/30/09 10393 10446 5/31/09 10467 10525 6/30/09 10257 10320
33 [Logo] SPDR Barclays Capital California Municipal Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------- DESCRIPTION CALIFORNIA, EDUCATIONAL EL DORADO, CA, NORTH ORANGE LOS ANGELES COUNTY, FACILITIES AUTHORITY IRRIGATION DISTRICT, COUNTY, CA, CA, PUBLIC WORKS REVENUE, CERTIFICATE OF COMMUNITY COLLEGE FINANCING AUTHORITY SERIES A, PARTICIPATION, DISTRICT, REVENUE, 4.75%, 10/1/2037 SERIES A, 5.00%, 8/1/2015 5.00%, 10/1/2015 6.25%, 8/1/2029 ---------------------------------------------------------------------------------------------------------- MARKET VALUE $1,601,479 1,246,272 1,121,400 1,114,140 ---------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.0% 3.1 2.8 2.8 ---------------------------------------------------------------------------------------------------------- -------------------------------------------- DESCRIPTION SAN JOSE, CA, UNIFIED SCHOOL DISTRICT SANTA CLARA COUNTY ELECTION OF 2002, SERIES C, 5.25%, 8/1/2019 -------------------------------------------- MARKET VALUE 1,086,540 -------------------------------------------- % OF NET ASSETS 2.7 --------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Municipal Bonds & Notes 98.7% Short Term Investments 0.6 Other Assets & Liabilities 0.7 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 34 [Logo] SPDR Barclays Capital New York Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital New York Municipal Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the New York municipal bond market and provides income that is exempt from federal and New York state income taxes In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Managed Money Municipal New York Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 3.49%, and the total return for the Index was 3.67%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Municipals turned in another strong quarter on top of excellent returns experienced in the first quarter. Through the first half of the year the Barclays Capital Municipal Bond Index provided a total return of 6.43%. One of the biggest catalysts for this return was the introduction of Build America Bonds (BAB). BABs are taxable debt issued by municipalities who then receive a 35% tax credit from the Federal Treasury on the interest cost. BABs have allowed many municipalities to reduce their effective borrowing cost significantly. In addition, the securities have ushered in a new class of buyer for municipal debt, namely investors exempt from income taxes like pensions and endowments. BABs have taken a great deal of supply out of the market giving traditional municipal debt a scarcity value that triggered both a rate and spread rally in the tax-exempt market. While the news on municipalities has been negative, the returns in the marketplace have been fairly strong. This is by no means an endorsement to ignore the fundamental deterioration in many municipal credits but rather to highlight the technical aspects of the municipal market which affect performance. Supply and demand being one, the concern over higher future taxes being another and the general improvement in economic conditions since the fourth quarter of 2008 being a third. New York municipal debt held up well during the quarter. While credit pressures continue and many municipalities are vulnerable for downgrade, supply and demand technical's have kept spreads from widening dramatically and valuations remained stable during the quarter. The budget pressures on states and localities are intensifying. Municipalities are wrestling with reduced property, sales and income taxes, all while larger populations look to government to provide a safety net. Budgets gaps are widespread and municipalities will seek to close these gaps through a combination of staff and service cuts, tax increases and debt issuance. Similar situations, albeit to a lesser extent, exist throughout the country. Our belief is that most municipalities will find suitable, if unpleasant, solutions to their fiscal deficits this year. A prolonged recession, however, will only force them to revisit these issues next year, and then with possibly lower debt ratings and smaller tax bases. Year to date new issue supply is down over 16% from last year, but much of that is due to the preference by municipalities to issue BABs. Some of the major deals of the quarter were issued by: Puerto Rico ($4.1 billion and an additional $1.2 billion BAB financing) and Florida Citizens Property Insurance Co. ($1.0 billion). 35 [Logo] SPDR Barclays Capital New York Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) Being a passive strategy, we seek to match the return of the underlying index. We employ sampling to achieve this goal. Given we sample from and do not replicate the underlying index some variation will exist, however, this variation has been within our projected tolerances. Securities of intermediate maturity underperformed the "tails" of the municipal yield curve during the quarter. Revenue sectors performed better than General Obligation bonds and lower quality investment grade debt outperformed the highest grades as spread sectors rallied during the quarter. In general, headline states with budgetary issues were under pressure during the second quarter and included California, Connecticut, New Jersey, Illinois and Massachusetts. Not surprisingly, states with better fiscal situations were the best performers and included Texas, Wyoming, North and South Dakota and New Hampshire. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 36 [Logo] SPDR Barclays Capital New York Municipal Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/11/07, 10/15/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.2000%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL MANAGED CAPITAL MANAGED NET ASSET MARKET MONEY MUNICIPAL NET ASSET MARKET MONEY MUNICIPAL VALUE VALUE NEW YORK INDEX VALUE VALUE NEW YORK INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 3.49% 5.07% 3.67% 3.49% 5.07% 3.67% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 4.61% 6.65% 4.82% 2.65% 3.81% 2.77% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period October 11, 2007 to June 30, 2009. 37 [Logo] SPDR Barclays Capital New York Municipal Bond ETF-- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL NEW MANAGED MONEY YORK MUNICIPAL MUNICIPAL NEW BOND ETF YORK INDEX (A) (B) -------------- ---------------- 10/11/07 10000 10000 10/31/07 10032 10100 11/30/07 10103 10147 12/31/07 10115 10171 1/31/08 10239 10237 2/28/09 9698 9644 3/31/08 10018 9996 4/30/08 10167 10171 5/31/08 10229 10239 6/30/08 10108 10111 7/31/08 10146 10161 8/31/08 10265 10277 9/30/08 9668 9666 10/31/08 9642 9619 11/30/08 9624 9582 12/31/08 9868 9811 1/31/09 10198 10228 2/28/09 10279 10274 3/31/09 10271 10258 4/30/09 10492 10491 5/31/09 10546 10554 6/30/09 10461 10482
38 [Logo] SPDR Barclays Capital New York Municipal Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------------- DESCRIPTION NEW YORK, STATE NEW YORK, SALES TAX NEW YORK, STATE NEW YORK, NY, CITY NEW YORK, STATE GENERAL OBLIGATION, ASSET RECEIVABLES DORMITORY AUTHORITY TRANSITIONAL ENVIRONMENTAL 5.00%, 4/15/2015 CORP, REVENUE, FINANCE AUTHORITY, FACSCORP, SERIES A, SERIES A, SERIES A-1, SERIES A, 5.00%, 10/15/2020 5.00%, 7/1/2038 5.00%, 11/1/2024 4.50%, 6/15/2036 ---------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,120,480 641,484 636,356 620,448 591,020 ---------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 7.4% 4.3 4.2 4.1 3.9 ----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Municipal Bonds And Notes 97.5% Short Term Investments 4.8 Other Assets & Liabilities (2.3) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 39 [Logo] SPDR Barclays Capital Short Term Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR Barclays Capital Short Term Municipal Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the short term tax exempt municipal bond market and provides income that is exempt from federal income taxes. In seeking this objective, the Fund uses a passive management strategy designed to track the price and yield performance of the Barclays Capital Managed Money Municipal Short Term Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 6.29%, and the total return for the Index was 6.46%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Municipals turned in another strong quarter on top of excellent returns experienced in the first quarter. Through the first half of the year the Barclays Capital Municipal Bond Index provided a total return of 6.43%. One of the biggest catalysts for this return was the introduction of Build America Bonds (BAB). BABs are taxable debt issued by municipalities who then receive a 35% tax credit from the Federal Treasury on the interest cost. BABs have allowed many municipalities to reduce their effective borrowing cost significantly. In addition, the securities have ushered in a new class of buyer for municipal debt, namely investors exempt from income taxes like pensions and endowments. BABs have taken a great deal of supply out of the market giving traditional municipal debt a scarcity value that triggered both a rate and spread rally in the tax-exempt market. While the news on municipalities has been negative, the returns of municipal debt in the marketplace have been fairly strong. This is by no means an endorsement to ignore the fundamental deterioration in many municipal credits but rather to highlight the technical aspects of the municipal market which affect performance. Supply and demand being one, the concern over higher future taxes being another and the general improvement in economic conditions since the fourth quarter of 2008 being a third. The budget pressures on states and localities are intensifying. Municipalities are wrestling with reduced property, sales and income taxes, all while larger populations look to government to provide a safety net. Budgets gaps are widespread and municipalities will seek to close these gaps through a combination of staff and service cuts, tax increases and debt issuance. California, the most notable example, began to issue IOUs to pay its workers and vendors. It has only recently reached a budget agreement and has plans to issue cash flow financing soon and IOU issuance is expected to end in September. The state has been downgraded again (Baa1/A/BBB) compounding its difficulties. Similar situations, albeit to a lesser extent, exist throughout the country. Our belief is that most municipalities will find suitable, if unpleasant, solutions to their fiscal deficits this year. A prolonged recession, however, will only force them to revisit these issues next year, and then with possibly lower debt ratings and smaller tax bases. Year to date new issue supply is down over 16% from last year, but much of that is due to the preference by municipalities to issue BABs. Some of the major deals of the quarter were issued by: Puerto Rico ($4.1 billion and an additional $1.2 billion BAB financing) and Florida Citizens Property Insurance Co. ($1.0 billion). 40 [Logo] SPDR Barclays Capital Short Term Municipal Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) Being a passive strategy, we seek to match the return of the underlying index. We employ sampling to achieve this goal. Given we sample from and do not replicate the underlying index some variation will exist, however, this variation has been within our projected tolerances. Securities of intermediate maturity underperformed the "tails" of the municipal yield curve during the quarter. Revenue sectors performed better than General Obligation bonds and lower quality investment grade debt outperformed the highest grades as spread sectors rallied during the quarter. In general, headline states with budgetary issues were under pressure during the second quarter and included California, Connecticut, New Jersey, Illinois and Massachusetts. Not surprisingly, states with better fiscal situations were the best performers and included Texas, Wyoming, North and South Dakota and New Hampshire. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 41 [Logo] SPDR Barclays Capital Short Term Municipal Bond ETF -- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/10/07, 10/15/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.2000%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL MANAGED CAPITAL MANAGED MONEY MUNICIPAL MONEY MUNICIPAL NET ASSET MARKET SHORT TERM NET ASSET MARKET SHORT TERM VALUE VALUE INDEX VALUE VALUE INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 6.29% 6.33% 6.46% 6.29% 6.33% 6.46% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 9.65% 9.88% 10.84% 5.49% 5.62% 6.15% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to June 30, 2009. 42 [Logo] SPDR Barclays Capital Short Term Municipal Bond ETF-- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL SHORT MANAGED MONEY TERM MUNICIPAL MUNICIPAL SHORT BOND ETF TERM INDEX (A) (B) -------------- ---------------- 10/10/07 10000 10000 10/31/07 10027 10100 11/30/07 10115 10181 12/31/07 10163 10232 1/31/08 10377 10453 2/28/09 10214 10300 3/31/08 10372 10444 4/30/08 10357 10441 5/31/08 10387 10478 6/30/08 10316 10411 7/31/08 10419 10531 8/31/08 10522 10633 9/30/08 10386 10493 10/31/08 10395 10499 11/30/08 10551 10656 12/31/08 10681 10784 1/31/09 10919 11023 2/28/09 10875 10972 3/31/09 10921 11022 4/30/09 10968 11075 5/31/09 10956 11076 6/30/09 10965 11084
43 [Logo] SPDR Barclays Capital Short Term Municipal Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------- DESCRIPTION NEW JERSEY, STATE SEATTLE, WA, GENERAL NEW YORK, STATE MARYLAND, STATE CHARLOTTE, NC, OFFICE OF PUBLIC OBLIGATION, URBAN DEVELOPMENT GENERAL OBLIGATION, CERTIFICATES OF FINANCE, 5.00%, 5/1/2013 CORP. REVENUE, SERIES A PARTICIPATION, 5.00%, 8/1/2014 SERIES A-1, 5.25%, 2/15/2013 5.00%, 6/1/2014 5.00%, 12/15/2012 --------------------------------------------------------------------------------------------------------------------- MARKET VALUE $8,970,880 7,285,887 7,281,889 6,999,229 6,072,451 --------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.8% 1.5 1.5 1.4 1.2 ---------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF June 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Municipal Bonds And Notes 97.3% Short Term Investments 1.2 Other Assets & Liabilities 1.5 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 44 [Logo] SPDR DB International Government Inflation-Protected Bond ETF-- MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE The SPDR DB International Government Inflation-Protected Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the inflation protected sector of the global bond market outside the United States. In seeking this objective, the Fund utilizes a passive management strategy designed to track the price and yield performance of the DB Global Government ex-US Inflation-Linked Bond Capped Index (the "Index"). For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -11.34%, and the total return for the Index was -10.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of the managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The performance of the Index in any period is primarily driven by real yield changes, inflation accruals, currency movements, and real coupon accrual. In the second half of 2008, economic activity declined substantially and credit became scarce following the collapse of Lehman Brothers in September. As a result, commodity prices suffered major declines and deflation concerns increased sending real yields spiking. The rise in yields caused the prices of inflation- linked bonds globally to fall. In addition, the financial crisis led to large flight-to-quality to US Treasuries, especially short term instruments, causing the dollar to stage a major rally against foreign currencies. Inflation accruals were positive during the period following the lagged effects of the commodity rally in the first half of 2008, but could not offset the negative impact from rising real yields and foreign currency depreciation. The aggressive monetary and fiscal stimulus globally allowed financial markets to stabilize in the first half of 2009 and stem the freefall in economic activity. Deflation over an extended period was largely priced out of the inflation-linked bond market leading to lower real yields. The flight-to-quality in US-dollar denominated assets also reversed causing foreign currencies to appreciate. Inflation accruals were positive in the first half of 2009 due to the recovery in commodity prices. The performance of the Fund relative to the Index was negatively impacted by a decline in liquidity and the deleveraging flows that plagued the financial sector in the second half of 2008 and into the beginning of 2009. Transactions costs associated with managing the Fund increased as a result. The Fund seeks to match major risk factors of the Index including but not limited to country exposure, currency exposure, overall duration, and country duration. With the decline in liquidity and increased transactions costs experienced during the second half of 2008, the number of bonds used to replicate index performance and characteristics was reduced. This lead to lower transactions costs for the Fund than what would have been incurred but may have led to increased tracking error during the period. The majority of the countries within the Index posted negative total returns during the period. Of the 17 countries represented in the Index at the end of June 2009, only four posted positive returns. These countries were Japan, Chile, South Africa, and Turkey. The United Kingdom had the largest negative return primarily due to the depreciation of the pound against the US dollar over the period. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 45 [Logo] SPDR DB International Government Inflation-Protected Bond ETF-- PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (3/13/08, 3/19/08, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.5000%. PERFORMANCE AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DB GLOBAL DB GLOBAL GOVERNMENT GOVERNMENT EX-US EX-US INFLATION- INFLATION- LINKED LINKED NET ASSET MARKET BOND CAPPED NET ASSET MARKET BOND CAPPED VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -11.34% -10.96% -10.40% -11.34% -10.96% -10.40% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -11.99% -11.30% -9.40% -9.35% -8.80% -7.33% ----------------------------------------------------------------------------------------------------------------------
(1) For the period March 13, 2008 to June 30, 2009. 46 [Logo] SPDR DB International Government Inflation-Protected Bond ETF-- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
DB GLOBAL SPDR DB GOVERNMENT EX-US INTERNATIONAL GOVERNMENT INFLATION-LINKED BOND INFLATION-PROTECTED BOND CAPPED INDEX ETF (A) (B) ------------------------ --------------------- 3/13/2008 10000 10000 3/31/2008 9867 9939 4/30/2008 9779 9914 5/31/2008 9848 9999 6/30/2008 9926 10111 7/31/2008 9964 10177 8/31/2008 9567 9776 9/30/2008 8914 9099 10/31/2008 7529 7718 11/30/2008 7365 7561 12/31/2008 8022 8223 1/31/2009 7636 7827 2/28/2009 7369 7563 3/31/2009 7836 8039 4/30/2009 8112 8325 5/31/2009 8680 8933 6/30/2009 8801 9060
47 [Logo] SPDR DB International Government Inflation-Protected Bond ETF-- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------ DESCRIPTION UNITED KINGDOM REPUBLIC OF FRANCE, GOVERNMENT OF JAPAN UNITED KINGDOM REPUBLIC OF FRANCE, TREASURY BOND, 1.00%, 7/25/2017 10 YEAR BOND, TREASURY BOND, 1.60%, 7/25/2015 1.25%, 11/22/2027 1.10%, 12/10/2016 1.88%, 11/22/2022 ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $21,332,269 17,132,292 16,444,546 15,718,975 15,349,354 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 5.4% 4.3 4.2 4.0 3.9 ------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Foreign Government Obligations 98.3% Short Term Investments 0.1 Other Assets & Liabilities 1.6 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 48 [Logo] SPDR Barclays Capital International Treasury Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE SPDR Barclays Capital International Treasury Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the fixed-rate local currency sovereign debt of investment-grade countries outside the United States. The Fund is benchmarked to the Barclays Capital Global Treasury Ex-US Capped Index (the "Index"), which tracks fixed-rate local currency sovereign debt of investment-grade countries outside the United States. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was 0.50%, and the total return for the Index was 1.54%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged, and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. During the third quarter of 2008, global government bond markets rallied in a powerful flight to quality as the economy continued to demonstrate negative fundamentals. In August, economic strength continued to wane and inflationary concerns were replaced by concerns about future growth globally. Faced with an international financial crisis, European governments started to rescue banks in an unprecedented manner. Investors sharply increased their demand for the most liquid and safest segment of the European yield curve (the Bund) just prior to the Fortis Bank crisis. By the end of October, data showed a sharp deterioration in the euro area housing market and sharp slowdown in euro area exports -- the twin motors of growth in recent years. In the fourth quarter, the European Central Bank lowered its policy rate by 175 bps to 2.5%. Meanwhile, since the beginning of November, the United Kingdom Monetary Policy Committee reduced the Bank Rate by 3.5 percentage points to 1%. Business and consumer confidence in the euro area began 2009 at record lows. During the first quarter of 2009, world economic output contracted further and international trade fell precipitously. The global banking and financial system remained fragile despite further significant intervention by the authorities. On one hand, as private saving rose and banks restructured their balance sheets, weak global demand continued to drag on economic activity. However, pushing in the opposite direction was considerable economic stimulus stemming from the easing in monetary and fiscal policy in Europe and the UK. The Bank of England cut rates further to 0.5% and announced a program of asset purchases totaling L125 billion. Much of the world economy remained in recession in the second quarter of 2009, with levels of activity in many countries significantly lower than a year ago. However, there were more encouraging signs looking ahead. Financial market strains eased and bank funding conditions improved gradually -- although still fragile. Household and business confidence picked up somewhat from the very low levels observed in the financial crisis last autumn. In the United Kingdom, the recession appeared deeper than previously estimated and GDP fell further in the second quarter of 2009. But the pace of contraction moderated and business surveys suggested that the trough in output was near. On balance, while economists seemed to agree that the stimulus should lead to a slow recovery in economic activity, the timing and strength of that recovery remains highly uncertain. Performance of the Fund is primarily influenced by relative currency trends across markets. Over the period, the Euro weakened during the latter part of 2008, as the dollar rallied due to its status as a reserve currency in 49 [Logo] SPDR Barclays Capital International Treasury Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) difficult times. As the global economy began to find more stability, this trend reversed, with the Euro gaining against the dollar over the past few months. The Pound Sterling reflected this same trend through the period. The Japanese Yen has seen its value reverse of late, from a stronger trend earlier in the period due to domestic deflationary pressures. The Fund is tracking its benchmark within expected tolerances. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 50 [Logo] SPDR Barclays Capital International Treasury Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/02/07, 10/05/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.5000%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL GLOBAL TREASURY GLOBAL TREASURY NET ASSET MARKET EX-US CAPPED NET ASSET MARKET EX-US CAPPED VALUE VALUE INDEX VALUE VALUE INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR 0.50% 1.11% 1.54% 0.50% 1.11% 1.54% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 9.49% 10.21% 11.78% 5.33% 5.73% 6.57% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period October 2, 2007 to June 30, 2009. 51 [Logo] SPDR Barclays Capital International Treasury Bond ETF-- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (Based On Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL INTERNATIONAL GLOBAL TREASURY TREASURY BOND EX-US CAPPED ETF (A) INDEX (B) --------------------- ---------------- 10/2/07 10000 10000 10/31/07 10254 10273 11/30/07 10440 10477 12/31/07 10368 10411 1/31/08 10706 10769 2/28/09 10998 11075 3/31/08 11347 11438 4/30/08 11044 11143 5/31/08 10899 10998 6/30/08 10895 11010 7/31/08 10996 11109 8/31/08 10626 10749 9/30/08 10345 10474 10/31/08 9765 9881 11/30/08 10012 10177 12/31/08 10828 11025 1/31/09 10160 10359 2/28/09 9877 10080 3/31/09 10287 10500 4/30/09 10434 10647 5/31/09 10935 11164 6/30/09 10949 11178
52 [Logo] SPDR Barclays Capital International Treasury Bond ETF --PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
-------------------------------------------------------------------------------------------------------------------------------- DESCRIPTION GOVERNMENT OF FEDERAL REPUBLIC OF REPUBLIC OF GREECE, GOVERNMENT OF JAPAN REPUBLIC OF ITALY, JAPAN 10 YEAR BOND, GERMANY, 4.25%, 3.70%, 7/20/2015 10 YEAR BOND, 5.25%, 8/1/2017 1.50%, 9/20/2014 7/4/2017 1.30%, 6/20/2012 -------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $46,903,650 45,351,455 43,499,586 42,320,218 40,114,622 -------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.3% 4.2 4.0 3.9 3.7 --------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Foreign Government Obligations 95.4% Short Term Investments 3.9 Other Assets & Liabilities 0.7 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 53 [Logo] SPDR Barclays Capital High Yield Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE SPDR Barclays Capital High Yield Bond ETF (the "Fund") seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. high yield corporate bond market. The Fund is benchmarked to the Barclays Capital High Yield Very Liquid Index (the "Index"), which measures the performance of publicly issued U.S. dollar denominated high yield corporate bonds with above- average liquidity. For the 12-month period ended June 30, 2009 (the "Reporting Period"), the total return for the Fund was -10.13% and the total return for the Index return was - -4.01%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund's performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged, and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The Reporting Period was a year of extraordinary volatility for credit markets -- characterized by a massive deleveraging cycle, the failure of multiple major financial institutions, breakdowns in the basic functioning of the financial markets, and the emergence of the worst global recessionary environment in at least twenty years. In response, there has been an unprecedented level of regulatory intervention in the financial markets this past year, with trillions of dollars of liquidity flooding the market. The broad high yield market lost over 33% from May 2007, when the market peaked, to the end of 2008. In September, the floodgates opened, and full-fledged contagion swept up all markets in a highly correlated negative run. It seemed every week, market participants would learn of a new change to regulatory structures (e.g. Fed liquidity provisions); one or more institutions pulled into forced marriages or paradigm shifts (e.g. Goldman and Morgan Stanley becoming commercial banks); or the bankruptcy of a major financial institution (e.g. Lehman Brothers). September through November were the three worst months in the 25-year history of the Barclays High Yield Index. 2008 ended with high yield default rates climbing and companies' ability to access the capital markets extremely challenged. Signs of improvement began to emerge in the first quarter of 2009. Buyers continued their return to spread product, which had begun in late December 2008. In March, CCCs outperformed the rest of the High Yield Index for the first time in ten months -- albeit, the majority of that was related to Ford. The last week of March, GM's Chief Executive and most of its Board of Directors were victims of a management shakeup -- at the behest of the U.S. Government. This once again proved the Obama administration's fortitude in imposing itself very directly into the process of getting the U.S. economy rolling again. Near the end of the first quarter, the U.S. Treasury announced another program, in the form of a public-private partnership, to help move toxic assets off of banks' balance sheets. The second quarter saw a continued positive tone in the high yield market and sustained optimism that the U.S. economy's long season of decline may be moderating. In April, the auto industry dominated headlines again, with Chrysler pushed into a merger that effectively gave control to its unions along with Italian auto maker Fiat. However, with broad cutbacks in corporate spending of all types, the start of earnings season brought better results than many expected even as sales continued to fall, particularly within more cyclical areas of the economy. At the end of May, it was General Motors who was on the verge of filing for Chapter 11 bankruptcy protection, yet despite continued negative fundamental developments in the economy, capital 54 [Logo] SPDR Barclays Capital High Yield Bond ETF--MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE (CONTINUED) markets soared upward virtually across the board. The high yield market posted unprecedented gains in the second quarter, retracing most of 2008's losses. Over the 12 months ended in June, 2009, the broad Barclays Capital US High Yield Index has returned -2.40%. Caa-rated bonds were down -17.64%, B-rated bonds down - -6.59%, and Ba-rated bonds up +3.67%. While the end of 2008 brought a swoon in high yield performance, technical factors, including solid high yield issuance and positive cash flows into the asset class drove strong performance through the first half of 2009. Over the Period, the Fund's performance has deviated from the performance of the Index as a result of (among other factors) the Fund's sampling approach as well as the recent volatility and dislocations in the high yield bond market. The views expressed above reflect those of the Fund's portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. 55 [Logo] SPDR Barclays Capital High Yield Bond ETF--PERFORMANCE SUMMARY The following performance chart of the Fund's total return at net asset value to the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until several days after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund (11/28/07, 12/04/07, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commission that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund's performance is negatively impacted by these deductions. PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH- END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.4000%. PERFORMANCE AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN -------------------------------------------------------------------------------------- BARCLAYS CAPITAL BARCLAYS CAPITAL NET ASSET MARKET HIGH YIELD NET ASSET MARKET HIGH YIELD VALUE VALUE VERY LIQUID INDEX VALUE VALUE VERY LIQUID INDEX ------------------------------------------------------------------------------------------------------------------------------- ONE YEAR -10.13% -7.74% -4.01% -10.13% -7.74% -4.01% ------------------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -12.91% -10.70% -4.16% -8.33% -6.88% -2.62% -------------------------------------------------------------------------------------------------------------------------------
(1) For the period November 28, 2007 to June 30, 2009. 56 [Logo] SPDR Barclays Capital High Yield Bond ETF--PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF (Based on Net Asset Value) (PERFORMANCE GRAPH)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL HIGH HIGH YIELD YIELD BOND VERY LIQUID ETF (A) INDEX (B) ------------- ---------------- 11/28/07 10000 10000 11/30/07 10000 10053 12/31/07 10034 10095 1/31/08 9746 9912 2/28/09 9534 9718 3/31/08 9559 9752 4/30/08 10001 10248 5/31/08 10009 10306 6/30/08 9690 9985 7/31/08 9557 9845 8/31/08 9541 9847 9/30/08 8602 8862 10/31/08 7129 7281 11/30/08 6444 6566 12/31/08 7002 7233 1/31/09 7287 7741 2/28/09 6831 7318 3/31/09 7112 7619 4/30/09 8041 8691 5/31/09 8569 9364 6/30/09 8709 9584
57 [Logo] SPDR Barclays Capital High Yield Bond ETF--PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------------- DESCRIPTION HCA, INC. COMMUNITY INTELSAT CITIGROUP CAPITAL GMAC LLC, 9.25%, 11/15/2016 HEALTH SYSTEMS, BERMUDA, LTD. XXI, 6.88%, 09/15/2011 INC. 11.25%, 6/15/2016 8.30%, 12/21/2057 8.88%, 07/15/2015 --------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $57,889,435 52,076,220 47,111,760 46,009,675 43,312,500 --------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.1% 2.7 2.5 2.4 2.3 ---------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Corporate Bonds & Notes 96.7% Short Term Investments 0.9 Other Assets & Liabilities 2.4 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 58 [Logo] SPDR Barclays Capital Short Term International Treasury ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
--------------------------------------------------------------------------------------------------------------------- DESCRIPTION GOVERNMENT OF GOVERNMENT OF REPUBLIC OF REPUBLIC OF ITALY, REPUBLIC OF ITALY, JAPAN 5 YEAR BOND, JAPAN 5 YEAR BOND, GERMANY, 5.25%, 8/1/2011 5.50%, 11/1/2010 1.20%, 9/20/2011 0.80%, 12/20/2010 5.00%, 7/4/2011 --------------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,246,181 1,145,886 614,986 524,340 518,326 --------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 11.9% 10.9 5.8 5.0 4.9 ---------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Foreign Government Obligations 88.6% Short Term Investments 8.8 Other Assets & Liabilities 2.6 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 59 [Logo] SPDR Barclays Capital Intermediate Term Credit Bond ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
---------------------------------------------------------------------------------------------------------------- DESCRIPTION GENERAL ELECTRIC CITIGROUP, INC. BANK OF AMERICA COMCAST CORP. THE GOLDMAN SACHS CAPITAL CORP. 5.50%, 4/11/2013 CORP. 5.70%, 5/15/2018 GROUP, INC. 4.80%, 5/1/2013 4.90%, 5/1/2013 5.95%, 1/18/2018 ---------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,673,579 1,472,393 1,181,791 1,006,728 974,001 ---------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 6.1% 5.4 4.3 3.7 3.6 ----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Corporate Bonds & Notes 89.1% Foreign Government Obligations 8.6 Short Term Investments 2.8 Other Assets & Liabilities (0.5) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 60 [Logo] SPDR Barclays Capital Long Term Credit Bond ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
------------------------------------------------------------------------------------------------------------------------ BRITISH DESCRIPTION APPALACHIAN TELECOMMUNICATIONS PACIFIC GAS & THE GOLDMAN SACHS POWER CO. PLC ELECTRIC CO. GROUP, INC. PFIZER, INC. 7.95%, 1/15/2020 8.63%, 12/15/2030 6.05%, 3/1/2034 6.13%, 2/15/2033 7.20%, 3/15/2039 ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $226,388 217,537 208,809 188,372 177,300 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 3.4% 3.3 3.1 2.8 2.7 ------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Corporate Bonds & Notes 88.5% Foreign Government Obligations 8.6 U.S. Treasury Obligations 0.3 Short Term Investments 0.8 Other Assets & Liabilities 1.8 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 61 [Logo] SPDR Barclays Capital Convertible Bond ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------------------------------- DESCRIPTION BANK OF AMERICA EMC CORP., AMGEN, INC., TRANSOCEAN, INC., WELLS FARGO & CO., CORP. 1.75%, 12/1/2013 0.13%, 2/1/2011 SERIES B SERIES L SERIES L 1.50%, 12/15/2037 7.50%, 12/31/49 7.25%, 12/31/2049 ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,504,854 1,425,256 1,375,600 1,334,882 1,295,200 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.4% 3.2 3.1 3.0 2.9 -----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- Corporate Bonds & Notes 76.6% Preferred Stocks 20.7 Short Term Investments 1.7 Other Assets & Liabilities 1.0 ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 62 [Logo] SPDR Barclays Capital Mortgage Backed Bond ETF--PORTFOLIO SUMMARY The Fund commenced operations during the reporting period and therefore does not have performance history to provide in this report. TOP FIVE HOLDINGS AS OF JUNE 30, 2009
----------------------------------------------------------------------------------------- DESCRIPTION FANNIE MAE, FREDDIE MAC, FREDDIE MAC, FANNIE MAE, FANNIE MAE, 5.50%, TBA 6.00%, TBA 5.00%, TBA 6.50%, TBA 5.00%, TBA ----------------------------------------------------------------------------------------- MARKET VALUE $1,290,039 939,094 814,062 319,500 258,711 ----------------------------------------------------------------------------------------- % OF NET ASSETS 24.6% 17.9 15.5 6.1 4.9 -----------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular issue.) ASSET ALLOCATION AS OF JUNE 30, 2009*
------------------------------------------- PERCENT OF NET ASSETS ------------------------------------------- U.S. Government Agency MBS TBA 99.1% Short Term Investments 99.1 Other Assets & Liabilities (98.2) ------------------------------------------- TOTAL 100.0% -------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time. 63 SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 99.9% Treasury Bills* 0.14%, 8/27/2009.......... $152,664,000 $152,624,119 0.15%, 8/6/2009........... 111,200,000 111,180,538 0.15%, 9/3/2009........... 113,084,000 113,054,598 0.15%, 9/10/2009.......... 114,969,000 114,933,245 0.16%, 8/13/2009.......... 114,969,000 114,944,966 0.16%, 8/20/2009.......... 114,969,000 114,941,054 0.16%, 9/17/2009.......... 113,084,000 113,041,028 0.18%, 9/24/2009.......... 150,779,000 150,714,919 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $985,458,518)....... 985,434,467 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 0.1% MONEY MARKET FUNDS -- 0.1% State Street Institutional Liquid Reserves Fund 0.42% (a)(b)(c) (Cost $509,341)........... 509,341 509,341 ------------ TOTAL INVESTMENTS -- 100.0% (D) (Cost $985,967,859)....... 985,943,808 OTHER ASSETS AND LIABILITIES -- (0.0)% (E)....................... (1,218) ------------ NET ASSETS -- 100.0%........ $985,942,590 ============
* Rate shown is the discount rate at time of purchase, not a coupon rate. (a) The rate shown is the annualized seven-day yield at period end. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) (e) Amount shown represents less than 0.05% of net assets. See accompanying notes to financial statements. 64 SPDR BARCLAYS CAPITAL TIPS ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 99.1% Treasury Inflation Protected Indexed Bonds 1.75%, 1/15/2028 (a)....... $ 7,869,475 $ 7,453,888 2.00%, 1/15/2026 (a)....... 11,815,041 11,606,388 2.38%, 1/15/2025 (a)....... 18,840,768 19,429,541 2.38%, 1/15/2027 (a)....... 8,623,420 8,948,178 2.50%, 1/15/2029 (a)....... 5,117,547 5,451,007 3.38%, 4/15/2032 (a)....... 3,341,878 4,209,195 3.63%, 4/15/2028 (a)....... 10,945,845 13,348,786 3.88%, 4/15/2029 (a)....... 14,980,697 19,032,525 Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2013 (a)....... 10,810,086 10,690,203 1.25%, 4/15/2014........... 4,128,776 4,150,700 1.38%, 7/15/2018 (a)....... 7,323,968 7,109,961 1.63%, 1/15/2015 (a)....... 11,612,251 11,572,305 1.63%, 1/15/2018 (a)....... 8,667,414 8,590,188 1.88%, 7/15/2013 (a)....... 11,485,080 11,793,685 1.88%, 7/15/2015 (a)....... 9,217,946 9,321,648 2.00%, 4/15/2012 (a)....... 10,455,062 10,763,800 2.00%, 1/15/2014 (a)....... 14,988,786 15,349,417 2.00%, 7/15/2014 (a)....... 10,976,874 11,249,539 2.00%, 1/15/2016 (a)....... 12,218,974 12,417,533 2.13%, 1/15/2019 (a)....... 12,713,922 13,143,017 2.38%, 4/15/2011 (a)....... 12,311,865 12,687,007 2.38%, 1/15/2017 (a)....... 9,018,854 9,421,907 2.50%, 7/15/2016 (a)....... 11,506,217 12,090,503 2.63%, 7/15/2017 (a)....... 10,163,416 10,839,893 3.00%, 7/15/2012 (a)....... 13,500,172 14,316,527 3.38%, 1/15/2012 (a)....... 3,560,431 3,791,859 3.50%, 1/15/2011 (a)....... 6,723,349 7,024,825 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $283,865,654)........ 285,804,025 ------------ SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 20.3% MONEY MARKET FUNDS -- 20.3% State Street Institutional Liquid Reserves Fund 0.42%, (b)(c)..................... 266,601 $ 266,601 State Street Navigator Securities Lending Prime Portfolio (c)(d)........... 58,425,040 58,425,040 ------------ TOTAL SHORT TERM INVESTMENTS -- (E) (Cost $58,691,641)......... 58,691,641 ------------ TOTAL INVESTMENTS -- 119.4% (F) (Cost $342,557,295)........ 344,495,666 OTHER ASSETS AND LIABILITIES -- (19.4)%..... (55,994,269) ------------ NET ASSETS -- 100.0%......... $288,501,397 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Investments of cash collateral for securities loaned. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 65 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 99.2% Treasury Bonds 7.25%, 5/15/2016 (a)....... $ 954,000 $ 1,197,165 7.50%, 11/15/2016.......... 913,000 1,165,262 8.75%, 5/15/2017 (a)....... 828,000 1,134,641 8.88%, 8/15/2017........... 542,000 750,204 8.88%, 2/15/2019........... 371,000 529,198 9.00%, 11/15/2018 (a)...... 101,000 144,876 9.13%, 5/15/2018 (a)....... 340,000 487,353 9.25%, 2/15/2016........... 250,000 342,298 9.88%, 11/15/2015.......... 292,000 408,277 10.63%, 8/15/2015.......... 181,000 259,664 11.25%, 2/15/2015 (a)...... 550,000 793,320 11.75%, 11/15/2014......... 243,000 253,104 12.50%, 8/15/2014 (a)...... 218,000 221,226 Treasury Notes 0.88%, 12/31/2010 (a)...... 1,933,000 1,935,842 0.88%, 1/31/2011........... 1,667,000 1,667,983 0.88%, 2/28/2011........... 2,716,000 2,714,343 0.88%, 3/31/2011 (a)....... 2,172,000 2,169,003 0.88%, 4/30/2011........... 2,179,000 2,172,637 0.88%, 5/31/2011 (a)....... 2,500,000 2,491,025 1.13%, 12/15/2011 (a)...... 1,467,000 1,459,812 1.13%, 1/15/2012 (a)....... 1,399,000 1,390,214 1.25%, 11/30/2010 (a)...... 1,874,000 1,887,718 1.38%, 2/15/2012 (a)....... 868,000 867,340 1.38%, 3/15/2012........... 1,206,000 1,203,793 1.38%, 4/15/2012 (a)....... 1,356,000 1,351,295 1.38%, 5/15/2012........... 1,850,000 1,839,881 1.50%, 10/31/2010 (a)...... 1,753,000 1,772,511 1.50%, 12/31/2013 (a)...... 1,317,000 1,268,561 1.75%, 11/15/2011 (a)...... 1,416,000 1,431,038 1.75%, 1/31/2014 (a)....... 1,499,000 1,456,818 1.75%, 3/31/2014........... 1,631,000 1,577,634 1.88%, 6/15/2012........... 900,000 906,190 1.88%, 2/28/2014........... 1,372,000 1,336,451 1.88%, 4/30/2014 (a)....... 656,000 636,615 2.00%, 9/30/2010 (a)....... 2,045,000 2,080,522 2.00%, 11/30/2013.......... 1,432,000 1,411,093 2.25%, 5/31/2014 (a)....... 2,300,000 2,269,203 2.38%, 8/31/2010 (a)....... 2,015,000 2,056,811 2.38%, 3/31/2016........... 664,000 632,752 2.50%, 3/31/2013 (a)....... 876,000 891,961 2.63%, 6/30/2014........... 1,860,000 1,865,748 2.63%, 2/29/2016........... 243,000 235,934 2.63%, 4/30/2016........... 1,316,000 1,272,612 2.75%, 7/31/2010 (a)....... 1,925,000 1,970,411 2.75%, 2/28/2013 (a)....... 1,029,000 1,056,413 2.75%, 10/31/2013 (a)...... 1,531,000 1,559,492 2.75%, 2/15/2019 (a)....... 2,822,000 2,642,916 2.88%, 1/31/2013 (a)....... 887,000 917,300 3.13%, 4/30/2013 (a)....... 938,000 975,051 3.13%, 8/31/2013 (a)....... 1,393,000 1,443,301 3.13%, 9/30/2013 (a)....... 1,017,000 1,052,127 3.13%, 5/15/2019........... 2,110,000 2,040,264 3.25%, 5/31/2016........... 500,000 502,100 3.25%, 6/30/2016........... 1,000,000 1,003,089 3.38%, 11/30/2012.......... 760,000 800,272 3.38%, 6/30/2013 (a)....... 790,000 827,588 3.38%, 7/31/2013 (a)....... 1,305,000 1,367,627 3.50%, 5/31/2013 (a)....... 1,199,000 1,263,302 3.50%, 2/15/2018 (a)....... 1,975,000 1,984,539 3.63%, 12/31/2012.......... 820,000 869,356 3.63%, 5/15/2013 (a)....... 1,149,000 1,215,332 3.75%, 11/15/2018.......... 2,915,000 2,965,109 3.88%, 7/15/2010 (a)....... 377,000 389,991 3.88%, 9/15/2010 (a)....... 477,000 495,808 3.88%, 10/31/2012 (a)...... 825,000 882,065 3.88%, 2/15/2013........... 888,000 946,333 3.88%, 5/15/2018........... 1,426,000 1,469,436 4.00%, 11/15/2012.......... 1,041,000 1,116,139 4.00%, 2/15/2014 (a)....... 1,683,000 1,801,517 4.00%, 2/15/2015 (a)....... 1,689,000 1,795,120 4.00%, 8/15/2018........... 1,506,000 1,562,204 4.13%, 8/15/2010 (a)....... 803,000 835,128 4.13%, 8/31/2012 (a)....... 830,000 891,777 4.13%, 5/15/2015 (a)....... 1,961,000 2,092,465 4.25%, 10/15/2010.......... 743,000 777,661 4.25%, 1/15/2011 (a)....... 327,000 343,975 4.25%, 9/30/2012........... 530,000 572,018 4.25%, 8/15/2013 (a)....... 1,089,000 1,177,677 4.25%, 11/15/2013 (a)...... 1,311,000 1,417,178 4.25%, 8/15/2014 (a)....... 1,452,000 1,566,592 4.25%, 11/15/2014 (a)...... 1,063,000 1,144,968 4.25%, 8/15/2015 (a)....... 1,871,000 2,006,760 4.25%, 11/15/2017 (a)...... 1,339,000 1,420,585 4.38%, 12/15/2010 (a)...... 793,000 834,696 4.38%, 8/15/2012 (a)....... 454,000 491,564 4.50%, 11/15/2010.......... 844,000 887,846 4.50%, 2/28/2011 (a)....... 934,000 990,311 4.50%, 9/30/2011 (a)....... 971,000 1,040,698 4.50%, 11/30/2011 (a)...... 893,000 961,547 4.50%, 3/31/2012 (a)....... 855,000 925,076 4.50%, 4/30/2012 (a)....... 855,000 925,443 4.50%, 11/15/2015 (a)...... 540,000 587,417 4.50%, 2/15/2016 (a)....... 1,340,000 1,453,806 4.50%, 5/15/2017 (a)....... 1,349,000 1,455,787 4.63%, 8/31/2011 (a)....... 961,000 1,030,442 4.63%, 10/31/2011.......... 439,000 472,698 4.63%, 12/31/2011 (a)...... 882,000 953,557 4.63%, 2/29/2012........... 806,000 873,502 4.63%, 7/31/2012 (a)....... 857,000 933,890 4.63%, 11/15/2016 (a)...... 1,326,000 1,444,306 4.63%, 2/15/2017 (a)....... 1,265,000 1,376,282 4.75%, 3/31/2011 (a)....... 939,000 1,000,993 4.75%, 1/31/2012 (a)....... 789,000 857,162 4.75%, 5/31/2012........... 857,000 934,661 4.75%, 5/15/2014 (a)....... 1,552,000 1,711,499 4.75%, 8/15/2017 (a)....... 1,340,000 1,469,136 4.88%, 4/30/2011 (a)....... 1,924,000 2,057,102 4.88%, 5/31/2011........... 960,000 1,029,072 4.88%, 7/31/2011 (a)....... 921,000 990,885 4.88%, 2/15/2012 (a)....... 1,299,000 1,417,040 4.88%, 6/30/2012 (a)....... 817,000 895,424 4.88%, 8/15/2016 (a)....... 1,265,000 1,398,584 5.00%, 2/15/2011........... 832,000 887,286 5.00%, 8/15/2011 (a)....... 1,025,000 1,108,958 5.13%, 6/30/2011 (a)....... 924,000 996,830
See accompanying notes to financial statements. 66 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 5.13%, 5/15/2016 (a)....... $ 1,254,000 $ 1,406,536 5.75%, 8/15/2010 (a)....... 934,000 987,883 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $141,976,624)........ 141,888,833 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 20.5% MONEY MARKET FUNDS -- 20.5% State Street Institutional Liquid Reserves Fund 0.42%, (b)(c)..................... 162,579 162,579 State Street Navigator Securities Lending Prime Portfolio (c)(d)..................... 29,226,033 29,226,033 ------------ TOTAL SHORT TERM INVESTMENTS -- (E) (Cost $29,388,612)......... 29,388,612 ------------ TOTAL INVESTMENTS -- 119.7% (F) (Cost $171,365,236)........ 171,277,445 OTHER ASSETS AND LIABILITIES -- (19.7)%..... (28,207,331) ------------ NET ASSETS -- 100.0%......... $143,070,114 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Investments of cash collateral for securities loaned. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 67 SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 98.5% Treasury Bonds 3.50%, 2/15/2039 (a)........ $ 715,000 $ 618,153 4.25%, 5/15/2039 (a)........ 777,000 768,989 4.38%, 2/15/2038 (a)........ 542,000 547,393 4.50%, 2/15/2036 (a)........ 883,000 909,631 4.50%, 5/15/2038 (a)........ 603,000 622,465 4.75%, 2/15/2037 (a)........ 465,000 498,201 5.00%, 5/15/2037 (a)........ 459,000 510,885 5.25%, 11/15/2028........... 302,000 339,406 5.25%, 2/15/2029 (a)........ 316,000 355,449 5.38%, 2/15/2031 (a)........ 488,000 559,912 5.50%, 8/15/2028 (a)........ 338,000 390,410 6.00%, 2/15/2026 (a)........ 321,000 387,293 6.13%, 11/15/2027 (a)....... 607,000 747,715 6.13%, 8/15/2029 (a)........ 288,000 358,468 6.25%, 8/15/2023 (a)........ 670,000 816,455 6.25%, 5/15/2030 (a)........ 455,000 576,476 6.38%, 8/15/2027 (a)........ 252,000 318,019 6.50%, 11/15/2026........... 208,000 264,645 6.63%, 2/15/2027 (a)........ 226,000 291,404 6.75%, 8/15/2026............ 235,000 305,805 6.88%, 8/15/2025 (a)........ 270,000 353,854 7.13%, 2/15/2023 (a)........ 463,000 605,169 7.25%, 8/15/2022 (a)........ 210,000 276,087 7.50%, 11/15/2024 (a)....... 185,000 254,479 7.63%, 11/15/2022 (a)....... 114,000 154,667 7.63%, 2/15/2025............ 209,000 291,258 7.88%, 2/15/2021 (a)........ 280,000 380,414 8.00%, 11/15/2021 (a)....... 852,000 1,176,382 8.13%, 8/15/2019 (a)........ 371,000 508,812 8.13%, 5/15/2021 (a)........ 276,000 382,348 8.13%, 8/15/2021 (a)........ 272,000 377,680 8.50%, 2/15/2020............ 267,000 375,653 8.75%, 5/15/2020............ 178,000 254,439 8.75%, 8/15/2020 (a)........ 474,000 679,185 ----------- TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $16,285,957).......... 16,257,601 ----------- SECURITY DESCRIPTION SHARES - -------------------- ------ SHORT TERM INVESTMENTS -- 20.5% MONEY MARKET FUNDS -- 20.5% State Street Institutional Liquid Reserves Fund 0.42% (b)(c)...................... 14,771 $ 14,771 State Street Navigator Securities Lending Prime Portfolio (c)(d)............ 3,366,905 3,366,905 ----------- TOTAL SHORT TERM INVESTMENTS -- (E) (Cost $3,381,676)........... 3,381,676 ----------- TOTAL INVESTMENTS -- 119.0% (F) (Cost $19,667,633).......... 19,639,277 OTHER ASSETS AND LIABILITIES -- (19.0)%...... (3,140,571) ----------- NET ASSETS -- 100.0%.......... $16,498,706 ===========
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Investments of cash collateral for securities loaned. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 68 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 24.0% AEROSPACE & DEFENSE -- 0.7% Boeing Co. 6.13%, 2/15/2033.......... $ 155,000 $ 163,188 General Dynamics Corp. 5.25%, 2/1/2014........... 210,000 222,155 Honeywell International, Inc. 6.13%, 11/1/2011 (a)...... 830,000 903,296 ------------- 1,288,639 ------------- AIR FREIGHT & LOGISTICS -- 0.1% United Parcel Service, Inc. 6.20%, 1/15/2038.......... 240,000 258,088 ------------- AUTOMOBILES-- 0.0% (B) Daimler Finance North America LLC 8.00%, 6/15/2010 (a)...... 5,000 5,150 ------------- BEVERAGES -- 0.1% Diageo Capital PLC 5.75%, 10/23/2017......... 240,000 252,533 ------------- CAPITAL MARKETS -- 0.8% Svensk Exportkredit AB 5.13%, 3/1/2017........... 385,000 391,433 The Goldman Sachs Group, Inc.: 5.35%, 1/15/2016.......... 715,000 698,663 5.95%, 1/15/2027.......... 565,000 484,525 ------------- 1,574,621 ------------- CHEMICALS -- 0.4% E.I. du Pont de Nemours & Co. 5.25%, 12/15/2016 (a)..... 385,000 395,160 The Dow Chemical Co. 8.55%, 5/15/2019.......... 310,000 308,439 ------------- 703,599 ------------- COMMERCIAL BANKS -- 3.8% Bank of New York Mellon Corp. 4.95%, 11/1/2012.......... 510,000 537,706 Deutsche Bank AG London 6.00%, 9/1/2017........... 435,000 442,706 European Investment Bank: 2.00%, 2/10/2012 (a)...... 1,030,000 1,035,553 2.38%, 3/14/2014.......... 515,000 500,289 HSBC Bank USA NA 4.63%, 4/1/2014 (a)....... 350,000 343,636 Inter-American Development Bank 5.13%, 9/13/2016.......... 385,000 413,156 International Bank for Reconstruction & Development 4.75%, 2/15/2035.......... 80,000 76,058 JPMorgan Chase Bank NA 6.00%, 10/1/2017.......... 525,000 514,135 Key Bank NA 5.80%, 7/1/2014........... 435,000 399,394 Kreditanstalt fuer Wiederaufbau: 3.25%, 10/14/2011......... 515,000 533,321 4.00%, 10/15/2013......... 680,000 708,051 4.50%, 7/16/2018.......... 205,000 209,507 Oesterreichische Kontrollbank AG 4.75%, 10/16/2012 (a)..... 385,000 408,277 US Bank NA 6.38%, 8/1/2011........... 240,000 256,640 Wachovia Bank NA 5.85%, 2/1/2037........... 275,000 237,645 Wells Fargo & Co: 4.88%, 1/12/2011.......... 385,000 395,898 5.63%, 12/11/2017......... 240,000 236,057 Wells Fargo Bank NA 4.75%, 2/9/2015........... 330,000 313,994 ------------- 7,562,023 ------------- COMMUNICATIONS EQUIPMENT -- 0.1% Cisco Systems, Inc. 5.50%, 2/22/2016.......... 230,000 244,775 ------------- COMPUTERS & PERIPHERALS -- 0.4% International Business Machines Corp.: 5.70%, 9/14/2017.......... 200,000 212,433 5.88%, 11/29/2032 (a)..... 155,000 161,256 Oracle Corp. 5.00%, 1/15/2011.......... 385,000 402,900 ------------- 776,589 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% Stanford University 4.75%, 5/1/2019........... 100,000 99,807 ------------- DIVERSIFIED FINANCIAL SERVICES -- 6.3% American Express Credit Corp. 5.88%, 5/2/2013........... 255,000 253,393 Asian Development Bank 4.38%, 9/17/2010.......... 105,000 108,995 Bank of America NA 5.30%, 3/15/2017.......... 1,135,000 962,609 BP Capital Markets PLC 3.13%, 3/10/2012.......... 200,000 204,190 Caterpillar Financial Services Corp. 7.15%, 2/15/2019 (a)...... 210,000 225,471 Citigroup Funding, Inc. 0.94%, 5/5/2011 (c)....... 5,300,000 5,305,809 Citigroup, Inc. 5.63%, 8/27/2012.......... 1,115,000 1,038,864 Credit Suisse USA, Inc. 6.50%, 1/15/2012.......... 555,000 589,316 General Electric Capital Corp.: 5.25%, 10/19/2012......... 385,000 396,512 5.63%, 5/1/2018........... 835,000 793,170 6.75%, 3/15/2032.......... 230,000 206,374 HSBC Finance Corp. 5.25%, 1/14/2011.......... 320,000 320,605 Merrill Lynch & Co., Inc.: 5.38%, 8/12/2048.......... 400,000 258,265 6.88%, 4/25/2018.......... 550,000 504,025 Morgan Stanley: 6.00%, 5/13/2014.......... 530,000 539,811 6.63%, 4/1/2018........... 370,000 367,556 National Rural Utilities Cooperative Finance Corp. 8.00%, 3/1/2032........... 340,000 377,722 ------------- 12,452,687 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% Deutsche Telekom International Finance BV.: 6.75%, 8/20/2018.......... 200,000 211,219 8.50%, 6/15/2010.......... 25,000 26,403 Qwest Corp. 8.38%, 5/1/2016 (d)....... 15,000 14,400 Telefonica SA 4.95%, 1/15/2015.......... 200,000 202,991 Verizon Communications, Inc. 6.40%, 2/15/2038.......... 410,000 403,927 ------------- 858,940 -------------
See accompanying notes to financial statements. 69 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- ELECTRIC UTILITIES -- 1.2% Duke Energy Carolinas LLC 7.00%, 11/15/2018 (a)..... $ 590,000 $ 685,842 Pacific Gas & Electric Co. 4.80%, 3/1/2014........... 830,000 847,025 Progress Energy, Inc. 7.75%, 3/1/2031........... 385,000 444,716 San Diego Gas & Electric Co. 6.13%, 9/15/2037.......... 105,000 112,540 Virginia Electric and Power Co. 5.10%, 11/30/2012......... 340,000 358,283 ------------- 2,448,406 ------------- FOOD & STAPLES RETAILING -- 0.6% CVS Caremark Corp. 6.25%, 6/1/2027........... 240,000 242,202 Safeway, Inc. 5.63%, 8/15/2014 (a)...... 205,000 211,099 Target Corp. 7.00%, 1/15/2038.......... 300,000 318,774 Wal-Mart Stores, Inc. 5.88%, 4/5/2027 (a)....... 310,000 320,755 ------------- 1,092,830 ------------- FOOD PRODUCTS -- 0.5% Archer-Daniels-Midland Co. 5.38%, 9/15/2035.......... 230,000 213,599 General Mills, Inc. 5.70%, 2/15/2017.......... 385,000 402,529 Kraft Foods, Inc. 5.63%, 11/1/2011.......... 385,000 406,978 ------------- 1,023,106 ------------- GAS UTILITIES -- 0.1% KeySpan Corp. 7.63%, 11/15/2010......... 105,000 110,792 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% Baxter International, Inc. 6.25%, 12/1/2037.......... 145,000 155,847 ------------- HEALTH CARE PROVIDERS & SERVICES -- 0.4% UnitedHealth Group, Inc. 5.25%, 3/15/2011 (a)...... 830,000 848,694 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% McDonald's Corp. 5.35%, 3/1/2018........... 340,000 357,440 ------------- HOUSEHOLD PRODUCTS -- 0.2% Kimberly-Clark Corp. 5.00%, 8/15/2013.......... 205,000 213,829 Procter & Gamble Co. 5.55%, 3/5/2037........... 230,000 232,783 ------------- 446,612 ------------- INDUSTRIAL CONGLOMERATES -- 0.2% General Electric Co. 5.25%, 12/6/2017.......... 340,000 333,774 ------------- INSURANCE -- 0.8% Allstate Corp. 5.95%, 4/1/2036........... 155,000 138,599 American International Group, Inc. 5.45%, 5/18/2017.......... 750,000 390,000 Berkshire Hathaway Finance Corp. 5.00%, 8/15/2013.......... 205,000 216,630 MetLife, Inc. 5.70%, 6/15/2035.......... 385,000 335,193 Travelers Cos., Inc. 6.25%, 3/15/2037 (e)...... 385,000 296,450 XL Capital, Ltd. 6.50%, 12/31/2049 (e)(f).. 385,000 188,650 ------------- 1,565,522 ------------- MACHINERY -- 0.1% Caterpillar, Inc. 6.05%, 8/15/2036.......... 155,000 145,884 ------------- MEDIA -- 0.9% CBS Corp. 8.20%, 5/15/2014 (a)...... 200,000 202,000 Comcast Corp.: 6.40%, 5/15/2038.......... 200,000 194,495 6.50%, 1/15/2017.......... 310,000 323,591 News America, Inc. 6.15%, 3/1/2037........... 230,000 193,642 Time Warner Cable, Inc. 5.85%, 5/1/2017........... 310,000 307,594 Time Warner, Inc. 7.70%, 5/1/2032........... 230,000 225,987 Walt Disney Co. 5.70%, 7/15/2011.......... 205,000 220,211 ------------- 1,667,520 ------------- METALS & MINING -- 0.5% Alcoa, Inc. 5.38%, 1/15/2013 (a)...... 205,000 198,850 Rio Tinto Finance USA, Ltd. 5.88%, 7/15/2013.......... 410,000 413,150 Vale Overseas, Ltd. 6.88%, 11/21/2036......... 310,000 292,327 ------------- 904,327 ------------- MULTI-UTILITIES -- 0.2% MidAmerican Energy Holdings Co. 6.13%, 4/1/2036........... 385,000 380,509 ------------- OFFICE ELECTRONICS -- 0.2% Xerox Corp. 5.65%, 5/15/2013.......... 410,000 404,260 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.7% Anadarko Petroleum Corp. 5.95%, 9/15/2016.......... 310,000 303,338 Canadian Natural Resources, Ltd. 6.25%, 3/15/2038.......... 385,000 374,256 ConocoPhillips Canada Funding Co. 5.63%, 10/15/2016......... 830,000 865,206 Kinder Morgan Energy Partners LP 5.80%, 3/15/2035.......... 165,000 139,555 Pemex Project Funding Master Trust 6.63%, 6/15/2035 (a)...... 105,000 94,762 Shell International Finance BV 6.38%, 12/15/2038......... 210,000 226,507 Southern Natural Gas Co. 5.90%, 4/1/2017 (d)....... 830,000 798,785 Transocean, Inc. 6.00%, 3/15/2018.......... 145,000 149,705 Weatherford International, Inc. 6.80%, 6/15/2037.......... 229,000 207,535 XTO Energy, Inc. 5.90%, 8/1/2012........... 155,000 164,303 ------------- 3,323,952 ------------- PHARMACEUTICALS -- 1.0% Abbott Laboratories 5.60%, 5/15/2011.......... 385,000 412,036
See accompanying notes to financial statements. 70 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- AstraZeneca PLC 6.45%, 9/15/2037.......... $ 75,000 $ 82,679 Eli Lilly & Co. 5.20%, 3/15/2017.......... 310,000 321,443 Pfizer, Inc. 6.20%, 3/15/2019.......... 420,000 458,893 Schering-Plough Corp. 6.00%, 9/15/2017.......... 385,000 409,981 Wyeth 5.95%, 4/1/2037........... 230,000 237,483 ------------- 1,922,515 ------------- REAL ESTATE INVESTMENT TRUST -- 0.1% Simon Property Group LP 5.60%, 9/1/2011........... 255,000 257,550 ------------- ROAD & RAIL -- 0.3% CSX Corp. 6.15%, 5/1/2037........... 155,000 144,032 Norfolk Southern Corp. 7.70%, 5/15/2017.......... 310,000 348,357 ------------- 492,389 ------------- SPECIALTY RETAIL -- 0.2% Home Depot, Inc. 5.40%, 3/1/2016........... 385,000 380,229 ------------- TOBACCO -- 0.2% Philip Morris International, Inc. 4.88%, 5/16/2013.......... 410,000 428,602 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.1% AT&T Corp. 8.00%, 11/15/2031......... 435,000 502,029 Embarq Corp. 7.08%, 6/1/2016........... 155,000 151,900 New Cingular Wireless Services, Inc. 8.13%, 5/1/2012........... 385,000 430,211 Telecom Italia Capital 5.25%, 10/1/2015.......... 520,000 491,480 Verizon Global Funding Corp. 6.88%, 6/15/2012 (a)...... 385,000 422,119 Vodafone Group PLC 5.63%, 2/27/2017.......... 230,000 232,847 ------------- 2,230,586 ------------- TOTAL CORPORATE BONDS & NOTES -- (Cost $46,849,723)........ 46,998,797 ------------- FOREIGN GOVERNMENT OBLIGATIONS -- 1.6% Federal Republic of Brazil 8.25%, 1/20/2034.......... 340,000 404,600 Province of Ontario 4.95%, 6/1/2012........... 435,000 466,496 Province of Quebec 7.50%, 9/15/2029.......... 435,000 536,219 Republic of Italy 5.63%, 6/15/2012.......... 750,000 815,866 United Mexican States 5.63%, 1/15/2017.......... 830,000 836,225 ------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $3,057,298)......... 3,059,406 ------------- U.S. GOVERNMENT AGENCY MBS TBA -- 38.1% Fannie Mae 4.00% 30YR TBA............ 1,400,000 1,358,875 5.00% 15YR TBA............ 2,900,000 3,001,047 5.50% 30YR TBA............ 18,000,000 18,576,562 6.00% 15YR TBA............ 2,700,000 2,857,781 6.50% 30YR TBA............ 6,100,000 6,496,500 Freddie Mac 4.00% 15YR TBA............ 1,000,000 1,000,938 4.50% 15YR TBA............ 2,850,000 2,908,781 4.50% 30YR TBA............ 4,200,000 4,183,922 5.00% 30YR TBA............ 11,400,000 11,600,391 5.50% 15YR TBA............ 2,000,000 2,089,375 6.00% 30YR TBA............ 9,300,000 9,703,969 Ginnie Mae 4.50% 30YR TBA............ 1,000,000 999,219 5.00% 30YR TBA............ 2,300,000 2,346,359 5.50% 30YR TBA............ 3,200,000 3,304,500 6.00% 30YR TBA............ 3,000,000 3,123,750 6.50% 30YR TBA............ 1,000,000 1,061,250 ------------- TOTAL U.S. GOVERNMENT AGENCY MBS TBA -- (Cost $74,506,168)........ 74,613,219 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.5% Fannie Mae 1.75%, 3/23/2011 (a)...... 2,050,000 2,068,276 2.50%, 5/15/2014 (a)...... 2,570,000 2,525,679 3.00%, 7/12/2010.......... 2,050,000 2,098,968 5.00%, 2/16/2012 (a)...... 1,153,000 1,253,384 5.00%, 5/11/2017 (a)...... 1,150,000 1,255,176 7.13%, 1/15/2030 (a)...... 785,000 1,014,418 Federal Home Loan Bank 5.13%, 8/14/2013 (a)...... 1,670,000 1,836,808 5.38%, 8/19/2011.......... 2,970,000 3,218,485 Freddie Mac 2.13%, 3/23/2012 (a)...... 1,030,000 1,041,284 2.50%, 1/7/2014 (a)....... 1,030,000 1,021,385 4.50%, 1/15/2013.......... 30,000 32,434 5.00%, 4/18/2017 (a)...... 1,213,000 1,322,815 ------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS -- (Cost $18,301,370)........ 18,689,112 ------------- U.S. TREASURY OBLIGATIONS -- 25.4% Treasury Bonds 4.25%, 5/15/2039.......... 200,000 197,337 4.38%, 2/15/2038 (a)...... 1,700,000 1,716,915 5.50%, 8/15/2028 (a)...... 1,145,000 1,322,544 8.00%, 11/15/2021 (a)..... 2,890,000 3,990,310 8.88%, 8/15/2017.......... 2,803,000 3,879,745 Treasury Notes 0.88%, 12/31/2010 (a)..... 6,495,000 6,504,548 1.13%, 6/30/2011.......... 500,000 499,943 1.38%, 5/15/2012 (a)...... 8,590,000 8,543,013 1.75%, 3/31/2014 (a)...... 1,750,000 1,692,740 2.38%, 8/31/2010 (a)...... 2,155,000 2,199,716 2.75%, 2/15/2019.......... 300,000 280,571 3.13%, 8/31/2013 (a)...... 4,010,000 4,154,801 3.25%, 6/30/2016.......... 500,000 501,154 3.88%, 7/15/2010 (a)...... 1,000,000 1,034,460 3.88%, 5/15/2018 (a)...... 2,320,000 2,390,667 4.13%, 5/15/2015 (a)...... 3,760,000 4,012,070 4.50%, 9/30/2011 (a)...... 2,130,000 2,282,891 4.75%, 8/15/2017 (a)...... 2,295,000 2,516,169 4.88%, 4/30/2011 (a)...... 2,000,000 2,138,360 ------------- TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $50,186,891)........ 49,857,954 -------------
See accompanying notes to financial statements. 71 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.7% Bear Stearns Commercial Mortgage Securities 4.75%, 2/13/2046 (e)...... $ 550,000 $ 480,149 GE Capital Commercial Mortgage Corp. 5.54%, 12/10/2049......... 400,000 271,928 Greenwich Capital Commercial Funding Corp. 4.80%, 8/10/2042 (e)...... 500,000 430,823 GS Mortgage Securities Corp. II 5.40%, 8/10/2038 (e)...... 475,000 445,180 5.55%, 4/10/2038 (e)...... 500,000 417,274 JP Morgan Chase Commercial Mortgage Securities Corp. 4.87%, 3/15/2046.......... 250,000 220,772 4.88%, 1/12/2038 (e)...... 500,000 473,238 5.44%, 6/12/2047.......... 510,000 379,895 5.81%, 6/12/2043 (e)...... 500,000 391,390 LB-UBS Commercial Mortgage Trust 4.37%, 3/15/2036.......... 450,000 391,475 4.51%, 12/15/2029......... 500,000 447,364 Morgan Stanley Capital I 5.51%, 11/12/2049 (e)..... 475,000 393,505 5.61%, 4/15/2049.......... 205,000 182,884 Wachovia Bank Commercial Mortgage Trust 4.96%, 11/15/2035 (e)..... 500,000 472,134 ------------- TOTAL COMMERCIAL MORTGAGE- BACKED SECURITIES (Cost $5,343,031)......... 5,398,011 ------------- ASSET-BACKED -- 0.5% CREDIT CARD RECEIVABLES -- 0.5% Capital One Multi-Asset Execution Trust 5.05%, 2/15/2016.......... 245,000 251,915 Citibank Credit Card Issuance Trust 4.90%, 6/23/2016.......... 200,000 202,250 5.35%, 2/7/2020........... 295,000 294,503 5.65%, 9/20/2019.......... 200,000 203,142 ------------- TOTAL ASSET-BACKED -- (Cost $949,126)........... 951,810 ------------- MUNICIPAL BONDS AND NOTES -- 0.0% (B) CALIFORNIA -- 0.0% (B) California, State General Obligation 5.95%, 4/1/2016 (Cost $35,173)............ 35,000 34,128 ------------- SHARES ------ SHORT TERM INVESTMENTS -- 50.7% MONEY MARKET FUNDS -- 50.7% State Street Institutional Liquid Reserves Fund 0.42% (g)(h)(i)................. 69,853,146 69,853,146 State Street Navigator Securities Lending Prime Portfolio (g)(j).......... 29,519,870 29,519,870 ------------- TOTAL SHORT TERM INVESTMENTS -- (K) (Cost $99,373,016)........ 99,373,016 ------------- TOTAL INVESTMENTS -- 152.5% (L) (Cost $298,601,796)....... 298,975,453 OTHER ASSETS AND LIABILITIES -- (52.5)%.... (102,885,743) ------------- NET ASSETS -- 100.0%........ $ 196,089,710 =============
(a) Security, or portion thereof, was on loan as of June 30, 2009. (b) Amount shown represents less than 0.05% of net assets. (c) Floating Rate Note. Rate shown is rate is as of June 30, 2009. (d) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represents 0.4% of net assets as of June 30, 2009, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (e) Variable Rate Security. Rate shown is as of June 30, 2009. (f) Security is valued at fair value as determined in good faith by the Trust's Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (g) Affiliated Fund managed by SSgA Funds Management, Inc. (h) The rate shown is the annualized seven-day yield at period end. (i) Security, or portion thereof, has been designated as collateral for TBA securities. (j) Investments of cash collateral for securities loaned. (k) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (l) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) TBA = To Be Announced See accompanying notes to financial statements. 72 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 97.3% ALABAMA -- 0.8% Alabama, Auburn University, General Fee Revenue 5.00%, 6/1/2038 (a)........ $ 2,200,000 $ 2,207,018 Alabama, Public School & College Authority 5.00%, 12/1/2023........... 1,500,000 1,560,450 Birmingham, AL, Capital Investment Series A 4.50%, 12/1/2027 (a).............. 1,000,000 913,770 ------------ 4,681,238 ------------ ALASKA -- 0.5% Alaska, State General Obligation Series A 5.00%, 8/1/2024................... 2,580,000 2,785,394 ------------ ARIZONA -- 4.0% Arizona, Salt River Project, Agricultural Improvement & Power District: Series A 5.00%, 1/1/2016... 500,000 564,510 Series A 5.00%, 1/1/2022... 500,000 530,505 Series A 5.00%, 1/1/2027... 2,500,000 2,562,525 Arizona, State Transportation Board, Excise Tax Revenue 5.00%, 7/1/2021............ 1,500,000 1,619,760 Arizona, State Transportation Board, Highway Revenue Series A 5.00%, 7/1/2028... 7,145,000 7,438,802 Chandler, AZ, General Obligation 4.25%, 7/1/2026............ 5,000,000 4,841,100 Maricopa County, AZ, Community College District, General Obligation Series C 3.00%, 7/1/2022............ 2,000,000 1,679,240 Phoenix, AZ, Civic Improvement Corp., Wastewater System Revenue, Senior Lien 5.50%, 7/1/2019............ 1,000,000 1,140,640 Phoenix, AZ, General Obligation Series A 5.00%, 7/1/2017................... 1,000,000 1,119,980 Pima County, AZ, Industrial Development Authority, Lease Revenue 5.00%, 9/1/2039............ 2,000,000 1,841,060 ------------ 23,338,122 ------------ CALIFORNIA -- 10.6% Azusa, CA, Public Financing Authority, Revenue 5.00%, 7/1/2039 (a)........ 1,200,000 1,134,180 California, Golden Empire Schools Financing Authority, Lease Revenue 4.00%, 5/1/2010............ 4,000,000 4,057,720 California, State Public Works Board, Lease Revenue Series D 5.00%, 5/1/2025... 1,000,000 978,540 California, State University Revenue: Series A 4.50%, 11/1/2044 (a)........................ 6,090,000 5,002,813 Series A 5.00%, 11/1/2037 (a)........................ 1,000,000 915,680 Foothill-De Anza, CA, Community College District, General Obligation Series B 5.00%, 8/1/2027 (a)........ 4,475,000 4,453,744 Los Angeles, CA, Unified School District: Series B 4.75%, 7/1/2019 (a)........................ 3,485,000 3,570,278 Series A-1 5.00%, 7/1/2016 (a)........................ 3,000,000 3,160,710 Series A 5.00%, 7/1/2018 (a)........................ 900,000 939,321 Metropolitan Water District of Southern California, Waterworks Revenue Series A 5.00%, 1/1/2029............ 4,900,000 4,985,162 Rancho Santiago, CA, Community College District, General Obligation 5.00%, 9/1/2026 (a)........ 3,535,000 3,590,888 San Diego, CA, Community College District 5.00%, 5/1/2020 (a)........ 2,720,000 2,849,744 San Diego, CA, Unified School District Series C-2 5.50%, 7/1/2019 (a)............... 1,600,000 1,777,888 San Francisco, CA, Bay Area Rapid Transit District: Series B 5.00%, 8/1/2022... 1,500,000 1,597,215 Series B 5.00%, 8/1/2032... 1,600,000 1,617,936 San Francisco, CA, City & County Public Utilities Commission Water Revenue Series A 4.50%, 11/1/2031 (a)........................ 1,000,000 883,380 San Francisco, CA, Community College District Series B 5.00%, 6/15/2028 (a)........................ 5,225,000 5,240,727 San Francisco, CA, Toll Bridge Revenue Series F 5.00%, 4/1/2031............ 4,775,000 4,591,019 San Jose, CA, Evergreen Community College District Series A Zero Coupon, 9/1/2020 (a)............... 2,500,000 1,398,025 University of California: Series J 4.50%, 5/15/2031 (a)........................ 3,000,000 2,633,400 Series B 4.75%, 5/15/2038.. 1,300,000 1,149,434 Series E 5.00%, 5/15/2014 (a)........................ 3,180,000 3,491,068 West Valley-Mission Community College District, CA, Election 2004-A 5.00%, 8/1/2030 (a)........ 2,000,000 1,971,740 ------------ 61,990,612 ------------ COLORADO -- 1.7% Cherry Creek, CO, Arapahoe County School District, General Obligation 5.50%, 12/15/2013 (a)...... 2,030,000 2,327,720 Douglas County, CO, School District Series B 5.00%, 12/15/2019................. 2,000,000 2,204,640 Platte River, CO, Power Authority Revenue: Series HH 5.00%, 6/1/2024.. 1,255,000 1,330,388 Series HH 5.00%, 6/1/2029.. 1,000,000 1,024,290 University of Colorado, Enterprise System Revenue 5.00%, 6/1/2023 (a)........ 3,000,000 3,114,660 ------------ 10,001,698 ------------
See accompanying notes to financial statements. 73 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CONNECTICUT -- 1.5% Connecticut, State General Obligation: Series A 4.50%, 5/1/2026... $ 1,000,000 $ 1,019,100 Series C 5.00%, 4/1/2011 (a)........................ 2,000,000 2,134,460 Series B 5.00%, 4/15/2012.. 5,000,000 5,495,350 ------------ 8,648,910 ------------ DELAWARE -- 0.6% Delaware, State General Obligation 5.00%, 3/1/2013............ 1,000,000 1,119,390 New Castle County, DE, General Obligation Series A 5.00%, 7/15/2039.. 2,500,000 2,556,450 ------------ 3,675,840 ------------ DISTRICT OF COLUMBIA -- 1.7% District of Columbia, Water & Sewer Authority, Public Utility Revenue Series A 5.50%, 10/1/2039........... 5,000,000 5,156,600 Metropolitan Washington DC, Airport Authority System Series C 5.00%, 10/1/2028.. 5,000,000 4,926,750 ------------ 10,083,350 ------------ FLORIDA -- 1.6% Florida, State Board of Education, General Obligation Series B 5.25%, 6/1/2013... 2,000,000 2,222,140 Florida, State Board of Education, Public Education Capital Outlay Series A 5.00%, 6/1/2016............ 900,000 996,075 Gainesville, FL, Utility System Revenue, (Pre- refunded) Series A 5.00%, 10/1/2035 (a)........................ 900,000 1,033,623 JEA, FL, Bulk Power Supply System Revenue, Scherer 4 Project Series A 5.63%, 10/1/2033.. 5,000,000 5,068,900 ------------ 9,320,738 ------------ GEORGIA -- 2.8% Atlanta, GA, Metropolitan Rapid Transit Authority, Sales Tax Revenue Series B 5.00%, 7/1/2037 (a)........ 6,875,000 6,813,537 Augusta, GA, Water & Sewer Revenue 5.00%, 10/1/2014 (a)....... 1,085,000 1,221,287 De Kalb County, GA, Water & Sewer Revenue Series B 5.25%, 10/1/2024.. 3,000,000 3,435,660 Georgia, State General Obligation: Series D 5.00%, 7/1/2009... 1,000,000 1,000,000 Series B 5.00%, 4/1/2012... 2,000,000 2,202,800 Milledgeville -- Baldwin County, GA, Development Authority, (Pre-refunded) 5.50%, 9/1/2024............ 1,500,000 1,763,685 ------------ 16,436,969 ------------ HAWAII -- 1.8% Hawaii, State General Obligation: Series DF 5.00%, 7/1/2020 (a)........................ 1,360,000 1,463,224 Series DJ 5.00%, 4/1/2023 (a)........................ 900,000 961,794 Series DI 5.00%, 3/1/2025 (a)........................ 5,000,000 5,232,750 Hawaii, State Highway Revenue Series B 5.00%, 7/1/2015 (a)........................ 1,285,000 1,448,863 Honolulu, HI, City & County General Obligation Series A 5.00%, 7/1/2029 (a)........................ 1,500,000 1,522,680 ------------ 10,629,311 ------------ ILLINOIS -- 4.9% Chicago, IL, General Obligation: Series A 5.00%, 1/1/2015 (a)........................ 900,000 978,552 Series B 5.00%, 1/1/2022 (a)........................ 1,000,000 1,040,340 Chicago, IL, Metropolitan Water Reclamation District: Series A 5.00%, 12/1/2020.. 1,000,000 1,116,060 Series C 5.25%, 12/1/2032.. 5,000,000 5,380,200 Chicago, IL, O'Hare International Airport Revenue Series A 5.00%, 1/1/2038 (a)........................ 1,500,000 1,444,875 Chicago, IL, Water Revenue 5.25%, 11/1/2038........... 2,500,000 2,496,100 Illinois Finance Authority Revenue, University of Chicago Series B 6.25%, 7/1/2038... 5,000,000 5,520,300 Illinois, State General Obligation: Series B 5.00%, 3/1/2014... 2,000,000 2,186,980 Series A 5.00%, 6/1/2021... 5,000,000 5,284,950 Kendall, Kane, & Will Counties, IL, School District, General Obligation Zero Coupon, 2/1/2022 (a)............... 5,000,000 2,354,650 Southwestern, IL, Development Authority Revenue Zero Coupon, 12/1/2021 (a)........................ 1,125,000 595,159 ------------ 28,398,166 ------------ INDIANA -- 1.9% Indiana, Finance Authority, Highway Revenue: Series A 4.50%, 12/1/2020 (a)........................ 1,000,000 1,020,160 Series A 4.50%, 6/1/2027 (a)........................ 5,000,000 4,879,650 Indiana, State Finance Authority, Lease Revenue Series A-1 5.00%, 11/1/2015.................. 3,000,000 3,379,710 Indiana, State Finance Authority, State Revolving Fund Program Revenue Series B 5.00%, 2/1/2018.......... 1,535,000 1,711,755 ------------ 10,991,275 ------------ KANSAS -- 0.4% Kansas, State Department of Transportation, Highway Revenue Series A 5.00%, 9/1/2011................... 2,000,000 2,165,020 ------------ KENTUCKY -- 0.7% Kentucky, State Property & Buildings Commission 5.00%, 8/1/2013 (a)........ 1,000,000 1,098,580
See accompanying notes to financial statements. 74 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Kentucky, State Turnpike Authority, Economic Development Road Revenue 5.00%, 7/1/2025 (a)........ $ 1,500,000 $ 1,548,495 Kentucky, State Turnpike Authority, Economic Recovery Series B 4.50%, 7/1/2023... 1,285,000 1,289,575 ------------ 3,936,650 ------------ LOUISIANA -- 0.9% Louisiana, State Gas & Fuels Tax Revenue Series A 5.00%, 5/1/2031 (a)........................ 5,365,000 5,410,871 ------------ MARYLAND -- 2.1% Maryland, State Department of Transportation, Highway Revenue: 5.00%, 2/15/2015........... 1,500,000 1,695,060 5.00%, 2/15/2017........... 1,925,000 2,182,295 Maryland, State General Obligation: 5.00%, 8/1/2012............ 1,250,000 1,391,113 Series A 5.25%, 2/15/2013.. 1,000,000 1,127,090 Montgomery County, MD, Public Improvement Series A 5.00%, 7/1/2016... 1,500,000 1,726,560 Montgomery, MD, General Obligation Series A 5.00%, 9/1/2015................... 3,530,000 3,968,602 ------------ 12,090,720 ------------ MASSACHUSETTS -- 7.3% Massachusetts, Bay Transportation Authority, Revenue Series A 5.00%, 7/1/2029... 3,000,000 3,414,390 Massachusetts, Bay Transportation Authority, Sales Tax Revenue Series A 5.00%, 7/1/2021............ 1,000,000 1,101,490 Massachusetts, School Building Authority: Series A 5.00%, 8/15/2024 (a)........................ 1,000,000 1,049,810 Series A 5.00%, 8/15/2026 (a)........................ 3,000,000 3,087,270 Series A 5.00%, 8/15/2030 (a)........................ 2,700,000 2,741,013 Massachusetts, State Construction Loan Series B 5.00%, 8/1/2015............ 1,310,000 1,476,042 Massachusetts, State General Obligation: Series A 5.25%, 8/1/2019... 900,000 1,023,660 Series B 5.25%, 9/1/2024 (a)........................ 5,000,000 5,619,800 Series C 5.50%, 12/1/2022 (a)........................ 11,000,000 12,698,510 Massachusetts, State Health & Educational Facilities Authority Revenue Series A 5.50%, 11/15/2036................. 2,000,000 2,144,940 Massachusetts, State Tax Revenue 5.00%, 1/1/2034 (a)........ 1,000,000 1,100,110 Massachusetts, State Water Pollution Abatement Trust 5.25%, 8/1/2033............ 2,000,000 2,184,880 Massachusetts, State Water Resources Authority Series A 5.13%, 8/1/2026 (a)........................ 5,000,000 5,206,750 ------------ 42,848,665 ------------ MICHIGAN -- 0.3% Michigan, Municipal Bond Authority Revenue 5.00%, 10/1/2022........... 1,700,000 1,778,608 ------------ MINNESOTA -- 1.1% Minnesota, State General Obligation: 5.00%, 6/1/2015............ 1,820,000 2,078,950 5.00%, 11/1/2016........... 1,820,000 2,094,965 5.00%, 6/1/2018............ 1,940,000 2,166,146 ------------ 6,340,061 ------------ MISSISSIPPI -- 0.2% Mississippi, State General Obligation 5.00%, 12/1/2013........... 1,000,000 1,117,750 ------------ MISSOURI -- 1.3% Missouri, State Highways & Transit Commission, State Road Revenue, Second Lien: 5.25%, 5/1/2019............ 4,000,000 4,507,080 5.25%, 5/1/2020............ 1,000,000 1,113,690 Missouri, State Regional Convention & Sports Complex Authority 5.25%, 8/15/2016 (a)....... 1,800,000 1,906,776 ------------ 7,527,546 ------------ MONTANA -- 0.4% Montana, State Department of Transportation Revenue 5.00%, 6/1/2015 (a)........ 2,130,000 2,410,500 ------------ NEBRASKA -- 0.8% Omaha, NE, Public Power District Series A 5.00%, 2/1/2039... 5,000,000 4,992,150 ------------ NEVADA -- 2.4% Clark County, NV, General Obligation: 4.50%, 6/1/2018 (a)........ 1,475,000 1,495,045 4.75%, 6/1/2025 (a)........ 1,735,000 1,674,795 Clark County, NV, Highway Improvement Revenue 5.00%, 7/1/2012 (a)........ 1,000,000 1,077,490 Clark County, NV, School District, General Obligation: Series B 4.50%, 6/15/2016 (a)........................ 1,010,000 1,031,715 Series A 5.00%, 6/15/2014 (a)........................ 900,000 957,393 Series D 5.00%, 6/15/2017 (a)........................ 4,815,000 4,979,240 Las Vegas Valley, NV, Water District, General Obligation Series B 5.00%, 6/1/2015... 1,500,000 1,611,555 Nevada, State Highway Improvement Revenue 5.00%, 12/1/2017 (a)....... 1,000,000 1,065,470 ------------ 13,892,703 ------------ NEW JERSEY -- 0.7% New Jersey, State Educational Facilities Authority Revenue, Higher Education Capital Improvement Series A 5.00%, 9/1/2018 (a)........................ 735,000 791,301
See accompanying notes to financial statements. 75 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- New Jersey, State Transportation Trust Fund Authority: (Escrow to Maturity) Series A 5.25%, 6/15/2012 (a)........................ $ 1,305,000 $ 1,458,102 Series C Zero Coupon, 12/15/2029 (a)............. 2,585,000 764,695 New Jersey, State Turnpike Authority Series A 5.25%, 1/1/2027 (a)............... 1,000,000 1,076,250 ------------ 4,090,348 ------------ NEW MEXICO -- 1.5% Albuquerque, NM, Municipal School District, General Obligation Series A 4.00%, 8/1/2022... 6,650,000 6,609,701 New Mexico, Severance Tax Series A-1 4.00%, 7/1/2014................... 2,000,000 2,126,440 ------------ 8,736,141 ------------ NEW YORK -- 13.9% Erie County, NY, Industrial Development Agency Revenue: Series A 5.75%, 5/1/2019 (a)........................ 1,500,000 1,673,295 Series A 5.75%, 5/1/2021 (a)........................ 3,000,000 3,246,750 New York, NY, City Municipal Water Finance Authority: Series DD 4.63%, 6/15/2031.................. 1,030,000 972,310 Series C 4.75%, 6/15/2033.. 1,000,000 957,220 Series C 5.00%, 6/15/2035.. 2,320,000 2,303,250 Series D 5.00%, 6/15/2038.. 2,000,000 1,972,820 New York, NY, City Transitional Finance Authority: Series D-1 5.00%, 11/1/2013.................. 1,500,000 1,667,535 Series B 5.00%, 11/1/2014.. 1,050,000 1,175,506 Sub Series A-2 5.00%, 11/1/2017.................. 4,500,000 4,874,580 Sub Series C-1 5.00%, 11/1/2020.................. 900,000 968,391 Series B 5.00%, 8/1/2021... 2,725,000 2,832,556 New York, NY, General Obligation: Series C-1 5.00%, 10/1/2012.................. 1,400,000 1,518,104 Series B 5.25%, 8/1/2015... 2,000,000 2,176,740 New York, NY, Triborough Bridge & Tunnel Authority Revenue Series C 5.00%, 11/15/2016................. 5,000,000 5,585,700 New York, State Dormitory Authority Revenue Series A 5.00%, 7/1/2038... 3,350,000 3,279,683 New York, State Dormitory Authority, State Income Tax Revenue: Series D 5.00%, 3/15/2016.. 1,800,000 1,998,270 Series B 5.00%, 3/15/2028.. 5,000,000 5,111,450 New York, State Environmental Facscorp Series A 4.50%, 6/15/2036.. 1,500,000 1,396,110 New York, State Local Government Assistance Corp. Series A 5.00%, 4/1/2020... 3,000,000 3,260,670 New York, State Thruway Authority, Second General Highway & Bridge Trust Fund: Series B 5.00%, 4/1/2019... 5,400,000 5,839,236 Series A 5.00%, 4/1/2020 (a)........................ 3,000,000 3,166,380 New York, State Thruway Authority: Series G 4.75%, 1/1/2030 (a)........................ 920,000 866,116 Series B 5.00%, 4/1/2014 (a)........................ 2,000,000 2,205,020 Series A 5.00%, 4/1/2021... 500,000 527,470 Series A 5.00%, 3/15/2028.. 2,000,000 2,042,740 New York, State Urban Development Corp. Revenue: Series B 3.63%, 3/15/2012.. 710,000 745,990 Series A-1 5.00%, 12/15/2016................. 2,000,000 2,228,260 Series B 5.00%, 3/15/2020.. 3,000,000 3,192,690 Series A-1 5.00%, 12/15/2022 (a)............. 1,000,000 1,039,000 Series B-1 5.00%, 3/15/2036.................. 1,000,000 982,570 New York & New Jersey, Port Authority Revenue: 156th Series 4.75%, 11/1/2036.................. 7,000,000 6,670,230 144th Series 5.00%, 10/1/2028.................. 3,000,000 3,071,100 144th Series 5.00%, 12/1/2029.................. 1,500,000 1,530,345 ------------ 81,078,087 ------------ NORTH CAROLINA -- 3.1% Charlotte, NC, Water & Sewer System Revenue 5.00%, 7/1/2038............ 3,000,000 3,065,340 Mecklenburg County, NC, General Obligation Series A 4.00%, 8/1/2015... 3,135,000 3,429,690 North Carolina, Infrastructure Finance Corp. Certificate Participation Series A 5.00%, 2/1/2020 (a)........................ 1,275,000 1,373,927 North Carolina, State Capital Improvement Obligation Series A 4.50%, 5/1/2026... 4,500,000 4,517,505 North Carolina, State General Obligation Series B 5.00%, 4/1/2016... 2,000,000 2,296,100 University of North Carolina, Chapel Hill 5.00%, 12/1/2031........... 3,640,000 3,755,716 ------------ 18,438,278 ------------ OHIO -- 1.0% Columbus, OH, General Obligation: Series D 5.00%, 12/15/2009................. 1,000,000 1,020,050 Series A 5.00%, 9/1/2018... 1,500,000 1,690,050 Ohio, State General Obligation Series A 5.00%, 6/15/2010.. 2,170,000 2,259,512 Ohio, University of Akron, General Receipts Series A 5.00%, 1/1/2033 (a)........................ 1,000,000 1,005,490 ------------ 5,975,102 ------------ OREGON -- 1.1% Oregon, State Department of Transportation Revenue: Series A 5.00%, 11/15/2033................. 1,500,000 1,515,030 Series C 5.00%, 11/15/2015................. 1,500,000 1,695,600 Portland, OR, Sewer System Revenue Series A 5.00%, 6/1/2015 (a)............... 1,730,000 1,937,704
See accompanying notes to financial statements. 76 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Salem-Keizer, OR, School District No. 24J, General Obligation Series B Zero Coupon, 6/15/2021.................. $ 2,010,000 $ 1,152,815 ------------ 6,301,149 ------------ PENNSYLVANIA -- 2.0% Central Bucks, PA, School District 5.00%, 5/15/2023........... 2,500,000 2,704,200 Pennsylvania, Commonwealth Financing Authority Revenue Series A 5.00%, 6/1/2025 (a)........................ 1,925,000 2,008,179 Pennsylvania, State General Obligation: Series A 4.50%, 11/1/2021.. 1,390,000 1,463,851 Series A 5.00%, 11/1/2013.. 1,000,000 1,124,410 5.00%, 5/15/2015........... 1,000,000 1,130,770 5.38%, 7/1/2016 (a)........ 3,000,000 3,474,720 ------------ 11,906,130 ------------ RHODE ISLAND -- 0.5% Rhode Island, State & Providence Plantations, Consolidated Capital Development Series E 4.70%, 11/1/2025.. 3,000,000 3,057,300 ------------ SOUTH CAROLINA -- 0.6% Charleston County, SC, Sales Tax Revenue 5.00%, 11/1/2018........... 2,000,000 2,267,280 South Carolina, State Public Service Authority Series C 5.00%, 1/1/2016 (a)........................ 1,275,000 1,421,893 ------------ 3,689,173 ------------ TENNESSEE -- 0.8% Nashville & Davidson County, TN, Health & Educational Facilities Board Revenue: Series A 5.00%, 10/1/2013.. 2,000,000 2,227,820 Series B 5.00%, 10/1/2039.. 1,000,000 1,003,100 Shelby County, TN, General Obligation 5.00%, 4/1/2019............ 1,080,000 1,216,426 ------------ 4,447,346 ------------ TEXAS -- 11.8% Austin, TX, Electrical Utilities System Revenue 5.00%, 11/15/2035 (a)...... 5,100,000 4,925,835 Cypress-Fairbanks, TX, Independent School District 5.00%, 2/15/2023 (a)....... 5,000,000 5,293,600 Dallas, TX, Area Rapid Transit, Sales Tax Revenue Series A 5.00%, 12/1/2015.. 6,785,000 7,607,749 Dallas, TX, General Obligation: 4.75%, 2/15/2026........... 1,500,000 1,525,035 5.00%, 2/15/2024........... 2,055,000 2,121,931 5.00%, 2/15/2027........... 1,750,000 1,820,665 Denton, TX, Independant School District, General Obligation 5.00%, 8/15/2028 (a)....... 1,000,000 1,039,810 Harris County, TX, General Obligation Series A 5.25%, 10/1/2017.. 2,350,000 2,575,694 Harris County, TX, Road Revenue Series B 5.25%, 8/15/2047.. 3,000,000 2,894,580 Houston, TX, Public Improvement Series B 5.00%, 3/1/2023 (a)........................ 4,000,000 4,128,640 Houston, TX, Utility System Revenue: Series A 5.25%, 11/15/2017 (a)........................ 900,000 997,416 Series A 5.25%, 11/15/2031 (a)........................ 4,600,000 4,670,472 La Joya, TX, Independent School District 5.00%, 2/15/2034 (a)....... 2,800,000 2,835,028 Prosper, TX, Independent School District 5.00%, 2/15/2038 (a)....... 1,000,000 1,004,340 Texas, State General Obligation: Series B 4.25%, 8/1/2026... 5,000,000 4,916,400 4.75%, 4/1/2036............ 1,000,000 963,280 5.00%, 4/1/2029............ 3,000,000 3,080,970 Texas, State Transportation Commission: 5.00%, 4/1/2019............ 5,000,000 5,507,750 Series A 5.00%, 4/1/2020... 1,000,000 1,078,680 5.00%, 4/1/2026............ 2,555,000 2,666,066 University of Texas: Series B 5.00%, 8/15/2010.. 1,000,000 1,048,870 Series D 5.00%, 8/15/2018.. 1,675,000 1,856,838 Series F 4.75%, 8/15/2026.. 1,890,000 1,944,621 Williamson County, TX, General Obligation 5.25%, 2/15/2018 (a)....... 2,000,000 2,215,040 ------------ 68,719,310 ------------ UTAH -- 1.0% Utah, State General Obligation, (Pre-refunded) Series A 5.00%, 7/1/2015... 2,000,000 2,260,740 Utah, Transport Authority Sales Tax Revenue Series A 5.00%, 6/15/2036 (a)........................ 3,850,000 3,816,120 ------------ 6,076,860 ------------ VIRGINIA -- 2.8% Fairfax County, VA, General Obligation: Series A 4.00%, 4/1/2011... 1,675,000 1,763,926 Series A 4.00%, 4/1/2020... 1,000,000 1,025,120 Virginia, State Public Building Authority, Public Facilities Revenue Series B 5.25%, 8/1/2027... 2,000,000 2,150,720 Virginia, State Public School Authority Revenue 5.25%, 8/1/2014............ 4,300,000 4,903,634 Virginia, State Resources Authority Revenue Series B 5.00%, 11/1/2028.. 3,540,000 3,722,841 Virginia, Upper Occoquan Sewage Authority, Regional Sewage Revenue 5.00%, 7/1/2022 (a)........ 2,500,000 2,686,950 ------------ 16,253,191 ------------
See accompanying notes to financial statements. 77 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- WASHINGTON -- 3.8% Central Puget Sound, WA, Regional Transit Authority, Sales & Use Tax Revenue: Series A 5.00%, 11/1/2032 (a)........................ $ 3,000,000 $ 3,013,980 Series A 5.00%, 11/1/2036.. 2,000,000 2,007,960 Energy Northwest Washington Electric Revenue: Series A 5.00%, 7/1/2014... 1,000,000 1,104,660 Series A 5.50%, 7/1/2012 (a)........................ 1,200,000 1,324,824 King County, WA, School District, General Obligation Series A 4.00%, 6/1/2011... 1,250,000 1,315,400 Pierce County, WA, School District No. 3 5.00%, 12/1/2017 (a)....... 800,000 881,288 Seattle, WA, Municipal Light & Power Revenue 5.50%, 4/1/2022............ 1,435,000 1,582,719 Snohomish County, WA, School District No. 201 5.25%, 12/1/2024........... 3,225,000 3,485,677 Washington, State General Obligation: Series C 4.25%, 1/1/2013... 1,000,000 1,077,500 Series C 5.00%, 1/1/2021 (a)........................ 2,100,000 2,241,687 Series A 5.00%, 7/1/2023... 900,000 945,927 Series 2007A 5.00%, 7/1/2027 (a)............... 1,000,000 1,029,080 Series A 5.00%, 7/1/2032... 2,000,000 1,994,560 ------------ 22,005,262 ------------ WISCONSIN -- 0.4% Wisconsin, State General Obligation Series C 5.00%, 5/1/2014... 2,000,000 2,226,581 ------------ TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $563,747,552)........ 568,493,125 ------------ SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 1.0% MONEY MARKET FUND -- 1.0% State Street Institutional Tax Free Money Market Fund 0.22% (b)(c)(d) (Cost $5,708,553).......... 5,708,553 $ 5,708,553 ------------ TOTAL INVESTMENTS -- 98.3% (E) (Cost $569,456,105)........ 574,201,678 OTHER ASSETS AND LIABILITIES -- 1.7%........ 9,657,589 ------------ NET ASSETS -- 100.0%......... $583,859,267 ============
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS - ------------------ ---------- Financial Security Assurance, Inc... 21.45% National Public Finance Guarantee Corp.............................. 8.16% Ambac Financial Group............... 3.63% Permanent School Fund Guaranteed.... 1.74% Assured Guaranty Corp............... 0.80% Financial Guaranty Insurance Co..... 0.44%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) The rate shown is the annualized seven-day yield at period end. (d) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) Escrow to Maturity = Bonds bearing this description are collateralized usually by U.S. Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated. Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S. Treasury securities which are held in escrow and are used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date. See accompanying notes to financial statements. 78 SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 98.7% CALIFORNIA-- 98.7% Alameda County, CA, Joint Powers Authority, Lease Revenue 5.00%, 12/1/2034 (a)........ $1,000,000 $ 925,510 Azusa, CA, Public Financing Authority Revenue 5.00%, 7/1/2039 (a)......... 800,000 756,120 Bakersfield, CA, Wastewater Revenue Series A 5.00%, 9/15/2032 (a)......................... 500,000 461,855 California, Educational Facilities Authority Revenue Series A 4.75%, 10/1/2037... 1,740,000 1,601,479 California, Infrastructure & Economic Development Bank Revenue, Lien A, (Pre- refunded) 5.00%, 7/1/2036 (a)......... 175,000 194,812 California, State Department of Water Resources Series AE 5.00%, 12/1/2022.. 1,000,000 1,058,870 California, State Public Works Board, Lease Revenue: Series C 5.00%, 4/1/2030.... 850,000 780,155 Series D 5.00%, 5/1/2025.... 500,000 489,270 Series L 5.25%, 11/1/2028 (a)......................... 500,000 488,105 California, State University Revenue: Series A 5.00%, 11/1/2037 (a)......................... 220,000 201,450 Series C 5.00%, 11/1/2019 (a)......................... 750,000 768,720 Chabot-Las Positas Community College District, CA Series B Zero Coupon, 8/1/2024 (a)................ 1,400,000 578,438 Chaffey Community College District, CA, Election of 2002 Series C 5.00%, 6/1/2032 (a)......................... 1,000,000 982,550 Coast Community College District, CA Series B 5.00%, 8/1/2023 (a)......................... 800,000 826,416 Desert Community College District, CA Series C 5.00%, 8/1/2037 (a)......................... 300,000 282,747 Eastern Municipal Water District, CA, Water & Sewer Revenue: Series H 5.00%, 7/1/2033.... 250,000 237,282 Series H 5.00%, 7/1/2035.... 1,000,000 941,810 El Dorado, CA, Irrigation District, Certificate of Participation Series A 6.25%, 8/1/2029 (a)......................... 1,200,000 1,246,272 Foothill-De Anza, CA, Community College District Series B 5.00%, 8/1/2027 (a)......................... 1,000,000 995,250 Grossmont, CA, Union High School District Election of 2004 5.00%, 8/1/2033............. 500,000 484,340 Los Altos, CA, School District 5.00%, 8/1/2018 (a)......... 780,000 841,542 Los Angeles County, CA, Public Works Financing Authority Revenue 5.00%, 10/1/2015 (a)........ 1,000,000 1,114,140 Los Angeles, CA, Community College District Series A 5.00%, 8/1/2032 (a)......... 1,000,000 950,080 Los Angeles, CA, Metro Transportation Authority, Sales Tax Revenue Series A 5.00%, 7/1/2013 (a)......................... 705,000 782,212 Los Angeles, CA, Municipal Improvement Corp., Lease Revenue Series A 4.50%, 1/1/2037 (a)......................... 205,000 163,252 Los Angeles, CA, Unified School District: Series A-1 5.00%, 7/1/2017 (a)......................... 250,000 260,395 Series F 5.00%, 1/1/2034.... 1,000,000 933,160 Los Angeles, CA, Water & Power Revenue Series A-1 5.00%, 7/1/2023 (a)................ 900,000 929,907 Marin, CA, Community College District Election of 2004 Series B 4.75%, 8/1/2034.... 1,000,000 896,480 Metropolitan Water District of Southern California Series A 5.00%, 1/1/2031.... 1,000,000 1,003,740 North Orange County, CA, Community College District 5.00%, 8/1/2015 (a)......... 1,000,000 1,121,400 Pasadena, CA, Unified School District 5.00%, 11/1/2019 (a)......................... 235,000 253,852 Redding, CA, Electric System Revenue, Certificate of Participation Series A 5.00%, 6/1/2030 (a)......................... 555,000 536,807 Sacramento County, CA, Sanitation District Financing Authority Revenue Series A 5.25%, 12/1/2022 (a)......................... 535,000 576,714 Sacramento, CA, Municipal Utility District, Electric Revenue Series U 5.00%, 8/15/2023 (a)......................... 1,000,000 1,048,410 San Bernardino, CA, Community College District Series B Zero Coupon, 8/1/2028.................... 1,050,000 316,417 Series C 5.00%, 8/1/2031 (a)......................... 900,000 865,080 San Diego County, CA, Water Authority Revenue Series 2008-A 5.00%, 5/1/2015 (a)......... 200,000 221,994 San Diego, CA, Community College District 5.00%, 8/1/2032 (a)......... 1,000,000 975,890 San Diego, CA, Unified School District Election of 1998 Series D-2 4.75%, 7/1/2026 (a)......... 710,000 709,993 San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue Series F 5.00%, 4/1/2025.... 800,000 810,432 San Francisco, CA, Bay Area Rapid Transit District, Election of 2004 Series B 5.00%, 8/1/2022.... 500,000 532,405 San Francisco, CA, City & County Public Utilities Commission, Water Revenue: Series A 4.50%, 11/1/2031 (a)......................... 500,000 441,690 Series A 4.75%, 11/1/2036 (a)......................... 500,000 443,455 San Francisco, CA, City & County Unified School District Election of 2006 Series B 5.25%, 6/15/2022... 800,000 847,648 San Francisco, CA, Community College District Series B 5.25%, 6/15/2012 (a)......................... 800,000 884,056
See accompanying notes to financial statements. 79 SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- San Jose, CA, Unified School District Santa Clara County Election of 2002: Series C 5.00%, 8/1/2024 (a)......................... $ 300,000 $ 310,089 Series C 5.25%, 8/1/2019 (a)......................... 1,000,000 1,086,540 San Juan, CA, Public Power Agency Project Revenue Series L 5.00%, 7/1/2022 (a)......................... 100,000 100,719 San Mateo County, CA, Community College District Series B 5.00%, 9/1/2031.... 315,000 310,826 San Ramon Valley, CA, Unified School District Election of 2002 5.00%, 8/1/2025 (a)......... 750,000 764,730 Santa Clara County, CA, Financing Authority, Lease Revenue: Series L 5.00%, 5/15/2028... 500,000 480,490 Series L 5.25%, 5/15/2036... 1,000,000 946,300 Santa Clara Valley Transportation Authority, CA, Sales Tax Revenue Series A 5.00%, 4/1/2036 (a)......................... 500,000 482,805 Sequoia, CA, Unified High School District Election of 2008 Series A 5.00%, 7/1/2032.... 1,000,000 962,970 State of California 5.00%, 8/1/2023 (a)................ 325,000 313,839 University of California, Revenue: Series E 5.00%, 5/15/2014 (a)......................... 500,000 548,910 Series K 5.00%, 5/15/2020 (a)......................... 250,000 263,015 Series A 5.13%, 5/15/2018 (a)......................... 500,000 526,850 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $40,458,566).......... 39,860,685 ----------- SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 0.6% MONEY MARKET FUND -- 0.6% State Street Institutional Tax Free Money Market Fund 0.22% (b)(c)(d) (Cost $216,644)............. 216,644 $ 216,644 ----------- TOTAL INVESTMENTS -- 99.3% (E) (Cost $40,675,210).......... 40,077,329 OTHER ASSETS AND LIABILITIES -- 0.7%......... 298,779 ----------- NET ASSETS -- 100.0%.......... $40,376,108 ===========
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS - ------------------ ---------- Financial Security Assurance, Inc. ............................ 27.89% National Public Finance Guarantee Corp. ........................... 20.52% Ambac Financial Group.............. 13.46% Assured Guaranty Corp. ............ 3.09%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) The rate shown is the annualized seven-day yield at period end. (d) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S. Treasury securities which are held in escrow and are used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date. See accompanying notes to financial statements. 80 SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 97.5% NEW YORK -- 94.1% Battery Park City Authority, NY, Revenue Series A 5.25%, 11/1/2021... $ 100,000 $ 106,582 Erie County, NY, Industrial Development Agency Series A 5.75%, 5/1/2024 (a)......................... 500,000 532,305 Nassau County, NY, General Obligation: Series C 5.00%, 7/1/2015 (a)......................... 500,000 557,030 Series C 5.13%, 10/1/2035 (a)......................... 100,000 99,634 New York & New Jersey, Port Authority Revenue: 5.00%, 7/15/2022............ 100,000 106,731 5.00%, 12/1/2029............ 500,000 510,115 New York City, NY, Cultural Resource Revenue, Museum Modern of Art Series A-1 5.00%, 4/1/2031.. 300,000 304,413 New York, NY, City Transitional Finance Authority, Series A-1 5.00%, 11/1/2024................... 600,000 620,448 New York, NY, General Obligation Series G 5.00%, 8/1/2025.... 385,000 389,281 New York, NY, General Obligation, (Pre-refunded) Series J 5.50%, 6/1/2020.... 500,000 573,280 New York, NY, Municipal Finance Authority 5.00%, 6/15/2037............ 500,000 490,390 New York, NY, Municipal Water Finance Authority Series GG-2 5.00%, 6/15/2035................... 100,000 98,567 New York, Sales Tax Asset Receivables Corp. Series A 5.00%, 10/15/2020 (a)......................... 600,000 641,484 New York, State Dormitory Authority Revenue Series A 5.00%, 7/1/2038.... 650,000 636,356 New York, State Dormitory Authority Revenue, Columbia University 5.00%, 7/1/2038............. 250,000 255,628 New York, State Dormitory Authority Revenue, Cornell University Series A 5.00%, 7/1/2034.... 125,000 127,661 New York, State Dormitory Authority Revenue, Fordham University Series B 5.00%, 7/1/2033 (a)......................... 500,000 497,920 New York, State Dormitory Authority Revenue, New York University Series A 5.00%, 7/1/2029.... 240,000 243,643 New York, State Dormitory Authority Revenue, School Districts Series C 5.00%, 10/1/2031 (a)......................... 600,000 588,120 New York, State Dormitory Authority Revenues, Non State Supported Debt Series A 5.00%, 8/1/2014.... 210,000 234,106 New York, State Dormitory Authority, State Personal Income Tax Revenue: Series B 5.00%, 2/15/2018... 125,000 137,656 Series C 5.00%, 12/15/2020.. 500,000 529,585 New York, State Environmental Facscorp Series A 4.50%, 6/15/2036... 635,000 591,020 New York, State General Obligation 5.00%, 4/15/2015............ 1,000,000 1,120,480 New York, State Local Government Assistance Corp. Series A 5.00%, 4/1/2020.... 250,000 271,722 New York, State Local Government Assistance Corp. Series C 5.00%, 4/1/2018.... 500,000 557,200 New York, State Power Authority Series C 5.00%, 11/15/2020 (a)......................... 250,000 269,443 New York, State Thruway Authority Second General Highway & Bridge Trust Series B 5.00%, 4/1/2029.... 300,000 301,356 New York, State Thruway Authority, General Revenue: Series B 5.00%, 4/1/2027.... 300,000 304,428 Series H 5.00%, 1/1/2032 (a)......................... 500,000 477,895 New York, State Urban Development Corp., Revenue: Series A-1 5.00%, 12/15/2022 (a)......................... 520,000 540,280 Series A-1 5.00%, 12/15/2027.................. 250,000 255,520 New York, Triborough Bridge & Tunnel Authority, Revenue: 5.00%, 11/15/2027........... 145,000 149,182 5.00%, 11/15/2037........... 500,000 494,735 Westchester County, NY, General Obligation Series A 3.75%, 11/15/2012.. 500,000 539,435 ----------- 14,153,631 ----------- PUERTO RICO -- 3.4% Puerto Rico Electric Power Authority Revenue Series UU 5.00%, 7/1/2016 (a)......................... 500,000 516,655 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $14,772,409).......... 14,670,286 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 4.8% MONEY MARKET FUND -- 4.8% State Street Institutional Tax Free Money Market Fund 0.22% (b)(c)(d) (Cost $728,368)............. 728,368 $ 728,368 ----------- TOTAL INVESTMENTS -- 102.3% (E) (Cost $15,500,777).......... 15,398,654 OTHER ASSETS AND LIABILITIES -- (2.3)%....... (353,110) ----------- NET ASSETS -- 100.0%.......... $15,045,544 ===========
See accompanying notes to financial statements. 81 SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- (a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS - ------------------ ---------- Financial Security Assurance, Inc. ............................. 10.67% National Public Finance Guarantee Corp. ............................ 9.23% Assured Guaranty Corp. ............. 7.88% Ambac Financial Group............... 3.59%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) The rate shown is the annualized seven-day yield at period end. (d) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S. Treasury securities which are held in escrow and are used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date. See accompanying notes to financial statements. 82 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- ---------- ------------ MUNICIPAL BONDS AND NOTES -- 97.3% ALASKA -- 0.2% Alaska, State General Obligation Series A 5.25%, 8/1/2010 (a)......................... $1,000,000 $ 1,049,600 ------------ ARIZONA-- 2.7% Arizona, Salt River Project, Electrical Systems Revenue Series A 3.00%, 1/1/2014.... 1,070,000 1,102,678 Arizona, State Transportation Board, Excise Tax Revenue: 4.50%, 7/1/2009............. 755,000 755,000 5.00%, 7/1/2013............. 2,750,000 3,060,090 Maricopa County, AZ, Community College District Series B 4.00%, 7/1/2010.... 3,025,000 3,127,487 Phoenix, AZ, Civic Improvement Corp., Transit Excise Tax Revenue 5.00%, 7/1/2013 (a)......... 4,000,000 4,377,120 Phoenix, AZ, Civic Improvement Corp., Wastewater System Revenue Series B 5.00%, 7/1/2012 (a)......................... 1,000,000 1,092,320 ------------ 13,514,695 ------------ CALIFORNIA -- 4.8% California, State Department of Water Resources Revenue Series AF 5.00%, 12/1/2012.. 5,000,000 5,553,700 Long Beach, CA, Unified School District, General Obligation Series A 4.00%, 8/1/2012.... 3,500,000 3,757,145 Los Angeles, CA, Public Works Financing Authority Revenue: 5.00%, 10/1/2011 (a)........ 770,000 831,508 5.00%, 10/1/2012 (a)........ 1,000,000 1,099,470 Los Angeles, CA, Unified School District Series B 4.00%, 7/1/2009.... 1,000,000 1,000,000 San Bernardino County, CA, Transportation Authority, Sales Tax Revenue Series A 4.00%, 5/1/2012.... 4,000,000 4,152,280 San Francisco, CA, City & County Series 2008-R1 5.00%, 6/15/2013................... 3,000,000 3,305,910 University of California, Revenue: Series J 5.00%, 5/15/2013 (a)......................... 1,000,000 1,101,060 Series O 5.00%, 5/15/2013... 3,000,000 3,299,670 ------------ 24,100,743 ------------ COLORADO -- 0.8% Cherry Creek, CO, Arapahoe County School District, General Obligation Series B 6.00%, 12/15/2012.. 1,000,000 1,140,620 Denver, CO, City & County Excise Tax Revenue Series A 5.00%, 9/1/2013 (a)......................... 2,850,000 3,095,271 ------------ 4,235,891 ------------ CONNECTICUT -- 3.0% Connecticut, State General Obligation: 5.00%, 3/15/2013............ 4,670,000 5,208,404 Series C 5.00%, 4/1/2011 (a)......................... 1,000,000 1,067,230 Series D 5.00%, 11/15/2013 (a)......................... 5,000,000 5,665,450 Connecticut, State Special Obligation, Rate Reduction Series A 5.00%, 6/30/2010... 1,200,000 1,253,148 Connecticut, State Special Tax Obligation Series A 5.00%, 7/1/2012 (a)......................... 1,700,000 1,843,004 ------------ 15,037,236 ------------ DELAWARE -- 0.4% Delaware, State General Obligation: 4.00%, 8/1/2011............... 750,000 796,763 Series 2009A 5.00%, 1/1/2014.. 1,200,000 1,353,180 ------------ 2,149,943 ------------ DISTRICT OF COLUMBIA -- 0.4% District of Columbia, Income Tax Revenue Series B 4.00%, 12/1/2013... 2,000,000 2,149,380 ------------ FLORIDA -- 3.3% Florida, State Board of Education 5.00%, 6/1/2013............. 1,000,000 1,101,780 Florida, State Turnpike Authority, Turnpike Revenue: Series A 5.00%, 7/1/2009 (a)...................... 1,280,000 1,280,000 Series A 5.00%, 7/1/2012 (a)...................... 1,115,000 1,207,445 Florida, Water Pollution Control Revenue: Series A 3.00%, 1/15/2012... 2,000,000 2,068,000 Series A 3.00%, 1/15/2013... 3,535,000 3,627,970 Jacksonville, FL, Electric Authority, Park System Revenue Series 21 5.00%, 10/1/2011 (a)......................... 1,000,000 1,073,220 Orlando, FL, Utilities Commission System Revenue: 5.00%, 10/1/2013............ 1,975,000 2,188,991 5.25%, 7/1/2009............. 3,000,000 3,000,000 Polk County, FL, School District, Sales Tax Revenue 4.00%, 10/1/2009 (a)........ 1,215,000 1,223,323 ------------ 16,770,729 ------------ GEORGIA -- 5.0% De Kalb County, GA, School District, General Obligation 5.00%, 2/1/2011............. 3,000,000 3,187,830 Georgia, Emory University, Authority Revenue Series B 5.00%, 9/1/2011.... 3,925,000 4,244,456 Georgia, Metropolitan Atlanta Rapid Transit Authority, Sales Tax Revenue Series A 5.00%, 7/1/2013 (a)......................... 2,500,000 2,775,825 Georgia, State General Obligation: Series A 5.00%, 9/1/2013.... 2,050,000 2,319,206 Series B 5.00%, 7/1/2010.... 1,000,000 1,045,020 Series G 5.00%, 10/1/2010... 1,000,000 1,053,590 Series C 5.50%, 7/1/2010.... 2,590,000 2,719,344 Series C 5.50%, 7/1/2012.... 1,100,000 1,236,609 Georgia, State Road & Tollway Authority Revenue Series A 5.00%, 6/1/2012.... 3,000,000 3,275,610
See accompanying notes to financial statements. 83 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- ---------- ------------ Gwinnett County, GA, School District, General Obligation: 5.00%, 2/1/2011............. $1,000,000 $ 1,062,450 5.00%, 2/1/2013............. 1,785,000 1,993,399 ------------ 24,913,339 ------------ HAWAII -- 1.7% Hawaii, State General Obligation Series DG 5.00%, 7/1/2013 (a)......................... 4,000,000 4,451,040 Honolulu, HI, City & County, General Obligation: Series A 2.75%, 4/1/2014.... 1,750,000 1,770,948 Series B 5.25%, 7/1/2014 (a)......................... 2,125,000 2,398,402 ------------ 8,620,390 ------------ ILLINOIS -- 2.2% Chicago, IL, Board of Education, General Obligation Series D 4.00%, 12/1/2012 (a)......................... 1,610,000 1,708,838 Chicago, IL, General Obligation Series C 5.00%, 1/1/2012 (a)......................... 700,000 751,562 Chicago, IL, Water Revenue 5.00%, 11/1/2011 (a)........ 2,000,000 2,153,700 Illinois, State General Obligation: Series B 5.00%, 1/1/2011.... 950,000 1,002,288 Series B 5.00%, 3/1/2013.... 1,000,000 1,089,280 Illinois, State Toll Highway Authority Revenue Series A 5.00%, 1/1/2014 (a)......................... 4,000,000 4,402,240 ------------ 11,107,908 ------------ INDIANA -- 2.7% Indiana, State Finance Authority Revenue: Series A 5.00%, 2/1/2011.... 5,000,000 5,325,200 Series A 5.00%, 2/1/2013.... 2,715,000 3,024,999 Whiting, IN, Environmental Facilities Revenue 2.80%, 6/1/2044 (b)......... 5,000,000 5,011,350 ------------ 13,361,549 ------------ KANSAS -- 0.4% Kansas, State Department of Transportation, Highway Revenue Series A 5.00%, 9/1/2011.... 1,710,000 1,851,092 ------------ KENTUCKY -- 1.0% Kentucky Asset/Liability Commission, Agency Fund Revenue 5.00%, 9/1/2012 (a)......... 4,000,000 4,368,640 Kentucky, State Turnpike Authority, Economic Development Road Revenue 5.00%, 7/1/2011 (a)......... 750,000 805,613 ------------ 5,174,253 ------------ MARYLAND -- 4.3% Maryland, State Department of Transportation Revenue 4.00%, 2/15/2014............ 2,500,000 2,698,425 Maryland, State General Obligation: 5.00%, 3/1/2011............. 1,000,000 1,067,100 5.00%, 8/1/2012............. 1,075,000 1,196,432 5.00%, 8/1/2012............. 1,750,000 1,947,557 5.00%, 7/15/2013............ 1,000,000 1,129,440 Series A 5.25%, 2/15/2013... 6,210,000 6,999,229 Maryland, State Transportation Authority, Grant & Revenue Anticipation: 5.00%, 3/1/2012............. 1,000,000 1,092,040 5.00%, 3/1/2013............. 3,000,000 3,322,140 Montgomery County, MD, General Obligation: Series A 5.00%, 5/1/2011.... 1,000,000 1,073,060 Series A 5.00%, 5/1/2012.... 1,000,000 1,104,140 ------------ 21,629,563 ------------ MASSACHUSETTS -- 2.7% Boston, MA, General Obligation Series A 5.00%, 1/1/2014.... 1,935,000 2,171,399 Massachusetts Bay Transportation Authority, Sales Tax Revenue Series B 5.00%, 7/1/2013.... 1,000,000 1,109,520 Massachusetts, State School Building Authority, Sales Tax Revenue: Series A 3.50%, 8/15/2012 (a)......................... 850,000 897,184 Series A 5.00%, 8/15/2010... 1,800,000 1,888,992 Series A 5.00%, 8/15/2013 (a)......................... 3,050,000 3,396,327 Series A 5.00%, 8/15/2014 (a)......................... 1,000,000 1,116,620 Massachusetts, State General Obligation: Series C 5.00%, 9/1/2013 (Pre-refunded).............. 1,000,000 1,116,410 Series C 5.00%, 9/1/2010.... 1,000,000 1,049,990 Series A 5.25%, 1/1/2017.... 1,000,000 1,057,800 ------------ 13,804,242 ------------ MICHIGAN -- 0.9% Michigan, Municipal Bond Authority Revenue: 5.00%, 10/1/2011............ 1,630,000 1,757,580 5.00%, 10/1/2012............ 500,000 551,230 Michigan, State Building Authority Revenue Series I 5.00%, 10/15/2010 (a)......................... 2,155,000 2,223,766 ------------ 4,532,576 ------------ MINNESOTA -- 2.8% Minnesota, Public Facilities Authority, Water Pollution Control Revenue Series D 5.00%, 3/1/2014.... 2,000,000 2,251,980 Minnesota, State General Obligation: 5.00%, 8/1/2010............. 1,000,000 1,047,490 5.00%, 10/1/2012............ 1,045,000 1,166,419 Series A 5.00%, 6/1/2011.... 4,825,000 5,192,568 Series A 5.00%, 6/1/2012.... 4,000,000 4,425,040 ------------ 14,083,497 ------------
See accompanying notes to financial statements. 84 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- ---------- ------------ MISSOURI -- 1.3% Missouri, State Highways & Transportation Commission, State Road Revenue: Series A 5.00%, 5/1/2010.... $ 750,000 $ 777,562 Series A 5.00%, 5/1/2013.... 1,335,000 1,490,915 Missouri, State Certificate Participation Series A 5.00%, 6/1/2013 (a)......................... 3,960,000 4,176,058 ------------ 6,444,535 ------------ NEBRASKA -- 0.5% Nebraska, Public Power District Revenue Series B 5.00%, 1/1/2012 (a)......................... 1,250,000 1,337,050 Omaha, NE, General Obligation 3.75%, 6/1/2013............. 1,000,000 1,071,990 ------------ 2,409,040 ------------ NEVADA -- 2.3% Clark County, NV, Highway Improvement Revenue 5.00%, 7/1/2012 (a)......... 4,300,000 4,633,207 Clark County, NV, School District, General Obligation Series B 4.00%, 6/15/2011... 5,000,000 5,207,000 Las Vegas Valley, NV, Water District Series B 5.00%, 6/1/2011.... 1,500,000 1,594,890 ------------ 11,435,097 ------------ NEW JERSEY -- 3.3% Essex County, NJ Series A 5.00%, 6/1/2010 (a)......................... 2,225,000 2,312,999 New Jersey, Economic Development Authority, Revenue 5.00%, 9/1/2011 (a)......... 3,000,000 3,191,250 New Jersey, State Office of Public Finance 5.00%, 8/1/2014............. 8,000,000 8,970,880 Union County, NJ, General Obligation 4.00%, 3/1/2013.. 2,000,000 2,156,320 ------------ 16,631,449 ------------ NEW MEXICO -- 1.2% Albuquerque, NM, General Obligation Series A 4.00%, 7/1/2009 (a)......................... 2,000,000 2,000,000 New Mexico State General Obligation: 5.00%, 3/1/2012............. 3,500,000 3,836,560 ------------ 5,836,560 ------------ NEW YORK -- 12.5% New York, NY, City Cultural Resource Revenue, Museum of Modern Art Series 1A 5.00%, 10/1/2010.. 1,000,000 1,042,680 New York, NY, City Municipal Water Finance Authority, Water & Sewer System Revenue Series BB 5.00%, 6/15/2013.. 1,040,000 1,148,524 New York, NY, City Transitional Finance Authority: Series A-1 5.00%, 11/1/2009................... 2,000,000 2,029,660 Series A-1 5.00%, 11/1/2013................... 2,900,000 3,230,223 Series S-2 5.00%, 1/15/2014 (a)......................... 2,005,000 2,155,896 New York, NY, General Obligation: Series C 4.00%, 4/15/2012... 1,000,000 1,064,310 Series I-1 4.00%, 2/1/2013.. 1,040,000 1,086,415 Series J-1 5.00%, 8/1/2012.. 5,000,000 5,404,000 Series K 5.00%, 8/1/2013.... 5,000,000 5,432,250 Series B 5.25%, 8/1/2011.... 1,000,000 1,066,810 New York, State Dormitory Authority, Personal Income Tax Revenue Series C 5.00%, 3/15/2012... 1,500,000 1,630,080 New York, State Environmental Facilities Revenue: Series A 3.50%, 12/15/2013.. 2,500,000 2,633,525 Series A 5.00%, 12/15/2013.. 2,000,000 2,233,020 New York, State Local Government Assistance Corp. Series C 5.00%, 4/1/2013.... 2,220,000 2,451,790 New York, State Thruway Authority, Highway & Bridge Revenue Series B 5.00%, 4/1/2012 (a)......................... 1,140,000 1,240,445 New York, State Thruway Authority, Personal Income Tax Revenue: Series A 3.50%, 3/15/2014... 2,330,000 2,424,085 Series A 4.00%, 3/15/2013... 5,000,000 5,330,150 New York, State Thruway Authority, General Revenue: Series H 4.00%, 1/1/2012 (a)......................... 1,000,000 1,051,750 (Escrow to Maturity) Series A 5.25%, 4/1/2010 (a)......................... 2,000,000 2,071,520 Series F 5.25%, 1/1/2012 (a)......................... 1,000,000 1,081,990 New York, State Urban Development Corp. Revenue: 4.00%, 3/15/2011............ 550,000 572,688 Series A-1 3.00%, 12/15/2011.................. 4,625,000 4,790,668 Series A-1 5.00%, 12/15/2012.................. 6,580,000 7,281,889 New York, Triborough Bridge & Tunnel Authority Revenue: Series C 4.00%, 11/15/2011.. 2,500,000 2,641,275 Series C 5.00%, 11/15/2012.. 1,500,000 1,656,225 ------------ 62,751,868 ------------ NORTH CAROLINA -- 5.4% Charlotte, NC, Certificate Participation 5.00%, 6/1/2014.................... 5,455,000 6,072,451 Mecklenburg County, NC Series C 5.00%, 2/1/2012.... 1,000,000 1,096,930 North Carolina, Infrastructure Finance Corp., Certificate Participation: Series A 5.00%, 2/1/2011 (a)......................... 5,000,000 5,304,950 Series A 5.00%, 2/1/2014.... 1,885,000 2,066,771 North Carolina, State Capital Improvement Obligation Series A 4.50%, 5/1/2014.... 1,745,000 1,921,646 North Carolina, State General Obligation: Series A 5.00%, 3/1/2011.... 1,000,000 1,067,100 Series B 5.00%, 4/1/2014.... 1,000,000 1,132,470 Series A 5.50%, 3/1/2012.... 5,000,000 5,563,800
See accompanying notes to financial statements. 85 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- ---------- ------------ Wake County, NC, General Obligation: 5.00%, 3/1/2012............. $1,000,000 $ 1,098,360 5.00%, 3/1/2013............. 1,500,000 1,676,820 ------------ 27,001,298 ------------ OHIO -- 3.3% Columbus, OH, General Obligation Series D 5.00%, 12/15/2009.. 2,000,000 2,040,100 Ohio, State Building Authority Series B 5.00%, 10/1/2013 (a)......................... 1,440,000 1,596,024 Ohio, State General Obligation: Series A 5.00%, 6/15/2010... 1,000,000 1,041,250 Series K 5.00%, 5/1/2011.... 2,000,000 2,134,100 Ohio, State Major New Infrastructure Project Revenue Series 2008-1 5.00%, 6/15/2013................... 3,000,000 3,329,820 Ohio, State Water Development Authority Revenue: Series A 4.00%, 12/1/2010... 1,500,000 1,567,890 5.00%, 6/1/2012............. 950,000 1,045,798 5.00%, 6/1/2013............. 2,670,000 2,982,016 Ohio, State Water Development Authority, Water Quality - Loan Fund 5.00%, 12/1/2011............ 1,000,000 1,087,980 ------------ 16,824,978 ------------ OREGON -- 1.5% Oregon, State Department of Administrative Services Revenue Series A 3.00%, 4/1/2011.... 1,000,000 1,026,810 Portland, OR, Sewer System Revenue Series A 5.00%, 6/15/2012 (a)......................... 3,000,000 3,297,390 Salem-Keizer, OR, School District No. 24J, General Obligation 5.00%, 6/15/2013 (a)........ 3,000,000 3,356,400 ------------ 7,680,600 ------------ PENNSYLVANIA -- 2.9% Pennsylvania, Intergovernmental Cooperative Authority, Special Tax Revenue 5.00%, 6/15/2014............ 2,000,000 2,203,660 Pennsylvania State General Obligation: 5.00%, 3/1/2011............. 1,300,000 1,383,018 5.00%, 10/1/2012............ 5,000,000 5,543,950 5.00%, 5/15/2013............ 3,000,000 3,343,170 5.25%, 2/1/2010 (a)......... 1,000,000 1,027,730 University of Pittsburgh Revenue Series A 5.00%, 9/15/2011... 1,000,000 1,076,060 ------------ 14,577,588 ------------ RHODE ISLAND -- 0.2% Rhode Island, State Economic Development Corp., Revenue Series A 5.00%, 6/15/2013 (a)......................... 915,000 976,223 ------------ SOUTH CAROLINA -- 1.3% South Carolina State Public Service Authority, Revenue: Series D 5.00%, 1/1/2010 (a)......................... 1,050,000 1,072,491 Series B 5.00%, 1/1/2011 (a)......................... 2,515,000 2,645,780 Series B 5.00%, 1/1/2014 (a)......................... 2,500,000 2,752,500 ------------ 6,470,771 ------------ TENNESSEE -- 2.4% Nashville & Davidson County, Tennessee, General Obligation: Series B 5.00%, 1/1/2012.... 3,210,000 3,497,135 Series C 5.00%, 2/1/2013.... 1,000,000 1,110,500 Tennessee State School Bond Authority: 3.00%, 5/1/2012............. 4,875,000 5,085,697 5.00%, 5/1/2013 (a)......... 1,900,000 2,116,695 ------------ 11,810,027 ------------ TEXAS -- 7.7% Arlington, TX, Independent School District, General Obligation 5.00%, 2/15/2012 (a)........ 880,000 960,617 Austin, TX, Electric Utility System Revenue Series A 5.00%, 11/15/2010 (a)......................... 1,000,000 1,046,310 Austin, TX, General Obligation 5.00%, 9/1/2009............. 1,000,000 1,006,830 Dallas, TX, General Obligation: 5.00%, 2/15/2010............ 1,500,000 1,541,415 5.00%, 2/15/2011............ 710,000 752,486 El Paso, TX, Independent School District, General Obligation Zero Coupon, 8/15/2013 (a).. 1,980,000 1,807,582 Fort Worth, TX, Independent School District, General Obligation: 5.00%, 2/15/2011 (a)........ 4,000,000 4,251,960 5.00%, 2/15/2012............ 5,000,000 5,431,200 5.00%, 2/15/2013............ 2,000,000 2,203,420 San Antonio, TX, Independent School District 5.25%, 8/15/2012 (a)........ 1,890,000 2,103,211 Texas, A&M University Revenue 5.00%, 5/15/2012............ 3,000,000 3,294,420 Texas, North East Independent School District Series A Zero Coupon, 8/1/2009 (a)................ 1,300,000 1,299,077 Texas, State Public Finance Authority, General Obligation Series A 5.00%, 10/1/2011... 1,000,000 1,082,880 Texas, State University System Financing Revenue: 5.00%, 3/15/2012............ 1,000,000 1,087,540 5.00%, 3/15/2013 (a)........ 500,000 552,545 University of Texas, Permanent University Fund Series A 5.00%, 7/1/2012.... 1,265,000 1,393,043
See accompanying notes to financial statements. 86 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- ---------- ------------ University of Texas, Revenue: Series A 3.25%, 8/15/2013... $2,650,000 $ 2,785,335 Series D 5.00%, 8/15/2010... 2,000,000 2,097,740 Series A 5.00%, 8/15/2012... 3,400,000 3,764,412 ------------ 38,462,023 ------------ UTAH -- 0.8% Salt Lake City, UT, General Obligation 5.00%, 6/15/2013............ 1,500,000 1,686,105 Utah, State General Obligation Series A 5.00%, 7/1/2011.... 1,975,000 2,131,183 ------------ 3,817,288 ------------ VIRGINIA -- 5.3% Fairfax County, VA, General Obligation Series A 4.00%, 4/1/2011.... 750,000 789,818 Loudoun County, VA, General Obligation: Series B 5.00%, 6/1/2010.... 1,100,000 1,145,342 Series B 5.00%, 6/1/2012.... 1,000,000 1,106,870 Virginia, State College Building Authority Revenue 5.00%, 9/1/2011............. 3,500,000 3,780,980 Virginia, State General Obligation Series A 5.00%, 6/1/2012.... 1,000,000 1,107,470 Virginia, State Public Building Authority, Building Revenue: Series A 5.00%, 8/1/2010.... 1,000,000 1,047,050 Series A 5.00%, 8/1/2012.... 3,365,000 3,726,603 Series B 5.00%, 8/1/2013.... 5,000,000 5,614,600 Virginia, State Public School Authority: Series B 5.00%, 8/1/2010.... 4,445,000 4,653,648 Series B 5.00%, 8/1/2012.... 1,000,000 1,107,460 Series B 5.25%, 8/1/2011.... 1,000,000 1,082,740 Virginia, State Resources Authority Clean Water Revenue 4.50%, 10/1/2011............ 1,200,000 1,289,028 ------------ 26,451,609 ------------ WASHINGTON -- 4.7% Energy Northwest Washington, Electricity Revenue: Series A 5.00%, 7/1/2011.... 1,000,000 1,089,580 Series D 5.00%, 7/1/2012.... 3,000,000 3,268,740 Port of Seattle, WA, Revenue Series A 5.00%, 3/1/2010 (a)......................... 1,000,000 1,028,280 Seattle, WA, General Obligation 5.00%, 5/1/2013............. 6,540,000 7,285,887 Seattle, WA, Municipal Light & Power Revenue 5.00%, 4/1/2013............. 3,000,000 3,298,470 Washington, State General Obligation: Series D 4.50%, 1/1/2012 (a)......................... 2,450,000 2,634,313 Series C 5.00%, 7/1/2011.... 3,000,000 3,224,910 Series D 5.00%, 1/1/2011 (a)......................... 1,500,000 1,585,305 ------------ 23,415,485 ------------ WISCONSIN -- 1.4% Wisconsin, State General Obligation: Series C 4.00%, 5/1/2013.... 5,000,000 5,352,500 Series 1 5.00%, 5/1/2013 (a)......................... 1,500,000 1,660,560 ------------ 7,013,060 ------------ TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $481,094,719)......... 488,096,125 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 1.2% MONEY MARKET FUND -- 1.2% State Street Institutional Tax Free Money Market Fund 0.22% (c)(d)(e) (Cost $6,006,808)........... 6,006,808 $ 6,006,808 ------------ TOTAL INVESTMENTS -- 98.5% (F) (Cost $487,101,527)......... 494,102,933 ------------ OTHER ASSETS AND LIABILITIES -- 1.5%......... 7,684,761 ------------ NET ASSETS -- 100.0%.......... $501,787,694 ------------
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS - ------------------ ---------- Financial Security Assurance, Inc. ............................. 12.02% National Public Finance Guarantee Corp. ............................ 6.38% Ambac Financial Group............... 4.59% Public School Fund Guarantee........ 2.08%
(b) Variable Rate Security. Rate shown is as of June 30, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) The rate shown is the annualized seven-day yield at period end. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) Escrow to Maturity = Bonds bearing this description are collateralized usually by U.S. Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated. Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S. Treasury securities which are held in escrow and are used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date. See accompanying notes to financial statements. 87 SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 98.3% AUSTRALIA -- 3.0% Commonwealth of Australia 4.00%, 8/20/2015.......... 11,616,982 $ 9,829,470 4.00%, 8/20/2020 (a)...... 2,241,158 1,975,486 ------------ 11,804,956 ------------ BRAZIL -- 4.7% Federal Republic of Brazil 6.00%, 8/15/2012.......... 5,747,418 2,884,871 6.00%, 5/15/2015.......... 2,934,227 1,444,804 6.00%, 5/15/2017.......... 21,586,949 10,565,142 6.00%, 8/15/2024.......... 4,199,871 2,042,462 6.00%, 5/15/2035.......... 3,654,947 1,752,885 ------------ 18,690,164 ------------ CANADA -- 5.3% Government of Canada 2.00%, 12/1/2041.......... 512,070 453,361 3.00%, 12/1/2036.......... 4,541,031 4,832,062 4.00%, 12/1/2031.......... 7,017,730 8,316,494 4.25%, 12/1/2021.......... 1,713,825 1,895,279 4.25%, 12/1/2026.......... 4,587,206 5,270,182 ------------ 20,767,378 ------------ CHILE -- 3.4% Republic of Chile 3.00%, 5/1/2017........... 1,130,383,080 2,141,346 3.00%, 1/1/2018........... 4,772,728,560 9,041,480 5.00%, 1/1/2016........... 962,918,920 2,038,031 ------------ 13,220,857 ------------ FRANCE -- 18.7% Republic of France 1.00%, 7/25/2017.......... 12,640,202 17,132,292 1.25%, 7/25/2010.......... 2,486,300 3,544,603 1.60%, 7/25/2011.......... 4,191,838 6,047,255 1.60%, 7/25/2015.......... 10,730,641 15,349,354 1.80%, 7/25/2040.......... 1,371,747 1,816,141 2.25%, 7/25/2020.......... 9,365,486 13,680,355 2.50%, 7/25/2013.......... 1,900,328 2,846,483 3.00%, 7/25/2012.......... 4,077,848 6,159,647 3.15%, 7/25/2032.......... 3,632,686 6,142,490 3.40%, 7/25/2029.......... 592,315 1,034,525 ------------ 73,753,145 ------------ GERMANY -- 4.7% Federal Republic of Germany 1.50%, 4/15/2016.......... 8,170,459 11,580,631 2.25%, 4/15/2013.......... 4,699,145 6,911,593 ------------ 18,492,224 ------------ GREECE -- 4.0% Republic of Greece 2.30%, 7/25/2030.......... 6,199,286 7,185,904 2.90%, 7/25/2025.......... 6,481,702 8,503,338 ------------ 15,689,242 ------------ ISRAEL -- 4.8% State of Israel 4.00%, 7/30/2021.......... 26,462,558 7,421,646 5.00%, 4/30/2015.......... 38,072,429 11,526,840 ------------ 18,948,486 ------------ ITALY -- 4.7% Republic of Italy 0.95%, 9/15/2010.......... 2,153,276 3,048,684 2.15%, 9/15/2014.......... 5,447,957 7,802,052 2.35%, 9/15/2035.......... 1,508,945 1,944,873 2.60%, 9/15/2023.......... 4,081,398 5,599,975 ------------ 18,395,584 ------------ JAPAN -- 4.8% Government of Japan 10 Year Bond 1.00%, 6/10/2016.......... 277,750,000 2,521,729 1.10%, 12/10/2016......... 1,801,989,800 16,444,546 ------------ 18,966,275 ------------ MEXICO -- 4.6% United Mexican States 3.50%, 12/19/2013......... 39,918,916 3,088,280 4.50%, 11/22/2035......... 47,997,896 3,531,314 5.00%, 6/16/2016.......... 138,335,469 11,317,847 ------------ 17,937,441 ------------ POLAND -- 2.6% Republic of Poland 3.00%, 8/24/2016.......... 35,133,333 10,264,997 ------------ SOUTH AFRICA -- 3.7% Republic of South Africa 3.45%, 12/7/2033.......... 33,833,349 5,182,903 6.25%, 3/31/2013.......... 62,649,314 9,290,229 ------------ 14,473,132 ------------ SOUTH KOREA -- 2.2% Republic of South Korea 2.75%, 3/10/2017.......... 11,320,039,910 8,835,170 ------------ SWEDEN -- 4.6% Kingdom of Sweden 3.50%, 12/1/2015.......... 25,205,699 3,668,181 3.50%, 12/1/2028.......... 2,920,030 476,010 4.00%, 12/1/2020.......... 89,248,750 14,141,857 ------------ 18,286,048 ------------ TURKEY -- 3.2% Republic of Turkey 10.00%, 2/15/2012......... 19,025,821 12,768,924 ------------ UNITED KINGDOM -- 19.3% United Kingdom Treasury Bond 0.75%, 11/22/2047......... 895,787 1,527,425 1.13%, 11/22/2037......... 1,830,045 3,325,699 1.25%, 11/22/2017......... 4,233,690 7,188,391 1.25%, 11/22/2027......... 12,445,791 21,332,269 1.25%, 11/22/2055......... 1,474,509 3,050,181 1.88%, 11/22/2022......... 8,664,077 15,718,975 2.00%, 1/26/2035.......... 248,848 514,608 2.50%, 8/23/2011.......... 257,022 434,097 2.50%, 8/16/2013.......... 6,036,043 10,262,686 2.50%, 7/26/2016.......... 3,625,479 6,322,277
See accompanying notes to financial statements. 88 SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 2.50%, 4/16/2020.......... 509,608 $ 958,499 4.13%, 7/22/2030.......... 2,228,750 5,682,797 ------------ 76,317,904 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $394,336,158)....... 387,611,927 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 0.1% MONEY MARKET FUNDS -- 0.1% State Street Institutional Liquid Reserves Fund 0.42% (b)(c).................... 23,869 23,869 State Street Navigator Securities Lending Prime Portfolio (c)(d).......... 563,360 563,360 ------------ TOTAL SHORT TERM INVESTMENTS -- (E) (Cost $587,229)........... 587,229 ------------ TOTAL INVESTMENTS -- 98.4% (F) (Cost $394,923,387)....... 388,199,156 OTHER ASSETS AND LIABILITIES -- 1.6%....... 6,282,945 ------------ NET ASSETS -- 100.0%........ $394,482,101 ============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Investments of cash collateral for securities loaned. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. 89 SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 95.4% AUSTRALIA -- 2.5% Commonwealth of Australia 5.25%, 8/15/2010......... 6,825,000 $ 5,625,707 6.00%, 2/15/2017......... 17,745,000 14,863,545 6.50%, 5/15/2013 (a)..... 8,130,000 6,933,342 -------------- 27,422,594 -------------- AUSTRIA -- 3.5% Republic of Austria 3.80%, 10/20/2013 (b).... 10,695,000 15,557,896 4.65%, 1/15/2018......... 9,785,000 14,388,810 6.25%, 7/15/2027......... 5,040,000 8,386,380 -------------- 38,333,086 -------------- BELGIUM -- 4.4% Kingdom of Belgium 5.00%, 9/28/2012......... 13,975,000 21,274,290 5.00%, 3/28/2035......... 4,875,000 7,232,264 5.50%, 9/28/2017......... 12,470,000 19,638,077 -------------- 48,144,631 -------------- CANADA -- 4.1% Government of Canada 2.75%, 12/1/2010......... 5,845,000 5,171,744 4.00%, 6/1/2016.......... 16,745,000 15,403,641 5.25%, 6/1/2012.......... 11,290,000 10,653,926 5.75%, 6/1/2029.......... 12,395,000 13,262,922 -------------- 44,492,233 -------------- DENMARK -- 2.7% Kingdom of Denmark 4.00%, 11/15/2010........ 12,780,000 2,477,539 4.00%, 11/15/2017........ 16,800,000 3,247,496 4.50%, 11/15/2039........ 32,595,000 6,375,806 5.00%, 11/15/2013........ 84,980,000 17,381,989 -------------- 29,482,830 -------------- FRANCE -- 4.5% Republic of France 4.00%, 4/25/2013......... 3,390,000 5,033,770 5.50%, 10/25/2010........ 21,165,000 31,374,808 5.75%, 10/25/2032........ 7,215,000 12,109,739 -------------- 48,518,317 -------------- GERMANY -- 11.0% Federal Republic of Germany 4.00%, 1/4/2037.......... 6,705,000 9,046,450 4.25%, 7/4/2017.......... 30,140,000 45,351,455 4.50%, 1/4/2013.......... 8,145,000 12,321,418 5.25%, 1/4/2011.......... 25,490,000 37,960,627 5.63%, 1/4/2028.......... 9,205,000 15,055,335 -------------- 119,735,285 -------------- GREECE -- 4.6% Republic of Greece 3.70%, 7/20/2015......... 31,260,000 43,499,586 4.30%, 7/20/2017......... 4,550,000 6,305,092 4.50%, 9/20/2037......... 300,000 351,103 -------------- 50,155,781 -------------- ITALY -- 11.4% Republic of Italy 3.75%, 2/1/2011.......... 22,375,000 32,451,684 4.00%, 2/1/2037.......... 15,105,000 17,628,037 4.75%, 2/1/2013.......... 8,715,000 13,039,691 5.25%, 8/1/2017.......... 26,160,000 40,114,622 5.50%, 11/1/2010......... 500,000 740,466 6.50%, 11/1/2027......... 12,740,000 20,603,662 -------------- 124,578,162 -------------- JAPAN -- 22.9% Government of Japan 5 Year Bond 0.60%, 9/20/2010.... 2,228,400,000 23,202,059 1.00%, 9/20/2010......... 273,800,000 2,864,535 1.50%, 3/20/2011......... 2,919,000,000 30,891,361 Government of Japan 10 Year Bond 1.30%, 6/20/2012.... 3,982,400,000 42,320,218 1.50%, 9/20/2014......... 4,360,800,000 46,903,650 1.70%, 12/20/2016........ 1,894,200,000 20,592,625 Government of Japan 20 Year Bond 1.90%, 3/20/2029.... 260,400,000 2,629,720 2.30%, 6/20/2027......... 2,382,400,000 25,906,863 2.60%, 3/20/2019......... 1,573,000,000 18,222,916 2.90%, 9/20/2019......... 2,181,400,000 25,503,965 Government of Japan 30 Year Bond 2.40%, 3/20/2037.... 921,300,000 9,982,486 -------------- 249,020,398 -------------- MEXICO -- 2.6% United Mexican States 7.25%, 12/15/2016........ 89,900,000 6,558,070 9.00%, 12/20/2012........ 170,100,000 13,886,974 10.00%, 12/5/2024........ 94,610,000 8,146,938 -------------- 28,591,982 -------------- NETHERLANDS -- 4.2% Kingdom of the Netherlands 3.75%, 7/15/2014......... 16,920,000 24,731,286 4.00%, 7/15/2018......... 485,000 695,728 4.50%, 7/15/2017......... 8,040,000 12,006,839 5.00%, 7/15/2011......... 3,280,000 4,919,844 5.50%, 1/15/2028......... 2,225,000 3,570,556 -------------- 45,924,253 -------------- POLAND -- 2.7% Republic of Poland 4.25%, 5/24/2011......... 38,070,000 11,762,273 4.75%, 4/25/2012......... 7,745,000 2,393,095 5.25%, 10/25/2017........ 9,700,000 2,872,642 5.75%, 9/23/2022......... 5,660,000 1,684,123 6.25%, 10/24/2015........ 32,260,000 10,256,745 -------------- 28,968,878 -------------- SOUTH AFRICA -- 2.4% Republic of South Africa 7.25%, 1/15/2020......... 12,545,000 1,429,987 10.50%, 12/21/2026 (a)... 53,150,000 7,820,294 13.50%, 9/15/2015 (a).... 103,965,000 16,661,460 -------------- 25,911,741 --------------
See accompanying notes to financial statements. 90 SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- SPAIN -- 4.6% Kingdom of Spain 3.15%, 1/31/2016......... 13,850,000 $ 19,096,649 3.25%, 7/30/2010......... 11,995,000 17,220,175 4.20%, 1/31/2037......... 4,845,000 6,166,954 6.15%, 1/31/2013......... 5,075,000 8,002,562 -------------- 50,486,340 -------------- SWEDEN -- 2.5% Kingdom of Sweden 3.75%, 8/12/2017......... 128,495,000 17,083,300 5.50%, 10/8/2012......... 70,725,000 10,102,697 -------------- 27,185,997 -------------- TAIWAN -- 0.2% Government of Taiwan 2.38%, 9/21/2017......... 50,000,000 1,631,815 -------------- UNITED KINGDOM -- 4.6% United Kingdom Treasury Bond 4.25%, 3/7/2011.......... 4,820,000 8,320,576 4.75%, 9/7/2015.......... 6,205,000 11,248,440 4.75%, 12/7/2038......... 7,227,000 12,576,018 5.00%, 3/7/2012.......... 1,620,000 2,856,598 5.00%, 3/7/2025.......... 8,555,000 15,338,052 -------------- 50,339,684 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $1,022,126,287).... 1,038,924,007 -------------- SECURITY DESCRIPTION SHARES - -------------------- ------ SHORT TERM INVESTMENTS -- 3.9% MONEY MARKET FUNDS -- 3.9% State Street Institutional Liquid Reserves Fund 0.42%, (c)(d)............ 29,529,317 $ 29,529,317 State Street Navigator Securities Lending Prime Portfolio (d)(e)......... 13,535,645 13,535,645 -------------- TOTAL SHORT TERM INVESTMENTS -- (F) (Cost $43,064,962)....... 43,064,962 -------------- TOTAL INVESTMENTS -- 99.3% (G) (Cost $1,065,191,249).... 1,081,988,969 OTHER ASSETS AND LIABILITIES -- 0.7%...... 7,241,798 -------------- NET ASSETS -- 100.0%....... $1,089,230,767 ==============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 1.4% of net assets as of June 30, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (c) The rate shown is the annualized seven-day yield at period end. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Investments of cash collateral for securities loaned. (f) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) At June 30, 2009, Open Forward Foreign Currency Exchange Contracts were as follows: Forward Foreign Currency Contracts to Buy:
SETTLE- NET UNREALIZED MENT CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ DATE DELIVER JUNE 30, 2009 FOR U.S.$ (DEPRECIATION) ------- ------------ ------------- ----------- -------------- 9/4/2009 1,200,000 GBP $ 1,976,030 $ 1,987,200 $ (11,170) 9/4/2009 1,000,000 PLN 312,789 317,811 (5,022) 9/4/2009 960,000,000 TWD 29,595,831 29,927,231 (331,400) --------- $(347,592) ---------
Forward Foreign Currency Contracts to Sell:
SETTLE- VALUE AT NET UNREALIZED MENT CONTRACTS TO JUNE 30, IN EXCHANGE APPRECIATION/ DATE DELIVER 2009 FOR U.S.$ (DEPRECIATION) ------- ------------ ----------- ----------- -------------- 9/4/2009 800,000 GBP $ 1,317,353 $ 1,291,560 $ (25,793) --------- $(373,385) =========
GBP-Great British Pound PLN-Polish Zloty TWD-Taiwan New Dollar U.S.$ -United States Dollar See accompanying notes to financial statements. 91 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 96.7% AEROSPACE & DEFENSE -- 0.6% BE Aerospace, Inc. 8.50%, 7/1/2018........... $11,500,000 $ 10,838,750 -------------- AUTO COMPONENTS -- 1.3% Goodyear Tire & Rubber Co. 10.50%, 5/15/2016......... 17,950,000 18,129,500 TRW Automotive, Inc.: 7.00%, 3/15/2014 (a)...... 3,000,000 2,160,000 7.25%, 3/15/2017 (a)...... 6,750,000 4,657,500 -------------- 24,947,000 -------------- BEVERAGES -- 0.6% Constellation Brands, Inc.: 7.25%, 9/1/2016........... 9,681,000 8,954,925 7.25%, 5/15/2017.......... 3,000,000 2,775,000 -------------- 11,729,925 -------------- BUILDING PRODUCTS -- 2.9% Hanson PLC 6.13%, 8/15/2016.......... 13,498,000 10,089,755 Masco Corp. 6.13%, 10/3/2016.......... 16,455,000 13,815,552 Nortek, Inc. 10.00%, 12/1/2013......... 15,688,000 12,589,620 Owens Corning, Inc. 6.50%, 12/1/2016.......... 11,050,000 9,686,021 Ply Gem Industries, Inc. 11.75%, 6/15/2013......... 14,269,000 9,203,505 -------------- 55,384,453 -------------- CHEMICALS -- 0.9% Ashland, Inc. 9.13%, 6/1/2017 (a)....... 11,635,000 12,100,400 Momentive Performance Materials, Inc. 9.75%, 12/1/2014 (b)...... 11,450,000 5,095,250 -------------- 17,195,650 -------------- COMMERCIAL BANKS -- 1.3% BAC Capital Trust XI 6.63%, 5/23/2036.......... 13,685,000 10,319,913 Lloyds Banking Group PLC 6.66%, 5/19/2049 (a)(c)... 12,000,000 4,320,000 Royal Bank of Scotland Group PLC 7.64%, 3/31/2049 (c)...... 26,715,000 10,819,575 -------------- 25,459,488 -------------- COMMERCIAL SERVICES & SUPPLIES -- 4.1% ARAMARK Corp. 8.50%, 2/1/2015........... 23,083,000 22,390,510 Ceridian Corp. 11.25%, 11/15/2015........ 13,500,000 11,289,375 Hertz Corp. 8.88%, 1/1/2014........... 33,524,000 30,842,080 Servicemaster Co. PIK 10.75%, 7/15/2015 (a)(d).. 16,500,000 13,200,000 -------------- 77,721,965 -------------- COMPUTERS & PERIPHERALS -- 0.4% Seagate Technology HDD Holdings 6.80%, 10/1/2016.......... 9,250,000 7,931,875 -------------- CONTAINERS & PACKAGING -- 0.6% Owens-Brockway Glass Container, Inc. 7.38%, 5/15/2016 (a)...... 12,155,000 11,790,350 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% RSC Equipment Rental, Inc. 9.50%, 12/1/2014.......... 10,200,000 8,185,500 -------------- DIVERSIFIED FINANCIAL SERVICES -- 8.2% Capmark Financial Group, Inc. 7.88%, 5/10/2012.......... 20,500,000 5,326,269 CIT Group, Inc. 7.63%, 11/30/2012......... 21,623,000 14,806,263 Citigroup Capital XXI 8.30%, 12/21/2057 (c)..... 59,000,000 46,009,675 Ford Motor Credit Co. LLC 9.75%, 9/15/2010.......... 27,175,000 26,030,824 GMAC LLC: 6.63%, 5/15/2012 (a)...... 3,197,000 2,669,495 6.88%, 9/15/2011 (a)...... 49,500,000 43,312,500 Nuveen Investments, Inc. 10.50%, 11/15/2015 (a).... 13,700,000 9,453,000 Petroplus Finance, Ltd. 7.00%, 5/1/2017 (a)....... 9,000,000 7,470,000 -------------- 155,078,026 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 8.7% Cricket Communications, Inc. 9.38%, 11/1/2014.......... 20,450,000 20,143,250 Intelsat Bermuda, Ltd. 11.25%, 6/15/2016......... 46,188,000 47,111,760 Level 3 Financing, Inc. 9.25%, 11/1/2014.......... 27,089,000 22,212,980 MetroPCS Wireless, Inc. 9.25%, 11/1/2014.......... 24,300,000 24,148,125 Virgin Media Finance PLC 9.50%, 8/15/2016.......... 9,360,000 9,219,600 West Corp. 9.50%, 10/15/2014......... 14,236,000 12,456,500 Windstream Corp. 8.63%, 8/1/2016........... 31,739,000 30,390,092 -------------- 165,682,307 -------------- ELECTRIC UTILITIES -- 7.8% AES Corp. 8.00%, 10/15/2017......... 30,117,000 28,008,810 Calpine Construction Finance Co. LP and CCFC Finance Corp. 8.00%, 6/1/2016 (a)....... 16,500,000 15,798,750 Edison Mission Energy 7.00%, 5/15/2017.......... 25,988,000 19,945,790 Intergen NV 9.00%, 6/30/2017 (a)...... 21,750,000 20,608,125 NRG Energy, Inc.: 7.38%, 2/1/2016........... 19,215,000 18,182,194 7.38%, 1/15/2017.......... 3,000,000 2,827,500 RRI Energy, Inc. 7.88%, 6/15/2017.......... 11,450,000 10,247,750
See accompanying notes to financial statements. 92 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Texas Competitive Electric Holdings Co. LLC 10.25%, 11/1/2015......... $51,500,000 $ 32,058,750 -------------- 147,677,669 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.8% RBS Global, Inc. and Rexnord Corp. 9.50%, 8/1/2014........... 16,845,000 14,402,475 -------------- ENERGY EQUIPMENT & SERVICES -- 0.5% Complete Production Services, Inc. 8.00%, 12/15/2016......... 11,000,000 9,405,000 -------------- FOOD PRODUCTS -- 1.1% Smithfield Foods, Inc. 10.00%, 7/15/2014 (a)..... 6,855,000 6,769,313 Tyson Foods, Inc.: 7.85%, 4/1/2016 (b)....... 13,500,000 13,017,483 10.50%, 3/1/2014 (a)...... 1,000,000 1,085,000 -------------- 20,871,796 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% Bausch & Lomb, Inc. 9.88%, 11/1/2015.......... 16,014,000 15,293,370 Biomet, Inc. 11.63%, 10/15/2017........ 22,139,000 21,696,220 VWR Funding, Inc., Series B 10.25%, 7/15/2015 PIK..... 10,500,000 8,295,000 -------------- 45,284,590 -------------- HEALTH CARE PROVIDERS & SERVICES -- 7.6% Apria Healthcare Group, Inc. 11.25%, 11/1/2014 (a)..... 12,535,000 12,096,275 Community Health Systems, Inc. 8.88%, 7/15/2015.......... 53,139,000 52,076,220 HCA, Inc. 9.25%, 11/15/2016......... 58,771,000 57,889,435 Tenet Healthcare Corp. 10.00%, 5/1/2018 (a)...... 16,600,000 17,430,000 Us Oncology, Inc. 9.13%, 8/15/2017 (a)...... 5,000,000 4,962,500 -------------- 144,454,430 -------------- HOME BUILDERS -- 0.6% K Hovnanian Enterprises, Inc. 11.50%, 5/1/2013.......... 13,838,000 11,969,870 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.1% Ameristar Casinos, Inc. 9.25%, 6/1/2014 (a)....... 11,945,000 12,183,900 Harrah's Operating Co. Inc. 10.00%, 12/15/2018 (a).... 46,107,000 26,511,525 MGM Mirage, Inc.: 11.13%, 11/15/2017 (a).... 1,000,000 1,060,000 13.00%, 11/15/2013 (a).... 15,086,000 16,519,170 Starwood Hotels & Resorts Worldwide, Inc. 6.25%, 2/15/2013 (d)...... 10,500,000 9,765,000 Wyndham Worldwide Corp. 6.00%, 12/1/2016.......... 14,408,000 11,268,454 -------------- 77,308,049 -------------- HOUSEHOLD DURABLES -- 0.6% Jarden Corp. 7.50%, 5/1/2017........... 12,200,000 10,675,000 -------------- INSURANCE -- 2.0% American International Group, Inc. 8.18%, 5/15/2058 (c)...... 52,405,000 14,950,937 Genworth Financial, Inc. 6.15%, 11/15/2066 (c)..... 9,950,000 4,478,246 Liberty Mutual Group, Inc. 10.75%, 6/15/2058 (a)(c)(d)................. 18,000,000 12,960,000 MBIA Insurance Corp. 14.00%, 1/15/2033 (a)(c)(d)................. 16,000,000 6,080,000 -------------- 38,469,183 -------------- MACHINERY -- 0.8% Terex Corp. 8.00%, 11/15/2017......... 19,581,000 15,052,894 -------------- MEDIA -- 8.2% AMC Entertainment, Inc. 8.75%, 6/1/2019 (a)....... 12,150,000 11,421,000 Clear Channel Communications, Inc. 10.75%, 8/1/2016.......... 13,000,000 4,030,000 CSC Holdings Inc/United States 8.50%, 4/15/2014 (a)...... 17,338,000 17,186,292 DIRECTV Holdings LLC 7.63%, 5/15/2016.......... 30,938,000 30,087,205 Echostar DBS Corp. 7.13%, 2/1/2016........... 16,788,000 15,654,810 Interpublic Group of Cos, Inc. 10.00%, 7/15/2017 (a)..... 3,000,000 3,022,500 Nielsen Finance LLC/Nielsen Finance Co. 10.00%, 8/1/2014.......... 18,479,000 17,485,754 Quebecor Media, Inc. 7.75%, 3/15/2016.......... 12,357,000 11,198,531 RH Donnelley Corp. 8.88%, 10/15/2017 (e)..... 9,234,000 473,243 The Reader's Digest Association, Inc. 9.00%, 2/15/2017.......... 2,000,000 90,000 TL Acquisitions, Inc. 10.50%, 1/15/2015 (a)..... 15,820,000 12,814,200 WMG Acquisition Corp. 9.50%, 6/15/2016 (a)...... 18,310,000 18,218,450 XM Satellite Radio, Inc. 13.00%, 8/1/2013 (a)...... 16,112,000 13,111,140 -------------- 154,793,125 -------------- METALS & MINING -- 4.5% FMG Finance Property, Ltd. 10.63%, 9/1/2016 (a)...... 16,900,000 16,224,000 Novelis, Inc. 7.25%, 2/15/2015 (c)...... 25,485,000 19,368,600 Steel Dynamics, Inc. 7.38%, 11/1/2012.......... 17,031,000 16,136,872 Teck Resources Ltd.: 9.75%, 5/15/2014 (a)...... 1,815,000 1,878,525 10.25%, 5/15/2016 (a)..... 1,815,000 1,901,213 10.75%, 5/15/2019 (a)..... 28,600,000 30,745,000 -------------- 86,254,210 --------------
See accompanying notes to financial statements. 93 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MULTILINE RETAIL -- 4.0% Dollar General Corp. 10.63%, 7/15/2015......... $24,089,000 $ 26,016,120 JC Penney Corp, Inc. 6.38%, 10/15/2036......... 12,000,000 8,881,416 Macy's Retail Holdings, Inc. 5.90%, 12/1/2016.......... 17,500,000 14,257,005 Rite Aid Corp. 9.50%, 6/15/2017.......... 17,389,000 11,302,850 Supervalu, Inc. 8.00%, 5/1/2016........... 16,610,000 16,111,700 -------------- 76,569,091 -------------- OIL, GAS & CONSUMABLE FUELS -- 12.1% Chesapeake Energy Corp.: 6.50%, 8/15/2017.......... 2,650,000 2,226,000 7.25%, 12/15/2018......... 4,550,000 3,958,500 9.50%, 2/15/2015.......... 25,330,000 25,519,975 Citic Resources Finance, Ltd. 6.75%, 5/15/2014 (a)...... 4,500,000 4,162,500 Dynegy Holdings, Inc. 7.75%, 6/1/2019........... 23,938,000 18,641,717 El Paso Corp.: 7.00%, 6/15/2017.......... 16,188,000 14,743,286 7.25%, 6/1/2018........... 4,000,000 3,693,140 8.25%, 2/15/2016.......... 1,665,000 1,619,213 Energy XXI Gulf Coast, Inc. 10.00%, 6/15/2013 (d)..... 10,500,000 6,195,000 Enterprise Products Operating LP 7.03%, 1/15/2068 (c)...... 10,750,000 7,928,125 Forest Oil Corp. 7.25%, 6/15/2019.......... 18,800,000 16,826,000 Newfield Exploration Co. 7.13%, 5/15/2018.......... 9,000,000 8,178,750 OPTI Canada, Inc. 8.25%, 12/15/2014......... 17,738,000 11,707,080 Peabody Energy Corp. 7.38%, 11/1/2016.......... 14,935,000 14,113,575 PetroHawk Energy Corp. 7.88%, 6/1/2015........... 18,750,000 17,343,750 Plains Exploration & Production Co. 7.75%, 6/15/2015.......... 10,898,000 10,189,630 Quicksilver Resources, Inc. 11.75%, 1/1/2016.......... 1,885,000 1,950,975 Sabine Pass LNG LP 7.50%, 11/30/2016......... 30,137,000 24,335,627 SandRidge Energy, Inc. 8.00%, 6/1/2018 (a)....... 16,000,000 13,680,000 Southern Union Co. 7.20%, 11/1/2066 (c)(d)... 9,000,000 6,120,000 Southwestern Energy Co. 7.50%, 2/1/2018 (a)....... 9,250,000 8,880,000 Williams Partners LP/Williams Partners Finance Corp. 7.25%, 2/1/2017........... 9,000,000 8,212,500 -------------- 230,225,343 -------------- PAPER & FOREST PRODUCTS -- 0.7% Georgia-Pacific LLC 7.13%, 1/15/2017 (a)...... 15,164,000 14,102,520 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.3% iStar Financial, Inc. 10.00%, 6/15/2014 (a)..... 3,000,000 2,220,000 Residential Capital LLC 9.63%, 5/15/2015.......... 34,000,000 21,590,000 -------------- 23,810,000 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% Realogy Corp. 10.50%, 4/15/2014......... 16,767,000 7,251,728 -------------- ROAD & RAIL -- 0.4% Railamerica, Inc. 9.25%, 7/1/2017 (a)....... 7,715,000 7,444,975 -------------- SEMICONDUCTORS -- 0.7% Freescale Semiconductor, Inc. 8.88%, 12/15/2014......... 24,338,000 12,290,690 -------------- SOFTWARE -- 1.2% First Data Corp. 9.88%, 9/24/2015.......... 33,238,000 23,598,980 -------------- SPECIALTY RETAIL -- 1.1% Limited Brands, Inc. 6.90%, 7/15/2017.......... 13,500,000 11,681,658 Michaels Stores, Inc. 10.00%, 11/1/2014......... 11,400,000 9,576,000 -------------- 21,257,658 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.8% CC Holdings GS V LLC/Crown Castle GS III Corp. 7.75%, 5/1/2017 (a)....... 6,615,000 6,449,625 Crown Castle International Corp. 9.00%, 1/15/2015.......... 12,825,000 13,049,437 Frontier Communications Corp. 8.25%, 5/1/2014........... 10,000,000 9,450,000 Nextel Communications, Inc., Series D 7.38%, 8/1/2015........... 12,000,000 9,570,000 Sprint Nextel Corp. 6.00%, 12/1/2016.......... 27,750,000 22,685,625 Telesat Canada 11.00%, 11/1/2015 (a)............. 11,500,000 11,787,500 -------------- 72,992,187 -------------- TOTAL CORPORATE BONDS & NOTES -- (Cost $1,752,577,559)..... 1,838,106,752 --------------
See accompanying notes to financial statements. 94 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 0.9% MONEY MARKET FUNDS -- 0.9% State Street Institutional Liquid Reserves Fund 0.42% (f)(g)(h) (Cost $17,410,929)........ 17,410,929 $ 17,410,929 -------------- TOTAL INVESTMENTS -- 97.6% (I) (Cost $1,769,988,488)..... 1,855,517,681 OTHER ASSETS AND LIABILITIES -- 2.4%....... 45,191,467 -------------- NET ASSETS -- 100.0%........ $1,900,709,148 ==============
(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represents 24.2% of net assets as of June 30, 2009, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Step up Bond -- coupon rate increases in increments to maturity. Rate disclosed is as of June 30, 2009. Maturity date disclosed is the ultimate maturity date. (c) Variable Rate Security. Rate shown is as of June 30, 2009. (d) Security is valued at fair value as determined in good faith by the Trust's Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (e) Security is currently in default and/or issuer is in bankruptcy. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) The rate shown is the annualized seven-day yield at period end. (h) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (i) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (Note 2) PIK = Payment in Kind. At June 30, 2009, outstanding credit default swap contracts -- sell protection were as follows:
UPFRONT RECEIVE EXPIRATION NOTIONAL MARKET PREMIUMS COUNTERPARTY REFERENCE OBLIGATION FIXED RATE DATE AMOUNT VALUE (RECEIVED) - ------------ -------------------- ---------- ---------- -------- ------ ---------- Barclays Capital Harrah's Operating Co., Inc. 5.00% 12/20/2018 $15,000,000 $(7,640,388) $(6,225,694) UNREALIZED APPRECIATION/ COUNTERPARTY (DEPRECIATION) - ------------ -------------- Barclays Capital $(1,414,694)
See accompanying notes to financial statements. 95 SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 88.6% AUSTRALIA -- 2.0% Commonwealth of Australia 5.75%, 6/15/2011............ 255,000 $ 212,824 ----------- AUSTRIA -- 1.8% Republic of Austria 5.25%, 1/4/2011............. 130,000 193,063 ----------- BELGIUM -- 3.4% Kingdom of Belgium 5.00%, 9/28/2011............ 55,000 82,698 5.75%, 9/28/2010............ 185,000 273,882 ----------- 356,580 ----------- CANADA -- 3.2% Government of Canada 6.00%, 6/1/2011............. 360,000 337,892 ----------- DENMARK -- 2.2% Kingdom of Denmark 4.00%, 11/15/2010........... 1,165,000 225,848 ----------- FRANCE -- 4.5% Republic of France 3.75%, 9/12/2010............ 50,000 72,299 5.00%, 4/25/2012............ 95,000 144,557 6.50%, 4/25/2011............ 170,000 260,295 ----------- 477,151 ----------- GERMANY -- 11.8% Federal Republic of Germany 4.00%, 9/10/2010............ 330,000 479,256 4.00%, 4/13/2012............ 100,000 148,752 5.00%, 7/4/2011............. 410,000 614,986 ----------- 1,242,994 ----------- GREECE -- 3.6% Republic of Greece 3.80%, 3/20/2011............ 110,000 159,394 4.30%, 3/20/2012............ 150,000 218,329 ----------- 377,723 ----------- HUNGARY -- 1.8% Republic of Hungary 6.75%, 4/22/2011............ 37,750,000 185,433 ----------- ITALY -- 12.3% Republic of Italy 3.00%, 3/1/2012............. 175,000 250,005 5.25%, 8/1/2011............. 350,000 524,340 5.50%, 11/1/2010............ 350,000 518,326 ----------- 1,292,671 ----------- JAPAN -- 22.8% Government of Japan 5 Year Bond 0.80%, 12/20/2010........... 109,500,000 1,145,886 1.20%, 9/20/2011............ 118,000,000 1,246,181 ----------- 2,392,067 ----------- MEXICO -- 2.1% United Mexican States 9.00%, 12/22/2011........... 2,650,000 215,551 ----------- NETHERLANDS -- 3.7% Kingdom of the Netherlands 5.00%, 7/15/2011............ 260,000 389,988 ----------- POLAND -- 2.0% Republic of Poland 6.00%, 11/24/2010........... 675,000 215,303 ----------- SOUTH AFRICA -- 1.6% Republic of South Africa 13.00%, 8/31/2010........... 1,200,000 165,096 ----------- SPAIN -- 4.2% Kingdom of Spain 2.75%, 4/30/2012............ 20,000 28,561 3.25%, 7/30/2010............ 130,000 186,630 5.35%, 10/31/2011........... 150,000 227,351 ----------- 442,542 ----------- SWEDEN -- 1.7% Kingdom of Sweden 5.25%, 3/15/2011............ 1,310,000 180,658 ----------- UNITED KINGDOM -- 3.9% United Kingdom Treasury Bond 4.25%, 3/7/2011............. 135,000 233,045 5.00%, 3/7/2012............. 100,000 176,333 ----------- 409,378 ----------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $8,874,905)......... 9,312,762 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 8.8% UNITED STATES -- 8.8% MONEY MARKET FUND -- 8.8% State Street Institutional Liquid Reserves Fund 0.42%, (a)(b)(c) (Cost $923,049)............. 923,049 923,049 ----------- TOTAL INVESTMENTS -- 97.4% (D) (Cost $9,797,954)......... 10,235,811 OTHER ASSETS AND LIABILITIES -- 2.6%......... 278,509 ----------- NET ASSETS -- 100.0%.......... $10,514,320 ===========
(a) The rate shown is the annualized seven-day yield at period end. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (c) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157 (Note 2). See accompanying notes to financial statements. 96 SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- At June 30, 2009, Open Forward Foreign Currency Exchange Contracts were as follows: Forward Foreign Currency Contracts to Buy:
SETTLE- NET UNREALIZED MENT CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ DATE DELIVER JUNE 30, 2009 FOR U.S.$ (DEPRECIATION) ------- ------------ ------------- ----------- -------------- 9/4/2009 1,000,000 JPY $ 10,372 $ 10,462 $ (90) 9/4/2009 610,000,000 KRW 485,194 497,000 (11,806) 9/4/2009 290,000 SGD 200,319 201,866 (1,547) 9/4/2009 7,000,000 TWD 215,803 219,574 (3,771) -------- $(17,214) ========
JPY-Japanese Yen KRW-South Korean Won SGD-Singapore Dollar TWD-Taiwan New Dollar U.S.$-United States Dollar See accompanying notes to financial statements. 97 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 89.1% AEROSPACE & DEFENSE -- 1.7% Boeing Capital Corp. 6.50%, 2/15/2012............ $ 225,000 $ 241,079 United Technologies Corp. 5.38%, 12/15/2017........... 225,000 236,710 ----------- 477,789 ----------- BEVERAGES -- 1.2% PepsiCo, Inc. 5.00%, 6/1/2018............. 330,000 338,971 ----------- CAPITAL MARKETS -- 8.7% Morgan Stanley 6.75%, 4/15/2011............ 900,000 921,764 The Bear Stearns Cos LLC 7.25%, 2/1/2018............. 450,000 477,244 The Goldman Sachs Group, Inc. 5.95%, 1/18/2018............ 1,005,000 974,001 ----------- 2,373,009 ----------- CHEMICALS -- 0.9% E.I. du Pont de Nemours & Co. 5.88%, 1/15/2014............ 225,000 243,718 ----------- COMMERCIAL BANKS -- 15.8% European Investment Bank: 3.13%, 7/15/2011............ 900,000 932,066 4.25%, 7/15/2013............ 780,000 820,785 Inter-American Development Bank 3.25%, 11/15/2011........... 675,000 698,129 KFW Bankengruppe 3.25%, 3/15/2013............ 900,000 915,996 Wachovia Corp. 5.50%, 5/1/2013............. 900,000 929,427 ----------- 4,296,403 ----------- COMPUTERS & PERIPHERALS -- 1.8% International Business Machines Corp. 5.70%, 9/14/2017............ 450,000 477,975 ----------- DIVERSIFIED FINANCIAL SERVICES -- 20.1% Bank of America Corp. 4.90%, 5/1/2013............. 1,230,000 1,181,791 Citigroup, Inc. 5.50%, 4/11/2013............ 1,575,000 1,472,393 General Electric Capital Corp.: 4.80%, 5/1/2013............. 1,680,000 1,673,579 5.63%, 5/1/2018............. 225,000 213,728 International Lease Finance Corp. 4.75%, 1/13/2012............ 675,000 533,250 Merrill Lynch & Co., Inc. 6.88%, 4/25/2018............ 450,000 412,384 ----------- 5,487,125 ----------- ELECTRIC UTILITIES -- 1.7% Commonwealth Edison Co. 5.80%, 3/15/2018............ 450,000 461,576 ----------- FOOD & STAPLES RETAILING -- 1.6% Wal-Mart Stores, Inc. 3.00%, 2/3/2014............. 450,000 440,366 ----------- FOOD PRODUCTS -- 1.7% Kraft Foods, Inc. 5.63%, 11/1/2011............ 450,000 475,689 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8% Baxter International, Inc. 4.00%, 3/1/2014............. 225,000 225,382 ----------- HEALTH CARE PROVIDERS & SERVICES -- 0.7% Humana, Inc. 7.20%, 6/15/2018............ 225,000 202,046 ----------- INSURANCE -- 0.9% American International Group, Inc. 5.85%, 1/16/2018............ 450,000 238,500 ----------- MACHINERY -- 2.2% Caterpillar Financial Services Corp. 6.20%, 9/30/2013............ 330,000 353,301 John Deere Capital Corp. 7.00%, 3/15/2012............ 225,000 241,132 ----------- 594,433 ----------- MEDIA -- 5.8% Comcast Corp. 5.70%, 5/15/2018............ 1,005,000 1,006,728 News America, Inc. 6.90%, 3/1/2019 (a)......... 225,000 230,960 Time Warner Cable, Inc. 6.20%, 7/1/2013............. 330,000 347,139 ----------- 1,584,827 ----------- METALS & MINING -- 2.4% BHP Billiton Finance USA Ltd. 5.50%, 4/1/2014............. 305,000 327,199 Rio Tinto Finance USA, Ltd. 5.88%, 7/15/2013............ 330,000 332,535 ----------- 659,734 ----------- MULTI-UTILITIES -- 1.7% MidAmerican Energy Holdings Co. 5.75%, 4/1/2018............. 450,000 463,229 ----------- OIL, GAS & CONSUMABLE FUELS -- 7.6% Conoco Funding Co. 6.35%, 10/15/2011........... 555,000 605,219 Kinder Morgan Energy Partners LP 6.00%, 2/1/2017............. 370,000 362,842 Petrobras International Finance Co. 8.38%, 12/10/2018........... 330,000 374,550 Shell International Finance BV 4.00%, 3/21/2014............ 250,000 256,960 XTO Energy, Inc. 5.75%, 12/15/2013........... 450,000 475,095 ----------- 2,074,666 ----------- PHARMACEUTICALS -- 3.6% Abbott Laboratories 5.60%, 11/30/2017........... 675,000 720,462 Pfizer, Inc. 6.20%, 3/15/2019............ 250,000 274,455 ----------- 994,917 -----------
See accompanying notes to financial statements. 98 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- REAL ESTATE INVESTMENT TRUST -- 1.1% ERP Operating LP 5.75%, 6/15/2017............ $ 330,000 $ 306,900 ----------- ROAD & RAIL -- 1.1% Union Pacific Corp. 5.13%, 2/15/2014............ 305,000 305,807 ----------- TOBACCO -- 0.9% Altria Group, Inc. 9.70%, 11/10/2018........... 225,000 257,432 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 5.1% AT&T, Inc. 5.50%, 2/1/2018............. 330,000 328,335 New Cingular Wireless Services, Inc. 7.88%, 3/1/2011............. 450,000 486,380 Verizon Communications, Inc. 5.25%, 4/15/2013............ 555,000 582,942 ----------- 1,397,657 ----------- TOTAL CORPORATE BONDS & NOTES -- (Cost $23,894,469)......... 24,378,151 ----------- FOREIGN GOVERNMENT OBLIGATIONS -- 8.6% Federal Republic of Brazil 8.00%, 1/15/2018............ 595,000 661,937 Republic of Italy 3.50%, 7/15/2011............ 900,000 930,907 United Mexican States 5.88%, 1/15/2014............ 715,000 752,180 ----------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $2,293,730).......... 2,345,024 ----------- SHORT TERM INVESTMENTS -- 2.8% MONEY MARKET FUND -- 2.8% State Street Institutional Liquid Reserves Fund 0.42% (b)(c)(d) (Cost $762,741).......... 762,741 762,741 ----------- TOTAL INVESTMENTS -- 100.5% (E) (Cost $26,950,940)......... 27,485,916 OTHER ASSETS AND LIABILITIES -- (0.5)%....... (136,694) ----------- NET ASSETS -- 100.0%.......... $27,349,222 ===========
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 0.8% of net assets as of June 30, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157 (Note 2). See accompanying notes to financial statements. 99 SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 88.5% AEROSPACE & DEFENSE -- 1.7% Boeing Co. 6.63%, 2/15/2038.............. $100,000 $ 110,485 ---------- CAPITAL MARKETS -- 4.2% Morgan Stanley 6.25%, 8/9/2026............... 100,000 92,447 The Goldman Sachs Group, Inc. 6.13%, 2/15/2033.............. 200,000 188,372 ---------- 280,819 ---------- CHEMICALS -- 2.4% E.I. du Pont de Nemours & Co. 5.75%, 3/15/2019.............. 150,000 158,266 ---------- COMMERCIAL BANKS -- 4.0% HSBC Holdings PLC 6.50%, 9/15/2037.............. 125,000 120,851 JPMorgan Chase & Co. 6.40%, 5/15/2038.............. 100,000 101,125 Wachovia Bank NA 6.60%, 1/15/2038.............. 50,000 47,166 ---------- 269,142 ---------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% Waste Management, Inc. 7.38%, 3/11/2019.............. 150,000 161,271 ---------- COMMUNICATIONS EQUIPMENT -- 0.7% Cisco Systems, Inc. 5.90%, 2/15/2039.............. 50,000 49,553 ---------- COMPUTERS & PERIPHERALS -- 2.0% International Business Machines Corp. 8.00%, 10/15/2038............. 100,000 130,566 ---------- DIVERSIFIED FINANCIAL SERVICES -- 4.2% Citigroup, Inc. 6.88%, 3/5/2038............... 50,000 43,883 General Electric Capital Corp.: 5.88%, 1/14/2038.............. 150,000 118,358 6.75%, 3/15/2032.............. 50,000 44,864 Merrill Lynch & Co., Inc. 6.11%, 1/29/2037.............. 100,000 75,428 ---------- 282,533 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.3% British Telecommunications PLC 8.63%, 12/15/2030 (a) ........ 200,000 217,537 ---------- ELECTRIC UTILITIES -- 10.5% Appalachian Power Co. 7.95%, 1/15/2020.............. 200,000 226,388 Consolidated Edison Co. of New York 5.70%, 12/1/2036.............. 50,000 48,553 Florida Power Corp. 6.40%, 6/15/2038.............. 50,000 55,589 Pacific Gas & Electric Co.: 6.05%, 3/1/2034............... 200,000 208,809 6.25%, 3/1/2039............... 100,000 107,607 PacifiCorp 6.00%, 1/15/2039.............. 50,000 52,766 ---------- 699,712 ---------- FOOD & STAPLES RETAILING -- 4.9% Target Corp. 7.00%, 1/15/2038.............. 100,000 106,258 The Kroger Co. 7.50%, 4/1/2031............... 100,000 113,908 Wal-Mart Stores, Inc. 5.88%, 4/5/2027............... 100,000 103,470 ---------- 323,636 ---------- FOOD PRODUCTS -- 2.4% Kraft Foods, Inc. 6.88%, 1/26/2039.............. 150,000 158,072 ---------- HEALTH CARE PROVIDERS & SERVICES -- 0.7% UnitedHealth Group, Inc. 6.88%, 2/15/2038.............. 50,000 45,444 ---------- HOTELS, RESTAURANTS & LEISURE -- 1.2% McDonald's Corp. 6.30%, 3/1/2038............... 75,000 80,598 ---------- INSURANCE -- 2.6% MetLife, Inc. 6.40%, 12/15/2036............. 175,000 125,125 The Travelers Cos., Inc. 6.25%, 6/15/2037.............. 50,000 51,242 ---------- 176,367 ---------- MEDIA -- 4.1% Comcast Corp. 6.95%, 8/15/2037.............. 150,000 155,401 News America, Inc. 6.65%, 11/15/2037............. 25,000 22,477 Time Warner, Inc. 7.63%, 4/15/2031.............. 100,000 97,508 ---------- 275,386 ---------- METALS & MINING -- 1.2% Rio Tinto Alcan, Inc. 6.13%, 12/15/2033............. 100,000 78,000 ---------- MULTI-UTILITIES -- 0.8% MidAmerican Energy Holdings Co. 6.50%, 9/15/2037.............. 50,000 51,885 ---------- OIL, GAS & CONSUMABLE FUELS -- 16.6% Canadian Natural Resources, Ltd. 6.25%, 3/15/2038.............. 50,000 48,604 Conoco Funding Co. 7.25%, 10/15/2031............. 100,000 109,828 Conoco, Inc. 6.95%, 4/15/2029.............. 100,000 108,302 Pemex Project Funding Master Trust 6.63%, 6/15/2035.............. 150,000 135,375 Petroleos Mexicanos 8.00%, 5/3/2019 (b)........... 100,000 106,777 Shell International Finance BV 6.38%, 12/15/2038............. 100,000 107,860 Southern Natural Gas Co. 8.00%, 3/1/2032............... 100,000 104,120 TransCanada PipeLines, Ltd. 7.63%, 1/15/2039.............. 100,000 115,212 Weatherford International, Ltd. 9.63%, 3/1/2019............... 100,000 118,789
See accompanying notes to financial statements. 100 SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Williams Cos., Inc. 7.63%, 7/15/2019.............. $150,000 $ 148,500 ---------- 1,103,367 ---------- PHARMACEUTICALS -- 6.5% Bristol-Myers Squibb Co. 5.88%, 11/15/2036............. 100,000 103,619 Eli Lilly & Co. 5.50%, 3/15/2027.............. 100,000 98,721 GlaxoSmithKline Capital, Inc. 6.38%, 5/15/2038.............. 50,000 53,897 Pfizer, Inc. 7.20%, 3/15/2039.............. 150,000 177,300 ---------- 433,537 ---------- ROAD & RAIL -- 2.4% CSX Corp. 7.45%, 4/1/2038............... 150,000 161,936 ---------- TOBACCO -- 1.7% Altria Group, Inc. 9.95%, 11/10/2038............. 100,000 115,386 ---------- WIRELESS TELECOMMUNICATION SERVICES -- 8.0% AT&T Corp. 8.00%, 11/15/2031............. 150,000 173,114 AT&T, Inc. 6.30%, 1/15/2038.............. 100,000 95,374 Verizon Communications, Inc. 7.75%, 12/1/2030.............. 150,000 165,683 Vodafone Group PLC 6.15%, 2/27/2037.............. 100,000 98,499 ---------- 532,670 ---------- TOTAL CORPORATE BONDS & NOTES -- (Cost $5,303,574)............. 5,896,168 ---------- FOREIGN GOVERNMENT OBLIGATIONS -- 8.6% Federal Republic of Brazil: 7.13%, 1/20/2037.............. 100,000 108,500 10.13%, 5/15/2027............. 100,000 136,000 Republic of Peru 7.35%, 7/21/2025.............. 100,000 106,250 United Mexican States: 6.75%, 9/27/2034.............. 100,000 101,000 8.30%, 8/15/2031.............. 100,000 118,000 ---------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $547,354).............. 569,750 ---------- U.S. TREASURY OBLIGATIONS -- 0.3% Treasury Bonds 3.50%, 2/15/2039 (Cost $24,014)................ 25,000 21,614 ---------- SECURITY DESCRIPTION SHARES - -------------------- ------ SHORT TERM INVESTMENTS -- 0.8% MONEY MARKET FUND -- 0.8% State Street Institutional Liquid Reserves Fund 0.42% (c)(d)(e) (Cost $55,527)................ 55,527 $ 55,527 ---------- TOTAL INVESTMENTS -- 98.2% (F) (Cost $5,930,469)............ 6,543,059 OTHER ASSETS AND LIABILITIES -- 1.8%........... 118,281 ---------- NET ASSETS -- 100.0%............ $6,661,340 ==========
(a) Step-up Bond. Coupon rate increases in increments to maturity. Rate disclosed is as of June 30, 2009. Maturity date disclosed is the ultimate maturity. (b) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 1.6% of net assets as of June 30, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (c) The rate shown is the annualized seven-day yield at period end. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157 (Note 2). See accompanying notes to financial statements. 101 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CONVERTIBLE CORPORATE BONDS & NOTES -- 76.6% AEROSPACE & DEFENSE -- 0.2% L-3 Communications Holdings, Inc. 3.00%, 8/1/2035............. $ 100,000 $ 96,514 ----------- AUTOMOBILES -- 0.8% Ford Motor Co. 4.25%, 12/15/2036........... 400,000 336,693 ----------- BIOTECHNOLOGY -- 8.4% Amgen, Inc.: 0.13%, 2/1/2011............. 1,450,000 1,375,600 0.38%, 2/1/2013............. 500,000 450,402 Cephalon, Inc. 2.00%, 6/1/2015............. 800,000 1,009,656 Gilead Sciences, Inc. 0.63%, 5/1/2013............. 700,000 900,200 ----------- 3,735,858 ----------- COMMERCIAL BANKS -- 1.1% National City Corp. 4.00%, 2/1/2011............. 500,000 490,563 ----------- COMPUTERS & PERIPHERALS -- 4.5% EMC Corp. 1.75%, 12/1/2013............ 1,400,000 1,425,256 NetApp, Inc. 1.75%, 6/1/2013 (a)......... 500,000 437,896 SanDisk Corp. 1.00%, 5/15/2013............ 200,000 127,453 ----------- 1,990,605 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.8% Alcatel-Lucent USA, Inc. Series B 2.75%, 6/15/2025... 500,000 355,475 Qwest Communications International, Inc. 3.50%, 11/15/2025........... 450,000 442,343 ----------- 797,818 ----------- ELECTRICAL EQUIPMENT -- 0.6% Suntech Power Holdings Co., Ltd. 3.00%, 3/15/2013............ 350,000 263,025 ----------- ENERGY EQUIPMENT & SERVICES -- 2.5% Nabors Industries, Inc. 0.94%, 5/15/2011............ 1,200,000 1,116,416 ----------- FOOD PRODUCTS -- 2.0% Archer-Daniels-Midland Co. 0.88%, 2/15/2014............ 950,000 870,656 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.9% Beckman Coulter, Inc. 2.50%, 12/15/2036........... 350,000 344,671 Hologic, Inc. 2.00%, 12/15/2037 (b)....... 1,150,000 813,050 Medtronic, Inc.: 1.50%, 4/15/2011............ 1,000,000 965,344 1.63%, 4/15/2013............ 1,000,000 918,071 ----------- 3,041,136 ----------- HEALTH CARE PROVIDERS & SERVICES -- 1.4% LifePoint Hospitals, Inc. 3.50%, 5/15/2014............ 350,000 280,698 Omnicare, Inc. 3.25%, 12/15/2035........... 488,000 338,266 ----------- 618,964 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.5% International Game Technology: 2.60%, 12/15/2036........... 275,000 271,616 3.25%, 5/1/2014 (a)......... 350,000 377,195 ----------- 648,811 ----------- INDUSTRIAL CONGLOMERATES -- 0.6% Textron, Inc. 4.50%, 5/1/2013............. 250,000 252,425 ----------- INTERNET SOFTWARE & SERVICES -- 0.7% VeriSign, Inc. 3.25%, 8/15/2037............ 500,000 335,250 ----------- IT SERVICES -- 1.1% Alliance Data Systems Corp. 1.75%, 8/1/2013 (a)......... 650,000 473,222 ----------- MACHINERY -- 0.6% Danaher Corp. Zero Coupon, 1/22/2021...... 300,000 272,730 ----------- MEDIA -- 2.2% Liberty Media LLC 3.13%, 3/30/2023............ 650,000 552,597 Virgin Media, Inc. 6.50%, 11/15/2016 (a)....... 550,000 424,325 ----------- 976,922 ----------- METALS & MINING -- 6.7% Alcoa, Inc. 5.25%, 3/15/2014............ 300,000 525,150 ArcelorMittal 5.00%, 5/15/2014............ 350,000 441,875 Goldcorp, Inc. 2.00%, 8/1/2014 (a)......... 350,000 344,102 Newmont Mining Corp. 1.25%, 7/15/2014............ 900,000 976,617 United States Steel Corp. 4.00%, 5/15/2014............ 500,000 661,380 ----------- 2,949,124 ----------- OIL, GAS & CONSUMABLE FUELS -- 8.8% CenterPoint Energy, Inc. 2.64%, 9/15/2029 (c)........ 7,500 153,300 Chesapeake Energy Corp. 2.25%, 12/15/2038........... 600,000 374,304 2.50%, 5/15/2037............ 550,000 389,895 Massey Energy Co. 3.25%, 8/1/2015............. 675,000 445,305 Peabody Energy Corp. 4.75%, 12/15/2041........... 400,000 288,891 Transocean, Inc. 1.50%, 12/15/2037 Series B.. 1,450,000 1,334,882 1.50%, 12/15/2037 Series C.. 500,000 443,682 1.63%, 12/15/2037 Series A.. 500,000 478,893 ----------- 3,909,152 -----------
See accompanying notes to financial statements. 102 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- PHARMACEUTICALS -- 6.4% Mylan, Inc. 1.25%, 3/15/2012............ $ 500,000 $ 433,255 Teva Pharmaceutical Finance BV Series B 1.75%, 2/1/2026.... 300,000 335,835 Teva Pharmaceutical Finance LLC Series D 0.25%, 2/1/2024.... 500,000 712,810 Watson Pharmaceuticals, Inc. 1.75%, 3/15/2023............ 850,000 842,223 Wyeth 0.97%, 1/15/2024 (d)........ 500,000 500,000 ----------- 2,824,123 ----------- REAL ESTATE INVESTMENT TRUSTS -- 7.0% Boston Properties LP 2.88%, 2/15/2037............ 500,000 439,490 Developers Diversified Realty Co. 3.00%, 3/15/2012............ 500,000 363,021 ProLogis 2.25%, 4/1/2037............. 1,300,000 1,047,735 Vornado Realty Trust 2.85%, 4/1/2027............. 1,450,000 1,264,736 ----------- 3,114,982 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.0% Advanced Micro Devices, Inc.: 5.75%, 8/15/2012............ 500,000 312,210 6.00%, 5/1/2015............. 900,000 424,945 Intel Corp. 2.95%, 12/15/2035........... 800,000 674,680 Linear Technology Corp. Series A 3.00%, 5/1/2027.... 600,000 496,294 Microchip Technology, Inc. 2.13%, 12/15/2037........... 800,000 601,611 Micron Technology, Inc. 1.88%, 6/1/2014............. 300,000 174,139 ----------- 2,683,879 ----------- SOFTWARE -- 2.0% Symantec Corp. 0.75%, 6/15/2011............ 900,000 909,936 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 2.8% Nextel Communications, Inc. 5.25%, 1/15/2010............ 650,000 641,550 NII Holdings, Inc. 3.13%, 6/15/2012............ 250,000 192,407 SBA Communications Corp. 1.88%, 5/1/2013 (a)......... 500,000 413,135 ----------- 1,247,092 ----------- TOTAL CONVERTIBLE CORPORATE BONDS & NOTES -- (Cost $33,709,323).......... 33,955,896 ----------- SHARES ------ CONVERTIBLE PREFERRED STOCKS -- 20.7% AUTOMOBILES -- 0.8% Ford Motor Co. Capital Trust II 6.50%, 12/31/2049........... 16,000 352,480 ----------- CAPITAL MARKETS -- 0.6% Legg Mason, Inc. 7.00%, 6/30/2011............ 10,000 252,000 ----------- COMMERCIAL BANKS -- 2.9% Wells Fargo & Co. Series L 7.50%, 12/31/2049.. 1,650 1,295,200 ----------- CONSUMER FINANCE -- 0.7% SLM Corp. Series C 7.25%, 12/15/2010.. 500 289,385 ----------- DIVERSIFIED FINANCIAL SERVICES -- 5.0% Bank of America Corp. Series L 7.25%, 12/31/2049.. 1,800 1,504,854 Citigroup, Inc. Series T 6.50%, 12/31/2049.. 20,000 671,200 CIT Group, Inc. Series C 8.75%, 12/31/2049.. 3,000 52,380 ----------- 2,228,434 ----------- FOOD PRODUCTS -- 1.6% Bunge, Ltd. 4.88%, 12/31/2049........... 4,000 326,000 Archer-Daniels-Midland Co. 6.25%, 6/1/2011............. 10,000 364,900 ----------- 690,900 ----------- INSURANCE -- 1.6% Vale Capital, Ltd. 5.50%, 6/15/2010............ 15,000 550,350 XL Capital, Ltd. 10.75%, 8/15/2011........... 9,000 175,500 ----------- 725,850 ----------- MEDIA -- 0.3% The Interpublic Group of Cos. Inc. Series B 5.25%, 12/31/2049.. 250 128,550 ----------- METALS & MINING -- 2.5% Freeport-McMoRan Copper & Gold, Inc.: 5.50%, 12/31/2049........... 300 326,700 6.75%, 5/1/2010............. 10,000 794,300 ----------- 1,121,000 ----------- PHARMACEUTICALS -- 3.3% Mylan, Inc. 6.50%, 11/15/2010........... 900 775,260 Schering-Plough Corp. 6.00%, 8/13/2010............ 3,000 680,100 ----------- 1,455,360 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% Simon Property Group, Inc. Series I 6.00%, 12/31/2049.. 4,000 188,400 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% Lucent Technologies Capital Trust I 7.75%, 3/15/2017............ 750 457,500 ----------- TOTAL CONVERTIBLE PREFERRED STOCKS -- (Cost $8,114,976)........... 9,185,059 -----------
See accompanying notes to financial statements. 103 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 1.7% MONEY MARKET FUNDS -- 1.7% State Street Institutional Liquid Reserves Fund 0.42% (e)(f)(g) (Cost $727,042)............... 727,042 $ 727,042 ----------- TOTAL INVESTMENTS -- 99.0% (H) (Cost $42,551,341)............ 43,867,997 OTHER ASSETS AND LIABILITIES -- 1.0%........... 439,320 ----------- NET ASSETS -- 100.0%............ $44,307,317 ===========
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 5.6% of net assets as of June 30, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Step-up Bond. Coupon rate increases in increments to maturity. Rate disclosed is as of June 30, 2009. (c) Variable Rate Security. Rate shown is as of June 30, 2009. (d) Floating Rate Note. Rate shown is as of June 30, 2009. (e) The rate shown is the annualized seven-day yield at period end. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (h) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157 (Note 2). See accompanying notes to financial statements. 104 SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. GOVERNMENT AGENCY MBS TBA -- 99.1% Fannie Mae 4.00% 30yr TBA.............. $ 100,000 $ 97,062 4.50% 30yr TBA.............. 50,000 49,922 5.00% 15yr TBA.............. 250,000 258,711 5.50% 30yr TBA.............. 1,250,000 1,290,039 6.00% 15yr TBA.............. 100,000 105,844 6.50% 30yr TBA.............. 300,000 319,500 Freddie Mac 4.50% 15yr TBA.............. 250,000 255,156 4.50% 30yr TBA.............. 250,000 249,043 5.00% 30yr TBA.............. 800,000 814,062 5.50% 15yr TBA.............. 100,000 104,469 6.00% 30yr TBA.............. 900,000 939,094 Ginnie Mae 4.50% 30yr TBA.............. 100,000 99,922 5.00% 30yr TBA.............. 100,000 102,016 5.50% 30yr TBA.............. 200,000 206,531 6.00% 30yr TBA.............. 200,000 208,250 6.50% 30yr TBA.............. 100,000 106,125 ----------- TOTAL U.S. GOVERNMENT AGENCY MBS TBA -- (Cost $5,206,039)........... 5,205,746 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 99.1% MONEY MARKET FUND -- 99.1% State Street Institutional Liquid Reserves Fund 0.42%, (a)(b)(c)(d) (Cost $5,203,681)........... 5,203,681 5,203,681 ----------- TOTAL INVESTMENTS -- 198.2% (E) (Cost $10,409,720).......... 10,409,427 OTHER ASSETS AND LIABILITIES -- (98.2)%...... (5,157,165) ----------- NET ASSETS -- 100.0%.......... $ 5,252,262 ===========
(a) Security, or portion thereof, has been designated as collateral for TBA securities. (b) The rate shown is the annualized seven-day yield at period end. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (d) Value determined based on Level 1 inputs established under FAS 157. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157 (Note 2). TBA = To Be Announced See accompanying notes to financial statements. 105 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL 1-3 MONTH CAPITAL CAPITAL INTERMEDIATE T-BILL ETF TIPS ETF TERM TREASURY ETF ----------------- ------------- --------------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2).................. $ 985,434,467 $285,804,025 $141,888,833 Investments in securities of affiliated issuers, at value (Note 3)............................ 509,341 58,691,641 29,388,612 -------------- ------------ ------------ Total Investments............................ 985,943,808 344,495,666 171,277,445 Receivable for investments sold................. 591,344,503 -- 2,307,051 Receivable for fund shares sold................. -- -- -- Receivable for when issued/delayed securities... -- -- -- Interest receivable............................. 48,399 2,471,684 1,123,117 -------------- ------------ ------------ TOTAL ASSETS................................. 1,577,336,710 346,967,350 174,707,613 -------------- ------------ ------------ LIABILITIES Payable upon return of securities loaned........ -- 58,425,040 29,226,033 Payable for investments purchased............... 591,286,400 -- 2,395,835 Payable for when issued/delayed securities...... -- -- -- Accrued advisory fee (Note 3)................... 101,610 39,627 14,902 Deferred income for dollar rolls................ -- -- -- Accrued trustees fees (Note 3).................. 6,110 1,286 729 -------------- ------------ ------------ TOTAL LIABILITIES............................ 591,394,120 58,465,953 31,637,499 -------------- ------------ ------------ NET ASSETS................................... $ 985,942,590 $288,501,397 $143,070,114 ============== ============ ============ NET ASSETS CONSIST OF: Paid in capital (Note 4)........................ $ 985,967,100 $288,428,720 $142,894,185 Undistributed (distribution in excess of) net investment income............................ -- (512,430) 90,297 Accumulated net realized gain (loss) on investments and foreign currency transactions................................. (459) (1,353,264) 173,423 Net unrealized appreciation (depreciation) on: Investments.................................. (24,051) 1,938,371 (87,791) -------------- ------------ ------------ NET ASSETS................................... $ 985,942,590 $288,501,397 $143,070,114 ============== ============ ============ NET ASSET VALUE PER SHARE Net asset value per share....................... $ 45.86 $ 49.74 $ 57.22 ============== ============ ============ Shares outstanding (unlimited amount authorized, $0.01 par value)............................. 21,500,458 5,800,048 2,500,168 ============== ============ ============ COST OF INVESTMENTS: Unaffiliated issuers............................ $ 985,458,518 $283,865,654 $141,976,624 Affiliated issuers.............................. 509,341 58,691,641 29,388,612 -------------- ------------ ------------ Total cost of investments....................... $ 985,967,859 $342,557,295 $171,365,236 ============== ============ ============
* Includes $0, $57,515,208, $28,611,554, $3,301,331, $28,916,360, $0, $0, $0, and $0 respectively, of investments of securities on loan, at value. See accompanying notes to financial statements. 106 --------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL LONG TERM CAPITAL AGGREGATE CAPITAL MUNICIPAL CAPITAL CALIFORNIA CAPITAL NEW YORK CAPITAL SHORT TERM TREASURY ETF BOND ETF BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF ----------------- ----------------- ------------------ ------------------ ------------------ ------------------ $16,257,601 $199,602,437 $568,493,125 $39,860,685 $14,670,286 $488,096,125 3,381,676 99,373,016 5,708,553 216,644 728,368 6,006,808 ----------- ------------ ------------ ----------- ----------- ------------ 19,639,277 298,975,453 574,201,678 40,077,329 15,398,654 494,102,933 340,554 1,213,905 -- -- -- -- -- -- 10,963,859 -- -- 11,820,124 -- 1,036,219 -- -- -- -- 235,152 1,531,280 6,993,701 607,906 158,065 5,895,132 ----------- ------------ ------------ ----------- ----------- ------------ 20,214,983 302,756,857 592,159,238 40,685,235 15,556,719 511,818,189 ----------- ------------ ------------ ----------- ----------- ------------ 3,366,905 29,519,870 -- -- -- -- 347,677 1,985,047 8,207,440 302,358 508,863 9,950,502 -- 75,054,588 -- -- -- -- 1,559 17,664 89,401 6,544 2,208 77,807 -- 88,681 -- -- -- -- 136 1,297 3,130 225 104 2,186 ----------- ------------ ------------ ----------- ----------- ------------ 3,716,277 106,667,147 8,299,971 309,127 511,175 10,030,495 ----------- ------------ ------------ ----------- ----------- ------------ $16,498,706 $196,089,710 $583,859,267 $40,376,108 $15,045,544 $501,787,694 =========== ============ ============ =========== =========== ============ $16,471,341 $192,974,708 $579,076,075 $41,137,964 $15,316,397 $494,463,452 55,721 212,440 1,075,266 112,673 43,871 395,714 -- 2,528,905 (1,037,647) (276,648) (212,601) (72,878) (28,356) 373,657 4,745,573 (597,881) (102,123) 7,001,406 ----------- ------------ ------------ ----------- ----------- ------------ $16,498,706 $196,089,710 $583,859,267 $40,376,108 $15,045,544 $501,787,694 =========== ============ ============ =========== =========== ============ $ 55.00 $ 54.47 $ 21.95 $ 21.25 $ 21.49 $ 23.67 =========== ============ ============ =========== =========== ============ 300,000 3,600,044 26,600,731 1,900,011 700,010 21,200,393 =========== ============ ============ =========== =========== ============ $16,285,957 $199,228,780 $563,747,552 $40,458,566 $14,772,409 $481,094,719 3,381,676 99,373,016 5,708,553 216,644 728,368 6,006,808 ----------- ------------ ------------ ----------- ----------- ------------ $19,667,633 $298,601,796 $569,456,105 $40,675,210 $15,500,777 $487,101,527 =========== ============ ============ =========== =========== ============
107 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR DB INTERNATIONAL GOVERNMENT SPDR BARCLAYS SPDR BARCLAYS INFLATION-PROTECTED CAPITAL INTERNATIONAL CAPITAL HIGH BOND ETF TREASURY BOND ETF YIELD BOND ETF ------------------- --------------------- -------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)................. $387,611,927 $1,038,924,007 $1,838,106,752 Investments in securities of affiliated issuers, at value (Note 3).................. 587,229 43,064,962 17,410,929 ------------ -------------- -------------- Total Investments........................... 388,199,156 1,081,988,969 1,855,517,681 Cash........................................... -- -- 978,750 Foreign currency, at value..................... 521,161 1,713,615 -- Receivable for investments sold................ -- -- 4,811,538 Receivable for fund shares sold in-kind........ -- -- 9,185,739 Receivable for fund shares sold................ 25,973,293 5,419,012 -- Interest receivable............................ 4,373,823 19,625,171 39,265,483 ------------ -------------- -------------- TOTAL ASSETS................................ 419,067,433 1,108,746,767 1,909,759,191 ------------ -------------- -------------- LIABILITIES Payable upon return of securities loaned....... 563,360 13,535,645 -- Payable for investments purchased.............. 23,879,943 5,170,269 822,519 Swap contracts, at value (includes upfront payment received of $6,225,694)............. -- -- 7,640,388 Payable for when issued/delayed delivery securities.................................. -- -- -- Accrued advisory fee (Note 3).................. 140,105 429,595 580,772 Accrued trustees fees (Note 3)................. 1,924 7,106 6,364 Deferred income for dollar rolls............... -- -- -- Unrealized depreciation on forward currency contracts................................... -- 373,385 -- ------------ -------------- -------------- TOTAL LIABILITIES........................... 24,585,332 19,516,000 9,050,043 ------------ -------------- -------------- NET ASSETS.................................. $394,482,101 $1,089,230,767 $1,900,709,148 ============ ============== ============== NET ASSETS CONSIST OF: Paid in capital (Note 4)....................... $424,133,837 $1,108,357,558 $1,899,737,833 Undistributed (distribution in excess of) net investment income........................... (13,981,500) (30,914,725) 11,173,994 Accumulated net realized gain (loss) on investments and foreign currency transactions................................ (9,060,107) (5,339,267) (94,317,178) Net unrealized appreciation (depreciation) on: Investments................................. (6,724,231) 16,797,720 85,529,193 Foreign currency............................ 114,102 329,481 -- Net unrealized appreciation (depreciation) on swap contracts......................... -- -- (1,414,694) ------------ -------------- -------------- NET ASSETS.................................. $394,482,101 $1,089,230,767 $1,900,709,148 ============ ============== ============== NET ASSET VALUE PER SHARE Net asset value per share...................... $ 51.90 $ 54.19 $ 34.30 ============ ============== ============== Shares outstanding (unlimited amount authorized, $0.01 par value)................ 7,600,483 20,100,019 55,406,498 ============ ============== ============== COST OF INVESTMENTS: Unaffiliated issuers........................... $394,336,158 $1,022,126,287 $1,752,577,559 Affiliated issuers............................. 587,229 43,064,962 17,410,929 ------------ -------------- -------------- Total cost of investments...................... $394,923,387 $1,065,191,249 $1,769,988,488 ============ ============== ============== Foreign currency, at cost...................... $ 517,492 $ 1,655,689 $ -- ============ ============== ==============
* Includes $559,446, $13,380,075, $0, $0, $0, $0, $0 and $0 respectively, of investments of securities on loan, at value. See accompanying notes to financial statements. 108 --------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SHORT TERM CAPITAL INTERMEDIATE SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS INTERNATIONAL TERM CREDIT CAPITAL LONG TERM CAPITAL CONVERTIBLE CAPITAL MORTGAGE TREASURY BOND ETF BOND ETF CREDIT BOND ETF BOND ETF BACKED BOND ETF ------------------ --------------------- ----------------- ------------------- ---------------- $ 9,312,762 $26,723,175 $6,487,532 $43,140,955 $ 5,205,746 923,049 762,741 55,527 727,042 5,203,681 ----------- ----------- ---------- ----------- ----------- 10,235,811 27,485,916 6,543,059 43,867,997 10,409,427 -- -- -- -- -- 50,835 -- -- -- -- 85,670 -- -- 243,166 -- -- -- -- -- -- -- -- -- -- -- 162,237 405,371 119,098 209,954 12,327 ----------- ----------- ---------- ----------- ----------- 10,534,553 27,891,287 6,662,157 44,321,117 10,421,754 ----------- ----------- ---------- ----------- ----------- -- -- -- -- -- -- 538,668 -- -- -- -- -- -- -- -- -- -- -- -- 5,162,240 3,013 3,340 803 13,759 858 6 57 14 41 19 -- -- -- -- 6,375 17,214 -- -- -- -- ----------- ----------- ---------- ----------- ----------- 20,233 542,065 817 13,800 5,169,492 ----------- ----------- ---------- ----------- ----------- $10,514,320 $27,349,222 $6,661,340 $44,307,317 $ 5,252,262 =========== =========== ========== =========== =========== $ 9,939,144 $26,723,365 $6,000,000 $42,738,541 $ 5,209,100 139,719 82,839 36,536 181,198 14,656 4,531 8,042 12,214 70,922 28,799 437,857 534,976 612,590 1,316,656 (293) (6,931) -- -- -- -- -- -- -- -- -- ----------- ----------- ---------- ----------- ----------- $10,514,320 $27,349,222 $6,661,340 $44,307,317 $ 5,252,262 =========== =========== ========== =========== =========== $ 35.05 $ 30.39 $ 33.31 $ 31.65 $ 26.26 =========== =========== ========== =========== =========== 300,000 900,000 200,000 1,400,000 200,000 =========== =========== ========== =========== =========== $ 8,874,905 $26,188,199 $5,874,942 $41,824,299 $ 5,206,039 923,049 762,741 55,527 727,042 5,203,681 ----------- ----------- ---------- ----------- ----------- $ 9,797,954 $26,950,940 $5,930,469 $42,551,341 $10,409,720 =========== =========== ========== =========== =========== $ 48,824 $ -- $ -- $ -- $ -- =========== =========== ========== =========== ===========
109 SPDR SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL 1-3 MONTH CAPITAL CAPITAL INTERMEDIATE T-BILL ETF TIPS ETF TERM TREASURY ETF ----------------- ------------- --------------------- INVESTMENT INCOME Interest income on securities of unaffiliated issuers (Note 2)............................. $3,226,379 $1,726,655 $2,130,609 Income on securities of affiliated issuers (Note 3)........................................... 10,693 3,027 3,038 Affiliated securities lending income -- net (Note 3 and Note 8).......................... 1,496,992 363,389 249,608 ---------- ---------- ---------- TOTAL INVESTMENT INCOME.................... 4,734,064 2,093,071 2,383,255 ---------- ---------- ---------- EXPENSES Advisory fee (Note 3)........................... 1,009,609 296,748 121,750 Trustees fee (Note 3)........................... 19,929 4,364 2,336 Miscellaneous expenses.......................... 5 113 -- ---------- ---------- ---------- TOTAL EXPENSES BEFORE WAIVERS................... 1,029,543 301,225 124,086 ---------- ---------- ---------- Expenses waived by Adviser (Note 3)............. -- -- -- ---------- ---------- ---------- NET EXPENSES.................................... 1,029,543 301,225 124,086 ---------- ---------- ---------- NET INVESTMENT INCOME (LOSS).................... 3,704,521 1,791,846 2,259,169 ---------- ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers.................................... 450,914 (683,807) 921,361 Net change in unrealized appreciation (depreciation) on: Investments in securities of unaffiliated issuers.................................... (32,092) 838,272 379,999 ---------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS................................. 418,822 154,465 1,301,360 ---------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $4,123,343 $1,946,311 $3,560,529 ========== ========== ==========
See accompanying notes to financial statements. 110 --------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL LONG TERM CAPITAL AGGREGATE CAPITAL MUNICIPAL CAPITAL CALIFORNIA CAPITAL NEW YORK CAPITAL SHORT TERM TREASURY ETF BOND ETF BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF ----------------- ----------------- ----------------- ------------------ ------------------ ------------------ $ 655,878 $ 5,869,829 $16,040,170 $1,248,043 $ 544,583 $ 6,871,773 731 423,105 108,574 14,341 5,881 122,389 48,798 258,375 -- -- -- -- ---------- ----------- ----------- ---------- --------- ----------- 705,407 6,551,309 16,148,744 1,262,384 550,464 6,994,162 ---------- ----------- ----------- ---------- --------- ----------- 22,181 293,499 1,163,532 55,641 25,428 548,332 515 4,626 10,366 791 413 6,966 -- 1,657 -- -- -- 1,093 ---------- ----------- ----------- ---------- --------- ----------- 22,696 299,782 1,173,898 56,432 25,841 556,391 ---------- ----------- ----------- ---------- --------- ----------- -- (85,818) (398,212) -- -- -- ---------- ----------- ----------- ---------- --------- ----------- 22,696 213,964 775,686 56,432 25,841 556,391 ---------- ----------- ----------- ---------- --------- ----------- 682,711 6,337,345 15,373,058 1,205,952 524,623 6,437,771 ---------- ----------- ----------- ---------- --------- ----------- 1,692,300 2,754,144 (1,100,131) (268,851) (202,776) (117,102) (128,581) 1,786,741 8,026,582 (375,343) 123,117 7,956,750 ---------- ----------- ----------- ---------- --------- ----------- 1,563,719 4,540,885 6,926,451 (644,194) (79,659) 7,839,648 ---------- ----------- ----------- ---------- --------- ----------- $2,246,430 $10,878,230 $22,299,509 $ 561,758 $ 444,964 $14,277,419 ========== =========== =========== ========== ========= ===========
111 SPDR SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 2009 - --------------------------------------------------------------------------------
SPDR DB INTERNATIONAL GOVERNMENT SPDR BARCLAYS SPDR BARCLAYS INFLATION-PROTECTED CAPITAL INTERNATIONAL CAPITAL HIGH BOND ETF TREASURY BOND ETF YIELD BOND ETF ------------------- --------------------- -------------- INVESTMENT INCOME Interest income on securities of unaffiliated issuers (Note 2)............................ $ 11,305,147 $ 29,372,415 $123,479,872 Income on securities of affiliated issuers (Note 3).................................... 12,694 429,875 227,576 Affiliated securities lending income -- net (Note 3 and Note 8)......................... 15,049 57,507 -- Foreign taxes withheld......................... (112,947) (119,974) -- ------------ ------------ ------------ TOTAL INVESTMENT INCOME........................ 11,219,943 29,739,823 123,707,448 ------------ ------------ ------------ EXPENSES Advisory fee (Note 3).......................... 1,193,883 4,358,661 3,253,605 Trustees fee (Note 3).......................... 7,509 26,835 19,420 Miscellaneous expenses......................... 546 3,912 467 ------------ ------------ ------------ TOTAL EXPENSES BEFORE WAIVERS.................. 1,201,938 4,389,408 3,273,492 ------------ ------------ ------------ Expenses waived by Adviser (Note 3)............ -- -- -- ------------ ------------ ------------ NET EXPENSES................................... 1,201,938 4,389,408 3,273,492 ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS)................... 10,018,005 25,350,415 120,433,956 ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers................................... (33,735,647) (32,877,398) (98,234,326) Foreign currency transactions............... (149,361) (5,306,327) -- Forward foreign currency contracts.......... (367,047) (918,113) -- Swap contracts.............................. -- -- 50,001 Net change in unrealized appreciation (depreciation) on: Investments in securities of unaffiliated issuers................................... (7,514,482) 14,683,559 98,063,508 Foreign currency............................ 119,533 393,364 -- Forward foreign currency contracts.......... (2,024) (564,070) -- Swap contracts.............................. -- -- (1,414,694) ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS................................ (41,649,028) (24,588,985) (1,535,511) ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................ $(31,631,023) $ 761,430 $118,898,445 ============ ============ ============
(1) For the period January 15, 2009 (commencement of operations) to June 30, 2009. (2) For the period February 10, 2009 (commencement of operations) to June 30, 2009. (3) For the period March 10, 2009 (commencement of operations) to June 30, 2009. (4) For the period April 14, 2009 (commencement of operations) to June 30, 2009. See accompanying notes to financial statements. 112 --------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SHORT TERM CAPITAL INTERMEDIATE SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS INTERNATIONAL TERM CREDIT CAPITAL LONG TERM CAPITAL CONVERTIBLE CAPITAL MORTGAGE TREASURY BOND ETF(1) BOND ETF(2) CREDIT BOND ETF(3) BOND ETF(4) BACKED BOND ETF(1) - ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 61,607 $414,222 $133,161 $ 367,581 $40,473 1,892 1,476 186 887 15,331 -- -- -- -- -- (51) -- -- -- -- -------- -------- -------- ---------- ------- 63,448 415,698 133,347 368,468 55,804 -------- -------- -------- ---------- ------- 12,994 11,601 2,869 25,703 4,757 163 227 74 44 71 -- -- -- -- -- -------- -------- -------- ---------- ------- 13,157 11,828 2,943 25,747 4,828 -------- -------- -------- ---------- ------- -- -- -- -- -- -------- -------- -------- ---------- ------- 13,157 11,828 2,943 25,747 4,828 -------- -------- -------- ---------- ------- 50,291 403,870 130,404 342,721 50,976 -------- -------- -------- ---------- ------- 41,259 8,042 12,214 147,326 28,799 61,181 -- -- -- -- 1,257 -- -- -- -- -- -- -- -- -- 437,857 534,976 612,590 1,316,656 (293) 10,283 -- -- -- -- (17,214) -- -- -- -- -- -- -- -- -- -------- -------- -------- ---------- ------- 534,623 543,018 624,804 1,463,982 28,506 -------- -------- -------- ---------- ------- $584,914 $946,888 $755,208 $1,806,703 $79,482 ======== ======== ======== ========== =======
113 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR BARCLAYS 1-3 MONTH T-BILL ETF CAPITAL TIPS ETF ------------------------------ --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 -------------- ------------- ------------ ------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)............... $ 3,704,521 $ 4,836,986 $ 1,791,846 $ 3,407,258 Net realized gain (loss) on investments and foreign currency transactions........... 450,914 280,409 (683,807) 496,913 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions........... (32,092) (7,514) 838,272 1,663,628 -------------- ------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... 4,123,343 5,109,881 1,946,311 5,567,799 -------------- ------------- ------------ ------------ Net equalization credits and charges....... 313,729 337,250 231,125 (123,242) -------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income...................... (4,339,871) (4,990,990) (3,864,782) (3,165,753) Net realized gains......................... (179,112) -- -- -- -------------- ------------- ------------ ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS........ (4,518,983) (4,990,990) (3,864,782) (3,165,753) -------------- ------------- ------------ ------------ FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold...... 1,298,056,926 348,453,490 226,042,428 82,387,859 Net proceeds from reinvestment of distributions........................... 11,645 9,343 2,219 155 Cost of shares redeemed.................... (596,165,450) (100,912,911) (29,228,632) (48,644,433) Net income equalization.................... (313,729) (337,250) (231,125) 123,242 Other capital (Note 4)..................... -- -- 1,500 -- -------------- ------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS........ 701,589,392 247,212,672 196,586,390 33,866,823 -------------- ------------- ------------ ------------ Net increase (decrease) in net assets during year............................. 701,507,481 247,668,813 194,899,044 36,145,627 Net assets at beginning of year............ 284,435,109 36,766,296 93,602,353 57,456,726 -------------- ------------- ------------ ------------ NET ASSETS END OF YEAR (1)................... $ 985,942,590 $ 284,435,109 $288,501,397 $ 93,602,353 ============== ============= ============ ============ SHARES OF BENEFICIAL INTEREST: Shares sold................................ 28,300,000 7,600,000 4,600,000 1,600,000 Shares issued to shareholders from reinvestment of distributions........... 254 204 45 3 Shares redeemed............................ (13,000,000) (2,200,000) (600,000) (1,000,000) -------------- ------------- ------------ ------------ NET INCREASE (DECREASE).................... 15,300,254 5,400,204 4,000,045 600,003 ============== ============= ============ ============ (1) Including undistributed (distribution in excess of) net investment income........... $ -- $ 12,889 $ (512,430) $ 737,289 ============== ============= ============ ============
See accompanying notes to financial statements. 114 -------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF LONG TERM TREASURY ETF AGGREGATE BOND ETF - ---------------------------------------- ----------------------------------------- ----------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 - ------------------- ------------------- ------------------- ------------------- ------------------- ------------------- $ 2,259,169 $ 806,692 $ 682,711 $ 774,639 $ 6,337,345 $ 2,394,805 921,361 721,618 1,692,300 327,835 2,754,144 185,128 379,999 (422,657) (128,581) 233,683 1,786,741 (1,315,261) ------------ ------------ ------------ ------------ ------------ ------------ 3,560,529 1,105,653 2,246,430 1,336,157 10,878,230 1,264,672 ------------ ------------ ------------ ------------ ------------ ------------ 90,656 69,365 2,382 (3,088) 98,508 302,261 ------------ ------------ ------------ ------------ ------------ ------------ (2,206,659) (815,670) (675,285) (772,861) (6,254,005) (2,317,464) -- (8,570) -- (5,106) (197,445) -- ------------ ------------ ------------ ------------ ------------ ------------ (2,206,659) (824,240) (675,285) (777,967) (6,451,450) (2,317,464) ------------ ------------ ------------ ------------ ------------ ------------ 109,202,917 44,715,172 33,644,679 10,548,934 80,138,674 107,513,855 734 8,553 -- -- 2,294 53 (11,748,735) (11,256,588) (29,395,291) (10,362,809) (5,372,862) -- (90,656) (69,365) (2,382) 3,088 (98,508) (302,261) -- -- -- -- 14,935 -- ------------ ------------ ------------ ------------ ------------ ------------ 97,364,260 33,397,772 4,247,006 189,213 74,684,533 107,211,647 ------------ ------------ ------------ ------------ ------------ ------------ 98,808,786 33,748,550 5,820,533 744,315 79,209,821 106,461,116 44,261,328 10,512,778 10,678,173 9,933,858 116,879,889 10,418,773 ------------ ------------ ------------ ------------ ------------ ------------ $143,070,114 $ 44,261,328 $ 16,498,706 $ 10,678,173 $196,089,710 $116,879,889 ============ ============ ============ ============ ============ ============ 1,900,000 800,000 600,000 200,000 1,500,000 2,000,000 13 155 -- -- 43 1 (200,000) (200,000) (500,000) (200,000) (100,000) -- ------------ ------------ ------------ ------------ ------------ ------------ 1,700,013 600,155 100,000 -- 1,400,043 2,000,001 ============ ============ ============ ============ ============ ============ $ 90,297 $ 37,787 $ 55,721 $ 48,295 $ 212,440 $ 129,100 ============ ============ ============ ============ ============ ============
115 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL MUNICIPAL CALIFORNIA MUNICIPAL BOND ETF BOND ETF --------------------------- ------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 ------------ ------------ ----------- ----------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)................. $ 15,373,058 $ 4,055,088 $ 1,205,952 $ 445,409 Net realized gain (loss) on investments and foreign currency transactions............. (1,100,131) 40,458 (268,851) (13,270) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions..................... 8,026,582 (3,281,009) (375,343) (222,538) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. 22,299,509 814,537 561,758 209,601 ------------ ------------ ----------- ----------- Net equalization credits and charges......... 562,214 275,770 21,992 13,374 ------------ ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................ (14,785,405) (3,509,293) (1,135,504) (397,711) Return of capital............................ -- -- -- -- ------------ ------------ ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS.......... (14,785,405) (3,509,293) (1,135,504) (397,711) ------------ ------------ ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold........ 328,557,065 307,365,510 23,551,126 17,579,534 Net proceeds from reinvestment of distributions............................. 6,771 9,312 237 -- Cost of shares redeemed...................... (8,670,066) (48,306,353) -- -- Net income equalization...................... (562,214) (275,770) (21,992) (13,374) Other capital (Note 4)....................... 46,930 30,750 6,317 750 ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......... 319,378,486 258,823,449 23,535,688 17,566,910 ------------ ------------ ----------- ----------- Net increase (decrease) in net assets during year...................................... 327,454,804 256,404,463 22,983,934 17,392,174 Net assets at beginning of year.............. 256,404,463 -- 17,392,174 -- ------------ ------------ ----------- ----------- NET ASSETS END OF YEAR (1)..................... $583,859,267 $256,404,463 $40,376,108 $17,392,174 ============ ============ =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold.................................. 15,200,000 14,000,000 1,100,000 800,000 Shares issued to shareholders from reinvestment of distributions............. 308 423 11 -- Shares redeemed.............................. (400,000) (2,200,000) -- -- ------------ ------------ ----------- ----------- NET INCREASE (DECREASE)...................... 14,800,308 11,800,423 1,100,011 800,000 ============ ============ =========== =========== (1) Including undistributed (distribution in excess of) net investment income............. $ 1,075,266 $ 545,522 $ 112,673 $ 46,968 ============ ============ =========== ===========
See accompanying notes to financial statements. 116 -------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL SPDR DB NEW YORK SHORT TERM INTERNATIONAL GOVERNMENT MUNICIPAL BOND ETF MUNICIPAL BOND ETF INFLATION-PROTECTED BOND ETF - ---------------------------------------- ----------------------------------------- ----------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 ---------- ------------------- ------------------- ------------------- ------------------- ------------------- $ 524,623 $ 380,161 $ 6,437,771 $ 1,021,362 $ 10,018,005 $ 1,831,653 (202,776) (10,316) (117,102) (6,397) (34,252,055) (479,527) 123,117 (225,240) 7,956,750 (955,344) (7,396,973) 786,844 ----------- ----------- ------------ ------------ ------------ ------------ 444,964 144,605 14,277,419 59,621 (31,631,023) 2,138,970 ----------- ----------- ------------ ------------ ------------ ------------ 5,016 -- 348,221 136,259 122,652 144,555 ----------- ----------- ------------ ------------ ------------ ------------ (524,366) (336,056) (6,169,703) (893,716) (183,415) (1,166,932) -- -- -- -- (8,197,947) -- ----------- ----------- ------------ ------------ ------------ ------------ (524,366) (336,056) (6,169,703) (893,716) (8,381,362) (1,166,932) ----------- ----------- ------------ ------------ ------------ ------------ 2,137,971 13,177,140 379,490,167 124,042,133 312,491,936 205,369,849 152 65 9,212 -- 22,236 119 -- -- (9,107,605) -- (84,788,483) -- (5,016) -- (348,221) (136,259) (122,652) (144,555) 1,069 -- 63,666 16,500 354,791 72,000 ----------- ----------- ------------ ------------ ------------ ------------ 2,134,176 13,177,205 370,107,219 123,922,374 227,957,828 205,297,413 ----------- ----------- ------------ ------------ ------------ ------------ 2,059,790 12,985,754 378,563,156 123,224,538 188,068,095 206,414,006 12,985,754 -- 123,224,538 -- 206,414,006 -- ----------- ----------- ------------ ------------ ------------ ------------ $15,045,544 $12,985,754 $501,787,694 $123,224,538 $394,482,101 $206,414,006 =========== =========== ============ ============ ============ ============ 100,000 600,000 16,200,000 5,400,000 6,000,000 3,400,000 7 3 393 -- 481 2 -- -- (400,000) -- (1,800,000) -- ----------- ----------- ------------ ------------ ------------ ------------ 100,007 600,003 15,800,393 5,400,000 4,200,481 3,400,002 =========== =========== ============ ============ ============ ============ $ 43,871 $ 44,105 $ 395,714 $ 127,646 $(13,981,500) $ 190,584 =========== =========== ============ ============ ============ ============
117 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND HIGH YIELD ETF BOND ETF ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 6/30/09 6/30/08 6/30/09 6/30/08 -------------- ------------- -------------- ------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).............. $ 25,350,415 $ 9,734,528 $ 120,433,956 $ 10,525,285 Net realized gain (loss) on investments and foreign currency transactions...... (39,101,838) (4,952,845) (98,184,325) (960,873) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions.......... 14,512,853 2,614,348 96,648,814 (12,534,315) -------------- ------------- -------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. 761,430 7,396,031 118,898,445 (2,969,903) -------------- ------------- -------------- ------------ Net equalization credits and charges...... (238,876) 852,840 9,921,224 1,668,124 -------------- ------------- -------------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................... (18,485,525) (8,816,601) (111,409,271) (9,010,627) Net realized gains........................ -- -- -- -- -------------- ------------- -------------- ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS....... (18,485,525) (8,816,601) (111,409,271) (9,010,627) -------------- ------------- -------------- ------------ FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold..... 496,661,958 905,984,795 1,556,404,405 406,287,555 Net proceeds from reinvestment of distributions.......................... 878 109 207,168 -- Cost of shares redeemed................... (151,065,448) (143,799,720) (65,463,641) -- Net income equalization................... 238,876 (852,840) (9,921,224) (1,668,124) Other capital (Note 4).................... 367,860 225,000 82,500 39,000 -------------- ------------- -------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS....... 346,204,124 761,557,344 1,481,309,208 404,658,431 -------------- ------------- -------------- ------------ Net increase (decrease) in net assets during year............................ 328,241,153 760,989,614 1,498,719,606 394,346,025 -------------- ------------- -------------- ------------ Voluntary contribution from Adviser....... -- -- 7,643,517 -- -------------- ------------- -------------- ------------ Net assets at beginning of year........... 760,989,614 -- 394,346,025 -- -------------- ------------- -------------- ------------ NET ASSETS END OF YEAR (1).................. $1,089,230,767 $ 760,989,614 $1,900,709,148 $394,346,025 ============== ============= ============== ============ SHARES OF BENEFICIAL INTEREST: Shares sold............................... 9,300,000 16,400,000 48,500,000 9,000,000 Shares issued to shareholders from reinvestment of distributions.......... 17 2 6,498 -- Shares redeemed........................... (3,000,000) (2,600,000) (2,100,000) -- -------------- ------------- -------------- ------------ NET INCREASE (DECREASE)................... 6,300,017 13,800,002 46,406,498 9,000,000 ============== ============= ============== ============ (1) Including undistributed (distribution in excess of) net investment income.......... $ (30,914,725) $ (580,513) $ 11,173,994 $ 1,517,421 ============== ============= ============== ============
* Commencement of operations See accompanying notes to financial statements. 118 -------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SHORT TERM SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL SPDR BARCLAYS SPDR BARCLAYS INTERNATIONAL TREASURY INTERMEDIATE TERM LONG TERM CAPITAL CONVERTIBLE CAPITAL MORTGAGE BOND ETF CREDIT BOND ETF CREDIT BOND ETF BOND ETF BACKED BOND ETF - ---------------------- --------------------- --------------------- ---------------------- ---------------------- FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD 1/15/09*-6/30/09 2/10/09*-6/30/09 3/10/09*-6/30/09 4/14/09*-6/30/09 1/15/09*-6/30/09 ---------------- ---------------- ---------------- ---------------- ---------------- $ 50,291 $ 403,870 $ 130,404 $ 342,721 $ 50,976 103,697 8,042 12,214 147,326 28,799 430,926 534,976 612,590 1,316,656 (293) ----------- ----------- ---------- ----------- ---------- 584,914 946,888 755,208 1,806,703 79,482 ----------- ----------- ---------- ----------- ---------- (15,074) 33,950 -- 53,993 -- ----------- ----------- ---------- ----------- ---------- (9,738) (321,031) (93,868) (238,677) (36,320) -- -- -- -- -- ----------- ----------- ---------- ----------- ---------- (9,738) (321,031) (93,868) (238,677) (36,320) ----------- ----------- ---------- ----------- ---------- 9,922,581 26,723,365 6,000,000 42,690,265 5,209,100 -- -- -- -- -- -- -- -- -- -- 15,074 (33,950) -- (53,993) -- 16,563 -- -- 49,026 -- ----------- ----------- ---------- ----------- ---------- 9,954,218 26,689,415 6,000,000 42,685,298 5,209,100 ----------- ----------- ---------- ----------- ---------- 10,514,320 27,349,222 6,661,340 44,307,317 5,252,262 ----------- ----------- ---------- ----------- ---------- -- -- -- -- -- ----------- ----------- ---------- ----------- ---------- -- -- -- -- -- ----------- ----------- ---------- ----------- ---------- $10,514,320 $27,349,222 $6,661,340 $44,307,317 $5,252,262 =========== =========== ========== =========== ========== 300,000 900,000 200,000 1,400,000 200,000 -- -- -- -- -- -- -- -- -- -- ----------- ----------- ---------- ----------- ---------- 300,000 900,000 200,000 1,400,000 200,000 =========== =========== ========== =========== ========== $ 139,719 $ 82,839 $ 36,536 $ 181,198 $ 14,656 =========== =========== ========== =========== ==========
119 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL 1-3 MONTH SPDR BARCLAYS T-BILL ETF CAPITAL TIPS ETF ---------------------------------------- ---------------------------------------- FOR THE FOR THE FOR THE PERIOD FOR THE FOR THE FOR THE PERIOD YEAR ENDED YEAR ENDED 5/25/07*- YEAR ENDED YEAR ENDED 5/25/07*- 6/30/09 6/30/08 6/30/07 6/30/09 6/30/08 6/30/07 ---------- ---------- -------------- ---------- ---------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD........ $ 45.88 $ 45.96 $ 45.74 $ 52.00 $ 47.88 $ 48.01 -------- -------- ------- -------- ------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)................ 0.23(6) 1.32 0.20 0.54(6) 2.86 0.41 Net realized and unrealized gain (loss) (1)....................................... 0.11 0.03 0.02 (1.19) 4.24 (0.57) -------- -------- ------- -------- ------- ------- Total from investment operations............ 0.34 1.35 0.22 (0.65) 7.10 (0.16) -------- -------- ------- -------- ------- ------- Net equalization credits and charges (6).... 0.02 0.09 -- 0.07 (0.12) 0.03 -------- -------- ------- -------- ------- ------- Other capital (6)........................... -- -- -- 0.00(5) -- -- -------- -------- ------- -------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................... (0.37) (1.52) -- (1.68) (2.86) -- Net realized gains.......................... (0.01) -- -- -- -- -- -------- -------- ------- -------- ------- ------- Total distributions......................... (0.38) (1.52) -- (1.68) (2.86) -- -------- -------- ------- -------- ------- ------- NET ASSET VALUE, END OF PERIOD.............. $ 45.86 $ 45.88 $ 45.96 $ 49.74 $ 52.00 $ 47.88 ======== ======== ======= ======== ======= ======= TOTAL RETURN (2)............................ 0.79% 3.18% 0.48% (1.11)% 14.96% (0.27)% Net assets, end of period (in 000's)........ $985,943 $284,435 $36,766 $288,501 $93,602 $57,457 Ratio of expenses to average net assets..... 0.14% 0.14% 0.14%(3) 0.19% 0.19% 0.19%(3) Ratio of expenses to average net assets before waivers............................ -- -- -- -- -- -- Ratio of net investment income (loss) to average net assets........................ 0.49% 2.72% 4.49%(3) 1.11% 6.49% 10.23%(3) Portfolio turnover rate (4)................. 692% 583% 2% 21% 16% 0%
See accompanying notes to financial highlights on page 124 and notes to financial statements. 120 --------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL INTERMEDIATE CAPITAL LONG TERM CAPITAL AGGREGATE TERM TREASURY ETF TREASURY ETF BOND ETF ------------------------------------ ------------------------------------ ------------------------------------ FOR THE FOR THE FOR THE PERIOD FOR THE FOR THE FOR THE PERIOD FOR THE FOR THE FOR THE PERIOD YEAR ENDED YEAR ENDED 5/23/07*- YEAR ENDED YEAR ENDED 5/23/07*- YEAR ENDED YEAR ENDED 5/23/07*- 6/30/09 6/30/08 6/30/07 6/30/09 6/30/08 6/30/07 6/30/09 6/30/08 6/30/07 ---------- ---------- -------------- ---------- ---------- -------------- ---------- ---------- -------------- $ 55.32 $ 52.56 $ 52.57 $ 53.39 $ 49.67 $50.12 $ 53.13 $ 52.09 $ 52.36 -------- ------- ------- ------- ------- ------ -------- -------- ------- 1.43(6) 2.06 0.22 2.36(6) 2.47 0.22 2.13(6) 2.44 0.24 1.92 2.81 (0.23) 1.64 3.72 (0.67) 1.41 0.91 (0.51) -------- ------- ------- ------- ------- ------ -------- -------- ------- 3.35 4.87 (0.01) 4.00 6.19 (0.45) 3.54 3.35 (0.27) -------- ------- ------- ------- ------- ------ -------- -------- ------- 0.06 0.17 -- 0.01 (0.01) -- 0.03 0.31 -- -------- ------- ------- ------- ------- ------ -------- -------- ------- -- -- -- -- -- -- 0.01 -- -- -------- ------- ------- ------- ------- ------ -------- -------- ------- (1.51) (2.24) -- (2.40) (2.45) -- (2.18) (2.62) -- -- (0.04) -- -- (0.01) -- (0.06) -- -- -------- ------- ------- ------- ------- ------ -------- -------- ------- (1.51) (2.28) -- (2.40) (2.46) -- (2.24) (2.62) -- -------- ------- ------- ------- ------- ------ -------- -------- ------- $ 57.22 $ 55.32 $ 52.56 $ 55.00 $ 53.39 $49.67 $ 54.47 $ 53.13 $ 52.09 ======== ======= ======= ======= ======= ====== ======== ======== ======= 6.20% 9.73% (0.02)% 7.51% 12.62% (0.90)% 6.90% 7.13% (0.52)% $143,070 $44,261 $10,513 $16,499 $10,678 $9,934 $196,090 $116,880 $10,419 0.14% 0.14% 0.14%(3) 0.14% 0.14% 0.14%(3) 0.13% 0.13% 0.13%(3) -- -- -- -- -- 0.19% 0.19% 0.19%(3) 2.50% 3.51% 4.13%(3) 4.14% 4.58% 4.29%(3) 3.98% 4.13% 4.42%(3) 49% 36% 7% 17% 11% 4% 475% 151% 17%
121 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR SPDR BARCLAYS BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL MUNICIPAL CALIFORNIA MUNICIPAL CAPITAL NEW YORK BOND ETF BOND ETF MUNICIPAL BOND ETF --------------------------- --------------------------- --------------------------- FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD YEAR ENDED 9/11/07*- YEAR ENDED 10/10/07*- YEAR ENDED 10/11/07*- 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 ---------- -------------- ---------- -------------- ---------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 21.73 $ 22.16 $ 21.74 $ 22.18 $ 21.64 $ 21.96 -------- -------- ------- ------- ------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).. 0.86(6) 0.64 0.92(6) 0.62 0.87(6) 0.63 Net realized and unrealized gain (loss) (1)............. 0.18 (0.53) (0.52) (0.52) (0.16) (0.39) -------- -------- ------- ------- ------- ------- Total from investment operations.................. 1.04 0.11 0.40 0.10 0.71 0.24 -------- -------- ------- ------- ------- ------- Net equalization credits and charges (6)................. 0.03 0.05 0.02 0.02 0.01 -- -------- -------- ------- ------- ------- ------- Other capital (6)............. 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) -- -------- -------- ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......... (0.85) (0.59) (0.91) (0.56) (0.87) (0.56) Return of capital............. -- -- -- -- -- -- -------- -------- ------- ------- ------- ------- Total distributions........... (0.85) (0.59) (0.91) (0.56) (0.87) (0.56) -------- -------- ------- ------- ------- ------- NET ASSET VALUE, END OF PERIOD...................... $ 21.95 $ 21.73 $ 21.25 $ 21.74 $ 21.49 $ 21.64 ======== ======== ======= ======= ======= ======= TOTAL RETURN (2).............. 5.07% 0.73% 2.02% 0.54% 3.49% 1.08% Net assets, end of period (in 000's)...................... $583,859 $256,404 $40,376 $17,392 $15,046 $12,986 Ratio of expenses to average net assets.................. 0.20% 0.20%(3) 0.20% 0.20%(3) 0.20% 0.20%(3) Ratio of expenses to average net assets before waivers... 0.30% 0.30%(3) -- -- -- -- Ratio of net investment income (loss) to average net assets...................... 3.96% 3.79%(3) 4.33% 4.04%(3) 4.11% 4.02%(3) Portfolio turnover rate (4)... 3% 0% 24% 17% 33% 32%
See accompanying notes to financial highlights on page 124 and notes to financial statements. 122 --------------------------------------------------------------------------
SPDR DB INTERNATIONAL GOVERNMENT SPDR SPDR BARCLAYS INFLATION- BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL SHORT TERM PROTECTED INTERNATIONAL CAPITAL HIGH MUNICIPAL BOND ETF BOND ETF TREASURY BOND ETF YIELD BOND ETF ------------------------- ------------------------- ------------------------- ------------------------- FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD YEAR ENDED 10/10/07*- YEAR ENDED 3/13/08*- YEAR ENDED 10/2/2007*- YEAR ENDED 11/28/07*- 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 6/30/09 6/30/08 ---------- -------------- ---------- -------------- ---------- -------------- ---------- -------------- $ 22.82 $ 22.53 $ 60.71 $ 61.85 $ 55.14 $ 51.55 $ 43.82 $ 47.29 -------- -------- -------- -------- ---------- -------- ---------- -------- 0.55(6) 0.45 2.08(6) 0.73 1.51(6) 0.97 4.75(6) 2.19 0.83 0.19 (9.07) (1.35) (1.32) 3.49 (10.11) (4.04) -------- -------- -------- -------- ---------- -------- ---------- -------- 1.38 0.64 (6.99) (0.62) 0.19 4.46 (5.36) (1.85) -------- -------- -------- -------- ---------- -------- ---------- -------- 0.03 0.06 0.03 0.10 (0.01) 0.11 0.39 0.39 -------- -------- -------- -------- ---------- -------- ---------- -------- 0.01 0.01 0.07 0.05 0.02 0.03 0.00(5) 0.01 -------- -------- -------- -------- ---------- -------- ---------- -------- (0.57) (0.42) (0.04) (0.67) (1.15) (1.01) (4.55) (2.02) -- -- (1.88) -- -- -- -- -- -------- -------- -------- -------- ---------- -------- ---------- -------- (0.57) (0.42) (1.92) (0.67) (1.15) (1.01) (4.55) (2.02) -------- -------- -------- -------- ---------- -------- ---------- -------- $ 23.67 $ 22.82 $ 51.90 $ 60.71 $ 54.19 $ 55.14 $ 34.30 $ 43.82 ======== ======== ======== ======== ========== ======== ========== ======== 6.29% 3.16% (11.34)% (0.73)% 0.50% 8.95% (10.13)%(7) (3.10)% $501,788 $123,225 $394,482 $206,414 $1,089,231 $760,990 $1,900,709 $394,346 0.20% 0.20%(3) 0.50% 0.50%(3) 0.50% 0.50%(3) 0.40% 0.40%(3) -- -- -- -- -- -- -- -- 2.35% 2.66%(3) 4.20% 6.89%(3) 2.91% 3.03%(3) 14.81% 9.43%(3) 4% 2% 50% 2% 43% 54% 30% 19%
123 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SPDR SHORT TERM BARCLAYS CAPITAL SPDR SPDR INTERNATIONAL INTERMEDIATE BARCLAYS CAPITAL BARCLAYS CAPITAL TREASURY TERM CREDIT LONG TERM CONVERTIBLE BOND ETF BOND ETF CREDIT BOND ETF BOND ETF ---------------- ---------------- ---------------- ---------------- FOR THE FOR THE FOR THE FOR THE PERIOD PERIOD PERIOD PERIOD 1/15/09*- 2/10/09*- 3/10/09*- 4/14/09*- 6/30/09 6/30/09 6/30/09 6/30/09 ---------------- ---------------- ---------------- ---------------- NET ASSET VALUE, BEGINNING OF PERIOD...... $ 33.05 $ 30.00 $30.00 $ 30.00 ------- ------- ------ ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).............. 0.21(6) 0.59(6) 0.65(6) 0.35(6) Net realized and unrealized gain (loss) (1)..................................... 1.83 0.20 3.13 1.42 ------- ------- ------ ------- Total from investment operations.......... 2.04 0.79 3.78 1.77 ------- ------- ------ ------- Net equalization credits and charges (6).. (0.06) 0.05 -- 0.05 ------- ------- ------ ------- Other capital (6)......................... 0.07 -- -- 0.05 ------- ------- ------ ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................... (0.05) (0.45) (0.47) (0.22) Net realized gains........................ -- -- -- -- ------- ------- ------ ------- Total distributions....................... (0.05) (0.45) (0.47) (0.22) ------- ------- ------ ------- NET ASSET VALUE, END OF PERIOD............ $ 35.05 $ 30.39 $33.31 $ 31.65 ======= ======= ====== ======= TOTAL RETURN (2).......................... 6.22% 2.86% 12.70% 6.24% Net assets, end of period (in 000's)...... $10,514 $27,349 $6,661 $44,307 Ratio of expenses to average net assets... 0.36%(3) 0.15%(3) 0.15%(3) 0.40%(3) Ratio of net investment income (loss) to average net assets...................... 1.39%(3) 5.22%(3) 6.82%(3) 5.33%(3) Portfolio turnover rate (4)............... 39% 4% 27% 9% SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF ---------------- FOR THE PERIOD 1/15/09*- 6/30/09 ---------------- NET ASSET VALUE, BEGINNING OF PERIOD...... $26.05 ------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).............. 0.25(6) Net realized and unrealized gain (loss) (1)..................................... 0.14 ------ Total from investment operations.......... 0.39 ------ Net equalization credits and charges (6).. -- ------ Other capital (6)......................... -- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................... (0.18) Net realized gains........................ -- ------ Total distributions....................... (0.18) ------ NET ASSET VALUE, END OF PERIOD............ $26.26 ====== TOTAL RETURN (2).......................... 1.51% Net assets, end of period (in 000's)...... $5,252 Ratio of expenses to average net assets... 0.20%(3) Ratio of net investment income (loss) to average net assets...................... 2.14%(3) Portfolio turnover rate (4)............... 619%
* Commencement of operations (1) The amounts shown at this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. (2) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. (3) Annualized. (4) Portfolio Turnover rate excludes securities received or delivered from in kind processing of creations or redemptions. (5) Amount is less than $0.005 per share. (6) Per share numbers have been calculated using the average shares method. (7) If the adviser had not made a voluntary contribution in 2009 to the SPDR Barclays Capital High Yield Bond ETF, the total return would have been (10.44)%. See accompanying notes to financial statements. 124 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS JUNE 30, 2009 - -------------------------------------------------------------------------------- 1. ORGANIZATION The SPDR Series Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended ("1940 Act"), is an open-end investment management company that was organized as a Massachusetts business trust on June 12, 1998. As of June 30, 2009, the Trust offered forty-four (44) portfolios, each of which represents a separate series of beneficial interest in the Trust (each referred to as a "Fund", collectively as the "Funds"). The financial statements herein relate to the following seventeen (17) Funds: SPDR Barclays Capital 1-3 Month T- Bill ETF, SPDR Barclays Capital TIPS ETF, SPDR Barclays Capital Intermediate Term Treasury ETF, SPDR Barclays Capital Long Term Treasury ETF, SPDR Barclays Capital Aggregate Bond ETF, SPDR Barclays Capital Municipal Bond ETF, SPDR Barclays Capital California Municipal Bond ETF, SPDR Barclays Capital New York Municipal Bond ETF, SPDR Barclays Capital Short Term Municipal Bond ETF, SPDR DB International Government Inflation-Protected Bond ETF, SPDR Barclays Capital International Treasury Bond ETF, SPDR Barclays Capital High Yield Bond ETF, SPDR Barclays Capital Short Term International Treasury Bond ETF, SPDR Barclays Capital Intermediate Term Credit Bond ETF, SPDR Barclays Capital Long Term Credit Bond ETF, SPDR Barclays Capital Convertible Bond ETF and SPDR Barclays Capital Mortgage Backed Bond ETF. Each SPDR Barclays Capital ETF named above, except SPDR Barclays Capital TIPS ETF was formerly a SPDR Lehman ETF. The name change occurred during the period as a result of Barclays Capital acquiring the Lehman Indexes. Each Fund operates as a non-diversified investment company. The investment objective of each Fund is to replicate as closely as possible, before expenses and fees, the price and yield or total return performance of a specified market index. The other twenty-seven (27) Funds are included in a separate Annual Report. Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. The Trust invests in various investments which 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 a Fund involves risks similar to those of investing in any fund of fixed income securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in bond prices. An investor in a Fund should anticipate that the value of a Fund's shares will decline, more or less, in correlation with any decline in the value of the Fund's benchmark index. The values of fixed income securities could decline generally or could underperform other investments. Further, a Fund would not sell a fixed income security because the security's issuer was in financial trouble unless that security is removed from a Fund's benchmark index. 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. SECURITY VALUATION The value of each Fund's portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in open-end investment companies are valued at their net asset value each business day. U.S. fixed income 125 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- securities may be valued as of the announced closing time for trading in fixed income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. If a security's market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the "Board") believes will better reflect fair value in accordance with the Trust's valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the "Committee"). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Fund's net asset value may reflect certain portfolio securities' fair values rather than their market prices. Effective July 1, 2008, the Funds adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." This standard defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. Various inputs are used in determining the value of the Funds' investments. These inputs are summarized in the three broad levels listed below. - - Level 1 -- quoted prices in active markets for identical investments. - - Level 2 -- other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) - - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds' net assets are computed and that may materially affect the value of the Funds' investments). Examples of events that may be "significant events" are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations. Fair value pricing could result in a difference between the prices used to calculate a Fund's net asset value and the prices used by the Fund's benchmark index, which, in turn, could result in a difference between the Fund's performance and the performance of the Fund's benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. 126 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The following table summarizes the inputs used in valuing the Funds' investments, as of June 30, 2009:
LEVEL 2 - LEVEL 3 - LEVEL 1 - OTHER SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL - ----------------- ----------- ----------------- ------------ -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF...... $ 509,341 $ 985,434,467 $-- $ 985,943,808 SPDR Barclays Capital TIPS ETF.................. 58,691,641 285,804,025 -- 344,495,666 SPDR Barclays Capital Intermediate Term Treasury ETF........................................... 29,388,612 141,888,833 -- 171,277,445 SPDR Barclays Capital Long Term Treasury ETF.... 3,381,676 16,257,601 -- 19,639,277 SPDR Barclays Capital Aggregate Bond ETF........ 99,373,016 199,602,437 -- 298,975,453 SPDR Barclays Capital Municipal Bond ETF........ 5,708,553 568,493,125 -- 574,201,678 SPDR Barclays Capital California Municipal Bond ETF........................................... 216,644 39,860,685 -- 40,077,329 SPDR Barclays Capital New York Municipal Bond ETF........................................... 728,368 14,670,286 -- 15,398,654 SPDR Barclays Capital Short Term Municipal Bond ETF........................................... 6,006,808 488,096,125 -- 494,102,933 SPDR DB International Government Inflation- Protected Bond ETF............................ 587,229 387,611,927 -- 388,199,156 SPDR Barclays Capital International Treasury Bond ETF...................................... 43,064,962 1,038,924,007 -- 1,081,988,969 SPDR Barclays Capital High Yield Bond ETF....... 17,410,929 1,838,106,752 -- 1,855,517,681 SPDR Barclays Capital Short Term International Treasury Bond ETF............................. 923,049 9,312,762 -- 10,235,811 SPDR Barclays Capital Intermediate Term Credit Bond ETF...................................... 762,741 26,723,175 -- 27,485,916 SPDR Barclays Capital Long Term Credit Bond ETF........................................... 55,527 6,487,532 -- 6,543,059 SPDR Barclays Capital Convertible Bond ETF...... 727,042 43,140,955 -- 43,867,997 SPDR Barclays Capital Mortgage Backed Bond ETF.. 5,203,681 5,205,746 -- 10,409,427
LEVEL 2 - LEVEL 3 - LEVEL 1 - OTHER SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE SPDR SERIES TRUST-OTHER FINANCIAL INSTRUMENTS* PRICES INPUTS INPUTS TOTAL - ---------------------------------------------- --------- ----------------- ------------ ----------- SPDR Barclays Capital International Treasury Bond ETF..................................... $-- $ (373,385) $-- $ (373,385) SPDR Barclays Capital High Yield Bond ETF...... -- (1,414,694) -- (1,414,694) SPDR Barclays Capital Short Term International Treasury Bond ETF............................ -- (17,214) -- (17,214)
* Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forward foreign currency contracts, and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157 when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Funds' investments by debt securities issued by the U.S. government or U.S. government agencies, Corporate debt securities, commercial mortgage obligations, debt issued by state of the U.S. and political subdivisions of states. In March 2008, Statement of Financial Accounting Standards 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161") was issued and is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position. 127 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure at June 30, 2009.
LIABILITY DERIVATIVE ----------------------------------------------------------------------- INTEREST FOREIGN RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS RISK RISK RISK RISK RISK RISK --------- --------- ----------- --------- --------- --------- SPDR Barclays Capital International Treasury Bond ETF(b).............. Forward Contract $-- $(373,385) $ -- $-- $-- $-- SPDR Barclays Capital High Yield Bond ETF(a)........ Swap Contract -- -- (7,640,388) -- -- -- SPDR Barclays Capital Short Term International Treasury Bond ETF(b)..... Forward Contract -- (17,214) -- -- -- -- LIABILITY DERIVATIVE ----------- TOTAL ----------- SPDR Barclays Capital International Treasury Bond ETF(b).............. $ (373,385) SPDR Barclays Capital High Yield Bond ETF(a)........ (7,640,388) SPDR Barclays Capital Short Term International Treasury Bond ETF(b)..... (17,214)
(a) Swap Contracts, at value (b) Unrealized Depreciation on Forward Foreign Currency Contracts
REALIZED GAIN (LOSS) --------------------------------------------------------------------- INTEREST FOREIGN RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS RISK RISK RISK RISK RISK RISK --------- --------- --------- --------- --------- --------- SPDR DB International Government Inflation- Protected Bond ETF(b)...... Forward Contract $-- $(367,047) $ -- $-- $-- $-- SPDR Barclays Capital International Treasury Bond ETF(b)..................... Forward Contract -- (918,113) -- -- -- -- SPDR Barclays Capital High Yield Bond ETF(a).......... Swap Contract -- -- 50,001 -- -- -- SPDR Barclays Capital Short Term International Treasury Bond ETF(b)................ Forward Contract -- 1,257 -- -- -- -- REALIZED GAIN (LOSS) --------- TOTAL --------- SPDR DB International Government Inflation- Protected Bond ETF(b)...... $(367,047) SPDR Barclays Capital International Treasury Bond ETF(b)..................... (918,113) SPDR Barclays Capital High Yield Bond ETF(a).......... 50,001 SPDR Barclays Capital Short Term International Treasury Bond ETF(b)................ 1,257
(a) Realized Gain (Loss) on Swap Contracts (b) Realized Gain (Loss) on Forward Foreign Currency Contracts
CHANGE IN APPRECIATION (DEPRECIATION) ----------------------------------------------------------------------- INTEREST FOREIGN RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS RISK RISK RISK RISK RISK RISK --------- --------- ----------- --------- --------- --------- SPDR DB International Government Inflation- Protected Bond ETF(b).... Forward Contract $-- $ (2,024) $ -- $-- $-- $-- SPDR Barclays Capital International Treasury Bond ETF(b).............. Forward Contract -- (564,070) -- -- -- -- SPDR Barclays Capital High Yield Bond ETF(a)........ Swap Contract -- -- (1,414,694) -- -- -- SPDR Barclays Capital Short Term International Treasury Bond ETF(b)..... Forward Contract -- (17,214) -- -- -- -- CHANGE IN APPRECIA- TION (DEPRECIA- TION) ----------- TOTAL ----------- SPDR DB International Government Inflation- Protected Bond ETF(b).... $ (2,024) SPDR Barclays Capital International Treasury Bond ETF(b).............. (564,070) SPDR Barclays Capital High Yield Bond ETF(a)........ (1,414,694) SPDR Barclays Capital Short Term International Treasury Bond ETF(b)..... (17,214)
(a) Unrealized appreciation (depreciation) on swap contracts (b) Unrealized appreciation (depreciation) on Forward Foreign Currency Contracts INVESTMENT INCOME Interest income is recorded on the accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. EXPENSES Advisory fees and other expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees fees and other expenses which cannot be attributed to a Fund are allocated in such a manner as deemed equitable, taking into consideration the relative net assets of the Funds. 128 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- EQUALIZATION The Funds follow the accounting practice known as "Equalization" by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. INVESTMENT TRANSACTIONS Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including dividends) are recorded net of foreign tax holdings. FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS The accounting records of the Funds are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of misappropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. FORWARD FOREIGN CURRENCY CONTRACTS The SPDR DB International Government Inflation-Protected Bond ETF, SPDR Barclays Capital International Treasury Bond ETF and the SPDR Barclays Capital Short Term International Treasury Bond ETF may enter into forward foreign currency contracts to hedge their portfolio holdings against future movements in certain foreign currency exchange rates. A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a set price. The forward currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts to sell limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of the contracts. MORTGAGE DOLLAR ROLLS The SPDR Barclays Capital Aggregate Bond ETF and the SPDR Barclays Capital Mortgage Backed Bond ETF may enter into mortgage dollar roll transactions with respect to mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities on a fixed date. The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Fund receives compensation as consideration for entering into the commitment to repurchase. 129 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract. Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Fund is able to repurchase them. There can be no assurance that the Funds' use of the cash that it receives from a mortgage dollar roll will provide a return that exceeds its costs. The Funds' use of to-be announced ("TBA") mortgage dollar rolls may cause the fund to experience higher transaction costs. WHEN ISSUED/DELAYED DELIVERY SECURITIES The SPDR Barclays Capital Aggregate Bond ETF and SPDR Barclays Capital Mortgage Backed Bond ETF may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. At the time a Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment. Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities. INFLATION-INDEXED INSTRUMENTS The SPDR Barclays Capital TIPS ETF and SPDR DB International Government Inflation-Protected Bond ETF may invest almost exclusively in inflation-indexed instruments which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these instruments is generally fixed at issuance at a rate lower than typical bonds or notes. Over the life of an inflation-indexed instrument, however, interest will be paid based on a principal value, which is adjusted for any inflation or deflation. Any increase or decrease in the principal amount of an inflation- indexed instrument will result in an adjustment of interest income which is distributed to shareholders monthly. Investors will receive their inflation- adjusted principal at maturity. Deflation may cause fund dividends to be suspended. SWAP AGREEMENTS Each Fund may enter into swap agreements; including interest rate, index, total return and credit default swap agreements. The Funds will enter into swap agreements to gain market exposure. Swap agreements are contracts between parties in which one party agrees to make periodic payments to the other party based on the change in market value or level of a specified rate, index or asset. In return, the other party agrees to make payments to the first party based on the return of a different specified rate, index or asset. Swap agreements will usually be done on a net basis, i.e., where the two parties make net payments with a Fund receiving or paying, as the case may be, only the net amount of the two payments. The net amount of the excess, if any, of a Fund's obligations over its entitlements with respect to each swap is accrued on a daily basis and an amount of cash or equivalents having an aggregate value at least equal to the accrued excess is maintained by the Fund. Entering into these agreements involves, to varying degrees, market risk, liquidity risk, interest rate risk, and counterparty risk. In the case of a credit default swap ("CDS"), the contract gives one party (the buyer) the right to recoup the economic value of a decline in the value of debt securities of the reference issuer if a credit event (a downgrade or default) occurs. This value is obtained by delivering a debt security of the reference issuer to the party in return for a previously agreed payment from the other party (frequently, the par value of the debt security). If a Fund buys protection through a CDS contract and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. As the seller of a CDS contract, a Fund would be required to pay the par (or other agreed upon) value of a referenced debt obligation to the counterparty in the event of a default or other credit event by the reference issuer, such as a U.S. or foreign corporate issuer, with respect to debt obligations. In return, the Fund would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, a Fund would keep the stream of payments and would have no payment obligations. As the seller, the Fund would be subject to investment exposure on the notional amount of the swap. Under the terms of a CDS contract, a Fund receives or makes payments 130 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- quarterly based on a specified interest rate on a notional amount. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of upfront payment, as realized gains or losses. FEDERAL INCOME TAX The Funds have qualified and intend to continue to qualify for and elect treatment as "regulated investment companies" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions, foreign currencies and losses deferred due to wash sales. Additionally, based on the Fund's understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which the applicable Funds invest, the Funds will provide for foreign taxes and, where appropriate, deferred foreign taxes. The Funds have reviewed the tax positions for the open tax years as of June 30, 2009 and have determined that no provision for income tax is required in the Funds' Financial Statements. The Funds' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. For the year ended June 30, 2009, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:
NET GAIN (LOSS) RECLASSIFIED TO PAID IN CAPITAL ------------------ SPDR Barclays Capital 1-3 Month T-Bill ETF............................. $ 6,928 SPDR Barclays Capital TIPS ETF......................................... 611,127 SPDR Barclays Capital Intermediate Term Treasury ETF................... 626,347 SPDR Barclays Capital Long Term Treasury ETF........................... 1,649,125 SPDR Barclays Capital Aggregate Bond ETF............................... 139,615 SPDR Barclays Capital Municipal Bond ETF............................... (4,302) SPDR Barclays Capital California Muncipal Bond ETF..................... -- SPDR Barclays Capital New York Municipal Bond ETF...................... -- SPDR Barclays Capital Short Term Municipal Bond ETF.................... (50,621) SPDR DB International Government Inflation-Protected Bond ETF.......... -- SPDR Barclays Capital International Treasury Bond ETF.................. -- SPDR Barclays Capital High Yield Bond ETF.............................. (5,438,378) SPDR Barclays Capital Short Term International Treasury Bond ETF....... -- SPDR Barclays Capital Intermediate Term Credit Bond ETF................ -- SPDR Barclays Capital Long Term Credit Bond ETF........................ -- SPDR Barclays Capital Convertible Bond ETF............................. (750) SPDR Barclays Capital Mortgage Backed Bond ETF......................... --
131 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- At June 30, 2009, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains expiring June 30:
2016 2017 ------- ----------- SPDR Barclays Capital 1-3 Month T-Bill ETF.......................... $ -- $ -- SPDR Barclays Capital TIPS ETF...................................... (1,158) (663,850) SPDR Barclays Capital Intermediate Term Treasury ETF................ -- -- SPDR Barclays Capital Long Term Treasury ETF........................ -- -- SPDR Barclays Capital Aggregate Bond ETF............................ -- -- SPDR Barclays Capital Municipal Bond ETF............................ -- (154,251) SPDR Barclays Capital California Muncipal Bond ETF.................. -- (63,199) SPDR Barclays Capital New York Municipal Bond ETF................... -- (99,863) SPDR Barclays Capital Short Term Municipal Bond ETF................. -- (5,908) SPDR DB International Government Inflation-Protected Bond ETF....... -- (3,663,114) SPDR Barclays Capital International Treasury Bond ETF............... -- -- SPDR Barclays Capital High Yield Bond ETF........................... -- (4,963,127) SPDR Barclays Capital Short Term International Treasury Bond ETF.... -- -- SPDR Barclays Capital Intermediate Term Credit Bond ETF............. -- -- SPDR Barclays Capital Long Term Credit Bond ETF..................... -- -- SPDR Barclays Capital Convertible Bond ETF.......................... -- -- SPDR Barclays Capital Mortgage Backed Bond ETF...................... -- --
Under current tax laws, capital and currency losses realized after October 31, may be deferred and treated as occurring on the first day of the following year. The Funds incurred the following losses during the period November 1, 2008 through June 30, 2009 that are deferred for tax purposes until fiscal 2010:
DEFERRED LOSSES --------------- SPDR Barclays Capital 1-3 Month T-Bill ETF............................... $ -- SPDR Barclays Capital TIPS ETF........................................... (407,120) SPDR Barclays Capital Intermediate Term Treasury ETF..................... -- SPDR Barclays Capital Long Term Treasury ETF............................. -- SPDR Barclays Capital Aggregate Bond ETF................................. -- SPDR Barclays Capital Municipal Bond ETF................................. (941,578) SPDR Barclays Capital California Municipal Bond ETF...................... (218,078) SPDR Barclays Capital New York Municipal Bond ETF........................ (113,102) SPDR Barclays Capital Short Term Municipal Bond ETF...................... (66,970) SPDR DB International Government Inflation-Protected Bond ETF............ (9,078,355) SPDR Barclays Capital International Treasury Bond ETF.................... (13,854,592) SPDR Barclays Capital High Yield Bond ETF................................ (71,278,235) SPDR Barclays Capital Short Term International Treasury Bond ETF......... -- SPDR Barclays Capital Intermediate Term Credit Bond ETF.................. -- SPDR Barclays Capital Long Term Credit Bond ETF.......................... -- SPDR Barclays Capital Convertible Bond ETF............................... -- SPDR Barclays Capital Mortgage Backed Bond ETF........................... --
For the year ended June 30, 2009, there were no significant differences between the book basis and the tax basis character of distributions to shareholders. 132 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The tax character of distributions paid during the year ended June 30, 2009, was as follows:
LONG-TERM ORDINARY TAX EXEMPT CAPITAL RETURN OF INCOME INCOME GAINS CAPITAL ------------ ----------- --------- ---------- SPDR Barclays Capital 1-3 Month T-Bill ETF..... $ 4,518,983 $ -- $ -- $ -- SPDR Barclays Capital TIPS ETF................. 3,864,782 -- -- -- SPDR Barclays Capital Intermediate Term Treasury ETF................................. 2,206,659 -- -- -- SPDR Barclays Capital Long Term Treasury ETF... 675,285 -- -- -- SPDR Barclays Capital Aggregate Bond ETF....... 6,443,123 -- 8,327 -- SPDR Barclays Capital Municipal Bond ETF....... -- 14,785,405 -- -- SPDR Barclays Capital California Muncipal Bond ETF.......................................... -- 1,135,504 -- -- SPDR Barclays Capital New York Municipal Bond ETF.......................................... -- 524,366 -- -- SPDR Barclays Capital Short Term Municipal Bond ETF.......................................... -- 6,169,703 -- -- SPDR DB International Government Inflation- Protected Bond ETF........................... 183,415 -- -- 8,197,947 SPDR Barclays Capital International Treasury Bond ETF..................................... 18,485,525 -- -- -- SPDR Barclays Capital High Yield Bond ETF...... 111,409,271 -- -- -- SPDR Barclays Capital Short Term International Treasury Bond ETF............................ 9,738 -- -- -- SPDR Barclays Capital Intermediate Term Credit Bond ETF..................................... 321,031 -- -- -- SPDR Barclays Capital Long Term Credit Bond ETF.......................................... 93,868 -- -- -- SPDR Barclays Capital Convertible Bond ETF..... 238,677 -- -- -- SPDR Barclays Capital Mortgage Backed Bond ETF.......................................... 36,320 -- -- --
133 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- The tax character of distributions paid during the year ended June 30, 2008, was as follows:
ORDINARY INCOME TAX EXEMPT INCOME --------------- ----------------- SPDR Barclays Capital 1-3 Month T-Bill ETF.................. $4,990,990 $ -- SPDR Barclays Capital TIPS ETF.............................. 3,165,753 -- SPDR Barclays Capital Intermediate Term Treasury ETF........ 824,240 -- SPDR Barclays Capital Long Term Treasury ETF................ 777,967 -- SPDR Barclays Capital Aggregate Bond ETF.................... 2,317,464 -- SPDR Barclays Capital Municipal Bond ETF.................... -- 3,509,293 SPDR Barclays Capital California Municipal Bond ETF......... -- 397,711 SPDR Barclays Capital New York Municipal Bond ETF........... -- 336,056 SPDR Barclays Capital Short Term Municipal Bond ETF......... -- 893,716 SPDR DB International Government Inflation-Protected Bond ETF....................................................... 1,166,932 -- SPDR Barclays Capital International Treasury Bond ETF....... 8,816,601 -- SPDR Barclays Capital High Yield Bond ETF................... 9,010,627 --
For the year ended June 30, 2009 there were no significant differences between the book basis and tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in value of investments attributable to the tax deferral of losses on wash sales and the deferral of post-October losses. As of June 30, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED UNDISTRIBUTED NET UNREALIZED ORDINARY TAX EXEMPT LONG-TERM APPRECIATION INCOME INCOME CAPITAL GAINS (DEPRECIATION) ------------- ------------- ------------- -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF... $ -- $ -- $ -- $ (24,508) SPDR Barclays Capital TIPS ETF............... -- -- -- 1,144,805 SPDR Barclays Capital Intermediate Term Treasury ETF............................... 230,339 -- 43,355 (97,765) SPDR Barclays Capital Long Term Treasury ETF........................................ 55,721 -- -- (28,356) SPDR Barclays Capital Aggregate Bond ETF..... 2,784,716 -- 287,987 42,299 SPDR Barclays Capital Municipal Bond ETF..... -- 1,075,266 -- 4,803,755 SPDR Barclays Capital California Municipal Bond ETF................................... -- 112,673 -- (593,252) SPDR Barclays Capital New York Municipal Bond ETF........................................ -- 43,871 -- (101,759) SPDR Barclays Capital Short Term Municipal Bond ETF................................... -- 395,714 -- 7,001,406 SPDR DB International Government Inflation- Protected Bond ETF......................... -- -- -- (16,910,267) SPDR Barclays Capital International Treasury Bond ETF................................... -- -- -- (5,272,199) SPDR Barclays Capital High Yield Bond ETF.... 9,796,185 -- -- 68,831,186 SPDR Barclays Capital Short Term International Treasury Bond ETF............ 132,623 -- -- 442,553 SPDR Barclays Capital Intermediate Term Credit Bond ETF............................ 92,476 -- -- 533,381 SPDR Barclays Capital Long Term Credit Bond ETF........................................ 48,750 -- -- 612,590 SPDR Barclays Capital Convertible Bond ETF... 365,195 -- -- 1,203,581 SPDR Barclays Capital Mortgage Backed Bond ETF........................................ 49,830 -- -- (293)
DISTRIBUTIONS Each Fund declares and distributes dividends from net investment income, if any, to its shareholders monthly. Each Fund distributes net realized capital gains, if any, at least annually. Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. 134 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY TRANSACTIONS ADVISORY FEE Each Fund has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the "Adviser"). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund's average daily net assets as shown in the following table:
ANNUAL RATE ----------- SDPR Barclays Capital 1-3 Month T-Bill ETF....................... 0.1345% SDPR Barclays Capital TIPS ETF................................... 0.1845 SDPR Barclays Capital Intermediate Term Treasury ETF............. 0.1345 SDPR Barclays Capital Long Term Treasury ETF..................... 0.1345 SDPR Barclays Capital Aggregate Bond ETF......................... 0.1845* SDPR Barclays Capital Municipal Bond ETF......................... 0.3000* SDPR Barclays Capital California Municipal Bond ETF.............. 0.2000 SDPR Barclays Capital New York Municipal Bond ETF................ 0.2000 SDPR Barclays Capital Short Term Municipal Bond ETF.............. 0.2000 SDPR DB International Government Inflation-Protected Bond ETF.... 0.5000 SDPR Barclays Capital International Treasury Bond ETF............ 0.5000 SDPR Barclays Capital High Yield Bond ETF........................ 0.4000 SDPR Barclays Capital Short Term International Treasury Bond ETF............................................................ 0.3500 SDPR Barclays Capital Intermediate Term Credit Bond ETF.......... 0.1500 SDPR Barclays Capital Long Term Credit Bond ETF.................. 0.1500 SDPR Barclays Capital Convertible Bond ETF....................... 0.4000 SDPR Barclays Capital Mortgage Backed Bond ETF................... 0.2000
* The Adviser has contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.1345% and 0.2000% until October 31, 2009 for the SPDR Barclays Capital Aggregate Bond ETF and the SPDR Barclays Capital Municipal Bond ETF, respectively. The Adviser pays all expenses of each Fund other than the management fee, distribution fee pursuant to each Fund's Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee's counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses. On May 28, 2009 the Adviser agreed to make a voluntary contribution of $7,643,517 to the SPDR Barclays Capital High Yield Bond ETF to compensate the fund for losses associated with inadvertent participation in a tender offer. State Street Bank and Trust Company ("State Street"), an affiliate of the Adviser, receives fees for its services as Custodian, Administrator, and Transfer Agent from the Adviser. See also Note 4. State Street also acts as the securities lending agent for the Funds and receives a portion of any lending income. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio for which SSgA FM serves as the investment adviser. The State Street Navigator Securities Lending Prime Portfolio is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. See Note 8 for additional information regarding securities lending. 135 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- For the period July 1, 2008 through June 30, 2009, State Street earned securities lending agent fees as follows:
SECURITIES LENDING AGENT FEES ------------------ SPDR Barclays Capital 1-3 Month T-Bill ETF............................. $263,661 SPDR Barclays Capital TIPS ETF......................................... 64,010 SPDR Barclays Capital Intermediate Term Treasury ETF................... 43,977 SPDR Barclays Capital Long Term Treasury ETF........................... 8,597 SPDR Barclays Capital Aggregate Bond ETF............................... 45,506 SPDR Barclays Capital Municipal Bond ETF............................... -- SPDR Barclays Capital California Muncipal Bond ETF..................... -- SPDR Barclays Capital New York Municipal Bond ETF...................... -- SPDR Barclays Capital Short Term Municipal Bond ETF.................... -- SPDR DB International Government Inflation-Protected Bond ETF.......... 2,649 SPDR Barclays Capital International Treasury Bond ETF.................. 10,136 SPDR Barclays Capital High Yield Bond ETF.............................. -- SPDR Barclays Capital Short Term International Treasury Bond ETF....... -- SPDR Barclays Capital Intermediate Term Credit Bond ETF................ -- SPDR Barclays Capital Long Term Credit Bond ETF........................ -- SPDR Barclays Capital Convertible Bond ETF............................. -- SPDR Barclays Capital Mortgage Backed Bond ETF......................... --
DISTRIBUTOR State Street Global Markets, LLC (the "Distributor"), an affiliate of the Adviser, serves as the distributor of the shares of each Fund. Pursuant to a Distribution Plan and Agreement, pursuant to Rule 12b-1 under the 1940 Act, each Fund is authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. However, the Board of Trustees has determined that no such payments will be made through at least October 31, 2009 and therefore no such payments have been made to the Distributor. The Distributor has established an assisted trading program to aid Authorized Participants in certain creation and redemption activity for which the Distributor receives commissions from Authorized Participants. In addition, the Distributor receives compensation from State Street associated with on-line creation and redemption activity of Authorized Participants. TRUSTEES' FEES The Trust and SPDR Index Share Funds ("SIS Trust") pay, in the aggregate, each Independent Trustee an annual fee of $90,000 plus $5,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chair of the Board receives an additional annual fee of $25,000 and the Chair of the Audit Committee receives an additional annual fee of $10,000. The Trust also reimburses each Independent Trustee for travel and other out-of- pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated between the Trust and SIS Trust and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series. Prior to April 20, 2009, the Trust paid each Independent Trustee an annual fee of $60,000 plus $3,000 per in person meeting attended and $1,000 for each meeting attended via telephone or video conference and the Chair of the Audit Committee received an additional annual fee of $9,000. TRANSACTIONS WITH AFFILIATES Each Fund may invest in the shares of certain money market funds managed by the Adviser, including the State Street Institutional Liquid Reserves Fund ("Liquid Reserves Fund") and State Street Institutional Tax Free Money Market 136 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- Fund ("Tax Free Money Market Fund"), both a series of State Street Institutional Investment Trust. The Liquid Reserves Fund and Tax Free Money Market Fund are both feeder funds in a master/feeder fund structure that invest substantially all of their assets in the State Street Money Market Portfolio and State Street Tax Free Money Market Portfolio, respectively, each a series of State Street Master Funds ("Master Portfolio"). The Liquid Reserves Fund and Tax Free Money Market Fund do not pay an investment advisory fee to the Adviser, but the respective Master Portfolio in which they invest pays an investment advisory fee to the Adviser. The Liquid Reserves Fund and Tax Free Money Market Fund intend to declare dividends on shares from net investment income daily and pay them as of the last business day of each month. All income distributions earned by the Funds from affiliated money market funds are recorded as interest income on securities of affiliated issuers in the accompanying Statement of Operations. In addition, cash collateral from lending activities is invested in the State Street Navigator Lending Prime Portfolio ("Navigator") for which SSgA PM serves as the investment adviser. Navigator is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. Amounts related to investments in each Fund at June 30, 2009 and for the period then ended are:
PURCHASED SOLD VALUE AT ------------------------- ------------------------ VALUE AT LIQUID RESERVES FUND 6/30/08 COST SHARES PROCEEDS SHARES 6/30/09 INCOME - -------------------- ----------- ----------- ----------- ----------- ----------- ----------- -------- SPDR Barclays Capital 1-3 Month T- Bill ETF........................... $ 327,088 68,397,071 68,397,071 68,214,818 68,214,818 $ 509,341 $ 10,693 SPDR Barclays Capital TIPS ETF....... 12,260 4,942,225 4,942,225 4,687,884 4,687,884 266,601 3,027 SPDR Barclays Capital Intermediate Term Treasury ETF.................. 89,760 5,977,489 5,977,489 5,904,670 5,904,670 162,579 3,038 SPDR Barclays Capital Long Term Treasury ETF....................... 331 1,395,525 1,395,525 1,381,085 1,381,085 14,771 731 SPDR Barclays Capital Aggregate Bond ETF................................ 3,112,372 162,192,458 162,192,458 95,451,684 95,451,684 69,853,146 423,105 SPDR DB International Government Inflation-Protected Bond ETF....... 51,056 46,423,123 46,423,123 46,450,310 46,450,310 23,869 12,694 SPDR Barclays Capital International Treasury Bond ETF.................. 18,968,224 157,684,173 157,684,173 147,123,080 147,123,080 29,529,317 429,875 SPDR Barclays Capital High Yield Bond ETF................................ 6,684,245 510,379,514 510,379,514 499,652,830 499,652,830 17,410,929 227,576 SPDR Barclays Capital Short Term International Treasury Bond ETF.... -- 1,883,205 1,883,205 960,156 960,156 923,049 1,892 SPDR Barclays Capital Intermediate Term Credit Bond ETF............... -- 2,128,997 2,128,997 1,366,256 1,366,256 762,741 1,476 SPDR Barclays Capital Long Term Credit Bond ETF.................... -- 1,901,205 1,901,205 1,845,678 1,845,678 55,527 186 SPDR Barclays Capital Convertible Bond ETF........................... -- 13,155,749 13,155,749 12,428,707 12,428,707 727,042 887 SPDR Barclays Capital Mortgage Backed Bond ETF........................... -- 5,536,381 5,536,381 332,700 332,700 5,203,681 15,331 REALIZED LIQUID RESERVES FUND GAIN/(LOSS) - -------------------- ----------- SPDR Barclays Capital 1-3 Month T- Bill ETF........................... $-- SPDR Barclays Capital TIPS ETF....... -- SPDR Barclays Capital Intermediate Term Treasury ETF.................. -- SPDR Barclays Capital Long Term Treasury ETF....................... -- SPDR Barclays Capital Aggregate Bond ETF................................ -- SPDR DB International Government Inflation-Protected Bond ETF....... -- SPDR Barclays Capital International Treasury Bond ETF.................. -- SPDR Barclays Capital High Yield Bond ETF................................ -- SPDR Barclays Capital Short Term International Treasury Bond ETF.... -- SPDR Barclays Capital Intermediate Term Credit Bond ETF............... -- SPDR Barclays Capital Long Term Credit Bond ETF.................... -- SPDR Barclays Capital Convertible Bond ETF........................... -- SPDR Barclays Capital Mortgage Backed Bond ETF........................... --
PURCHASED SOLD VALUE AT ----------------------------- ---------------------------- VALUE AT NAVIGATOR 6/30/08 COST SHARES PROCEEDS SHARES 6/30/09 INCOME - --------- ---------- ------------- ------------- ------------- ------------- ---------- --------- SPDR Barclays Capital 1-3 Month T- Bill ETF......................... 73,495,181 3,159,453,065 3,159,453,065 3,232,948,246 3,232,948,246 -- 1,496,992 SPDR Barclays Capital TIPS ETF..... 26,647,080 169,394,261 169,394,261 137,616,301 137,616,301 58,425,040 363,389 SPDR Barclays Capital Intermediate Term Treasury ETF................ 12,637,933 64,803,104 64,803,104 48,215,008 48,215,008 29,226,029 249,608 SPDR Barclays Capital Long Term Treasury ETF..................... 3,014,608 27,540,578 27,540,578 27,188,281 27,188,281 3,366,905 48,798 SPDR Barclays Capital Aggregate Bond ETF......................... 19,106,254 117,123,956 117,123,956 106,710,340 106,710,340 29,519,870 258,375 SPDR DB International Government Inflation-Protected Bond ETF..... 1,449,068 8,028,447 8,028,447 8,914,155 8,914,155 563,360 15,049 SPDR Barclays Capital International Treasury Bond ETF................ -- 61,712,434 61,712,434 48,176,789 48,176,789 13,535,645 57,507 REALIZED NAVIGATOR GAIN/(LOSS) - --------- ----------- SPDR Barclays Capital 1-3 Month T- Bill ETF......................... -- SPDR Barclays Capital TIPS ETF..... -- SPDR Barclays Capital Intermediate Term Treasury ETF................ -- SPDR Barclays Capital Long Term Treasury ETF..................... -- SPDR Barclays Capital Aggregate Bond ETF......................... -- SPDR DB International Government Inflation-Protected Bond ETF..... -- SPDR Barclays Capital International Treasury Bond ETF................ --
PURCHASED SOLD VALUE AT -------------------------- ------------------------- VALUE AT TAX FREE MONEY MARKET FUND 6/30/08 COST SHARES PROCEEDS SHARES 6/30/09 INCOME - -------------------------- ---------- ------------ ----------- ------------ ----------- ---------- -------- SPDR Barclays Capital Municipal Bond ETF................................ $ 612,570 $264,070,235 264,070,235 $258,974,252 258,974,252 $5,708,553 $108,574 SPDR Barclays Capital California Municipal Bond ETF................. 43,702 23,169,777 23,169,777 22,996,835 22,966,835 216,644 14,341 SPDR Barclays Capital New York Municipal Bond ETF................. 283,700 5,939,590 5,939,590 5,494,922 5,494,922 728,368 5,881 SPDR Barclays Capital Short Term Municipal Bond ETF................. 6,086,569 296,822,527 296,822,527 296,902,288 296,902,288 6,006,808 122,389 REALIZED TAX FREE MONEY MARKET FUND GAIN/(LOSS) - -------------------------- ----------- SPDR Barclays Capital Municipal Bond ETF................................ $-- SPDR Barclays Capital California Municipal Bond ETF................. -- SPDR Barclays Capital New York Municipal Bond ETF................. -- SPDR Barclays Capital Short Term Municipal Bond ETF................. --
137 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 4. SHAREHOLDER TRANSACTIONS With the exception of the Trust's dividend reinvestment plan, shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 100,000 shares. Such transactions may be on an in-kind or cash basis, depending on the Fund, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees ranging from of $250 to $1,500 per Creation Unit for each Fund regardless of the number of Creation Units that are created or redeemed on the same day, are charged to Authorized Participants. An additional variable fee may be charged for certain transactions. Transaction Fees from certain Creation Unit transactions are received by the Trust and/or Custodian and are used to defray related expenses. These fees are shown as other capital on the Statement of Changes in Net Assets. The Custodian also receives amounts earned on cash collateral provided by Authorized Participants pending delivery of missing deposit securities. 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation at June 30, 2009 were as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ ------------ -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF.... $ 985,968,316 $ -- $ 24,508 $ (24,508) SPDR Barclays Capital TIPS ETF................ 343,350,861 1,260,445 115,640 1,144,805 SPDR Barclays Capital Intermediate Term Treasury ETF................................ 171,375,210 744,433 842,198 (97,765) SPDR Barclays Capital Long Term Treasury ETF.. 19,667,633 53,384 81,740 (28,356) SPDR Barclays Capital Aggregate Bond ETF...... 298,933,154 1,679,326 1,637,027 42,299 SPDR Barclays Capital Municipal Bond ETF...... 569,397,923 10,196,371 5,392,616 4,803,755 SPDR Barclays Capital California Muncipal Bond ETF......................................... 40,670,581 386,377 979,629 (593,252) SPDR Barclays Capital New York Municipal Bond ETF......................................... 15,500,413 143,709 245,468 (101,759) SPDR Barclays Capital Short Term Municipal Bond ETF.................................... 487,101,527 7,545,066 543,660 7,001,406 SPDR DB International Government Inflation- Protected Bond ETF.......................... 405,258,506 8,039,165 25,098,515 (17,059,350) SPDR Barclays Capital International Treasury Bond ETF.................................... 1,087,631,916 13,878,106 19,521,053 (5,642,947) SPDR Barclays Capital High Yield Bond ETF..... 1,788,064,304 99,466,720 32,013,343 67,453,377 SPDR Barclays Capital Short Term International Treasury Bond ETF........................... 9,798,224 496,054 58,467 437,587 SPDR Barclays Capital Intermediate Term Credit Bond ETF.................................... 26,952,535 584,518 51,137 533,381 SPDR Barclays Capital Long Term Credit Bond ETF......................................... 5,930,469 638,418 25,828 612,590 SPDR Barclays Capital Convertible Bond ETF.... 42,664,416 1,807,576 603,995 1,203,581 SPDR Barclays Capital Mortgage Backed Bond ETF......................................... 10,416,095 12,430 19,098 (6,668)
138 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 6. INVESTMENT TRANSACTIONS For the year ended June 30, 2009, the Trust had in-kind contributions and in- kind redemptions as follows:
CONTRIBUTIONS REDEMPTIONS -------------- ------------ SPDR Barclays Capital 1-3 Month T-Bill ETF...................... $1,297,737,521 $596,183,209 SPDR Barclays Capital TIPS ETF.................................. 203,473,675 19,374,088 SPDR Barclays Capital Intermediate Term Treasury ETF............ 108,205,460 11,643,803 SPDR Barclays Capital Long Term Treasury ETF.................... 33,061,968 28,732,668 SPDR Barclays Capital Aggregate Bond ETF........................ 37,201,454 3,092,355 SPDR Barclays Capital Municipal Bond ETF........................ 8,308,596 4,225,800 SPDR Barclays Capital California Muncipal Bond ETF.............. -- -- SPDR Barclays Capital New York Municipal Bond ETF............... -- -- SPDR Barclays Capital Short Term Municipal Bond ETF............. -- 4,201,330 SPDR DB International Government Inflation-Protected Bond ETF... -- -- SPDR Barclays Capital International Treasury Bond ETF........... -- -- SPDR Barclays Capital High Yield Bond ETF....................... 942,726,885 30,918,340 SPDR Barclays Capital Short Term International Treasury Bond ETF........................................................... -- -- SPDR Barclays Capital Intermediate Term Credit Bond ETF......... 19,521,117 -- SPDR Barclays Capital Long Term Credit Bond ETF................. -- -- SPDR Barclays Capital Convertible Bond ETF...................... 19,214,844 147,188 SPDR Barclays Capital Mortgage Backed Bond ETF.................. -- --
The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions on the Statement of Changes. The table represents the accumulation of the Fund's daily net shareholder transactions while the Statement of Changes reflect gross shareholder transactions including any cash component of the transaction. For the year ended June 30, 2009, the Trust had purchases and sales of investment securities (excluding short-term securities -- with the exception of short term U.S. Treasury Bills in the case of SPDR Barclays Capital 1-3 Month T- Bill ETF), as follows:
U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES ------------------------------- --------------------------- PURCHASES SALES PURCHASES SALES -------------- -------------- ------------ ------------ SPDR Barclays Capital 1-3 Month T-Bill ETF.... $5,153,620,258 $5,157,517,595 $ -- $ -- SPDR Barclays Capital TIPS ETF................ 45,447,646 34,826,618 -- -- SPDR Barclays Capital Intermediate Term Treasury ETF................................ 45,041,817 43,689,330 -- -- SPDR Barclays Capital Long Term Treasury ETF.. 2,741,027 2,732,845 -- -- SPDR Barclays Capital Aggregate Bond ETF...... 774,690,475 732,962,447 22,935,072 15,670,894 SPDR Barclays Capital Municipal Bond ETF...... -- -- 318,978,504 12,408,026 SPDR Barclays Capital California Muncipal Bond ETF......................................... -- -- 29,778,599 6,341,284 SPDR Barclays Capital New York Municipal Bond ETF......................................... -- -- 6,357,430 4,134,901 SPDR Barclays Capital Short Term Municipal Bond ETF.................................... -- -- 384,460,253 11,760,304 SPDR DB International Government Inflation- Protected Bond ETF.......................... -- -- 343,424,241 121,804,141 SPDR Barclays Capital International Treasury Bond ETF.................................... -- -- 688,914,702 354,551,772 SPDR Barclays Capital High Yield Bond ETF..... -- -- 772,466,998 247,651,459 SPDR Barclays Capital Short Term International Treasury Bond ETF........................... -- -- 11,813,691 2,917,853 SPDR Barclays Capital Intermediate Term Credit Bond ETF.................................... -- -- 7,495,866 843,224 SPDR Barclays Capital Long Term Credit Bond ETF......................................... -- -- 7,537,290 1,676,762 SPDR Barclays Capital Convertible Bond ETF.... -- -- 25,290,706 2,799,924 SPDR Barclays Capital Mortgage Backed Bond ETF......................................... -- -- 37,049,284 31,965,739
139 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- 7. CONCENTRATION OF RISK The Funds' assets may be concentrated in a particular state or geographic area, or in a particular industry, group of industries or sector. Because each Fund will generally concentrate its investments to approximately the same extent that its index is so concentrated, a Fund may be adversely affected by the performance of bonds of a particular state or geographic area, or in a particular industry, group of industries or sector, and its shares may be subject to increased price volatility. In addition, if a Fund concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument. 8. SECURITIES LENDING Each Fund may lend securities up to 33 1/3% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. Proceeds collected by State Street on investment of cash collateral or any fee income is partially allocated to State Street as compensation for its lending services. The market value of securities on loan as of June 30, 2009 and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Securities lending income, as disclosed in the Funds' Statements of Operations, represent the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. 9. SUBSEQUENT EVENTS In accordance with the provisions set forth in FASB Statement of Financial Accounting Standards No. 165 "Subsequent Events", adopted by the Funds as of June 30, 2009, management has evaluated the possibility of subsequent events existing in the Funds' financial statements through August 25, 2009. Management has determined that there are no material events that would require disclosure in the Fund's financial statement through this date. 140 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Trustees of SPDR(R) Series Trust We have audited the accompanying statements of assets and liabilities of SPDR(R) Barclays Capital 1-3 Month T-Bill ETF (formerly "SPDR(R) Lehman 1-3 Month T-Bill ETF"), SPDR(R) Barclays Capital TIPS ETF, SPDR(R) Barclays Capital Intermediate Term Treasury ETF (formerly "SPDR(R) Lehman Intermediate Term Treasury ETF"), SPDR(R) Barclays Capital Long Term Treasury ETF (formerly "SPDR(R) Lehman Long Term Treasury ETF"), SPDR(R) Barclays Capital Aggregate Bond ETF (formerly "SPDR(R) Lehman Aggregate Bond ETF"), SPDR(R) Barclays Capital Municipal Bond ETF (formerly "SPDR(R) Lehman Municipal Bond ETF"), SPDR(R) Barclays Capital California Municipal Bond ETF (formerly "SPDR(R) Lehman California Municipal Bond ETF"), SPDR(R) Barclays Capital New York Municipal Bond ETF (formerly "SPDR(R) Lehman New York Municipal Bond ETF"), SPDR(R) Barclays Capital Short Term Municipal Bond ETF (formerly "SPDR(R) Lehman Short Term Municipal Bond ETF"), SPDR(R) DB International Government Inflation-Protected Bond ETF, SPDR(R) Barclays Capital International Treasury Bond ETF (formerly "SPDR(R) Lehman International Treasury Bond ETF"), SPDR(R) Barclays Capital High Yield Bond ETF (formerly "SPDR(R) Lehman High Yield Bond ETF"), SPDR(R) Barclays Capital Short Term International Treasury Bond ETF, SPDR(R) Barclays Capital Intermediate Term Credit Bond ETF, SPDR(R) Barclays Capital Long Term Credit Bond ETF, SPDR(R) Barclays Capital Convertible Bond ETF and SPDR(R) Barclays Capital Mortgage Backed Bond ETF, seventeen of the portfolios (collectively, the "Funds") comprising SPDR(R) Series Trust, including the schedules of investments, as of June 30, 2009, and the related statements of operations, statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits 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 and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2009 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above mentioned Funds of SPDR(R) Series Trust at June 30, 2009, the results of their operations, changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles. sig Boston, Massachusetts August 25, 2009 141 SPDR SERIES TRUST OTHER INFORMATION JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/OFFER MIDPOINT VS. NAV AS OF JUNE 30, 2009 The following charts are provided to show the frequency at which the daily market price on the NYSE Arca, Inc. ("Exchange"), the secondary market for shares of each Fund, was at a discount or premium to such Fund's daily net asset value ("NAV"). The market price of each Fund generally is determined using the midpoint between the highest bid and lowest offer on the Exchange, as of the time that the Fund's NAV is calculated (referred to as the "Bid/ Offer Midpoint"). Each Fund's Bid/Offer Midpoint may at times be at, above or below its NAV. The discount or premium is the percentage difference between the NAV and the Bid/Offer Midpoint of a Fund. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of NAV. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Bid/Offer Midpoint of each Fund will fluctuate in accordance with changes in its NAV, as well as supply and demand. SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (5/30/07) through 6/30/09....................... 2 0 0 0 0 0
SPDR BARCLAYS CAPITAL TIPS ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (5/30/07) through 6/30/09....................... 102 43 6 4 0 3
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (5/30/07) through 6/30/09....................... 17 3 1 5 0 1 -- - - - - -
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (5/30/07) through 6/30/09....................... 22 2 0 8 0 0
142 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (5/30/07) through 6/30/09....................... 116 37 30 5 5 6
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (9/13/07) through 6/30/09....................... 65 5 2 19 7 2
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BONDL ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (10/15/07) through 6/30/09....................... 75 36 21 39 26 20
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (10/15/07) through 6/30/09....................... 56 38 23 27 68 82
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (10/15/07) through 6/30/09....................... 31 3 2 15 6 5
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (3/19/08) through 6/30/09....................... 100 52 6 17 15 13
143 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (10/5/07) through 6/30/09....................... 96 17 2 17 6 5
SPDR BARCLAYS CAPITAL HGH YIELD BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (12/4/07) through 6/30/09....................... 66 94 111 15 4 5
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (1/27/09) through 6/30/09....................... 17 2 1 4 0 0
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (2/11/09) through 6/30/09....................... 1 47 48 0 0 0
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (3/11/09) through 6/30/09....................... 17 15 3 9 8 0
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (4/15/09) through 6/30/09....................... 15 19 3 0 0 0
144 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF FREQUENCY DISTRIBUTION OF DISCOUNT AND PREMIUMS BID/OFFER MIDPOINT VS. NAV
BID/OFFER MIDPOINT ABOVE BID/OFFER MIDPOINT BELOW NAV NAV --------------------------- --------------------------- 50-99 100-199 200 50-99 100-199 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------ ------- ------ ------ ------- ------ Commencement of Trading (1/27/09) through 6/30/09....................... 11 0 0 1 2 0
SHAREHOLDER EXPENSE EXAMPLE As a shareholder of a Fund, you incur two types of costs: (1) transaction costs which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, trustees fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested on January 1, 2009 and held for the six-months ended June 30, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Funds charge transaction fees ranging from $250 to $1,500 per transaction to those persons creating or redeeming Creation Units. Variable transaction fees may also apply. If you buy or sell Shares of the Fund in the secondary market, you will incur customary brokerage commissions and charges. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees on brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. 145 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* ACTUAL 1/1/09 6/30/09 1/1/09-6/30/09 - ------ ------------- ------------- -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF.......... $1,000 $1,000.70 $0.69 SPDR Barclays Capital TIPS ETF...................... 1,000 1,061.00 0.97 SPDR Barclays Capital Intermediate Term Treasury ETF............................................... 1,000 975.80 0.69 SPDR Barclays Capital Long Term Treasury ETF........ 1,000 881.00 0.65 SPDR Barclays Capital Aggregate Bond ETF............ 1,000 1,012.70 0.65 SPDR Barclays Capital Municipal Bond ETF............ 1,000 1,049.10 1.02 SPDR Barclays Capital California Municipal Bond ETF............................................... 1,000 1,049.40 1.02 SPDR Barclays Capital New York Municipal Bond ETF... 1,000 1,060.00 1.07 SPDR Barclays Capital Short Term Municipal Bond ETF............................................... 1,000 1,026.60 1.00 SPDR DB International Government Inflation-Protected Bond ETF.......................................... 1,000 1,097.00 2.60 SPDR Barclays Capital International Treasury Bond ETF............................................... 1,000 1,011.20 2.49 SPDR Barclays Capital High Yield Bond ETF........... 1,000 1,243.60 2.23 SPDR Barclays Capital Short Term International Treasury Bond ETF**............................... 1,000 1,062.20 1.70 SPDR Barclays Capital Intermediate Term Credit Bond ETF**............................................. 1,000 1,028.60 0.59 SPDR Barclays Capital Long Term Credit Bond ETF**... 1,000 1,127.00 0.49 SPDR Barclays Capital Convertible Bond ETF**........ 1,000 1,062.40 0.88 SPDR Barclays Capital Mortgage Backed Bond ETF**.... 1,000 1,015.10 0.92
BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* HYPOTHETICAL 1/1/09 6/30/09 1/1/09-6/30/09 - ------------ ------------- ------------- -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF.......... $1,000 $1,024.10 $0.70 SPDR Barclays Capital TIPS ETF...................... 1,000 1,023.85 0.95 SPDR Barclays Capital Intermediate Term Treasury ETF............................................... 1,000 1,024.10 0.70 SPDR Barclays Capital Long Term Treasury ETF........ 1,000 1,024.10 0.70 SPDR Barclays Capital Aggregate Bond ETF............ 1,000 1,024.15 0.65 SPDR Barclays Capital Municipal Bond ETF............ 1,000 1,023.80 1.00 SPDR Barclays Capital California Municipal Bond ETF............................................... 1,000 1,023.80 1.00 SPDR Barclays Capital New York Municipal Bond ETF... 1,000 1,023.75 1.05 SPDR Barclays Capital Short Term Municipal Bond ETF............................................... 1,000 1,023.80 1.00 SPDR DB International Government Inflation-Protected Bond ETF.......................................... 1,000 1,022.32 2.51 SPDR Barclays Capital International Treasury Bond ETF............................................... 1,000 1,022.32 2.51 SPDR Barclays Capital High Yield Bond ETF........... 1,000 1,022.81 2.01 SPDR Barclays Capital Short Term International Treasury Bond ETF**............................... 1,000 1,023.01 1.81 SPDR Barclays Capital Intermediate Term Credit Bond ETF**............................................. 1,000 1,024.05 0.75 SPDR Barclays Capital Long Term Credit Bond ETF**... 1,000 1,024.05 0.75 SPDR Barclays Capital Convertible Bond ETF**........ 1,000 1,022.81 2.01 SPDR Barclays Capital Mortgage Backed Bond ETF**.... 1,000 1,023.80 1.00
* Expenses are equal to the Funds' annualized net expense ratios of 0.14%, 0.19%, 0.14%, 0.14%, 0.13%, 0.20%, 0.20%, 0.21%, 0.20%, 0.50%, 0.50%, 0.40%, 0.36%, 0.15%, 0.15%, 0.40%, and 0.20% respectively. Expenses are equal to the Funds' annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (or since commencement of operations), then divided by 365. ** Actual period is from commencement of operations 1/15/09, 2/10/09, 3/10/09, 4/14/09 and 1/15/09. Hypothetical period is from 1/1/09. 146 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- TAX INFORMATION For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year end June 30, 2009: Percentage of distributions which qualify for the corporate dividends paid deduction:
PERCENTAGE ---------- SPDR Barclays Capital Convertible Bond ETF.................................. 13.97%
Qualified Dividend Income: A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2009, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 15% depending on an individual's tax bracket. These amounts are noted below:
AMOUNT ------ SPDR Barclays Capital Convertible Bond ETF................................... 21,269
Long term capital gains dividends were paid from the following Funds during the year ended June 30, 2009:
AMOUNT ------ SPDR Barclays Capital Long Term Treasury ETF................................. 16,888 SPDR Barclays Capital Aggregate Bond ETF..................................... 8,327
The percentage of distributions paid by the Funds that are tax-exempt income distributions are as follows: SPDR Barclays Capital Municipal Bond ETF...................................... 100% SPDR Barclays Capital California Municipal Bond ETF........................... 100% SPDR Barclays Capital New York Municipal Bond ETF............................. 100% SPDR Barclays Capital Short Term Municipal Bond ETF........................... 100%
FOREIGN TAX CREDIT The Trust has made an election under the Internal Revenue Code Section 853 to pass through foreign taxes paid by a Fund to its shareholders. For the year ended June 30, 2009, the total amount of foreign taxes that will be passed through are:
AMOUNT ------- SPDR Barclays Capital International Treasury Bond ETF....................... 111,491
Amount of foreign source income earned on the following Fund during the year ended June 30, 2009.
AMOUNT ---------- SPDR Barclays Capital International Treasury Bond ETF..................... 29,372,594
PROXY VOTING POLICIES A description of the Trust's proxy voting policies and procedures that are used by the Funds' investment adviser to vote proxies relating to the Funds' portfolio of securities are available (i) without charge, upon request, by calling 1-866-787-2257 (toll free) or (ii) on the website of the Securities and Exchange Commission ("SEC") at www.sec.gov. Information regarding how the investment adviser voted proxies for the prior 12 months ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Funds' website at www.spdrs.com. QUARTERLY PORTFOLIO SCHEDULE The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on the Form N-Q. The Funds' Forms N-Q are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, DC. Information on Form N-Q will be available upon request without charge, by calling 1-866-787-2257 (toll free), and on the Funds' website at www.spdrs.com. APPROVAL OF ADVISORY AGREEMENT At in-person meetings, the Board of Trustees of the Trust (the "Board") evaluated various proposals related to new series of the Trust, including a proposal to approve the Investment Advisory Agreement (the "Agreement") with respect to SPDR 147 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) JUNE 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- Barclays Capital Short Term International Treasury Bond ETF, SPDR Barclays Capital Mortgage Backed Bond ETF, SPDR Barclays Capital Intermediate Term Credit Bond ETF, SPDR Barclays Capital Long Term Credit Bond ETF and SPDR Barclays Capital Convertible Bond ETF, each a new fixed income series of the Trust (each a "New ETF"), which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not "interested persons" of the Trust within the meaning of the Investment Company Act of 1940, as amended (the "Independent Trustees") also met separately with their independent legal counsel to consider the Agreement. In evaluating the Agreement, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street. In deciding whether to approve the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by the Adviser with respect to each New ETF under the Agreement, (ii) costs to the Adviser of its services, and (iii) the extent to which economies of scale would be realized if and as each New ETF grows and whether the fee in the Agreement reflects these economies of scale. The Board considered the nature, extent and quality of services to be provided by the Adviser. In doing so, they relied on their prior experience with the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser's anticipated responsibilities for managing investment operations of the New ETF, in accordance with each New ETF's investment objective and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of each New ETF, as an exchange- traded fund ("ETF"), and the experience and expertise of the Adviser with ETFs. The Board considered the background and experience of the Adviser's senior management, including those individuals responsible for portfolio management and compliance of each New ETF. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each New ETFs' compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser's best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser's general knowledge of the investment business and that of its affiliates which make up State Street Global Advisers, with which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world's largest investment management enterprises for indexed products generally and ETFs in particular. The Board also considered the Adviser's experience in managing fixed income ETFs. The Board then determined that the nature, extent and quality of services anticipated to be provided by the Adviser to the Trust were necessary and appropriate. The Board considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust's brokerage transactions. The Board concluded that, to the extent that the Adviser or its affiliates derives other benefits from a relationship with the Trust, those benefits are not so significant as to cause the Adviser's fees with respect to any New ETF to be excessive. The Board determined that the Adviser is likely to realize economies of scale in managing the New ETFs as assets grow in size. The Board further determined that such economies of scale are shared with the New ETFs by way of the relatively low advisory fee and unitary fee structure of the Trust, although the Board intends to continue to monitor fees as each New ETF grows in size and assess whether fee breakpoints may be warranted. The Board evaluated the New ETFs' unitary fee through review of comparative information with respect to fees paid by similar funds -- i.e., ETFs tracking fixed income indexes. The Board reviewed the universe of similar ETFs for the New ETFs based upon data from Lipper Analytical Services and related comparative information for similar ETFs. The Board also reviewed the estimated expense ratio of the New ETF's. The Board used a fund by fund analysis of the data. The Board concluded, based on the information presented, that the New ETFs' fees were fair and reasonable in light of those of direct competitors. The Board's conclusions in approving the Agreement with respect to each New ETF, including the Independent Trustees voting separately, were as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to each New ETF were appropriate; (b) the Adviser's fee for each New ETF and the unitary fee, considered in relation to services expected to be provided, were fair and reasonable; (c) any additional benefits to the Adviser were not of a magnitude materially to affect the Board's conclusions; and (d) fees expected to be paid to the Adviser were expected to share economies of scale with respect to each New ETF by way of the relatively low fee structure of the Trust. 148 SPDR SERIES TRUST OTHER INFORMATION June 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- TRUSTEES AND OFFICERS
NUMBER OF TERM OF PORTFO- OFFICE LIOS AND PRINCIPAL IN FUND OTHER POSI- LENGTH OCCUPA- COMPLEX DIRECTOR- TION(S) OF TION(S) OVERSEEN SHIPS NAME, ADDRESS WITH TIME DURING PAST BY HELD BY AND YEAR OF BIRTH FUNDS SERVED 5 YEARS TRUSTEE TRUSTEE - ----------------- -------- -------- ------------ -------- ------------ INDEPENDENT TRUSTEES FRANK NESVET Indepen- Unlim- Chief 92 SPDR Index c/o SPDR Series Trust dent ited Executive Shares Funds State Street Financial Center Trustee, Elected: Officer, (Trustee). One Lincoln Street Chairman Septem- Libra Group, Boston, MA 02111-2900 ber 2000 Inc. (1998- 1943 present)(a financial services consulting company). HELEN F. PETERS Indepen- Unlim- Professor of 92 Federal Home c/o SPDR Series Trust dent ited Finance, Loan Bank of State Street Financial Center Trustee, Elected: Carroll Boston One Lincoln Street Chair of Septem- School of (Director); Boston, MA 02111-2900 Audit ber 2000 Management, BJ's 1948 Commit- Boston Wholesale tee College Clubs (2003- (Director); present); SPDR Index Dean, Boston Shares Funds College (Trustee); (August Eaton Vance 2000-2003). Funds (Trustee). DAVID M. KELLY Indepen- Unlim- Retired. 92 Chicago c/o SPDR Series Trust dent ited Stock State Street Financial Center Trustee Elected: Exchange One Lincoln Street Septem- (Public Boston, MA 02111-2900 ber 2000 Governor/ 1938 Director); Penson Worldwide Inc. (Director); SPDR Index Shares Funds (Trustee). INTERESTED TRUSTEE JAMES E. ROSS* Inter- Unlim- President, 123 SPDR Index SSgA Funds Management, Inc. ested ited SSgA Funds Shares Funds State Street Financial Center Trustee, Elected Management, (Trustee); One Lincoln Street Presi- Presi- Inc. (2005- Select Boston, MA 02111 dent dent: present); Sector SPDR 1965 May Principal, Trust 2005, SSgA Funds (Trustee); elected Management, State Street Trustee: Inc. (2001- Master Funds November present); (Trustee); 2005 Senior and State Managing Street Director, Institu- State Street tional Global Investment Advisors Trust (2006- (Trustee). present); Principal, State Street Global Advisors (2000-2006).
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. 149 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) June 30, 2009 (Unaudited) - --------------------------------------------------------------------------------
TERM OF PRINCIPAL OFFICE AND OCCUPATION(S) NAME, ADDRESS POSITION(S) LENGTH OF DURING PAST AND DATE OF BIRTH WITH FUNDS TIME SERVED 5 YEARS - ----------------- -------------- ------------- ----------------------------------- OFFICERS ELLEN M. NEEDHAM Vice President Unlimited Principal, SSgA Funds Management, SSgA Funds Management, Inc. Elected: Inc. (1992-present)*; Managing State Street Financial Center March 2008 Director, State Street Global One Lincoln Street Boston, MA Advisors (1992 to present)* 02111 1967 MICHAEL P. RILEY Vice President Unlimited Principal, State Street Global SSgA Funds Management, Inc. Elected: Advisors (2005-present); Assistant State Street Financial Center February 2005 Vice President, State Street Bank One Lincoln Street Boston, MA and Trust Company (2000-2004). 02111 1969 GARY L. FRENCH Treasurer Unlimited Senior Vice President, State Street State Street Bank and Trust Elected: Bank and Trust Company (2002- Company May 2005 present). Two Avenue de Lafayette Boston, MA 02111 1951 MATTHEW FLAHERTY Assistant Unlimited Assistant Vice President, State State Street Bank and Trust Treasurer Elected: Street Bank and Trust (1994- Company May 2005 present).* Two Avenue de Lafayette Boston, MA 02111 1971 CHAD C. HALLETT Assistant Unlimited Vice President, State Street Bank State Street Bank and Trust Treasurer Elected: and Trust Company (2001-present).* Company May 2006 Two Avenue de Lafayette Boston, MA 02111 1969
* Served in various capacities during noted time period. 150 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) June 30, 2009 (Unaudited) - --------------------------------------------------------------------------------
TERM OF PRINCIPAL OFFICE AND OCCUPATION(S) NAME, ADDRESS POSITION(S) LENGTH OF DURING PAST AND DATE OF BIRTH WITH FUNDS TIME SERVED 5 YEARS - ----------------- ------------------- ------------- --------------------------------- LAURA F. HEALY Assistant Treasurer Unlimited Vice President, State Street Bank State Street Bank and Trust Elected: and Trust Company (2002- Company November 2007 present).* Two Avenue de Lafayette Boston, MA 02111 1964 RYAN M. LOUVAR Secretary Unlimited Vice President and Senior State Street Bank and Trust Elected: Counsel, State Street Bank and Company August 2008 Trust Company (2005- present)*; Four Copley Place, CPH0326 Counsel, BISYS Group, Inc. (2000- Boston, MA 02116 2005) (a financial services 1972 company). MARK E. TUTTLE Assistant Secretary Unlimited Vice President and Counsel, State State Street Bank and Trust Elected: Street Bank and Trust Company Company August 2007 (2007-present)*; Assistant Four Copley Place, CPH0326 Counsel, BISYS Group, Inc. (2005- Boston, MA 02116 2007)*; (a financial services 1970 company); Sole Practitioner, Mark E. Tuttle Attorney at Law (2004- 2005). JULIE B. PIATELLI Chief Compliance Unlimited Principal and Senior Compliance SSgA Funds Management, Inc. Officer Elected: Officer, SSgA Funds Management, State Street Financial Center August 2007 Inc. (2004-present); Vice One Lincoln Street Boston, MA President, State Street Global 02111 Advisors (2004-present); Senior 1967 Manager, PricewaterhouseCoopers, LLP (1999-2004).
* Served in various capacities during noted time period. Additional information regarding the Trustees is available in the Trust's statement of additional information which is available upon request without charge, by calling 1-866-787-2257 (toll free), and on the Funds' website at www.spdrs.com. 151 THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR ANY SPDR ETF. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL. SPDR SERIES TRUST SPDR Dow Jones Total Market ETF (TMW) SPDR Dow Jones Large Cap ETF (ELR) SPDR Dow Jones Large Cap Growth ETF (ELG) SPDR Dow Jones Large Cap Value ETF (ELV) SPDR Dow Jones Mid Cap ETF (EMM) SPDR Dow Jones Mid Cap Growth ETF (EMG) SPDR Dow Jones Mid Cap Value ETF (EMV) SPDR Dow Jones Small Cap ETF (DSC) SPDR Dow Jones Small Cap Growth ETF (DSG) SPDR Dow Jones Small Cap Value ETF (DSV) SPDR DJ Global Titans ETF (DGT) SPDR Dow Jones REIT ETF (RWR) SPDR KBW Bank ETF (KBE) SPDR KBW Capital Markets ETF (KCE) SPDR KBW Insurance ETF (KIE) SPDR Morgan Stanley Technology ETF (MTK) SPDR S&P Dividend ETF (SDY) SPDR S&P Biotech ETF (XBI) SPDR S&P Homebuilders ETF (XHB) SPDR S&P Metals & Mining ETF (XME) SPDR S&P Oil & Gas Equipment & Services ETF (XES) SPDR S&P Oil & Gas Exploration & Production ETF (XOP) SPDR S&P Pharmaceuticals ETF (XPH) SPDR S&P Retail ETF (XRT) SPDR S&P Semiconductor ETF (XSD) SPDR KBW Regional Banking ETF (KRE) SPDR KBW Mortgage Finance ETF (KME) SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) SPDR Barclays Capital TIPS ETF (IPE) SPDR Barclays Capital Intermediate Term Treasury ETF (ITE) SPDR Barclays Capital Long Term Treasury ETF (TLO) SPDR Barclays Capital Aggregate Bond ETF (LAG) SPDR Barclays Capital Municipal Bond ETF (TFI) SPDR Barclays Capital California Municipal Bond ETF (CXA) SPDR Barclays Capital New York Municipal Bond ETF (INY) SPDR Barclays Capital Short Term Municipal Bond ETF (SHM) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital High Yield Bond ETF (JNK) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR) SPDR Barclays Capital Long Term Credit Bond ETF (LWC) SPDR Barclays Capital Convertible Bond ETF (CWB) SPDR Barclays Capital Mortgage Backed Bond ETF (MBG) SPDR INDEX SHARES FUNDS SPDR DJ STOXX 50 ETF (FEU) SPDR DJ EURO STOXX 50 ETF (FEZ) SPDR S&P Emerging Asia Pacific ETF (GMF) SPDR S&P China ETF (GXC) SPDR S&P Emerging Markets ETF (GMM) SPDR S&P BRIC 40 ETF (BIK) SPDR S&P Emerging Europe ETF (GUR) SPDR S&P Emerging Latin America ETF (GML) SPDR S&P Emerging Middle East & Africa ETF (GAF) SPDR S&P World ex-US ETF (GWL) SPDR S&P International Small Cap ETF (GWX) SPDR S&P International Dividend ETF (DWX) SPDR S&P International Mid Cap ETF (MDD) SPDR INDEX SHARES FUNDS (CONTINUED) SPDR S&P Emerging Markets Small Cap ETF (EWX) SPDR Dow Jones Global Real Estate ETF (RWO) SPDR Dow Jones International Real Estate ETF (RWX) SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII) SPDR MSCI ACWI ex-US ETF (CWI) SPDR Russell/Nomura PRIME Japan ETF (JPP) SPDR Russell/Nomura Small Cap Japan ETF (JSC) SPDR S&P International Consumer Discretionary Sector ETF (IPD) SPDR S&P International Consumer Staples Sector ETF (IPS) SPDR S&P International Energy Sector ETF (IPW) SPDR S&P International Financial Sector ETF (IPF) SPDR S&P International Health Care Sector ETF (IRY) SPDR S&P International Industrial Sector ETF (IPN) SPDR S&P International Materials Sector ETF (IRV) SPDR S&P International Technology Sector ETF (IPK) SPDR S&P International Telecommunications Sector ETF (IST) SPDR S&P International Utilities Sector ETF (IPU) DIAMONDS TRUST, SERIES 1 (DIA) SPDR TRUST, SERIES 1 (SPY) THE SELECT SECTOR SPDR TRUST The Consumer Discretionary Select Sector SPDR Fund (XLY) The Consumer Staples Select Sector SPDR Fund (XLP) The Energy Select Sector SPDR Fund (XLE) The Financial Select Sector SPDR Fund (XLF) The Health Care Select Sector SPDR Fund (XLV) The Industrial Select Sector SPDR Fund (XLI) The Materials Select Sector SPDR Fund (XLB) The Technology Select Sector SPDR Fund (XLK) The Utilities Select Sector SPDR Fund (XLU) State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR Trust and DIAMONDS Trust, both unit investment trusts; and all investment portfolios of The Select Sector SPDR Trust. SPDR SERIES TRUST TRUSTEES David M. Kelly Frank Nesvet Helen F. Peters James E. Ross OFFICERS James E. Ross, President Ellen M. Needham, Vice President Michael P. Riley, Vice President Gary L. French, Treasurer Matthew W. Flaherty, Assistant Treasurer Chad C. Hallett, Assistant Treasurer Laura F. Healy, Assistant Treasurer Ryan M. Louvar, Secretary Mark E. Tuttle, Assistant Secretary Julie B. Piatelli, Chief Compliance Officer INVESTMENT MANAGER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 DISTRIBUTOR State Street Global Markets, LLC One Lincoln Street Boston, MA 02111 CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT State Street Bank and Trust Company One Lincoln Street Boston, MA 02111 LEGAL COUNSEL Morgan, Lewis and Bockius LLP 1111 Pennsylvania Avenue, NW Washington, DC 20004 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 Fund shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC is a member of FINRA and SIPC. THE INFORMATION CONTAINED IN THIS REPORT IS INTENDED FOR THE GENERAL INFORMATION OF SHAREHOLDERS OF THE TRUST. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT TRUST PROSPECTUS WHICH CONTAINS IMPORTANT INFORMATION CONCERNING THE TRUST. YOU MAY OBTAIN A CURRENT PROSPECTUS AND SAI FROM THE DISTRIBUTOR BY CALLING 1-866-787-2257 OR VISITING WWW.SPDRS.COM PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST. State Street Global Advisors State Street Financial Center One Lincoln Street Boston, MA 02111 The investment return and principal value of an investment in the Funds will fluctuate in value, so that when shares are sold or redeemed they may be worth more or less than when they were purchased. ETFs trade like stocks, are subject to investment risk and will fluctuate in market value. Bond funds contain interest rate risk (as interest rates rise bond prices usually fall); the risk of issuer default; and inflation risk. The "SPDR" trademark is used under license from The McGraw-Hill Companies, Inc. ("McGraw-Hill"). No financial product offered by State Street Corporation or its affiliates is sponsored, endorsed, sold or promoted by McGraw Hill. Standard & Poor's(R), S&P(R), SPDR(R), S&P 500(R) and Select Sector SPDRs(R) are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by State Street Bank and Trust Company. In general, Fund shares can be expect to move up or down in value with the value of the applicable index. Although Fund shares may be bought and sold on the exchange through any brokerage account, Fund shares are not individually redeemable from the Fund. Investors may directly acquire shares of the Funds and tender them for redemption in Creation Unit Aggregations only. Please see the prospectus for more details. "Barclays Capital" is a trademark of Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays Capital") and is used by State Street Global Advisors under license. Barclays Capital compiles, maintains and owns rights in and to the Barclays U.S. Government Inflation-linked Bond Index. The SPDR Barclays Capital ETFs are not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital or one of its affiliated entities may act as an Authorized Participant and/or as an initial purchaser of shares of the SPDR Barclays Capital ETFs. Barclays Capital makes no representation regarding the advisability of investing in the SPDR Barclays Capital ETFs or use of any Barclays Index or any data included therein. Barclays Capital is a trademark of Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays Capital") and has been licensed for use in connection with the listing and trading of the SPDR Barclays Capital ETFs. The products are not sponsored by, endorsed, sold or promoted by Barclays Capital and Barclays Capital makes no representation regarding the advisability of investing in them. "Deutsche Bank" and "DB Global Government ex-US Inflation-Linked Bond Capped IndexSM" are reprinted with permission. (C)Copyright 2008 Deutsche Bank AG. All rights reserved. "Deutsche Bank" and DB Global Government ex-US Inflation-Linked Bond Capped IndexSM are service marks of Deutsche Bank AG and have been licensed for use for certain purposes by State Street Global Advisors. The SPDR DB International Government Inflation-Protected Bond is not sponsored, endorsed, sold or promoted by Deutsche Bank AG. Deutsche Bank AG, as Index Provider, makes no representation, express or implied, regarding the advisability of investing in this product. Please read the prospectus carefully before you invest or send money. (C) 2009 State Street Corporation SPDR FIAR For more complete information, please call 866.787.2257 or visit www.spdrs.com today ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the "Code of Ethics"). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics. The Code of Ethics is attached hereto as Exhibit 12(a)(1). ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Trust's Board of Trustees (the "Board") has determined that the Trust has at least one "audit committee financial expert" as defined in Item 3 of Form N-CSR serving on its Audit Committee. Frank Nesvet is an "audit committee financial expert" and is "independent" as defined in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees. For the fiscal years ending June 30, 2009 and June 30, 2008, the aggregate audit fees billed for professional services rendered by the principal accountant were $495,080 and $437,000, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the year for each series of the registrant and routine regulatory filings (one for each SEC registrant). The amount provided for 2009 aggregate audit fees is an estimate provided by the principal accountant. (b) Audit-Related Fees. For the fiscal years ending June 30, 2009 and June 30, 2008, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. (c) Tax Fees. For the fiscal years ending June 30, 2009 and June 30, 2008, the aggregate tax fees billed for professional services rendered by the principal accountant were $362,120 and $312,740, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant. The amount provided for 2009 aggregate tax fees is an estimate provided by the principal accountant. (d) All Other Fees. There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2009 and June 30, 2008. (e)(1) Audit Committee Pre-Approval Policies and Procedures. The registrant's Audit Committee Charter states the following with respect to pre-approval procedures: Before the independent auditors are engaged by the Trust to render audit or non-audit services, either: a. The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee's responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. b. De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. c. Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors' engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. d. Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the "total amount of revenues" calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). (e)(2) Percentage of Services. One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) Not applicable. (g) The aggregate non-audit fees billed for by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2009 FY 2008 (in millions) (in millions) ------------- ------------- Non audit services billed to: Registrant: See Item 4(c) See Item 4(c) Investment Adviser: -- -- Other entities in the Investment Company Complex (1)(2): Audit Related Fees $2.6 $1.4 Tax Fees 5.0 4.0 All Other Fees 0.4 --
- ---------- (1) Information is for the calendar year 2008 and 2007, respectively. (2) Audit-Related Fees consisted principally of employee benefit plan and non-statutory audits, audits of certain foreign-sponsored mutual funds, due diligence procedures and reports on the processing of transactions by servicing organizations. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees consisted of advisory services related to the BASEL II capital adequacy framework. (h) Not applicable. ITEM 5. DISCLOSURE OF AUDIT COMMITTEES FOR LISTED COMPANIES. The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant's audit committee are Frank Nesvet, David Kelly and Helen Peters. ITEM 6. SCHEDULE OF INVESTMENTS. A Schedule of Investments for each series of the Registrant, except for those series set forth below, is included as a part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR. The Schedule of Investments for the following series of the Registrant is set forth below: SPDR(R) Dow Jones Total Market ETF SPDR(R) Dow Jones Large Cap ETF SPDR(R) Dow Jones Large Cap Growth ETF SPDR(R) Dow Jones Large Cap Value ETF SPDR(R) Dow Jones Mid Cap ETF SPDR(R) Dow Jones Mid Cap Growth ETF SPDR(R) Dow Jones Mid Cap Value ETF SPDR(R) Dow Jones Small Cap ETF SPDR(R) Dow Jones Small Cap Growth ETF SPDR(R) Dow Jones Small Cap Value ETF SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% AEROSPACE & DEFENSE -- 2.3% BE Aerospace, Inc. (a)........ 3,186 $ 45,751 Boeing Co. ................... 10,823 459,977 Ceradyne, Inc. (a)............ 551 9,731 General Dynamics Corp. ....... 5,000 276,950 Goodrich Corp. ............... 2,997 149,760 Honeywell International, Inc. ....................... 11,059 347,253 ITT Corp. .................... 3,696 164,472 L-3 Communications Holdings, Inc. ....................... 2,280 158,186 Lockheed Martin Corp. ........ 5,144 414,864 Northrop Grumman Corp. ....... 5,766 263,391 Precision Castparts Corp. .... 1,950 142,408 Raytheon Co. ................. 7,259 322,517 Rockwell Collins, Inc. ....... 3,610 150,645 Taser International, Inc. (a)......................... 1,030 4,697 United Technologies Corp. .... 13,879 721,153 ------------ 3,631,755 ------------ AIR FREIGHT & LOGISTICS -- 0.7% C.H. Robinson Worldwide, Inc. ....................... 2,621 136,685 Expeditors International Washington, Inc. ........... 3,410 113,690 FedEx Corp. .................. 4,737 263,472 Forward Air Corp. (b)......... 3,751 79,971 United Parcel Service, Inc. (Class B)................... 9,924 496,101 UTI Worldwide, Inc. (a)....... 3,718 42,385 ------------ 1,132,304 ------------ AIRLINES -- 0.1% AMR Corp. (a)(b).............. 5,300 21,306 Continental Airlines, Inc. (Class B) (a)(b)............ 2,243 19,873 Delta Air Lines, Inc. (a)..... 9,767 56,551 JetBlue Airways Corp. (a)(b).. 5,521 23,575 Southwest Airlines Co. ....... 11,981 80,632 UAL Corp. (a)(b).............. 2,587 8,252 US Airways Group, Inc. (a)(b)...................... 3,061 7,438 ------------ 217,627 ------------ AUTO COMPONENTS -- 0.3% BorgWarner, Inc. (b).......... 1,326 45,283 Gentex Corp. (b).............. 5,851 67,872 Johnson Controls, Inc. (b).... 10,398 225,844 Modine Manufacturing Co. ..... 3,461 16,613 The Goodyear Tire & Rubber Co. (a)......................... 5,496 61,885 WABCO Holdings, Inc. ......... 1,624 28,745 ------------ 446,242 ------------ AUTOMOBILES -- 0.2% Ford Motor Co. (a)(b)......... 49,202 298,656 Harley-Davidson, Inc. (b)..... 4,930 79,915 Thor Industries, Inc. ........ 573 10,526 ------------ 389,097 ------------ BEVERAGES -- 2.2% Central European Distribution Corp. (a)(b)................ 751 19,954 Coca-Cola Enterprises, Inc. .. 6,269 104,379 Constellation Brands, Inc. (Class A) (a)............... 4,474 56,730 Dr. Pepper Snapple Group, Inc. (a)......................... 4,186 88,701 Hansen Natural Corp. (a)(b)... 1,313 40,467 Molson Coors Brewing Co. (Class B)................... 2,338 98,968 PepsiCo, Inc. ................ 24,487 1,345,806 The Coca-Cola Co. ............ 33,288 1,597,491 The Pepsi Bottling Group, Inc. ....................... 3,885 131,468 ------------ 3,483,964 ------------ BIOTECHNOLOGY -- 2.2% Acorda Therapeutics, Inc. (a)(b)...................... 1,093 30,812 Alexion Pharmaceuticals, Inc. (a)......................... 1,341 55,142 Alkermes, Inc. (a)............ 2,625 28,403 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 1,204 26,813 Amgen, Inc. (a)............... 17,032 901,674 Amylin Pharmaceuticals, Inc. (a)(b)...................... 2,774 37,449 AVI BioPharma, Inc. (a)(b).... 5,409 8,546 Biogen Idec, Inc. (a)......... 4,977 224,712 BioMarin Pharmaceutical, Inc. (a)(b)...................... 2,111 32,953 Celgene Corp. (a)............. 7,724 369,516 Cephalon, Inc. (a)............ 1,457 82,539 Chelsea Therapeutics International, Inc. (a)..... 7,488 31,524 Cubist Pharmaceuticals, Inc. (a)......................... 1,431 26,230 Dendreon Corp. (a)(b)......... 1,700 42,245 Facet Biotech Corp. (a)....... 3,854 35,804 Genzyme Corp. (a)............. 4,408 245,393 Gilead Sciences, Inc. (a)..... 14,956 700,539 Human Genome Sciences, Inc. (a)(b)...................... 6,763 19,342 InterMune, Inc. (a)(b)........ 515 7,828 Isis Pharmaceuticals, Inc. (a)(b)...................... 2,290 37,785 Martek Biosciences Corp. (b).. 1,064 22,504 Medarex, Inc. (a)(b).......... 4,157 34,711 Medivation, Inc. (a)(b)....... 1,545 34,623 Myriad Genetics, Inc. (a)..... 1,539 54,865 Myriad Pharmaceuticals (a).... 385 1,790 Neurocrine Biosciences, Inc. (a)......................... 2,151 6,948 Novavax, Inc. (a)(b).......... 3,947 12,946 Onyx Pharmaceuticals, Inc. (a)......................... 1,017 28,740 OSI Pharmaceuticals, Inc. (a)(b)...................... 1,225 34,582 PDL BioPharma, Inc. (b)....... 3,913 30,913 Pharmasset, Inc. (a)(b)....... 408 4,590 SIGA Technologies, Inc. (a)(b)...................... 8,734 73,715 Spectrum Pharmaceuticals, Inc. (a)(b)...................... 3,420 26,163 StemCells, Inc. (a)(b)........ 5,881 9,998 Vertex Pharmaceuticals, Inc. (a)......................... 2,272 80,974 ------------ 3,403,311 ------------ BUILDING PRODUCTS -- 0.1% Masco Corp. (b)............... 6,548 62,730 Quanex Building Products Corp. ...................... 618 6,934 Simpson Manufacturing Co., Inc. (b).................... 1,550 33,511 USG Corp. (a)(b).............. 1,163 11,711 ------------ 114,886 ------------ CAPITAL MARKETS -- 2.7% Affiliated Managers Group, Inc. (a)(b)................. 738 42,944 Ameriprise Financial, Inc. ... 3,624 87,954 BlackRock, Inc. (b)........... 288 50,521 Diamond Hill Investment Group, Inc. (a)(b)................. 136 5,464 E*TRADE Financial Corp. (a)(b)...................... 9,457 12,105 Eaton Vance Corp. (b)......... 2,102 56,228 Federated Investors, Inc. (Class B) (b)............... 984 23,705 Franklin Resources, Inc. ..... 2,570 185,066 International Assets Holding Corp. (a)(b)................ 2,909 43,257 Invesco, Ltd. ................ 6,294 112,159 Janus Capital Group, Inc. .... 6,050 68,970
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Jefferies Group, Inc. (a)..... 2,351 $ 50,147 KBW, Inc. (a)................. 852 24,504 Knight Capital Group, Inc. (Class A) (a)............... 765 13,043 Legg Mason, Inc. (b).......... 3,236 78,894 Morgan Stanley................ 18,306 521,904 Northern Trust Corp. ......... 3,678 197,435 Raymond James Financial, Inc. (b)......................... 1,806 31,081 SEI Investments Co. .......... 5,751 103,748 State Street Corp. (c)........ 7,122 336,158 T. Rowe Price Group, Inc. (b)......................... 3,953 164,722 TD Ameritrade Holding Corp. (a)......................... 4,368 76,615 The Bank of New York Mellon Corp. ...................... 18,126 531,273 The Blackstone Group LP....... 100 1,054 The Charles Schwab Corp. ..... 16,046 281,447 The Goldman Sachs Group, Inc. ....................... 7,002 1,032,375 Waddell & Reed Financial, Inc. (Class A)................... 3,216 84,806 ------------ 4,217,579 ------------ CHEMICALS -- 1.9% Air Products & Chemicals, Inc. ....................... 3,125 201,844 Airgas, Inc. ................. 1,291 52,324 Ashland, Inc. ................ 1,770 49,648 Cabot Corp. .................. 2,038 25,638 Calgon Carbon Corp. (a)(b).... 1,749 24,294 Celanese Corp. (Series A)..... 2,980 70,775 CF Industries Holdings, Inc. ....................... 954 70,730 E. I. du Pont de Nemours & Co. ........................ 14,736 377,536 Eastman Chemical Co. ......... 2,198 83,304 Ecolab, Inc. ................. 3,946 153,855 FMC Corp. .................... 1,225 57,942 Monsanto Co. ................. 8,942 664,748 Nalco Holding Co. ............ 3,659 61,618 PPG Industries, Inc. ......... 3,184 139,778 Praxair, Inc. ................ 5,542 393,870 Sigma-Aldrich Corp. .......... 1,730 85,739 Terra Industries, Inc. ....... 1,956 47,374 The Dow Chemical Co. ......... 16,227 261,904 The Mosaic Co. ............... 2,480 109,864 ------------ 2,932,785 ------------ COMMERCIAL BANKS -- 2.8% Arrow Financial Corp. (b)..... 4,369 117,963 Bank of Hawaii Corp. (b)...... 835 29,918 BB&T Corp. ................... 9,063 199,205 CapitalSource, Inc. .......... 1,778 8,677 Capitol Bancorp, Ltd. (b)..... 3,192 8,459 Cathay General Bancorp (b).... 1,166 11,089 Centerstate Banks of Florida, Inc. (b).................... 2,374 17,615 Citizens Republic Bancorp, Inc. (a)(b)................. 4,680 3,323 Columbia Banking System, Inc. (b)......................... 4,551 46,557 Comerica, Inc. ............... 1,814 38,366 CVB Financial Corp. (b)....... 7,152 42,697 F.N.B. Corp. (b).............. 6,473 40,068 Farmers Capital Bank Corp. (b)......................... 2,102 52,907 Fifth Third Bancorp........... 8,645 61,380 First Bancorp- North Carolina (b)......................... 2,674 41,928 First Commonwealth Financial Corp. (b)................... 6,354 40,284 First Horizon National Corp. (a)(b)...................... 3,691 44,287 First Merchants Corp. (b)..... 5,115 41,073 Horizon Financial Corp. (b)... 3,709 4,117 Huntington Bancshares, Inc. .. 6,016 25,147 Independent Bank Corp. -- Massachusetts (b).. 3,538 69,699 Integra Bank Corp. ........... 3,335 3,835 International Bancshares Corp. (b)......................... 1,574 16,228 Keycorp....................... 5,908 30,958 Lakeland Financial Corp. ..... 4,893 92,967 M&T Bank Corp. (b)............ 1,254 63,866 Marshall & Ilsley Corp. (b)... 3,470 16,656 National Penn Bancshares, Inc. (b)......................... 7,047 32,487 Old National Bancorp (b)...... 1,364 13,394 PacWest Bancorp (b)........... 1,912 25,162 PNC Financial Services Group, Inc. ....................... 5,929 230,105 Popular, Inc. (b)............. 3,746 8,241 Regions Financial Corp. (b)... 12,402 50,104 Renasant Corp. (b)............ 5,962 89,549 Sandy Spring Bancorp, Inc. (b)......................... 3,584 52,685 Simmons First National Corp. ...................... 3,664 97,902 StellarOne Corp. (b).......... 6,269 81,184 SunTrust Banks, Inc. ......... 5,846 96,167 Susquehanna Bancshares, Inc. (b)......................... 6,162 30,132 Synovus Financial Corp. (b)... 1,511 4,518 The Colonial BancGroup, Inc. (b)......................... 2,004 1,242 Trustmark Corp. (b)........... 1,301 25,135 U.S. Bancorp.................. 26,882 481,725 UCBH Holdings, Inc. (b)....... 5,293 6,669 Umpqua Holdings Corp. (b)..... 5,455 42,331 United Bankshares, Inc. (b)... 1,003 19,599 United Community Banks, Inc. (a)(b)...................... 3,977 23,822 Wells Fargo & Co. ............ 72,181 1,751,111 Zions Bancorporation (b)...... 2,063 23,848 ------------ 4,356,381 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.7% Avery Dennison Corp. ......... 2,554 65,587 Cintas Corp. ................. 3,501 79,963 Courier Corp. ................ 3,027 46,192 Covanta Holding Corp. (a)(b).. 2,485 42,146 Ennis, Inc. .................. 6,021 75,022 Herman Miller, Inc. .......... 3,289 50,453 Iron Mountain, Inc. (a)(b).... 4,369 125,609 Kimball International, Inc. (Class B)................... 6,009 37,496 Pitney Bowes, Inc. ........... 4,219 92,523 R.R. Donnelley & Sons Co. .... 5,349 62,155 Republic Services, Inc. ...... 4,551 111,090 Stericycle, Inc. (a).......... 1,204 62,042 Waste Connections, Inc. (a)... 1,617 41,896 Waste Management, Inc. ....... 7,956 224,041 ------------ 1,116,215 ------------ COMMUNICATIONS EQUIPMENT -- 2.7% 3Com Corp. (a)................ 19,332 91,054 ADC Telecommunications, Inc. (a)(b)...................... 3,881 30,893 Arris Group, Inc. (a)......... 4,302 52,312 Avocent Corp. (a)............. 835 11,656 Brocade Communications Systems, Inc. (a)........... 4,546 35,550 CIENA Corp. (a)(b)............ 3,737 38,678 Cisco Systems, Inc. (a)....... 93,603 1,744,760 CommScope, Inc. (a)(b)........ 2,030 53,308 Comtech Telecommunications Corp. (a)(b)................ 867 27,640 EchoStar Corp. (Class A) (a).. 1,035 16,498
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Emulex Corp. (a).............. 600 $ 5,868 F5 Networks, Inc. (a)(b)...... 1,635 56,555 Finisar Corp. (a)(b).......... 6,240 3,557 Harmonic, Inc. (a)............ 2,391 14,083 Harris Corp. ................. 3,038 86,158 Harris Stratex Networks, Inc. (Class A) (a)............... 754 4,886 InterDigital, Inc. (a)........ 1,281 31,307 JDS Uniphase Corp. (a)........ 5,366 30,693 Juniper Networks, Inc. (a).... 9,715 229,274 Motorola, Inc. ............... 36,930 244,846 Palm, Inc. (a)(b)............. 3,203 53,074 Phazar Corp. (a).............. 1,452 4,283 Plantronics, Inc. ............ 835 15,790 Polycom, Inc. (a)(b).......... 1,947 39,466 QUALCOMM, Inc. ............... 26,481 1,196,941 Riverbed Technology, Inc. (a)(b)...................... 600 13,914 Tellabs, Inc. (a)............. 10,666 61,116 ------------ 4,194,160 ------------ COMPUTERS & PERIPHERALS -- 4.7% Apple, Inc. (a)............... 14,460 2,059,538 Avid Technology, Inc. (a)..... 1,397 18,734 Dell, Inc. (a)................ 28,953 397,525 EMC Corp. (a)................. 33,133 434,042 Hewlett-Packard Co. .......... 39,679 1,533,593 Icad, Inc. (a)................ 7,489 9,736 International Business Machines Corp. ............. 20,516 2,142,281 Lexmark International, Inc. (Class A) (a)(b)............ 1,769 28,039 NCR Corp. (a)................. 3,893 46,054 NetApp, Inc. (a).............. 6,814 134,372 Novatel Wireless, Inc. (a).... 1,547 13,954 QLogic Corp. (a).............. 4,860 61,625 SanDisk Corp. (a)............. 5,228 76,799 Seagate Technology............ 8,474 88,638 Sun Microsystems, Inc. (a).... 14,022 129,283 Teradata Corp. (a)(b)......... 3,557 83,340 Western Digital Corp. (a)..... 4,856 128,684 ------------ 7,386,237 ------------ CONSTRUCTION & ENGINEERING -- 0.3% Aecom Technology Corp. (a).... 1,421 45,472 EMCOR Group, Inc. (a)......... 1,384 27,846 Fluor Corp. .................. 3,191 163,666 Jacobs Engineering Group, Inc. (a)......................... 2,105 88,600 KBR, Inc. .................... 2,610 48,128 Quanta Services, Inc. (a)..... 3,107 71,865 The Shaw Group, Inc. (a)...... 1,500 41,115 URS Corp. (a)................. 1,339 66,307 ------------ 552,999 ------------ CONSTRUCTION MATERIALS -- 0.1% Eagle Materials, Inc. ........ 1,386 34,983 Headwaters, Inc. (a)(b)....... 618 2,076 Martin Marietta Materials, Inc. (b).................... 986 77,776 Vulcan Materials Co. ......... 1,954 84,217 ------------ 199,052 ------------ CONSUMER FINANCE -- 0.5% American Express Co. ......... 16,769 389,712 AmeriCredit Corp. (a)......... 3,913 53,021 Capital One Financial Corp. (b)......................... 7,209 157,733 Discover Financial Services... 7,633 78,391 SLM Corp. (a)(b).............. 8,386 86,124 ------------ 764,981 ------------ CONTAINERS & PACKAGING -- 0.3% Crown Holdings, Inc. (a)...... 4,345 104,888 Myers Industries, Inc. ....... 566 4,709 Owens-Illinois, Inc. (a)...... 3,575 100,136 Pactiv Corp. (a).............. 4,154 90,142 Sealed Air Corp. ............. 4,865 89,759 Temple-Inland, Inc. (b)....... 2,427 31,842 ------------ 421,476 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. ............ 1,476 49,535 LKQ Corp. (a)(b).............. 3,027 49,794 ------------ 99,329 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.4% Apollo Group, Inc. (a)........ 2,478 176,235 Capella Education Co. (a)(b).. 765 45,862 Career Education Corp. (a).... 2,720 67,701 Corinthian Colleges, Inc. (a)(b)...................... 2,090 35,384 DeVry, Inc. .................. 1,059 52,992 H&R Block, Inc. .............. 5,303 91,371 ITT Educational Services, Inc. (a)(b)...................... 851 85,662 Service Corp. International... 11,308 61,968 Sotheby's (b)................. 1,139 16,071 Strayer Education, Inc. ...... 296 64,560 ------------ 697,806 ------------ DIVERSIFIED FINANCIAL SERVICES -- 3.1% Bank of America Corp. ........ 117,219 1,547,291 CIT Group, Inc. (b)........... 4,686 10,075 Citigroup, Inc. (b)........... 84,021 249,542 CME Group, Inc. .............. 1,124 349,688 Intercontinental Exchange, Inc. (a).................... 1,364 155,823 JPMorgan Chase & Co. ......... 60,217 2,054,002 Leucadia National Corp. (a)... 4,176 88,072 Medallion Financial Corp. .... 1,076 8,231 Moody's Corp. ................ 3,980 104,873 MSCI, Inc. (Class A) (a)...... 1,749 42,746 NYSE Euronext................. 4,900 133,525 PHH Corp. (a)(b).............. 1,125 20,452 The Nasdaq OMX Group, Inc. (a)......................... 3,055 65,102 ------------ 4,829,422 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7% AT&T, Inc. ................... 94,464 2,346,486 CenturyTel, Inc. (b).......... 1,872 57,470 Cogent Communications Group, Inc. (a).................... 2,909 23,708 Embarq Corp. ................. 2,277 95,771 Fibernet Telecom Group, Inc. (a)(b)...................... 4,579 56,871 Frontier Communications Corp. ...................... 10,021 71,550 Level 3 Communications, Inc. (a)(b)...................... 14,566 21,995 Qwest Communications International, Inc. (b)..... 28,191 116,993 SureWest Communications (a)... 2,961 31,002 tw telecom, inc. (a)(b)....... 3,885 39,899 Verizon Communications, Inc. ....................... 44,680 1,373,016 Windstream Corp. ............. 8,723 72,924 ------------ 4,307,685 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- ELECTRIC UTILITIES -- 2.1% Allegheny Energy, Inc. ....... 3,871 $ 99,291 American Electric Power Co., Inc. ....................... 6,892 199,110 Brookfield Infrastructure Partners LP................. 2,056 25,350 Central Vermont Public Service Corp. ...................... 5,005 90,591 Duke Energy Corp. ............ 17,198 250,919 Edison International.......... 5,606 176,365 Entergy Corp. ................ 3,005 232,948 Exelon Corp. ................. 10,686 547,230 FirstEnergy Corp. ............ 5,198 201,422 FPL Group, Inc. .............. 5,974 339,682 Maine & Maritimes Corp. ...... 136 4,726 MGE Energy, Inc. ............. 3,506 117,626 Northeast Utilities........... 2,420 53,990 Pepco Holdings, Inc. ......... 6,955 93,475 Pinnacle West Capital Corp. .. 1,651 49,778 PPL Corp. .................... 6,004 197,892 Progress Energy, Inc. ........ 3,270 123,704 The Southern Co. ............. 13,103 408,289 Unitil Corp. (b).............. 2,626 54,148 ------------ 3,266,536 ------------ ELECTRICAL EQUIPMENT -- 0.7% Capstone Turbine Corp. (a)(b)...................... 8,734 7,249 Cooper Industries, Ltd. (Class A).......................... 3,862 119,915 Emerson Electric Co. ......... 12,592 407,981 Energy Conversion Devices, Inc. (a)(b)................. 1,312 18,565 First Solar, Inc. (a)......... 910 147,529 General Cable Corp. (a)....... 1,532 57,573 GrafTech International, Ltd. (a)......................... 2,849 32,222 Hubbell, Inc. (Class B)....... 2,334 74,828 PowerSecure International, Inc. (a)(b)................. 3,330 14,186 Rockwell Automation, Inc. .... 2,975 95,557 Roper Industries, Inc. ....... 2,511 113,773 SunPower Corp. (Class A) (a)(b)...................... 2,416 64,362 ------------ 1,153,740 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% Agilent Technologies, Inc. (a)......................... 6,823 138,575 Amphenol Corp. (Class A)...... 3,948 124,915 Arrow Electronics, Inc. (a)... 3,797 80,648 Avnet, Inc. (a)............... 4,367 91,838 Benchmark Electronics, Inc. (a)......................... 3,214 46,282 Corning, Inc. ................ 25,016 401,757 Dolby Laboratories, Inc. (Class A) (a)(b)............ 1,154 43,021 FLIR Systems, Inc. (a)(b)..... 2,228 50,264 Itron, Inc. (a)(b)............ 718 39,540 Jabil Circuit, Inc. .......... 4,293 31,854 L-1 Identity Solutions, Inc. (a)(b)...................... 2,425 18,769 Lightpath Technologies, Inc. (a)(b)...................... 8,526 11,084 Molex, Inc. (b)............... 4,076 63,382 National Instruments Corp. (b)......................... 1,600 36,096 Sanmina-SCI Corp. (a)......... 15,589 6,859 Tech Data Corp. (a)........... 2,884 94,336 Trimble Navigation, Ltd. (a).. 4,005 78,618 Vishay Intertechnology, Inc. (a)(b)...................... 6,090 41,351 ------------ 1,399,189 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% Baker Hughes, Inc. ........... 5,444 198,379 BJ Services Co. (b)........... 5,942 80,989 Cameron International Corp. (a)......................... 3,610 102,163 Diamond Offshore Drilling, Inc. (b).................... 835 69,347 ENSCO International, Inc. .... 3,487 121,592 Exterran Holdings, Inc. (a)(b)...................... 1,950 31,278 FMC Technologies, Inc. (a)(b)...................... 2,196 82,526 Halliburton Co. .............. 15,004 310,583 Helix Energy Solutions Group, Inc. (a).................... 600 6,522 Helmerich & Payne, Inc. (b)... 1,910 58,962 Nabors Industries, Ltd. (a)(b)...................... 5,787 90,161 National-Oilwell Varco, Inc. (a)......................... 7,142 233,258 Omni Energy Services Corp. (a)......................... 8,316 17,464 Patterson-UTI Energy, Inc. (b)......................... 4,467 57,446 Pride International, Inc. (a)......................... 3,166 79,340 Rowan Cos., Inc. ............. 3,733 72,121 Schlumberger, Ltd. ........... 19,831 1,073,055 Smith International, Inc. (b)......................... 3,295 84,846 Superior Energy Services, Inc. (a)......................... 3,783 65,332 TGC Industries, Inc. (a)...... 5,933 28,894 Tidewater, Inc. (b)........... 1,190 51,015 ------------ 2,915,273 ------------ FOOD & STAPLES RETAILING -- 2.5% Costco Wholesale Corp. ....... 7,468 341,288 CVS Caremark Corp. ........... 24,309 774,728 Safeway, Inc. ................ 7,737 157,603 SUPERVALU, Inc. .............. 4,379 56,708 Sysco Corp. .................. 10,517 236,422 The Kroger Co. ............... 9,667 213,157 Wal-Mart Stores, Inc. ........ 34,073 1,650,496 Walgreen Co. ................. 15,160 445,704 Whole Foods Market, Inc. (b).. 2,423 45,988 ------------ 3,922,094 ------------ FOOD PRODUCTS -- 1.8% Archer-Daniels-Midland Co. ... 9,783 261,891 Bunge, Ltd. .................. 2,401 144,660 Campbell Soup Co. ............ 5,376 158,162 ConAgra Foods, Inc. .......... 9,697 184,825 Dean Foods Co. (a)............ 3,812 73,152 Del Monte Foods Co. .......... 10,111 94,841 Flowers Foods, Inc. (b)....... 3,527 77,030 General Mills, Inc. .......... 5,898 330,406 H.J. Heinz Co. ............... 5,051 180,321 Kellogg Co. .................. 3,358 156,382 Kraft Foods, Inc. ............ 22,909 580,514 McCormick & Co., Inc. ........ 1,872 60,896 Sanderson Farms, Inc. (b)..... 194 8,730 Sara Lee Corp. ............... 13,855 135,225 Smithfield Foods, Inc. (a)(b)...................... 2,682 37,468 The Hershey Co. (b)........... 2,938 105,768 The J.M. Smucker Co. ......... 1,665 81,019 TreeHouse Foods, Inc. (a)(b).. 1,574 45,284 Tyson Foods, Inc. (Class A)... 6,273 79,102 ------------ 2,795,676 ------------ GAS UTILITIES -- 0.1% Chesapeake Utilities Corp. (b)......................... 3,999 130,088 Delta Natural Gas Co., Inc. .. 272 6,125 Energy West, Inc. ............ 540 4,779 Questar Corp. ................ 2,497 77,557 RGC Resources, Inc. .......... 136 3,468 ------------ 222,017 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% ABIOMED, Inc. (a)(b).......... 1,967 $ 17,349 American Medical Systems Holdings, Inc. (a)(b)....... 3,829 60,498 Angeion Corp. (a)(b).......... 3,536 10,608 Baxter International, Inc. ... 10,012 530,236 Becton, Dickinson & Co. ...... 4,106 292,799 Boston Scientific Corp. (a)... 23,149 234,731 Bovie Medical Corp. (a)(b).... 1,348 11,741 C.R. Bard, Inc. .............. 2,148 159,919 DENTSPLY International, Inc. (b)......................... 2,012 61,406 Edwards Lifesciences Corp. (a)......................... 1,694 115,243 ev3, Inc. (a)................. 2,851 30,563 Gen-Probe, Inc. (a)........... 1,008 43,324 Hologic, Inc. (a)............. 5,911 84,114 Hospira, Inc. (a)............. 3,596 138,518 Immucor, Inc. (a)............. 1,624 22,346 Intuitive Surgical, Inc. (a)(b)...................... 565 92,468 Inverness Medical Innovations, Inc. (a)(b)................. 1,873 66,641 Kinetic Concepts, Inc. (a)(b)...................... 1,491 40,630 MAKO Surgical Corp. (a)(b).... 668 6,025 Masimo Corp. (a)(b)........... 1,313 31,656 Medtronic, Inc. .............. 18,795 655,758 NuVasive, Inc. (a)(b)......... 957 42,682 ResMed, Inc. (a).............. 1,321 53,804 St. Jude Medical, Inc. (a).... 5,894 242,243 Stryker Corp. ................ 4,595 182,605 Thoratec Corp. (a)(b)......... 1,162 31,118 Varian Medical Systems, Inc. (a)(b)...................... 2,666 93,683 Vascular Solutions, Inc. (a)(b)...................... 1,212 9,478 Zimmer Holdings, Inc. (a)..... 3,655 155,703 ------------ 3,517,889 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.3% Aetna, Inc. .................. 7,296 182,765 Almost Family, Inc. (a)(b).... 136 3,551 Amedisys, Inc. (a)(b)......... 783 25,855 AmerisourceBergen Corp. ...... 4,461 79,138 athenahealth, Inc. (a)(b)..... 765 28,313 Cardinal Health, Inc. ........ 6,367 194,512 CIGNA Corp. .................. 5,287 127,364 Community Health Systems, Inc. (a)(b)...................... 1,093 27,598 Coventry Health Care, Inc. (a)......................... 3,135 58,656 DaVita, Inc. (a).............. 2,350 116,231 Express Scripts, Inc. (Class A) (a)...................... 4,052 278,575 Health Management Associates, Inc. (Class A) (a)(b)....... 4,831 23,865 Health Net, Inc. (a).......... 3,145 48,905 HEALTHSOUTH Corp. (a)......... 3,250 46,930 Healthways, Inc. (a).......... 418 5,622 Henry Schein, Inc. (a)........ 2,782 133,397 Humana, Inc. (a).............. 3,283 105,910 Laboratory Corp. of America Holdings (a)(b)............. 1,698 115,107 Lincare Holdings, Inc. (a)(b)...................... 2,581 60,705 McKesson Corp. ............... 5,156 226,864 Medco Health Solutions, Inc. (a)......................... 8,530 389,053 Omnicare, Inc. (b)............ 2,709 69,784 Patterson Cos., Inc. (a)(b)... 2,712 58,850 PharMerica Corp. (a)(b)....... 378 7,420 PSS World Medical, Inc. (a)(b)...................... 2,460 45,535 Psychiatric Solutions, Inc. (a)(b)...................... 1,714 38,976 Quest Diagnostics, Inc. ...... 2,204 124,372 Tenet Healthcare Corp. (a).... 9,887 27,881 UnitedHealth Group, Inc. ..... 19,752 493,405 VCA Antech, Inc. (a)(b)....... 2,859 76,335 WellCare Health Plans, Inc. (a)(b)...................... 368 6,804 WellPoint, Inc. (a)........... 8,741 444,830 ------------ 3,673,108 ------------ HEALTH CARE TECHNOLOGY -- 0.1% HLTH Corp. (a)(b)............. 2,871 37,610 IMS Health, Inc. ............. 5,765 73,216 Phase Forward, Inc. (a)....... 1,592 24,055 Transcend Services, Inc. (a).. 408 6,467 ------------ 141,348 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.8% Bob Evans Farms, Inc. ........ 4,727 135,854 Boyd Gaming Corp. (a)......... 400 3,400 Brinker International, Inc. .. 2,378 40,497 Carnival Corp. ............... 6,877 177,220 Darden Restaurants, Inc. ..... 2,903 95,741 Gaylord Entertainment Co. (a)(b)...................... 618 7,855 International Game Technology.................. 6,631 105,433 Interval Leisure Group, Inc. (a)......................... 930 8,668 Las Vegas Sands Corp. (a)(b).. 5,409 42,515 Marriott International, Inc. (Class A) (b)............... 6,578 145,175 McDonald's Corp. ............. 17,720 1,018,723 MGM MIRAGE, Inc. (a)(b)....... 2,789 17,822 Orient-Express Hotels, Ltd. (Class A) (b)............... 456 3,871 Panera Bread Co. (Class A) (a)(b)...................... 746 37,195 Penn National Gaming, Inc. (a)......................... 2,161 62,907 Royal Caribbean Cruises, Ltd. (b)......................... 1,800 24,372 Scientific Games Corp. (Class A) (a)...................... 3,292 51,915 Starbucks Corp. (a)........... 12,055 167,444 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 3,961 87,934 The Cheesecake Factory, Inc. (a)(b)...................... 3,526 61,000 The Steak n Shake Co. (a)(b).. 4,356 38,071 Wendy's/Arby's Group, Inc. (Class A) (b)............... 9,684 38,736 Wyndham Worldwide Corp. ...... 5,725 69,387 Wynn Resorts, Ltd. (a)(b)..... 1,982 69,965 Yum! Brands, Inc. ............ 8,703 290,158 ------------ 2,801,858 ------------ HOUSEHOLD DURABLES -- 0.6% American Greetings Corp. (Class A) (b)............... 3,455 40,354 Bassett Furniture Industries, Inc. (b).................... 5,541 15,238 Centex Corp. (b).............. 3,863 32,681 D.R. Horton, Inc. (b)......... 5,895 55,177 Fortune Brands, Inc. ......... 2,475 85,982 Garmin, Ltd. (b).............. 2,480 59,074 Harman International Industries, Inc. (b)........ 1,819 34,197 KB HOME (b)................... 3,252 44,487 Leggett & Platt, Inc. (b)..... 4,729 72,023 Lennar Corp. (Class A) (b).... 3,949 38,266 Mohawk Industries, Inc. (a)(b)...................... 835 29,793 National Presto Industries, Inc. ....................... 740 56,314 Newell Rubbermaid, Inc. ...... 6,471 67,363 NVR, Inc. (a)(b).............. 141 70,837 Pulte Homes, Inc. (b)......... 4,864 42,949 Ryland Group, Inc. (b)........ 1,351 22,643 The Black & Decker Corp. (b).. 1,658 47,518
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Toll Brothers, Inc. (a)(b).... 2,724 $ 46,226 Whirlpool Corp. (b)........... 1,493 63,542 ------------ 924,664 ------------ HOUSEHOLD PRODUCTS -- 2.3% Church & Dwight Co., Inc. .... 2,488 135,123 Colgate-Palmolive Co. ........ 8,017 567,123 Energizer Holdings, Inc. (a).. 1,414 73,867 Kimberly-Clark Corp. ......... 6,188 324,437 The Clorox Co. (b)............ 2,209 123,328 Procter & Gamble Co. ......... 46,888 2,395,977 ------------ 3,619,855 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% Calpine Corp. (a)(b).......... 5,749 64,101 Constellation Energy Group, Inc. ....................... 3,344 88,884 Mirant Corp. (a).............. 4,145 65,242 NRG Energy, Inc. (a).......... 5,754 149,374 RRI Energy, Inc. (a)(b)....... 8,417 42,169 The AES Corp. (a)............. 12,090 140,365 ------------ 550,135 ------------ INDUSTRIAL CONGLOMERATES -- 1.8% 3M Co. ....................... 10,326 620,593 General Electric Co. ......... 171,333 2,008,023 McDermott International, Inc. (a)......................... 4,836 98,219 Textron, Inc. (b)............. 4,329 41,818 ------------ 2,768,653 ------------ INSURANCE -- 3.5% AFLAC, Inc. .................. 7,696 239,269 American International Group, Inc. (b).................... 35,487 41,165 American Physicians Service Group, Inc. ................ 1,970 44,699 AON Corp. .................... 4,313 163,333 Arthur J. Gallagher & Co. .... 1,741 37,153 Assurant, Inc. ............... 2,444 58,876 Berkshire Hathaway, Inc. (Class A) (a)............... 17 1,530,000 Cincinnati Financial Corp. ... 2,675 59,786 Crawford & Co. (Class B) (a)(b)...................... 540 2,592 Donegal Group, Inc. (Class A).......................... 2,288 34,801 Eastern Insurance Holdings, Inc. ....................... 1,076 10,125 Everest Re Group, Ltd. ....... 1,106 79,157 Fidelity National Financial, Inc. (Class A).............. 4,441 60,087 Genworth Financial, Inc. (Class A)................... 5,968 41,716 Hartford Financial Services Group, Inc. ................ 4,985 59,172 IPC Holdings, Ltd. ........... 2,520 68,897 Lincoln National Corp. ....... 6,152 105,876 Loews Corp. .................. 7,725 211,665 Marsh & McLennan Cos., Inc. .. 7,760 156,209 Max Capital Group, Ltd. (b)... 2,077 38,342 MBIA, Inc. (a)(b)............. 2,866 12,410 Mercer Insurance Group, Inc. ....................... 408 6,487 MetLife, Inc. ................ 7,826 234,858 NYMAGIC, Inc. ................ 1,861 25,831 Old Republic International Corp. ...................... 4,712 46,413 PartnerRe, Ltd. .............. 1,207 78,395 PMA Capital Corp. (Class A) (a)......................... 3,828 17,417 Principal Financial Group, Inc. ....................... 5,471 103,074 ProAssurance Corp. (a)........ 2,178 100,645 Protective Life Corp. ........ 500 5,720 Prudential Financial, Inc. ... 7,170 266,867 Reinsurance Group of America, Inc. (b).................... 1,264 44,126 RenaissanceRe Holdings, Ltd. ....................... 1,360 63,294 Seabright Insurance Holdings (a)......................... 2,672 27,067 Selective Insurance Group, Inc. ....................... 4,213 53,800 The Allstate Corp. ........... 9,495 231,678 The Chubb Corp. .............. 6,341 252,879 The Hanover Insurance Group, Inc. ....................... 1,867 71,151 The Phoenix Cos., Inc. (a)(b)...................... 7,553 12,614 The Progressive Corp. (a)..... 10,560 159,562 The Travelers Cos., Inc. ..... 10,530 432,151 Torchmark Corp. (b)........... 1,409 52,189 Transatlantic Holdings, Inc. ....................... 1,034 44,803 Unum Group.................... 7,411 117,539 W.R. Berkley Corp. ........... 2,364 50,755 XL Capital, Ltd. (Class A).... 4,737 54,286 ------------ 5,608,931 ------------ INTERNET & CATALOG RETAIL -- 0.4% Amazon.com, Inc. (a).......... 4,955 414,536 Expedia, Inc. (a)............. 4,639 70,095 HSN, Inc. (a)................. 930 9,830 Liberty Media Corp -- Interactive (Class A) (a)...................... 10,599 53,101 Netflix, Inc. (a)(b).......... 656 27,119 Priceline.com, Inc. (a)(b).... 575 64,141 Ticketmaster (a).............. 930 5,971 ------------ 644,793 ------------ INTERNET SOFTWARE & SERVICES -- 1.6% Akamai Technologies, Inc. (a)......................... 3,609 69,221 Art Technology Group, Inc. (a)......................... 6,033 22,925 EarthLink, Inc. (a)(b)........ 6,333 46,928 eBay, Inc. (a)................ 16,704 286,139 Equinix, Inc. (a)(b).......... 674 49,027 Google, Inc. (Class A) (a).... 3,671 1,547,657 IAC/InterActiveCorp. (a)...... 2,319 37,220 Internap Network Services Corp. (a)(b)................ 4,860 16,961 Local.com Corp. (a)(b)........ 5,197 17,670 Omniture, Inc. (a)(b)......... 500 6,280 Terremark Worldwide, Inc. (a)(b)...................... 3,417 19,750 VeriSign, Inc. (a)(b)......... 3,699 68,358 VistaPrint, Ltd. (a)(b)....... 1,112 47,427 Yahoo!, Inc. (a).............. 19,123 299,466 ------------ 2,535,029 ------------ IT SERVICES -- 1.6% Accenture, Ltd. (Class A)..... 8,415 281,566 Affiliated Computer Services, Inc. (Class A) (a).......... 2,477 110,028 Alliance Data Systems Corp. (a)(b)...................... 1,084 44,650 Automatic Data Processing, Inc. ....................... 8,872 314,424 Broadridge Financial Solutions, Inc. ............ 3,086 51,166 Cognizant Technology Solutions Corp. (Class A) (a)......... 5,585 149,119 Computer Sciences Corp. (a)... 3,307 146,500 Fidelity National Information Services, Inc. (b).......... 4,771 95,229 Fiserv, Inc. (a).............. 3,881 177,362 Lender Processing Services, Inc. ....................... 2,213 61,455 Mastercard, Inc. (Class A).... 1,308 218,841 Metavante Technologies, Inc. (a)......................... 2,198 56,840 Paychex, Inc. (b)............. 6,184 155,837 SAIC, Inc. (a)................ 2,552 47,340 The Western Union Co. ........ 10,864 178,169
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Total System Services, Inc. .. 3,474 $ 46,517 Unisys Corp. (a).............. 10,235 15,455 Visa, Inc. (Class A) (b)...... 6,876 428,100 ------------ 2,578,598 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Brunswick Corp. (b)........... 2,761 11,928 Eastman Kodak Co. (b)......... 5,780 17,109 Hasbro, Inc. ................. 3,849 93,300 Mattel, Inc. ................. 8,670 139,153 Pool Corp. (b)................ 3,097 51,286 ------------ 312,776 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.7% Affymetrix, Inc. (a).......... 1,794 10,638 AMAG Pharmaceuticals, Inc. (a)(b)...................... 330 18,041 Charles River Laboratories International, Inc. (a)..... 1,148 38,745 Covance, Inc. (a)(b).......... 1,055 51,906 Illumina, Inc. (a)(b)......... 2,172 84,578 Life Technologies Corp. (a)... 3,335 139,136 Millipore Corp. (a)........... 1,496 105,034 Nektar Therapeutics (a)(b).... 1,254 8,126 PerkinElmer, Inc. ............ 3,969 69,061 Pharmaceutical Product Development, Inc. .......... 1,312 30,465 Pure Bioscience (a)(b)........ 14,549 26,479 Sequenom, Inc. (a)(b)......... 1,392 5,443 Techne Corp. ................. 1,647 105,095 Thermo Fisher Scientific, Inc. (a)......................... 7,502 305,856 Waters Corp. (a).............. 2,226 114,572 ------------ 1,113,175 ------------ MACHINERY -- 1.8% AGCO Corp. (a)(b)............. 1,263 36,715 Bucyrus International, Inc. (Class A) (b)............... 1,531 43,725 Caterpillar, Inc. ............ 10,028 331,325 CLARCOR, Inc. (b)............. 1,163 33,948 Crane Co. .................... 2,256 50,331 Cummins, Inc. ................ 2,713 95,525 Danaher Corp. ................ 3,752 231,649 Deere & Co. .................. 6,832 272,938 Donaldson Co., Inc. (b)....... 1,299 44,997 Dover Corp. .................. 2,957 97,847 Eaton Corp. .................. 2,819 125,756 Federal Signal Corp. ......... 5,912 45,227 Flowserve Corp. .............. 855 59,688 Harsco Corp. ................. 2,323 65,741 IDEX Corp. ................... 4,167 102,383 Illinois Tool Works, Inc. .... 7,517 280,685 John Bean Technologies Corp. ...................... 471 5,897 Joy Global, Inc. ............. 2,271 81,120 Lincoln Electric Holdings, Inc. (b).................... 1,058 38,130 Manitowoc Co., Inc. (b)....... 2,533 13,324 Mueller Water Products, Inc. (Class A)................... 4,813 18,001 Navistar International Corp. (a)......................... 1,304 56,854 Oshkosh Corp. ................ 2,349 34,154 PACCAR, Inc. (b).............. 5,454 177,310 Pall Corp. ................... 4,132 109,746 Parker-Hannifin Corp. ........ 3,334 143,229 Pentair, Inc. ................ 2,726 69,840 SPX Corp. .................... 1,455 71,251 Terex Corp. (a)............... 1,771 21,376 The Timken Co. ............... 3,210 54,827 Watts Water Technologies, Inc. (b)......................... 2,708 58,330 ------------ 2,871,869 ------------ MEDIA -- 2.6% Ascent Media Corp. (Series A) (a)......................... 231 6,140 Cablevision Systems Corp. (Class A)................... 4,622 89,713 CBS Corp. .................... 11,342 78,487 Comcast Corp. (Class A)....... 44,851 649,891 Discovery Communications, Inc. (Series A) (a).............. 5,146 116,042 DISH Network Corp. (Class A) (a)......................... 5,197 84,243 Gannett Co., Inc. (b)......... 6,956 24,833 Journal Communications, Inc. ....................... 6,051 6,354 Knology, Inc. (a)............. 4,159 35,892 Lamar Advertising Co. (Class A) (a)(b)................... 2,077 31,716 Liberty Global, Inc. (Series A) (a)(b)................... 6,911 109,816 Liberty Media Corp. -- Entertainment (Series A) (a).............. 8,484 226,947 Liberty Media Corp.- Interactive (Class A) (a)... 2,116 28,693 Live Nation, Inc. (a)(b)...... 1,162 5,647 News Corp. (Class A).......... 36,647 333,854 Omnicom Group, Inc. .......... 5,017 158,437 Scripps Networks Interactive (Class A)................... 1,164 32,394 Sirius XM Radio, Inc. (a)(b).. 42,986 18,484 The DIRECTV Group, Inc. (a)(b)...................... 9,391 232,052 The Interpublic Group of Cos., Inc. (a).................... 9,674 48,854 The McGraw-Hill Cos., Inc. ... 6,392 192,463 The New York Times Co. (Class A).......................... 1,924 10,601 The Walt Disney Co. .......... 27,667 645,471 Time Warner Cable, Inc. ...... 4,966 157,273 Time Warner, Inc. ............ 21,191 533,801 Viacom, Inc. (a).............. 8,722 197,990 Virgin Media, Inc. (b)........ 5,084 47,535 ------------ 4,103,623 ------------ METALS & MINING -- 1.0% AK Steel Holding Corp. ....... 2,686 51,544 Alcoa, Inc. (b)............... 14,137 146,035 Allegheny Technologies, Inc. (b)......................... 1,647 57,530 Cliffs Natural Resources, Inc. ....................... 2,084 50,995 Commercial Metals Co. ........ 2,485 39,835 Freeport-McMoRan Copper & Gold, Inc. ................. 6,618 331,628 Newmont Mining Corp. ......... 7,297 298,228 Nucor Corp. .................. 4,793 212,953 Reliance Steel & Aluminum Co. (b)......................... 876 33,630 Royal Gold, Inc. ............. 1,204 50,207 Schnitzer Steel Industries, Inc (Class A) (b)........... 656 34,676 Southern Copper Corp. (b)..... 3,517 71,887 Steel Dynamics, Inc. (b)...... 3,554 52,350 Titanium Metals Corp. ........ 2,090 19,207 United States Steel Corp. (b)......................... 2,513 89,815 Walter Industries, Inc. ...... 1,269 45,989 Worthington Industries, Inc. (b)......................... 944 12,074 ------------ 1,598,583 ------------ MULTI-UTILITIES -- 1.1% Ameren Corp. (b).............. 3,326 82,784 CMS Energy Corp. ............. 6,562 79,269 Consolidated Edison, Inc. (b)......................... 4,369 163,488 Dominion Resources, Inc. ..... 10,020 334,869
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- DTE Energy Co. ............... 2,001 $ 64,032 Florida Public Utilities Co. (b)......................... 668 9,372 NiSource, Inc. ............... 4,697 54,767 PG&E Corp. ................... 5,741 220,684 PNM Resources, Inc. .......... 4,663 49,941 Public Service Enterprise Group, Inc. ................ 7,318 238,786 Sempra Energy................. 3,848 190,976 TECO Energy, Inc. (b)......... 6,931 82,687 Wisconsin Energy Corp. ....... 1,647 67,049 Xcel Energy, Inc. ............ 9,142 168,304 ------------ 1,807,008 ------------ MULTILINE RETAIL -- 0.8% Big Lots, Inc. (a)............ 2,965 62,354 Dillard's, Inc. (Class A)..... 1,036 9,531 Dollar Tree Stores, Inc. (a).. 2,162 91,020 Family Dollar Stores, Inc. ... 2,787 78,872 J. C. Penney Co., Inc. (b).... 3,811 109,414 Kohl's Corp. (a).............. 4,831 206,525 Macy's, Inc. (b).............. 8,502 99,983 Nordstrom, Inc. (b)........... 4,268 84,891 Sears Holdings Corp. (a)(b)... 1,390 92,463 Target Corp. ................. 11,142 439,775 ------------ 1,274,828 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. .................. 15,709 101,795 Zebra Technologies Corp. (Class A) (a)(b)............ 2,467 58,369 ------------ 160,164 ------------ OIL, GAS & CONSUMABLE FUELS -- 10.0% Abraxas Petroleum Corp. (a)(b)...................... 6,237 5,925 Adams Resources & Energy, Inc. ....................... 408 6,997 Alpha Natural Resources, Inc. (a)......................... 1,801 47,312 Anadarko Petroleum Corp. ..... 7,990 362,666 Apache Corp. ................. 5,653 407,864 Approach Resources, Inc. (a).. 540 3,726 Arch Coal, Inc. (b)........... 3,331 51,197 Arena Resources, Inc. (a)(b).. 1,337 42,583 Barnwell Industries, Inc. .... 940 3,713 Blue Dolphin Energy Co. (a)... 16,423 6,898 BPZ Resources, Inc. (a)(b).... 1,348 6,592 Cabot Oil & Gas Corp. ........ 1,093 33,490 Chesapeake Energy Corp. ...... 9,302 184,459 Chevron Corp. ................ 32,554 2,156,703 Cimarex Energy Co. (b)........ 984 27,887 Clayton Williams Energy, Inc. (a)(b)...................... 136 2,566 Concho Resources, Inc. (a).... 1,776 50,953 ConocoPhillips................ 21,501 904,332 CONSOL Energy, Inc. .......... 3,367 114,343 Contango Oil & Gas Co. (a).... 272 11,557 CREDO Petroleum Corp. (a)(b).. 540 5,767 Cross Timbers Royalty Trust (b)......................... 2,612 65,039 Crosstex Energy LP............ 2,430 7,606 Delta Petroleum Corp. (a)(b).. 1,205 2,326 Denbury Resources, Inc. (a)... 6,047 89,072 Devon Energy Corp. ........... 7,143 389,294 Double Eagle Petroleum Co. (a)(b)...................... 940 4,681 El Paso Corp. ................ 13,458 124,217 Encore Acquisition Co. (a).... 1,494 46,090 Energy Transfer Partners LP... 2,213 89,604 Enterprise Products Partners LP (b)...................... 5,608 139,864 EOG Resources, Inc. .......... 4,277 290,494 EXCO Resources, Inc. (a)...... 3,501 45,233 Exxon Mobil Corp. ............ 79,029 5,524,917 Forest Oil Corp. (a)(b)....... 2,038 30,407 Foundation Coal Holdings, Inc. (b)......................... 1,421 39,944 Frontier Oil Corp. ........... 2,628 34,453 Gasco Energy, Inc. (a)(b)..... 10,608 2,970 Genesis Energy LP............. 3,037 38,631 Global Energy Holdings Group (a)......................... 9,296 1,209 GMX Resources, Inc. (a)(b).... 272 2,894 Goodrich Petroleum Corp. (a)(b)...................... 876 21,541 Hess Corp. ................... 4,702 252,733 Hiland Partners LP............ 540 3,947 Holly Corp. (b)............... 1,271 22,853 Holly Energy Partners LP...... 540 17,145 Houston American Energy Corp. (b)......................... 8,528 15,606 Hugoton Royalty Trust (b)..... 384 5,545 Kinder Morgan Energy Partners LP (b)...................... 3,129 159,955 Linn Energy LLC (b)........... 3,730 72,996 Marathon Oil Corp. ........... 12,044 362,886 Massey Energy Co. (b)......... 2,588 50,570 Murphy Oil Corp. ............. 3,283 178,333 Newfield Exploration Co. (a).. 2,211 72,233 Noble Energy, Inc. ........... 3,411 201,147 Occidental Petroleum Corp. ... 13,354 878,827 ONEOK Partners LP (b)......... 2,184 100,005 Panhandle Oil & Gas, Inc. (b)......................... 408 8,009 Patriot Coal Corp. (a)(b)..... 1,088 6,941 Peabody Energy Corp. ......... 4,501 135,750 Petrohawk Energy Corp. (a).... 4,216 94,017 Pioneer Natural Resources Co. ........................ 3,110 79,305 Plains All American Pipeline LP.......................... 2,885 122,757 Plains Exploration & Production Co. (a).......... 2,840 77,702 PrimeEnergy Corp. (a)(b)...... 136 4,870 Quicksilver Resources, Inc. (a)(b)...................... 800 7,432 Range Resources Corp. ........ 3,217 133,216 Rex Energy Corp. (a)(b)....... 1,212 6,908 SandRidge Energy, Inc. (a)(b)...................... 900 7,668 Southwestern Energy Co. (a)... 5,983 232,440 Spectra Energy Corp. ......... 10,075 170,469 St. Mary Land & Exploration Co. (b)..................... 3,283 68,516 Sunoco, Inc. (b).............. 2,582 59,902 Tesoro Corp. (b).............. 3,728 47,457 The Williams Cos., Inc. ...... 10,302 160,814 Toreador Resources Corp. ..... 1,076 7,209 TransMontaigne Partners LP.... 668 14,028 Ultra Petroleum Corp. (a)..... 2,048 79,872 Valero Energy Corp. .......... 9,020 152,348 XTO Energy, Inc. ............. 9,026 344,252 Zion Oil & Gas, Inc. (a)(b)... 1,844 19,583 ------------ 15,864,262 ------------ PAPER & FOREST PRODUCTS -- 0.2% International Paper Co. ...... 8,404 127,152 MeadWestvaco Corp. ........... 5,482 89,960 Weyerhaeuser Co. ............. 3,476 105,775 ------------ 322,887 ------------ PERSONAL PRODUCTS -- 0.2% Avon Products, Inc. .......... 7,760 200,053 Herbalife, Ltd. .............. 1,532 48,319 The Estee Lauder Cos., Inc. (Class A) (b)............... 3,021 98,696 ------------ 347,068 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PHARMACEUTICALS -- 6.2% Abbott Laboratories........... 24,929 $ 1,172,660 Allergan, Inc. ............... 4,980 236,948 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 996 31,254 Bristol-Myers Squibb Co. ..... 30,471 618,866 Eli Lilly & Co. .............. 15,016 520,154 Endo Pharmaceuticals Holdings, Inc. (a).................... 2,161 38,725 Forest Laboratories, Inc. (a)......................... 5,707 143,303 Johnson & Johnson............. 44,069 2,503,119 King Pharmaceuticals, Inc. (a)......................... 4,256 40,985 Merck & Co., Inc. ............ 34,373 961,069 Middlebrook Pharmaceuticals, Inc. (a)(b)................. 10,604 14,315 Mylan, Inc. (a)(b)............ 6,331 82,620 Perrigo Co. (b)............... 1,811 50,310 Pfizer, Inc. ................. 107,742 1,616,130 Questcor Pharmaceuticals, Inc. (a)(b)...................... 1,481 7,405 Repros Therapeutics, Inc. (a)(b)...................... 3,745 26,927 Schering-Plough Corp. ........ 26,059 654,602 Sepracor, Inc. (a)............ 2,348 40,667 ViroPharma, Inc. (a)(b)....... 2,188 12,975 VIVUS, Inc. (a)(b)............ 4,299 26,138 Watson Pharmaceuticals, Inc. (a)(b)...................... 2,859 96,320 Wyeth......................... 21,032 954,643 ------------ 9,850,135 ------------ PROFESSIONAL SERVICES -- 0.3% Equifax, Inc. ................ 3,405 88,871 IHS, Inc. (Class A) (a)(b).... 1,014 50,568 Manpower, Inc. ............... 1,536 65,034 Monster Worldwide, Inc. (a)(b)...................... 3,543 41,843 Robert Half International, Inc. (b).................... 4,596 108,558 The Dun & Bradstreet Corp. ... 1,564 127,012 ------------ 481,886 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.8% Agree Realty Corp. ........... 4,107 75,281 AMB Property Corp. ........... 1,562 29,381 American Campus Communities, Inc. (b).................... 1,947 43,184 Annaly Capital Management, Inc. ....................... 10,000 151,400 Anthracite Capital, Inc. (b).. 10,396 6,446 Apartment Investment & Management Co. (Class A) (b)......................... 3,329 29,462 Ashford Hospitality Trust, Inc. (b).................... 9,161 25,742 Avalonbay Communities, Inc. (b)......................... 1,476 82,567 BioMed Realty Trust, Inc. .... 2,957 30,250 Boston Properties, Inc. (b)... 1,644 78,419 BRE Properties, Inc. (b)...... 1,211 28,773 Camden Property Trust......... 400 11,040 Care Investment Trust, Inc. .. 3,271 17,009 CBL & Associates Properties, Inc. (b).................... 1,581 8,522 Cedar Shopping Centers, Inc. ....................... 2,793 12,624 Cogdell Spencer, Inc. (b)..... 1,930 8,280 Corporate Office Properties Trust (b)................... 2,639 77,402 Developers Diversified Realty Corp. (b)................... 2,544 12,415 Digital Realty Trust, Inc. (b)......................... 1,234 44,239 Duke Realty Corp. (b)......... 3,201 28,073 Equity Residential............ 5,396 119,953 Extra Space Storage, Inc. .... 2,391 19,965 Glimcher Realty Trust......... 4,923 14,277 HCP, Inc. .................... 4,019 85,163 Health Care REIT, Inc. ....... 1,412 48,149 Home Properties, Inc. (b)..... 844 28,780 Hospitality Properties Trust (b)......................... 2,607 30,997 Host Hotels & Resorts, Inc. .. 11,492 96,418 Investors Real Estate Trust (b)......................... 11,458 101,862 Kimco Realty Corp. ........... 4,105 41,255 LaSalle Hotel Properties (b).. 3,841 47,398 Lexington Realty Trust (b).... 2,306 7,840 Liberty Property Trust........ 1,848 42,578 Monmouth Real Estate Investment Corp. (b)........ 6,971 40,850 National Retail Properties, Inc. (b).................... 4,943 85,761 Nationwide Health Properties, Inc. ....................... 1,657 42,651 Pennsylvania Real Estate Investment Trust (b)........ 3,281 16,405 Pittsburgh & West Virginia Railroad.................... 3,008 31,012 Plum Creek Timber Co., Inc. (b)......................... 3,751 111,705 Post Properties, Inc. (b)..... 618 8,306 ProLogis (b).................. 5,993 48,304 Public Storage................ 1,573 103,000 Realty Income Corp. (b)....... 2,391 52,411 Regency Centers Corp. (b)..... 200 6,982 Senior Housing Properties Trust....................... 2,092 34,141 Simon Property Group, Inc. ... 4,047 208,137 SL Green Realty Corp. (a)(b).. 900 20,646 Sunstone Hotel Investors, Inc. ....................... 100 535 Tanger Factory Outlet Centers, Inc. ....................... 2,300 74,589 The Macerich Co. (b).......... 2,351 41,401 Transcontinental Realty Investors, Inc. (a)(b)...... 924 11,153 UDR, Inc. (b)................. 2,833 29,265 Urstadt Biddle Properties (Class A)................... 6,303 88,746 Ventas, Inc. ................. 2,431 72,590 Vornado Realty Trust.......... 2,821 127,030 Walter Investment Management Corp. (a)(b)................ 460 6,109 Weingarten Realty Investors... 1,873 27,177 ------------ 2,774,050 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 2,617 20,857 CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 6,378 59,698 Forestar Real Estate Group, Inc. (a)(b)................. 886 10,526 Jones Lang LaSalle, Inc. ..... 1,074 35,152 The St. Joe Co. (a)(b)........ 1,539 40,768 ------------ 167,001 ------------ ROAD & RAIL -- 1.0% Burlington Northern Santa Fe Corp. ...................... 5,050 371,377 CSX Corp. .................... 7,287 252,349 J.B. Hunt Transport Services, Inc. (b).................... 4,594 140,255 Kansas City Southern (a)(b)... 2,021 32,558 Landstar Systems, Inc. (b).... 2,768 99,399 Norfolk Southern Corp. ....... 6,958 262,108 Union Pacific Corp. .......... 7,798 405,964 YRC Worldwide, Inc. (a)(b).... 1,872 3,238 ------------ 1,567,248 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6% Advanced Micro Devices, Inc. (a)(b)...................... 9,280 35,914 Aetrium, Inc. (a)(b).......... 8,111 13,708 Altera Corp. (b).............. 5,445 88,645 Anadigics, Inc. (a)........... 2,710 11,355 Analog Devices, Inc. ......... 5,834 144,567
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Applied Materials, Inc. ...... 23,614 $ 259,046 Atheros Communications, Inc. (a)(b)...................... 2,490 47,908 AXT, Inc. (a)................. 8,943 12,341 Broadcom Corp. (Class A) (a).. 8,069 200,031 Cypress Semiconductor Corp. (a)(b)...................... 2,800 25,760 FEI Co. (a)................... 2,277 52,143 Intel Corp. .................. 89,506 1,481,324 International Rectifier Corp. (a)(b)...................... 1,921 28,450 Intersil Corp. (Class A)...... 5,062 63,629 KLA-Tencor Corp. ............. 3,830 96,707 Lam Research Corp. (a)........ 3,419 88,894 Linear Technology Corp. (b)... 5,099 119,062 LSI Logic Corp. (a)........... 10,770 49,111 Marvell Technology Group, Ltd. (a)......................... 7,621 88,708 Maxim Integrated Products, Inc. ....................... 2,844 44,622 MEMC Electronic Materials, Inc. (a).................... 4,703 83,760 Microchip Technology, Inc. (b)......................... 4,216 95,071 Micron Technology, Inc. (a)(b)...................... 13,105 66,311 Microsemi Corp. (a)........... 2,677 36,943 MKS Instruments, Inc. (a)..... 336 4,432 National Semiconductor Corp. (b)......................... 6,814 85,516 Novellus Systems, Inc. (a).... 3,894 65,030 NVIDIA Corp. (a).............. 10,610 119,787 ON Semiconductor Corp. (a).... 4,973 34,115 Rambus, Inc. (a)(b)........... 2,158 33,427 Sigma Designs, Inc. (a)(b).... 566 9,079 Teradyne, Inc. (a)............ 5,621 38,560 Texas Instruments, Inc. ...... 21,145 450,388 Xilinx, Inc. (b).............. 4,625 94,627 ------------ 4,168,971 ------------ SOFTWARE -- 4.2% Activision Blizzard, Inc. (a)......................... 10,526 132,943 Adobe Systems, Inc. (a)....... 9,629 272,501 Autodesk, Inc. (a)............ 4,450 84,461 BMC Software, Inc. (a)........ 4,015 135,667 CA, Inc. ..................... 7,724 134,629 Cadence Design Systems, Inc. (a)......................... 7,920 46,728 Citrix Systems, Inc. (a)...... 3,866 123,287 Compuware Corp. (a)........... 8,904 61,081 Concur Technologies, Inc. (a)(b)...................... 1,204 37,420 Electronic Arts, Inc. (a)..... 4,965 107,840 Intuit, Inc. (a).............. 5,934 167,101 Jack Henry & Associates, Inc. ....................... 2,347 48,700 McAfee, Inc. (a).............. 3,050 128,679 Microsoft Corp. .............. 126,579 3,008,783 Novell, Inc. (a).............. 11,704 53,019 Nuance Communications, Inc. (a)(b)...................... 3,975 48,058 Oracle Corp. ................. 63,797 1,366,532 Parametric Technology Corp. (a)......................... 5,344 62,471 Red Hat, Inc. (a)............. 4,113 82,795 Salesforce.com, Inc. (a)(b)... 1,593 60,805 Smith Micro Software, Inc. (a)......................... 2,095 20,573 Soapstone Networks, Inc. (a)(b)...................... 3,957 16,540 Solera Holdings, Inc. (a)..... 1,860 47,244 Symantec Corp. (a)............ 15,051 234,194 Synopsys, Inc. (a)............ 4,398 85,805 TiVo, Inc. (a)(b)............. 3,281 34,385 Versant Corp. (a)............. 2,662 40,090 Websense, Inc. (a)............ 753 13,434 ------------ 6,655,765 ------------ SPECIALTY RETAIL -- 2.2% Abercrombie & Fitch Co. (Class A) (b)...................... 1,932 49,053 Advance Auto Parts, Inc. ..... 2,581 107,086 Aeropostale, Inc. (a)(b)...... 876 30,021 American Eagle Outfitters, Inc. ....................... 4,542 64,360 AutoNation, Inc. (a)(b)....... 4,790 83,107 AutoZone, Inc. (a)(b)......... 729 110,159 Bed Bath & Beyond, Inc. (a)(b)...................... 5,052 155,349 Best Buy Co., Inc. ........... 5,677 190,123 Chico's FAS, Inc. (a)......... 3,559 34,629 Dick's Sporting Goods, Inc. (a)(b)...................... 1,781 30,633 Foot Locker, Inc. ............ 4,035 42,246 GameStop Corp. (Class A) (a).. 2,482 54,629 Genesco, Inc. (a)(b).......... 409 7,677 Limited Brands, Inc. ......... 6,303 75,447 Lowe's Cos., Inc. ............ 22,158 430,087 Mens Wearhouse, Inc. (b)...... 835 16,015 O'Reilly Automotive, Inc. (a)......................... 3,487 132,785 Office Depot, Inc. (a)........ 6,381 29,097 PetSmart, Inc. ............... 3,751 80,496 RadioShack Corp. ............. 3,663 51,135 Rent-A-Center, Inc. (a)....... 2,566 45,752 Ross Stores, Inc. ............ 3,283 126,724 Staples, Inc. ................ 12,088 243,815 The Gap, Inc. ................ 9,624 157,834 The Home Depot, Inc. ......... 28,248 667,500 The Sherwin-Williams Co. (b).. 1,301 69,929 The TJX Cos., Inc. ........... 6,557 206,283 Tiffany & Co. (b)............. 2,777 70,425 Urban Outfitters, Inc. (a)(b)...................... 2,946 61,483 Williams-Sonoma, Inc. ........ 2,284 27,111 ------------ 3,450,990 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.5% Carter's, Inc. (a)............ 1,632 40,164 Coach, Inc. .................. 6,126 164,667 Hanesbrands, Inc. (a)(b)...... 2,278 34,193 Iconix Brand Group, Inc. (a)(b)...................... 746 11,473 Jones Apparel Group, Inc. .... 3,831 41,107 Liz Claiborne, Inc. .......... 3,315 9,547 NIKE, Inc. (Class B).......... 4,639 240,207 Quiksilver, Inc. (a).......... 5,541 10,251 Under Armour, Inc. (Class A) (a)(b)...................... 947 21,194 V. F. Corp. (b)............... 1,114 61,660 Wolverine World Wide, Inc. ... 3,772 83,210 ------------ 717,673 ------------ THRIFTS & MORTGAGE FINANCE -- 0.3% Astoria Financial Corp. (b)... 2,113 18,130 Berkshire Hills Bancorp, Inc. ....................... 2,782 57,810 Fannie Mae (b)................ 18,872 10,946 Freddie Mac (a)(b)............ 13,369 8,289 Hudson City Bancorp, Inc. .... 5,145 68,377 MGIC Investment Corp. (b)..... 2,226 9,794 New York Community Bancorp, Inc. (b).................... 4,454 47,613 NewAlliance Bancshares, Inc. (b)......................... 8,921 102,592 OceanFirst Financial Corp. ... 5,237 62,687 People's United Financial, Inc. ....................... 5,700 85,728 Radian Group, Inc. (b)........ 2,622 7,132 TF Financial Corp. ........... 272 4,795 TrustCo Bank Corp. NY (b)..... 9,618 56,842 ------------ 540,735 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- TOBACCO -- 1.4% Altria Group, Inc. ........... 33,250 $ 544,968 Lorillard, Inc. .............. 2,364 160,208 Philip Morris International, Inc. ....................... 31,598 1,378,305 Reynolds American, Inc. ...... 3,357 129,647 ------------ 2,213,128 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% Fastenal Co. (b).............. 3,374 111,915 Kaman Corp. (Class A)......... 2,938 49,065 W.W. Grainger, Inc. (b)....... 675 55,269 Willis Lease Finance Corp. (a)......................... 540 7,085 ------------ 223,334 ------------ WATER UTILITIES -- 0.2% Aqua America, Inc. (b)........ 1,872 33,509 Artesian Resources Corp. (b).. 540 8,602 Cadiz, Inc. (a)............... 938 9,033 Connecticut Water Service, Inc. ....................... 1,312 28,457 Middlesex Water Co. .......... 6,443 93,101 Pennichuck Corp. ............. 272 6,202 Southwest Water Co. .......... 2,699 14,899 The York Water Co. (b)........ 3,021 46,312 ------------ 240,115 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% American Tower Corp. (Class A) (a)......................... 7,124 224,620 Crown Castle International Corp. (a)................... 4,905 117,818 Leap Wireless International, Inc. (a)(b)................. 1,275 41,986 MetroPCS Communications, Inc. (a)......................... 3,783 50,352 NII Holdings, Inc. (a)........ 3,341 63,713 Purple Communications, Inc. (a)(b)...................... 3,531 8,015 SBA Communications Corp. (Class A) (a)(b)............ 2,351 57,693 Sprint Nextel Corp. (a)....... 42,844 206,080 Telephone & Data Systems, Inc. ....................... 2,434 68,882 ------------ 839,159 ------------ TOTAL COMMON STOCKS -- (Cost $185,272,494)......... 157,601,112 ------------ SHORT TERM INVESTMENTS -- 5.2% MONEY MARKET FUNDS -- 5.2% State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 7,113,997 7,113,997 STIC Prime Portfolio.......... 1,164,008 1,164,008 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $8,278,005)........... 8,278,005 ------------ TOTAL INVESTMENTS -- 104.8% (f) (Cost $193,550,499)..... 165,879,117 OTHER ASSETS AND LIABILITIES -- (4.8)%....... (7,641,106) ------------ NET ASSETS -- 100.0%.......... $158,238,011 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Affiliated issuer. (Note 3) (d) Investments of cash collateral for securities loaned (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.4% Alliant Techsystems, Inc. (a)(b)...................... 146 $ 12,024 Boeing Co. (b)................ 2,852 121,210 General Dynamics Corp. (b).... 1,423 78,820 Goodrich Corp. (b)............ 545 27,234 Honeywell International, Inc. (b)......................... 2,934 92,128 ITT Corp. .................... 793 35,288 L-3 Communications Holdings, Inc. (b).................... 520 36,078 Lockheed Martin Corp. ........ 1,389 112,023 Northrop Grumman Corp. (b).... 1,327 60,617 Precision Castparts Corp. .... 611 44,621 Raytheon Co. (b).............. 1,721 76,464 Rockwell Collins, Inc. (b).... 693 28,919 Spirit Aerosystems Holdings, Inc. (a)(b)................. 445 6,114 United Technologies Corp. (b)......................... 3,859 200,514 ------------ 932,054 ------------ AIR FREIGHT & LOGISTICS -- 0.8% C.H. Robinson Worldwide, Inc. (b)......................... 743 38,747 Expeditors International Washington, Inc. (b)........ 930 31,006 FedEx Corp. (b)............... 1,269 70,582 United Parcel Service, Inc. (Class B) (b)............... 3,048 152,370 ------------ 292,705 ------------ AIRLINES -- 0.1% AMR Corp. (a)(b).............. 1,205 4,844 Delta Air Lines, Inc. (a)(b).. 3,224 18,667 Southwest Airlines Co. (b).... 3,217 21,651 ------------ 45,162 ------------ AUTO COMPONENTS -- 0.2% BorgWarner, Inc. (b).......... 499 17,041 Johnson Controls, Inc. (b).... 2,588 56,212 The Goodyear Tire & Rubber Co. (a)(b)...................... 1,036 11,665 ------------ 84,918 ------------ AUTOMOBILES -- 0.3% Ford Motor Co. (a)(b)......... 13,767 83,565 Harley-Davidson, Inc. (b)..... 1,032 16,729 ------------ 100,294 ------------ BEVERAGES -- 2.5% Brown-Forman Corp. (Class B) (b)......................... 395 16,977 Coca-Cola Enterprises, Inc. .. 1,383 23,027 Constellation Brands, Inc. (Class A) (a)(b)............ 840 10,651 Dr. Pepper Snapple Group, Inc. (a)......................... 1,112 23,563 Hansen Natural Corp. (a)(b)... 315 9,708 Molson Coors Brewing Co. (Class B) (b)............... 646 27,345 PepsiAmericas, Inc. (b)....... 281 7,534 PepsiCo, Inc. ................ 6,873 377,740 The Coca-Cola Co. (b)......... 9,248 443,812 The Pepsi Bottling Group, Inc. ....................... 604 20,440 ------------ 960,797 ------------ BIOTECHNOLOGY -- 1.9% Abraxis Bioscience, Inc. (a)(b)...................... 18 663 Alexion Pharmaceuticals, Inc. (a)(b)...................... 341 14,022 Amgen, Inc. (a)............... 4,449 235,530 Amylin Pharmaceuticals, Inc. (a)(b)...................... 597 8,060 Biogen Idec, Inc. (a)(b)...... 1,299 58,650 BioMarin Pharmaceutical, Inc. (a)(b)...................... 423 6,603 Celgene Corp. (a)............. 1,975 94,484 Cephalon, Inc. (a)(b)......... 303 17,165 Genzyme Corp. (a)............. 1,181 65,746 Gilead Sciences, Inc. (a)..... 4,005 187,594 Myriad Genetics, Inc. (a)(b).. 408 14,545 Myriad Pharmaceuticals, Inc. (a)......................... 101 470 OSI Pharmaceuticals, Inc. (a)(b)...................... 250 7,058 Vertex Pharmaceuticals, Inc. (a)......................... 699 24,912 ------------ 735,502 ------------ BUILDING PRODUCTS -- 0.0% (D) Masco Corp. (b)............... 1,607 15,395 ------------ CAPITAL MARKETS -- 2.8% Affiliated Managers Group, Inc. (a)(b)................. 179 10,416 AllianceBernstein Holding LP.. 139 2,793 Ameriprise Financial, Inc. (b)......................... 1,163 28,226 BlackRock, Inc. (b)........... 89 15,612 Eaton Vance Corp. (b)......... 504 13,482 Federated Investors, Inc. (Class B) (b)............... 413 9,949 Franklin Resources, Inc. ..... 697 50,191 Invesco, Ltd. ................ 1,703 30,347 Jefferies Group, Inc. (a)(b).. 505 10,772 Lazard, Ltd. (Class A) (b).... 335 9,018 Legg Mason, Inc. (b).......... 611 14,896 Morgan Stanley (b)............ 5,283 150,618 Northern Trust Corp. (b)...... 1,070 57,438 Och-Ziff Capital Management Group LLC (Class A) (b)..... 178 1,586 Raymond James Financial, Inc. (b)......................... 428 7,366 SEI Investments Co. (b)....... 609 10,986 State Street Corp.(c)......... 2,069 97,657 T. Rowe Price Group, Inc. (b)......................... 1,137 47,379 TD Ameritrade Holding Corp. (a)(b)...................... 1,053 18,470 The Bank of New York Mellon Corp. ...................... 5,216 152,881 The Charles Schwab Corp. ..... 4,110 72,089 The Goldman Sachs Group, Inc. (b)......................... 1,856 273,649 ------------ 1,085,821 ------------ CHEMICALS -- 1.9% Air Products & Chemicals, Inc. ....................... 861 55,612 Airgas, Inc. ................. 304 12,321 Albemarle Corp. .............. 397 10,151 Celanese Corp. (Series A)..... 647 15,366 CF Industries Holdings, Inc. ....................... 251 18,609 E. I. du Pont de Nemours & Co. ........................ 3,623 92,821 Eastman Chemical Co. (b)...... 313 11,863 Ecolab, Inc. (b).............. 773 30,139 FMC Corp. (b)................. 324 15,325 International Flavors & Fragrances, Inc. (b)........ 344 11,256 Intrepid Potash, Inc. (a)(b).. 143 4,016 Lubrizol Corp. ............... 294 13,909 Monsanto Co. (b).............. 2,380 176,929 PPG Industries, Inc. (b)...... 718 31,520 Praxair, Inc. ................ 1,360 96,655 Sigma-Aldrich Corp. (b)....... 467 23,145 Terra Industries, Inc. (b).... 446 10,802 Terra Nitrogen Co. LP......... 33 3,326 The Dow Chemical Co. (b)...... 4,649 75,035
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- The Mosaic Co. (b)............ 648 $ 28,706 The Scotts Miracle-Gro Co. (Class A) (b)............... 194 6,800 ------------ 744,306 ------------ COMMERCIAL BANKS -- 2.3% BB&T Corp. (b)................ 2,806 61,676 BOK Financial Corp. (b)....... 95 3,579 City National Corp. (b)....... 181 6,666 Comerica, Inc. (b)............ 666 14,086 Commerce Bancshares, Inc. (b)......................... 268 8,530 Cullen/Frost Bankers, Inc. (b)......................... 247 11,392 Keycorp (b)................... 2,893 15,159 M&T Bank Corp. (b)............ 340 17,316 PNC Financial Services Group, Inc. (b).................... 1,968 76,378 Regions Financial Corp. (b)... 4,765 19,251 SunTrust Banks, Inc. (b)...... 2,025 33,311 U.S. Bancorp (b).............. 7,632 136,766 Wells Fargo & Co. (b)......... 19,678 477,388 ------------ 881,498 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.6% Avery Dennison Corp. (b)...... 409 10,503 Cintas Corp. (b).............. 582 13,293 Copart, Inc. (a)(b)........... 277 9,604 Corrections Corp. of America (a)......................... 549 9,327 Covanta Holding Corp. (a)(b).. 538 9,124 Iron Mountain, Inc. (a)(b).... 788 22,655 Pitney Bowes, Inc. (b)........ 920 20,176 R.R. Donnelley & Sons Co. (b)......................... 908 10,551 Republic Services, Inc. (b)... 1,353 33,027 Stericycle, Inc. (a)(b)....... 385 19,839 Waste Connections, Inc. (a)(b)...................... 345 8,939 Waste Management, Inc. (b).... 2,163 60,910 ------------ 227,948 ------------ COMMUNICATIONS EQUIPMENT -- 2.4% Cisco Systems, Inc. (a)....... 25,047 466,876 EchoStar Corp. (Class A) (a)(b)...................... 180 2,869 Harris Corp. ................. 588 16,676 Juniper Networks, Inc. (a)(b)...................... 2,305 54,398 Motorola, Inc. ............... 9,246 61,301 QUALCOMM, Inc. (b)............ 7,112 321,462 ------------ 923,582 ------------ COMPUTERS & PERIPHERALS -- 5.0% Apple, Inc. (a)............... 3,904 556,047 Dell, Inc. (a)(b)............. 7,531 103,401 EMC Corp. (a)(b).............. 8,694 113,891 Hewlett-Packard Co. .......... 10,475 404,859 International Business Machines Corp. ............. 5,747 600,102 Lexmark International, Inc. (Class A) (a)(b)............ 364 5,769 NCR Corp. (a)................. 718 8,494 NetApp, Inc. (a).............. 1,435 28,298 SanDisk Corp. (a)(b).......... 989 14,528 Seagate Technology (b)........ 2,121 22,186 Sun Microsystems, Inc. (a).... 3,221 29,698 Teradata Corp. (a)............ 781 18,299 Western Digital Corp. (a)..... 961 25,466 ------------ 1,931,038 ------------ CONSTRUCTION & ENGINEERING -- 0.4% Aecom Technology Corp. (a)(b)...................... 339 10,848 Fluor Corp. (b)............... 790 40,519 Jacobs Engineering Group, Inc. (a)(b)...................... 537 22,602 KBR, Inc. .................... 715 13,185 Quanta Services, Inc. (a)(b).. 860 19,892 The Shaw Group, Inc. (a)...... 429 11,759 URS Corp. (a)(b).............. 368 18,223 ------------ 137,028 ------------ CONSTRUCTION MATERIALS -- 0.1% Martin Marietta Materials, Inc. (b).................... 181 14,277 Vulcan Materials Co. ......... 400 17,240 ------------ 31,517 ------------ CONSUMER FINANCE -- 0.5% American Express Co. (b)...... 4,529 105,254 Capital One Financial Corp. (b)......................... 2,031 44,438 Discover Financial Services (b)......................... 2,077 21,331 SLM Corp. (a)(b).............. 2,046 21,012 ------------ 192,035 ------------ CONTAINERS & PACKAGING -- 0.3% Aptargroup, Inc. (b).......... 282 9,523 Ball Corp. (b)................ 412 18,606 Bemis Co., Inc. (b)........... 449 11,315 Crown Holdings, Inc. (a)(b)... 699 16,874 Owens-Illinois, Inc. (a)...... 744 20,839 Pactiv Corp. (a)(b)........... 573 12,434 Sealed Air Corp. (b).......... 698 12,878 Sonoco Products Co. .......... 430 10,299 ------------ 112,768 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. (b)......... 704 23,626 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.3% Apollo Group, Inc. (a)(b)..... 576 40,965 Career Education Corp. (a)(b)...................... 392 9,757 DeVry, Inc. (b)............... 270 13,511 H&R Block, Inc. (b)........... 1,479 25,483 ITT Educational Services, Inc. (a)(b)...................... 170 17,112 Strayer Education, Inc. (b)... 59 12,869 Weight Watchers International, Inc. (b).................... 165 4,252 ------------ 123,949 ------------ DIVERSIFIED FINANCIAL SERVICES -- 3.3% Bank of America Corp. (b)..... 33,243 438,808 Citigroup, Inc. (b)........... 22,287 66,193 CME Group, Inc. (b)........... 290 90,222 Intercontinental Exchange, Inc. (a)(b)................. 318 36,328 JPMorgan Chase & Co. (b)...... 16,285 555,481 Leucadia National Corp. (a)(b)...................... 756 15,944 Moody's Corp. (b)............. 838 22,081 NYSE Euronext (b)............. 1,129 30,765 The Nasdaq OMX Group, Inc. (a)(b)...................... 694 14,789 ------------ 1,270,611 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.0% AT&T, Inc. ................... 25,866 642,511 CenturyTel, Inc. (b).......... 442 13,569 Clearwire Corp. (Class A) (a)(b)...................... 307 1,698 Embarq Corp. (b).............. 627 26,372 Frontier Communications Corp. ...................... 1,371 9,789 Level 3 Communications, Inc. (a)(b)...................... 6,953 10,499
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Qwest Communications International, Inc. (b)..... 6,202 $ 25,738 Verizon Communications, Inc. (b)......................... 12,560 385,969 Windstream Corp. (b).......... 1,933 16,160 ------------ 1,132,305 ------------ ELECTRIC UTILITIES -- 2.2% Allegheny Energy, Inc. (b).... 739 18,955 American Electric Power Co., Inc. (b).................... 2,081 60,120 DPL, Inc. (b)................. 499 11,562 Duke Energy Corp. (b)......... 5,473 79,851 Edison International (b)...... 1,311 41,244 Entergy Corp. (b)............. 825 63,954 Exelon Corp. (b).............. 2,908 148,919 FirstEnergy Corp. (b)......... 1,327 51,421 FPL Group, Inc. (b)........... 1,642 93,364 ITC Holdings Corp. (b)........ 215 9,753 Northeast Utilities (b)....... 798 17,803 NV Energy, Inc. (b)........... 1,020 11,006 Pepco Holdings, Inc. (b)...... 945 12,701 Pinnacle West Capital Corp. (b)......................... 442 13,326 PPL Corp. (b)................. 1,626 53,593 Progress Energy, Inc. (b)..... 1,153 43,618 The Southern Co. (b).......... 3,386 105,508 Westar Energy, Inc. (b)....... 470 8,822 ------------ 845,520 ------------ ELECTRICAL EQUIPMENT -- 0.6% AMETEK, Inc. (b).............. 461 15,941 Cooper Industries, Ltd. (Class A) (b)...................... 757 23,505 Emerson Electric Co. (b)...... 3,286 106,466 First Solar, Inc. (a)(b)...... 198 32,100 Hubbell, Inc. (Class B) (b)... 234 7,502 Rockwell Automation, Inc. (b)......................... 564 18,116 Roper Industries, Inc. (b).... 390 17,671 SunPower Corp. (Class A) (a)(b)...................... 477 12,707 ------------ 234,008 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% Agilent Technologies, Inc. (a)(b)...................... 1,555 31,582 Amphenol Corp. (Class A) (b).. 768 24,299 Arrow Electronics, Inc. (a)... 526 11,172 Avnet, Inc. (a)............... 646 13,585 Corning, Inc. ................ 6,911 110,991 Dolby Laboratories, Inc. (Class A) (a)(b)............ 232 8,649 FLIR Systems, Inc. (a)(b)..... 618 13,942 Ingram Micro, Inc. (Class A) (a)(b)...................... 624 10,920 Itron, Inc. (a)(b)............ 144 7,930 Mettler-Toledo International, Inc. (a)(b)................. 144 11,110 Molex, Inc. (b)............... 580 9,019 Trimble Navigation, Ltd. (a)(b)...................... 549 10,777 ------------ 263,976 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% Baker Hughes, Inc. (b)........ 1,344 48,975 BJ Services Co. (b)........... 1,291 17,596 Cameron International Corp. (a)......................... 952 26,942 Diamond Offshore Drilling, Inc. (b).................... 288 23,918 ENSCO International, Inc. (b)......................... 631 22,003 Exterran Holdings, Inc. (a)(b)...................... 284 4,555 FMC Technologies, Inc. (a)(b)...................... 560 21,045 Halliburton Co. (b)........... 3,900 80,730 Helmerich & Payne, Inc. (b)... 410 12,657 Nabors Industries, Ltd. (a)(b)...................... 1,245 19,397 National-Oilwell Varco, Inc. (a)(b)...................... 1,795 58,625 Patterson-UTI Energy, Inc. (b)......................... 679 8,732 Pride International, Inc. (a)(b)...................... 751 18,820 Rowan Cos., Inc. (b).......... 471 9,100 Schlumberger, Ltd. (b)........ 5,240 283,536 Smith International, Inc. (b)......................... 951 24,488 Tidewater, Inc. (b)........... 227 9,732 ------------ 690,851 ------------ FOOD & STAPLES RETAILING -- 2.8% Costco Wholesale Corp. (b).... 1,881 85,962 CVS Caremark Corp. (b)........ 6,300 200,781 Safeway, Inc. (b)............. 1,872 38,133 SUPERVALU, Inc. (b)........... 928 12,017 Sysco Corp. .................. 2,573 57,841 The Kroger Co. (b)............ 2,677 59,028 Wal-Mart Stores, Inc. ........ 9,807 475,051 Walgreen Co. ................. 4,323 127,096 Whole Foods Market, Inc. (b).. 608 11,540 ------------ 1,067,449 ------------ FOOD PRODUCTS -- 1.7% Archer-Daniels-Midland Co. (b)......................... 2,561 68,558 Bunge, Ltd. (b)............... 523 31,511 Campbell Soup Co. (b)......... 978 28,773 ConAgra Foods, Inc. (b)....... 1,976 37,663 Dean Foods Co. (a)(b)......... 766 14,700 Flowers Foods, Inc. (b)....... 374 8,168 General Mills, Inc. (b)....... 1,354 75,851 H.J. Heinz Co. ............... 1,369 48,873 Hormel Foods Corp. ........... 321 11,087 Kellogg Co. (b)............... 1,043 48,573 Kraft Foods, Inc. (b)......... 5,919 149,987 McCormick & Co., Inc. (b)..... 503 16,363 Ralcorp Holdings, Inc. (a)(b)...................... 248 15,108 Sara Lee Corp. ............... 2,873 28,040 Smithfield Foods, Inc. (a)(b)...................... 588 8,214 The Hershey Co. (b)........... 705 25,380 The J.M. Smucker Co. (b)...... 516 25,109 Tyson Foods, Inc. (Class A) (b)......................... 1,272 16,040 ------------ 657,998 ------------ GAS UTILITIES -- 0.3% AGL Resources, Inc. (b)....... 336 10,685 Atmos Energy Corp. ........... 398 9,966 Energen Corp. ................ 283 11,292 EQT CORP (b).................. 572 19,968 National Fuel Gas Co. (b)..... 296 10,680 ONEOK, Inc. (b)............... 432 12,740 Piedmont Natural Gas Co., Inc. (b)......................... 302 7,281 Questar Corp. ................ 755 23,450 UGI Corp. .................... 468 11,929 ------------ 117,991 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% Baxter International, Inc. ... 2,678 141,827 Beckman Coulter, Inc. (b)..... 267 15,256 Becton, Dickinson & Co. (b)... 987 70,383 Boston Scientific Corp. (a)(b)...................... 6,470 65,606 C.R. Bard, Inc. (b)........... 433 32,237 DENTSPLY International, Inc. (b)......................... 607 18,526 Edwards Lifesciences Corp. (a)(b)...................... 247 16,803 Gen-Probe, Inc. (a)........... 234 10,057
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Hologic, Inc. (a)(b).......... 1,107 $ 15,753 Hospira, Inc. (a)(b).......... 698 26,887 IDEXX Laboratories, Inc. (a)(b)...................... 264 12,197 Immucor, Inc. (a)............. 305 4,197 Intuitive Surgical, Inc. (a)(b)...................... 164 26,840 Inverness Medical Innovations, Inc. (a)(b)................. 338 12,026 Kinetic Concepts, Inc. (a)(b)...................... 227 6,186 Medtronic, Inc. .............. 4,946 172,566 ResMed, Inc. (a)(b)........... 328 13,360 St. Jude Medical, Inc. (a)(b)...................... 1,502 61,732 Stryker Corp. (b)............. 1,326 52,695 Teleflex, Inc. ............... 175 7,845 Varian Medical Systems, Inc. (a)(b)...................... 549 19,292 Zimmer Holdings, Inc. (a)..... 987 42,046 ------------ 844,317 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.1% Aetna, Inc. .................. 2,013 50,425 AmerisourceBergen Corp. (b)... 1,328 23,559 Cardinal Health, Inc. (b)..... 1,556 47,536 CIGNA Corp. (b)............... 1,199 28,884 Community Health Systems, Inc. (a)(b)...................... 407 10,277 Coventry Health Care, Inc. (a)......................... 649 12,143 DaVita, Inc. (a)(b)........... 463 22,900 Express Scripts, Inc. (Class A) (a)...................... 1,015 69,781 Health Net, Inc. (a)(b)....... 457 7,106 Henry Schein, Inc. (a)(b)..... 404 19,372 Humana, Inc. (a).............. 745 24,034 Laboratory Corp. of America Holdings (a)(b)............. 469 31,793 Lincare Holdings, Inc. (a)(b)...................... 315 7,409 McKesson Corp. (b)............ 1,196 52,624 Medco Health Solutions, Inc. (a)......................... 2,067 94,276 Omnicare, Inc. (b)............ 474 12,210 Patterson Cos., Inc. (a)(b)... 434 9,418 Quest Diagnostics, Inc. (b)... 642 36,228 UnitedHealth Group, Inc. ..... 5,159 128,872 Universal Health Services, Inc. (Class B) (b).......... 214 10,454 WellPoint, Inc. (a)........... 2,077 105,698 ------------ 804,999 ------------ HEALTH CARE TECHNOLOGY -- 0.1% Cerner Corp. (a)(b)........... 282 17,566 IMS Health, Inc. ............. 782 9,931 ------------ 27,497 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.5% Burger King Holdings, Inc. (b)......................... 397 6,856 Carnival Corp. (b)............ 1,849 47,649 Darden Restaurants, Inc. (b).. 550 18,139 International Game Technology (b)......................... 1,306 20,765 Las Vegas Sands Corp. (a)(b).. 1,567 12,317 Marriott International, Inc. (Class A) (b)............... 1,340 29,572 McDonald's Corp. ............. 4,898 281,586 MGM MIRAGE, Inc. (a)(b)....... 1,080 6,901 Penn National Gaming, Inc. (a)(b)...................... 360 10,480 Royal Caribbean Cruises, Ltd. (b)......................... 597 8,083 Starbucks Corp. (a)(b)........ 3,202 44,476 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 745 16,539 Wendy's/Arby's Group, Inc. (Class A) (b)............... 1,916 7,664 Wynn Resorts, Ltd. (a)(b)..... 315 11,119 Yum! Brands, Inc. (b)......... 2,020 67,347 ------------ 589,493 ------------ HOUSEHOLD DURABLES -- 0.4% D.R. Horton, Inc. (b)......... 1,199 11,223 Fortune Brands, Inc. (b)...... 665 23,102 Garmin, Ltd. (b).............. 533 12,696 Leggett & Platt, Inc. (b)..... 694 10,570 Mohawk Industries, Inc. (a)(b)...................... 235 8,385 Newell Rubbermaid, Inc. ...... 1,208 12,575 NVR, Inc. (a)(b).............. 21 10,550 Pulte Homes, Inc. (b)......... 911 8,044 The Black & Decker Corp. (b).. 272 7,796 The Stanley Works (b)......... 344 11,641 Toll Brothers, Inc. (a)(b).... 586 9,944 Whirlpool Corp. (b)........... 324 13,789 ------------ 140,315 ------------ HOUSEHOLD PRODUCTS -- 2.5% Church & Dwight Co., Inc. (b)......................... 304 16,510 Colgate-Palmolive Co. (b)..... 2,140 151,384 Energizer Holdings, Inc. (a)(b)...................... 249 13,008 Kimberly-Clark Corp. ......... 1,810 94,898 Procter & Gamble Co. ......... 12,761 652,087 The Clorox Co. (b)............ 605 33,777 ------------ 961,664 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% Calpine Corp. (a)(b).......... 1,553 17,316 Constellation Energy Group, Inc. (b).................... 779 20,706 Dynegy, Inc. (Class A) (a)(b)...................... 2,249 5,105 Mirant Corp. (a)(b)........... 682 10,735 NRG Energy, Inc. (a)(b)....... 1,134 29,438 RRI Energy, Inc. (a)(b)....... 1,504 7,535 The AES Corp. (a)(b).......... 2,916 33,855 ------------ 124,690 ------------ INDUSTRIAL CONGLOMERATES -- 1.9% 3M Co. ....................... 2,822 169,602 General Electric Co. (b)...... 45,957 538,616 Icahn Enterprises LP.......... 18 706 McDermott International, Inc. (a)(b)...................... 995 20,209 Textron, Inc. (b)............. 1,076 10,394 ------------ 739,527 ------------ INSURANCE -- 3.7% AFLAC, Inc. .................. 2,036 63,299 Alleghany Corp. (a)(b)........ 23 6,233 Allied World Assurance Company Holdings, Ltd. ............. 155 6,329 American Financial Group, Inc. (b)......................... 338 7,294 American International Group, Inc. (b).................... 10,298 11,946 AON Corp. (b)................. 1,038 39,309 Arch Capital Group, Ltd. (a)(b)...................... 218 12,770 Assurant, Inc. ............... 516 12,430 Axis Capital Holdings, Ltd. (b)......................... 619 16,205 Berkshire Hathaway, Inc. (Class A) (a)............... 5 450,000 Brown & Brown, Inc. (b)....... 496 9,885 Chubb Corp. .................. 1,554 61,974 Cincinnati Financial Corp. (b)......................... 661 14,773 CNA Financial Corp. (b)....... 120 1,856
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Everest Re Group, Ltd. (b).... 255 $ 18,250 Fidelity National Financial, Inc. (Class A).............. 984 13,314 First American Corp. (b)...... 437 11,323 Hartford Financial Services Group, Inc. (b)............. 1,540 18,280 HCC Insurance Holdings, Inc. (b)......................... 501 12,029 Lincoln National Corp. (b).... 1,126 19,378 Loews Corp. (b)............... 1,549 42,443 Markel Corp. (a)(b)........... 40 11,268 Marsh & McLennan Cos., Inc. (b)......................... 2,242 45,131 MetLife, Inc. (b)............. 2,503 75,115 Odyssey Re Holdings Corp. (b)......................... 75 2,999 Old Republic International Corp. (b)................... 1,005 9,899 PartnerRe, Ltd. .............. 238 15,458 Principal Financial Group, Inc. ....................... 1,345 25,340 Prudential Financial, Inc. (b)......................... 1,869 69,564 Reinsurance Group of America, Inc. (b).................... 270 9,426 RenaissanceRe Holdings, Ltd. (b)......................... 267 12,426 The Allstate Corp. (b)........ 2,363 57,657 The Hanover Insurance Group, Inc. (b).................... 228 8,689 The Progressive Corp. (a)(b).. 2,770 41,855 The Travelers Cos., Inc. ..... 2,547 104,529 Torchmark Corp. (b)........... 380 14,075 Transatlantic Holdings, Inc. (b)......................... 209 9,056 Unum Group (b)................ 1,446 22,934 W.R. Berkley Corp. (b)........ 625 13,419 Wesco Financial Corp. (b)..... 4 1,164 White Mountains Insurance Group, Ltd. (b)............. 36 8,241 ------------ 1,407,565 ------------ INTERNET & CATALOG RETAIL -- 0.4% Amazon.com, Inc. (a)(b)....... 1,360 113,778 Expedia, Inc. (a)(b).......... 904 13,659 Liberty Media Corp -- Interactive (Class A) (a)(b)................... 2,658 13,317 Netflix, Inc. (a)(b).......... 200 8,268 Priceline.com, Inc. (a)(b).... 178 19,856 ------------ 168,878 ------------ INTERNET SOFTWARE & SERVICES -- 1.7% Akamai Technologies, Inc. (a)(b)...................... 734 14,078 eBay, Inc. (a)................ 4,790 82,053 Google, Inc. (Class A) (a).... 1,010 425,806 IAC/InterActiveCorp. (a)(b)... 370 5,938 VeriSign, Inc. (a)(b)......... 847 15,653 Yahoo!, Inc. (a)(b)........... 5,631 88,181 ------------ 631,709 ------------ IT SERVICES -- 1.7% Accenture, Ltd. (Class A)..... 2,559 85,624 Affiliated Computer Services, Inc. (Class A) (a)(b)....... 404 17,946 Alliance Data Systems Corp. (a)(b)...................... 293 12,069 Automatic Data Processing, Inc. ....................... 2,221 78,712 Broadridge Financial Solutions, Inc. ............ 611 10,130 Cognizant Technology Solutions Corp. (Class A) (a)(b)...... 1,258 33,589 Computer Sciences Corp. (a)(b)...................... 663 29,371 DST Systems, Inc. (a)(b)...... 181 6,688 Fidelity National Information Services, Inc. (b).......... 827 16,507 Fiserv, Inc. (a)(b)........... 711 32,493 Global Payments, Inc. ........ 350 13,111 Hewitt Associates, Inc. (Class A) (a)(b)................... 384 11,435 Lender Processing Services, Inc. ....................... 413 11,469 ManTech International Corp. (Class A) (a)(b)............ 90 3,874 Mastercard, Inc. (Class A) (b)......................... 376 62,908 Metavante Technologies, Inc. (a)(b)...................... 394 10,189 Paychex, Inc. (b)............. 1,418 35,734 SAIC, Inc. (a)................ 893 16,565 The Western Union Co. ........ 3,124 51,233 Total System Services, Inc. (b)......................... 872 11,676 Visa, Inc. (Class A) (b)...... 1,872 116,551 ------------ 667,874 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.1% Hasbro, Inc. (b).............. 555 13,453 Mattel, Inc. (b).............. 1,569 25,183 ------------ 38,636 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.6% Charles River Laboratories International, Inc. (a)(b).. 304 10,260 Covance, Inc. (a)(b).......... 283 13,924 Illumina, Inc. (a)(b)......... 539 20,989 Life Technologies Corp. (a)(b)...................... 752 31,373 Millipore Corp. (a)(b)........ 236 16,569 PerkinElmer, Inc. (b)......... 520 9,048 Pharmaceutical Product Development, Inc. (b)....... 454 10,542 Techne Corp. (b).............. 163 10,401 Thermo Fisher Scientific, Inc. (a)(b)...................... 1,834 74,772 Waters Corp. (a)(b)........... 432 22,235 ------------ 220,113 ------------ MACHINERY -- 1.5% AGCO Corp. (a)(b)............. 393 11,425 Caterpillar, Inc. (b)......... 2,627 86,796 Cummins, Inc. (b)............. 806 28,379 Danaher Corp. ................ 1,075 66,370 Deere & Co. (b)............... 1,839 73,468 Donaldson Co., Inc. (b)....... 299 10,357 Dover Corp. .................. 823 27,233 Eaton Corp. (b)............... 719 32,075 Flowserve Corp. .............. 252 17,592 Harsco Corp. (b).............. 367 10,386 Illinois Tool Works, Inc. (b)......................... 1,916 71,543 Joy Global, Inc. (b).......... 464 16,574 Lincoln Electric Holdings, Inc. (b).................... 179 6,451 Navistar International Corp. (a)(b)...................... 271 11,816 PACCAR, Inc. (b).............. 1,503 48,863 Pall Corp. ................... 522 13,864 Parker-Hannifin Corp. ........ 701 30,115 Pentair, Inc. (b)............. 427 10,940 SPX Corp. (b)................. 234 11,459 ------------ 585,706 ------------ MEDIA -- 2.7% Cablevision Systems Corp. (Class A)................... 1,004 19,488 CBS Corp. (b)................. 2,660 18,407 Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)...................... 174 922 Comcast Corp. (Class A)....... 12,672 183,617 Discovery Communications, Inc. (Series A) (a)(b)........... 1,224 27,601
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- DISH Network Corp. (Class A) (a)(b)...................... 928 $ 15,043 DreamWorks Animation SKG, Inc. (Class A) (a)(b)............ 252 6,953 Interactive Data Corp. (b).... 158 3,656 John Wiley & Sons, Inc. (Class A) (b)...................... 219 7,282 Liberty Global, Inc. (Series A) (a)(b)................... 1,080 17,161 Liberty Media Corp. -- Entertainment (Series A) (a).............. 2,271 60,749 Marvel Entertainment, Inc. (a)(b)...................... 229 8,150 News Corp. (Class A).......... 10,124 92,230 Omnicom Group, Inc. (b)....... 1,357 42,854 Scripps Networks Interactive (Class A) (b)............... 358 9,963 The DIRECTV Group, Inc. (a)(b)...................... 1,989 49,148 The Interpublic Group of Cos., Inc. (a)(b)................. 2,124 10,726 The McGraw-Hill Cos., Inc. (b)......................... 1,402 42,214 The Walt Disney Co. (b)....... 7,641 178,265 The Washington Post Co. (b)... 24 8,453 Time Warner Cable, Inc. ...... 1,512 47,885 Time Warner, Inc. (b)......... 5,252 132,298 Viacom, Inc. (a)(b)........... 2,344 53,209 Virgin Media, Inc. (b)........ 1,289 12,052 ------------ 1,048,326 ------------ METALS & MINING -- 1.0% Alcoa, Inc. (b)............... 4,244 43,841 Allegheny Technologies, Inc. (b)......................... 408 14,251 Cliffs Natural Resources, Inc. ....................... 580 14,193 Compass Minerals International, Inc. (b)..... 142 7,797 Freeport-McMoRan Copper & Gold, Inc. (b).............. 1,767 88,544 Newmont Mining Corp. ......... 2,076 84,846 Nucor Corp. (b)............... 1,253 55,671 Reliance Steel & Aluminum Co. (b)......................... 282 10,826 Southern Copper Corp. (b)..... 967 19,766 Steel Dynamics, Inc. (b)...... 828 12,196 United States Steel Corp. (b)......................... 620 22,159 ------------ 374,090 ------------ MULTI-UTILITIES -- 1.4% Alliant Energy Corp. (b)...... 486 12,699 Ameren Corp. (b).............. 916 22,799 CenterPoint Energy, Inc. ..... 1,353 14,991 CMS Energy Corp. (b).......... 969 11,706 Consolidated Edison, Inc. (b)......................... 1,196 44,754 Dominion Resources, Inc. (b).. 2,538 84,820 DTE Energy Co. (b)............ 717 22,944 Integrys Energy Group, Inc. (b)......................... 336 10,077 MDU Resources Group, Inc. (b)......................... 738 14,000 NiSource, Inc. (b)............ 1,189 13,864 NSTAR (b)..................... 465 14,931 OGE Energy Corp. ............. 413 11,696 PG&E Corp. (b)................ 1,595 61,312 Public Service Enterprise Group, Inc. ................ 2,219 72,406 SCANA Corp. (b)............... 484 15,715 Sempra Energy (b)............. 987 48,985 TECO Energy, Inc. (b)......... 872 10,403 Vectren Corp. (b)............. 355 8,318 Wisconsin Energy Corp. (b).... 514 20,925 Xcel Energy, Inc. (b)......... 1,961 36,102 ------------ 553,447 ------------ MULTILINE RETAIL -- 0.7% Dollar Tree Stores, Inc. (a)(b)...................... 395 16,629 Family Dollar Stores, Inc. (b)......................... 576 16,301 J. C. Penney Co., Inc. (b).... 861 24,719 Kohl's Corp. (a)(b)........... 1,253 53,566 Macy's, Inc. (b).............. 1,827 21,486 Nordstrom, Inc. (b)........... 744 14,798 Sears Holdings Corp. (a)(b)... 261 17,362 Target Corp. (b).............. 2,981 117,660 ------------ 282,521 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. (b)............... 3,823 24,773 ------------ OIL, GAS & CONSUMABLE FUELS -- 10.6% Alpha Natural Resources, Inc. (a)(b)...................... 306 8,039 Anadarko Petroleum Corp. (b).. 2,203 99,994 Apache Corp. ................. 1,469 105,988 Arch Coal, Inc. (b)........... 625 9,606 Boardwalk Pipeline Partners LP (b)......................... 245 5,532 Buckeye Partners LP (b)....... 212 9,080 Cabot Oil & Gas Corp. (b)..... 464 14,217 Chesapeake Energy Corp. (b)... 2,649 52,530 Chevron Corp. ................ 8,796 582,735 Cimarex Energy Co. (b)........ 355 10,061 CNX Gas Corp. (a)(b).......... 122 3,205 Concho Resources, Inc. (a).... 271 7,775 ConocoPhillips (b)............ 5,667 238,354 CONSOL Energy, Inc. .......... 806 27,372 Continental Resources, Inc. (a)(b)...................... 144 3,996 Denbury Resources, Inc. (a)(b)...................... 1,073 15,805 Devon Energy Corp. ........... 1,828 99,626 El Paso Corp. (b)............. 3,092 28,539 Enbridge Energy Partners LP (b)......................... 323 12,461 Energy Transfer Equity LP..... 863 21,894 Energy Transfer Partners LP... 412 16,682 Enterprise GP Holdings LP (b)......................... 153 3,845 Enterprise Products Partners LP (b)...................... 1,334 33,270 EOG Resources, Inc. .......... 1,076 73,082 EXCO Resources, Inc. (a)(b)... 748 9,664 Exxon Mobil Corp. (b)......... 21,570 1,507,959 Forest Oil Corp. (a)(b)....... 477 7,117 Hess Corp. ................... 1,291 69,391 Kinder Morgan Energy Partners LP (b)...................... 734 37,522 Kinder Morgan Management, LLC (a)(b)...................... 338 15,267 Magellan Midstream Partners LP (b)......................... 288 10,011 Marathon Oil Corp. (b)........ 3,097 93,313 Murphy Oil Corp. (b).......... 826 44,868 Newfield Exploration Co. (a).. 569 18,589 Noble Energy, Inc. (b)........ 747 44,051 NuStar Energy LP (b).......... 183 9,888 Occidental Petroleum Corp. ... 3,563 234,481 ONEOK Partners LP (b)......... 227 10,394 Peabody Energy Corp. (b)...... 1,178 35,528 Petrohawk Energy Corp. (a)(b)...................... 1,198 26,715 Pioneer Natural Resources Co. (b)......................... 523 13,337 Plains All American Pipeline LP (b)...................... 468 19,913 Plains Exploration & Production Co. (a)(b)....... 570 15,595 Quicksilver Resources, Inc. (a)(b)...................... 494 4,589 Range Resources Corp. (b)..... 677 28,035 Southwestern Energy Co. (a)... 1,496 58,120 Spectra Energy Corp. (b)...... 2,844 48,121
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Sunoco, Inc. (b).............. 520 $ 12,064 TEPPCO Partners LP (b)........ 373 11,138 Tesoro Corp. (b).............. 596 7,587 The Williams Cos., Inc. ...... 2,528 39,462 Ultra Petroleum Corp. (a)(b).. 662 25,818 Valero Energy Corp. (b)....... 2,353 39,742 Whiting Petroleum Corp. (a)(b)...................... 218 7,665 XTO Energy, Inc. ............. 2,519 96,075 ------------ 4,085,707 ------------ PAPER & FOREST PRODUCTS -- 0.2% International Paper Co. ...... 1,693 25,615 MeadWestvaco Corp. (b)........ 711 11,668 Weyerhaeuser Co. (b).......... 922 28,056 ------------ 65,339 ------------ PERSONAL PRODUCTS -- 0.2% Alberto-Culver Co. (b)........ 380 9,664 Avon Products, Inc. (b)....... 1,872 48,260 Mead Johnson Nutrition Co (a)......................... 130 4,130 The Estee Lauder Cos., Inc. (Class A) (b)............... 470 15,355 ------------ 77,409 ------------ PHARMACEUTICALS -- 6.8% Abbott Laboratories........... 6,661 313,334 Allergan, Inc. (b)............ 1,353 64,376 Bristol-Myers Squibb Co. ..... 8,657 175,824 Eli Lilly & Co. (b)........... 4,259 147,532 Endo Pharmaceuticals Holdings, Inc. (a)(b)................. 451 8,082 Forest Laboratories, Inc. (a)(b)...................... 1,335 33,522 Johnson & Johnson............. 12,037 683,702 King Pharmaceuticals, Inc. (a)(b)...................... 1,068 10,285 Merck & Co., Inc. (b)......... 9,291 259,776 Mylan, Inc. (a)(b)............ 1,321 17,239 Perrigo Co. (b)............... 371 10,306 Pfizer, Inc. (b).............. 29,297 439,455 Schering-Plough Corp. ........ 7,128 179,055 Warner Chilcott, Ltd. (Class A) (a)(b)................... 362 4,760 Watson Pharmaceuticals, Inc. (a)(b)...................... 454 15,295 Wyeth......................... 5,765 261,673 ------------ 2,624,216 ------------ PROFESSIONAL SERVICES -- 0.2% Equifax, Inc. (b)............. 557 14,538 FTI Consulting, Inc. (a)(b)... 216 10,956 IHS, Inc. (Class A) (a)(b).... 204 10,173 Manpower, Inc. (b)............ 338 14,311 Robert Half International, Inc. (b).................... 719 16,983 The Dun & Bradstreet Corp. ... 234 19,003 Watson Wyatt Worldwide, Inc. (Class A) (b)............... 183 6,868 ------------ 92,832 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.2% AMB Property Corp. (b)........ 679 12,772 Annaly Capital Management, Inc. (b).................... 2,346 35,519 Avalonbay Communities, Inc. (b)......................... 348 19,467 Boston Properties, Inc. (b)... 622 29,670 Developers Diversified Realty Corp. (b)................... 22 107 Digital Realty Trust, Inc. (b)......................... 305 10,934 Equity Residential (b)........ 1,192 26,498 Federal Realty Investment Trust (b)................... 253 13,035 HCP, Inc. (b)................. 1,102 23,351 Health Care REIT, Inc. (b).... 483 16,470 Host Hotels & Resorts, Inc. (b)......................... 2,585 21,688 Kimco Realty Corp. (b)........ 1,374 13,809 Liberty Property Trust (b).... 428 9,861 Nationwide Health Properties, Inc. (b).................... 447 11,506 Plum Creek Timber Co., Inc. (b)......................... 744 22,156 ProLogis (b).................. 1,977 15,935 Public Storage (b)............ 559 36,603 Rayonier, Inc. (b)............ 341 12,395 Realty Income Corp. (b)....... 452 9,908 Regency Centers Corp. (b)..... 405 14,139 Simon Property Group, Inc. (b)......................... 1,232 63,362 Ventas, Inc. (b).............. 628 18,752 Vornado Realty Trust (b)...... 665 29,945 ------------ 467,882 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 891 7,101 The St. Joe Co. (a)(b)........ 398 10,543 ------------ 17,644 ------------ ROAD & RAIL -- 0.9% Burlington Northern Santa Fe Corp. (b)................... 1,208 88,836 CSX Corp. .................... 1,741 60,291 Hertz Global Holdings, Inc. (a)(b)...................... 976 7,798 J.B. Hunt Transport Services, Inc. (b).................... 384 11,724 Kansas City Southern (a)(b)... 397 6,396 Norfolk Southern Corp. (b).... 1,598 60,197 Ryder Systems, Inc. (b)....... 251 7,008 Union Pacific Corp. (b)....... 2,191 114,063 ------------ 356,313 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% Advanced Micro Devices, Inc. (a)(b)...................... 2,433 9,416 Altera Corp. (b).............. 1,304 21,229 Analog Devices, Inc. (b)...... 1,281 31,743 Applied Materials, Inc. (b)... 5,856 64,240 Broadcom Corp. (Class A) (a).. 1,854 45,961 Cree, Inc. (a)(b)............. 353 10,375 Intel Corp. (b)............... 24,228 400,973 Intersil Corp. (Class A) (b).. 550 6,913 KLA-Tencor Corp. (b).......... 755 19,064 Lam Research Corp. (a)(b)..... 557 14,482 Linear Technology Corp. (b)... 899 20,992 LSI Logic Corp. (a)(b)........ 2,806 12,795 Marvell Technology Group, Ltd. (a)......................... 2,103 24,479 Maxim Integrated Products, Inc. (b).................... 1,396 21,903 MEMC Electronic Materials, Inc. (a).................... 988 17,596 Microchip Technology, Inc. (b)......................... 801 18,063 Micron Technology, Inc. (a)(b)...................... 3,322 16,809 National Semiconductor Corp. (b)......................... 1,005 12,613 NVIDIA Corp. (a)(b)........... 2,344 26,464 ON Semiconductor Corp. (a).... 1,772 12,156 Texas Instruments, Inc. (b)... 5,541 118,023 Varian Semiconductor Equipment Associates, Inc. (a)(b)..... 318 7,629 Xilinx, Inc. (b).............. 1,209 24,736 ------------ 958,654 ------------ SOFTWARE -- 4.2% Activision Blizzard, Inc. (a)(b)...................... 2,576 32,535 Adobe Systems, Inc. (a)....... 2,288 64,750 Ansys, Inc. (a)(b)............ 393 12,246 Autodesk, Inc. (a)(b)......... 992 18,828 BMC Software, Inc. (a)........ 806 27,235
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CA, Inc. (b).................. 1,799 $ 31,356 Citrix Systems, Inc. (a)(b)... 791 25,225 Electronic Arts, Inc. (a)(b).. 1,400 30,408 Factset Research Systems, Inc. (b)......................... 192 9,575 Intuit, Inc. (a)(b)........... 1,295 36,467 McAfee, Inc. (a)(b)........... 669 28,225 Microsoft Corp. .............. 34,418 818,116 Nuance Communications, Inc. (a)(b)...................... 951 11,497 Oracle Corp. (b).............. 16,621 356,022 Red Hat, Inc. (a)............. 829 16,688 Salesforce.com, Inc. (a)(b)... 447 17,062 Sybase, Inc. (a)(b)........... 355 11,126 Symantec Corp. (a)(b)......... 3,582 55,736 Synopsys, Inc. (a)(b)......... 619 12,077 VMware, Inc. (Class A) (a)(b)...................... 163 4,445 ------------ 1,619,619 ------------ SPECIALTY RETAIL -- 2.0% Abercrombie & Fitch Co. (Class A) (b)...................... 376 9,547 Advance Auto Parts, Inc. (b).. 412 17,094 American Eagle Outfitters, Inc. (b).................... 781 11,067 AutoZone, Inc. (a)(b)......... 148 22,364 Bed Bath & Beyond, Inc. (a)(b)...................... 1,144 35,178 Best Buy Co., Inc. (b)........ 1,465 49,063 CarMax, Inc. (a)(b)........... 867 12,745 GameStop Corp. (Class A) (a)(b)...................... 662 14,571 Guess ?, Inc. (b)............. 269 6,935 Limited Brands, Inc. (b)...... 1,318 15,776 Lowe's Cos., Inc. ............ 6,480 125,777 O'Reilly Automotive, Inc. (a)(b)...................... 591 22,505 PetSmart, Inc. (b)............ 562 12,061 Ross Stores, Inc. (b)......... 567 21,886 Staples, Inc. (b)............. 3,104 62,608 The Gap, Inc. (b)............. 2,291 37,572 The Home Depot, Inc. (b)...... 7,476 176,658 The Sherwin-Williams Co. (b).. 432 23,220 The TJX Cos., Inc. (b)........ 1,838 57,823 Tiffany & Co. (b)............. 543 13,770 Urban Outfitters, Inc. (a)(b)...................... 513 10,706 ------------ 758,926 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.4% Coach, Inc. (b)............... 1,399 37,605 NIKE, Inc. (Class B) (b)...... 1,174 60,790 Polo Ralph Lauren Corp. (b)... 252 13,492 V. F. Corp. (b)............... 377 20,867 ------------ 132,754 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Capitol Federal Financial (b)......................... 92 3,526 Hudson City Bancorp, Inc. (b)......................... 2,130 28,308 New York Community Bancorp, Inc. (b).................... 1,502 16,057 People's United Financial, Inc. (b).................... 751 11,295 TFS Financial Corp. (b)....... 410 4,354 ------------ 63,540 ------------ TOBACCO -- 1.6% Altria Group, Inc. (b)........ 9,070 148,657 Lorillard, Inc. (b)........... 733 49,676 Philip Morris International, Inc. (b).................... 8,587 374,565 Reynolds American, Inc. (b)... 736 28,424 ------------ 601,322 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% Fastenal Co. (b).............. 621 20,598 MSC Industrial Direct Co., Inc. (Class A) (b).......... 191 6,777 W.W. Grainger, Inc. (b)....... 285 23,336 ------------ 50,711 ------------ WATER UTILITIES -- 0.1% American Water Works Co., Inc. (b)......................... 452 8,638 Aqua America, Inc. (b)........ 586 10,489 ------------ 19,127 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% American Tower Corp. (Class A) (a)(b)...................... 1,730 54,547 Crown Castle International Corp. (a)(b)................ 1,059 25,437 Leap Wireless International, Inc. (a)(b)................. 305 10,044 MetroPCS Communications, Inc. (a)(b)...................... 1,073 14,282 NII Holdings, Inc. (a)(b)..... 724 13,807 SBA Communications Corp. (Class A) (a)(b)............ 506 12,417 Sprint Nextel Corp. (a)(b).... 12,413 59,706 Telephone & Data Systems, Inc. (b)......................... 447 12,650 US Cellular Corp. (a)......... 72 2,768 ------------ 205,658 ------------ TOTAL COMMON STOCKS -- (Cost $38,988,829).......... 38,296,445 ------------ SHORT TERM INVESTMENTS -- 28.7% MONEY MARKET FUNDS -- 28.7% State Street Navigator Securities Lending Prime Portfolio (e)(f)............ 10,783,247 10,783,247 STIC Prime Portfolio.......... 263,385 263,385 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $11,046,632).......... 11,046,632 ------------ TOTAL INVESTMENTS -- 128.4% (g) (Cost $50,035,461)...... 49,343,077 OTHER ASSETS AND LIABILITIES -- (28.4)%...... (10,924,092) ------------ NET ASSETS -- 100.0%.......... $ 38,418,985 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Affiliated issuer. (See accompanying notes.) (d) Amount shown represents less than 0.05% of net assets. (e) Investments of cash collateral for securities loaned. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.6% ITT Corp. .................... 6,617 $ 294,456 Precision Castparts Corp. .... 5,107 372,964 Rockwell Collins, Inc. ....... 5,679 236,985 Spirit Aerosystems Holdings, Inc. (a)(b)................. 4,270 58,670 ------------ 963,075 ------------ AIR FREIGHT & LOGISTICS -- 0.8% C.H. Robinson Worldwide, Inc. ....................... 6,195 323,069 Expeditors International Washington, Inc. ........... 7,655 255,218 FedEx Corp. .................. 10,714 595,913 ------------ 1,174,200 ------------ AIRLINES -- 0.1% AMR Corp. (a)(b).............. 10,554 42,427 Southwest Airlines Co. ....... 26,357 177,383 ------------ 219,810 ------------ AUTO COMPONENTS -- 0.2% BorgWarner, Inc. (b).......... 4,170 142,406 The Goodyear Tire & Rubber Co. (a)......................... 8,620 97,061 ------------ 239,467 ------------ AUTOMOBILES -- 0.5% Ford Motor Co. (a)(b)......... 117,904 715,677 ------------ BEVERAGES -- 2.2% Brown-Forman Corp. (Class B) (b)......................... 3,265 140,330 Hansen Natural Corp. (a)...... 2,833 87,313 PepsiCo, Inc. ................ 57,376 3,153,385 ------------ 3,381,028 ------------ BIOTECHNOLOGY -- 4.0% Abraxis Bioscience, Inc. (a).. 175 6,451 Alexion Pharmaceuticals, Inc. (a)......................... 2,988 122,867 Amgen, Inc. (a)............... 37,159 1,967,197 Amylin Pharmaceuticals, Inc. (a)(b)...................... 4,755 64,193 Biogen Idec, Inc. (a)......... 10,534 475,610 BioMarin Pharmaceutical, Inc. (a)(b)...................... 3,733 58,272 Celgene Corp. (a)............. 16,871 807,109 Cephalon, Inc. (a)(b)......... 2,752 155,901 Genzyme Corp. (a)............. 9,946 553,694 Gilead Sciences, Inc. (a)..... 33,261 1,557,945 Myriad Genetics, Inc. (a)..... 3,336 118,928 Myriad Pharmaceuticals, Inc. (a)......................... 834 3,878 OSI Pharmaceuticals, Inc. (a)(b)...................... 2,054 57,984 Vertex Pharmaceuticals, Inc. (a)(b)...................... 6,378 227,312 ------------ 6,177,341 ------------ CAPITAL MARKETS -- 1.9% Affiliated Managers Group, Inc. (a)(b)................. 1,477 85,947 BlackRock, Inc. (b)........... 807 141,564 Eaton Vance Corp. (b)......... 4,153 111,093 Franklin Resources, Inc. ..... 5,800 417,658 Invesco, Ltd. ................ 15,101 269,100 Jefferies Group, Inc. (a)..... 4,162 88,775 Lazard, Ltd. (Class A)........ 2,729 73,465 Northern Trust Corp. ......... 8,789 471,793 Raymond James Financial, Inc. (b)......................... 3,554 61,164 SEI Investments Co. .......... 5,700 102,828 T. Rowe Price Group, Inc. (b)......................... 9,530 397,115 TD Ameritrade Holding Corp. (a)......................... 8,546 149,897 The Charles Schwab Corp. ..... 34,642 607,621 ------------ 2,978,020 ------------ CHEMICALS -- 2.2% Airgas, Inc. ................. 2,506 101,568 Albemarle Corp. .............. 3,282 83,921 Celanese Corp. (Series A)..... 5,152 122,360 Ecolab, Inc. ................. 6,331 246,846 Monsanto Co. ................. 19,762 1,469,107 Praxair, Inc. ................ 11,305 803,446 Sigma-Aldrich Corp. .......... 3,879 192,243 Terra Industries, Inc. ....... 3,670 88,887 Terra Nitrogen Co. LP......... 266 26,808 The Mosaic Co. ............... 5,444 241,169 ------------ 3,376,355 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.8% Cintas Corp. ................. 4,764 108,810 Copart, Inc. (a).............. 2,516 87,230 Corrections Corp. of America (a)......................... 4,495 76,370 Covanta Holding Corp. (a)(b).. 4,865 82,510 Iron Mountain, Inc. (a)....... 6,534 187,853 Stericycle, Inc. (a).......... 3,099 159,691 Waste Connections, Inc. (a)... 2,865 74,232 Waste Management, Inc. ....... 18,248 513,864 ------------ 1,290,560 ------------ COMMUNICATIONS EQUIPMENT -- 5.0% Cisco Systems, Inc. (a)....... 211,498 3,942,323 EchoStar Corp. (Class A) (a).. 1,649 26,285 Harris Corp. ................. 4,839 137,234 Juniper Networks, Inc. (a).... 19,358 456,849 Motorola, Inc. ............... 77,280 512,366 QUALCOMM, Inc. ............... 60,158 2,719,142 ------------ 7,794,199 ------------ COMPUTERS & PERIPHERALS -- 7.0% Apple, Inc. (a)............... 32,503 4,629,402 Dell, Inc. (a)................ 63,366 870,015 EMC Corp. (a)................. 73,588 964,003 Hewlett-Packard Co. .......... 88,290 3,412,409 NCR Corp. (a)................. 6,353 75,156 NetApp, Inc. (a).............. 11,737 231,454 SanDisk Corp. (a)............. 8,051 118,269 Sun Microsystems, Inc. (a).... 26,521 244,524 Teradata Corp. (a)............ 6,322 148,124 Western Digital Corp. (a)..... 7,922 209,933 ------------ 10,903,289 ------------ CONSTRUCTION & ENGINEERING -- 0.6% Aecom Technology Corp. (a).... 3,471 111,072 Fluor Corp. .................. 6,619 339,488 Jacobs Engineering Group, Inc. (a)......................... 4,399 185,154 KBR, Inc. .................... 5,800 106,952 Quanta Services, Inc. (a)..... 7,082 163,807 The Shaw Group, Inc. (a)...... 2,977 81,600 ------------ 988,073 ------------ CONSTRUCTION MATERIALS -- 0.2% Martin Marietta Materials, Inc. (b).................... 1,580 124,631 Vulcan Materials Co. ......... 3,673 158,306 ------------ 282,937 ------------ CONSUMER FINANCE -- 0.1% Discover Financial Services... 17,168 176,315 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CONTAINERS & PACKAGING -- 0.3% Ball Corp. ................... 3,399 $ 153,499 Crown Holdings, Inc. (a)...... 5,738 138,515 Pactiv Corp. (a).............. 4,682 101,599 Sealed Air Corp. ............. 5,679 104,778 ------------ 498,391 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.5% Apollo Group, Inc. (a)........ 4,854 345,217 Career Education Corp. (a).... 3,214 79,996 DeVry, Inc. .................. 2,224 111,289 ITT Educational Services, Inc. (a)(b)...................... 1,396 140,521 Strayer Education, Inc. (b)... 508 110,800 ------------ 787,823 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.1% CME Group, Inc. .............. 2,463 766,264 Intercontinental Exchange, Inc. (a).................... 2,594 296,338 Leucadia National Corp. (a)... 6,188 130,505 Moody's Corp. ................ 7,242 190,827 NYSE Euronext................. 9,297 253,343 The Nasdaq OMX Group, Inc. (a)......................... 5,664 120,700 ------------ 1,757,977 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% Clearwire Corp. (Class A) (a)(b)...................... 2,539 14,041 Level 3 Communications, Inc. (a)(b)...................... 57,851 87,355 Windstream Corp. ............. 15,790 132,004 ------------ 233,400 ------------ ELECTRIC UTILITIES -- 0.2% Allegheny Energy, Inc. (b).... 6,001 153,926 ITC Holdings Corp. ........... 1,775 80,514 ------------ 234,440 ------------ ELECTRICAL EQUIPMENT -- 1.1% AMETEK, Inc. ................. 3,806 131,611 Cooper Industries, Ltd. (Class A).......................... 6,244 193,876 Emerson Electric Co. ......... 27,675 896,670 First Solar, Inc. (a)(b)...... 1,730 280,468 Roper Industries, Inc. ....... 3,209 145,400 SunPower Corp. (Class A) (a)(b)...................... 3,338 88,924 ------------ 1,736,949 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% Agilent Technologies, Inc. (a)......................... 12,575 255,398 Amphenol Corp. (Class A)...... 6,292 199,079 Arrow Electronics, Inc. (a)... 4,298 91,290 Avnet, Inc. (a)............... 5,369 112,910 Corning, Inc. ................ 57,347 920,993 Dolby Laboratories, Inc. (Class A) (a)(b)............ 1,858 69,266 FLIR Systems, Inc. (a)........ 5,489 123,832 Itron, Inc. (a)(b)............ 1,219 67,130 Mettler-Toledo International, Inc. (a)(b)................. 1,227 94,663 Molex, Inc. (b)............... 4,913 76,397 Trimble Navigation, Ltd. (a).. 4,317 84,743 ------------ 2,095,701 ------------ ENERGY EQUIPMENT & SERVICES -- 3.7% Baker Hughes, Inc. ........... 11,392 415,125 BJ Services Co. (b)........... 10,526 143,469 Cameron International Corp. (a)......................... 7,811 221,051 Diamond Offshore Drilling, Inc. (b).................... 2,351 195,251 ENSCO International, Inc. .... 5,089 177,453 Exterran Holdings, Inc. (a)(b)...................... 2,328 37,341 FMC Technologies, Inc. (a).... 4,490 168,734 Halliburton Co. .............. 32,853 680,057 Helmerich & Payne, Inc. (b)... 3,432 105,946 Nabors Industries, Ltd. (a)(b)...................... 10,218 159,197 National-Oilwell Varco, Inc. (a)......................... 15,147 494,701 Patterson-UTI Energy, Inc. (b)......................... 5,550 71,373 Pride International, Inc. (a)......................... 6,230 156,124 Rowan Cos., Inc. ............. 3,907 75,483 Schlumberger, Ltd. ........... 43,701 2,364,661 Smith International, Inc. (b)......................... 7,858 202,344 ------------ 5,668,310 ------------ FOOD & STAPLES RETAILING -- 5.2% Costco Wholesale Corp. ....... 15,829 723,385 CVS Caremark Corp. ........... 52,304 1,666,928 Sysco Corp. .................. 21,683 487,434 Wal-Mart Stores, Inc. ........ 81,867 3,965,638 Walgreen Co. ................. 36,285 1,066,779 Whole Foods Market, Inc. (b).. 4,993 94,767 ------------ 8,004,931 ------------ FOOD PRODUCTS -- 0.5% Archer-Daniels-Midland Co. ... 21,574 577,536 Dean Foods Co. (a)............ 6,471 124,178 Flowers Foods, Inc. (b)....... 3,076 67,180 ------------ 768,894 ------------ GAS UTILITIES -- 0.4% Energen Corp. ................ 2,632 105,017 EQT Corp. .................... 4,665 162,855 ONEOK, Inc. .................. 3,481 102,654 Questar Corp. ................ 6,181 191,982 ------------ 562,508 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 4.3% Baxter International, Inc. ... 22,062 1,168,403 Beckman Coulter, Inc. ........ 2,391 136,622 Becton, Dickinson & Co. ...... 8,333 594,226 Boston Scientific Corp. (a)... 54,654 554,192 C.R. Bard, Inc. .............. 3,663 272,710 DENTSPLY International, Inc. (b)......................... 5,498 167,799 Edwards Lifesciences Corp. (a)......................... 2,022 137,557 Gen-Probe, Inc. (a)........... 1,935 83,166 Hologic, Inc. (a)............. 9,167 130,446 IDEXX Laboratories, Inc. (a)(b)...................... 2,134 98,591 Immucor, Inc. (a)............. 2,510 34,538 Intuitive Surgical, Inc. (a)(b)...................... 1,407 230,270 Kinetic Concepts, Inc. (a)(b)...................... 2,235 60,904 Medtronic, Inc. .............. 41,070 1,432,932 ResMed, Inc. (a).............. 2,714 110,541 St. Jude Medical, Inc. (a).... 12,677 521,025 Stryker Corp. ................ 11,243 446,797 Varian Medical Systems, Inc. (a)(b)...................... 4,470 157,076 Zimmer Holdings, Inc. (a)..... 7,897 336,412 ------------ 6,674,207 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.7% Aetna, Inc. .................. 16,436 411,722 AmerisourceBergen Corp. ...... 11,133 197,499 Community Health Systems, Inc. (a)......................... 3,348 84,537 Coventry Health Care, Inc. (a)......................... 5,316 99,462
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- DaVita, Inc. (a).............. 3,749 $ 185,426 Express Scripts, Inc. (Class A) (a)...................... 8,368 575,300 Health Net, Inc. (a).......... 3,722 57,877 Henry Schein, Inc. (a)........ 3,236 155,166 Humana, Inc. (a).............. 6,110 197,109 Lincare Holdings, Inc. (a)(b)...................... 2,808 66,044 McKesson Corp. ............... 10,118 445,192 Medco Health Solutions, Inc. (a)......................... 17,678 806,294 Omnicare, Inc. ............... 4,113 105,951 Patterson Cos., Inc. (a)(b)... 3,810 82,677 Quest Diagnostics, Inc. ...... 5,668 319,845 UnitedHealth Group, Inc. ..... 43,619 1,089,603 WellPoint, Inc. (a)........... 17,805 906,096 ------------ 5,785,800 ------------ HEALTH CARE TECHNOLOGY -- 0.1% Cerner Corp. (a).............. 2,290 142,644 IMS Health, Inc. ............. 6,512 82,703 ------------ 225,347 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.3% Burger King Holdings, Inc. ... 3,303 57,043 Darden Restaurants, Inc. ..... 4,512 148,806 International Game Technology.................. 10,665 169,573 Las Vegas Sands Corp. (a)(b).. 15,851 124,589 Marriott International, Inc. (Class A) (b)............... 10,985 242,449 MGM MIRAGE, Inc. (a)(b)....... 8,735 55,817 Penn National Gaming, Inc. (a)......................... 2,457 71,523 Starbucks Corp. (a)........... 26,728 371,252 Wendy's/Arby's Group, Inc. (Class A)................... 15,773 63,092 Wynn Resorts, Ltd. (a)(b)..... 2,807 99,087 Yum! Brands, Inc. ............ 17,037 568,013 ------------ 1,971,244 ------------ HOUSEHOLD DURABLES -- 0.1% Garmin, Ltd. (b).............. 4,310 102,664 Pulte Homes, Inc. ............ 7,563 66,781 ------------ 169,445 ------------ HOUSEHOLD PRODUCTS -- 1.0% Church & Dwight Co., Inc. .... 2,515 136,589 Colgate-Palmolive Co. ........ 18,305 1,294,896 Energizer Holdings, Inc. (a).. 2,499 130,548 ------------ 1,562,033 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.7% Calpine Corp. (a)(b).......... 12,980 144,727 Constellation Energy Group, Inc. ....................... 6,384 169,687 Dynegy, Inc. (Class A) (a).... 19,211 43,609 Mirant Corp. (a).............. 5,632 88,648 NRG Energy, Inc. (a).......... 9,739 252,824 RRI Energy, Inc. (a).......... 14,434 72,314 The AES Corp. (a)............. 23,975 278,350 ------------ 1,050,159 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% McDermott International, Inc. (a)......................... 8,145 165,425 ------------ INSURANCE -- 2.8% Berkshire Hathaway, Inc. (Class A) (a)(b)............ 42 3,780,000 Brown & Brown, Inc. .......... 4,436 88,409 The Progressive Corp. (a)..... 23,275 351,685 W.R. Berkley Corp. ........... 5,061 108,660 ------------ 4,328,754 ------------ INTERNET & CATALOG RETAIL -- 0.9% Amazon.com, Inc. (a).......... 11,307 945,943 Expedia, Inc. (a)(b).......... 7,635 115,365 Liberty Media Corp -- Interactive (Class A) (a)...................... 21,323 106,828 Netflix, Inc. (a)(b).......... 1,661 68,666 Priceline.com, Inc. (a)(b).... 1,556 173,572 ------------ 1,410,374 ------------ INTERNET SOFTWARE & SERVICES -- 3.4% Akamai Technologies, Inc. (a)......................... 6,063 116,288 eBay, Inc. (a)................ 40,390 691,881 Google, Inc. (Class A) (a).... 8,388 3,536,297 IAC/InterActiveCorp. (a)...... 3,995 64,120 VeriSign, Inc. (a)(b)......... 6,984 129,064 Yahoo!, Inc. (a)(b)........... 47,957 751,007 ------------ 5,288,657 ------------ IT SERVICES -- 3.4% Accenture, Ltd. (Class A)..... 21,520 720,059 Affiliated Computer Services, Inc. (Class A) (a).......... 3,323 147,608 Alliance Data Systems Corp. (a)(b)...................... 2,325 95,767 Automatic Data Processing, Inc. ....................... 18,714 663,224 Broadridge Financial Solutions, Inc. ............ 5,041 83,580 Cognizant Technology Solutions Corp. (Class A) (a)......... 10,720 286,224 DST Systems, Inc. (a)......... 1,365 50,437 Fidelity National Information Services, Inc. (b).......... 6,813 135,987 Fiserv, Inc. (a).............. 5,756 263,049 Global Payments, Inc. ........ 2,868 107,435 Hewitt Associates, Inc. (Class A) (a)...................... 3,187 94,909 ManTech International Corp. (Class A) (a)............... 747 32,151 Mastercard, Inc. (Class A) (b)......................... 3,143 525,855 Metavante Technologies, Inc. (a)......................... 3,203 82,829 Paychex, Inc. (b)............. 11,838 298,318 SAIC, Inc. (a)................ 7,275 134,951 The Western Union Co. ........ 26,210 429,844 Total System Services, Inc. .. 7,071 94,681 Visa, Inc. (Class A) (b)...... 15,741 980,035 ------------ 5,226,943 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.2% Charles River Laboratories International, Inc. (a)..... 2,440 82,350 Covance, Inc. (a)(b).......... 2,290 112,668 Illumina, Inc. (a)(b)......... 4,444 173,049 Life Technologies Corp. (a)... 6,189 258,205 Millipore Corp. (a)........... 1,958 137,471 PerkinElmer, Inc. ............ 4,251 73,968 Pharmaceutical Product Development, Inc. .......... 3,732 86,657 Techne Corp. ................. 1,344 85,761 Thermo Fisher Scientific, Inc. (a)......................... 15,452 629,978 Waters Corp. (a).............. 3,590 184,777 ------------ 1,824,884 ------------ MACHINERY -- 2.4% AGCO Corp. (a)................ 3,284 95,466 Caterpillar, Inc. (b)......... 22,092 729,920 Cummins, Inc. ................ 6,564 231,119 Danaher Corp. ................ 9,076 560,352
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Donaldson Co., Inc. (b)....... 2,421 $ 83,863 Dover Corp. .................. 6,680 221,041 Harsco Corp. ................. 3,023 85,551 Illinois Tool Works, Inc. .... 15,777 589,113 Joy Global, Inc. (b).......... 3,667 130,985 Lincoln Electric Holdings, Inc. (b).................... 1,457 52,510 Navistar International Corp. (a)......................... 2,205 96,138 PACCAR, Inc. (b).............. 12,567 408,553 Pall Corp. ................... 4,258 113,093 Parker-Hannifin Corp. ........ 5,785 248,524 ------------ 3,646,228 ------------ MEDIA -- 4.6% Cablevision Systems Corp. (Class A)................... 8,305 161,200 Clear Channel Outdoor Holdings, Inc. (Class A) (a)......................... 1,114 5,904 Comcast Corp. (Class A)....... 105,205 1,524,420 Discovery Communications, Inc. (Series A) (a).............. 10,056 226,763 DISH Network Corp. (Class A) (a)......................... 7,585 122,953 Interactive Data Corp. ....... 1,289 29,827 John Wiley & Sons, Inc. (Class A).......................... 1,819 60,482 Liberty Global, Inc. (Series A) (a)(b)................... 9,550 151,749 Liberty Media Corp. -- Entertainment (Series A) (a).............. 19,081 510,417 Marvel Entertainment, Inc. (a)......................... 1,866 66,411 Omnicom Group, Inc. .......... 11,360 358,749 Scripps Networks Interactive (Class A)................... 2,983 83,017 The DIRECTV Group, Inc. (a)(b)...................... 16,835 415,993 The Interpublic Group of Cos., Inc. (a).................... 17,108 86,395 The McGraw-Hill Cos., Inc. ... 11,716 352,769 The Walt Disney Co. .......... 63,435 1,479,939 Time Warner Cable, Inc. ...... 12,951 410,158 Time Warner, Inc. ............ 43,628 1,098,989 ------------ 7,146,135 ------------ METALS & MINING -- 1.7% Allegheny Technologies, Inc. (b)......................... 3,366 117,574 Cliffs Natural Resources, Inc. ....................... 4,736 115,890 Compass Minerals International, Inc. (b)..... 1,165 63,970 Freeport-McMoRan Copper & Gold, Inc. ................. 15,052 754,256 Newmont Mining Corp. ......... 17,506 715,470 Nucor Corp. .................. 10,514 467,137 Reliance Steel & Aluminum Co. (b)......................... 2,301 88,335 Southern Copper Corp. (b)..... 7,800 159,432 Steel Dynamics, Inc. ......... 7,646 112,626 ------------ 2,594,690 ------------ MULTI-UTILITIES -- 0.1% MDU Resources Group, Inc. .... 6,040 114,579 ------------ MULTILINE RETAIL -- 1.3% Dollar Tree Stores, Inc. (a).. 3,233 136,109 Family Dollar Stores, Inc. ... 4,760 134,708 J. C. Penney Co., Inc. (b).... 6,998 200,913 Kohl's Corp. (a).............. 10,588 452,637 Nordstrom, Inc. (b)........... 6,483 128,947 Target Corp. ................. 25,053 988,842 ------------ 2,042,156 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. .................. 31,320 202,954 ------------ OIL, GAS & CONSUMABLE FUELS -- 6.3% Alpha Natural Resources, Inc. (a)......................... 2,525 66,332 Anadarko Petroleum Corp. ..... 18,301 830,682 Arch Coal, Inc. (b)........... 5,296 81,400 Cabot Oil & Gas Corp. ........ 3,689 113,031 Chesapeake Energy Corp. ...... 22,969 455,475 Cimarex Energy Co. (b)........ 3,101 87,882 CNX Gas Corp. (a)............. 1,045 27,452 Concho Resources, Inc. (a).... 2,630 75,455 CONSOL Energy, Inc. .......... 6,595 223,966 Continental Resources, Inc. (a)(b)...................... 1,374 38,129 Denbury Resources, Inc. (a)... 8,765 129,108 Energy Transfer Equity LP..... 7,120 180,634 EOG Resources, Inc. (b)....... 9,080 616,714 EXCO Resources, Inc. (a)...... 6,138 79,303 Hess Corp. ................... 10,831 582,166 Kinder Morgan Management, LLC (a)......................... 2,737 123,630 Murphy Oil Corp. ............. 6,915 375,623 Noble Energy, Inc. ........... 6,230 367,383 Occidental Petroleum Corp. ... 29,670 1,952,583 Peabody Energy Corp. ......... 9,776 294,844 Petrohawk Energy Corp. (a).... 9,855 219,767 Plains Exploration & Production Co. (a).......... 4,187 114,556 Quicksilver Resources, Inc. (a)(b)...................... 5,204 48,345 Range Resources Corp. ........ 5,741 237,735 Southwestern Energy Co. (a)(b)...................... 12,611 489,937 Sunoco, Inc. (b).............. 4,224 97,997 Tesoro Corp. (b).............. 4,906 62,453 The Williams Cos., Inc. ...... 21,092 329,246 Ultra Petroleum Corp. (a)..... 5,459 212,901 Valero Energy Corp. .......... 20,395 344,472 Whiting Petroleum Corp. (a)... 1,811 63,675 XTO Energy, Inc. ............. 21,159 807,004 ------------ 9,729,880 ------------ PERSONAL PRODUCTS -- 0.3% Avon Products, Inc. .......... 15,628 402,890 The Estee Lauder Cos., Inc. (Class A) (b)............... 4,066 132,836 ------------ 535,726 ------------ PHARMACEUTICALS -- 0.5% Allergan, Inc. ............... 11,313 538,273 Endo Pharmaceuticals Holdings, Inc. (a).................... 3,948 70,748 Perrigo Co. (b)............... 3,037 84,368 Warner Chilcott, Ltd. (Class A) (a)...................... 3,040 39,976 ------------ 733,365 ------------ PROFESSIONAL SERVICES -- 0.5% Equifax, Inc. ................ 4,538 118,442 FTI Consulting, Inc. (a)(b)... 1,825 92,564 IHS, Inc. (Class A) (a)(b).... 1,710 85,278 Manpower, Inc. ............... 2,797 118,425 Robert Half International, Inc. (b).................... 5,436 128,398 The Dun & Bradstreet Corp. ... 1,938 157,385 Watson Wyatt Worldwide, Inc. (Class A)................... 1,521 57,083 ------------ 757,575 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.7% Digital Realty Trust, Inc. (b)......................... 2,516 90,199 Public Storage................ 4,719 309,000 Simon Property Group, Inc. ... 10,296 529,523 Ventas, Inc. ................. 5,719 170,769 ------------ 1,099,491 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- ROAD & RAIL -- 0.1% Hertz Global Holdings, Inc. (a)(b)...................... 6,536 $ 52,222 J.B. Hunt Transport Services, Inc. ....................... 3,509 107,130 ------------ 159,352 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.0% Advanced Micro Devices, Inc. (a)(b)...................... 21,956 84,970 Altera Corp. (b).............. 10,769 175,319 Analog Devices, Inc. ......... 10,420 258,208 Applied Materials, Inc. ...... 49,347 541,337 Broadcom Corp. (Class A) (a).. 15,546 385,385 Cree, Inc. (a)(b)............. 2,887 84,849 Intersil Corp. (Class A)...... 4,448 55,911 KLA-Tencor Corp. (b).......... 6,066 153,167 Lam Research Corp. (a)(b)..... 4,486 116,636 Linear Technology Corp. ...... 7,403 172,860 LSI Logic Corp. (a)........... 23,164 105,628 Marvell Technology Group, Ltd. (a)......................... 17,287 201,221 Maxim Integrated Products, Inc. ....................... 11,364 178,301 MEMC Electronic Materials, Inc. (a).................... 8,115 144,528 Microchip Technology, Inc. (b)......................... 6,534 147,342 Micron Technology, Inc. (a)(b)...................... 30,657 155,124 National Semiconductor Corp. (b)......................... 8,234 103,337 NVIDIA Corp. (a)(b)........... 19,980 225,574 ON Semiconductor Corp. (a).... 14,604 100,183 Texas Instruments, Inc. ...... 46,647 993,581 Varian Semiconductor Equipment Associates, Inc. (a)(b)..... 2,608 62,566 Xilinx, Inc. (b).............. 9,926 203,086 ------------ 4,649,113 ------------ SOFTWARE -- 8.7% Activision Blizzard, Inc. (a)......................... 21,246 268,337 Adobe Systems, Inc. (a)....... 19,338 547,265 Ansys, Inc. (a)(b)............ 3,224 100,460 Autodesk, Inc. (a)............ 8,127 154,251 BMC Software, Inc. (a)........ 6,628 223,960 CA, Inc. ..................... 15,081 262,862 Citrix Systems, Inc. (a)...... 6,525 208,082 Electronic Arts, Inc. (a)..... 11,557 251,018 Factset Research Systems, Inc. (b)......................... 1,559 77,747 Intuit, Inc. (a).............. 10,775 303,424 McAfee, Inc. (a)(b)........... 5,433 229,218 Microsoft Corp. .............. 289,115 6,872,264 Nuance Communications, Inc. (a)(b)...................... 7,841 94,798 Oracle Corp. ................. 140,247 3,004,091 Red Hat, Inc. (a)............. 6,843 137,750 Salesforce.com, Inc. (a)(b)... 3,706 141,458 Sybase, Inc. (a)(b)........... 2,910 91,199 Symantec Corp. (a)............ 30,261 470,861 VMware, Inc. (Class A) (a).... 1,396 38,069 ------------ 13,477,114 ------------ SPECIALTY RETAIL -- 4.0% Abercrombie & Fitch Co. (Class A) (b)...................... 3,129 79,445 Advance Auto Parts, Inc. ..... 3,396 140,900 American Eagle Outfitters, Inc. ....................... 6,536 92,615 AutoZone, Inc. (a)(b)......... 1,246 188,283 Bed Bath & Beyond, Inc. (a)(b)...................... 9,607 295,415 Best Buy Co., Inc. (b)........ 12,379 414,573 CarMax, Inc. (a)(b)........... 7,652 112,484 GameStop Corp. (Class A) (a).. 5,966 131,312 Guess ?, Inc. ................ 2,179 56,174 Lowe's Cos., Inc. ............ 53,534 1,039,095 O'Reilly Automotive, Inc. (a)(b)...................... 4,805 182,974 PetSmart, Inc. ............... 4,571 98,094 Ross Stores, Inc. ............ 4,647 179,374 Staples, Inc. ................ 26,039 525,207 The Gap, Inc. ................ 19,032 312,125 The Home Depot, Inc. ......... 62,049 1,466,218 The Sherwin-Williams Co. ..... 3,552 190,920 The TJX Cos., Inc. ........... 15,491 487,347 Tiffany & Co. (b)............. 4,455 112,979 Urban Outfitters, Inc. (a)(b)...................... 4,800 100,176 ------------ 6,205,710 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.6% Coach, Inc. .................. 11,530 309,926 NIKE, Inc. (Class B).......... 9,902 512,726 Polo Ralph Lauren Corp. (b)... 2,023 108,311 ------------ 930,963 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Hudson City Bancorp, Inc. .... 17,305 229,983 TFS Financial Corp. .......... 3,374 35,832 ------------ 265,815 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% Fastenal Co. (b).............. 4,999 165,817 MSC Industrial Direct Co., Inc. (Class A) (b).......... 1,553 55,100 ------------ 220,917 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.8% American Tower Corp. (Class A) (a)......................... 14,594 460,149 Crown Castle International Corp. (a)................... 8,734 209,791 Leap Wireless International, Inc. (a)(b)................. 2,206 72,643 MetroPCS Communications, Inc. (a)......................... 8,828 117,501 NII Holdings, Inc. (a)........ 5,949 113,447 SBA Communications Corp. (Class A) (a)(b)............ 4,185 102,700 Telephone & Data Systems, Inc. ....................... 3,687 104,342 US Cellular Corp. (a)......... 564 21,686 ------------ 1,202,259 ------------ TOTAL COMMON STOCKS -- (Cost $206,159,404)......... 154,406,964 ------------ SHORT TERM INVESTMENTS -- 6.1% MONEY MARKET FUNDS -- 6.1% State Street Navigator Securities Lending Prime Portfolio (c)(d)............ 8,792,553 8,792,553 STIC Prime Portfolio.......... 702,984 702,984 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $9,495,537)........... 9,495,537 ------------ TOTAL INVESTMENTS -- 105.9% (E) (Cost $215,654,941)......... 163,902,501 ------------ OTHER ASSETS AND LIABILITIES -- (5.9)%....... (9,085,566) ------------ NET ASSETS -- 100.0%.......... $154,816,935 ============
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - -------------------------------------------------------------------------------- (a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% AEROSPACE & DEFENSE -- 4.1% Alliant Techsystems, Inc. (a)(b)...................... 754 $ 62,099 Boeing Co. ................... 14,223 604,478 General Dynamics Corp. ....... 6,922 383,410 Goodrich Corp. ............... 2,723 136,068 Honeywell International, Inc. ....................... 14,669 460,607 L-3 Communications Holdings, Inc. ....................... 2,492 172,895 Lockheed Martin Corp. ........ 6,713 541,403 Northrop Grumman Corp. ....... 6,602 301,579 Raytheon Co. ................. 8,519 378,499 United Technologies Corp. .... 19,009 987,708 ------------ 4,028,746 ------------ AIR FREIGHT & LOGISTICS -- 0.8% United Parcel Service, Inc. (Class B)................... 15,128 756,249 ------------ AIRLINES -- 0.1% Delta Air Lines, Inc. (a)..... 16,561 95,888 ------------ AUTO COMPONENTS -- 0.3% Johnson Controls, Inc. (b).... 12,789 277,777 ------------ AUTOMOBILES -- 0.1% Harley-Davidson, Inc. (b)..... 5,075 82,266 ------------ BEVERAGES -- 2.8% Coca-Cola Enterprises, Inc. .. 6,856 114,152 Constellation Brands, Inc. (Class A) (a)............... 4,212 53,408 Dr. Pepper Snapple Group, Inc. (a)......................... 5,049 106,988 Molson Coors Brewing Co. (Class B)................... 3,187 134,906 PepsiAmericas, Inc. .......... 1,302 34,907 The Coca-Cola Co. ............ 46,160 2,215,219 The Pepsi Bottling Group, Inc. ....................... 2,919 98,779 ------------ 2,758,359 ------------ BUILDING PRODUCTS -- 0.1% Masco Corp. (b)............... 7,753 74,274 ------------ CAPITAL MARKETS -- 3.7% AllianceBernstein Holding LP.. 774 15,550 Ameriprise Financial, Inc. ... 5,577 135,354 Federated Investors, Inc. (Class B) (b)............... 2,107 50,758 Legg Mason, Inc. (b).......... 3,066 74,749 Morgan Stanley................ 26,258 748,615 Och-Ziff Capital Management Group LLC (Class A)......... 786 7,003 State Street Corp. (c)........ 10,424 492,013 The Bank of New York Mellon Corp. ...................... 25,858 757,898 The Goldman Sachs Group, Inc. ....................... 9,228 1,360,576 ------------ 3,642,516 ------------ CHEMICALS -- 1.7% Air Products & Chemicals, Inc. ....................... 4,288 276,962 CF Industries Holdings, Inc. ....................... 1,269 94,084 E. I. du Pont de Nemours & Co. ........................ 18,372 470,691 Eastman Chemical Co. ......... 1,571 59,541 FMC Corp. .................... 1,617 76,484 International Flavors & Fragrances, Inc. (b)........ 1,807 59,125 Intrepid Potash, Inc. (a)(b).. 1,099 30,860 Lubrizol Corp. ............... 1,502 71,060 PPG Industries, Inc. ......... 3,614 158,654 The Dow Chemical Co. ......... 23,186 374,222 The Scotts Miracle-Gro Co. (Class A) (b)............... 972 34,068 ------------ 1,705,751 ------------ COMMERCIAL BANKS -- 4.4% BB&T Corp. (b)................ 13,680 300,686 BOK Financial Corp. (b)....... 436 16,424 City National Corp. (b)....... 987 36,351 Comerica, Inc. (b)............ 3,269 69,139 Commerce Bancshares, Inc. .... 1,463 46,567 Cullen/Frost Bankers, Inc. (b)......................... 1,190 54,883 Keycorp....................... 15,259 79,957 M&T Bank Corp. (b)............ 1,508 76,803 PNC Financial Services Group, Inc. ....................... 9,669 375,254 Regions Financial Corp. (b)... 23,867 96,423 SunTrust Banks, Inc. ......... 10,079 165,800 U.S. Bancorp.................. 38,085 682,483 Wells Fargo & Co. ............ 97,972 2,376,801 ------------ 4,377,571 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.4% Avery Dennison Corp. (b)...... 2,643 67,872 Pitney Bowes, Inc. ........... 4,534 99,431 R.R. Donnelley & Sons Co. .... 4,596 53,406 Republic Services, Inc. ...... 6,772 165,304 ------------ 386,013 ------------ COMPUTERS & PERIPHERALS -- 3.2% International Business Machines Corp. ............. 28,709 2,997,794 Lexmark International, Inc. (Class A) (a)............... 1,913 30,321 Seagate Technology............ 10,899 114,003 ------------ 3,142,118 ------------ CONSTRUCTION & ENGINEERING -- 0.1% URS Corp. (a)................. 1,851 91,662 ------------ CONSUMER FINANCE -- 0.9% American Express Co. ......... 23,073 536,216 Capital One Financial Corp. (b)......................... 9,806 214,555 SLM Corp. (a)(b).............. 10,028 102,988 ------------ 853,759 ------------ CONTAINERS & PACKAGING -- 0.3% Aptargroup, Inc. ............. 1,402 47,346 Bemis Co., Inc. .............. 2,201 55,465 Owens-Illinois, Inc. (a)...... 3,607 101,032 Sonoco Products Co. .......... 2,261 54,151 ------------ 257,994 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. ............ 3,419 114,742 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.1% H&R Block, Inc. .............. 7,343 126,520 Weight Watchers International, Inc. (b).................... 757 19,508 ------------ 146,028 ------------ DIVERSIFIED FINANCIAL SERVICES -- 5.3% Bank of America Corp. ........ 165,881 2,189,629 Citigroup, Inc. (b)........... 112,017 332,691 JPMorgan Chase & Co. ......... 80,982 2,762,296 ------------ 5,284,616 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.5% AT&T, Inc. ................... 128,901 3,201,901 CenturyTel, Inc. (b).......... 2,178 66,865 Embarq Corp. ................. 3,057 128,577 Frontier Communications Corp. ...................... 6,655 47,517
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Qwest Communications International, Inc. (b)..... 30,286 $ 125,687 Verizon Communications, Inc. ....................... 62,024 1,905,997 ------------ 5,476,544 ------------ ELECTRIC UTILITIES -- 4.1% American Electric Power Co., Inc. ....................... 10,337 298,636 DPL, Inc. (b)................. 2,680 62,095 Duke Energy Corp. ............ 27,837 406,142 Edison International.......... 6,561 206,409 Entergy Corp. ................ 4,257 330,003 Exelon Corp. ................. 14,349 734,812 FirstEnergy Corp. ............ 6,697 259,509 FPL Group, Inc. .............. 8,214 467,048 Northeast Utilities........... 3,785 84,443 NV Energy, Inc. .............. 5,075 54,759 Pepco Holdings, Inc. ......... 4,704 63,222 Pinnacle West Capital Corp. (b)......................... 2,146 64,702 PPL Corp. .................... 8,129 267,932 Progress Energy, Inc. ........ 6,043 228,607 The Southern Co. ............. 16,843 524,828 Westar Energy, Inc. .......... 2,374 44,560 ------------ 4,097,707 ------------ ELECTRICAL EQUIPMENT -- 0.1% Hubbell, Inc. (Class B) (b)... 1,100 35,266 Rockwell Automation, Inc. (b)......................... 2,753 88,426 ------------ 123,692 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1% Ingram Micro, Inc. (Class A) (a)......................... 3,480 60,900 ------------ ENERGY EQUIPMENT & SERVICES -- 0.0% (D) Tidewater, Inc. (b)........... 1,084 46,471 ------------ FOOD & STAPLES RETAILING -- 0.5% Safeway, Inc. ................ 9,369 190,847 SUPERVALU, Inc. .............. 4,967 64,323 The Kroger Co. ............... 13,288 293,000 ------------ 548,170 ------------ FOOD PRODUCTS -- 2.8% Bunge, Ltd. .................. 2,630 158,457 Campbell Soup Co. ............ 4,871 143,305 ConAgra Foods, Inc. .......... 9,778 186,369 General Mills, Inc. .......... 6,792 380,488 H.J. Heinz Co. ............... 6,820 243,474 Hormel Foods Corp. ........... 1,545 53,364 Kellogg Co. .................. 5,186 241,512 Kraft Foods, Inc. ............ 29,129 738,129 McCormick & Co., Inc. ........ 2,559 83,244 Ralcorp Holdings, Inc. (a).... 1,190 72,495 Sara Lee Corp. ............... 14,349 140,046 Smithfield Foods, Inc. (a)(b)...................... 3,110 43,447 The Hershey Co. (b)........... 3,470 124,920 The J.M. Smucker Co. ......... 2,589 125,981 Tyson Foods, Inc. (Class A)... 6,310 79,569 ------------ 2,814,800 ------------ GAS UTILITIES -- 0.2% AGL Resources, Inc. .......... 1,623 51,612 Atmos Energy Corp. ........... 1,947 48,753 National Fuel Gas Co. (b)..... 1,485 53,579 Piedmont Natural Gas Co., Inc. ....................... 1,511 36,430 UGI Corp. .................... 2,374 60,513 ------------ 250,887 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% Hospira, Inc. (a)............. 3,461 133,318 Inverness Medical Innovations, Inc. (a)(b)................. 1,623 57,746 Teleflex, Inc. ............... 863 38,688 ------------ 229,752 ------------ HEALTH CARE PROVIDERS & SERVICES -- 0.6% Cardinal Health, Inc. ........ 7,773 237,465 CIGNA Corp. .................. 5,864 141,264 Laboratory Corp. of America Holdings(a)(b).............. 2,375 161,001 Universal Health Services, Inc. (Class B).............. 1,050 51,293 ------------ 591,023 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.8% Carnival Corp. ............... 9,243 238,192 McDonald's Corp. ............. 24,178 1,389,993 Royal Caribbean Cruises, Ltd. (b)......................... 3,100 41,974 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 3,670 81,474 ------------ 1,751,633 ------------ HOUSEHOLD DURABLES -- 0.6% D.R. Horton, Inc. (b)......... 5,934 55,542 Fortune Brands, Inc. ......... 3,237 112,454 Leggett & Platt, Inc. (b)..... 3,288 50,076 Mohawk Industries, Inc. (a)(b)...................... 1,290 46,027 Newell Rubbermaid, Inc. ...... 5,960 62,044 NVR, Inc. (a)(b).............. 124 62,296 The Black & Decker Corp. (b).. 1,258 36,054 The Stanley Works............. 1,767 59,795 Toll Brothers, Inc. (a)(b).... 2,810 47,686 Whirlpool Corp. (b)........... 1,603 68,224 ------------ 600,198 ------------ HOUSEHOLD PRODUCTS -- 3.9% Kimberly-Clark Corp. ......... 9,078 475,960 Procter & Gamble Co. ......... 63,771 3,258,698 The Clorox Co. (b)............ 3,022 168,718 ------------ 3,903,376 ------------ INDUSTRIAL CONGLOMERATES -- 3.6% 3M Co. ....................... 13,911 836,051 General Electric Co. ......... 229,863 2,693,994 Icahn Enterprises LP.......... 209 8,197 Textron, Inc. (b)............. 5,427 52,425 ------------ 3,590,667 ------------ INSURANCE -- 4.5% AFLAC, Inc. .................. 10,149 315,532 Alleghany Corp. (a)........... 150 40,650 Allied World Assurance Company Holdings, Ltd. ............. 757 30,908 American Financial Group, Inc. ....................... 1,623 35,024 American International Group, Inc. (b).................... 51,234 59,431 AON Corp. .................... 5,435 205,824 Arch Capital Group, Ltd. (a).. 1,211 70,940 Assurant, Inc. ............... 2,523 60,779 Axis Capital Holdings, Ltd. .. 3,028 79,273 Chubb Corp. .................. 7,733 308,392
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Cincinnati Financial Corp. ... 3,279 $ 73,286 CNA Financial Corp. (b)....... 663 10,257 Everest Re Group, Ltd. ....... 1,233 88,246 Fidelity National Financial, Inc. (Class A).............. 5,056 68,408 First American Corp. ......... 1,732 44,876 Hartford Financial Services Group, Inc. ................ 7,353 87,280 HCC Insurance Holdings, Inc. ....................... 2,485 59,665 Lincoln National Corp. (b).... 5,485 94,397 Loews Corp. .................. 7,697 210,898 Markel Corp. (a)(b)........... 197 55,495 Marsh & McLennan Cos., Inc. .. 11,201 225,476 MetLife, Inc. ................ 12,529 375,995 Odyssey Re Holdings Corp. (b)......................... 327 13,074 Old Republic International Corp. ...................... 4,851 47,782 PartnerRe, Ltd. .............. 1,253 81,382 Principal Financial Group, Inc. ....................... 6,333 119,314 Prudential Financial, Inc. ... 9,364 348,528 Reinsurance Group of America, Inc. (b).................... 1,299 45,348 RenaissanceRe Holdings, Ltd. ....................... 1,287 59,897 The Allstate Corp. ........... 11,729 286,188 The Hanover Insurance Group, Inc. ....................... 1,084 41,311 The Travelers Cos., Inc. ..... 12,620 517,925 Torchmark Corp. (b)........... 1,814 67,191 Transatlantic Holdings, Inc. ....................... 1,268 54,942 Unum Group.................... 7,166 113,653 Wesco Financial Corp. ........ 48 13,968 White Mountains Insurance Group, Ltd. ................ 189 43,264 ------------ 4,454,799 ------------ IT SERVICES -- 0.2% Computer Sciences Corp. (a)... 3,272 144,950 Lender Processing Services, Inc. ....................... 2,002 55,595 ------------ 200,545 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Hasbro, Inc. ................. 2,679 64,939 Mattel, Inc. ................. 7,801 125,206 ------------ 190,145 ------------ MACHINERY -- 0.7% Deere & Co. .................. 9,175 366,541 Eaton Corp. .................. 3,578 159,615 Flowserve Corp. .............. 1,200 83,772 Pentair, Inc. (b)............. 2,121 54,340 SPX Corp. .................... 1,131 55,385 ------------ 719,653 ------------ MEDIA -- 1.0% CBS Corp. .................... 13,132 90,873 DreamWorks Animation SKG, Inc. (Class A) (a)............... 1,493 41,192 News Corp. (Class A).......... 50,625 461,194 The Washington Post Co. ...... 135 47,544 Viacom, Inc. (a).............. 11,764 267,043 Virgin Media, Inc. (b)........ 6,270 58,625 ------------ 966,471 ------------ METALS & MINING -- 0.3% Alcoa, Inc. (b)............... 21,209 219,089 United States Steel Corp. (b)......................... 3,069 109,686 ------------ 328,775 ------------ MULTI-UTILITIES -- 2.7% Alliant Energy Corp. ......... 2,345 61,275 Ameren Corp. (b).............. 4,574 113,847 CenterPoint Energy, Inc. ..... 6,682 74,037 CMS Energy Corp. (b).......... 4,837 58,431 Consolidated Edison, Inc. (b)......................... 5,942 222,350 Dominion Resources, Inc. ..... 12,682 423,832 DTE Energy Co. ............... 3,572 114,304 Integrys Energy Group, Inc. (b)......................... 1,646 49,364 NiSource, Inc. ............... 5,928 69,121 NSTAR (b)..................... 2,307 74,078 OGE Energy Corp. ............. 2,053 58,141 PG&E Corp. ................... 7,955 305,790 Public Service Enterprise Group, Inc. ................ 11,116 362,715 SCANA Corp. .................. 2,381 77,311 Sempra Energy................. 4,984 247,356 TECO Energy, Inc. (b)......... 4,270 50,941 Vectren Corp. ................ 1,729 40,510 Wisconsin Energy Corp. ....... 2,568 104,543 Xcel Energy, Inc. ............ 9,762 179,718 ------------ 2,687,664 ------------ MULTILINE RETAIL -- 0.2% Macy's, Inc. ................. 9,087 106,863 Sears Holdings Corp. (a)(b)... 1,308 87,008 ------------ 193,871 ------------ OIL, GAS & CONSUMABLE FUELS -- 14.7% Apache Corp. ................. 7,185 518,398 Boardwalk Pipeline Partners LP (b)......................... 1,030 23,257 Buckeye Partners LP (b)....... 1,078 46,171 Chevron Corp. ................ 43,626 2,890,223 ConocoPhillips................ 28,264 1,188,784 Devon Energy Corp. ........... 9,130 497,585 El Paso Corp. ................ 15,318 141,385 Enbridge Energy Partners LP (b)......................... 1,559 60,146 Energy Transfer Partners LP (b)......................... 2,127 86,122 Enterprise GP Holdings LP..... 871 21,888 Enterprise Products Partners LP (b)...................... 6,831 170,365 Exxon Mobil Corp. ............ 107,434 7,510,711 Forest Oil Corp. (a)(b)....... 2,227 33,227 Kinder Morgan Energy Partners LP (b)...................... 3,870 197,834 Magellan Midstream Partners LP (b)......................... 1,408 48,942 Marathon Oil Corp. ........... 15,536 468,100 Newfield Exploration Co. (a).. 2,812 91,868 NuStar Energy LP.............. 969 52,355 ONEOK Partners LP (b)......... 1,193 54,627 Pioneer Natural Resources Co. ........................ 2,397 61,124 Plains All American Pipeline LP.......................... 2,413 102,673 Spectra Energy Corp. ......... 13,959 236,186 TEPPCO Partners LP (b)........ 1,838 54,883 ------------ 14,556,854 ------------ PAPER & FOREST PRODUCTS -- 0.3% International Paper Co. ...... 8,528 129,029 MeadWestvaco Corp. ........... 3,613 59,289 Weyerhaeuser Co. (b).......... 4,587 139,582 ------------ 327,900 ------------ PERSONAL PRODUCTS -- 0.1% Alberto-Culver Co. ........... 1,841 46,816 Mead Johnson Nutrition Co (Class A) (a)............... 745 23,669 ------------ 70,485 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PHARMACEUTICALS -- 12.7% Abbott Laboratories........... 33,387 $ 1,570,525 Bristol-Myers Squibb Co. ..... 42,675 866,729 Eli Lilly & Co. .............. 21,303 737,936 Forest Laboratories, Inc. (a)......................... 6,585 165,349 Johnson & Johnson............. 60,178 3,418,110 King Pharmaceuticals, Inc. (a)......................... 5,296 51,001 Merck & Co., Inc. ............ 45,864 1,282,357 Mylan, Inc. (a)(b)............ 6,586 85,947 Pfizer, Inc. ................. 146,234 2,193,510 Schering-Plough Corp. ........ 35,101 881,737 Watson Pharmaceuticals, Inc. (a)(b)...................... 2,268 76,409 Wyeth......................... 28,896 1,311,590 ------------ 12,641,200 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.7% AMB Property Corp. ........... 3,044 57,258 Annaly Capital Management, Inc. ....................... 11,746 177,834 Avalonbay Communities, Inc. (b)......................... 1,759 98,398 Boston Properties, Inc. (b)... 2,988 142,528 Developers Diversified Realty Corp. ...................... 208 1,015 Equity Residential............ 5,876 130,624 Federal Realty Investment Trust (b)................... 1,252 64,503 HCP, Inc. (b)................. 5,874 124,470 Health Care REIT, Inc. (b).... 2,483 84,670 Host Hotels & Resorts, Inc. .. 12,839 107,719 Kimco Realty Corp. ........... 8,054 80,943 Liberty Property Trust........ 2,300 52,992 Nationwide Health Properties, Inc. ....................... 2,165 55,727 Plum Creek Timber Co., Inc. (b)......................... 3,663 109,084 ProLogis (b).................. 9,135 73,628 Rayonier, Inc. ............... 1,806 65,648 Realty Income Corp. (b)....... 2,268 49,715 Regency Centers Corp. (b)..... 1,723 60,150 Vornado Realty Trust.......... 3,568 160,667 ------------ 1,697,573 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 4,327 34,486 The St. Joe Co. (a)(b)........ 1,947 51,576 ------------ 86,062 ------------ ROAD & RAIL -- 1.7% Burlington Northern Santa Fe Corp. ...................... 6,017 442,490 CSX Corp. .................... 8,442 292,346 Kansas City Southern(a)(b).... 2,213 35,651 Norfolk Southern Corp. ....... 7,988 300,908 Ryder Systems, Inc. .......... 1,167 32,583 Union Pacific Corp. .......... 10,944 569,745 ------------ 1,673,723 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% Intel Corp. .................. 120,615 1,996,178 ------------ SOFTWARE -- 0.1% Synopsys, Inc. (a)............ 3,105 60,579 ------------ SPECIALTY RETAIL -- 0.1% Limited Brands, Inc. ......... 5,930 70,982 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.1% V. F. Corp. (b)............... 1,948 107,822 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Capitol Federal Financial(b).. 433 16,597 New York Community Bancorp, Inc. (b).................... 7,471 79,865 People's United Financial, Inc. ....................... 3,712 55,828 ------------ 152,290 ------------ TOBACCO -- 3.0% Altria Group, Inc. ........... 44,650 731,814 Lorillard, Inc. .............. 3,695 250,410 Philip Morris International, Inc. ....................... 42,520 1,854,722 Reynolds American, Inc. (b)... 3,643 140,693 ------------ 2,977,639 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% W.W. Grainger, Inc. (b)....... 1,304 106,771 ------------ WATER UTILITIES -- 0.1% American Water Works Co., Inc. (b)......................... 2,108 40,284 Aqua America, Inc. ........... 2,916 52,196 ------------ 92,480 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.3% Sprint Nextel Corp. (a)(b).... 62,119 298,792 ------------ TOTAL COMMON STOCKS -- (Cost $125,508,418) 98,821,402 ------------ SHORT TERM INVESTMENTS -- 4.5% MONEY MARKET FUNDS -- 4.5% State Street Navigator Securities Lending Prime Portfolio (e)(f)............ 3,567,500 3,567,500 STIC Prime Portfolio.......... 859,528 859,528 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $4,427,028)........... 4,427,028 ------------ TOTAL INVESTMENTS -- 104.1% (g) (Cost $129,935,446)......... 103,248,430 OTHER ASSETS AND LIABILITIES -- (4.1)%....... (4,027,884) ------------ NET ASSETS -- 100.0%.......... $ 99,220,546 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan as of June 30, 2009. (c) Affiliated issuer. (Note 3) (d) Amount shown represents less than 0.05% of net assets. (e) Investments of cash collateral for securities loaned. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.9% Alliant Techsystems, Inc. (a)(b)....................... 1,087 $ 89,525 Curtiss-Wright Corp. (b)....... 1,490 44,298 Esterline Technologies Corp. (a).......................... 1,000 27,070 Moog, Inc. (Class A) (a)(b).... 1,295 33,424 Spirit Aerosystems Holdings, Inc. (a)(b).................. 3,381 46,455 TransDigm Group, Inc. (a)(b)... 1,224 44,309 ----------- 285,081 ----------- AIR FREIGHT & LOGISTICS -- 0.1% UTI Worldwide, Inc. (a)........ 3,295 37,563 ----------- AIRLINES -- 0.4% Alaska Air Group, Inc. (a)(b).. 1,231 22,478 AMR Corp. (a)(b)............... 9,514 38,246 Continental Airlines, Inc. (Class B) (a)(b)............. 4,084 36,184 JetBlue Airways Corp. (a)(b)... 8,268 35,305 ----------- 132,213 ----------- AUTO COMPONENTS -- 0.9% BorgWarner, Inc. (b)........... 3,823 130,555 Gentex Corp. (b)............... 4,562 52,919 The Goodyear Tire & Rubber Co. (a)(b)....................... 7,979 89,844 ----------- 273,318 ----------- BEVERAGES -- 0.2% PepsiAmericas, Inc. (b)........ 2,101 56,328 ----------- BIOTECHNOLOGY -- 1.4% Alkermes, Inc. (a)(b).......... 3,127 33,834 Amylin Pharmaceuticals, Inc. (a)(b)....................... 4,686 63,261 BioMarin Pharmaceutical, Inc. (a)(b)....................... 3,299 51,497 Isis Pharmaceuticals, Inc. (a)(b)....................... 3,086 50,919 Onyx Pharmaceuticals, Inc. (a)(b)....................... 1,900 53,694 OSI Pharmaceuticals, Inc. (a)(b)....................... 1,933 54,569 Regeneron Pharmaceuticals, Inc. (a)(b)....................... 2,118 37,955 Theravance, Inc. (a)(b)........ 1,784 26,118 United Therapeutics Corp. (a)(b)....................... 768 63,997 ----------- 435,844 ----------- BUILDING PRODUCTS -- 0.7% Lennox International, Inc. (b).......................... 1,721 55,261 Masco Corp. (b)................ 11,945 114,433 Owens Corning, Inc. (a)(b)..... 2,900 37,062 ----------- 206,756 ----------- CAPITAL MARKETS -- 3.0% Affiliated Managers Group, Inc. (a)(b)....................... 1,364 79,371 AllianceBernstein Holding LP(b)........................ 1,074 21,577 Eaton Vance Corp. (b).......... 3,851 103,014 Federated Investors, Inc. (Class B) (b)................ 3,417 82,316 Greenhill & Co., Inc. (b)...... 413 29,823 Jefferies Group, Inc. (a)(b)... 4,068 86,771 Knight Capital Group, Inc. (Class A) (a)................ 3,064 52,241 Lazard, Ltd. (Class A) (b)..... 2,504 67,408 Legg Mason, Inc. (b)........... 4,706 114,732 Och-Ziff Capital Management Group LLC (Class A) (b)...... 1,231 10,968 Raymond James Financial, Inc. (b).......................... 3,258 56,070 SEI Investments Co. (b)........ 5,178 93,411 The Blackstone Group LP(b)..... 5,343 56,315 Waddell & Reed Financial, Inc. (Class A) (b)................ 2,860 75,418 ----------- 929,435 ----------- CHEMICALS -- 3.0% Albemarle Corp. (b)............ 3,035 77,605 Celanese Corp. (Series A)...... 4,767 113,216 Eastman Chemical Co. (b)....... 2,269 85,995 International Flavors & Fragrances, Inc. (b)......... 2,609 85,366 Intrepid Potash, Inc. (a)(b)... 1,409 39,565 Lubrizol Corp. ................ 2,235 105,738 Nalco Holding Co. ............. 4,568 76,925 Olin Corp. (b)................. 2,328 27,680 RPM International, Inc. ....... 4,240 59,530 Sensient Technologies Corp. (b).......................... 1,620 36,563 Terra Industries, Inc. ........ 3,312 80,217 Terra Nitrogen Co. LP.......... 241 24,288 The Scotts Miracle-Gro Co. (Class A) (b)................ 1,466 51,383 Valhi, Inc. (b)................ 368 2,734 Valspar Corp. ................. 3,062 68,987 ----------- 935,792 ----------- COMMERCIAL BANKS -- 4.6% Associated Bance-Corp. (b)..... 3,950 49,375 BancorpSouth, Inc. (b)......... 2,608 53,542 Bank of Hawaii Corp. (b)....... 1,572 56,325 BOK Financial Corp. (b)........ 742 27,951 City National Corp. (b)........ 1,356 49,941 Comerica, Inc. (b)............. 5,020 106,173 Commerce Bancshares, Inc. (b).. 2,049 65,220 Cullen/Frost Bankers, Inc. (b).......................... 1,863 85,922 First Citizens Bancshares, Inc. (Class A).................... 200 26,730 First Horizon National Corp. (a)(b)....................... 7,119 85,423 FirstMerit Corp. (b)........... 2,714 46,084 Fulton Financial Corp. (b)..... 5,926 30,874 Prosperity Bancshares, Inc. (b).......................... 1,525 45,491 Regions Financial Corp. (b).... 36,071 145,727 SunTrust Banks, Inc. (b)....... 15,202 250,073 Synovus Financial Corp. (b).... 9,346 27,944 TCF Financial Corp. (b)........ 3,999 53,467 Trustmark Corp. (b)............ 1,663 32,129 UMB Financial Corp. (b)........ 1,103 41,925 Valley National Bancorp (b).... 4,667 54,604 Westamerica Bancorporation (b).......................... 961 47,675 Zions Bancorp (b).............. 3,798 43,905 ----------- 1,426,500 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% Avery Dennison Corp. (b)....... 3,746 96,197 Clean Harbors, Inc. (a)(b)..... 690 37,253 Copart, Inc. (a)(b)............ 2,304 79,880 Corrections Corp. of America (a).......................... 3,820 64,902 R.R. Donnelley & Sons Co. (b).. 6,809 79,121 Rollins, Inc. (b).............. 1,700 29,427 Tetra Tech, Inc. (a)........... 2,009 57,558 The Brink's Co. ............... 1,515 43,980 Waste Connections, Inc. (a)(b)....................... 2,645 68,532 ----------- 556,850 ----------- COMMUNICATIONS EQUIPMENT -- 1.2% Brocade Communications Systems, Inc. (a)..................... 12,857 100,542 EchoStar Corp. (Class A) (a)... 1,339 21,343 F5 Networks, Inc. (a)(b)....... 2,610 90,280 InterDigital, Inc. (a)......... 1,477 36,098 Polycom, Inc. (a)(b)........... 2,741 55,560 Tellabs, Inc. (a).............. 12,081 69,224 ----------- 373,047 -----------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMPUTERS & PERIPHERALS -- 2.0% Diebold, Inc. (b).............. 2,162 $ 56,990 Lexmark International, Inc. (Class A) (a)(b)............. 2,593 41,099 NCR Corp. (a).................. 5,198 61,492 QLogic Corp. (a)............... 3,937 49,921 SanDisk Corp. (a)(b)........... 7,472 109,764 Seagate Technology (b)......... 15,965 166,994 Teradata Corp. (a)............. 5,672 132,895 ----------- 619,155 ----------- CONSTRUCTION & ENGINEERING -- 1.6% Aecom Technology Corp. (a)..... 3,165 101,280 EMCOR Group, Inc. (a)(b)....... 2,190 44,063 Granite Construction, Inc. (b).......................... 1,133 37,706 KBR, Inc. ..................... 5,368 98,986 The Shaw Group, Inc. (a)(b).... 2,753 75,460 Tutor Perini Corp. (a)(b)...... 954 16,561 URS Corp. (a).................. 2,750 136,180 ----------- 510,236 ----------- CONTAINERS & PACKAGING -- 2.5% Aptargroup, Inc. .............. 2,108 71,187 Bemis Co., Inc. ............... 3,338 84,118 Greif, Inc. (Class A).......... 1,139 50,366 Owens-Illinois, Inc. (a)....... 5,492 153,831 Packaging Corp. of America (b).......................... 3,373 54,643 Pactiv Corp. (a)(b)............ 4,345 94,286 Rock-Tenn Co. (Class A) (b).... 1,259 48,043 Sealed Air Corp. (b)........... 5,253 96,918 Silgan Holdings, Inc. ......... 859 42,117 Sonoco Products Co. ........... 3,301 79,059 ----------- 774,568 ----------- DISTRIBUTORS -- 0.2% LKQ Corp. (a)(b)............... 4,604 75,736 ----------- DIVERSIFIED CONSUMER SERVICES -- 1.3% Brink's Home Security Holdings, Inc. (a)(b).................. 1,515 42,890 Career Education Corp. (a)(b).. 2,969 73,898 Corinthian Colleges, Inc. (a)(b)....................... 2,626 44,458 Hillenbrand, Inc. ............. 2,038 33,912 Matthews International Corp. (Class A) (b)................ 1,004 31,245 Service Corp. International (b).......................... 8,309 45,533 Strayer Education, Inc. (b).... 466 101,639 Weight Watchers International, Inc. (b)..................... 1,172 30,203 ----------- 403,778 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% MSCI, Inc. (Class A) (a)(b).... 3,322 81,190 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.7% CenturyTel, Inc. (b)........... 9,789 300,522 Clearwire Corp. (Class A) (a)(b)....................... 2,420 13,383 Frontier Communications Corp. ....................... 10,254 73,214 Level 3 Communications, Inc. (a)(b)....................... 53,468 80,737 tw telecom, inc. (a)(b)........ 4,961 50,949 ----------- 518,804 ----------- ELECTRIC UTILITIES -- 1.8% Cleco Corp. (b)................ 1,990 44,616 DPL, Inc. (b).................. 3,852 89,251 Great Plains Energy, Inc. (b).. 4,432 68,918 Hawaiian Electric Industries, Inc. (b)..................... 3,048 58,095 IDACORP, Inc. (b).............. 1,539 40,229 ITC Holdings Corp. (b)......... 1,640 74,390 NV Energy, Inc. ............... 7,763 83,763 Portland General Electric Co. (b).......................... 2,513 48,953 Westar Energy, Inc. (b)........ 3,593 67,441 ----------- 575,656 ----------- ELECTRICAL EQUIPMENT -- 0.8% Acuity Brands, Inc. (b)........ 1,345 37,727 Brady Corp. (Class A) (b)...... 1,523 38,258 Energy Conversion Devices, Inc. (a)(b)....................... 1,538 21,763 Hubbell, Inc. (Class B) (b).... 1,725 55,304 Thomas & Betts Corp. (a)....... 1,756 50,678 Woodward Governor Co. (b)...... 1,889 37,402 ----------- 241,132 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% Anixter International, Inc. (a)(b)....................... 1,013 38,079 Arrow Electronics, Inc. (a)(b)....................... 3,974 84,408 AVX Corp. (b).................. 1,755 17,427 Ingram Micro, Inc. (Class A) (a).......................... 5,378 94,115 Itron, Inc. (a)(b)............. 1,221 67,241 Jabil Circuit, Inc. (b)........ 6,513 48,326 Mettler-Toledo International, Inc. (a)(b).................. 1,113 85,868 Molex, Inc. ................... 4,353 67,689 National Instruments Corp. (b).......................... 2,029 45,774 Trimble Navigation, Ltd. (a)(b)....................... 3,990 78,324 ----------- 627,251 ----------- ENERGY EQUIPMENT & SERVICES -- 2.0% Dresser-Rand Group, Inc. (a)... 2,699 70,444 Exterran Holdings, Inc. (a)(b)....................... 2,062 33,074 Helmerich & Payne, Inc. (b).... 3,177 98,074 Oceaneering International, Inc. (a)(b)....................... 1,831 82,761 Patterson-UTI Energy, Inc. (b).......................... 5,093 65,496 Rowan Cos., Inc. (b)........... 3,466 66,963 SEACOR Holdings, Inc. (a)(b)... 628 47,251 Superior Energy Services, Inc. (a)(b)....................... 2,554 44,108 Tidewater, Inc. (b)............ 1,711 73,351 Unit Corp. (a)(b).............. 1,562 43,064 ----------- 624,586 ----------- FOOD & STAPLES RETAILING -- 0.6% BJ's Wholesale Club, Inc. (a)(b)....................... 1,814 58,465 Ruddick Corp. (b).............. 1,389 32,544 Whole Foods Market, Inc. (b)... 4,617 87,631 ----------- 178,640 ----------- FOOD PRODUCTS -- 1.0% Corn Products International, Inc. (b)..................... 2,456 65,796 Del Monte Foods Co. ........... 6,609 61,993 Flowers Foods, Inc. (b)........ 2,821 61,611 Fresh Del Monte Produce, Inc. (a).......................... 1,379 22,423 Lancaster Colony Corp. (b)..... 671 29,571 Smithfield Foods, Inc. (a)(b).. 4,454 62,222 Tootsie Roll Industries, Inc. (b).......................... 786 17,834 ----------- 321,450 ----------- GAS UTILITIES-- 2.7% AGL Resources, Inc. ........... 2,539 80,740 Amerigas Partners LP (b)....... 1,063 35,855 Atmos Energy Corp. ............ 3,042 76,172 Energen Corp. ................. 2,404 95,920 National Fuel Gas Co. (b)...... 2,239 80,783
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- New Jersey Resources Corp. (b).......................... 1,396 $ 51,708 Nicor, Inc. (b)................ 1,488 51,515 Northwest Natural Gas Co. (b).. 879 38,957 Piedmont Natural Gas Co., Inc. (b).......................... 2,285 55,091 South Jersey Industries, Inc. (b).......................... 1,003 34,995 Southwest Gas Corp. (b)........ 1,501 33,337 Spectra Energy Partners LP..... 369 7,933 Suburban Propane Partners LP (b).......................... 1,080 45,544 UGI Corp. ..................... 3,576 91,152 WGL Holdings, Inc. (b)......... 1,661 53,185 ----------- 832,887 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% Gen-Probe, Inc. (a)............ 1,729 74,312 Haemonetics Corp. (a)(b)....... 842 47,994 IDEXX Laboratories, Inc. (a)(b)....................... 1,974 91,199 Immucor, Inc. (a).............. 2,312 31,813 Inverness Medical Innovations, Inc. (a)(b).................. 2,608 92,793 Kinetic Concepts, Inc. (a)(b).. 2,055 55,999 Masimo Corp. (a)(b)............ 1,719 41,445 NuVasive, Inc. (a)(b).......... 1,199 53,475 STERIS Corp. (b)............... 1,788 46,631 Teleflex, Inc. ................ 1,307 58,593 Thoratec Corp. (a)(b).......... 1,857 49,731 West Pharmaceutical Services, Inc. (b)..................... 1,105 38,509 ----------- 682,494 ----------- HEALTH CARE PROVIDERS & SERVICES -- 2.8% Amedisys, Inc. (a)(b).......... 916 30,246 AMERIGROUP Corp. (a)(b)........ 1,755 47,122 athenahealth, Inc. (a)......... 1,043 38,601 Community Health Systems, Inc. (a)(b)....................... 3,097 78,199 Coventry Health Care, Inc. (a).......................... 4,921 92,072 Health Net, Inc. (a)(b)........ 3,415 53,103 LifePoint Hospitals, Inc. (a)(b)....................... 1,763 46,279 Lincare Holdings, Inc. (a)(b).. 2,279 53,602 Magellan Health Services, Inc. (a).......................... 1,167 38,301 Owens & Minor, Inc. (b)........ 1,357 59,464 Patterson Cos., Inc. (a)(b).... 3,296 71,523 Pediatrix Medical Group, Inc. (a).......................... 1,513 63,743 Psychiatric Solutions, Inc. (a)(b)....................... 1,767 40,182 Universal Health Services, Inc. (Class B) (b)................ 1,583 77,329 VCA Antech, Inc. (a)(b)........ 2,788 74,440 ----------- 864,206 ----------- HEALTH CARE TECHNOLOGY -- 0.5% Allscripts-Misys Healthcare Solutions, Inc. (b).......... 1,912 30,324 HLTH Corp. (a)(b).............. 3,075 40,283 IMS Health, Inc. (b)........... 6,022 76,479 ----------- 147,086 ----------- HOTELS, RESTAURANTS & LEISURE -- 3.2% Bally Technologies, Inc. (a)(b)....................... 1,802 53,916 Brinker International, Inc. (b).......................... 3,333 56,761 Burger King Holdings, Inc. (b).......................... 3,046 52,604 Chipotle Mexican Grill, Inc. (a)(b)....................... 1,066 85,280 Choice Hotels International, Inc. (b)..................... 981 26,104 International Speedway Corp. (Class A) (b)................ 922 23,612 Jack in the Box, Inc. (a)(b)... 1,877 42,139 Las Vegas Sands Corp. (a)(b)... 14,374 112,980 MGM MIRAGE, Inc. (a)(b)........ 7,861 50,232 Panera Bread Co. (Class A) (a)(b)....................... 1,036 51,655 Penn National Gaming, Inc. (a)(b)....................... 2,212 64,391 Royal Caribbean Cruises, Ltd. (b).......................... 4,456 60,334 Scientific Games Corp. (Class A) (a)(b).................... 2,292 36,145 Starwood Hotels & Resorts Worldwide, Inc. (b).......... 5,674 125,963 Wendy's/Arby's Group, Inc. (Class A) (b)................ 14,467 57,868 Wynn Resorts, Ltd. (a)(b)...... 2,539 89,627 ----------- 989,611 ----------- HOUSEHOLD DURABLES -- 2.6% Leggett & Platt, Inc. (b)...... 5,186 78,983 Lennar Corp. (Class A) (b)..... 4,585 44,429 M.D.C. Holdings, Inc. (b)...... 1,187 35,741 Mohawk Industries, Inc. (a)(b)....................... 1,832 65,366 Newell Rubbermaid, Inc. ....... 9,272 96,522 NVR, Inc. (a)(b)............... 175 87,918 Pulte Homes, Inc. (b).......... 7,121 62,878 Snap-on, Inc. (b).............. 1,892 54,376 The Black & Decker Corp. (b)... 1,975 56,603 The Stanley Works.............. 2,600 87,984 Tupperware Brands Corp. ....... 2,104 54,746 Whirlpool Corp. (b)............ 2,443 103,974 ----------- 829,520 ----------- HOUSEHOLD PRODUCTS -- 0.4% Energizer Holdings, Inc. (a)(b)....................... 2,249 117,488 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% Dynegy, Inc. (Class A) (a)..... 16,492 37,437 Mirant Corp. (a)............... 4,787 75,348 Ormat Technologies, Inc. (b)... 581 23,420 RRI Energy, Inc. (a)(b)........ 11,522 57,725 ----------- 193,930 ----------- INDUSTRIAL CONGLOMERATES -- 0.5% Carlisle Cos., Inc. (b)........ 2,022 48,609 Icahn Enterprises LP (b)....... 340 13,335 Seaboard Corp. (b)............. 12 13,464 Textron, Inc. (b).............. 8,160 78,825 ----------- 154,233 ----------- INSURANCE -- 5.4% Alleghany Corp. (a)(b)......... 200 54,200 Allied World Assurance Company Holdings, Ltd. .............. 1,193 48,710 American Financial Group, Inc. ........................ 2,546 54,943 American International Group, Inc. (b)..................... 78,555 91,124 American National Insurance Co. (b).......................... 538 40,662 Arthur J. Gallagher & Co. (b).. 3,313 70,699 Aspen Insurance Holdings, Ltd. ........................ 2,479 55,381 Assurant, Inc. ................ 3,917 94,361 Brown & Brown, Inc. (b)........ 3,733 74,399 CNA Financial Corp. (b)........ 1,006 15,563 Endurance Specialty Holdings, Ltd. (b)..................... 1,690 49,517 Erie Indemnity Co. (Class A) (b).......................... 1,048 37,476 First American Corp. (b)....... 2,717 70,397 IPC Holdings, Ltd. ............ 1,546 42,268 Max Capital Group, Ltd. (b).... 1,612 29,758 Mercury General Corp. (b)...... 868 29,017 Montpelier Re Holdings, Ltd. (b).......................... 2,652 35,245 Old Republic International Corp. (b).................... 7,484 73,717
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- OneBeacon Insurance Group, Ltd. (Class A) (b)................ 786 $ 9,188 Platinum Underwriters Holdings, Ltd. ........................ 1,694 48,431 ProAssurance Corp. (a)(b)...... 1,096 50,646 Reinsurance Group of America, Inc. (b)..................... 2,042 71,286 RLI Corp. (b).................. 656 29,389 StanCorp Financial Group, Inc. (b).......................... 1,623 46,548 The Hanover Insurance Group, Inc. ........................ 1,699 64,749 Torchmark Corp. (b)............ 2,750 101,860 Transatlantic Holdings, Inc. (b).......................... 1,899 82,284 Validus Holdings, Ltd. (b)..... 1,100 24,178 Wesco Financial Corp. ......... 47 13,677 White Mountains Insurance Group, Ltd. ................. 254 58,143 XL Capital, Ltd. (Class A) (b).......................... 11,270 129,154 ----------- 1,696,970 ----------- INTERNET & CATALOG RETAIL -- 0.8% Expedia, Inc. (a)(b)........... 6,888 104,078 Liberty Media Corp -- Interactive (Class A) (a)(b)....................... 19,737 98,882 Netflix, Inc. (a)(b)........... 1,508 62,341 ----------- 265,301 ----------- INTERNET SOFTWARE & SERVICES -- 0.5% Equinix, Inc. (a)(b)........... 1,261 91,725 IAC/InterActiveCorp. (a)(b).... 3,668 58,871 WebMD Health Corp. (Class A) (a)(b)....................... 277 8,288 ----------- 158,884 ----------- IT SERVICES -- 2.5% Alliance Data Systems Corp. (a)(b)....................... 1,929 79,456 Broadridge Financial Solutions, Inc. ........................ 4,661 77,279 CACI International, Inc. (Class A) (a)(b).................... 992 42,368 DST Systems, Inc. (a)(b)....... 1,310 48,405 Gartner, Inc. (a)(b)........... 2,164 33,023 Genpact, Ltd. (a)(b)........... 1,875 22,031 Global Payments, Inc. ......... 2,652 99,344 Lender Processing Services, Inc. ........................ 3,149 87,448 ManTech International Corp. (Class A) (a)(b)............. 718 30,903 Metavante Technologies, Inc. (a)(b)....................... 2,962 76,597 NeuStar, Inc. (Class A) (a).... 2,395 53,073 Perot Systems Corp. (Class A) (a)(b)....................... 2,858 40,955 Total System Services, Inc. ... 6,538 87,544 ----------- 778,426 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.1% Eastman Kodak Co. (b).......... 8,364 24,757 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% Bio-Rad Laboratories, Inc. (Class A) (a)................ 651 49,137 Charles River Laboratories International, Inc. (a)...... 2,194 74,048 Covance, Inc. (a)(b)........... 2,119 104,255 PerkinElmer, Inc. ............. 3,869 67,321 Techne Corp. .................. 1,245 79,443 ----------- 374,204 ----------- MACHINERY -- 3.5% AGCO Corp. (a)(b).............. 3,038 88,315 CLARCOR, Inc. (b).............. 1,689 49,302 Crane Co. ..................... 1,678 37,436 Donaldson Co., Inc. (b)........ 2,240 77,594 Gardner Denver, Inc. (a)....... 1,712 43,091 Graco, Inc. (b)................ 2,020 44,480 Harsco Corp. .................. 2,665 75,419 IDEX Corp. (b)................. 2,677 65,774 Joy Global, Inc. (b)........... 3,364 120,162 Kennametal, Inc. .............. 2,433 46,665 Lincoln Electric Holdings, Inc. (b).......................... 1,336 48,149 Navistar International Corp. (a)(b)....................... 2,081 90,732 Nordson Corp. (b).............. 1,047 40,477 Pentair, Inc. ................. 3,264 83,624 SPX Corp. ..................... 1,627 79,674 The Timken Co. (b)............. 2,557 43,673 Wabtec Corp. (b)............... 1,598 51,408 ----------- 1,085,975 ----------- MARINE -- 0.2% Kirby Corp. (a)(b)............. 1,770 56,268 ----------- MEDIA -- 1.4% Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)........ 1,342 7,113 DreamWorks Animation SKG, Inc. (Class A) (a)(b)............. 2,318 63,954 Interactive Data Corp. (b)..... 1,183 27,375 John Wiley & Sons, Inc. (Class A)........................... 1,656 55,062 Marvel Entertainment, Inc. (a)(b)....................... 1,709 60,823 Morningstar, Inc. (a).......... 624 25,727 Regal Entertainment Group(b)... 2,568 34,129 The Interpublic Group of Cos., Inc. (a)(b).................. 15,825 79,916 Virgin Media, Inc. (b)......... 9,710 90,788 ----------- 444,887 ----------- METALS & MINING -- 1.9% Allegheny Technologies, Inc. (b).......................... 3,049 106,501 Cliffs Natural Resources, Inc. (b).......................... 4,272 104,536 Commercial Metals Co. (b)...... 3,700 59,311 Compass Minerals International, Inc. (b)..................... 1,067 58,589 Reliance Steel & Aluminum Co. ......................... 2,128 81,694 Royal Gold, Inc. (b)........... 1,340 55,878 Steel Dynamics, Inc. (b)....... 6,874 101,254 Titanium Metals Corp. ......... 2,821 25,925 ----------- 593,688 ----------- MULTI-UTILITIES -- 1.4% CMS Energy Corp. (b)........... 7,471 90,250 NiSource, Inc. (b)............. 9,103 106,141 OGE Energy Corp. .............. 3,163 89,576 TECO Energy, Inc. (b).......... 6,605 78,797 Vectren Corp. ................. 2,667 62,488 ----------- 427,252 ----------- MULTILINE RETAIL -- 0.5% Big Lots, Inc. (a)(b).......... 2,751 57,854 Nordstrom, Inc. (b)............ 5,597 111,324 ----------- 169,178 ----------- OFFICE ELECTRONICS -- 0.1% Zebra Technologies Corp. (Class A) (a)(b).................... 1,967 46,539 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.5% Alliance Resource Partners LP (b).......................... 696 22,620 Alpha Natural Resources, Inc. (a)(b)....................... 2,331 61,235 Arch Coal, Inc. (b)............ 4,753 73,054 BP Prudhoe Bay Royalty Trust (b).......................... 709 48,921 Buckeye Partners LP (b)........ 1,705 73,025 Cabot Oil & Gas Corp. ......... 3,413 104,574
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Cheniere Energy Partners LP.... 461 $ 3,398 Cimarex Energy Co. (b)......... 2,745 77,793 Comstock Resources, Inc. (a)... 1,516 50,104 Concho Resources, Inc. (a)(b).. 2,374 68,110 El Paso Pipeline Partners LP... 1,135 19,897 Encore Acquisition Co. (a)(b).. 1,763 54,389 EXCO Resources, Inc. (a)(b).... 5,628 72,714 Forest Oil Corp. (a)(b)........ 3,259 48,624 Frontier Oil Corp. (b)......... 3,428 44,941 Goodrich Petroleum Corp. (a)(b)....................... 904 22,229 Holly Corp. (b)................ 1,430 25,711 Inergy LP (b).................. 1,645 41,931 Linn Energy LLC................ 3,798 74,327 Magellan Midstream Partners LP (b).......................... 2,203 76,576 Mariner Energy, Inc. (a)....... 1 5 Massey Energy Co. (b).......... 2,858 55,845 Natural Resource Partners LP(b)........................ 1,100 23,155 Newfield Exploration Co. (a)... 4,337 141,690 NuStar Energy LP(b)............ 1,413 76,344 Pioneer Natural Resources Co. (b).......................... 3,788 96,594 Plains Exploration & Production Co. (a)(b)................... 3,972 108,674 Quicksilver Resources, Inc. (a)(b)....................... 4,000 37,160 SandRidge Energy, Inc. (a)(b).. 4,830 41,152 Ship Finance International, Ltd. (b)..................... 47 518 Southern Union Co. (b)......... 3,437 63,207 St. Mary Land & Exploration Co. ......................... 2,085 43,514 Sunoco Logistics Partners LP... 666 36,111 Teekay Corp. .................. 1,394 29,316 TEPPCO Partners LP............. 2,826 84,384 Tesoro Corp. (b)............... 4,612 58,711 Whiting Petroleum Corp. (a)(b)....................... 1,663 58,471 ----------- 2,019,024 ----------- PAPER & FOREST PRODUCTS -- 0.3% MeadWestvaco Corp. (b)......... 5,360 87,958 ----------- PERSONAL PRODUCTS -- 0.6% Alberto-Culver Co. (b)......... 2,908 73,951 Chattem, Inc. (a)(b)........... 644 43,856 Herbalife, Ltd. ............... 2,041 64,373 ----------- 182,180 ----------- PHARMACEUTICALS -- 1.0% Auxilium Pharmaceuticals, Inc. (a)(b)....................... 1,367 42,896 King Pharmaceuticals, Inc. (a)(b)....................... 8,170 78,677 Perrigo Co. (b)................ 2,809 78,034 Sepracor, Inc. (a)(b).......... 3,600 62,352 Valeant Pharmaceuticals International (a)(b)......... 2,312 59,465 ----------- 321,424 ----------- PROFESSIONAL SERVICES -- 1.4% FTI Consulting, Inc. (a)(b).... 1,691 85,768 IHS, Inc. (Class A) (a)(b)..... 1,535 76,550 Manpower, Inc. ................ 2,592 109,745 Robert Half International, Inc. (b).......................... 5,032 118,856 Watson Wyatt Worldwide, Inc. (Class A) (b)................ 1,396 52,392 ----------- 443,311 ----------- REAL ESTATE INVESTMENT TRUSTS -- 6.2% Alexandria Real Estate Equities, Inc. (b)........... 1,319 47,207 AMB Property Corp. (b)......... 4,857 91,360 Camden Property Trust (b)...... 2,167 59,809 Corporate Office Properties Trust (b).................... 1,902 55,786 Digital Realty Trust, Inc. (b).......................... 2,326 83,387 Douglas Emmett, Inc. (b)....... 4,014 36,086 Duke Realty Corp. (b).......... 7,425 65,117 Essex Property Trust, Inc. (b).......................... 906 56,380 Federal Realty Investment Trust (b).......................... 1,953 100,618 Highwoods Properties, Inc. .... 2,316 51,809 Hospitality Properties Trust (b).......................... 3,707 44,076 Host Hotels & Resorts, Inc. (b).......................... 19,652 164,880 Kimco Realty Corp. (b)......... 12,396 124,580 Liberty Property Trust......... 3,505 80,755 Mack-Cali Realty Corp. (b)..... 2,527 57,616 MFA Financial, Inc. ........... 7,377 51,049 National Retail Properties, Inc. (b)..................... 2,679 46,481 Nationwide Health Properties, Inc. (b)..................... 3,400 87,516 OMEGA Healthcare Investors, Inc. (b)..................... 2,710 42,059 ProLogis (b)................... 14,579 117,507 Rayonier, Inc. ................ 2,605 94,692 Realty Income Corp. (b)........ 3,462 75,887 Regency Centers Corp. (b)...... 2,636 92,023 Senior Housing Properties Trust (b).......................... 3,983 65,002 UDR, Inc. (b).................. 4,942 51,051 Washington Real Estate Investment Trust (b)......... 1,927 43,107 Weingarten Realty Investors (b).......................... 3,964 57,518 ----------- 1,943,358 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT-- 0.4% Brookfield Properties Corp. (b).......................... 6,739 53,710 The St. Joe Co. (a)(b)......... 3,045 80,662 ----------- 134,372 ----------- ROAD & RAIL -- 0.9% Heartland Express, Inc. (b).... 1,825 26,864 Hertz Global Holdings, Inc. (a)(b)....................... 6,028 48,164 Kansas City Southern (a)(b).... 3,022 48,684 Knight Transportation, Inc. (b).......................... 1,918 31,743 Landstar Systems, Inc. ........ 1,703 61,155 Ryder Systems, Inc. ........... 1,843 51,456 Werner Enterprises, Inc. (b)... 1,684 30,514 ----------- 298,580 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-- 3.2% Advanced Micro Devices, Inc. (a)(b)....................... 20,358 78,785 Atmel Corp. (a)(b)............. 13,318 49,676 Cree, Inc. (a)(b).............. 2,671 78,501 Intersil Corp. (Class A) (b)... 4,049 50,896 Lam Research Corp. (a)(b)...... 4,154 108,004 LSI Logic Corp. (a)(b)......... 21,435 97,743 Micron Technology, Inc. (a)(b)....................... 27,594 139,626 National Semiconductor Corp. (b).......................... 7,623 95,669 Novellus Systems, Inc. (a)..... 3,237 54,058 ON Semiconductor Corp. (a)(b).. 13,772 94,476 PMC-Sierra, Inc. (a)(b)........ 7,149 56,906 Silicon Laboratories, Inc. (a)(b)....................... 1,483 56,265 Varian Semiconductor Equipment Associates, Inc. (a)(b)...... 2,392 57,384 ----------- 1,017,989 ----------- SOFTWARE -- 3.3% Ansys, Inc. (a)(b)............. 2,912 90,738 Cadence Design Systems, Inc. (a)(b)....................... 8,815 52,009 Compuware Corp. (a)............ 8,119 55,696
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Concur Technologies, Inc. (a)(b)....................... 1,392 $ 43,263 Factset Research Systems, Inc. (b).......................... 1,428 71,214 Informatica Corp. (a)(b)....... 2,887 49,628 Jack Henry & Associates, Inc. ........................ 2,777 57,623 Macrovision Solutions Corp. (a)(b)....................... 2,712 59,149 MICROS Systems, Inc. (a)(b).... 2,656 67,250 Novell, Inc. (a)(b)............ 11,436 51,805 Nuance Communications, Inc. (a)(b)....................... 7,252 87,677 Parametric Technology Corp. (a)(b)....................... 3,841 44,901 Quality Systems, Inc. (b)...... 593 33,777 Quest Software, Inc. (a)....... 2,243 31,267 Solera Holdings, Inc. (a)...... 2,296 58,318 Sybase, Inc. (a)(b)............ 2,743 85,966 Synopsys, Inc. (a)............. 4,725 92,185 ----------- 1,032,466 ----------- SPECIALTY RETAIL -- 3.6% Aaron's, Inc. (b).............. 1,641 48,935 Abercrombie & Fitch Co. (Class A) (b)....................... 2,893 73,453 Aeropostale, Inc. (a)(b)....... 2,222 76,148 American Eagle Outfitters, Inc. (b).......................... 5,849 82,880 AutoNation, Inc. (a)(b)........ 2,494 43,271 CarMax, Inc. (a)(b)............ 6,566 96,520 Dick's Sporting Goods, Inc. (a)(b)....................... 2,794 48,057 Foot Locker, Inc. (b).......... 5,135 53,764 Guess ?, Inc. (b).............. 1,944 50,116 Limited Brands, Inc. (b)....... 9,139 109,394 PetSmart, Inc. (b)............. 4,229 90,754 RadioShack Corp. .............. 4,120 57,515 Rent-A-Center, Inc. (a)........ 2,184 38,941 The Buckle, Inc. (b)........... 872 27,704 Tiffany & Co. (b).............. 4,122 104,534 Tractor Supply Co. (a)(b)...... 1,200 49,584 Urban Outfitters, Inc. (a)(b).. 4,375 91,306 ----------- 1,142,876 ----------- THRIFTS & MORTGAGE FINANCE -- 0.4% First Niagara Financial Group, Inc. (b)..................... 4,794 54,748 New Alliance Bancshares, Inc. (b).......................... 3,302 37,973 Washington Federal, Inc. ...... 2,911 37,843 ----------- 130,564 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% GATX Corp. (b)................. 1,372 35,288 MSC Industrial Direct Co., Inc. (Class A) (b)................ 1,423 50,488 ----------- 85,776 ----------- WATER UTILITIES -- 0.2% Aqua America, Inc. (b)......... 4,509 80,711 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% Leap Wireless International, Inc. (a)(b).................. 1,995 65,695 SBA Communications Corp. (Class A) (a)(b).................... 3,873 95,044 ----------- 160,739 ----------- TOTAL COMMON STOCKS -- (Cost $33,351,485)........... 31,216,021 ----------- SHORT TERM INVESTMENTS -- 29.6% MONEY MARKET FUNDS -- 29.6% State Street Navigator Securities Lending Prime Portfolio (c)(d)............. 9,024,333 9,024,333 STIC Prime Portfolio........... 221,425 221,425 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $9,245,758)............ 9,245,758 ----------- TOTAL INVESTMENTS -- 129.4% (e) (Cost $42,597,243)........... 40,461,779 OTHER ASSETS AND LIABILITIES -- (29.4)%....... (9,201,493) ----------- NET ASSETS -- 100.0%........... $31,260,286 ===========
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% Moog, Inc. (Class A) (a)(b)... 3,410 $ 88,012 Spirit Aerosystems Holdings, Inc. (a)(b)................. 9,061 124,498 TransDigm Group, Inc. (a)(b).. 3,254 117,795 ------------ 330,305 ------------ AIR FREIGHT & LOGISTICS -- 0.2% UTI Worldwide, Inc. (a)....... 8,863 101,038 ------------ AIRLINES -- 0.5% AMR Corp. (a)(b).............. 25,299 101,702 JetBlue Airways Corp. (a)(b).. 22,255 95,029 ------------ 196,731 ------------ AUTO COMPONENTS -- 1.7% BorgWarner, Inc. (b).......... 10,355 353,623 Gentex Corp. (b).............. 12,214 141,683 The Goodyear Tire & Rubber Co. (a)(b)...................... 21,397 240,930 ------------ 736,236 ------------ BIOTECHNOLOGY -- 2.7% Alkermes, Inc. (a)(b)......... 8,608 93,139 Amylin Pharmaceuticals, Inc. (a)(b)...................... 12,419 167,656 BioMarin Pharmaceutical, Inc. (a)(b)...................... 8,874 138,523 Isis Pharmaceuticals, Inc. (a)(b)...................... 8,164 134,706 Onyx Pharmaceuticals, Inc. (a)(b)...................... 5,041 142,459 OSI Pharmaceuticals, Inc. (a)(b)...................... 5,164 145,780 Regeneron Pharmaceuticals, Inc. (a)(b)................. 5,593 100,226 Theravance, Inc. (a)(b)....... 4,700 68,808 United Therapeutics Corp. (a)(b)...................... 2,092 174,326 ------------ 1,165,623 ------------ CAPITAL MARKETS -- 3.5% Affiliated Managers Group, Inc. (a)(b)................. 3,687 214,547 Eaton Vance Corp. (b)......... 10,423 278,815 Greenhill & Co., Inc. (b)..... 1,089 78,637 Jefferies Group, Inc. (a)(b).. 10,910 232,710 Knight Capital Group, Inc. (Class A) (a)............... 8,150 138,958 Lazard, Ltd. (Class A) (b).... 6,794 182,894 Raymond James Financial, Inc. (b)......................... 8,763 150,811 SEI Investments Co. .......... 13,875 250,305 ------------ 1,527,677 ------------ CHEMICALS -- 2.3% Albemarle Corp. (b)........... 8,134 207,986 Celanese Corp. (Series A)..... 12,772 303,335 Nalco Holding Co. (b)......... 12,270 206,627 Terra Industries, Inc. (b).... 8,880 215,073 Terra Nitrogen Co. LP......... 670 67,523 ------------ 1,000,544 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.1% Clean Harbors, Inc. (a)....... 1,792 96,750 Copart, Inc. (a)(b)........... 6,148 213,151 Corrections Corp. of America (a)(b)...................... 10,249 174,131 Rollins, Inc. (b)............. 4,694 81,253 Tetra Tech, Inc. (a).......... 5,369 153,822 Waste Connections, Inc. (a)(b)...................... 7,090 183,702 ------------ 902,809 ------------ COMMUNICATIONS EQUIPMENT -- 2.3% Brocade Communications Systems, Inc. (a)........... 34,454 269,430 EchoStar Corp. (Class A) (a)(b)...................... 3,587 57,177 F5 Networks, Inc. (a)(b)...... 6,962 240,816 InterDigital, Inc. (a)........ 3,914 95,658 Polycom, Inc. (a)(b).......... 7,438 150,768 Tellabs, Inc. (a)(b).......... 32,383 185,555 ------------ 999,404 ------------ COMPUTERS & PERIPHERALS -- 2.2% NCR Corp. (a)................. 14,039 166,081 QLogic Corp. (a).............. 10,613 134,573 SanDisk Corp. (a)(b).......... 20,297 298,163 Teradata Corp. (a)............ 15,329 359,159 ------------ 957,976 ------------ CONSTRUCTION & ENGINEERING -- 1.8% Aecom Technology Corp. (a)(b)...................... 8,481 271,392 KBR, Inc. .................... 14,467 266,772 The Shaw Group, Inc. (a)...... 7,362 201,792 Tutor Perini Corp. (a)(b)..... 2,368 41,108 ------------ 781,064 ------------ CONTAINERS & PACKAGING -- 1.2% Pactiv Corp. (a)(b)........... 11,803 256,125 Sealed Air Corp. (b).......... 14,039 259,020 ------------ 515,145 ------------ DISTRIBUTORS -- 0.5% LKQ Corp. (a)(b).............. 12,469 205,115 ------------ DIVERSIFIED CONSUMER SERVICES -- 2.0% Brink's Home Security Holdings, Inc. (a).......... 4,045 114,514 Career Education Corp. (a)(b)...................... 7,918 197,079 Corinthian Colleges, Inc. (a)(b)...................... 7,159 121,202 Hillenbrand, Inc. ............ 5,592 93,051 Matthews International Corp. (Class A) (b)............... 2,696 83,899 Strayer Education, Inc. (b)... 1,243 271,111 ------------ 880,856 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.5% MSCI, Inc. (Class A) (a)(b)... 8,904 217,614 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% Clearwire Corp. (Class A) (a)(b)...................... 6,377 35,265 Level 3 Communications, Inc. (a)(b)...................... 143,415 216,557 tw telecom, inc. (a)(b)....... 13,404 137,659 ------------ 389,481 ------------ ELECTRIC UTILITIES -- 0.5% ITC Holdings Corp. (b)........ 4,355 197,543 ------------ ELECTRICAL EQUIPMENT -- 0.4% Energy Conversion Devices, Inc. (a)(b)................. 4,137 58,538 Woodward Governor Co. (b)..... 5,166 102,287 ------------ 160,825 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% Arrow Electronics, Inc. (a)... 10,641 226,015 Itron, Inc. (a)(b)............ 3,258 179,418 Jabil Circuit, Inc. .......... 17,634 130,844 Mettler-Toledo International, Inc. (a)(b)................. 2,970 229,135
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Molex, Inc. (b)............... 11,691 $ 181,795 National Instruments Corp. (b)......................... 5,430 122,501 Trimble Navigation, Ltd. (a)(b)...................... 10,677 209,590 ------------ 1,279,298 ------------ ENERGY EQUIPMENT & SERVICES -- 3.2% Dresser-Rand Group, Inc. (a).. 7,311 190,817 Exterran Holdings, Inc. (a)(b)...................... 5,515 88,461 Helmerich & Payne, Inc. (b)... 8,515 262,858 Oceaneering International, Inc. (a).................... 4,912 222,023 Patterson-UTI Energy, Inc. (b)......................... 13,783 177,249 Rowan Cos., Inc. (b).......... 9,400 181,608 Superior Energy Services, Inc. (a)......................... 6,933 119,733 Unit Corp. (a)(b)............. 4,183 115,325 ------------ 1,358,074 ------------ FOOD & STAPLES RETAILING -- 0.5% Whole Foods Market, Inc. (b).. 12,369 234,764 ------------ FOOD PRODUCTS -- 0.4% Flowers Foods, Inc. (b)....... 7,711 168,408 ------------ GAS UTILITIES -- 0.6% Energen Corp. ................ 6,487 258,831 Spectra Energy Partners LP.... 1,050 22,575 ------------ 281,406 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% Gen-Probe, Inc. (a)(b)........ 4,597 197,579 Haemonetics Corp. (a)(b)...... 2,244 127,908 IDEXX Laboratories, Inc. (a)(b)...................... 5,268 243,382 Immucor, Inc. (a)............. 6,259 86,124 Kinetic Concepts, Inc. (a)(b)...................... 5,565 151,646 Masimo Corp. (a)(b)........... 4,605 111,027 NuVasive, Inc. (a)(b)......... 3,244 144,682 Thoratec Corp. (a)(b)......... 4,986 133,525 West Pharmaceutical Services, Inc. (b).................... 2,910 101,413 ------------ 1,297,286 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.0% Amedisys, Inc. (a)............ 2,456 81,097 AMERIGROUP Corp. (a).......... 4,706 126,356 athenahealth, Inc. (a)(b)..... 2,806 103,850 Community Health Systems, Inc. (a)(b)...................... 8,334 210,434 Coventry Health Care, Inc. (a)......................... 13,217 247,290 Health Net, Inc. (a)(b)....... 9,215 143,293 Lincare Holdings, Inc. (a)(b)...................... 6,140 144,413 Patterson Cos., Inc. (a)(b)... 8,941 194,020 Pediatrix Medical Group, Inc. (a)......................... 4,046 170,458 Psychiatric Solutions, Inc. (a)(b)...................... 4,683 106,491 VCA Antech, Inc. (a)(b)....... 7,494 200,090 ------------ 1,727,792 ------------ HEALTH CARE TECHNOLOGY -- 0.9% Allscripts-Misys Healthcare Solutions, Inc. (b)......... 5,168 81,964 HLTH Corp. (a)(b)............. 8,154 106,817 IMS Health, Inc. ............. 16,148 205,080 ------------ 393,861 ------------ HOTELS, RESTAURANTS & LEISURE -- 4.3% Bally Technologies, Inc. (a)(b)...................... 4,820 144,215 Burger King Holdings, Inc. (b)......................... 8,275 142,909 Chipotle Mexican Grill, Inc. (a)(b)...................... 2,867 229,360 Choice Hotels International, Inc. (b).................... 2,624 69,825 Las Vegas Sands Corp. (a)(b).. 38,472 302,390 MGM MIRAGE, Inc. (a)(b)....... 21,415 136,842 Panera Bread Co. (Class A) (a)(b)...................... 2,757 137,464 Penn National Gaming, Inc. (a)(b)...................... 5,939 172,884 Scientific Games Corp. (Class A) (a)(b)................... 6,204 97,837 Wendy's/Arby's Group, Inc. (Class A) (b)............... 39,102 156,408 Wynn Resorts, Ltd. (a)(b)..... 6,831 241,134 ------------ 1,831,268 ------------ HOUSEHOLD DURABLES -- 0.4% Pulte Homes, Inc. (b)......... 19,139 168,997 ------------ HOUSEHOLD PRODUCTS -- 0.7% Energizer Holdings, Inc. (a)(b)...................... 6,051 316,104 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.2% Dynegy, Inc. (Class A) (a)(b)...................... 45,239 102,693 Mirant Corp. (a)(b)........... 12,798 201,441 Ormat Technologies, Inc. (b).. 1,614 65,060 RRI Energy, Inc. (a)(b)....... 31,147 156,046 ------------ 525,240 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% Seaboard Corp. (b)............ 28 31,416 ------------ INSURANCE -- 0.5% Brown & Brown, Inc. (b)....... 10,045 200,197 ------------ INTERNET & CATALOG RETAIL -- 1.7% Expedia, Inc. (a)(b).......... 18,675 282,179 Liberty Media Corp -- Interactive (Class A) (a)(b)................... 52,881 264,934 Netflix, Inc. (a)(b).......... 4,042 167,096 ------------ 714,209 ------------ INTERNET SOFTWARE & SERVICES -- 1.0% Equinix, Inc. (a)(b).......... 3,363 244,625 IAC/InterActiveCorp. (a)(b)... 9,805 157,370 WebMD Health Corp. (Class A) (a)(b)...................... 778 23,278 ------------ 425,273 ------------ IT SERVICES -- 4.1% Alliance Data Systems Corp. (a)(b)...................... 5,218 214,929 Broadridge Financial Solutions, Inc. ............ 12,506 207,349 DST Systems, Inc. (a)(b)...... 3,558 131,468 Gartner, Inc. (a)(b).......... 5,778 88,172 Genpact, Ltd. (a)(b).......... 5,183 60,900 Global Payments, Inc. ........ 7,145 267,652 ManTech International Corp. (Class A) (a)(b)............ 1,868 80,399 Metavante Technologies, Inc. (a)(b)...................... 7,966 206,001 NeuStar, Inc. (Class A) (a)... 6,454 143,021 Perot Systems Corp. (Class A) (a)(b)...................... 7,639 109,467 Total System Services, Inc. .. 17,543 234,901 ------------ 1,744,259 ------------ LIFE SCIENCES TOOLS & SERVICES -- 2.0% Charles River Laboratories International, Inc. (a)(b).. 5,898 199,058 Covance, Inc. (a)(b).......... 5,710 280,932 PerkinElmer, Inc. ............ 10,341 179,933 Techne Corp. (b).............. 3,303 210,764 ------------ 870,687 ------------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- MACHINERY -- 4.6% AGCO Corp. (a)(b)............. 8,175 $ 237,647 CLARCOR, Inc. (b)............. 4,581 133,719 Donaldson Co., Inc. (b)....... 5,972 206,870 Gardner Denver, Inc. (a)...... 4,650 117,041 Graco, Inc. (b)............... 5,397 118,842 Harsco Corp. (b).............. 7,160 202,628 Joy Global, Inc. (b).......... 9,077 324,230 Lincoln Electric Holdings, Inc. (b).................... 3,567 128,555 Navistar International Corp. (a)(b)...................... 5,600 244,160 Nordson Corp. (b)............. 2,800 108,248 Wabtec Corp. (b).............. 4,286 137,881 ------------ 1,959,821 ------------ MARINE -- 0.4% Kirby Corp. (a)(b)............ 4,833 153,641 ------------ MEDIA -- 1.6% Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)...................... 3,576 18,953 Interactive Data Corp. (b).... 3,219 74,487 John Wiley & Sons, Inc. (Class A) (b)...................... 4,451 147,996 Marvel Entertainment, Inc. (a)(b)...................... 4,653 165,600 Morningstar, Inc. (a)......... 1,599 65,927 The Interpublic Group of Cos., Inc. (a).................... 42,458 214,413 ------------ 687,376 ------------ METALS & MINING -- 3.3% Allegheny Technologies, Inc. (b)......................... 8,178 285,658 Cliffs Natural Resources, Inc. ....................... 11,486 281,062 Compass Minerals International, Inc. (b)..... 2,910 159,788 Reliance Steel & Aluminum Co. (b)......................... 5,706 219,053 Royal Gold, Inc. (b).......... 3,632 151,454 Steel Dynamics, Inc. (b)...... 18,511 272,667 Titanium Metals Corp. (b)..... 7,624 70,065 ------------ 1,439,747 ------------ MULTILINE RETAIL -- 0.7% Nordstrom, Inc. (b)........... 15,011 298,569 ------------ OFFICE ELECTRONICS -- 0.3% Zebra Technologies Corp. (Class A) (a)(b)............ 5,242 124,026 ------------ OIL, GAS & CONSUMABLE FUELS -- 6.1% Alpha Natural Resources, Inc. (a)(b)...................... 6,272 164,765 Arch Coal, Inc. (b)........... 12,770 196,275 Cabot Oil & Gas Corp. ........ 9,137 279,958 Cheniere Energy Partners LP (b)......................... 1,230 9,065 Cimarex Energy Co. (b)........ 7,349 208,271 Comstock Resources, Inc. (a).. 4,066 134,381 Concho Resources, Inc. (a).... 6,409 183,874 El Paso Pipeline Partners LP (b)......................... 3,018 52,906 EXCO Resources, Inc. (a)(b)... 15,262 197,185 Frontier Oil Corp. (b)........ 9,190 120,481 Goodrich Petroleum Corp. (a)(b)...................... 2,354 57,885 Holly Corp. (b)............... 3,800 68,324 Plains Exploration & Production Co. (a)(b)....... 10,686 292,369 Quicksilver Resources, Inc. (a)(b)...................... 10,740 99,775 SandRidge Energy, Inc. (a)(b)...................... 13,022 110,947 St. Mary Land & Exploration Co. ........................ 5,614 117,164 Tesoro Corp. (b).............. 12,300 156,579 Whiting Petroleum Corp. (a)(b)...................... 4,544 159,767 ------------ 2,609,971 ------------ PERSONAL PRODUCTS -- 0.7% Chattem, Inc. (a)(b).......... 1,716 116,860 Herbalife, Ltd. .............. 5,469 172,492 ------------ 289,352 ------------ PHARMACEUTICALS -- 1.5% Auxilium Pharmaceuticals, Inc. (a)(b)...................... 3,782 118,679 Perrigo Co. .................. 7,492 208,128 Sepracor, Inc. (a)............ 9,694 167,900 Valeant Pharmaceuticals International (a)(b)........ 6,274 161,367 ------------ 656,074 ------------ PROFESSIONAL SERVICES -- 2.8% FTI Consulting, Inc. (a)(b)... 4,549 230,725 IHS, Inc. (Class A) (a)(b).... 4,157 207,310 Manpower, Inc. (b)............ 6,981 295,576 Robert Half International, Inc. (b).................... 13,558 320,240 Watson Wyatt Worldwide, Inc. (Class A) (b)............... 3,806 142,839 ------------ 1,196,690 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.9% Corporate Office Properties Trust(b).................... 5,094 149,407 Digital Realty Trust, Inc. (b)......................... 6,230 223,346 ------------ 372,753 ------------ ROAD & RAIL -- 1.1% Heartland Express, Inc. (b)... 4,962 73,041 Hertz Global Holdings, Inc. (a)(b)...................... 16,105 128,679 Knight Transportation, Inc. (b)......................... 5,237 86,672 Landstar Systems, Inc. (b).... 4,651 167,017 ------------ 455,409 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.4% Advanced Micro Devices, Inc. (a)(b)...................... 54,567 211,174 Atmel Corp. (a)(b)............ 35,796 133,519 Cree, Inc. (a)(b)............. 7,154 210,256 Intersil Corp. (Class A) (b).. 10,857 136,473 Lam Research Corp. (a)(b)..... 11,082 288,132 LSI Logic Corp. (a)(b)........ 57,490 262,154 Micron Technology, Inc. (a)(b)...................... 74,583 377,390 National Semiconductor Corp. (b)......................... 20,459 256,761 Novellus Systems, Inc. (a).... 8,659 144,605 ON Semiconductor Corp. (a)(b)...................... 37,482 257,127 PMC-Sierra, Inc. (a)(b)....... 19,277 153,445 Silicon Laboratories, Inc. (a)(b)...................... 4,028 152,822 Varian Semiconductor Equipment Associates, Inc. (a)(b)..... 6,472 155,263 ------------ 2,739,121 ------------ SOFTWARE -- 5.2% Ansys, Inc. (a)(b)............ 7,821 243,702 Cadence Design Systems, Inc. (a)(b)...................... 23,419 138,172 Concur Technologies, Inc. (a)(b)...................... 3,748 116,488 Factset Research Systems, Inc. (b)......................... 3,817 190,354 Informatica Corp. (a)(b)...... 7,748 133,188 Jack Henry & Associates, Inc. (b)......................... 7,502 155,667 Macrovision Solutions Corp. (a)(b)...................... 7,408 161,568 MICROS Systems, Inc. (a)(b)... 7,193 182,127 Nuance Communications, Inc. (a)(b)...................... 19,478 235,489
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Parametric Technology Corp. (a)......................... 10,361 $ 121,120 Quality Systems, Inc. (b)..... 1,572 89,541 Quest Software, Inc. (a)(b)... 5,928 82,636 Solera Holdings, Inc. (a)..... 6,162 156,515 Sybase, Inc. (a)(b)........... 7,376 231,164 ------------ 2,237,731 ------------ SPECIALTY RETAIL -- 5.1% Aaron's, Inc. (b)............. 4,359 129,985 Abercrombie & Fitch Co. (Class A) (b)...................... 7,824 198,651 Aeropostale, Inc. (a)(b)...... 5,921 202,913 American Eagle Outfitters, Inc. (b).................... 15,651 221,775 CarMax, Inc. (a)(b)........... 17,593 258,617 Dick's Sporting Goods, Inc. (a)(b)...................... 7,614 130,961 Guess ?, Inc. (b)............. 5,255 135,474 PetSmart, Inc. (b)............ 11,335 243,249 Tiffany & Co. (b)............. 11,087 281,166 Tractor Supply Co. (a)(b)..... 3,200 132,224 Urban Outfitters, Inc. (a)(b)...................... 11,739 244,993 ------------ 2,180,008 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% New Alliance Bancshares, Inc. (b)......................... 8,855 101,833 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.3% MSC Industrial Direct Co., Inc. (Class A) (b).......... 3,814 135,321 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% Leap Wireless International, Inc. (a)(b)................. 5,434 178,941 SBA Communications Corp. (Class A) (a)(b)............ 10,383 254,799 ------------ 433,740 ------------ TOTAL COMMON STOCKS -- (Cost $45,646,136).......... 42,905,708 ------------ SHORT TERM INVESTMENTS -- 29.1% MONEY MARKET FUNDS -- 29.1% State Street Navigator Securities Lending Prime Portfolio (c)(d)............ 12,397,043 12,397,043 STIC Prime Portfolio.......... 88,922 88,922 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $12,485,965).......... 12,485,965 ------------ TOTAL INVESTMENTS -- 129.0% (e) (Cost $58,132,101)...... 55,391,673 OTHER ASSETS AND LIABILITIES -- (29.0)%...... (12,452,414) ------------ NET ASSETS -- 100.0%.......... $ 42,939,259 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan as of June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% AEROSPACE & DEFENSE -- 1.1% Alliant Techsystems, Inc. (a)(b)....................... 637 $ 52,463 Curtiss-Wright Corp. .......... 869 25,835 Esterline Technologies Corp. (a)(b)....................... 581 15,728 ----------- 94,026 ----------- AIRLINES -- 0.4% Alaska Air Group, Inc. (a)(b).. 716 13,074 Continental Airlines, Inc. (Class B) (a)(b)............. 2,373 21,025 ----------- 34,099 ----------- BEVERAGES -- 0.4% PepsiAmericas, Inc. (b)........ 1,226 32,869 ----------- BUILDING PRODUCTS -- 1.4% Lennox International, Inc. .... 1,004 32,238 Masco Corp. (b)................ 6,992 66,983 Owens Corning, Inc. (a)(b)..... 1,679 21,458 ----------- 120,679 ----------- CAPITAL MARKETS -- 2.4% AllianceBernstein Holding LP (b).......................... 690 13,862 Federated Investors, Inc. (Class B) (b)................ 2,005 48,300 Legg Mason, Inc. (b)........... 2,754 67,142 Och-Ziff Capital Management Group LLC (Class A) (b)...... 715 6,371 The Blackstone Group LP (b).... 3,118 32,864 Waddell & Reed Financial, Inc. (Class A) (b)................ 1,659 43,748 ----------- 212,287 ----------- CHEMICALS -- 3.7% Eastman Chemical Co. (b)....... 1,331 50,445 International Flavors & Fragrances, Inc. (b)......... 1,531 50,094 Intrepid Potash, Inc. (a)(b)... 818 22,969 Lubrizol Corp. ................ 1,309 61,929 Olin Corp. (b)................. 1,324 15,742 RPM International, Inc. ....... 2,474 34,735 Sensient Technologies Corp. (b).......................... 943 21,284 The Scotts Miracle-Gro Co. (Class A) (b)................ 850 29,793 Valhi, Inc. (b)................ 237 1,761 Valspar Corp. (b).............. 1,787 40,261 ----------- 329,013 ----------- COMMERCIAL BANKS -- 9.4% Associated Banc-Corp. (b)...... 2,290 28,625 BancorpSouth, Inc. (b)......... 1,499 30,774 Bank of Hawaii Corp. (b)....... 917 32,856 BOK Financial Corp. (b)........ 432 16,273 City National Corp. (b)........ 808 29,759 Comerica, Inc. (b)............. 2,938 62,139 Commerce Bancshares, Inc. (b).. 1,202 38,260 Cullen/Frost Bankers, Inc. (b).......................... 1,093 50,409 First Citizens Bancshares, Inc. (Class A).................... 116 15,503 First Horizon National Corp. (a)(b)....................... 4,174 50,083 FirstMerit Corp. (b)........... 1,574 26,727 Fulton Financial Corp. (b)..... 3,450 17,975 PNC Financial Services Group, Inc. ........................ 1 39 Prosperity Bancshares, Inc. (b).......................... 885 26,400 Regions Financial Corp. (b).... 21,272 85,939 SunTrust Banks, Inc. (b)....... 8,951 147,244 Synovus Financial Corp. (b).... 5,257 15,718 TCF Financial Corp. ........... 2,320 31,018 Trustmark Corp. (b)............ 969 18,721 UMB Financial Corp. (b)........ 640 24,326 Valley National Bancorp (b).... 2,723 31,859 Westamerica Bancorporation (b).......................... 558 27,682 Zions Bancorp (b).............. 2,216 25,617 ----------- 833,946 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% Avery Dennison Corp. (b)....... 2,195 56,368 R.R. Donnelley & Sons Co. (b).. 3,994 46,410 The Brink's Co. (b)............ 879 25,517 ----------- 128,295 ----------- COMPUTERS & PERIPHERALS -- 1.8% Diebold, Inc. ................. 1,262 33,266 Lexmark International, Inc. (Class A) (a)(b)............. 1,506 23,870 Seagate Technology (b)......... 9,414 98,471 ----------- 155,607 ----------- CONSTRUCTION & ENGINEERING -- 1.4% EMCOR Group, Inc. (a)(b)....... 1,256 25,271 Granite Construction, Inc. (b).......................... 658 21,898 URS Corp. (a).................. 1,623 80,371 ----------- 127,540 ----------- CONTAINERS & PACKAGING -- 3.9% Aptargroup, Inc. .............. 1,231 41,571 Bemis Co., Inc. (b)............ 1,959 49,367 Greif, Inc. (Class A) (b)...... 656 29,008 Owens-Illinois, Inc. (a)....... 3,238 90,696 Packaging Corp. of America (b).......................... 1,968 31,882 Rock-Tenn Co. (Class A)........ 730 27,857 Silgan Holdings, Inc. (b)...... 501 24,564 Sonoco Products Co. ........... 1,912 45,792 ----------- 340,737 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.5% Service Corp. International (b).......................... 4,822 26,424 Weight Watchers International, Inc. (b)..................... 679 17,498 ----------- 43,922 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% CenturyTel, Inc. (b)........... 1,949 59,834 Frontier Communications Corp. ....................... 5,986 42,740 ----------- 102,574 ----------- ELECTRIC UTILITIES -- 3.3% Cleco Corp. (b)................ 1,161 26,030 DPL, Inc. (b).................. 2,259 52,341 Great Plains Energy, Inc. (b).. 2,568 39,932 Hawaiian Electric Industries, Inc. (b)..................... 1,759 33,526 IDACORP, Inc. (b).............. 926 24,206 NV Energy, Inc. ............... 4,554 49,138 Portland General Electric Co. (b).......................... 1,463 28,499 Westar Energy, Inc. (b)........ 2,082 39,079 ----------- 292,751 ----------- ELECTRICAL EQUIPMENT -- 1.2% Acuity Brands, Inc. (b)........ 781 21,907 Brady Corp. (Class A) (b)...... 885 22,231 Hubbell, Inc. (Class B)(b)..... 1,007 32,284 Thomas & Betts Corp. (a)(b).... 1,025 29,582 ----------- 106,004 -----------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% Anixter International, Inc. (a)(b)....................... 588 $ 22,103 AVX Corp. ..................... 1,023 10,158 Ingram Micro, Inc. (Class A) (a)(b)....................... 3,153 55,178 ----------- 87,439 ----------- ENERGY EQUIPMENT & SERVICES -- 0.8% SEACOR Holdings, Inc. (a)(b)... 364 27,388 Tidewater, Inc. (b)............ 1,005 43,084 ----------- 70,472 ----------- FOOD & STAPLES RETAILING -- 0.6% BJ's Wholesale Club, Inc. (a)(b)....................... 1,051 33,874 Ruddick Corp. ................. 810 18,978 ----------- 52,852 ----------- FOOD PRODUCTS -- 1.7% Corn Products International, Inc. (b)..................... 1,423 38,122 Del Monte Foods Co. ........... 3,831 35,935 Fresh Del Monte Produce, Inc. (a)(b)....................... 804 13,073 Lancaster Colony Corp. (b)..... 391 17,231 Smithfield Foods, Inc. (a)(b).. 2,583 36,085 Tootsie Roll Industries, Inc. (b).......................... 459 10,415 ----------- 150,861 ----------- GAS UTILITIES -- 4.8% AGL Resources, Inc. (b)........ 1,490 47,382 Amerigas Partners LP (b)....... 620 20,913 Atmos Energy Corp. ............ 1,762 44,120 National Fuel Gas Co. (b)...... 1,314 47,409 New Jersey Resources Corp. (b).......................... 810 30,002 Nicor, Inc. (b)................ 863 29,877 Northwest Natural Gas Co. (b).. 511 22,647 Piedmont Natural Gas Co., Inc. (b).......................... 1,325 31,946 South Jersey Industries, Inc. ........................ 584 20,376 Southwest Gas Corp. ........... 874 19,412 Suburban Propane Partners LP (b).......................... 627 26,441 UGI Corp. ..................... 2,097 53,453 WGL Holdings, Inc. ............ 963 30,835 ----------- 424,813 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% Inverness Medical Innovations, Inc. (a)(b).................. 1,534 54,580 STERIS Corp. (b)............... 1,037 27,045 Teleflex, Inc. ................ 763 34,205 ----------- 115,830 ----------- HEALTH CARE PROVIDERS & SERVICES -- 1.5% LifePoint Hospitals, Inc. (a)(b)....................... 1,023 26,854 Magellan Health Services, Inc. (a).......................... 678 22,252 Owens & Minor, Inc. (b)........ 787 34,486 Universal Health Services, Inc. (Class B) (b)................ 929 45,382 ----------- 128,974 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.0% Brinker International, Inc. (b).......................... 1,945 33,123 International Speedway Corp. (Class A).................... 538 13,778 Jack in the Box, Inc. (a)...... 1,090 24,470 Royal Caribbean Cruises, Ltd. (b).......................... 2,583 34,974 Starwood Hotels & Resorts Worldwide, Inc. (b).......... 3,348 74,326 ----------- 180,671 ----------- HOUSEHOLD DURABLES -- 5.1% Leggett & Platt, Inc. (b)...... 3,046 46,391 Lennar Corp. (Class A) (b)..... 2,673 25,901 M.D.C. Holdings, Inc. ......... 692 20,836 Mohawk Industries, Inc. (a)(b)....................... 1,062 37,892 Newell Rubbermaid, Inc. ....... 5,432 56,547 NVR, Inc. (a)(b)............... 103 51,746 Snap-on, Inc. ................. 1,104 31,729 The Black & Decker Corp. (b)... 1,153 33,045 The Stanley Works (b).......... 1,525 51,606 Tupperware Brands Corp. (b).... 1,226 31,901 Whirlpool Corp. (b)............ 1,430 60,861 ----------- 448,455 ----------- INDUSTRIAL CONGLOMERATES -- 0.9% Carlisle Cos., Inc. ........... 1,173 28,199 Icahn Enterprises LP........... 201 7,883 Textron, Inc. (b).............. 4,726 45,653 ----------- 81,735 ----------- INSURANCE -- 10.7% Alleghany Corp. (a)............ 117 31,707 Allied World Assurance Company Holdings, Ltd. .............. 681 27,805 American Financial Group, Inc. (b).......................... 1,486 32,068 American International Group, Inc. (b)..................... 45,944 53,295 American National Insurance Co. (b).......................... 314 23,732 Arthur J. Gallagher & Co. (b).. 1,919 40,951 Aspen Insurance Holdings, Ltd. (b).......................... 1,447 32,326 Assurant, Inc. (b)............. 2,296 55,311 CNA Financial Corp. (b)........ 585 9,050 Endurance Specialty Holdings, Ltd. (b)..................... 981 28,743 Erie Indemnity Co. (Class A) (b).......................... 609 21,778 First American Corp. (b)....... 1,574 40,782 IPC Holdings, Ltd. ............ 898 24,551 Max Capital Group, Ltd. (b).... 905 16,706 Mercury General Corp. (b)...... 505 16,882 Montpelier Re Holdings, Ltd. (b).......................... 1,541 20,480 Old Republic International Corp. (b).................... 4,335 42,700 OneBeacon Insurance Group, Ltd. (Class A) (b)................ 459 5,366 Platinum Underwriters Holdings, Ltd. ........................ 983 28,104 ProAssurance Corp. (a)......... 636 29,390 Reinsurance Group of America, Inc. (b)..................... 1,192 41,613 RLI Corp. (b).................. 381 17,069 StanCorp Financial Group, Inc. (b).......................... 942 27,017 The Hanover Insurance Group, Inc. ........................ 991 37,767 Torchmark Corp. (b)............ 1,610 59,634 Transatlantic Holdings, Inc. (b).......................... 1,114 48,270 Validus Holdings, Ltd. (b)..... 640 14,067 Wesco Financial Corp. ......... 28 8,148 White Mountains Insurance Group, Ltd. (b).............. 150 34,337 XL Capital, Ltd. (Class A) (b).......................... 6,651 76,220 ----------- 945,869 ----------- IT SERVICES -- 0.9% CACI International, Inc. (Class A) (a)(b).................... 576 24,601 Lender Processing Services, Inc. ........................ 1,847 51,291 ----------- 75,892 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.2% Eastman Kodak Co. (b).......... 4,881 14,448 -----------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- LIFE SCIENCES TOOLS & SERVICES -- 0.3% Bio-Rad Laboratories, Inc. (Class A) (a)................ 374 $ 28,230 ----------- MACHINERY -- 2.4% Crane Co. ..................... 975 21,752 IDEX Corp. (b)................. 1,551 38,108 Kennametal, Inc. (b)........... 1,412 27,082 Pentair, Inc. ................. 1,915 49,062 SPX Corp. ..................... 956 46,816 The Timken Co. ................ 1,484 25,347 ----------- 208,167 ----------- MEDIA -- 1.2% DreamWorks Animation SKG, Inc. (Class A) (a)(b)............. 1,343 37,054 Regal Entertainment Group(b)... 1,497 19,895 Virgin Media, Inc. (b)......... 5,695 53,248 ----------- 110,197 ----------- METALS & MINING -- 0.4% Commercial Metals Co. (b)...... 2,159 34,609 ----------- MULTI-UTILITIES -- 2.8% CMS Energy Corp. (b)........... 4,389 53,019 NiSource, Inc. (b)............. 5,330 62,148 OGE Energy Corp. (b)........... 1,855 52,534 TECO Energy, Inc. (b).......... 3,878 46,265 Vectren Corp. ................. 1,557 36,480 ----------- 250,446 ----------- MULTILINE RETAIL -- 0.4% Big Lots, Inc. (a)(b).......... 1,587 33,375 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.9% Alliance Resource Partners LP.. 404 13,130 BP Prudhoe Bay Royalty Trust (b).......................... 411 28,359 Buckeye Partners LP (b)........ 988 42,316 Encore Acquisition Co. (a)(b).. 1,022 31,529 Forest Oil Corp. (a)(b)........ 1,930 28,796 Inergy LP (b).................. 955 24,343 Linn Energy LLC................ 2,200 43,054 Magellan Midstream Partners LP (b).......................... 1,276 44,354 Massey Energy Co. (b).......... 1,643 32,104 Natural Resource Partners LP (b).......................... 635 13,367 Newfield Exploration Co. (a)... 2,558 83,570 NuStar Energy LP (b)........... 819 44,250 Pioneer Natural Resources Co. ......................... 2,219 56,584 Southern Union Co. ............ 2,006 36,890 Sunoco Logistics Partners LP... 387 20,983 Teekay Corp. (b)............... 811 17,055 TEPPCO Partners LP (b)......... 1,659 49,538 ----------- 610,222 ----------- PAPER & FOREST PRODUCTS -- 0.6% MeadWestvaco Corp. (b)......... 3,145 51,609 ----------- PERSONAL PRODUCTS -- 0.5% Alberto-Culver Co. (b)......... 1,685 42,850 ----------- PHARMACEUTICALS -- 0.5% King Pharmaceuticals, Inc. (a).......................... 4,796 46,185 ----------- REAL ESTATE INVESTMENT TRUSTS -- 12.0% Alexandria Real Estate Equities, Inc. (b)........... 757 27,093 AMB Property Corp. (b)......... 2,848 53,571 Camden Property Trust(b)....... 1,256 34,666 Douglas Emmett, Inc. (b)....... 2,333 20,974 Duke Realty Corp. (b).......... 4,303 37,737 Essex Property Trust, Inc. (b).......................... 534 33,231 Federal Realty Investment Trust (b).......................... 1,143 58,887 Highwoods Properties, Inc. .... 1,344 30,065 Hospitality Properties Trust (b).......................... 2,202 26,182 Host Hotels & Resorts, Inc. (b).......................... 11,589 97,232 Kimco Realty Corp. (b)......... 7,316 73,526 Liberty Property Trust......... 2,058 47,416 Mack-Cali Realty Corp. ........ 1,489 33,949 MFA Financial, Inc. ........... 4,280 29,618 National Retail Properties, Inc. (b)..................... 1,560 27,066 Nationwide Health Properties, Inc. (b)..................... 1,994 51,326 OMEGA Healthcare Investors, Inc. (b)..................... 1,574 24,428 ProLogis (b)................... 8,606 69,364 Rayonier, Inc. (b)............. 1,526 55,470 Realty Income Corp. (b)........ 2,033 44,563 Regency Centers Corp. (b)...... 1,558 54,390 Senior Housing Properties Trust (b).......................... 2,308 37,667 UDR, Inc. (b).................. 2,866 29,606 Washington Real Estate Investment Trust (b)......... 1,119 25,032 Weingarten Realty Investors (b).......................... 2,299 33,358 ----------- 1,056,417 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% Brookfield Properties Corp. (b).......................... 3,908 31,147 The St. Joe Co. (a)(b)......... 1,764 46,728 ----------- 77,875 ----------- ROAD & RAIL -- 0.9% Kansas City Southern (a)(b).... 1,753 28,241 Ryder Systems, Inc. (b)........ 1,069 29,846 Werner Enterprises, Inc. (b)... 982 17,794 ----------- 75,881 ----------- SOFTWARE -- 1.3% Compuware Corp. (a)............ 4,738 32,503 Novell, Inc. (a)(b)............ 6,635 30,057 Synopsys, Inc. (a)............. 2,779 54,218 ----------- 116,778 ----------- SPECIALTY RETAIL -- 2.2% AutoNation, Inc. (a)(b)........ 1,448 25,123 Foot Locker, Inc. (b).......... 2,978 31,180 Limited Brands, Inc. (b)....... 5,349 64,027 RadioShack Corp. (b)........... 2,404 33,560 Rent-A-Center, Inc. (a)........ 1,268 22,608 The Buckle, Inc. (b)........... 508 16,139 ----------- 192,637 ----------- THRIFTS & MORTGAGE FINANCE -- 0.6% First Niagara Financial Group, Inc. ........................ 2,798 31,953 Washington Federal, Inc. (b)... 1,691 21,983 ----------- 53,936 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% GATX Corp. (b)................. 798 20,525 ----------- WATER UTILITIES -- 0.5% Aqua America, Inc. (b)......... 2,615 46,808 ----------- TOTAL COMMON STOCKS -- (Cost $10,499,080)........... 8,789,407 -----------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 30.0% MONEY MARKET FUNDS -- 30.0% State Street Navigator Securities Lending Prime Portfolio (c)(d)............. 2,551,586 $ 2,551,586 STIC Prime Portfolio........... 92,156 92,156 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $2,643,742)............ 2,643,742 ----------- TOTAL INVESTMENTS -- 129.6% (e) (Cost $13,142,822)........... 11,433,149 OTHER ASSETS AND LIABILITIES -- (29.6)%....... (2,609,660) ----------- NET ASSETS -- 100.0%........... $ 8,823,489 ===========
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Investments of cash collateral for securities loaned. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.5% AAR Corp. (a)(b)............... 889 $ 14,268 Aerovironment, Inc. (a)........ 280 8,641 American Science & Engineering, Inc. (b)..................... 209 14,446 Applied Signal Technology, Inc. ........................ 308 7,857 Argon ST, Inc. (a)(b).......... 280 5,760 Axsys Technologies, Inc. (a)(b)....................... 185 9,923 BE Aerospace, Inc. (a)(b)...... 2,162 31,046 Ceradyne, Inc. (a)(b).......... 604 10,667 Cubic Corp. ................... 341 12,204 Curtiss-Wright Corp. (b)....... 1,004 29,849 DigitalGlobe, Inc. (a)......... 319 6,125 Ducommun, Inc. ................ 249 4,679 DynCorp International, Inc. (a).......................... 535 8,983 Esterline Technologies Corp. (a).......................... 612 16,567 GenCorp, Inc. (a)(b)........... 1,069 2,042 Heico Corp. (Class A) (b)...... 458 13,401 Hexcel Corp. (a)(b)............ 1,941 18,498 Ladish Co., Inc. (a)(b)........ 290 3,761 Moog, Inc. (Class A) (a)....... 869 22,429 Orbital Sciences Corp. (a)(b).. 1,237 18,765 Stanley, Inc. (a)(b)........... 355 11,672 Taser International, Inc. (a).. 1,303 5,942 Teledyne Technologies, Inc. (a).......................... 730 23,908 TransDigm Group, Inc. (a)...... 827 29,937 Triumph Group, Inc. (b)........ 379 15,160 ----------- 346,530 ----------- AIR FREIGHT & LOGISTICS -- 0.3% Atlas Air Worldwide Holdings, Inc. (a)..................... 266 6,169 Forward Air Corp. (b).......... 661 14,092 HUB Group, Inc. (Class A) (a).. 864 17,833 Pacer International, Inc. ..... 697 1,554 UTI Worldwide, Inc. (a)........ 2,040 23,256 ----------- 62,904 ----------- AIRLINES -- 0.6% AirTran Holdings, Inc. (a)(b).. 2,646 16,379 Alaska Air Group, Inc. (a)(b).. 821 14,991 Allegiant Travel Co. (a)(b).... 310 12,288 Continental Airlines, Inc. (Class B) (a)(b)............. 2,774 24,578 Hawaiian Holdings, Inc. (a).... 881 5,304 JetBlue Airways Corp. (a)...... 5,429 23,182 Republic Airways Holdings, Inc. (a)(b)....................... 722 4,715 SkyWest, Inc. (b).............. 1,292 13,178 UAL Corp. (a)(b)............... 2,954 9,423 US Airways Group, Inc. (a)(b).. 2,185 5,310 ----------- 129,348 ----------- AUTO COMPONENTS -- 0.5% Cooper Tire & Rubber Co. (b)... 1,188 11,785 Drew Industries, Inc. (a)(b)... 409 4,977 Exide Technologies(a).......... 950 3,543 Federal-Mogul Corp. (Class A) (a)(b)....................... 508 4,801 Fuel Systems Solutions, Inc. (a)(b)....................... 236 4,765 Gentex Corp. (b)............... 2,986 34,638 Raser Technologies, Inc. (a)(b)....................... 875 2,450 Superior Industries International, Inc. (b)...... 440 6,204 Tenneco Automotive, Inc. (a)(b)....................... 940 9,964 TRW Automotive Holdings Corp. (a)(b)....................... 1,094 12,362 WABCO Holdings, Inc. .......... 1,388 24,568 ----------- 120,057 ----------- AUTOMOBILES -- 0.1% Thor Industries, Inc. (b)...... 868 15,945 Winnebago Industries, Inc. (b).......................... 579 4,302 ----------- 20,247 ----------- BEVERAGES -- 0.1% Boston Beer Co., Inc. (Class A) (a)(b)....................... 200 5,918 Central European Distribution Corp. (a)(b)................. 854 22,691 Coca-Cola Hellenic Bottling Co. SA(b)........................ 80 4,410 National Beverage Corp. (a).... 209 2,226 ----------- 35,245 ----------- BIOTECHNOLOGY -- 2.9% Acorda Therapeutics, Inc. (a)(b)....................... 848 23,905 Affymax, Inc. (a)(b)........... 155 2,857 Alkermes, Inc. (a)(b).......... 2,133 23,079 Allos Therapeutics, Inc. (a)(b)....................... 1,370 11,357 Alnylam Pharmaceuticals, Inc. (a)(b)....................... 813 18,106 Amicus Therapeutics, Inc. (a)(b)....................... 214 2,450 Arena Pharmaceuticals, Inc. (a)(b)....................... 1,534 7,655 Ariad Pharmaceuticals, Inc. (a)(b)....................... 1,406 2,236 ArQule, Inc. (a)(b)............ 774 4,752 Array BioPharma, Inc. (a)...... 1,186 3,724 Celera Corp. (a)(b)............ 1,837 14,016 Cepheid, Inc. (a)(b)........... 1,152 10,852 Cougar Biotechnology, Inc. (a)(b)....................... 385 16,540 Cubist Pharmaceuticals, Inc. (a)(b)....................... 1,292 23,682 Dendreon Corp. (a)(b).......... 2,476 61,529 Emergent Biosolutions, Inc. (a)(b)....................... 342 4,901 Enzon Pharmaceuticals, Inc. (a)(b)....................... 817 6,430 Facet Biotech Corp. (a)........ 490 4,552 Genomic Health, Inc. (a)....... 321 5,563 Geron Corp. (a)(b)............. 1,745 13,384 GTX, Inc. (a)(b)............... 347 3,203 Halozyme Therapeutics, Inc. (a)(b)....................... 1,381 9,626 Human Genome Sciences, Inc. (a)(b)....................... 2,735 7,822 Idenix Pharmaceuticals, Inc. (a)(b)....................... 421 1,549 Immunogen, Inc. (a)(b)......... 1,185 10,203 Incyte Corp. (a)(b)............ 1,928 6,343 InterMune, Inc. (a)(b)......... 780 11,856 Isis Pharmaceuticals, Inc. (a)(b)....................... 2,027 33,445 Lexicon Genetics, Inc. (a)(b).. 1,817 2,253 Ligand Pharmaceuticals, Inc. (Class B) (a)(b)............. 2,054 5,874 MannKind Corp. (a)(b).......... 1,059 8,800 Martek Biosciences Corp. (b)... 713 15,080 Maxygen, Inc. (a)(b)........... 582 3,911 Medarex, Inc. (a).............. 2,697 22,520 Medivation, Inc. (a)(b)........ 661 14,813 Metabolix, Inc. (a)(b)......... 469 3,855 Micromet, Inc. (a)(b).......... 1,198 5,966 Momenta Pharmaceuticals, Inc. (a)(b)....................... 752 9,047 Nabi Biopharmaceuticals(a)(b).. 1,247 3,018 Neurocrine Biosciences, Inc. (a)(b)....................... 740 2,390 NPS Pharmaceuticals, Inc. (a)(b)....................... 1,135 5,289 Onyx Pharmaceuticals, Inc. (a)(b)....................... 1,242 35,099 Opko Health, Inc. (a).......... 2,167 3,836 Orexigen Therapeutics, Inc. (a)(b)....................... 640 3,283 Osiris Therapeutics, Inc. (a)(b)....................... 368 4,942 PDL BioPharma, Inc. (b)........ 2,699 21,322 Pharmasset, Inc. (a)(b)........ 524 5,895 Progenics Pharmaceuticals, Inc. (a)(b)....................... 516 2,657
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Regeneron Pharmaceuticals, Inc. (a)(b)....................... 1,399 $ 25,070 Rigel Pharmaceuticals, Inc. (a)(b)....................... 739 8,957 Sangamo Biosciences, Inc. (a)(b)....................... 756 3,735 Savient Pharmaceuticals, Inc. (a)(b)....................... 1,319 18,281 Seattle Genetics, Inc. (a)(b).. 1,384 13,452 SIGA Technologies, Inc. (a)(b)....................... 692 5,840 StemCells, Inc. (a)(b)......... 2,105 3,579 Synta Pharmaceuticals Corp. (a)(b)....................... 77 178 Theravance, Inc. (a)(b)........ 1,179 17,261 United Therapeutics Corp. (a)(b)....................... 506 42,165 Zymogenetics, Inc. (a)(b)...... 748 3,441 ----------- 667,426 ----------- BUILDING PRODUCTS -- 0.8% AAON, Inc. (b)................. 336 6,693 American Woodmark Corp. (b).... 189 4,527 Ameron International Corp. .... 173 11,598 Apogee Enterprises, Inc. (b)... 570 7,011 Armstrong World Industries, Inc. (a)..................... 370 6,101 Builders FirstSource, Inc. (a)(b)....................... 333 1,385 Gibraltar Industries, Inc. .... 551 3,785 Griffon Corp. (a)(b)........... 1,147 9,543 Lennox International, Inc. (b).......................... 1,134 36,413 NCI Building Systems, Inc. (a)(b)....................... 395 1,043 Owens Corning, Inc. (a)(b)..... 1,876 23,975 Quanex Building Products Corp. ....................... 756 8,482 Simpson Manufacturing Co., Inc. (b).......................... 854 18,464 Trex Co., Inc. (a)............. 359 4,800 Universal Forest Products, Inc. (b).......................... 413 13,666 USG Corp. (a)(b)............... 1,430 14,400 ----------- 171,886 ----------- CAPITAL MARKETS -- 2.0% BGC Partners, Inc. (Class A) (b).......................... 632 2,395 Broadpoint Gleacher Securities, Inc. (a)..................... 911 5,084 Calamos Asset Management, Inc. (Class A) (b)................ 400 5,644 Cohen & Steers, Inc. .......... 346 5,173 Duff & Phelps Corp. (Class A) (b).......................... 395 7,023 E*TRADE Financial Corp. (a)(b)....................... 21,712 27,791 FBR Capital Markets Corp. (a)(b)....................... 605 2,844 FCStone Group, Inc. (a)(b)..... 536 2,117 Fortress Investment Group LLC (Class A) (a)(b)............. 1,747 5,975 GAMCO Investors, Inc. (Class A) (b).......................... 84 4,074 GFI Group, Inc. (b)............ 1,313 8,850 GLG Partners, Inc. (b)......... 3,701 15,137 Greenhill & Co., Inc. (b)...... 258 18,630 Investment Technology Group, Inc. (a)..................... 977 19,921 Janus Capital Group, Inc. (b).. 3,475 39,615 KBW, Inc. (a).................. 655 18,838 Knight Capital Group, Inc. (Class A) (a)(b)............. 2,031 34,629 LaBranche & Cos., Inc. (a)(b).. 1,154 4,962 MF Global, Ltd. (a)(b)......... 1,983 11,759 optionsXpress Holdings, Inc. .. 977 15,173 Penson Worldwide, Inc. (a)(b).. 421 3,768 Piper Jaffray Co., Inc. (a)(b)....................... 440 19,215 Pzena Investment Management, Inc. (Class A)............... 111 841 Riskmetrics Group, Inc. (a)(b)....................... 711 12,556 Stifel Financial Corp. (a)(b).. 580 27,892 SWS Group, Inc. ............... 641 8,955 TD Ameritrade Holding Corp. (a)(b)....................... 34 596 Teton Advisors, Inc. (a)(c).... 1 2 The Blackstone Group LP(b)..... 3,543 37,343 Thomas Weisel Partners Group, Inc. (a)(b).................. 450 2,709 TradeStation Group, Inc. (a)(b)....................... 711 6,015 W.P. Carey & Co. LLC(b)........ 621 15,513 Waddell & Reed Financial, Inc. (Class A).................... 1,898 50,050 Westwood Holdings Group, Inc. (b).......................... 143 5,979 ----------- 447,068 ----------- CHEMICALS -- 2.2% A. Schulman, Inc. ............. 474 7,162 American Vanguard Corp. (b).... 409 4,622 Arch Chemicals, Inc. (b)....... 526 12,934 Ashland, Inc. (b).............. 1,425 39,971 Balchem Corp. ................. 368 9,023 Cabot Corp. (b)................ 1,153 14,505 Calgon Carbon Corp. (a)(b)..... 1,219 16,932 Cytec Industries, Inc. (b)..... 1,078 20,072 Ferro Corp. (b)................ 889 2,445 H.B. Fuller Co. (b)............ 1,100 20,647 Huntsman Corp. (b)............. 3,601 18,113 Innophos Holdings, Inc. ....... 212 3,581 Koppers Holdings, Inc. (b)..... 416 10,970 Kronos Worldwide, Inc. (b)..... 63 419 LSB Industries, Inc. (a)....... 307 4,964 Minerals Technologies, Inc. ... 427 15,381 Nalco Holding Co. ............. 2,985 50,267 NewMarket Corp. (b)............ 239 16,092 NL Industries, Inc. (b)........ 147 1,085 Olin Corp. .................... 1,551 18,441 OM Group, Inc. (a)(b).......... 694 20,140 PolyOne Corp. (a).............. 1,711 4,637 Rockwood Holdings, Inc. (a)(b)....................... 1,101 16,119 RPM International, Inc. ....... 2,793 39,214 Sensient Technologies Corp. (b).......................... 1,067 24,082 Solutia, Inc. (a)(b)........... 2,435 14,026 Spartech Corp. ................ 607 5,578 Stepan Co. (b)................. 174 7,684 Valhi, Inc. (b)................ 231 1,716 Valspar Corp. ................. 2,016 45,420 W.R. Grace & Co. (a)(b)........ 1,213 15,005 Westlake Chemical Corp. (b).... 400 8,156 Zep, Inc. ..................... 420 5,061 Zoltek Cos., Inc. (a)(b)....... 554 5,385 ----------- 499,849 ----------- COMMERCIAL BANKS -- 6.1% 1st Source Corp. (b)........... 282 4,870 Arrow Financial Corp. (b)...... 250 6,750 Associated Ban-Corp. (b)....... 2,585 32,312 Bancfirst Corp. (b)............ 155 5,360 BancorpSouth, Inc. (b)......... 1,724 35,394 Bank of Hawaii Corp. (b)....... 1,035 37,084 Bank of the Ozarks, Inc. (b)... 251 5,429 Boston Private Financial Holdings, Inc. (b)........... 1,155 5,174 Camden National Corp. (b)...... 185 6,296 Capital City Bank Group, Inc. (b).......................... 264 4,448 CapitalSource, Inc. (b)........ 5,065 24,717 Capitol Bancorp, Ltd. (b)...... 318 843
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Cathay General Bancorp (b)..... 1,128 $ 10,727 Central Pacific Financial Corp. (b).......................... 575 2,156 Chemical Financial Corp. (b)... 514 10,234 Citizens Republic Bancorp, Inc. (a).......................... 2,666 1,893 City Holding Co. (b)........... 333 10,110 CoBiz, Inc. (b)................ 427 2,737 Columbia Banking System, Inc. (b).......................... 356 3,642 Community Bank System, Inc. (b).......................... 685 9,974 Community Trust Bancorp, Inc. (b).......................... 318 8,506 CVB Financial Corp. (b)........ 1,555 9,283 East West Bancorp, Inc. (b).... 1,285 8,340 F.N.B. Corp. (b)............... 2,034 12,590 Fifth Third Bancorp (b)........ 12,528 88,949 First BancCorp- North Carolina (b).......................... 331 5,190 First BanCorp- Puerto Rico (b).......................... 1,571 6,205 First Busey Corp. (b).......... 567 4,167 First Citizens Bancshares, Inc. (Class A).................... 132 17,642 First Commonwealth Financial Corp. (b).................... 1,773 11,241 First Community Bancshares, Inc. (b)..................... 209 2,684 First Financial Bancorp (b).... 771 5,798 First Financial Bankshares, Inc. (b)..................... 449 22,612 First Financial Corp. (b)...... 209 6,600 First Horizon National Corp. (a)(b)....................... 4,648 55,781 First Merchants Corp. (b)...... 457 3,670 First Midwest Bancorp, Inc. (b).......................... 989 7,230 FirstMerit Corp. .............. 1,696 28,798 Frontier Financial Corp. (b)... 958 1,159 Fulton Financial Corp. (b)..... 3,891 20,272 Glacier Bancorp, Inc. (b)...... 1,339 19,777 Guaranty Bancorp (a)(b)........ 1,027 1,962 Hampton Roads Bankshares, Inc. ........................ 545 4,496 Hancock Holding Co. (b)........ 596 19,364 Hanmi Financial Corp. (b)...... 902 1,578 Harleysville National Corp. (b).......................... 832 3,910 Heartland Financial USA, Inc. (b).......................... 360 5,141 Home Bancshares, Inc. ......... 323 6,150 Huntington Bancshares, Inc. (b).......................... 11,792 49,291 IBERIABANK Corp. (b)........... 351 13,833 Independent Bank Corp. -- Massachusetts (b)... 445 8,766 International Bancshares Corp. (b).......................... 1,097 11,310 Investors Bancorp, Inc. (a)(b)....................... 911 8,345 Lakeland Financial Corp. (b)... 260 4,940 Marshall & Ilsley Corp. (b).... 7,347 35,266 MB Financial, Inc. (b)......... 719 7,327 Nara Bancorp, Inc. (b)......... 471 2,440 National Penn Bancshares, Inc. (b).......................... 1,814 8,363 NBT Bancorp, Inc. (b).......... 734 15,935 Northfield Bancorp, Inc. (b)... 409 4,753 Old National Bancorp (b)....... 1,505 14,779 Old Second Bancorp, Inc. (b)... 264 1,558 Oriental Financial Group, Inc. (b).......................... 455 4,413 Orrstown Financial Services, Inc. (b)..................... 122 4,543 Pacific Capital Bancorp (b).... 946 2,024 PacWest Bancorp (b)............ 527 6,935 Park National Corp. (b)........ 257 14,515 Pinnacle Financial Partners, Inc. (a)(b).................. 541 7,206 Popular, Inc. (b).............. 5,797 12,753 PrivateBancorp, Inc. (b)....... 989 21,995 Prosperity Bancshares, Inc. (b).......................... 1,032 30,785 Renasant Corp. (b)............. 424 6,368 Republic Bancorp, Inc.- Kentucky (b)................. 204 4,608 S&T Bancorp, Inc. (b).......... 623 7,576 S.Y. Bancorp, Inc. (b)......... 240 5,801 Sandy Spring Bancorp, Inc. (b).......................... 355 5,218 Santander Bancorp (a).......... 107 745 SCBT Financial Corp. (b)....... 272 6,444 Seacoast Banking Corp. of Florida...................... 297 722 Signature Bank (a)(b).......... 792 21,479 Simmons First National Corp. (b).......................... 256 6,840 South Financial Group, Inc. (b).......................... 3,409 4,057 Southside Bancshares, Inc. .... 319 7,296 StellarOne Corp. (b)........... 523 6,773 Sterling Bancorp (b)........... 392 3,273 Sterling Bancshares, Inc. (b).. 1,727 10,932 Sterling Financial Corp. -- Washington (b)...... 1,046 3,044 Suffolk Bancorp (b)............ 192 4,923 Sun Bancorp, Inc. (a)(b)....... 392 2,031 Susquehanna Bancshares, Inc. (b).......................... 1,940 9,487 SVB Financial Group (a)(b)..... 737 20,061 Synovus Financial Corp. (b).... 6,180 18,478 TCF Financial Corp. (b)........ 2,618 35,003 Texas Capital Bancshares, Inc. (a)(b)....................... 683 10,566 The Colonial BancGroup, Inc. (b).......................... 4,097 2,540 Tompkins Trustco, Inc. (b)..... 161 7,720 TowneBank (b).................. 495 6,930 Trico Bancshares (b)........... 300 4,650 Trustmark Corp. (b)............ 1,136 21,948 UCBH Holdings, Inc. (b)........ 2,289 2,884 UMB Financial Corp. (b)........ 699 26,569 Umpqua Holdings Corp. (b)...... 1,360 10,554 Union Bankshares Corp. ........ 325 4,865 United Bankshares, Inc. (b).... 976 19,071 United Community Banks, Inc. (a)(b)....................... 996 5,965 Univest Corp. of Pennsylvania (b).......................... 309 6,260 Valley National Bancorp (b).... 3,073 35,954 Washington Trust Bancorp, Inc. (b).......................... 232 4,137 Webster Financial Corp. (b).... 1,066 8,581 WesBanco, Inc. (b)............. 528 7,677 Westamerica Bancorporation (b).......................... 649 32,197 Western Alliance Bancorp (a)... 1,250 8,550 Whitney Holding Corp. (b)...... 1,455 13,328 Wilmington Trust Corp. (b)..... 1,530 20,900 Wintrust Financial Corp. (b)... 477 7,670 Zions Bancorp (b).............. 2,501 28,912 ----------- 1,390,907 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% ABM Industries, Inc. (b)....... 1,030 18,612 ACCO Brands Corp. (a)(b)....... 1,098 3,096 American Ecology Corp. ........ 324 5,806 American Reprographics Co. (a).......................... 799 6,648 ATC Technology Corp. (a)....... 419 6,076 Bowne & Co., Inc. ............. 571 3,717 Cenveo, Inc. (a)(b)............ 1,018 4,306 Clean Harbors, Inc. (a)(b)..... 454 24,511 Comfort Systems USA, Inc. (b).. 926 9,492 Consolidated Graphics, Inc. (a)(b)....................... 200 3,484 Cornell Companies, Inc. (a).... 277 4,490 Courier Corp. (b).............. 217 3,311 Deluxe Corp. .................. 1,096 14,040 EnergySolutions, Inc. (b)...... 1,577 14,508 EnerNOC, Inc. (a)(b)........... 218 4,724 Ennis, Inc. ................... 513 6,392
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Fuel Tech, Inc. (a)(b)......... 376 $ 3,647 G & K Services, Inc. (Class A)........................... 399 8,439 GeoEye, Inc. (a)(b)............ 363 8,552 Healthcare Services Group, Inc. ........................ 783 14,000 Herman Miller, Inc. ........... 1,122 17,211 HNI Corp. (b).................. 679 12,263 Innerworkings, Inc. (a)........ 572 2,717 Interface, Inc. (Class A) (b).. 1,088 6,746 Kimball International, Inc. (Class B) (b)................ 505 3,151 Knoll, Inc. ................... 982 7,444 M&F Worldwide Corp. (a)(b)..... 252 5,040 McGrath Rentcorp............... 547 10,426 Metalico, Inc. (a)(b).......... 538 2,507 Mine Safety Appliances Co. (b).......................... 719 17,328 Mobile Mini, Inc. (a)(b)....... 822 12,059 Rollins, Inc. (b).............. 1,165 20,166 Schawk, Inc. .................. 266 1,998 Standard Parking Corp. (a)(b).. 176 2,867 Steelcase, Inc. (Class A) (b).. 1,342 7,810 Sykes Enterprises, Inc. (a)(b)....................... 692 12,518 Team, Inc. (a)(b).............. 374 5,861 Tetra Tech, Inc. (a)(b)........ 1,332 38,162 The Brink's Co. ............... 993 28,827 The Geo Group, Inc. (a)(b)..... 1,154 21,441 The Standard Register Co. (b).. 423 1,379 United Stationers, Inc. (a).... 534 18,626 Viad Corp. .................... 489 8,421 ----------- 432,819 ----------- COMMUNICATIONS EQUIPMENT -- 3.7% 3Com Corp. (a)................. 8,482 39,950 Acme Packet, Inc. (a)(b)....... 650 6,578 ADC Telecommunications, Inc. (a)(b)....................... 2,080 16,557 Adtran, Inc. (b)............... 1,299 27,890 Airvana, Inc. (a)(b)........... 682 4,344 Anaren, Inc. (a)............... 360 6,365 Arris Group, Inc. (a)(b)....... 2,758 33,537 Aruba Networks, Inc. (a)(b).... 1,396 12,201 Avocent Corp. (a)(b)........... 939 13,109 Bel Fuse, Inc. (Class B)....... 227 3,641 BigBand Networks, Inc. (a)(b).. 827 4,276 Black Box Corp. (b)............ 382 12,786 Blue Coat Systems, Inc. (a)(b)....................... 769 12,719 Brocade Communications Systems, Inc. (a)..................... 8,302 64,922 CIENA Corp. (a)(b)............. 2,046 21,176 CommScope, Inc. (a)(b)......... 1,739 45,666 Comtech Telecommunications Corp. (a)(b)................. 566 18,044 DG Fastchannel, Inc. (a)(b).... 393 7,192 Digi International, Inc. (a)(b)....................... 608 5,928 EMS Technologies, Inc. (a)(b).. 357 7,461 Emulex Corp. (a)(b)............ 1,699 16,616 Extreme Networks, Inc. (a)(b).. 1,953 3,906 F5 Networks, Inc. (a)(b)....... 1,704 58,941 Finisar Corp. (a)(b)........... 8,487 4,838 Harmonic, Inc. (a)(b).......... 2,164 12,746 Harris Stratex Networks, Inc. (Class A) (a)................ 1,315 8,521 Hughes Communications, Inc. (a).......................... 174 3,972 Infinera Corp. (a)(b).......... 2,124 19,392 InterDigital, Inc. (a)(b)...... 972 23,756 Ixia (a)....................... 738 4,974 JDS Uniphase Corp. (a)(b)...... 4,654 26,621 Loral Space & Communications, Ltd. (a)(b).................. 242 6,232 Netgear, Inc. (a).............. 713 10,274 OpNext, Inc. (a)(b)............ 1,292 2,765 Palm, Inc. (a)(b).............. 2,686 44,507 Plantronics, Inc. ............. 1,074 20,309 Polycom, Inc. (a)(b)........... 1,805 36,587 Riverbed Technology, Inc. (a).. 1,210 28,060 SeaChange International, Inc. (a).......................... 701 5,629 ShoreTel, Inc. (a)............. 391 3,128 Sonus Networks, Inc. (a)(b).... 4,528 7,290 Starent Networks Corp. (a)(b).. 912 22,262 Sycamore Networks, Inc. (a)(b)....................... 4,369 13,675 Tekelec (a).................... 1,320 22,216 Tellabs, Inc. (a)(b)........... 7,896 45,244 Utstarcom, Inc. (a)(b)......... 1,988 3,240 ViaSat, Inc. (a)............... 648 16,615 ----------- 836,658 ----------- COMPUTERS & PERIPHERALS -- 1.0% 3PAR, Inc. (a)(b).............. 734 9,101 Adaptec, Inc. (a).............. 2,138 5,666 Avid Technology, Inc. (a)...... 602 8,073 Compellent Technologies, Inc. (a)(b)....................... 364 5,551 Data Domain, Inc. (a)(b)....... 805 26,847 Diebold, Inc. ................. 1,424 37,537 Electronics for Imaging, Inc. (a).......................... 1,068 11,385 Hutchinson Technology, Inc. (a)(b)....................... 476 928 Hypercom Corp. (a)(b).......... 1,010 1,515 Imation Corp. (b).............. 636 4,840 Intermec, Inc. (a)(b).......... 1,101 14,203 Isilon Systems, Inc. (a)(b).... 496 2,103 Novatel Wireless, Inc. (a)(b).. 629 5,673 QLogic Corp. (a)............... 2,630 33,348 Quantum Corp. (a).............. 4,289 3,560 Silicon Graphics International Corp. (a)(b)................. 587 2,665 STEC, Inc. (a)(b).............. 519 12,036 Stratasys, Inc. (a)(b)......... 428 4,704 Synaptics, Inc. (a)(b)......... 737 28,485 ----------- 218,220 ----------- CONSTRUCTION & ENGINEERING -- 0.7% Dycom Industries, Inc. (a)..... 816 9,033 EMCOR Group, Inc. (a)(b)....... 1,418 28,530 Furmanite Corp. (a)(b)......... 740 3,300 Granite Construction, Inc. (b).......................... 714 23,762 Great Lakes Dredge & Dock Corp. (b).......................... 885 4,230 Insituform Technologies, Inc. (a)(b)....................... 806 13,678 Layne Christensen Co. (a)...... 385 7,873 Mastec, Inc. (a)(b)............ 1,107 12,974 Michael Baker Corp. (a)........ 190 8,048 MYR Group, Inc. (a)............ 433 8,755 Northwest Pipe Co. (a)(b)...... 181 6,292 Orion Marine Group, Inc. (a)(b)....................... 512 9,728 Pike Electric Corp. (a)(b)..... 358 4,314 Sterling Construction Co., Inc. (a)(b)....................... 315 4,807 Tutor Perini Corp. (a)(b)...... 565 9,809 ----------- 155,133 ----------- CONSTRUCTION MATERIALS -- 0.2% Eagle Materials, Inc. (b)...... 977 24,659 Headwaters, Inc. (a)(b)........ 860 2,890 Texas Industries, Inc. (b)..... 534 16,746 ----------- 44,295 -----------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CONSUMER FINANCE -- 0.4% Advance America Cash Advance Centers, Inc. (b)............ 1,034 $ 4,581 AmeriCredit Corp. (a)(b)....... 1,307 17,710 Cash America International, Inc. (b)..................... 610 14,268 CompuCredit Corp. (b).......... 632 1,454 Credit Acceptance Corp. (a).... 146 3,190 Dollar Financial Corp. (a)(b).. 519 7,157 Ezcorp, Inc. (a)............... 1,020 10,995 First Cash Financial Services, Inc. (a)..................... 520 9,110 Nelnet, Inc. (a)(b)............ 576 7,828 The First Marblehead Corp. (a)(b)....................... 1,301 2,628 The Student Loan Corp. (b)..... 80 2,976 World Acceptance Corp. (a)(b).. 302 6,013 ----------- 87,910 ----------- CONTAINERS & PACKAGING -- 0.7% Graphic Packaging Holding Co. (a)(b)....................... 1,621 2,967 Greif, Inc. (Class A).......... 756 33,430 Myers Industries, Inc. ........ 570 4,742 Packaging Corp. of America(b).. 2,222 35,996 Rock-Tenn Co. (Class A) (b).... 825 31,482 Silgan Holdings, Inc. (b)...... 562 27,555 Temple-Inland, Inc. (b)........ 1,979 25,965 ----------- 162,137 ----------- DISTRIBUTORS -- 0.2% Audiovox Corp. (Class A) (a)(b)....................... 361 2,115 Core-Mark Holding Co., Inc. (a)(b)....................... 243 6,333 LKQ Corp. (a)(b)............... 3,032 49,876 ----------- 58,324 ----------- DIVERSIFIED CONSUMER SERVICES -- 1.2% American Public Education, Inc. (a)(b)....................... 394 15,606 Bridgepoint Education, Inc. (a).......................... 254 4,318 Brink's Home Security Holdings, Inc. (a)(b).................. 972 27,517 Capella Education Co. (a)(b)... 321 19,244 Coinstar, Inc. (a)(b).......... 595 15,887 Corinthian Colleges, Inc. (a)(b)....................... 1,771 29,983 Grand Canyon Education, Inc. (a)(b)....................... 288 4,833 Hillenbrand, Inc. ............. 1,392 23,163 Jackson Hewitt Tax Service, Inc. ........................ 519 3,249 K12, Inc. (a)(b)............... 452 9,741 Lincoln Educational Services Corp. (a)(b)................. 212 4,437 Matthews International Corp. (Class A).................... 660 20,539 Pre-Paid Legal Services, Inc. (a)(b)....................... 165 7,192 Regis Corp. ................... 974 16,957 Service Corp. International (b).......................... 5,592 30,644 Sotheby's (b).................. 1,433 20,220 Steiner Leisure, Ltd. (a)(b)... 295 9,006 Stewart Enterprises, Inc. (Class A) (b)................ 1,697 8,180 StoneMor Partners LP........... 252 3,777 Universal Technical Institute, Inc. (a)(b).................. 445 6,644 ----------- 281,137 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% Asset Acceptance Capital Corp. (a)(b)....................... 275 2,115 CIT Group, Inc. (b)............ 8,745 18,802 Financial Federal Corp. ....... 590 12,125 Interactive Brokers Group, Inc. (Class A) (a)(b)............. 914 14,194 KKR Financial Holdings LLC..... 3,041 2,828 Life Partners Holdings, Inc. (b).......................... 172 2,439 MarketAxess Holdings, Inc. (a)(b)....................... 565 5,384 MSCI, Inc. (Class A) (a)(b).... 2,170 53,035 NewStar Financial, Inc. (a)(b)....................... 493 942 PHH Corp. (a)(b)............... 1,224 22,252 Pico Holdings, Inc. (a)(b)..... 410 11,767 Portfolio Recovery Associates, Inc. (a)(b).................. 308 11,929 ----------- 157,812 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% AboveNet, Inc. (a)............. 169 13,686 Alaska Communications Systems Group, Inc. (b).............. 913 6,683 Atlantic Tele-Network, Inc. (b).......................... 193 7,583 Cbeyond, Inc. (a)(b)........... 584 8,380 Cincinnati Bell, Inc. (a)(b)... 4,833 13,726 Cogent Communications Group, Inc. (a)..................... 882 7,188 Consolidated Communications Holdings, Inc. (b)........... 465 5,445 FairPoint Communications, Inc. (b).......................... 1,809 1,085 General Communication, Inc. (Class A) (a)(b)............. 767 5,315 Global Crossing, Ltd. (a)(b)... 538 4,939 Iowa Telecommunications Services, Inc. (b)........... 645 8,069 Neutral Tandem, Inc. (a)(b).... 420 12,398 NTELOS Holdings Corp. (b)...... 659 12,139 PAETEC Holding Corp. (a)(b).... 2,561 6,915 Premiere Global Services, Inc. (a).......................... 1,300 14,092 SureWest Communications (a)(b)....................... 304 3,183 tw telecom, inc. (a)(b)........ 3,306 33,953 ----------- 164,779 ----------- ELECTRIC UTILITIES -- 1.2% ALLETE, Inc. .................. 615 17,681 Brookfield Infrastructure Partners LP.................. 431 5,314 Central Vermont Public Service Corp. (b).................... 246 4,453 Cleco Corp. (b)................ 1,336 29,953 El Paso Electric Co. (a)....... 953 13,304 Empire District Electric Co. (b).......................... 695 11,481 Great Plains Energy, Inc. ..... 2,897 45,048 Hawaiian Electric Industries, Inc. (b)..................... 2,022 38,539 IDACORP, Inc. (b).............. 1,014 26,506 MGE Energy, Inc. .............. 504 16,909 Portland General Electric Co. (b).......................... 1,647 32,084 UIL Holdings Corp. (b)......... 581 13,044 Unisource Energy Corp. ........ 798 21,179 ----------- 275,495 ----------- ELECTRICAL EQUIPMENT -- 1.8% A.O. Smith Corp. (b)........... 439 14,298 Acuity Brands, Inc. (b)........ 915 25,666 Advanced Battery Technologies, Inc. (a)(b).................. 840 3,377 American Superconductor Corp. (a)(b)....................... 874 22,942 AZZ, Inc. (a)(b)............... 264 9,084 Baldor Electric Co. (b)........ 959 22,815 Belden CDT, Inc. .............. 971 16,216 Brady Corp. (Class A) (b)...... 1,000 25,120 Broadwind Energy, Inc. (a)(b).. 725 8,207 Encore Wire Corp. (b).......... 383 8,177 Ener1, Inc. (a)(b)............. 1,121 6,121 Energy Conversion Devices, Inc. (a)(b)....................... 1,037 14,673 EnerSys (a)(b)................. 855 15,552
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Evergreen Solar, Inc. (a)(b)... 3,139 $ 6,812 Franklin Electric Co., Inc. (b).......................... 362 9,383 FuelCell Energy, Inc. (a)(b)... 1,282 5,359 General Cable Corp. (a)(b)..... 1,126 42,315 GrafTech International, Ltd. (a).......................... 2,601 29,417 GT Solar International, Inc. (a)(b)....................... 611 3,250 II-VI, Inc. (a)................ 584 12,947 Orion Energy Systems, Inc. (a)(b)....................... 433 1,624 Plug Power, Inc. (a)(b)........ 1,465 1,333 Polypore International, Inc. (a)(b)....................... 382 4,248 Powell Industries, Inc. (a).... 154 5,709 Power-One, Inc. (a)(b)......... 1,593 2,373 Regal-Beloit Corp. (b)......... 783 31,101 Thomas & Betts Corp. (a)....... 1,171 33,795 Valence Technology, Inc. (a)(b)....................... 1,243 2,225 Vicor Corp. ................... 371 2,679 Woodward Governor Co. ......... 1,282 25,384 ----------- 412,202 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% Agilysys, Inc. (b)............. 443 2,073 Anixter International, Inc. (a)(b)....................... 689 25,900 AVX Corp. ..................... 1,180 11,717 Benchmark Electronics, Inc. (a).......................... 1,475 21,240 Brightpoint, Inc. (a).......... 1,060 6,646 Checkpoint Systems, Inc. (a)... 805 12,630 Cogent, Inc. (a)(b)............ 793 8,509 Cognex Corp. .................. 762 10,767 Coherent, Inc. (a)(b).......... 530 10,960 CTS Corp. ..................... 682 4,467 Daktronics, Inc. (b)........... 767 5,906 DTS Inc. (a)(b)................ 365 9,881 Echelon Corp. (a)(b)........... 669 5,673 Electro Rent Corp. (b)......... 457 4,337 Electro Scientific Industries, Inc. (a)..................... 523 5,847 FARO Technologies, Inc. (a)(b)....................... 303 4,706 ICx Technologies, Inc. (a)..... 246 1,476 Insight Enterprises, Inc. (a)(b)....................... 945 9,129 IPG Photonics Corp. (a)(b)..... 481 5,277 Jabil Circuit, Inc. ........... 4,359 32,344 L-1 Identity Solutions, Inc. (a)(b)....................... 1,706 13,204 Littelfuse, Inc. (a)(b)........ 437 8,723 Methode Electronics, Inc. (Class A).................... 761 5,342 MTS Systems Corp. ............. 349 7,207 Multi-Fineline Electronix, Inc. (a)(b)....................... 184 3,938 National Instruments Corp. (b).......................... 1,283 28,945 Newport Corp. (a)(b)........... 742 4,296 OSI Systems, Inc. (a)(b)....... 329 6,860 Park Electrochemical Corp. (b).......................... 382 8,225 Plexus Corp. (a)(b)............ 896 18,332 Rofin-Sinar Technologies, Inc. (a)(b)....................... 595 11,906 Rogers Corp. (a)(b)............ 358 7,242 Sanmina-SCI Corp. (a).......... 10,710 4,712 Scansource, Inc. (a)(b)........ 603 14,786 Smart Modular Technologies (WWH), Inc. (a).............. 742 1,684 SYNNEX Corp. (a)(b)............ 353 8,822 Tech Data Corp. (a)............ 1,095 35,817 Technitrol, Inc. .............. 822 5,318 TTM Technologies, Inc. (a)(b).. 841 6,694 Universal Display Corp. (a)(b)....................... 654 6,396 Vishay Intertechnology, Inc. (a).......................... 3,708 25,177 ----------- 433,111 ----------- ENERGY EQUIPMENT & SERVICES -- 2.3% Allis-Chalmers Energy, Inc. (a).......................... 642 1,483 Atwood Oceanics, Inc. (a)(b)... 1,192 29,693 Basic Energy Services, Inc. (a)(b)....................... 481 3,285 Bristow Group, Inc. (a)(b)..... 625 18,519 Bronco Drilling Co., Inc. (a).. 578 2,474 Cal Dive International, Inc. (a).......................... 809 6,982 CARBO Ceramics, Inc. (b)....... 442 15,116 Complete Production Services, Inc. (a)(b).................. 1,365 8,681 Dawson Geophysical Co. (a)(b).. 148 4,418 Dresser-Rand Group, Inc. (a)... 1,777 46,380 Dril-Quip, Inc. (a)(b)......... 679 25,870 ENGlobal Corp. (a)(b).......... 372 1,830 Exterran Partners LP........... 210 2,894 Global Industries, Ltd. (a)(b)....................... 2,229 12,616 Gulf Island Fabrication, Inc. (b).......................... 248 3,926 Gulfmark Offshore, Inc. (a).... 517 14,269 Helix Energy Solutions Group, Inc. (a)(b).................. 1,862 20,240 Hercules Offshore, Inc. (a)(b)....................... 1,785 7,086 Hornbeck Offshore Services, Inc. (a)(b).................. 483 10,331 ION Geophysical Corp. (a)(b)... 1,722 4,426 Key Energy Services, Inc. (a)(b)....................... 2,519 14,509 Lufkin Industries, Inc. (b).... 335 14,087 Matrix Service Co. (a)......... 539 6,188 NATCO Group, Inc. (a).......... 443 14,584 Newpark Resources, Inc. (a)(b)....................... 1,796 5,119 Oceaneering International, Inc. (a).......................... 1,196 54,059 Oil States International, Inc. (a)(b)....................... 1,084 26,244 Parker Drilling Co. (a)(b)..... 2,260 9,808 PHI, Inc. (a)(b)............... 278 4,765 Pioneer Drilling Co. (a)....... 1,012 4,847 RPC, Inc. (b).................. 657 5,486 SEACOR Holdings, Inc. (a)(b)... 408 30,698 Superior Energy Services, Inc. (a).......................... 1,682 29,048 Superior Well Services, Inc. (a)(b)....................... 313 1,862 T-3 Energy Services, Inc. (a).. 252 3,001 Tesco Corp. (a)(b)............. 707 5,614 Tetra Technologies, Inc. (a)(b)....................... 1,495 11,900 Trico Marine Services, Inc. (a).......................... 260 892 Unit Corp. (a)(b).............. 1,023 28,204 ----------- 511,434 ----------- FOOD & STAPLES RETAILING -- 0.9% Arden Group, Inc. (Class A) (b).......................... 23 2,877 BJ's Wholesale Club, Inc. (a)(b)....................... 1,187 38,257 Casey's General Stores, Inc. (b).......................... 1,133 29,107 Great Atlantic & Pacific Tea Co. (a)(b)................... 711 3,022 Ingles Markets, Inc. .......... 239 3,642 Nash Finch Co. (b)............. 260 7,036 Pantry, Inc. (a)............... 472 7,835 Pricesmart, Inc. .............. 294 4,925 Rite Aid Corp. (a)(b).......... 11,773 17,777 Ruddick Corp. (b).............. 949 22,235 Spartan Stores, Inc. (b)....... 445 5,522 Susser Holdings Corp. (a)(b)... 259 2,898 The Andersons, Inc. (b)........ 364 10,898 United Natural Foods, Inc. (a)(b)....................... 888 23,310
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Village Super Market, Inc. (Class A) (b)................ 122 $ 3,630 Weis Markets, Inc. ............ 241 8,078 Winn-Dixie Stores, Inc. (a)(b)....................... 1,235 15,487 ----------- 206,536 ----------- FOOD PRODUCTS -- 1.4% Alico, Inc. (b)................ 73 2,191 American Italian Pasta Co. (a)(b)....................... 466 13,579 B&G Foods, Inc. (b)............ 722 6,072 Cal-Maine Foods, Inc. (b)...... 309 7,713 Calavo Growers, Inc. (b)....... 286 5,671 Chiquita Brands International, Inc. (a)(b).................. 874 8,967 Corn Products International, Inc. (b)..................... 1,606 43,025 Darling International, Inc. (a)(b)....................... 1,648 10,877 Del Monte Foods Co. ........... 4,323 40,550 Diamond Foods, Inc. (b)........ 380 10,602 Farmer Brothers Co. (b)........ 124 2,837 Fresh Del Monte Produce, Inc. (a)(b)....................... 910 14,796 Green Mountain Coffee Roasters, Inc. (a)(b).................. 612 36,152 Hain Celestial Group, Inc. (a)(b)....................... 798 12,457 J&J Snack Foods Corp. ......... 323 11,596 Lancaster Colony Corp. ........ 460 20,272 Lance, Inc. ................... 715 16,538 Sanderson Farms, Inc. (b)...... 385 17,325 Smart Balance, Inc. (a)(b)..... 1,454 9,902 Tootsie Roll Industries, Inc. (b).......................... 527 11,958 TreeHouse Foods, Inc. (a)(b)... 700 20,139 ----------- 323,219 ----------- GAS UTILITIES -- 1.2% Amerigas Partners LP (b)....... 727 24,522 Chesapeake Utilities Corp. (b).......................... 165 5,368 Ferrellgas Partners LP (b)..... 964 15,655 Laclede Group, Inc. ........... 466 15,439 New Jersey Resources Corp. (b).......................... 940 34,818 Nicor, Inc. (b)................ 1,002 34,689 Northwest Natural Gas Co. ..... 595 26,370 South Jersey Industries, Inc. ........................ 660 23,027 Southwest Gas Corp. ........... 991 22,010 Spectra Energy Partners LP..... 250 5,375 Star Gas Partners LP........... 1,557 5,559 Suburban Propane Partners LP (b).......................... 730 30,784 WGL Holdings, Inc. (b)......... 1,118 35,798 ----------- 279,414 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% Abaxis, Inc. (a)(b)............ 441 9,058 ABIOMED, Inc. (a)(b)........... 688 6,068 Accuray, Inc. (a)(b)........... 782 5,216 Align Technology, Inc. (a)(b).. 1,223 12,964 American Medical Systems Holdings, Inc. (a)(b)........ 1,633 25,801 Analogic Corp. (b)............. 269 9,940 AngioDynamics, Inc. (a)(b)..... 539 7,152 Cantel Medical Corp. (a)(b).... 312 5,064 Conceptus, Inc. (a)(b)......... 455 7,689 CONMED Corp. (a)(b)............ 577 8,955 CryoLife, Inc. (a)............. 524 2,903 Cyberonics, Inc. (a)(b)........ 463 7,700 ev3, Inc. (a)(b)............... 1,489 15,962 Greatbatch, Inc. (a)(b)........ 471 10,649 Haemonetics Corp. (a)(b)....... 568 32,376 Hill-Rom Holdings, Inc. ....... 1,357 22,011 I-Flow Corp. (a)(b)............ 497 3,449 ICU Medical, Inc. (a)(b)....... 291 11,975 Insulet Corp. (a)(b)........... 418 3,219 Integra LifeSciences Holdings Corp. (a).................... 482 12,778 Invacare Corp. (b)............. 744 13,132 IRIS International, Inc. (a)(b)....................... 443 5,227 Kensey Nash Corp. (a).......... 176 4,613 MAKO Surgical Corp. (a)(b)..... 307 2,769 Masimo Corp. (a)(b)............ 1,080 26,039 Meridian Bioscience, Inc. (b).. 913 20,616 Merit Medical Systems, Inc. (a).......................... 580 9,454 Natus Medical, Inc. (a)(b)..... 550 6,347 Neogen Corp. (a)(b)............ 345 9,998 NuVasive, Inc. (a)(b).......... 808 36,037 OraSure Technologies, Inc. (a)(b)....................... 1,074 2,653 Orthofix International N.V. (a).......................... 344 8,603 Orthovita, Inc. (a)(b)......... 1,817 9,358 Palomar Medical Technologies, Inc. (a)(b).................. 382 5,600 Quidel Corp. (a)(b)............ 601 8,751 RTI Biologics, Inc. (a)(b)..... 987 4,234 Sirona Dental Systems, Inc. (a)(b)....................... 350 6,996 SonoSite, Inc. (a)(b).......... 347 6,961 STERIS Corp. (b)............... 1,195 31,166 SurModics, Inc. (a)(b)......... 321 7,264 Symmetry Medical, Inc. (a)..... 667 6,216 Synovis Life Technologies, Inc. (a).......................... 285 5,919 The Cooper Cos., Inc. (b)...... 1,017 25,150 Thoratec Corp. (a)(b).......... 1,216 32,564 TomoTherapy, Inc. (a)(b)....... 1,082 2,975 Trans1, Inc. (a)(b)............ 190 1,184 Volcano Corp. (a)(b)........... 922 12,890 West Pharmaceutical Services, Inc. (b)..................... 728 25,371 Wright Medical Group, Inc. (a)(b)....................... 863 14,032 Zoll Medical Corp. (a)......... 423 8,181 ----------- 581,229 ----------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% Air Methods Corp. (a)(b)....... 221 6,047 Alliance Imaging, Inc. (a)..... 571 4,185 Almost Family, Inc. (a)(b)..... 193 5,039 Amedisys, Inc. (a)(b).......... 608 20,076 AMERIGROUP Corp. (a)(b)........ 1,149 30,851 AMN Healthcare Services, Inc. (a)(b)....................... 677 4,319 AmSurg Corp. (a)............... 653 14,000 Assisted Living Concepts, Inc. (Class A) (a)(b)............. 217 3,157 athenahealth, Inc. (a)......... 684 25,315 Bio-Reference Laboratories, Inc. (a)(b).................. 282 8,914 Brookdale Senior Living, Inc. (b).......................... 1,190 11,591 CardioNet, Inc. (a)(b)......... 489 7,980 Catalyst Health Solutions, Inc. (a)(b)....................... 792 19,753 Centene Corp. (a)(b)........... 903 18,042 Chemed Corp. (b)............... 505 19,937 Corvel Corp. (a)(b)............ 162 3,689 Cross Country Healthcare, Inc. (a)(b)....................... 570 3,916 Emergency Medical Services Corp. (Class A) (a)(b)....... 228 8,395 Emeritus Corp. (a)(b).......... 410 5,416 Genoptix, Inc. (a)(b).......... 365 11,676 Gentiva Health Services, Inc. (a)(b)....................... 667 10,979 Hanger Orthopedic Group, Inc. (a).......................... 661 8,983
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Health Management Associates, Inc. (Class A) (a)(b)........ 5,382 $ 26,587 Healthsouth Corp. (a)(b)....... 1,898 27,407 Healthspring, Inc. (a)(b)...... 1,074 11,664 Healthways, Inc. (a)........... 690 9,281 HMS Holdings Corp. (a)(b)...... 565 23,007 inVentiv Health, Inc. (a)...... 665 8,997 IPC The Hospitalist Co. (a)(b)....................... 225 6,005 Kindred Healthcare, Inc. (a)(b)....................... 736 9,104 Landauer, Inc. ................ 188 11,532 LHC Group, Inc. (a)(b)......... 293 6,508 LifePoint Hospitals, Inc. (a)(b)....................... 1,155 30,319 Magellan Health Services, Inc. (a).......................... 766 25,140 Medcath Corp. (a)(b)........... 323 3,798 Molina Healthcare, Inc. (a)(b)....................... 274 6,554 MWI Veterinary Supply, Inc. (a)(b)....................... 242 8,436 National Healthcare Corp. (b).. 180 6,829 Nighthawk Radiology Holdings, Inc. (a)(b).................. 470 1,739 Odyssey Healthcare, Inc. (a)... 717 7,371 Owens & Minor, Inc. (b)........ 888 38,912 Pediatrix Medical Group, Inc. (a)(b)....................... 989 41,667 PharMerica Corp. (a)(b)........ 698 13,702 PSS World Medical, Inc. (a)(b)....................... 1,264 23,397 Psychiatric Solutions, Inc. (a)(b)....................... 1,182 26,879 RehabCare Group, Inc. (a)...... 377 9,022 Res-Care, Inc. (a)............. 541 7,736 Skilled Healthcare Group, Inc. (Class A) (a)(b)............. 386 2,895 Sun Healthcare Group, Inc. (a).......................... 1,006 8,491 Tenet Healthcare Corp. (a)..... 10,450 29,469 The Ensign Group, Inc. (b)..... 237 3,373 Triple-S Management Corp. (Class B) (a)................ 370 5,768 Universal American Financial Corp. (a)(b)................. 725 6,322 VCA Antech, Inc. (a)(b)........ 1,836 49,021 Virtual Radiologic Corp. (a)(b)....................... 145 1,309 WellCare Health Plans, Inc. (a)(b)....................... 856 15,827 ----------- 766,328 ----------- HEALTH CARE TECHNOLOGY -- 0.5% Allscripts-Misys Healthcare Solutions, Inc. (b).......... 1,258 19,952 Computer Programs and Systems, Inc. (b)..................... 240 9,194 Eclipsys Corp. (a)............. 1,248 22,189 HLTH Corp. (a)(b).............. 1,922 25,178 Med Assets, Inc. (a)(b)........ 697 13,557 Omnicell, Inc. (a)(b).......... 662 7,117 Phase Forward, Inc. (a)........ 978 14,778 ----------- 111,965 ----------- HOTELS, RESTAURANTS & LEISURE -- 3.0% AFC Enterprises, Inc. (a)...... 531 3,584 Ambassadors Group, Inc. ....... 385 5,301 Ameristar Casinos, Inc. (b).... 465 8,849 Bally Technologies, Inc. (a)(b)....................... 1,180 35,306 BJ's Restaurants, Inc. (a)(b).. 359 6,056 Bob Evans Farms, Inc. (b)...... 703 20,204 Boyd Gaming Corp. (a)(b)....... 1,171 9,954 Brinker International, Inc. (b).......................... 2,195 37,381 Buffalo Wild Wings, Inc. (a)(b)....................... 379 12,325 California Pizza Kitchen, Inc. (a)(b)....................... 505 6,712 CEC Entertainment, Inc. (a)(b)....................... 482 14,209 Cedar Fair LP (b).............. 1,061 11,607 Chipotle Mexican Grill, Inc. (a)(b)....................... 696 55,680 Choice Hotels International, Inc. (b)..................... 646 17,190 Churchill Downs, Inc. (b)...... 206 6,934 CKE Restaurants, Inc. ......... 1,165 9,879 Cracker Barrel Old Country Store, Inc. (b).............. 509 14,201 Denny's Corp. (a)(b)........... 2,341 5,033 DineEquity, Inc. (b)........... 310 9,669 Domino's Pizza, Inc. (a)....... 851 6,374 Gaylord Entertainment Co. (a)(b)....................... 631 8,020 International Speedway Corp. (Class A) (b)................ 607 15,545 Interval Leisure Group, Inc. (a)(b)....................... 791 7,372 Isle of Capri Casinos, Inc. (a)(b)....................... 370 4,928 Jack in the Box, Inc. (a)(b)... 1,270 28,512 Krispy Kreme Doughnuts, Inc. (a)(b)....................... 1,122 3,366 Landry's Restaurants, Inc. (a)(b)....................... 214 1,840 Life Time Fitness, Inc. (a)(b)....................... 859 17,189 Marcus Corp. .................. 447 4,702 Morgans Hotel Group Co. (a)(b)....................... 579 2,218 Orient-Express Hotels, Ltd. (Class A) (b)................ 1,421 12,064 P F Chang's China Bistro, Inc. (a)(b)....................... 512 16,415 Panera Bread Co. (Class A) (a)(b)....................... 684 34,104 Papa John's International, Inc. (a).......................... 507 12,569 Peet's Coffee & Tea, Inc. (a)(b)....................... 296 7,459 Pinnacle Entertainment, Inc. (a)(b)....................... 1,215 11,287 Red Robin Gourmet Burgers, Inc. (a)(b)....................... 301 5,644 Ruby Tuesday, Inc. (a)(b)...... 1,070 7,126 Scientific Games Corp. (Class A) (a)(b).................... 1,556 24,538 Shuffle Master, Inc. (a)(b).... 1,078 7,126 Sonic Corp. (a)(b)............. 1,390 13,942 Speedway Motorsports, Inc. (b).......................... 288 3,963 Texas Roadhouse, Inc. (Class A) (a)(b)....................... 1,068 11,652 The Cheesecake Factory, Inc. (a)(b)....................... 1,209 20,916 The Steak n Shake Co. (a)(b)... 582 5,087 Vail Resorts, Inc. (a)(b)...... 615 16,494 WMS Industries, Inc. (a)(b).... 944 29,745 Wyndham Worldwide Corp. (b).... 3,839 46,529 ----------- 676,800 ----------- HOUSEHOLD DURABLES -- 1.5% American Greetings Corp. (Class A) (b)....................... 894 10,442 Blyth, Inc. (b)................ 134 4,394 Brookfield Homes Corp. (a)(b).. 208 832 Centex Corp. (b)............... 2,777 23,493 CSS Industries, Inc. (b)....... 171 3,485 Ethan Allen Interiors, Inc. ... 551 5,708 Furniture Brands International, Inc. (b)..................... 737 2,233 Harman International Industries, Inc. (b)......... 1,262 23,726 Helen of Troy, Ltd. (a)(b)..... 597 10,024 Hovnanian Enterprises, Inc. (a)(b)....................... 1,155 2,726 iRobot Corp. (a)(b)............ 389 5,049 Jarden Corp. (a)............... 1,906 35,738 KB HOME (b).................... 1,655 22,640 Lennar Corp. (Class A) (b)..... 3,119 30,223 M.D.C. Holdings, Inc. ......... 808 24,329 M/I Homes, Inc. (a)(b)......... 289 2,829 Meritage Homes Corp. (a)(b).... 573 10,807 National Presto Industries, Inc. ........................ 100 7,610
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Ryland Group, Inc. (b)......... 966 $ 16,190 Sealy Corp. (a)(b)............. 900 1,764 Skyline Corp. (b).............. 135 2,936 Snap-on, Inc. ................. 1,246 35,810 Standard Pacific Corp. (a)(b).. 2,418 4,909 Tempur-Pedic International, Inc. (b)..................... 1,533 20,036 Tupperware Brands Corp. ....... 1,355 35,257 ----------- 343,190 ----------- HOUSEHOLD PRODUCTS -- 0.1% Central Garden & Pet Co. (Class A) (a)(b).................... 1,488 14,657 WD-40 Co. (b).................. 365 10,585 ----------- 25,242 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1% Ormat Technologies, Inc. (b)... 411 16,567 ----------- INDUSTRIAL CONGLOMERATES -- 0.3% Carlisle Cos., Inc. ........... 1,324 31,829 Otter Tail Corp. (b)........... 723 15,790 Raven Industries, Inc. (b)..... 369 9,447 Seaboard Corp. ................ 6 6,732 Standex International Corp. ... 250 2,900 Tredegar Corp. ................ 494 6,580 ----------- 73,278 ----------- INSURANCE -- 4.3% AMBAC Financial Group, Inc. (b).......................... 5,857 5,388 American Equity Investment Life Holding Co. (b).............. 1,089 6,077 American National Insurance Co. (b).......................... 356 26,907 American Physicians Capital, Inc. (b)..................... 176 6,892 Amerisafe, Inc. (a)(b)......... 443 6,893 Amtrust Financial Services, Inc. (b)..................... 835 9,519 Argo Group International Holdings, Ltd. (a)........... 691 19,500 Arthur J. Gallagher & Co. (b).. 2,129 45,433 Aspen Insurance Holdings, Ltd. ........................ 1,632 36,459 Assured Guaranty, Ltd. ........ 2,099 25,986 Baldwin & Lyons, Inc. (Class B)........................... 212 4,176 Citizens, Inc. (a)(b).......... 715 4,347 CNA Surety Corp. (a)........... 323 4,357 Conseco, Inc. (a)(b)........... 3,723 8,824 Crawford & Co. (Class B) (a)(b)....................... 504 2,419 Delphi Financial Group......... 940 18,264 Donegal Group, Inc. (Class A) (b).......................... 264 4,015 eHealth, Inc. (a)(b)........... 506 8,936 EMC Insurance Group, Inc. (b).. 155 3,226 Employers Holdings, Inc. (b)... 1,013 13,726 Endurance Specialty Holdings, Ltd. (b)..................... 1,143 33,490 Enstar Group, Ltd. (a)......... 144 8,474 Erie Indemnity Co. (Class A) (b).......................... 687 24,567 FBL Financial Group, Inc. (Class A) (b)................ 259 2,139 First Mercury Financial Corp. ....................... 380 5,233 Flagstone Reinsurance Holdings, Ltd. (b)..................... 797 8,209 FPIC Insurance Group, Inc. (a)(b)....................... 166 5,083 Genworth Financial, Inc. (Class A) (b)....................... 9,277 64,846 Greenlight Capital Re, Ltd. (Class A) (a)(b)............. 685 11,857 Harleysville Group, Inc. (b)... 275 7,761 Hilltop Holdings, Inc. (a)(b).. 1,015 12,048 Horace Mann Educators Corp. ... 801 7,986 Infinity Property & Casualty Corp. ....................... 303 11,047 IPC Holdings, Ltd. ............ 1,047 28,625 Kansas City Life Insurance Co. (b).......................... 89 2,395 Maiden Holdings, Ltd. ......... 1,210 7,938 Max Capital Group, Ltd. ....... 1,064 19,641 MBIA, Inc. (a)(b).............. 3,507 15,185 Meadowbrook Insurance Group, Inc. ........................ 1,359 8,874 Mercury General Corp. (b)...... 596 19,924 Montpelier Re Holdings, Ltd. (b).......................... 1,740 23,125 National Financial Partners Corp. (b).................... 800 5,856 National Interstate Corp. ..... 121 1,837 National Western Life Insurance Co. (Class A) (b)............ 49 5,721 Navigators Group, Inc. (a)..... 308 13,684 OneBeacon Insurance Group, Ltd. (Class A).................... 462 5,401 Platinum Underwriters Holdings, Ltd. ........................ 1,074 30,706 PMA Capital Corp. (Class A) (a)(b)....................... 797 3,626 Presidential Life Corp. (b).... 447 3,384 ProAssurance Corp. (a)......... 696 32,162 Protective Life Corp. (b)...... 1,826 20,889 RLI Corp. (b).................. 431 19,309 Safety Insurance Group, Inc. (b).......................... 369 11,277 Seabright Insurance Holdings(a)(b)............... 507 5,136 Selective Insurance Group, Inc. (b).......................... 1,198 15,298 StanCorp Financial Group, Inc. ........................ 1,064 30,516 State Auto Financial Corp. (b).......................... 292 5,110 Stewart Information Services Corp. ....................... 341 4,859 The Phoenix Cos., Inc. (a)(b).. 2,196 3,667 Tower Group, Inc. (b).......... 816 20,221 United America Indemnity, Ltd. (Class A) (a)................ 353 1,691 United Fire & Casualty Co. .... 526 9,021 Unitrin, Inc. ................. 1,040 12,501 Validus Holdings, Ltd. (b)..... 727 15,980 XL Capital, Ltd. (Class A) (b).......................... 7,300 83,658 Zenith National Insurance Corp. (b).......................... 839 18,240 ----------- 969,541 ----------- INTERNET & CATALOG RETAIL -- 0.3% 1-800-FLOWERS.COM, Inc. (Class A) (a)....................... 471 904 Blue Nile, Inc. (a)(b)......... 312 13,413 Gaiam, Inc. (Class A) (a)(b)... 272 1,488 HSN, Inc. (a).................. 792 8,371 NutriSystem, Inc. (b).......... 581 8,425 Orbitz Worldwide, Inc. (a)(b).. 746 1,417 Overstock.com, Inc. (a)(b)..... 320 3,827 PetMed Express, Inc. (a)(b).... 549 8,252 Shutterfly, Inc. (a)(b)........ 456 6,361 Stamps.com, Inc. (a)(b)........ 320 2,714 Ticketmaster(a)(b)............. 795 5,104 ----------- 60,276 ----------- INTERNET SOFTWARE & SERVICES -- 1.7% Art Technology Group, Inc. (a).......................... 2,599 9,876 Bankrate, Inc. (a)(b).......... 300 7,572 comScore, Inc. (a)(b).......... 334 4,449 Constant Contact, Inc. (a)(b).. 575 11,408 DealerTrack Holdings, Inc. (a)(b)....................... 794 13,498 Dice Holdings, Inc. (a)(b)..... 469 2,181 Digital River, Inc. (a)(b)..... 835 30,327 DivX, Inc. (a)(b).............. 554 3,041
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- EarthLink, Inc. (a)(b)......... 2,300 $ 17,043 Equinix, Inc. (a)(b)........... 823 59,865 GSI Commerce, Inc. (a)(b)...... 431 6,142 InfoSpace, Inc. (a)............ 718 4,760 Internap Network Services Corp. (a)(b)....................... 987 3,445 Internet Brands, Inc. (a)(b)... 652 4,564 j2 Global Communications, Inc. (a).......................... 989 22,312 Limelight Networks, Inc. (a)(b)....................... 795 3,498 LoopNet, Inc. (a).............. 569 4,410 Marchex, Inc. (Class B)........ 563 1,897 ModusLink Global Solutions, Inc. (a)..................... 982 6,737 Move, Inc. (a)(b).............. 3,008 6,497 NIC, Inc. ..................... 802 5,430 Omniture, Inc. (a)(b).......... 1,623 20,385 OpenTable, Inc. (a)............ 6 181 Perficient, Inc. (a)(b)........ 627 4,383 Rackspace Hosting, Inc. (a)(b)....................... 1,599 22,162 RealNetworks, Inc. (a)(b)...... 1,879 5,618 SAVVIS, Inc. (a)............... 787 9,019 Switch & Data Facilities Co., Inc. (a)(b).................. 451 5,290 TechTarget, Inc. (a)(b)........ 183 732 Terremark Worldwide, Inc. (a).. 845 4,884 The Knot, Inc. (a)(b).......... 631 4,972 United Online, Inc. (b)........ 1,647 10,722 ValueClick, Inc. (a)........... 1,838 19,336 Vignette Corp. (a)(b).......... 501 6,588 VistaPrint, Ltd. (a)(b)........ 852 36,338 Vocus, Inc. (a)(b)............. 405 8,003 WebMD Health Corp. (Class A) (a)(b)....................... 162 4,847 ----------- 392,412 ----------- IT SERVICES -- 1.8% Acxiom Corp. (b)............... 1,545 13,642 CACI International, Inc. (Class A) (a)....................... 672 28,701 Cass Information Systems, Inc. ........................ 172 5,631 CIBER, Inc. (a)................ 1,072 3,323 Convergys Corp. (a)............ 2,592 24,054 CSG Systems International, Inc. (a).......................... 719 9,520 CyberSource Corp. (a)(b)....... 1,563 23,914 Euronet Worldwide, Inc. (a)(b)....................... 1,035 20,069 ExlService Holdings, Inc. (a).. 297 3,329 Forrester Research, Inc. (a)(b)....................... 305 7,488 Gartner, Inc. (a).............. 1,384 21,120 Genpact, Ltd. (a)(b)........... 1,312 15,416 Global Cash Access, Inc. (a)(b)....................... 839 6,678 Heartland Payment Systems, Inc. ........................ 575 5,503 iGate Corp. ................... 774 5,124 infoUSA, Inc. (a).............. 661 3,774 Integral Systems Inc. (a)(b)... 347 2,887 Lionbridge Technologies, Inc. (a)(b)....................... 1,064 1,958 MAXIMUS, Inc. ................. 372 15,345 MoneyGram International, Inc. (a)(b)....................... 1,642 2,923 NCI, Inc. (Class A) (a)(b)..... 160 4,867 NeuStar, Inc. (Class A) (a).... 1,568 34,747 Perot Systems Corp. (Class A) (a)(b)....................... 1,837 26,324 RightNow Technologies, Inc. (a).......................... 490 5,782 Sapient Corp. (a)(b)........... 2,072 13,033 SRA International, Inc. (a)(b)....................... 867 15,225 Syntel, Inc. (b)............... 520 16,349 TeleTech Holdings, Inc. (a)(b)....................... 796 12,059 TNS, Inc. (a)(b)............... 590 11,062 Unisys Corp. (a)(b)............ 6,782 10,241 VeriFone Holdings, Inc. (a)(b)....................... 1,623 12,189 Wright Express Corp. (a)....... 830 21,140 ----------- 403,417 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.4% Brunswick Corp. (b)............ 1,765 7,625 Callaway Golf Co. (b).......... 1,329 6,738 Eastman Kodak Co. (b).......... 5,519 16,336 JAKKS Pacific, Inc. (a)........ 551 7,069 Leapfrog Enterprises, Inc. (a)(b)....................... 704 1,612 Marine Products Corp. (b)...... 289 1,084 Polaris Industries, Inc. (b)... 736 23,640 Pool Corp. (b)................. 1,081 17,901 RC2 Corp. (a).................. 352 4,657 Smith & Wesson Holding Corp. (a)(b)....................... 789 4,482 ----------- 91,144 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% Affymetrix, Inc. (a)(b)........ 1,408 8,349 Albany Molecular Research, Inc. (a).......................... 454 3,809 AMAG Pharmaceuticals, Inc. (a)(b)....................... 368 20,119 Bio-Rad Laboratories, Inc. (Class A) (a)................ 422 31,853 Bruker Corp. (a)(b)............ 1,032 9,556 Cambrex Corp. (a).............. 579 2,385 Clinical Data, Inc. (a)(b)..... 311 3,427 Dionex Corp. (a)(b)............ 385 23,497 Enzo Biochem, Inc. (a)(b)...... 794 3,517 eResearch Technology, Inc. (a).......................... 870 5,403 Exelixis, Inc. (a)............. 2,434 11,854 Kendle International, Inc. (a).......................... 264 3,231 Luminex Corp. (a)(b)........... 899 16,667 Nektar Therapeutics(a)(b)...... 1,952 12,649 PAREXEL International Corp. (a).......................... 1,324 19,039 Sequenom, Inc. (a)(b).......... 1,170 4,575 Varian, Inc. (a)(b)............ 609 24,013 ----------- 203,943 ----------- MACHINERY -- 3.6% Actuant Corp. (Class A) (b).... 1,256 15,323 Albany International Corp. (Class A).................... 514 5,849 Altra Holdings, Inc. (a)....... 535 4,007 American Railcar Industries, Inc. (b)..................... 174 1,437 Ampco-Pittsburgh Corp. ........ 169 3,963 Astec Industries, Inc. (a)(b).. 349 10,362 Badger Meter, Inc. (b)......... 340 13,940 Barnes Group, Inc. (b)......... 911 10,832 Blount International, Inc. (a)(b)....................... 824 7,095 Briggs & Stratton Corp. (b).... 1,116 14,888 Bucyrus International, Inc. (Class A).................... 1,643 46,924 Cascade Corp. (b).............. 199 3,130 Chart Industries, Inc. (a)..... 571 10,381 CIRCOR International, Inc. (b).......................... 339 8,004 CLARCOR, Inc. (b).............. 1,105 32,255 Colfax Corp. (a)............... 565 4,362 Columbus McKinnon Corp. (a)(b)....................... 384 4,858 Crane Co. ..................... 1,101 24,563 Dynamic Materials Corp. (b).... 253 4,878 Energy Recovery, Inc. (a)(b)... 616 4,361 EnPro Industries, Inc. (a)(b).. 406 7,312 ESCO Technologies, Inc. (a)(b)....................... 583 26,118 Federal Signal Corp. (b)....... 965 7,382 Force Protection, Inc. (a)(b).. 1,446 12,783 Freightcar America, Inc. (b)... 235 3,950 Gardner Denver, Inc. (a)....... 1,161 29,222
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Graco, Inc. (b)................ 1,302 $ 28,670 Graham Corp. .................. 204 2,713 IDEX Corp. (b)................. 1,750 42,998 John Bean Technologies Corp. .. 647 8,100 K-Tron International, Inc. (a).......................... 53 4,223 Kaydon Corp. (b)............... 720 23,443 Kennametal, Inc. (b)........... 1,547 29,672 L.B. Foster Co. (a)............ 221 6,646 Lindsay Manufacturing Co. (b).. 229 7,580 Middleby Corp. (a)(b).......... 394 17,305 Mueller Industries, Inc. ...... 837 17,410 Mueller Water Products, Inc. (Class A) (b)................ 2,333 8,725 NACCO Industries, Inc. (b)..... 110 3,159 Nordson Corp. (b).............. 673 26,018 Oshkosh Corp. (b).............. 1,600 23,264 RBC Bearings, Inc. (a)......... 445 9,100 Robbins & Myers, Inc. ......... 543 10,453 Sauer-Danfoss, Inc. (b)........ 221 1,355 Sun Hydraulics Corp. (b)....... 243 3,929 Tecumseh Products Co. (Class A) (a)(b)....................... 315 3,059 Tennant Co. ................... 328 6,032 Terex Corp. (a)................ 2,156 26,023 The Gorman-Rupp Co. (b)........ 293 5,910 The Greenbrier Cos., Inc. (b).. 307 2,207 The Manitowoc Co., Inc. (b).... 2,961 15,575 The Timken Co. (b)............. 1,675 28,609 The Toro Co. (b)............... 799 23,890 Titan International, Inc. (b).. 694 5,184 Trinity Industries, Inc. (b)... 1,726 23,508 Valmont Industries, Inc. (b)... 404 29,120 Wabash National Corp. (b)...... 618 433 Wabtec Corp. (b)............... 1,053 33,875 Watts Water Technologies, Inc. (b).......................... 671 14,453 ----------- 810,820 ----------- MARINE -- 0.4% Alexander & Baldwin, Inc. (b).. 931 21,823 American Commercial Lines, Inc. (a).......................... 193 2,988 Eagle Bulk Shipping, Inc. (b).. 950 4,455 Excel Maritime Carriers, Ltd. ........................ 307 2,066 Genco Shipping & Trading, Ltd. (b).......................... 628 13,640 Horizon Lines, Inc. (b)........ 614 2,370 Kirby Corp. (a)(b)............. 1,166 37,067 TBS International, Ltd. (a)(b)....................... 321 2,507 ----------- 86,916 ----------- MEDIA -- 1.3% Arbitron, Inc. ................ 547 8,692 Ascent Media Corp. (Series A) (a).......................... 326 8,665 Belo Corp. (b)................. 1,849 3,310 Cinemark Holdings, Inc. ....... 719 8,139 CKX, Inc. (a).................. 1,355 9,607 Crown Media Holdings, Inc. (Class A) (a)(b)............. 186 311 Cumulus Media, Inc. (a)(b)..... 643 598 Dolan Media Co. (a)(b)......... 618 7,904 Fisher Communications, Inc. (b).......................... 126 1,612 Gannett Co., Inc. (b).......... 5,057 18,054 Harte-Hanks, Inc. (b).......... 775 7,169 Journal Communications, Inc. .. 840 882 Knology, Inc. (a)(b)........... 684 5,903 Lamar Advertising Co. (Class A) (a)(b)....................... 1,251 19,103 Liberty Media Corp.-Interactive (Class A) (a)(b)............. 1,851 25,100 Live Nation, Inc. (a)(b)....... 1,557 7,567 Martha Stewart Living Omnimedia, Inc. (Class A) (a)(b)....................... 556 1,701 Mediacom Communications Corp. (a)(b)....................... 797 4,073 Meredith Corp. (b)............. 800 20,440 Morningstar, Inc. (a).......... 414 17,069 National CineMedia, Inc. (b)... 958 13,182 Primedia, Inc. ................ 371 746 RCN Corp. (a)(b)............... 758 4,525 Regal Entertainment Group(b)... 1,753 23,297 Scholastic Corp. (b)........... 661 13,081 Sinclair Broadcast Group, Inc. (b).......................... 1,028 1,994 Sirius XM Radio, Inc. (a)(b)... 79,443 34,161 The New York Times Co. (Class A) (b)....................... 2,648 14,590 Valassis Communications, Inc. (a).......................... 946 5,780 Value Line, Inc. .............. 6 197 Warner Music Group Corp. (a)(b)....................... 1,191 6,967 World Wrestling Entertainment, Inc. (Class A) (b)........... 399 5,011 ----------- 299,430 ----------- METALS & MINING -- 1.6% AK Steel Holding Corp. ........ 2,370 45,480 Allied Nevada Gold Corp. (a)(b)....................... 1,144 9,221 AM Castle & Co. (b)............ 354 4,276 AMCOL International Corp. (b).. 519 11,200 Brush Engineered Materials, Inc. (a)(b).................. 413 6,918 Carpenter Technology Corp. (b).......................... 999 20,789 Century Aluminum Co. (a)(b).... 987 6,149 Coeur d'Alene Mines Corp. (a)(b)....................... 1,489 18,315 Commercial Metals Co. (b)...... 2,436 39,049 Haynes International, Inc. (a)(b)....................... 242 5,735 Hecla Mining Co. (a)(b)........ 4,994 13,384 Horsehead Holding Corp. (a)(b)....................... 702 5,230 Kaiser Aluminum Corp. (b)...... 316 11,347 Olympic Steel, Inc. ........... 192 4,698 Royal Gold, Inc. (b)........... 838 34,945 RTI International Metals, Inc. (a)(b)....................... 469 8,287 Schnitzer Steel Industries, Inc. (Class A)............... 452 23,893 Stillwater Mining Co. (a)(b)... 889 5,076 Titanium Metals Corp. (b)...... 1,857 17,066 US Gold Corp. (a).............. 1,529 4,037 Walter Energy, Inc. (b)........ 1,147 41,567 WHX Corp. (a).................. 66 172 Worthington Industries, Inc. (b).......................... 1,352 17,292 ----------- 354,126 ----------- MULTI-UTILITIES -- 0.4% Avista Corp. (b)............... 1,230 21,906 Black Hills Corp. (b).......... 871 20,024 CH Energy Group, Inc. (b)...... 358 16,719 NorthWestern Corp. (b)......... 812 18,481 PNM Resources, Inc. (b)........ 1,779 19,053 ----------- 96,183 ----------- MULTILINE RETAIL -- 0.4% 99 Cents Only Stores (a)(b).... 868 11,787 Big Lots, Inc. (a)(b).......... 1,817 38,211 Dillard's, Inc. (Class A) (b).. 1,229 11,307 Fred's, Inc. (Class A)......... 768 9,677
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Retail Ventures, Inc. (a)(b)... 501 $ 1,092 Saks, Inc. (a)(b).............. 2,527 11,195 ----------- 83,269 ----------- OFFICE ELECTRONICS -- 0.1% Zebra Technologies Corp. (Class A) (a)(b).................... 1,289 30,498 ----------- OIL, GAS & CONSUMABLE FUELS -- 5.4% Alliance Holdings GP LP........ 392 7,522 Alliance Resource Partners LP.. 463 15,047 Alon USA Energy, Inc. ......... 253 2,619 APCO Argentina, Inc. (b)....... 186 3,577 Arena Resources, Inc. (a)(b)... 855 27,232 Atlas America, Inc. (b)........ 759 13,563 Atlas Energy Resources LLC..... 680 13,892 Atlas Pipeline Partners LP (b).......................... 809 6,440 ATP Oil & Gas Corp. (a)(b)..... 574 3,995 Berry Petroleum Co. (Class A) (b).......................... 829 15,411 Bill Barrett Corp. (a)(b)...... 748 20,540 BP Prudhoe Bay Royalty Trust (b).......................... 464 32,016 BPZ Resources, Inc. (a)(b)..... 1,146 5,604 BreitBurn Energy Partners LP... 680 5,222 Brigham Exploration Co. (a)(b)....................... 1,460 5,095 Buckeye GP Holdings LP (b)..... 238 4,827 Calumet Specialty Products Partners LP (b).............. 286 4,433 Capital Product Partners LP (b).......................... 245 2,210 Carrizo Oil & Gas, Inc. (a)(b)....................... 554 9,501 Cheniere Energy Partners LP.... 273 2,012 Cheniere Energy, Inc. (a)(b)... 1,233 3,625 Clayton Williams Energy, Inc. (a)(b)....................... 196 3,699 Clean Energy Fuels Corp. (a)(b)....................... 681 5,863 Comstock Resources, Inc. (a)... 999 33,017 Contango Oil & Gas Co. (a)(b).. 288 12,237 Copano Energy LLC (b).......... 1,066 17,109 Crosstex Energy LP............. 750 2,348 Crosstex Energy, Inc. (b)...... 925 3,848 CVR Energy, Inc. (a)(b)........ 1,107 8,114 DCP Midstream Partners LP (b).. 602 13,033 Delek US Holdings, Inc. (b).... 291 2,468 Delta Petroleum Corp. (a)(b)... 4,720 9,110 DHT Maritime, Inc. (b)......... 827 4,309 Dorchester Minerals LP......... 612 13,978 Duncan Energy Partners LP (b).. 298 4,819 Eagle Rock Energy Partners LP (b).......................... 802 2,558 El Paso Pipeline Partners LP (b).......................... 753 13,200 Enbridge Energy Management LLC (a)(b)....................... 301 10,911 Encore Acquisition Co. (a)..... 1,132 34,922 Encore Energy Partners LP (b).. 654 9,352 EV Energy Partner LP........... 244 4,604 Foundation Coal Holdings, Inc. (b).......................... 978 27,492 Frontier Oil Corp. (b)......... 2,310 30,284 Gastar Exploration, Ltd. (a)... 3,304 1,289 General Maritime Corp. ........ 1,200 11,868 Genesis Energy LP.............. 707 8,993 GMX Resources, Inc. (a)(b)..... 518 5,512 Goodrich Petroleum Corp. (a)(b)....................... 552 13,574 Gulfport Energy Corp. (a)(b)... 534 3,658 Harvest Natural Resources, Inc. (a)(b)....................... 720 3,175 Hiland Partners LP............. 97 709 Holly Corp. (b)................ 941 16,919 Holly Energy Partners LP....... 170 5,397 Hugoton Royalty Trust (b)...... 831 12,000 Inergy Holdings LP (b)......... 200 8,218 Inergy LP (b).................. 1,042 26,561 International Coal Group, Inc. (a)(b)....................... 2,155 6,163 James River Coal Co. (a)(b).... 591 8,942 K-Sea Transportation Partners LP (b)....................... 246 4,824 Legacy Reserves LP............. 385 4,990 Linn Energy LLC................ 2,446 47,868 Magellan Midstream Holdings LP........................... 1,311 27,505 Mariner Energy, Inc. (a)....... 2,127 24,992 Markwest Energy Partners LP.... 1,018 18,528 Martin Midstream Partners LP (b).......................... 180 3,715 Massey Energy Co. (b).......... 1,858 36,305 McMoRan Exploration Co. (a)(b)....................... 1,309 7,802 Natural Resource Partners LP (b).......................... 724 15,240 NuStar GP Holdings LLC (b)..... 773 17,856 OSG America LP................. 143 957 Overseas Shipholding Group, Inc. (b)..................... 494 16,816 Parallel Petroleum Corp. (a)(b)....................... 843 1,635 Patriot Coal Corp. (a)(b)...... 1,690 10,782 Penn Virginia Corp. ........... 878 14,373 Penn Virginia GP Holdings LP (b).......................... 417 5,279 Penn Virginia Resource Partners LP (b)....................... 739 10,028 Petroleum Development Corp. (a).......................... 301 4,723 Petroquest Energy, Inc. (a)(b)....................... 881 3,251 Pioneer Southwest Energy Partners LP (b).............. 172 3,208 Quicksilver Gas Services LP.... 126 1,725 Regency Energy Partners LP..... 1,068 15,550 Rentech, Inc. (a)(b)........... 3,437 1,959 Rosetta Resources, Inc. (a).... 1,039 9,091 SandRidge Energy, Inc. (a)(b).. 3,163 26,949 Ship Finance International, Ltd. (b)..................... 844 9,309 Southern Union Co. (b)......... 2,264 41,635 St. Mary Land & Exploration Co. (b).......................... 1,349 28,154 Stone Energy Corp. (a)......... 692 5,135 Sunoco Logistics Partners LP... 437 23,694 Swift Energy Co. (a)(b)........ 618 10,290 Targa Resources Partners LP (b).......................... 687 9,529 TC Pipelines LP................ 335 11,655 Teekay Corp. (b)............... 958 20,147 Teekay LNG Partners LP (b)..... 583 11,368 Teekay Offshore Partners LP.... 420 5,939 TransMontaigne Partners LP..... 222 4,662 USEC, Inc. (a)(b).............. 2,535 13,486 Vaalco Energy, Inc. (a)(b)..... 1,366 5,778 Venoco, Inc. (a)(b)............ 435 3,336 W&T Offshore, Inc. (b)......... 800 7,792 Warren Resources, Inc. (a)(b).. 1,194 2,925 Western Gas Partners LP (b).... 452 7,011 Western Refining, Inc. (a)(b).. 1,173 8,281 Williams Partners LP (b)....... 844 15,243 Williams Pipeline Partners LP (b).......................... 322 5,815 World Fuel Services Corp. (b).. 635 26,181 ----------- 1,217,952 ----------- PAPER & FOREST PRODUCTS -- 0.3% Buckeye Technologies, Inc. (a).......................... 771 3,462 Clearwater Paper Corp (a)...... 228 5,766 Deltic Timber Corp. (b)........ 233 8,265 Domtar Corp. (a)(b)............ 940 15,585 Glatfelter (b)................. 908 8,081 Louisiana-Pacific Corp. (a)(b)....................... 2,123 7,261
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Neenah Paper, Inc. (b)......... 290 $ 2,555 Schweitzer-Mauduit International, Inc. (b)...... 310 8,435 Wausau-Mosinee Paper Corp. (b).......................... 988 6,639 ----------- 66,049 ----------- PERSONAL PRODUCTS -- 0.7% Bare Escentuals, Inc. (a)...... 1,362 12,081 Chattem, Inc. (a)(b)........... 396 26,968 Elizabeth Arden, Inc. (a)...... 538 4,697 Herbalife, Ltd. ............... 1,335 42,106 Inter Parfums, Inc. (b)........ 287 2,106 NBTY, Inc. (a)(b).............. 1,229 34,559 Nu Skin Enterprises, Inc. (Class A).................... 1,112 17,014 Prestige Brands Holdings, Inc. (a).......................... 706 4,342 Revlon, Inc. (a)(b)............ 400 2,176 USANA Health Sciences, Inc. (a)(b)....................... 165 4,905 ----------- 150,954 ----------- PHARMACEUTICALS -- 1.2% Acura Pharmaceuticals, Inc. (a)(b)....................... 216 1,292 Akorn, Inc. (a)(b)............. 1,037 1,244 Ardea Biosciences, Inc. (a).... 307 4,832 Auxilium Pharmaceuticals, Inc. (a)(b)....................... 902 28,305 Biodel, Inc. (a)(b)............ 288 1,486 Cadence Pharmaceuticals, Inc. (a)(b)....................... 534 5,335 Caraco Pharmaceutical Laboratories, Ltd. (a)(b).... 223 685 Cypress Bioscience, Inc. (a)(b)....................... 890 8,384 Durect Corp. (a)(b)............ 1,816 4,322 Impax Laboratories, Inc. (a)(b)....................... 1,107 8,147 Inspire Pharmaceuticals, Inc. (a)(b)....................... 954 5,304 MAP Pharmaceuticals, Inc. (a).. 26 318 Matrixx Initiatives, Inc. (a)(b)....................... 241 1,347 Medicis Pharmaceutical Corp. (Class A) (b)................ 1,279 20,873 Noven Pharmaceuticals, Inc. (a)(b)....................... 494 7,064 Optimer Pharmaceuticals, Inc. (a)(b)....................... 636 9,521 Pain Therapeutics, Inc. (a)(b)....................... 690 3,705 Par Pharmaceutical Cos., Inc. (a).......................... 699 10,590 POZEN, Inc. (a)(b)............. 595 4,569 Questcor Pharmaceuticals, Inc. (a)(b)....................... 1,294 6,470 Salix Pharmaceuticals, Ltd. (a).......................... 987 9,742 Sepracor, Inc. (a)(b).......... 2,409 41,724 Sucampo Pharmaceuticals, Inc. (a)(b)....................... 139 858 The Medicines Co. (a)(b)....... 1,184 9,934 Valeant Pharmaceuticals International (a)(b)......... 1,513 38,914 ViroPharma, Inc. (a)(b)........ 1,604 9,512 VIVUS, Inc. (a)(b)............. 1,398 8,500 XenoPort, Inc. (a)............. 619 14,342 ----------- 267,319 ----------- PROFESSIONAL SERVICES -- 1.0% Administaff, Inc. (b).......... 463 10,774 Advisory Board Co. (a)......... 301 7,736 CBIZ, Inc. (a)(b).............. 1,058 7,533 CDI Corp. ..................... 281 3,133 CoStar Group, Inc. (a)(b)...... 445 17,742 CRA International, Inc. (a)(b)....................... 217 6,024 Exponent, Inc. (a)............. 296 7,255 First Advantage Corp. (Class A) (a).......................... 233 3,544 Heidrick & Struggles International, Inc. (b)...... 341 6,223 Hill International, Inc. (a)(b)....................... 620 2,666 Huron Consulting Group, Inc. (a)(b)....................... 472 21,821 ICF International, Inc. (a).... 173 4,773 Kelly Services, Inc. (Class A)........................... 552 6,045 Kforce, Inc. (a)............... 756 6,252 Korn/Ferry International(a).... 934 9,938 LECG Corp. (a)................. 488 1,591 Monster Worldwide, Inc. (a)(b)....................... 2,712 32,029 MPS Group, Inc. (a)............ 2,029 15,502 Navigant Consulting, Inc. (a)(b)....................... 1,097 14,173 Odyssey Marine Exploration, Inc. (a)(b).................. 1,274 2,038 Resources Connection, Inc. (a)(b)....................... 955 16,397 School Specialty, Inc. (a)(b).. 334 6,750 Spherion Corp. (a)............. 1,110 4,573 The Corporate Executive Board Co. (b)...................... 707 14,677 TrueBlue, Inc. (a)(b).......... 893 7,501 Volt Information Sciences, Inc. (a)(b)....................... 268 1,680 ----------- 238,370 ----------- REAL ESTATE INVESTMENT TRUSTS -- 6.4% Acadia Realty Trust............ 860 11,223 Alexander's, Inc. (b).......... 53 14,289 Alexandria Real Estate Equities, Inc. .............. 844 30,207 American Campus Communities, Inc. (b)..................... 1,094 24,265 American Capital Agency Corp. (b).......................... 246 5,651 Anthracite Capital, Inc. (b)... 1,515 939 Anworth Mortgage Asset Corp. .. 2,262 16,309 Apartment Investment & Management Co. (Class A) (b).......................... 2,555 22,612 Ashford Hospitality Trust, Inc. (b).......................... 2,071 5,820 BioMed Realty Trust, Inc. (b).. 2,117 21,657 Brandywine Realty Trust (b).... 2,667 19,869 BRE Properties, Inc. (b)....... 1,147 27,253 Camden Property Trust (b)...... 1,417 39,109 Capital Lease Funding, Inc. (b).......................... 902 2,490 Capstead Mortgage Corp. (b).... 1,252 15,913 CBL & Associates Properties, Inc. (b)..................... 2,810 15,146 Cedar Shopping Centers, Inc. (b).......................... 914 4,131 Chimera Investment Corp. (b)... 13,121 45,792 Colonial Properties Trust (b).. 857 6,342 Corporate Office Properties Trust (b).................... 1,245 36,516 Cousins Properties, Inc. (b)... 852 7,242 DCT Industrial Trust, Inc. (b).......................... 3,960 16,157 Developers Diversified Realty Corp. (b).................... 2,884 14,074 DiamondRock Hospitality Co. (b).......................... 2,368 14,824 Douglas Emmett, Inc. (b)....... 2,478 22,277 Duke Realty Corp. (b).......... 4,667 40,930 DuPont Fabros Technology, Inc. (b).......................... 733 6,905 EastGroup Properties, Inc. (b).......................... 548 18,095 Education Realty Trust, Inc. .. 551 2,364 Entertainment Properties Trust........................ 691 14,235 Equity Lifestyle Properties, Inc. (b)..................... 512 19,036 Equity One, Inc. (b)........... 805 10,674 Essex Property Trust, Inc. (b).......................... 599 37,276 Extra Space Storage, Inc. (b).. 1,961 16,374 FelCor Lodging Trust, Inc. (b).......................... 1,276 3,139 First Industrial Realty Trust, Inc. (b)..................... 887 3,858 First Potomac Realty Trust (b).......................... 574 5,596 Franklin Street Properties Corp. (b).................... 1,446 19,159 Getty Realty Corp. (b)......... 373 7,038 Government Properties Income Trust (a)(b)................. 217 4,455 Hatteras Financial Corp. (b)... 815 23,301
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Healthcare Realty Trust, Inc. (b).......................... 1,327 $ 22,333 Highwoods Properties, Inc. .... 1,434 32,079 Home Properties, Inc. (b)...... 727 24,791 Hospitality Properties Trust (b).......................... 2,406 28,607 HRPT Properties Trust (b)...... 5,107 20,734 Inland Real Estate Corp. (b)... 1,663 11,641 Investors Real Estate Trust (b).......................... 1,329 11,815 iStar Financial, Inc. (b)...... 2,180 6,191 Kilroy Realty Corp. (b)........ 870 17,870 Kite Realty Group Trust (b).... 832 2,429 LaSalle Hotel Properties (b)... 1,375 16,967 Lexington Realty Trust (b)..... 1,745 5,933 LTC Properties, Inc. (b)....... 502 10,266 Mack-Cali Realty Corp. (b)..... 1,664 37,939 Maguire Properties, Inc. (a)(b)....................... 767 652 Medical Properties Trust, Inc. (b).......................... 1,656 10,052 MFA Financial, Inc. ........... 4,831 33,431 Mid-America Apartment Communities, Inc. (b)........ 636 23,348 National Health Investors, Inc. (b).......................... 507 13,542 National Retail Properties, Inc. (b)..................... 1,759 30,519 NorthStar Realty Finance Corp. (b).......................... 1,249 3,535 OMEGA Healthcare Investors, Inc. (b)..................... 1,737 26,958 Parkway Properties, Inc. (b)... 431 5,603 Pennsylvania Real Estate Investment Trust (b)......... 802 4,010 Post Properties, Inc. (b)...... 1,013 13,615 Potlatch Corp. ................ 891 21,642 PS Business Parks, Inc. (b).... 321 15,549 RAIT Investment Trust (b)...... 1,184 1,622 Ramco-Gershenson Properties Trust (b).................... 372 3,724 Redwood Trust, Inc. (b)........ 1,466 21,638 Saul Centers, Inc. (b)......... 220 6,505 Senior Housing Properties Trust (b).......................... 2,604 42,497 SL Green Realty Corp. (b)...... 1,606 36,842 Sovran Self Storage, Inc. (b).. 515 12,669 Strategic Hotels & Resorts, Inc. (b)..................... 1,513 1,679 Sun Communities, Inc. (b)...... 341 4,699 Sunstone Hotel Investors, Inc. ........................ 1,601 8,565 Tanger Factory Outlet Centers, Inc. (b)..................... 711 23,058 Taubman Centers, Inc. (b)...... 1,142 30,674 The Macerich Co. .............. 1,673 29,462 U-Store-It Trust (b)........... 945 4,630 UDR, Inc. (b).................. 3,077 31,785 Universal Health Realty Income Trust........................ 228 7,187 Urstadt Biddle Properties (b).. 69 916 Urstadt Biddle Properties (Class A) (b)................ 399 5,618 Washington Real Estate Investment Trust (b)......... 1,191 26,643 Weingarten Realty Investors (b).......................... 2,595 37,653 ----------- 1,462,659 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% Avatar Holdings, Inc. (a)(b)... 112 2,035 CB Richard Ellis Group, Inc. (Class A) (a)................ 4,900 45,864 Forest City Enterprises, Inc. (Class A) (b)................ 2,529 16,692 Forestar Real Estate Group, Inc. (a)(b).................. 672 7,983 Jones Lang LaSalle, Inc. (b)... 858 28,082 Tejon Ranch Co. (a)(b)......... 266 7,046 ----------- 107,702 ----------- ROAD & RAIL -- 1.0% Amerco, Inc. (a)............... 129 4,792 Arkansas Best Corp. (b)........ 525 13,834 Avis Budget Group, Inc. (a)(b)....................... 2,074 11,718 Con-way, Inc. (b).............. 1,013 35,769 Genesee & Wyoming, Inc. (Class A) (a)....................... 724 19,193 Heartland Express, Inc. (b).... 1,201 17,679 Knight Transportation, Inc. (b).......................... 1,270 21,018 Landstar Systems, Inc. ........ 1,121 40,255 Marten Transport, Ltd. (a)..... 306 6,353 Old Dominion Freight Line, Inc. (a)(b)....................... 687 23,063 Patriot Transportation Holding, Inc. (a)(b).................. 44 3,209 Universal Truckload Services, Inc. (b)..................... 157 2,457 Werner Enterprises, Inc. (b)... 1,157 20,965 YRC Worldwide, Inc. (a)(b)..... 1,158 2,003 ----------- 222,308 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% Actel Corp. (a)(b)............. 514 5,515 Advanced Analogic Technologies, Inc. (a)(b).................. 913 4,191 Advanced Energy Industries, Inc. (a)..................... 678 6,095 Amkor Technology, Inc. (a)(b).. 2,164 10,236 Anadigics, Inc. (a)............ 1,270 5,321 Applied Micro Circuits Corp. (a)(b)....................... 1,309 10,642 Atheros Communications, Inc. (a)(b)....................... 1,259 24,223 Atmel Corp. (a)................ 8,719 32,522 ATMI, Inc. (a)................. 734 11,399 Brooks Automation, Inc. (a)(b)....................... 1,205 5,398 Cabot Microelectronics Corp. (a)(b)....................... 534 15,107 Cavium Networks, Inc. (a)(b)... 839 14,104 Cirrus Logic, Inc. (a)(b)...... 1,182 5,319 Cohu, Inc. .................... 432 3,879 Cymer, Inc. (a)(b)............. 642 19,087 Cypress Semiconductor Corp. (a)(b)....................... 3,141 28,897 Diodes, Inc. (a)(b)............ 627 9,806 DSP Group, Inc. (a)(b)......... 485 3,279 Entegris, Inc. (a)............. 2,298 6,251 Exar Corp. (a)(b).............. 782 5,623 Fairchild Semiconductor International, Inc. (a)(b)... 2,691 18,810 FEI Co. (a).................... 846 19,373 Formfactor, Inc. (a)(b)........ 1,100 18,964 Hittite Microwave Corp. (a)(b)....................... 436 15,151 Integrated Device Technology, Inc. (a)..................... 3,573 21,581 International Rectifier Corp. (a)(b)....................... 1,638 24,259 IXYS Corp. (b)................. 504 5,100 Kulicke & Soffa Industries, Inc. (a)(b).................. 1,098 3,766 Lattice Semiconductor Corp. (a)(b)....................... 2,254 4,237 Micrel, Inc. .................. 1,024 7,496 Microsemi Corp. (a)............ 1,824 25,171 MKS Instruments, Inc. (a)...... 990 13,058 Monolithic Power Systems, Inc. (a).......................... 701 15,709 Netlogic Microsystems, Inc. (a).......................... 423 15,423 Novellus Systems, Inc. (a)..... 2,118 35,371 OmniVision Technologies, Inc. (a)(b)....................... 1,036 10,764 PMC-Sierra, Inc. (a)(b)........ 4,707 37,468 Power Integrations, Inc. (b)... 604 14,369 Rambus, Inc. (a)(b)............ 2,279 35,302 RF Micro Devices, Inc. (a)(b).. 4,904 18,439 Rubicon Technology, Inc. (a)(b)....................... 278 3,970
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Semtech Corp. (a)(b)........... 1,297 $ 20,635 Sigma Designs, Inc. (a)(b)..... 535 8,581 Silicon Image, Inc. (a)........ 1,479 3,402 Silicon Laboratories, Inc. (a)(b)....................... 982 37,257 Silicon Storage Technology, Inc. (a)(b).................. 1,846 3,452 Skyworks Solutions, Inc. (a)(b)....................... 3,692 36,108 Standard Microsystems Corp. (a)(b)....................... 464 9,489 Supertex, Inc. (a)(b).......... 265 6,654 Teradyne, Inc. (a)(b).......... 3,826 26,246 Tessera Technologies, Inc. (a).......................... 1,015 25,669 Trident Microsystems, Inc. (a).......................... 1,211 2,107 TriQuint Semiconductor, Inc. (a).......................... 3,205 17,019 Ultratech, Inc. (a)............ 371 4,567 Veeco Instruments, Inc. (a)(b)....................... 616 7,139 Volterra Semiconductor Corp. (a)(b)....................... 607 7,976 Zoran Corp. (a)................ 1,044 11,380 ----------- 818,356 ----------- SOFTWARE -- 3.8% ACI Worldwide, Inc. (a)(b)..... 781 10,903 Advent Software, Inc. (a)(b)... 307 10,067 ArcSight, Inc. (a)(b).......... 405 7,197 Ariba, Inc. (a)................ 1,943 19,119 Blackbaud, Inc. (b)............ 896 13,933 Blackboard, Inc. (a)........... 643 18,557 Cadence Design Systems, Inc. (a)(b)....................... 5,797 34,202 Commvault Systems, Inc. (a)(b)....................... 895 14,839 Compuware Corp. (a)............ 5,347 36,680 Concur Technologies, Inc. (a)(b)....................... 912 28,345 Deltek, Inc. (a)............... 307 1,332 DemandTec, Inc. (a)(b)......... 435 3,828 Ebix, Inc. (a)(b).............. 193 6,045 Epicor Software Corp. (a)(b)... 1,088 5,766 EPIQ Systems, Inc. (a)(b)...... 713 10,945 Fair Isaac Corp. (b)........... 1,100 17,006 FalconStor Software, Inc. (a).. 768 3,648 i2 Technologies, Inc. (a)(b)... 351 4,405 Informatica Corp. (a).......... 1,891 32,506 Jack Henry & Associates, Inc. ........................ 1,818 37,723 JDA Software Group, Inc. (a)... 734 10,981 Kenexa Corp. (a)(b)............ 400 4,628 Lawson Software, Inc. (a)...... 2,643 14,748 Macrovision Solutions Corp. (a)(b)....................... 1,786 38,953 Manhattan Associates, Inc. (a)(b)....................... 493 8,982 Mentor Graphics Corp. (a)(b)... 2,133 11,668 MICROS Systems, Inc. (a)(b).... 1,749 44,285 MicroStrategy, Inc. (a)........ 193 9,692 Monotype Imaging Holdings, Inc. (a)(b)....................... 462 3,146 MSC Software Corp. (a)(b)...... 895 5,961 Netscout Systems, Inc. (a)..... 526 4,934 NetSuite, Inc. (a)(b).......... 372 4,393 Novell, Inc. (a)(b)............ 7,409 33,563 OPNET Technologies, Inc. (b)... 339 3,105 Parametric Technology Corp. (a).......................... 2,516 29,412 Pegasystems, Inc. ............. 314 8,283 Progress Software Corp. (a).... 840 17,783 Quality Systems, Inc. (b)...... 406 23,126 Quest Software, Inc. (a)(b).... 1,480 20,631 Radiant Systems, Inc. (a)...... 562 4,665 Renaissance Learning, Inc. (b).......................... 147 1,354 Rosetta Stone, Inc. (a)(b)..... 125 3,430 S1 Corp. (a)................... 1,005 6,934 Solarwinds, Inc. (a)........... 263 4,337 Solera Holdings, Inc. (a)...... 1,502 38,151 SonicWALL, Inc. (a)(b)......... 1,154 6,324 SPSS, Inc. (a)(b).............. 416 13,882 SuccessFactors, Inc. (a)(b).... 523 4,801 Symyx Technologies, Inc. (a)... 698 4,083 Synchronoss Technologies, Inc. (a)(b)....................... 377 4,626 Take-Two Interactive Software, Inc. (b)..................... 1,754 16,610 Taleo Corp. (a)(b)............. 679 12,405 TeleCommunication Systems, Inc. (Class A) (a)(b)............. 824 5,859 THQ, Inc. (a)(b)............... 1,362 9,752 TIBCO Software, Inc. (a)(b).... 3,727 26,723 TiVo, Inc. (a)(b).............. 2,214 23,203 Tyler Technologies, Inc. (a)(b)....................... 763 11,918 Ultimate Software Group, Inc. (a)(b)....................... 498 12,072 Vasco Data Security International (a)(b)......... 593 4,335 Websense, Inc. (a)(b).......... 898 16,020 Wind River Systems, Inc. (a)... 1,488 17,052 ----------- 863,856 ----------- SPECIALTY RETAIL -- 3.6% Aaron's, Inc. (b).............. 1,077 32,116 Aeropostale, Inc. (a)(b)....... 1,452 49,760 AnnTaylor Stores Corp. (a)(b).. 1,201 9,584 Asbury Automotive Group, Inc. ........................ 638 6,533 AutoNation, Inc. (a)(b)........ 1,635 28,367 Barnes & Noble, Inc. .......... 852 17,577 Bebe Stores, Inc. ............. 601 4,135 Big 5 Sporting Goods Corp. .... 382 4,225 Blockbuster, Inc. (Class A) (a)(b)....................... 3,646 2,406 Brown Shoe Co., Inc. (b)....... 855 6,190 Cabela's, Inc. (a)(b).......... 828 10,184 Charlotte Russe Holding, Inc. (a).......................... 421 5,422 Charming Shoppes, Inc. (a)(b).. 1,965 7,310 Chico's FAS, Inc. (a)(b)....... 3,855 37,509 Christopher & Banks Corp. (b).. 696 4,670 Coldwater Creek, Inc. (a)(b)... 1,189 7,205 Collective Brands, Inc. (a)(b)....................... 1,357 19,772 Conn's, Inc. (a)(b)............ 227 2,838 Dick's Sporting Goods, Inc. (a)(b)....................... 1,789 30,771 DSW, Inc. (Class A) (a)(b)..... 288 2,837 Foot Locker, Inc. (b).......... 3,360 35,179 Genesco, Inc. (a)(b)........... 389 7,302 Group 1 Automotive, Inc. (b)... 475 12,360 Gymboree Corp. (a)(b).......... 606 21,501 hhgregg, Inc. (a)(b)........... 316 4,791 Hibbett Sports, Inc. (a)(b).... 651 11,718 Hot Topic, Inc. (a)(b)......... 924 6,754 J. Crew Group, Inc. (a)(b)..... 1,134 30,641 Jo-Ann Stores, Inc. (a)........ 595 12,299 Jos. A. Bank Clothiers, Inc. (a)(b)....................... 416 14,335 Lumber Liquidators, Inc. (a)(b)....................... 260 4,098 Mens Wearhouse, Inc. (b)....... 1,058 20,292 Monro Muffler Brake, Inc. (b).. 444 11,415 New York & Co., Inc. (a)(b).... 534 1,650 Office Depot, Inc. (a)(b)...... 5,988 27,305 OfficeMax, Inc. (b)............ 1,533 9,627 Pacific Sunwear of California, Inc. (a)..................... 1,401 4,721 Penske Automotive Group, Inc. (b).......................... 846 14,077 RadioShack Corp. (b)........... 2,706 37,776 Rent-A-Center, Inc. (a)........ 1,432 25,533 Sally Beauty Holdings, Inc. (a)(b)....................... 1,727 10,984 Signet Jewelers, Ltd. ......... 1,874 39,017
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Stage Stores, Inc. ............ 789 $ 8,758 Systemax, Inc. (a)(b).......... 254 3,025 Talbots, Inc. (b).............. 456 2,462 The Buckle, Inc. (b)........... 541 17,188 The Cato Corp. (Class A) (b)... 634 11,057 The Children's Place Retail Stores, Inc. (a)(b).......... 501 13,241 The Dress Barn, Inc. (a)(b).... 1,017 14,543 The Finish Line, Inc. (Class A) (b).......................... 902 6,693 The Pep Boys -- Manny, Moe & Jack (b)..................... 924 9,369 The Wet Seal, Inc. (Class A) (a)(b)....................... 2,080 6,386 Tractor Supply Co. (a)(b)...... 786 32,478 Tween Brands, Inc. (a)(b)...... 491 3,280 Ulta Salon Cosmetics & Fragrance, Inc. (a)(b)....... 561 6,238 Williams-Sonoma, Inc. (b)...... 2,139 25,390 Zumiez, Inc. (a)(b)............ 405 3,244 ----------- 816,138 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% American Apparel, Inc. (a)(b).. 684 2,490 Carter's, Inc. (a)(b).......... 1,169 28,769 Columbia Sportswear Co. (b).... 303 9,369 Crocs, Inc. (a)(b)............. 1,665 5,661 Deckers Outdoor Corp. (a)(b)... 295 20,730 FGX International Holdings, Ltd. (a)(b).................. 352 4,006 Fossil, Inc. (a)(b)............ 967 23,285 Hanesbrands, Inc. (a)(b)....... 2,061 30,936 Iconix Brand Group, Inc. (a)(b)....................... 1,270 19,533 Jones Apparel Group, Inc. ..... 1,923 20,634 K-Swiss, Inc. (Class A) (b).... 525 4,462 Kenneth Cole Productions, Inc. (Class A) (b)................ 167 1,174 Liz Claiborne, Inc. (b)........ 1,911 5,504 Maidenform Brands, Inc. (a)(b)....................... 368 4,221 Movado Group, Inc. (b)......... 368 3,879 Oxford Industries, Inc. (b).... 282 3,285 Phillips-Van Heusen Corp. ..... 1,114 31,961 Quiksilver, Inc. (a)........... 2,544 4,706 Skechers USA, Inc. (a)(b)...... 666 6,507 Steven Madden, Ltd. (a)(b)..... 324 8,246 The Timberland Co. (Class A) (a).......................... 999 13,257 The Warnaco Group, Inc. (a)(b)....................... 991 32,108 True Religion Apparel, Inc. (a)(b)....................... 550 12,265 Under Armour, Inc. (Class A) (a)(b)....................... 780 17,456 UniFirst Corp. (b)............. 285 10,593 Volcom, Inc. (a)(b)............ 301 3,762 Weyco Group, Inc. (b).......... 172 3,971 Wolverine World Wide, Inc. (b).......................... 1,062 23,428 ----------- 356,198 ----------- THRIFTS & MORTGAGE FINANCE -- 1.3% Astoria Financial Corp. (b).... 1,974 16,937 Bank Mutual Corp. ............. 986 8,598 BankFinancial Corp. (b)........ 487 4,315 Beneficial Mutual Bancorp, Inc. (a).......................... 754 7,238 Berkshire Hills Bancorp, Inc. ........................ 286 5,943 Brookline Bancorp, Inc. (b).... 1,349 12,573 Clifton Savings Bancorp, Inc. (b).......................... 226 2,432 Danvers Bancorp, Inc. (b)...... 425 5,716 Dime Community Bancshares (b).. 662 6,031 Doral Financial Corp. (a)(b)... 96 240 ESSA Bancorp, Inc. (b)......... 331 4,525 Fannie Mae (b)................. 24,235 14,056 First Financial Holdings, Inc. (b).......................... 256 2,406 First Financial Northwest, Inc. (b).......................... 339 2,651 First Niagara Financial Group, Inc. ........................ 3,161 36,099 Flushing Financial Corp. ...... 409 3,824 Freddie Mac (a)(b)............. 14,668 9,094 Guaranty Financial Group, Inc. (a)(b)....................... 1,552 295 Kearny Financial Corp. (b)..... 446 5,102 Meridian Interstate Bancorp, Inc. (a)..................... 282 2,101 MGIC Investment Corp. (b)...... 2,516 11,070 New Alliance Bancshares, Inc. (b).......................... 2,239 25,749 Northwest Bancorp, Inc. (b).... 399 7,525 Ocwen Financial Corp. (a)(b)... 812 10,532 Oritani Financial Corp. (a)(b)....................... 202 2,769 Provident Financial Services, Inc. (b)..................... 1,279 11,639 Provident New York Bancorp (b).......................... 761 6,179 Radian Group, Inc. (b)......... 1,728 4,700 Rockville Financial, Inc. (b).. 228 2,497 Roma Financial Corp. .......... 161 2,051 The PMI Group, Inc. (b)........ 1,590 3,148 TrustCo Bank Corp. NY (b)...... 1,767 10,443 United Financial Bancorp, Inc. ........................ 213 2,944 ViewPoint Financial Group (b).. 230 3,503 Washington Federal, Inc. (b)... 1,973 25,649 Waterstone Financial, Inc. (a)(b)....................... 185 550 Westfield Financial, Inc. (b).. 705 6,387 WSFS Financial Corp. (b)....... 124 3,386 ----------- 290,897 ----------- TOBACCO -- 0.2% Alliance One International, Inc. (a)(b).................. 1,801 6,844 Star Scientific, Inc. (a)(b)... 1,652 1,470 Universal Corp. (b)............ 574 19,005 Vector Group, Ltd. (b)......... 808 11,547 ----------- 38,866 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% Aceto Corp. (b)................ 606 4,042 Aircastle, Ltd. (b)............ 905 6,652 Applied Industrial Technologies, Inc. .......... 880 17,336 Beacon Roofing Supply, Inc. (a)(b)....................... 1,023 14,793 GATX Corp. (b)................. 902 23,199 H&E Equipment Services, Inc. (a)(b)....................... 731 6,835 Interline Brands, Inc. (a)..... 649 8,878 Kaman Corp. (Class A).......... 508 8,484 Lawson Products, Inc. ......... 85 1,208 RSC Holdings, Inc. (a)(b)...... 993 6,673 Rush Enterprises, Inc. (a)(b).. 661 7,701 TAL International Group, Inc. (b).......................... 229 2,496 Textainer Group Holdings, Ltd. (b).......................... 368 4,228 Titan Machinery, Inc. (a)(b)... 349 4,429 United Rentals, Inc. (a)....... 1,034 6,711 Watsco, Inc. (b)............... 541 26,471 WESCO International, Inc. (a)(b)....................... 914 22,886 ----------- 173,022 ----------- TRANSPORTATION INFRASTRUCTURE -- 0.0% (d) Macquarie Infrastructure Co. LLC (b)...................... 902 3,707 ----------- WATER UTILITIES -- 0.2% American States Water Co. (b).. 364 12,609 California Water Service Group........................ 436 16,062 Connecticut Water Service, Inc. ........................ 204 4,425
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Middlesex Water Co. ........... 304 $ 4,393 SJW Corp. ..................... 260 5,902 ----------- 43,391 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% Centennial Communications Corp. (a)(b)....................... 1,537 12,849 ICO Global Communications Holdings, Ltd. (a)(b)........ 2,254 1,398 iPCS, Inc. (a)................. 315 4,713 Shenandoah Telecommunications Co. (b)...................... 538 10,916 Syniverse Holdings, Inc. (a)... 1,535 24,606 USA Mobility, Inc. (b)......... 459 5,857 ----------- 60,339 ----------- TOTAL COMMON STOCKS -- (Cost $27,393,885)........... 22,606,759 ----------- WARRANTS -- 0.0% (d) COMMUNICATIONS EQUIPMENT -- 0.0% (d) Pegasus Wireless Corp. (expiring 12/18/09) (a)(c) (Cost $0).................... 97 0 ----------- SHORT TERM INVESTMENTS -- 29.6% MONEY MARKET FUNDS -- 29.6% State Street Navigator Securities Lending Prime Portfolio (e)(f)............. 6,570,359 6,570,359 STIC Prime Portfolio........... 126,782 126,782 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $6,697,141)............ 6,697,141 ----------- TOTAL INVESTMENTS -- 129.4% (g) (Cost $34,091,026)........... 29,303,900 OTHER ASSETS AND LIABILITIES -- (29.4)%....... (6,652,474) ----------- NET ASSETS -- 100.0%........... $22,651,426 ===========
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Security is valued at fair value as determined in good faith by Trust's Pricing and Investment Committee in accordance with procedures approved by th Board of Trustees. Security value is determined based on inputs established under FAS 157. Teton Advisors, Inc.'s value is determined based on Level 3 inputs and Pegasus Wireless Corp.'s value is determined based on Level 2 inputs. (Note 2) (d) Amount represents less than 0.05% of net assets. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (f) Investments of cash collateral for securities loaned. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% AAR Corp. (a)(b).............. 6,702 $ 107,567 Aerovironment, Inc. (a)....... 2,480 76,533 American Science & Engineering, Inc. (b)....... 1,631 112,735 Argon ST, Inc. (a)............ 2,200 45,254 Axsys Technologies, Inc. (a)(b)...................... 1,673 89,740 BE Aerospace, Inc. (a)(b)..... 17,240 247,566 Ceradyne, Inc. (a)(b)......... 4,509 79,629 DigitalGlobe, Inc. (a)........ 2,509 48,173 DynCorp International, Inc. (a)......................... 4,183 70,232 Heico Corp. (Class A) (b)..... 3,451 100,976 Hexcel Corp. (a)(b)........... 16,698 159,132 Ladish Co., Inc. (a)(b)....... 2,445 31,712 Moog, Inc. (Class A) (a)(b)... 6,696 172,824 Orbital Sciences Corp. (a)(b)...................... 9,885 149,955 Stanley, Inc. (a)(b).......... 3,043 100,054 Taser International, Inc. (a)(b)...................... 10,750 49,020 Teledyne Technologies, Inc. (a)(b)...................... 5,785 189,459 TransDigm Group, Inc. (a)(b).. 6,450 233,490 ------------ 2,064,051 ------------ AIR FREIGHT & LOGISTICS -- 0.5% Atlas Air Worldwide Holdings, Inc. (a).................... 2,155 49,975 Forward Air Corp. (b)......... 5,028 107,197 HUB Group, Inc. (Class A) (a)......................... 6,560 135,398 UTI Worldwide, Inc. (a)....... 17,272 196,901 ------------ 489,471 ------------ AIRLINES -- 0.7% AirTran Holdings, Inc. (a)(b)...................... 20,724 128,281 Allegiant Travel Co. (a)(b)... 2,462 97,594 Hawaiian Holdings, Inc. (a)... 9,000 54,180 JetBlue Airways Corp. (a)(b).. 43,348 185,096 Republic Airways Holdings, Inc. (a)(b)................. 5,524 36,072 SkyWest, Inc. ................ 10,284 104,897 US Airways Group, Inc. (a)(b)...................... 20,786 50,510 ------------ 656,630 ------------ AUTO COMPONENTS -- 0.4% Drew Industries, Inc. (a)(b).. 3,179 38,688 Exide Technologies(a)(b)...... 8,135 30,344 Fuel Systems Solutions, Inc. (a)(b)...................... 2,087 42,137 Gentex Corp. (b).............. 23,850 276,660 Raser Technologies, Inc. (a)(b)...................... 7,044 19,723 ------------ 407,552 ------------ AUTOMOBILES -- 0.1% Thor Industries, Inc. (b)..... 6,609 121,407 ------------ BEVERAGES -- 0.1% Boston Beer Co., Inc. (Class A) (a)(b)................... 1,754 51,901 ------------ BIOTECHNOLOGY -- 4.9% Acorda Therapeutics, Inc. (a)......................... 6,489 182,925 Affymax, Inc. (a)(b).......... 1,408 25,949 Alkermes, Inc. (a)(b)......... 16,448 177,967 Allos Therapeutics, Inc. (a)(b)...................... 10,768 89,267 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 5,961 132,751 Amicus Therapeutics, Inc. (a)(b)...................... 1,694 19,396 Arena Pharmaceuticals, Inc. (a)(b)...................... 13,939 69,556 Ariad Pharmaceuticals, Inc. (a)(b)...................... 17,620 28,016 Array BioPharma, Inc. (a)(b).. 9,395 29,500 Celera Corp. (a)(b)........... 13,964 106,545 Cepheid, Inc. (a)(b).......... 9,988 94,087 Cubist Pharmaceuticals, Inc. (a)(b)...................... 9,899 181,449 Emergent Biosolutions, Inc. (a)(b)...................... 2,658 38,089 Enzon Pharmaceuticals, Inc. (a)(b)...................... 6,896 54,272 Facet Biotech Corp. (a)(b).... 3,887 36,110 Genomic Health, Inc. (a)(b)... 2,622 45,439 Geron Corp. (a)(b)............ 15,918 122,091 GTX, Inc. (a)(b).............. 2,408 22,226 Halozyme Therapeutics, Inc. (a)(b)...................... 12,108 84,393 Human Genome Sciences, Inc. (a)(b)...................... 23,551 67,356 Idenix Pharmaceuticals, Inc. (a)(b)...................... 3,315 12,199 Immunogen, Inc. (a)(b)........ 8,742 75,269 Incyte Corp. (a)(b)........... 16,815 55,321 InterMune, Inc. (a)(b)........ 6,131 93,191 Isis Pharmaceuticals, Inc. (a)(b)...................... 16,048 264,792 Lexicon Genetics, Inc. (a)(b)...................... 14,643 18,157 Ligand Pharmaceuticals, Inc. (Class B) (a)(b)............ 19,525 55,842 MannKind Corp. (a)(b)......... 9,597 79,751 Martek Biosciences Corp. (b).. 5,658 119,667 Maxygen, Inc. (a)(b).......... 4,760 31,987 Medarex, Inc. (a)(b).......... 22,094 184,485 Medivation, Inc. (a)(b)....... 5,650 126,617 Metabolix, Inc. (a)(b)........ 3,132 25,745 Micromet, Inc. (a)(b)......... 8,090 40,288 Momenta Pharmaceuticals, Inc. (a)(b)...................... 5,138 61,810 Neurocrine Biosciences, Inc. (a)(b)...................... 7,102 22,939 NPS Pharmaceuticals, Inc. (a)(b)...................... 8,995 41,917 Onyx Pharmaceuticals, Inc. (a)(b)...................... 9,836 277,965 Opko Health, Inc. (a)......... 17,456 30,897 Orexigen Therapeutics, Inc. (a)(b)...................... 3,883 19,920 Osiris Therapeutics, Inc. (a)(b)...................... 2,944 39,538 PDL BioPharma, Inc. (b)....... 20,679 163,364 Pharmasset, Inc. (a)(b)....... 4,124 46,395 Progenics Pharmaceuticals, Inc. (a)(b)................. 4,457 22,954 Regeneron Pharmaceuticals, Inc. (a)(b)................. 11,077 198,500 Rigel Pharmaceuticals, Inc. (a)(b)...................... 6,313 76,514 Sangamo Biosciences, Inc. (a)(b)...................... 6,083 30,050 Savient Pharmaceuticals, Inc. (a)(b)...................... 10,578 146,611 Seattle Genetics, Inc. (a)(b)...................... 10,494 102,002 SIGA Technologies, Inc. (a)(b)...................... 5,446 45,964 Synta Pharmaceuticals Corp. (a)......................... 2,946 6,805 Theravance, Inc. (a)(b)....... 9,347 136,840 United Therapeutics Corp. (a)(b)...................... 4,040 336,653 Zymogenetics, Inc. (a)(b)..... 6,371 29,307 ------------ 4,627,640 ------------ BUILDING PRODUCTS -- 0.3% AAON, Inc. (b)................ 2,679 53,366 Quanex Building Products Corp. (b)......................... 6,541 73,390 Simpson Manufacturing Co., Inc. (b).................... 6,751 145,956 ------------ 272,712 ------------ CAPITAL MARKETS -- 1.8% Calamos Asset Management, Inc. (Class A) (b)............... 3,216 45,378 Duff & Phelps Corp. (Class A) (b)......................... 3,371 59,936 E*TRADE Financial Corp. (a)(b)...................... 173,729 222,373 GFI Group, Inc. (b)........... 11,201 75,495 Greenhill & Co., Inc. (b)..... 2,220 160,306 KBW, Inc. (a)................. 5,214 149,955 Knight Capital Group, Inc. (Class A) (a)(b)............ 16,075 274,079
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- MF Global, Ltd. (a)(b)........ 16,841 $ 99,867 optionsXpress Holdings, Inc. (b)......................... 7,825 121,522 Penson Worldwide, Inc. (a)(b)...................... 3,388 30,323 Pzena Investment Management, Inc. (Class A).............. 951 7,208 Riskmetrics Group, Inc. (a)(b)...................... 5,309 93,757 Stifel Financial Corp. (a)(b)...................... 4,714 226,696 TD Ameritrade Holding Corp. (a)(b)...................... 116 2,035 TradeStation Group, Inc. (a)(b)...................... 5,480 46,361 Westwood Holdings Group, Inc. (b)......................... 1,173 49,043 ------------ 1,664,334 ------------ CHEMICALS -- 1.1% American Vanguard Corp. (b)... 3,116 35,211 Balchem Corp. ................ 2,951 72,359 Calgon Carbon Corp. (a)(b).... 9,348 129,844 Huntsman Corp. (b)............ 28,269 142,193 LSB Industries, Inc. (a)(b)... 2,384 38,549 Nalco Holding Co. ............ 23,803 400,843 PolyOne Corp. (a)(b).......... 14,150 38,346 Rockwood Holdings, Inc. (a)(b)...................... 8,822 129,154 Zoltek Cos., Inc. (a)(b)...... 4,564 44,362 ------------ 1,030,861 ------------ COMMERCIAL BANKS -- 0.9% Bank of the Ozarks, Inc. (b).. 2,055 44,450 CoBiz, Inc. (b)............... 3,264 20,922 East West Bancorp, Inc. (b)... 11,058 71,766 Nara Bancorp, Inc. ........... 3,770 19,529 Pinnacle Financial Partners, Inc. (a)(b)................. 5,459 72,714 PrivateBancorp, Inc. (b)...... 7,664 170,447 Signature Bank (a)(b)......... 6,087 165,080 Texas Capital Bancshares, Inc. (a)......................... 6,094 94,274 TowneBank (b)................. 4,506 63,084 UCBH Holdings, Inc. (b)....... 18,201 22,933 Western Alliance Bancorp (a)(b)...................... 10,937 74,809 ------------ 820,008 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.0% American Ecology Corp. ....... 2,947 52,810 American Reprographics Co. (a)......................... 6,660 55,411 Cenveo, Inc. (a)(b)........... 8,869 37,516 Clean Harbors, Inc. (a)(b).... 3,572 192,852 EnergySolutions, Inc. ........ 13,503 124,228 EnerNOC, Inc. (a)(b).......... 2,337 50,643 Fuel Tech, Inc. (a)(b)........ 3,073 29,808 GeoEye, Inc. (a)(b)........... 3,338 78,643 Healthcare Services Group, Inc. ....................... 6,790 121,405 Innerworkings, Inc. (a)....... 4,277 20,316 Interface, Inc. (Class A) (b)......................... 9,481 58,782 Knoll, Inc. .................. 7,828 59,336 M&F Worldwide Corp. (a)(b).... 2,095 41,900 Metalico, Inc. (a)(b)......... 4,294 20,010 Mobile Mini, Inc. (a)(b)...... 6,095 89,414 Rollins, Inc. (b)............. 8,921 154,423 Schawk, Inc. (b).............. 2,103 15,794 Standard Parking Corp. (a)(b)...................... 1,459 23,767 Sykes Enterprises, Inc. (a)(b)...................... 5,699 103,095 Team, Inc. (a)(b)............. 3,278 51,366 Tetra Tech, Inc. (a).......... 10,411 298,275 The Geo Group, Inc. (a)....... 8,872 164,842 ------------ 1,844,636 ------------ COMMUNICATIONS EQUIPMENT -- 6.3% Acme Packet, Inc. (a)(b)...... 5,069 51,298 ADC Telecommunications, Inc. (a)(b)...................... 16,623 132,319 Adtran, Inc. (b).............. 10,784 231,532 Airvana, Inc. (a)(b).......... 5,373 34,226 Anaren, Inc. (a).............. 2,586 45,720 Arris Group, Inc. (a)......... 21,450 260,832 Aruba Networks, Inc. (a)(b)... 10,853 94,855 Bel Fuse, Inc. (Class B)...... 1,835 29,433 BigBand Networks, Inc. (a)(b)...................... 7,314 37,813 Blue Coat Systems, Inc. (a)(b)...................... 6,172 102,085 Brocade Communications Systems, Inc. (a)........... 66,774 522,173 CIENA Corp. (a)(b)............ 15,649 161,967 CommScope, Inc. (a)(b)........ 14,179 372,341 Comtech Telecommunications Corp. (a)(b)................ 4,844 154,427 DG Fastchannel, Inc. (a)(b)... 3,099 56,712 Digi International, Inc. (a)(b)...................... 4,317 42,091 Emulex Corp. (a)(b)........... 14,240 139,267 Extreme Networks, Inc. (a)(b)...................... 17,614 35,228 F5 Networks, Inc. (a)(b)...... 13,602 470,493 Finisar Corp. (a)(b).......... 80,191 45,709 Harmonic, Inc. (a)(b)......... 16,068 94,641 Harris Stratex Networks, Inc. (Class A) (a)............... 10,307 66,789 Hughes Communications, Inc. (a)......................... 1,346 30,729 Infinera Corp. (a)(b)......... 16,242 148,289 InterDigital, Inc. (a)(b)..... 7,718 188,628 Ixia(a)(b).................... 5,955 40,137 JDS Uniphase Corp. (a)........ 37,108 212,258 Netgear, Inc. (a)............. 5,734 82,627 OpNext, Inc. (a)(b)........... 10,232 21,896 Palm, Inc. (a)(b)............. 22,113 366,412 Polycom, Inc. (a)(b).......... 14,358 291,037 Riverbed Technology, Inc. (a)(b)...................... 9,688 224,665 SeaChange International, Inc. (a)......................... 5,552 44,583 ShoreTel, Inc. (a)(b)......... 2,819 22,552 Sonus Networks, Inc. (a)(b)... 37,735 60,753 Starent Networks Corp. (a)(b)...................... 7,233 176,558 Sycamore Networks, Inc. (a)(b)...................... 33,159 103,788 Tekelec (a)(b)................ 11,491 193,394 Tellabs, Inc. (a)(b).......... 62,998 360,979 Utstarcom, Inc. (a)(b)........ 15,168 24,724 ViaSat, Inc. (a)(b)........... 5,282 135,430 ------------ 5,911,390 ------------ COMPUTERS & PERIPHERALS -- 1.2% 3PAR, Inc. (a)(b)............. 5,698 70,655 Compellent Technologies, Inc. (a)(b)...................... 2,803 42,746 Data Domain, Inc. (a)......... 6,318 210,705 Hypercom Corp. (a)(b)......... 7,427 11,141 Intermec, Inc. (a)(b)......... 8,328 107,431 Isilon Systems, Inc. (a)(b)... 3,718 15,764 Novatel Wireless, Inc. (a)(b)...................... 4,981 44,929 QLogic Corp. (a).............. 20,609 261,322 Quantum Corp. (a)............. 33,541 27,839 Silicon Graphics International Corp. (a)(b)................ 4,750 21,565 STEC, Inc. (a)(b)............. 4,169 96,679
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Stratasys, Inc. (a)(b)........ 3,240 $ 35,608 Synaptics, Inc. (a)(b)........ 5,854 226,257 ------------ 1,172,641 ------------ CONSTRUCTION & ENGINEERING -- 0.6% Dycom Industries, Inc. (a).... 6,545 72,453 Furmanite Corp. (a)(b)........ 5,912 26,368 Great Lakes Dredge & Dock Corp. (b)................... 7,111 33,991 Layne Christensen Co. (a)..... 3,512 71,820 Mastec, Inc. (a)(b)........... 8,402 98,471 MYR Group, Inc. (a)(b)........ 3,230 65,311 Orion Marine Group, Inc. (a)(b)...................... 3,773 71,687 Pike Electric Corp. (a)(b).... 2,860 34,463 Sterling Construction Co., Inc. (a)(b)................. 2,465 37,616 Tutor Perini Corp. (a)(b)..... 4,584 79,578 ------------ 591,758 ------------ CONSTRUCTION MATERIALS -- 0.2% Eagle Materials, Inc. (b)..... 7,538 190,259 ------------ CONSUMER FINANCE -- 0.6% AmeriCredit Corp. (a)(b)...... 10,281 139,308 Cash America International, Inc. (b).................... 5,262 123,078 CompuCredit Corp. (b)......... 4,700 10,810 Credit Acceptance Corp. (a)(b)...................... 1,149 25,106 Ezcorp, Inc. (a).............. 8,116 87,490 First Cash Financial Services, Inc. (a)(b)................. 4,658 81,608 Nelnet, Inc. (a)(b)........... 5,012 68,113 ------------ 535,513 ------------ CONTAINERS & PACKAGING -- 0.0% (c) Graphic Packaging Holding Co. (a)(b)...................... 12,760 23,351 ------------ DISTRIBUTORS -- 0.4% LKQ Corp. (a)................. 24,154 397,333 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.9% American Public Education, Inc. (a)(b)................. 3,167 125,445 Bridgepoint Education, Inc. (a)......................... 2,373 40,341 Brink's Home Security Holdings, Inc. (a)(b)....... 7,891 223,394 Capella Education Co. (a)(b).. 2,632 157,788 Coinstar, Inc. (a)(b)......... 4,854 129,602 Corinthian Colleges, Inc. (a)(b)...................... 13,692 231,806 Grand Canyon Education, Inc. (a)(b)...................... 2,841 47,672 Hillenbrand, Inc. (b)......... 10,670 177,549 K12, Inc. (a)(b).............. 3,665 78,981 Lincoln Educational Services Corp. (a)(b)................ 1,680 35,162 Matthews International Corp. (Class A) (b)............... 5,257 163,598 Pre-Paid Legal Services, Inc. (a)......................... 1,288 56,144 Sotheby's (b)................. 11,702 165,115 Steiner Leisure, Ltd. (a)(b).. 2,375 72,509 Universal Technical Institute, Inc. (a)(b)................. 3,655 54,569 ------------ 1,759,675 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.8% Asset Acceptance Capital Corp. (a)(b)...................... 2,390 18,379 Interactive Brokers Group, Inc. (Class A) (a)(b)....... 7,007 108,819 Life Partners Holdings, Inc. ....................... 1,386 19,654 MarketAxess Holdings, Inc. (a)......................... 5,248 50,013 MSCI, Inc. (Class A) (a)(b)... 17,406 425,403 NewStar Financial, Inc. (a)(b)...................... 3,806 7,269 Portfolio Recovery Associates, Inc. (a)(b)................. 2,610 101,085 ------------ 730,622 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% AboveNet, Inc. (a)............ 1,352 109,485 Alaska Communications Systems Group, Inc. (b)............. 7,447 54,512 Cbeyond, Inc. (a)(b).......... 4,772 68,478 General Communication, Inc. (Class A) (a)(b)............ 6,487 44,955 Global Crossing, Ltd. (a)(b).. 5,389 49,471 Neutral Tandem, Inc. (a)(b)... 3,719 109,785 NTELOS Holdings Corp. (b)..... 4,943 91,050 PAETEC Holding Corp. (a)(b)... 21,692 58,569 Premiere Global Services, Inc. (a)......................... 9,817 106,416 tw telecom, inc. (a)(b)....... 25,777 264,730 ------------ 957,451 ------------ ELECTRICAL EQUIPMENT -- 1.6% Advanced Battery Technologies, Inc. (a)(b)................. 8,856 35,601 American Superconductor Corp. (a)(b)...................... 6,958 182,648 AZZ, Inc. (a)(b).............. 2,010 69,164 Broadwind Energy, Inc. (a)(b)...................... 5,600 63,392 Encore Wire Corp. (b)......... 3,487 74,448 Energy Conversion Devices, Inc. (a)(b)................. 7,928 112,181 EnerSys (a)................... 7,144 129,949 Evergreen Solar, Inc. (a)(b).. 31,085 67,454 FuelCell Energy, Inc. (a)(b).. 10,179 42,548 General Cable Corp. (a)(b).... 8,983 337,581 GT Solar International, Inc. (a)(b)...................... 5,061 26,925 II-VI, Inc. (a)............... 4,347 96,373 Orion Energy Systems, Inc. (a)(b)...................... 3,457 12,964 Plug Power, Inc. (a)(b)....... 11,985 10,906 Polypore International, Inc. (a)(b)...................... 3,082 34,272 Power-One, Inc. (a)(b)........ 14,510 21,620 Valence Technology, Inc. (a)(b)...................... 10,005 17,909 Vicor Corp. (b)............... 3,097 22,360 Woodward Governor Co. (b)..... 9,875 195,525 ------------ 1,553,820 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% Benchmark Electronics, Inc. (a)......................... 11,293 162,619 Brightpoint, Inc. (a)......... 8,659 54,292 Cogent, Inc. (a)(b)........... 6,950 74,573 Cognex Corp. (b).............. 6,007 84,879 CTS Corp. .................... 5,147 33,713 Daktronics, Inc. (b).......... 6,201 47,748 DTS Inc. (a)(b)............... 2,942 79,640 Echelon Corp. (a)(b).......... 5,379 45,614 Electro Scientific Industries, Inc. (a)(b)................. 4,157 46,475 FARO Technologies, Inc. (a)(b)...................... 2,440 37,893 ICx Technologies, Inc. (a)(b)...................... 2,239 13,434 Insight Enterprises, Inc. (a)(b)...................... 7,447 71,938 IPG Photonics Corp. (a)(b).... 4,442 48,729 Jabil Circuit, Inc. .......... 34,298 254,491 L-1 Identity Solutions, Inc. (a)(b)...................... 14,690 113,701 MTS Systems Corp. ............ 2,804 57,903 Multi-Fineline Electronix, Inc. (a)(b)................. 1,707 36,530
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- National Instruments Corp. (b)......................... 10,605 $ 239,249 Newport Corp. (a)(b).......... 5,783 33,483 OSI Systems, Inc. (a)......... 2,668 55,628 Plexus Corp. (a).............. 6,753 138,166 Rofin-Sinar Technologies, Inc. (a)......................... 4,964 99,330 Rogers Corp. (a).............. 2,673 54,075 Sanmina-SCI Corp. (a)......... 85,210 37,492 Scansource, Inc. (a)(b)....... 4,597 112,718 Smart Modular Technologies (WWH), Inc. (a)(b).......... 5,441 12,351 TTM Technologies, Inc. (a)(b)...................... 6,899 54,916 Universal Display Corp. (a)(b)...................... 5,513 53,917 ------------ 2,155,497 ------------ ENERGY EQUIPMENT & SERVICES -- 3.8% Allis-Chalmers Energy, Inc. (a)(b)...................... 5,214 12,044 Atwood Oceanics, Inc. (a)(b).. 9,520 237,143 Basic Energy Services, Inc. (a)(b)...................... 3,991 27,259 Bronco Drilling Co., Inc. (a)(b)...................... 4,646 19,885 Cal Dive International, Inc. (a)......................... 8,024 69,247 CARBO Ceramics, Inc. (b)...... 3,544 121,205 Complete Production Services, Inc. (a).................... 10,944 69,604 Dawson Geophysical Co. (a)(b)...................... 1,206 35,999 Dresser-Rand Group, Inc. (a).. 14,221 371,168 Dril-Quip, Inc. (a)(b)........ 5,220 198,882 ENGlobal Corp. (a)............ 3,033 14,922 Exterran Partners LP(b)....... 1,706 23,509 Global Industries, Ltd. (a)(b)...................... 17,419 98,592 Helix Energy Solutions Group, Inc. (a)(b)................. 15,606 169,637 Hercules Offshore, Inc. (a)(b)...................... 14,077 55,886 Hornbeck Offshore Services, Inc. (a).................... 4,109 87,891 ION Geophysical Corp. (a)..... 15,373 39,509 Key Energy Services, Inc. (a)......................... 21,098 121,524 Lufkin Industries, Inc. ...... 2,507 105,419 Matrix Service Co. (a)........ 4,927 56,562 NATCO Group, Inc. (a)......... 3,488 114,825 Newpark Resources, Inc. (a)(b)...................... 14,018 39,951 Oceaneering International, Inc. (a).................... 9,608 434,282 Oil States International, Inc. (a)......................... 8,597 208,133 Parker Drilling Co. (a)(b).... 19,941 86,544 Pioneer Drilling Co. (a)(b)... 7,999 38,315 RPC, Inc. (b)................. 5,697 47,570 Superior Energy Services, Inc. (a)......................... 13,379 231,055 Superior Well Services, Inc. (a)(b)...................... 3,313 19,712 T-3 Energy Services, Inc. (a)(b)...................... 1,923 22,903 Tesco Corp. (a)(b)............ 5,072 40,272 Tetra Technologies, Inc. (a)(b)...................... 12,837 102,183 Unit Corp. (a)(b)............. 8,158 224,916 ------------ 3,546,548 ------------ FOOD & STAPLES RETAILING -- 0.6% Arden Group, Inc. (Class A) (b)......................... 201 25,145 Great Atlantic & Pacific Tea Co. (a)(b).................. 5,757 24,467 Pantry, Inc. (a)(b)........... 3,607 59,876 Pricesmart, Inc. (b).......... 2,415 40,451 Rite Aid Corp. (a)(b)......... 104,879 158,368 Spartan Stores, Inc. (b)...... 3,571 44,316 Susser Holdings Corp. (a)..... 2,031 22,727 United Natural Foods, Inc. (a)(b)...................... 6,792 178,290 ------------ 553,640 ------------ FOOD PRODUCTS -- 0.9% Calavo Growers, Inc. (b)...... 2,047 40,592 Darling International, Inc. (a)......................... 13,756 90,790 Diamond Foods, Inc. (b)....... 2,808 78,343 Green Mountain Coffee Roasters, Inc. (a)(b)....... 4,817 284,781 J&J Snack Foods Corp. ........ 2,365 84,903 Smart Balance, Inc. (a)(b).... 10,891 74,168 TreeHouse Foods, Inc. (a)(b).. 5,393 155,157 ------------ 808,734 ------------ GAS UTILITIES -- 0.0% (C) Spectra Energy Partners LP.... 2,007 43,150 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.9% Abaxis, Inc. (a)(b)........... 3,957 81,277 ABIOMED, Inc. (a)(b).......... 5,501 48,519 Accuray, Inc. (a)(b).......... 7,136 47,597 Align Technology, Inc. (a)(b)...................... 10,280 108,968 American Medical Systems Holdings, Inc. (a)(b)....... 12,975 205,005 AngioDynamics, Inc. (a)(b).... 4,272 56,689 Cantel Medical Corp. (a)(b)... 2,459 39,910 Conceptus, Inc. (a)(b)........ 4,284 72,400 CryoLife, Inc. (a)............ 4,151 22,997 Cyberonics, Inc. (a)(b)....... 3,927 65,306 ev3, Inc. (a)(b).............. 10,790 115,669 Greatbatch, Inc. (a)(b)....... 4,007 90,598 Haemonetics Corp. (a)......... 4,382 249,774 I-Flow Corp. (a)(b)........... 4,086 28,357 ICU Medical, Inc. (a)(b)...... 2,355 96,908 Insulet Corp. (a)(b).......... 3,412 26,272 Integra LifeSciences Holdings Corp. (a)................... 3,751 99,439 IRIS International, Inc. (a).. 3,132 36,958 Kensey Nash Corp. (a)......... 1,626 42,617 MAKO Surgical Corp. (a)(b).... 2,438 21,991 Masimo Corp. (a)(b)........... 8,989 216,725 Meridian Bioscience, Inc. (b)......................... 6,975 157,496 Merit Medical Systems, Inc. (a)......................... 4,829 78,713 Natus Medical, Inc. (a)(b).... 4,441 51,249 Neogen Corp. (a)(b)........... 2,485 72,015 NuVasive, Inc. (a)(b)......... 6,304 281,158 OraSure Technologies, Inc. (a)(b)...................... 6,896 17,033 Orthovita, Inc. (a)(b)........ 13,159 67,769 Palomar Medical Technologies, Inc. (a)(b)................. 3,211 47,073 Quidel Corp. (a)(b)........... 4,615 67,194 RTI Biologics, Inc. (a)(b).... 9,548 40,961 Sirona Dental Systems, Inc. (a)(b)...................... 2,885 57,671 SonoSite, Inc. (a)(b)......... 2,735 54,864 SurModics, Inc. (a)(b)........ 2,746 62,142 Symmetry Medical, Inc. (a).... 5,256 48,986 Synovis Life Technologies, Inc. (a).................... 2,047 42,516 Thoratec Corp. (a)(b)......... 9,703 259,846 TomoTherapy, Inc. (a)(b)...... 7,260 19,965 Trans1, Inc. (a)(b)........... 1,611 10,037 Volcano Corp. (a)(b).......... 7,078 98,950 West Pharmaceutical Services, Inc. (b).................... 5,768 201,015 Wright Medical Group, Inc. (a)(b)...................... 6,520 106,015 Zoll Medical Corp. (a)........ 3,611 69,837 ------------ 3,686,481 ------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- HEALTH CARE PROVIDERS & SERVICES -- 4.5% Air Methods Corp. (a)(b)...... 1,938 $ 53,024 Alliance Imaging, Inc. (a)(b)...................... 4,641 34,019 Almost Family, Inc. (a)(b).... 1,294 33,786 Amedisys, Inc. (a)(b)......... 4,772 157,571 AMERIGROUP Corp. (a)(b)....... 9,134 245,248 AMN Healthcare Services, Inc. (a)......................... 5,214 33,265 AmSurg Corp. (a).............. 5,349 114,683 Assisted Living Concepts, Inc. (Class A) (a)(b)............ 1,717 24,982 athenahealth, Inc. (a)(b)..... 5,462 202,149 Bio-Reference Laboratories, Inc. (a).................... 2,051 64,832 CardioNet, Inc. (a)(b)........ 4,181 68,234 Catalyst Health Solutions, Inc. (a).................... 6,507 162,285 Centene Corp. (a)(b).......... 7,409 148,032 Chemed Corp. (b).............. 3,837 151,485 Corvel Corp. (a)(b)........... 1,322 30,102 Emeritus Corp. (a)(b)......... 3,188 42,113 Genoptix, Inc. (a)(b)......... 2,941 94,083 Gentiva Health Services, Inc. (a)(b)...................... 5,066 83,386 Health Management Associates, Inc. (Class A) (a)(b)....... 42,634 210,612 Healthspring, Inc. (a)(b)..... 9,009 97,838 Healthways, Inc. (a).......... 5,805 78,077 HMS Holdings Corp. (a)(b)..... 4,524 184,217 inVentiv Health, Inc. (a)..... 5,758 77,906 IPC The Hospitalist Co. (a)(b)...................... 1,848 49,323 LHC Group, Inc. (a)(b)........ 2,405 53,415 Molina Healthcare, Inc. (a)(b)...................... 2,148 51,380 MWI Veterinary Supply, Inc. (a)(b)...................... 1,980 69,023 Nighthawk Radiology Holdings, Inc. (a)(b)................. 3,443 12,739 Odyssey Healthcare, Inc. (a)(b)...................... 5,310 54,587 Pediatrix Medical Group, Inc. (a)......................... 7,966 335,608 PharMerica Corp. (a)(b)....... 5,294 103,921 PSS World Medical, Inc. (a)(b)...................... 10,486 194,096 Psychiatric Solutions, Inc. (a)(b)...................... 9,340 212,392 Sun Healthcare Group, Inc. (a)......................... 7,998 67,503 The Ensign Group, Inc. (b).... 2,197 31,263 Triple-S Management Corp. (Class B) (a)............... 3,567 55,609 Universal American Financial Corp. (a)(b)................ 7,309 63,734 VCA Antech, Inc. (a)(b)....... 14,632 390,674 Virtual Radiologic Corp. (a)(b)...................... 1,155 10,430 WellCare Health Plans, Inc. (a)(b)...................... 7,160 132,388 ------------ 4,280,014 ------------ HEALTH CARE TECHNOLOGY -- 1.0% Allscripts-Misys Healthcare Solutions, Inc. (b)......... 10,032 159,108 Computer Programs and Systems, Inc. (b).................... 1,924 73,708 Eclipsys Corp. (a)(b)......... 9,847 175,080 HLTH Corp. (a)(b)............. 16,104 210,962 MedAssets, Inc. (a)(b)........ 5,948 115,689 Omnicell, Inc. (a)(b)......... 5,446 58,544 Phase Forward, Inc. (a)....... 7,444 112,479 ------------ 905,570 ------------ HOTELS, RESTAURANTS & LEISURE -- 3.7% Ambassadors Group, Inc. (b)... 3,130 43,100 Bally Technologies, Inc. (a)(b)...................... 9,427 282,056 BJ's Restaurants, Inc. (a)(b)...................... 3,152 53,174 Buffalo Wild Wings, Inc. (a)(b)...................... 2,802 91,121 California Pizza Kitchen, Inc. (a)(b)...................... 4,081 54,237 CEC Entertainment, Inc. (a)(b)...................... 4,116 121,340 Chipotle Mexican Grill, Inc. (a)(b)...................... 5,568 445,440 Choice Hotels International, Inc. (b).................... 5,152 137,095 CKE Restaurants, Inc. ........ 8,329 70,630 Denny's Corp. (a)(b).......... 18,603 39,996 Interval Leisure Group, Inc. (a)(b)...................... 6,422 59,853 Life Time Fitness, Inc. (a)(b)...................... 6,899 138,049 Morgans Hotel Group Co. (a)(b)...................... 4,770 18,269 Orient-Express Hotels, Ltd. (Class A) (b)............... 13,305 112,959 P F Chang's China Bistro, Inc. (a)(b)...................... 3,739 119,872 Panera Bread Co. (Class A) (a)(b)...................... 5,416 270,042 Papa John's International, Inc. (a)(b)................. 3,800 94,202 Peet's Coffee & Tea, Inc. (a)(b)...................... 2,295 57,834 Red Robin Gourmet Burgers, Inc. (a)(b)................. 2,232 41,850 Scientific Games Corp. (Class A) (a)...................... 11,963 188,657 Shuffle Master, Inc. (a)(b)... 9,373 61,956 Sonic Corp. (a)(b)............ 10,473 105,044 Texas Roadhouse, Inc. (Class A) (a)(b)................... 8,944 97,579 The Cheesecake Factory, Inc. (a)(b)...................... 9,788 169,332 The Steak n Shake Co. (a)(b).. 4,580 40,029 WMS Industries, Inc. (a)(b)... 7,542 237,648 Wyndham Worldwide Corp. (b)... 30,755 372,751 ------------ 3,524,115 ------------ HOUSEHOLD DURABLES -- 0.5% iRobot Corp. (a)(b)........... 3,033 39,369 Jarden Corp. (a)(b)........... 15,179 284,606 Tempur-Pedic International, Inc. (b).................... 12,199 159,441 ------------ 483,416 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1% Ormat Technologies, Inc. (b).. 3,080 124,155 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% Raven Industries, Inc. (b).... 2,973 76,109 Seaboard Corp. ............... 58 65,076 ------------ 141,185 ------------ INSURANCE -- 0.9% Amerisafe, Inc. (a)........... 3,536 55,020 Amtrust Financial Services, Inc. (b).................... 7,123 81,202 Citizens, Inc. (a)(b)......... 5,536 33,659 Crawford & Co. (Class B) (a)(b)...................... 4,035 19,368 Donegal Group, Inc. (Class A) (b)......................... 2,141 32,565 eHealth, Inc. (a)(b).......... 4,112 72,618 First Mercury Financial Corp. ...................... 3,001 41,324 Greenlight Capital Re, Ltd. (Class A) (a)............... 5,178 89,631 Hilltop Holdings, Inc. (a)(b)...................... 8,305 98,580 Meadowbrook Insurance Group, Inc. ....................... 10,036 65,535 Seabright Insurance Holdings (a)(b)...................... 4,065 41,178 Tower Group, Inc. (b)......... 6,438 159,534 United America Indemnity, Ltd. (Class A) (a)............... 3,719 17,814 ------------ 808,028 ------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- INTERNET & CATALOG RETAIL -- 0.5% 1-800-FLOWERS.COM, Inc. (Class A) (a)(b)................... 3,452 $ 6,628 Blue Nile, Inc. (a)(b)........ 2,494 107,217 Gaiam, Inc. (Class A) (a)(b).. 2,292 12,537 HSN, Inc. (a)................. 6,418 67,838 NutriSystem, Inc. (b)......... 5,003 72,543 Orbitz Worldwide, Inc. (a).... 5,835 11,087 Overstock.com, Inc. (a)(b).... 2,470 29,541 PetMed Express, Inc. (a)(b)... 4,398 66,102 Shutterfly, Inc. (a)(b)....... 3,200 44,640 Stamps.com, Inc. (a)(b)....... 2,716 23,032 Ticketmaster (a)(b)........... 6,448 41,396 ------------ 482,561 ------------ INTERNET SOFTWARE & SERVICES -- 3.3% Art Technology Group, Inc. (a)......................... 20,919 79,492 Bankrate, Inc. (a)(b)......... 2,585 65,245 comScore, Inc. (a)(b)......... 2,732 36,390 Constant Contact, Inc. (a)(b)...................... 4,623 91,720 DealerTrack Holdings, Inc. (a)(b)...................... 6,466 109,922 Dice Holdings, Inc. (a)(b).... 3,762 17,493 Digital River, Inc. (a)....... 6,617 240,329 DivX, Inc. (a)(b)............. 5,266 28,910 EarthLink, Inc. (a)(b)........ 18,394 136,300 Equinix, Inc. (a)(b).......... 6,585 478,993 GSI Commerce, Inc. (a)(b)..... 4,414 62,899 Internap Network Services Corp. (a)(b)................ 7,695 26,856 Internet Brands, Inc. (a)(b).. 5,124 35,868 j2 Global Communications, Inc. (a)......................... 7,620 171,907 Limelight Networks, Inc. (a)(b)...................... 7,575 33,330 LoopNet, Inc. (a)(b).......... 5,944 46,066 Marchex, Inc. (Class B)....... 4,530 15,266 ModusLink Global Solutions, Inc. (a)(b)................. 7,845 53,817 Move, Inc. (a)(b)............. 26,847 57,990 NIC, Inc. (b)................. 7,041 47,668 Omniture, Inc. (a)(b)......... 12,825 161,082 OpenTable, Inc. (a)(b)........ 481 14,512 Perficient, Inc. (a).......... 5,120 35,789 Rackspace Hosting, Inc. (a)(b)...................... 12,764 176,909 RealNetworks, Inc. (a)........ 14,688 43,917 SAVVIS, Inc. (a).............. 6,785 77,756 Switch & Data Facilities Co., Inc. (a)(b)................. 3,504 41,102 TechTarget, Inc. (a)(b)....... 2,754 11,016 Terremark Worldwide, Inc. (a)(b)...................... 6,829 39,472 The Knot, Inc. (a)(b)......... 4,744 37,383 ValueClick, Inc. (a)(b)....... 14,995 157,747 Vignette Corp. (a)(b)......... 4,045 53,192 VistaPrint, Ltd. (a)(b)....... 6,710 286,181 Vocus, Inc. (a)............... 3,077 60,802 WebMD Health Corp. (Class A) (a)(b)...................... 1,284 38,417 ------------ 3,071,738 ------------ IT SERVICES -- 2.5% Acxiom Corp. ................. 13,650 120,529 Cass Information Systems, Inc. (b)......................... 1,388 45,443 CIBER, Inc. (a)............... 10,372 32,153 CyberSource Corp. (a)(b)...... 12,009 183,738 Euronet Worldwide, Inc. (a)(b)...................... 8,249 159,948 ExlService Holdings, Inc. (a)......................... 2,588 29,011 Forrester Research, Inc. (a)(b)...................... 2,509 61,596 Gartner, Inc. (a)(b).......... 11,004 167,921 Genpact, Ltd. (a)(b).......... 9,758 114,657 Global Cash Access, Inc. (a)(b)...................... 6,717 53,467 Heartland Payment Systems, Inc. ....................... 4,718 45,151 iGate Corp. .................. 6,280 41,574 Integral Systems Inc. (a)(b).. 2,811 23,388 Lionbridge Technologies, Inc. (a)......................... 8,355 15,373 NCI, Inc. (Class A) (a)(b).... 1,282 38,998 NeuStar, Inc. (Class A) (a)(b)...................... 12,500 277,000 Perot Systems Corp. (Class A) (a)(b)...................... 14,938 214,062 RightNow Technologies, Inc. (a)......................... 4,015 47,377 Sapient Corp. (a)(b).......... 15,538 97,734 SRA International, Inc. (a)... 7,219 126,766 Syntel, Inc. (b).............. 3,900 122,616 TeleTech Holdings, Inc. (a)... 6,238 94,506 TNS, Inc. (a)................. 4,370 81,938 Wright Express Corp. (a)...... 6,622 168,662 ------------ 2,363,608 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Marine Products Corp. (b)..... 2,178 8,167 Pool Corp. (b)................ 8,277 137,067 Smith & Wesson Holding Corp. (a)(b)...................... 7,714 43,816 ------------ 189,050 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.1% Affymetrix, Inc. (a)(b)....... 12,144 72,014 Albany Molecular Research, Inc. (a)(b)................. 3,513 29,474 Bruker Corp. (a)(b)........... 8,921 82,608 Clinical Data, Inc. (a)(b).... 2,453 27,032 Dionex Corp. (a).............. 3,093 188,766 Enzo Biochem, Inc. (a)(b)..... 5,917 26,212 eResearch Technology, Inc. (a)(b)...................... 6,823 42,371 Exelixis, Inc. (a)(b)......... 19,098 93,007 Kendle International, Inc. (a)(b)...................... 2,057 25,178 Luminex Corp. (a)(b).......... 7,148 132,524 Nektar Therapeutics(a)(b)..... 15,877 102,883 PAREXEL International Corp. (a)......................... 10,056 144,605 Sequenom, Inc. (a)(b)......... 9,339 36,516 ------------ 1,003,190 ------------ MACHINERY -- 3.6% Actuant Corp. (Class A) (b)... 9,736 118,779 Altra Holdings, Inc. (a)...... 4,285 32,095 American Railcar Industries, Inc. (b).................... 1,328 10,969 Badger Meter, Inc. (b)........ 2,539 104,099 Bucyrus International, Inc. (Class A) (b)............... 12,947 369,766 Chart Industries, Inc. (a).... 4,894 88,973 CLARCOR, Inc. (b)............. 8,797 256,784 Columbus McKinnon Corp. (a)... 3,199 40,467 Dynamic Materials Corp. (b)... 2,029 39,119 Energy Recovery, Inc. (a)(b).. 5,237 37,078 ESCO Technologies, Inc. (a)(b)...................... 4,457 199,674 Force Protection, Inc. (a)(b)...................... 12,048 106,504 Gardner Denver, Inc. (a)...... 8,964 225,624 Graco, Inc. (b)............... 10,418 229,404 Graham Corp. (b).............. 1,616 21,493 John Bean Technologies Corp. (b)......................... 5,150 64,478 K-Tron International, Inc. (a)......................... 407 32,430
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- L.B. Foster Co. (a)(b)........ 1,739 $ 52,292 Lindsay Manufacturing Co. (b)......................... 1,871 61,930 Middleby Corp. (a)(b)......... 3,207 140,852 Nordson Corp. (b)............. 5,379 207,952 RBC Bearings, Inc. (a)........ 3,823 78,180 Sun Hydraulics Corp. (b)...... 1,996 32,275 Terex Corp. (a)............... 18,234 220,084 The Gorman-Rupp Co. (b)....... 2,341 47,218 The Manitowoc Co., Inc. (b)... 22,540 118,560 The Toro Co. (b).............. 6,143 183,676 Titan International, Inc. (b)......................... 5,663 42,303 Wabash National Corp. (b)..... 5,065 3,546 Wabtec Corp. (b).............. 8,411 270,582 ------------ 3,437,186 ------------ MARINE -- 0.4% American Commercial Lines, Inc. (a)(b)................. 1,492 23,096 Horizon Lines, Inc. (b)....... 4,836 18,667 Kirby Corp. (a)(b)............ 9,266 294,566 TBS International, Ltd. (a)(b)...................... 2,553 19,939 ------------ 356,268 ------------ MEDIA -- 1.6% Arbitron, Inc. (b)............ 4,417 70,186 Ascent Media Corp. (Series A) (a)......................... 2,576 68,470 Cinemark Holdings, Inc. (b)... 6,239 70,625 CKX, Inc. (a)(b).............. 10,825 76,749 Crown Media Holdings, Inc. (Class A) (a)(b)............ 1,454 2,428 Dolan Media Co. (a)........... 5,120 65,485 Knology, Inc. (a)(b).......... 5,093 43,953 Lamar Advertising Co. (Class A) (a)(b)................... 9,986 152,486 Liberty Media Corp. -- Interactive (Class A) (a)(b)................... 14,801 200,702 Live Nation, Inc. (a)(b)...... 14,521 70,572 Martha Stewart Living Omnimedia, Inc. (Class A) (a)(b)...................... 3,760 11,506 Mediacom Communications Corp. (a)(b)...................... 6,203 31,697 Morningstar, Inc. (a)......... 3,132 129,132 National CineMedia, Inc. (b).. 7,248 99,732 Primedia, Inc. ............... 2,957 5,944 RCN Corp. (a)(b).............. 6,380 38,089 Sirius XM Radio, Inc. (a)(b).. 667,751 287,133 Warner Music Group Corp. (a)(b)...................... 9,432 55,177 ------------ 1,480,066 ------------ METALS & MINING -- 1.4% AK Steel Holding Corp. (b).... 18,923 363,132 Allied Nevada Gold Corp. (a)(b)...................... 8,308 66,963 AM Castle & Co. (b)........... 2,762 33,365 Brush Engineered Materials, Inc. (a)(b)................. 3,348 56,079 Coeur d'Alene Mines Corp. (a)(b)...................... 11,861 145,890 Hecla Mining Co. (a)(b)....... 37,626 100,838 Horsehead Holding Corp. (a)... 6,040 44,998 Royal Gold, Inc. (b).......... 7,035 293,360 Stillwater Mining Co. (a)(b).. 7,151 40,832 Titanium Metals Corp. (b)..... 14,864 136,600 ------------ 1,282,057 ------------ MULTILINE RETAIL -- 0.2% 99 Cents Only Stores (a)(b)... 6,491 88,147 Fred's, Inc. (Class A) (b).... 6,493 81,812 Retail Ventures, Inc. (a)(b).. 3,955 8,622 ------------ 178,581 ------------ OFFICE ELECTRONICS -- 0.3% Zebra Technologies Corp. (Class A) (a)(b)............ 10,308 243,887 ------------ OIL, GAS & CONSUMABLE FUELS -- 4.7% Alon USA Energy, Inc. (b)..... 2,405 24,892 Arena Resources, Inc. (a)(b).. 6,653 211,898 Atlas America, Inc. (b)....... 5,932 106,005 ATP Oil & Gas Corp. (a)(b).... 6,379 44,398 Berry Petroleum Co. (Class A) (b)......................... 6,849 127,323 Bill Barrett Corp. (a)(b)..... 5,771 158,472 BPZ Resources, Inc. (a)(b).... 11,527 56,367 Brigham Exploration Co. (a)(b)...................... 12,287 42,882 Carrizo Oil & Gas, Inc. (a)(b)...................... 4,737 81,240 Cheniere Energy Partners LP (b)......................... 2,285 16,840 Cheniere Energy, Inc. (a)(b).. 9,292 27,318 Clean Energy Fuels Corp. (a)(b)...................... 5,052 43,498 Comstock Resources, Inc. (a).. 7,930 262,086 CVR Energy, Inc. (a)(b)....... 9,459 69,334 Delek US Holdings, Inc. (b)... 2,449 20,768 Delta Petroleum Corp. (a)..... 37,900 73,147 Duncan Energy Partners LP (b)......................... 2,466 39,875 Eagle Rock Energy Partners LP (b)......................... 6,509 20,764 El Paso Pipeline Partners LP (b)......................... 5,956 104,409 Enbridge Energy Management LLC (a)(b)...................... 2,175 78,844 Frontier Oil Corp. (b)........ 17,892 234,564 Gastar Exploration, Ltd. (a).. 24,812 9,677 GMX Resources, Inc. (a)(b).... 3,632 38,644 Goodrich Petroleum Corp. (a)(b)...................... 4,539 111,614 Gulfport Energy Corp. (a)(b).. 4,200 28,770 Holly Corp. (b)............... 7,194 129,348 International Coal Group, Inc. (a)(b)...................... 18,583 53,147 Legacy Reserves LP (b)........ 3,126 40,513 Magellan Midstream Holdings LP.......................... 10,102 211,940 Mariner Energy, Inc. (a)(b)... 17,090 200,807 McMoRan Exploration Co. (a)... 13,372 79,697 Parallel Petroleum Corp. (a)(b)...................... 6,597 12,798 Patriot Coal Corp. (a)(b)..... 13,299 84,848 Penn Virginia Corp. .......... 7,859 128,652 Penn Virginia GP Holdings LP (b)......................... 3,133 39,664 Petroleum Development Corp. (a)......................... 2,371 37,201 Petroquest Energy, Inc. (a)(b)...................... 6,818 25,158 Quicksilver Gas Services LP... 1,184 16,209 Regency Energy Partners LP.... 8,520 124,051 Rentech, Inc. (a)(b).......... 26,735 15,239 Rosetta Resources, Inc. (a)... 8,986 78,628 SandRidge Energy, Inc. (a)(b)...................... 25,235 215,002 St. Mary Land & Exploration Co. (b)..................... 10,724 223,810 Swift Energy Co. (a)(b)....... 5,288 88,045 Targa Resources Partners LP (b)......................... 5,954 82,582 Teekay Offshore Partners LP... 2,702 38,206 Vaalco Energy, Inc. (a)....... 10,837 45,841 Venoco, Inc. (a)(b)........... 3,473 26,638 Warren Resources, Inc. (a)(b)...................... 9,104 22,305 Western Gas Partners LP (b)... 3,763 58,364 Western Refining, Inc. (a)(b)...................... 9,239 65,227
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Williams Pipeline Partners LP.......................... 2,746 $ 49,593 World Fuel Services Corp. (b)......................... 5,023 207,098 ------------ 4,434,240 ------------ PERSONAL PRODUCTS -- 1.1% Bare Escentuals, Inc. (a)(b).. 11,686 103,655 Chattem, Inc. (a)(b).......... 3,338 227,318 Elizabeth Arden, Inc. (a)(b).. 4,348 37,958 Herbalife, Ltd. .............. 10,647 335,807 Inter Parfums, Inc. (b)....... 2,286 16,779 NBTY, Inc. (a)................ 9,727 273,523 Prestige Brands Holdings, Inc. (a)(b)...................... 5,669 34,864 USANA Health Sciences, Inc. (a)(b)...................... 1,406 41,800 ------------ 1,071,704 ------------ PHARMACEUTICALS -- 2.2% Acura Pharmaceuticals, Inc. (a)(b)...................... 1,742 10,417 Akorn, Inc. (a)(b)............ 8,218 9,862 Ardea Biosciences, Inc. (a)... 2,339 36,816 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 7,405 232,369 Biodel, Inc. (a)(b)........... 2,287 11,801 Cadence Pharmaceuticals, Inc. (a)(b)...................... 4,928 49,231 Caraco Pharmaceutical Laboratories, Ltd. (a)(b)... 1,929 5,922 Cypress Bioscience, Inc. (a)(b)...................... 6,579 61,974 Durect Corp. (a)(b)........... 14,451 34,393 Impax Laboratories, Inc. (a)(b)...................... 9,160 67,418 Inspire Pharmaceuticals, Inc. (a)(b)...................... 6,680 37,141 MAP Pharmaceuticals, Inc. (a)......................... 1,080 13,198 Matrixx Initiatives, Inc. (a)(b)...................... 1,921 10,738 Medicis Pharmaceutical Corp. (Class A) (b)............... 9,727 158,745 Noven Pharmaceuticals, Inc. (a)......................... 4,151 59,359 Optimer Pharmaceuticals, Inc. (a)(b)...................... 5,021 75,164 Pain Therapeutics, Inc. (a)(b)...................... 5,610 30,126 POZEN, Inc. (a)(b)............ 4,696 36,065 Questcor Pharmaceuticals, Inc. (a)(b)...................... 10,284 51,420 Salix Pharmaceuticals, Ltd. (a)(b)...................... 8,326 82,178 Sepracor, Inc. (a)(b)......... 18,860 326,655 Sucampo Pharmaceuticals, Inc. (a)(b)...................... 1,268 7,823 The Medicines Co. (a)(b)...... 9,361 78,539 Valeant Pharmaceuticals International (a)(b)........ 12,057 310,106 ViroPharma, Inc. (a)(b)....... 12,695 75,281 VIVUS, Inc. (a)(b)............ 11,258 68,449 XenoPort, Inc. (a)(b)......... 4,908 113,718 ------------ 2,054,908 ------------ PROFESSIONAL SERVICES -- 1.9% Administaff, Inc. (b)......... 3,890 90,520 Advisory Board Co. (a)........ 2,523 64,841 CBIZ, Inc. (a)(b)............. 8,050 57,316 CoStar Group, Inc. (a)(b)..... 3,359 133,923 CRA International, Inc. (a)(b)...................... 1,779 49,385 Exponent, Inc. (a)............ 2,190 53,677 First Advantage Corp. (Class A) (a)(b)................... 1,806 27,469 Heidrick & Struggles International, Inc. (b)..... 3,103 56,630 Hill International, Inc. (a)(b)...................... 4,965 21,350 Huron Consulting Group, Inc. (a)(b)...................... 3,726 172,253 ICF International, Inc. (a)(b)...................... 1,387 38,267 Kforce, Inc. (a)(b)........... 5,898 48,776 Korn/Ferry International (a)(b)...................... 7,468 79,460 LECG Corp. (a)(b)............. 4,397 14,334 Monster Worldwide, Inc. (a)(b)...................... 22,039 260,281 MPS Group, Inc. (a)........... 15,966 121,980 Navigant Consulting, Inc. (a)(b)...................... 8,367 108,102 Odyssey Marine Exploration, Inc. (a)(b)................. 10,062 16,099 Resources Connection, Inc. (a)(b)...................... 7,744 132,965 Spherion Corp. (a)............ 8,154 33,595 The Corporate Executive Board Co. ........................ 5,915 122,795 TrueBlue, Inc. (a)(b)......... 7,512 63,101 ------------ 1,767,119 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.3% Alexander's, Inc. (b)......... 428 115,389 BioMed Realty Trust, Inc. (b)......................... 16,627 170,094 Cedar Shopping Centers, Inc. (b)......................... 7,231 32,684 Corporate Office Properties Trust(b).................... 9,940 291,540 Equity Lifestyle Properties, Inc. ....................... 4,039 150,170 Tanger Factory Outlet Centers, Inc. (b).................... 5,431 176,128 Taubman Centers, Inc. (b)..... 9,129 245,205 ------------ 1,181,210 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 39,131 366,266 Tejon Ranch Co. (a)(b)........ 2,011 53,272 ------------ 419,538 ------------ ROAD & RAIL -- 1.1% Genesee & Wyoming, Inc. (Class A) (a)...................... 6,163 163,381 Heartland Express, Inc. (b)... 9,547 140,532 Knight Transportation, Inc. (b)......................... 10,094 167,056 Landstar Systems, Inc. ....... 8,990 322,831 Marten Transport, Ltd. (a).... 2,625 54,495 Old Dominion Freight Line, Inc. (a).................... 5,214 175,034 Universal Truckload Services, Inc. (b).................... 971 15,196 ------------ 1,038,525 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.6% Advanced Analogic Technologies, Inc. (a)...... 8,028 36,849 Advanced Energy Industries, Inc. (a)(b)................. 5,387 48,429 Amkor Technology, Inc. (a)(b)...................... 20,222 95,650 Anadigics, Inc. (a)(b)........ 9,907 41,510 Applied Micro Circuits Corp. (a)(b)...................... 11,232 91,316 Atheros Communications, Inc. (a)(b)...................... 10,427 200,615 Atmel Corp. (a)(b)............ 69,583 259,545 ATMI, Inc. (a)(b)............. 5,454 84,701 Brooks Automation, Inc. (a)(b)...................... 9,408 42,148 Cabot Microelectronics Corp. (a)(b)...................... 4,205 118,959 Cavium Networks, Inc. (a)(b).. 6,246 104,995 Cirrus Logic, Inc. (a)(b)..... 9,180 41,310 Cohu, Inc. (b)................ 4,171 37,456 Cymer, Inc. (a)............... 5,163 153,496 Cypress Semiconductor Corp. (a)(b)...................... 25,028 230,258 Diodes, Inc. (a)(b)........... 5,581 87,287 Entegris, Inc. (a)............ 18,921 51,465 FEI Co. (a)................... 6,221 142,461 Formfactor, Inc. (a)(b)....... 8,756 150,953 Hittite Microwave Corp. (a)... 3,360 116,760
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Integrated Device Technology, Inc. (a).................... 28,492 $ 172,092 International Rectifier Corp. (a)(b)...................... 12,585 186,384 IXYS Corp. (b)................ 4,035 40,834 Kulicke & Soffa Industries, Inc. (a)(b)................. 11,816 40,529 Micrel, Inc. (b).............. 8,104 59,321 Microsemi Corp. (a)........... 14,026 193,559 MKS Instruments, Inc. (a)..... 7,872 103,832 Monolithic Power Systems, Inc. (a)......................... 5,863 131,390 Netlogic Microsystems, Inc. (a)......................... 3,190 116,307 Novellus Systems, Inc. (a).... 16,943 282,948 OmniVision Technologies, Inc. (a)(b)...................... 8,628 89,645 PMC-Sierra, Inc. (a)(b)....... 37,605 299,336 Power Integrations, Inc. (b).. 4,650 110,623 Rambus, Inc. (a)(b)........... 18,206 282,011 RF Micro Devices, Inc. (a)(b)...................... 40,693 153,006 Rubicon Technology, Inc. (a)(b)...................... 2,171 31,002 Semtech Corp. (a)(b).......... 10,435 166,021 Sigma Designs, Inc. (a)(b).... 4,532 72,693 Silicon Image, Inc. (a)(b).... 11,524 26,505 Silicon Laboratories, Inc. (a)(b)...................... 7,752 294,111 Silicon Storage Technology, Inc. (a)(b)................. 14,423 26,971 Skyworks Solutions, Inc. (a)(b)...................... 28,880 282,446 Standard Microsystems Corp. (a)(b)...................... 3,777 77,240 Supertex, Inc. (a)(b)......... 1,941 48,739 Teradyne, Inc. (a)(b)......... 30,371 208,345 Tessera Technologies, Inc. (a)......................... 8,344 211,020 Trident Microsystems, Inc. (a)(b)...................... 9,625 16,747 TriQuint Semiconductor, Inc. (a)......................... 25,279 134,231 Ultratech, Inc. (a)........... 3,013 37,090 Volterra Semiconductor Corp. (a)(b)...................... 4,420 58,079 Zoran Corp. (a)............... 8,836 96,312 ------------ 6,185,532 ------------ SOFTWARE -- 6.4% ACI Worldwide, Inc. (a)(b).... 6,178 86,245 Advent Software, Inc. (a)(b).. 2,456 80,532 ArcSight, Inc. (a)(b)......... 3,195 56,775 Ariba, Inc. (a)(b)............ 14,859 146,213 Blackbaud, Inc. (b)........... 7,568 117,683 Blackboard, Inc. (a)(b)....... 5,099 147,157 Cadence Design Systems, Inc. (a)(b)...................... 45,959 271,158 Commvault Systems, Inc. (a)(b)...................... 6,760 112,081 Concur Technologies, Inc. (a)(b)...................... 7,287 226,480 Deltek, Inc. (a).............. 2,058 8,932 DemandTec, Inc. (a)(b)........ 3,416 30,061 Ebix, Inc. (a)(b)............. 1,500 46,980 Epicor Software Corp. (a)(b).. 9,677 51,288 EPIQ Systems, Inc. (a)(b)..... 5,689 87,326 FalconStor Software, Inc. (a)(b)...................... 6,100 28,975 i2 Technologies, Inc. (a)(b).. 2,624 32,931 Informatica Corp. (a)......... 15,101 259,586 InfoSpace, Inc. (a)........... 5,715 37,891 Jack Henry & Associates, Inc. (b)......................... 14,536 301,622 Kenexa Corp. (a).............. 3,093 35,786 Lawson Software, Inc. (a)(b).. 21,520 120,082 Macrovision Solutions Corp. (a)(b)...................... 14,232 310,400 Manhattan Associates, Inc. (a)......................... 3,851 70,165 Mentor Graphics Corp. (a)(b).. 15,985 87,438 MICROS Systems, Inc. (a)(b)... 13,954 353,315 MicroStrategy, Inc. (a)(b).... 1,634 82,060 Monotype Imaging Holdings, Inc. (a)(b)................. 3,768 25,660 MSC Software Corp. (a)(b)..... 7,321 48,758 Netscout Systems, Inc. (a).... 4,269 40,043 NetSuite, Inc. (a)(b)......... 2,975 35,135 OPNET Technologies, Inc. ..... 2,664 24,402 Parametric Technology Corp. (a)......................... 20,108 235,063 Pegasystems, Inc. ............ 2,543 67,084 Progress Software Corp. (a)... 6,937 146,856 Quality Systems, Inc. (b)..... 3,133 178,456 Quest Software, Inc. (a)...... 11,340 158,080 Radiant Systems, Inc. (a)..... 4,198 34,843 Rosetta Stone, Inc. (a)(b).... 1,078 29,580 S1 Corp. (a).................. 8,316 57,380 Solarwinds, Inc. (a).......... 2,125 35,041 Solera Holdings, Inc. (a)..... 12,013 305,130 SonicWALL, Inc. (a)........... 9,324 51,096 SPSS, Inc. (a)................ 3,102 103,514 SuccessFactors, Inc. (a)(b)... 4,723 43,357 Symyx Technologies, Inc. (a).. 5,111 29,899 Synchronoss Technologies, Inc. (a)(b)...................... 2,949 36,184 Taleo Corp. (a)(b)............ 5,367 98,055 TeleCommunication Systems, Inc. (Class A) (a)(b)....... 6,412 45,589 THQ, Inc. (a)(b).............. 11,603 83,078 TIBCO Software, Inc. (a)...... 30,242 216,835 TiVo, Inc. (a)(b)............. 17,700 185,496 Tyler Technologies, Inc. (a)(b)...................... 6,126 95,688 Ultimate Software Group, Inc. (a)(b)...................... 4,092 99,190 Vasco Data Security International (a)(b)........ 4,427 32,361 Websense, Inc. (a)............ 7,138 127,342 Wind River Systems, Inc. (a).. 12,416 142,287 ------------ 6,000,644 ------------ SPECIALTY RETAIL -- 4.0% Aaron's, Inc. (b)............. 8,503 253,559 Aeropostale, Inc. (a)(b)...... 11,617 398,115 AnnTaylor Stores Corp. (a)(b)...................... 10,149 80,989 Bebe Stores, Inc. (b)......... 5,158 35,487 Big 5 Sporting Goods Corp. ... 2,996 33,136 Blockbuster, Inc. (Class A) (a)(b)...................... 32,117 21,197 Cabela's, Inc. (a)(b)......... 7,543 92,779 Charlotte Russe Holding, Inc. (a)......................... 3,664 47,192 Charming Shoppes, Inc. (a)(b)...................... 16,977 63,154 Chico's FAS, Inc. (a)(b)...... 30,502 296,784 Christopher & Banks Corp. (b)......................... 5,399 36,227 Coldwater Creek, Inc. (a)(b).. 10,177 61,673 Conn's, Inc. (a)(b)........... 1,741 21,762 Dick's Sporting Goods, Inc. (a)(b)...................... 14,569 250,587 DSW, Inc. (Class A) (a)(b).... 2,580 25,413 Gymboree Corp. (a)(b)......... 4,964 176,123 hhgregg, Inc. (a)(b).......... 2,706 41,023 Hibbett Sports, Inc. (a)(b)... 5,127 92,286 Hot Topic, Inc. (a)(b)........ 8,079 59,057 J. Crew Group, Inc. (a)(b).... 8,938 241,505 Jos. A. Bank Clothiers, Inc. (a)(b)...................... 3,262 112,409 Lumber Liquidators, Inc. (a)(b)...................... 2,027 31,946 Mens Wearhouse, Inc. (b)...... 8,038 154,169 Monro Muffler Brake, Inc. (b)......................... 3,344 85,974 New York & Co., Inc. (a)(b)... 4,531 14,001 Office Depot, Inc. (a)(b)..... 47,213 215,291 Pacific Sunwear of California, Inc. (a)(b)................. 11,188 37,704 Systemax, Inc. (a)(b)......... 2,115 25,190 The Dress Barn, Inc. (a)(b)... 7,439 106,378 The Finish Line, Inc. (Class A) (b)...................... 7,243 53,743
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- The Wet Seal, Inc. (Class A) (a)(b)...................... 16,349 $ 50,191 Tractor Supply Co. (a)(b)..... 6,254 258,415 Tween Brands, Inc. (a)........ 3,844 25,678 Ulta Salon Cosmetics & Fragrance, Inc. (a)(b)...... 4,382 48,728 Williams-Sonoma, Inc. (b)..... 16,482 195,641 Zumiez, Inc. (a)(b)........... 3,556 28,484 ------------ 3,771,990 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.7% American Apparel, Inc. (a)(b)...................... 5,286 19,241 Carter's, Inc. (a)............ 9,831 241,941 Crocs, Inc. (a)(b)............ 13,549 46,067 Deckers Outdoor Corp. (a)(b).. 2,327 163,518 FGX International Holdings, Ltd. (a)(b)................. 2,774 31,568 Fossil, Inc. (a)(b)........... 8,165 196,613 Iconix Brand Group, Inc. (a)(b)...................... 10,476 161,121 K-Swiss, Inc. (Class A) (b)... 4,088 34,748 Maidenform Brands, Inc. (a)... 2,952 33,860 Quiksilver, Inc. (a)(b)....... 22,336 41,322 Steven Madden, Ltd. (a)....... 2,836 72,176 The Warnaco Group, Inc. (a)... 7,921 256,640 True Religion Apparel, Inc. (a)(b)...................... 4,379 97,652 Under Armour, Inc. (Class A) (a)(b)...................... 6,169 138,062 Volcom, Inc. (a)(b)........... 2,640 33,000 ------------ 1,567,529 ------------ THRIFTS & MORTGAGE FINANCE -- 0.5% Beneficial Mutual Bancorp, Inc. (a).................... 6,013 57,725 ESSA Bancorp, Inc. (b)........ 2,273 31,072 New Alliance Bancshares, Inc. (b)......................... 17,252 198,398 Ocwen Financial Corp. (a)(b).. 7,410 96,108 Oritani Financial Corp. (a)(b)...................... 1,958 26,844 United Financial Bancorp, Inc. (b)......................... 2,648 36,595 ViewPoint Financial Group..... 1,869 28,465 Waterstone Financial, Inc. (a)(b)...................... 1,489 4,422 ------------ 479,629 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.6% Beacon Roofing Supply, Inc. (a)(b)...................... 7,779 112,484 H&E Equipment Services, Inc. (a)(b)...................... 4,863 45,469 Interline Brands, Inc. (a).... 5,584 76,389 RSC Holdings, Inc. (a)(b)..... 7,765 52,181 Rush Enterprises, Inc. (a)(b)...................... 5,676 66,125 Titan Machinery, Inc. (a)(b).. 2,764 35,075 WESCO International, Inc. (a)......................... 7,260 181,791 ------------ 569,514 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.4% Centennial Communications Corp. (a)................... 11,640 97,310 ICO Global Communications Holdings, Ltd. (a)(b)....... 17,827 11,053 iPCS, Inc. (a)................ 2,503 37,445 Shenandoah Telecommunications Co. (b)..................... 4,278 86,801 Syniverse Holdings, Inc. (a).. 11,878 190,404 ------------ 423,013 ------------ TOTAL COMMON STOCKS -- (Cost $119,866,435)......... 93,988,836 ------------ WARRANTS -- 0.0% (c) COMMUNICATIONS EQUIPMENT -- 0.0% (c) Pegasus Wireless Corp. (expiring 12/18/09) (a)(d) (Cost $0)................... 569 0 ------------ SHORT TERM INVESTMENTS -- 29.4% MONEY MARKET FUNDS -- 29.4% State Street Navigator Securities Lending Prime Portfolio (e)(f)............ 27,383,717 27,383,717 STIC Prime Portfolio.......... 254,615 254,615 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $27,638,332).......... 27,638,332 ------------ TOTAL INVESTMENTS -- 129.3% (g) (Cost $147,504,767)......... 121,627,168 OTHER ASSETS AND LIABILITIES -- (29.3)%...... (27,549,902) ------------ NET ASSETS -- 100.0%.......... $ 94,077,266 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at June 30, 2009. (c) Amount shown represents less than 0.05% of net assets. (d) Security is valued at fair value as determined in good faith by Trust's Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs established under FAS 157. (Note 2) (e) Investments of cash collateral for securities loaned. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs established under FAS 157. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.8% Applied Signal Technology, Inc. ..................... 1,870 $ 47,704 Cubic Corp. ................ 2,258 80,814 Curtiss-Wright Corp. (a).... 6,277 186,615 Ducommun, Inc. (a).......... 1,432 26,907 Esterline Technologies Corp. (b)....................... 4,117 111,447 GenCorp, Inc. (b)........... 8,096 15,464 Triumph Group, Inc. (a)..... 2,307 92,280 ------------- 561,231 ------------- AIR FREIGHT & LOGISTICS -- 0.0% (c) Pacer International, Inc. .. 4,958 11,056 ------------- AIRLINES -- 0.4% Alaska Air Group, Inc. (a)(b).................... 5,161 94,240 Continental Airlines, Inc. (Class B) (a)(b).......... 16,929 149,991 UAL Corp. (a)(b)............ 18,366 58,587 ------------- 302,818 ------------- AUTO COMPONENTS -- 0.7% Cooper Tire & Rubber Co. (a)....................... 8,011 79,469 Federal-Mogul Corp. (Class A) (a)(b)................. 3,629 34,294 Superior Industries International, Inc. ...... 3,047 42,963 Tenneco Automotive, Inc. (a)(b).................... 5,825 61,745 TRW Automotive Holdings Corp. (a)(b).............. 7,683 86,818 WABCO Holdings, Inc. ....... 8,796 155,689 ------------- 460,978 ------------- AUTOMOBILES -- 0.0% (c) Winnebago Industries, Inc.(a)................... 3,812 28,323 ------------- BEVERAGES -- 0.3% Central European Distribution Corp. (a)(b).................... 5,521 146,693 Coca-Cola Hellenic Bottling Co. SA.................... 537 29,605 National Beverage Corp. (a)(b).................... 1,393 14,835 ------------- 191,133 ------------- BIOTECHNOLOGY -- 0.8% ArQule, Inc. (a)(b)......... 4,291 26,347 Cougar Biotechnology, Inc. (b)....................... 2,353 101,085 Dendreon Corp. (b).......... 15,796 392,530 Nabi Biopharmaceuticals (a)(b).................... 7,383 17,867 StemCells, Inc. (a)(b)...... 11,667 19,834 ------------- 557,663 ------------- BUILDING PRODUCTS -- 1.3% American Woodmark Corp. (a)....................... 1,225 29,339 Ameron International Corp. (a)....................... 1,187 79,576 Apogee Enterprises, Inc. (a)....................... 3,835 47,171 Armstrong World Industries, Inc. (a)(b)............... 2,596 42,808 Builders FirstSource, Inc. (a)(b).................... 1,961 8,158 Gibraltar Industries, Inc. (a)....................... 3,482 23,921 Griffon Corp. (b)........... 7,050 58,656 Lennox International, Inc. (a)....................... 7,193 230,967 NCI Building Systems, Inc. (a)(b).................... 2,566 6,774 Owens Corning, Inc. (a)(b).. 12,113 154,804 Trex Co., Inc. (a)(b)....... 1,979 26,459 Universal Forest Products, Inc. (a).................. 2,572 85,108 USG Corp. (a)(b)............ 9,481 95,474 ------------- 889,215 ------------- CAPITAL MARKETS -- 2.2% BGC Partners, Inc. (a)...... 5,109 19,363 Broadpoint Gleacher Securities, Inc. (b)...... 4,857 27,102 Cohen & Steers, Inc. (a).... 2,952 44,132 FBR Capital Markets Corp. (b)....................... 5,503 25,864 FCStone Group, Inc. (a)(b).. 3,251 12,841 Fortress Investment Group LLC (Class A) (a)(b)..... 11,050 37,791 GAMCO Investors, Inc. (a)... 507 24,589 GLG Partners, Inc. (a)...... 23,488 96,066 Investment Technology Group, Inc. (b).................. 5,967 121,667 Janus Capital Group, Inc. (a)....................... 22,197 253,046 LaBranche & Cos., Inc. (a)(b).................... 8,089 34,783 Piper Jaffray Co., Inc. (a)(b).................... 2,680 117,036 SWS Group, Inc. (a)......... 3,865 53,994 Teton Advisors, Inc. (b)(d).................... 10 23 The Blackstone Group LP (a)....................... 22,441 236,528 Thomas Weisel Partners Group, Inc. (a)(b)........ 2,992 18,012 W.P. Carey & Co. LLC (a).... 3,986 99,570 Waddell & Reed Financial, Inc. (Class A)............ 11,837 312,142 ------------- 1,534,549 ------------- CHEMICALS -- 3.4% A. Schulman, Inc. .......... 3,365 50,845 Arch Chemicals, Inc. (a).... 3,498 86,016 Ashland, Inc. (a)........... 9,180 257,499 Cabot Corp. ................ 7,158 90,048 Cytec Industries, Inc. (a).. 6,575 122,426 Ferro Corp. (a)............. 5,617 15,447 H.B. Fuller Co. (a)......... 6,645 124,727 Innophos Holdings, Inc. .... 1,494 25,234 Koppers Holdings, Inc. (a).. 2,832 74,680 Kronos Worldwide, Inc. (a).. 418 2,780 Minerals Technologies, Inc. ..................... 2,582 93,004 NewMarket Corp. (a)......... 1,535 103,351 NL Industries, Inc. (a)..... 929 6,856 Olin Corp. (a).............. 9,467 112,563 OM Group, Inc. (a)(b)....... 4,276 124,089 RPM International, Inc. .... 17,833 250,375 Sensient Technologies Corp. .................... 6,757 152,505 Solutia, Inc. (b)........... 15,672 90,271 Spartech Corp. ............. 3,991 36,677 Stepan Co. ................. 1,070 47,251 Valhi, Inc. (a)............. 1,442 10,714 Valspar Corp. .............. 12,874 290,051 W.R. Grace & Co. (a)(b)..... 8,294 102,597 Westlake Chemical Corp. (a)....................... 2,711 55,277 Zep, Inc. (a)............... 2,860 34,463 ------------- 2,359,746 ------------- COMMERCIAL BANKS -- 11.9% 1st Source Corp. (a)........ 1,974 34,091 Arrow Financial Corp. (a)... 1,540 41,580 Associated Ban-Corp. (a).... 16,486 206,075 Bancfirst Corp. (a)......... 1,022 35,341 BancorpSouth, Inc. (a)...... 10,703 219,733
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Bank of Hawaii Corp. (a).... 6,628 $ 237,481 Boston Private Financial Holdings, Inc. (a)........ 8,437 37,798 Camden National Corp. (a)... 999 33,996 Capital City Bank Group, Inc. (a).................. 1,636 27,567 CapitalSource, Inc. ........ 32,693 159,542 Capitol Bancorp, Ltd. (a)... 1,987 5,266 Cathay General Bancorp (a).. 7,066 67,198 Central Pacific Financial Corp. (a)................. 4,188 15,705 Chemical Financial Corp. (a)....................... 3,131 62,338 Citizens Republic Bancorp, Inc. (a)(b)............... 18,450 13,099 City Holding Co. (a)........ 2,244 68,128 Columbia Banking System, Inc. (a).................. 2,284 23,365 Community Bank System, Inc. (a)....................... 4,623 67,311 Community Trust Bancorp, Inc. (a).................. 1,951 52,189 CVB Financial Corp. (a)..... 9,558 57,061 F.N.B. Corp. (a)............ 15,123 93,611 Fifth Third Bancorp (a)..... 79,584 565,046 First BanCorp- North Carolina (a).............. 2,397 37,585 First BanCorp- Puerto Rico (a)....................... 11,029 43,565 First Busey Corp. (a)....... 3,954 29,062 First Citizens Bancshares, Inc. (Class A)............ 847 113,202 First Commonwealth Financial Corp. (a)................. 11,105 70,406 First Community Bancshares, Inc. (a).................. 1,910 24,524 First Financial Bancorp (a)....................... 5,314 39,961 First Financial Bankshares, Inc. (a).................. 2,882 145,137 First Financial Corp. (a)... 1,444 45,602 First Horizon National Corp. (b)....................... 29,686 356,226 First Merchants Corp. (a)... 3,079 24,724 First Midwest Bancorp, Inc. (a)....................... 6,959 50,870 FirstMerit Corp. (a)........ 11,340 192,553 Frontier Financial Corp. (a)....................... 5,998 7,258 Fulton Financial Corp. (a).. 24,021 125,149 Glacier Bancorp, Inc. (a)... 8,428 124,482 Guaranty Bancorp (a)(b)..... 7,354 14,046 Hampton Roads Bankshares, Inc. (a).................. 3,090 25,492 Hancock Holding Co. (a)..... 3,627 117,841 Hanmi Financial Corp. (a)... 6,119 10,708 Harleysville National Corp. (a)....................... 6,109 28,712 Heartland Financial USA, Inc. (a).................. 2,097 29,945 Home Bancshares, Inc. (a)... 2,244 42,726 Huntington Bancshares, Inc. (a)....................... 75,287 314,700 IBERIABANK Corp. (a)........ 2,143 84,456 Independent Bank Corp. -- Massachusetts (a)....................... 2,929 57,701 International Bancshares Corp. (a)................. 7,619 78,552 Investors Bancorp, Inc. (a)(b).................... 6,410 58,716 Lakeland Financial Corp. (a)....................... 1,543 29,317 Marshall & Ilsley Corp. (a)....................... 47,131 226,229 MB Financial, Inc. (a)...... 4,962 50,563 National Penn Bancshares, Inc. (a).................. 11,361 52,374 NBT Bancorp, Inc. (a)....... 4,546 98,694 Northfield Bancorp, Inc. (a)....................... 2,869 33,338 Old National Bancorp (a).... 9,415 92,455 Old Second Bancorp, Inc. (a)....................... 1,555 9,174 Oriental Financial Group, Inc. (a).................. 2,882 27,955 Orrstown Financial Services, Inc. (a).................. 774 28,824 Pacific Capital Bancorp (a)....................... 6,632 14,192 PacWest Bancorp (a)......... 3,319 43,678 Park National Corp. (a)..... 1,560 88,109 Popular, Inc. (a)........... 34,925 76,835 Prosperity Bancshares, Inc. (a)....................... 6,404 191,031 Renasant Corp. (a).......... 2,989 44,895 Republic Bancorp, Inc. -- Kentucky (a)...... 1,343 30,338 S&T Bancorp, Inc. (a)....... 3,913 47,582 S.Y. Bancorp, Inc. (a)...... 1,721 41,597 Sandy Spring Bancorp, Inc. (a)....................... 2,377 34,942 Santander Bancorp (b)....... 721 5,018 SCBT Financial Corp. (a).... 1,665 39,444 Seacoast Banking Corp. of Florida................... 1,930 4,690 Simmons First National Corp. (a)....................... 1,837 49,085 South Financial Group, Inc. (a)....................... 21,436 25,509 Southside Bancshares, Inc. ..................... 1,861 42,561 StellarOne Corp. (a)........ 3,195 41,375 Sterling Bancorp (a)........ 2,660 22,211 Sterling Bancshares, Inc. (a)....................... 10,502 66,478 Sterling Financial Corp. -- Washington (a)... 6,591 19,180 Suffolk Bancorp (a)......... 1,338 34,306 Sun Bancorp, Inc. (a)(b).... 2,631 13,629 Susquehanna Bancshares, Inc. (a)....................... 12,267 59,986 SVB Financial Group (a)(b).. 4,626 125,920 Synovus Financial Corp. (a)....................... 37,812 113,058 TCF Financial Corp. (a)..... 16,717 223,506 The Colonial BancGroup, Inc. (a)....................... 28,702 17,795 Tompkins Trustco, Inc. (a).. 1,005 48,190 Trico Bancshares (a)........ 2,101 32,565 Trustmark Corp. (a)......... 6,941 134,100 UMB Financial Corp. (a)..... 4,604 174,998 Umpqua Holdings Corp. (a)... 8,554 66,379 Union Bankshares Corp. (a).. 1,879 28,129 United Bankshares, Inc. (a)....................... 5,945 116,165 United Community Banks, Inc. (a)(b).................... 6,811 40,800 Univest Corp. of Pennsylvania (a).......... 1,870 37,886 Valley National Bancorp (a)....................... 19,558 228,829 Washington Trust Bancorp, Inc. (a).................. 1,535 27,369 Webster Financial Corp. (a)....................... 7,449 59,964 WesBanco, Inc. (a).......... 3,532 51,355 Westamerica Bancorporation (a)....................... 4,023 199,581 Whitney Holding Corp. (a)... 9,110 83,448 Wilmington Trust Corp. (a).. 9,426 128,759 Wintrust Financial Corp. (a)....................... 3,413 54,881 Zions Bancorp. (a).......... 15,921 184,047 ------------- 8,280,740 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% ABM Industries, Inc. (a).... 6,291 113,678 ACCO Brands Corp. (a)(b).... 6,589 18,581 ATC Technology Corp. (a) (b)....................... 2,876 41,702 Bowne & Co., Inc. (a)....... 3,517 22,896 Comfort Systems USA, Inc. (a)....................... 5,290 54,222 Consolidated Graphics, Inc. (a)(b).................... 1,418 24,701 Cornell Companies, Inc. (b)....................... 1,651 26,763 Courier Corp. (a)........... 1,435 21,898 Deluxe Corp. ............... 7,023 89,965 Ennis, Inc. (a)............. 3,704 46,152 G & K Services, Inc. (Class A)........................ 2,593 54,842 Herman Miller, Inc. (a)..... 7,397 113,470 HNI Corp. (a)............... 4,644 83,871 Kimball International, Inc. (Class B)................. 3,729 23,269
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- McGrath Rentcorp (a)........ 3,326 $ 63,393 Mine Safety Appliances Co. (a)....................... 4,318 104,064 Steelcase, Inc. (Class A) (a)....................... 9,033 52,572 The Brink's Co. ............ 6,347 184,253 The Standard Register Co. (a)....................... 2,206 7,192 United Stationers, Inc. (a)(b).................... 3,300 115,104 Viad Corp. ................. 2,895 49,852 ------------- 1,312,440 ------------- COMMUNICATIONS EQUIPMENT -- 0.9% 3Com Corp. (b).............. 53,564 252,286 Avocent Corp. (a)(b)........ 6,190 86,412 Black Box Corp. (a)......... 2,465 82,504 EMS Technologies, Inc. (b).. 2,200 45,980 Loral Space & Communications, Ltd. (b).. 1,616 41,612 Plantronics, Inc. .......... 6,745 127,548 ------------- 636,342 ------------- COMPUTERS & PERIPHERALS -- 0.6% Adaptec, Inc. (b)........... 14,682 38,907 Avid Technology, Inc. (b)... 3,865 51,830 Diebold, Inc. .............. 9,127 240,588 Electronics for Imaging, Inc. (b).................. 6,813 72,626 Hutchinson Technology, Inc. (a)(b).................... 3,046 5,940 Imation Corp. (a)........... 4,526 34,443 ------------- 444,334 ------------- CONSTRUCTION & ENGINEERING -- 0.7% EMCOR Group, Inc. (b)....... 9,036 181,804 Granite Construction, Inc. (a)....................... 4,731 157,448 Insituform Technologies, Inc. (a)(b)............... 5,303 89,992 Michael Baker Corp. (b)..... 1,104 46,765 Northwest Pipe Co. (a)(b)... 1,283 44,597 ------------- 520,606 ------------- CONSTRUCTION MATERIALS -- 0.2% Headwaters, Inc. (a)(b)..... 5,955 20,009 Texas Industries, Inc. (a).. 3,232 101,355 ------------- 121,364 ------------- CONSUMER FINANCE -- 0.2% Advance America Cash Advance Centers, Inc. ............ 6,560 29,061 Dollar Financial Corp. (a)(b).................... 3,209 44,252 The First Marblehead Corp. (b)....................... 9,144 18,471 The Student Loan Corp. (a).. 513 19,083 World Acceptance Corp. (a)(b).................... 2,091 41,632 ------------- 152,499 ------------- CONTAINERS & PACKAGING -- 1.4% Greif, Inc. (Class A)...... 4,730 209,161 Myers Industries, Inc. (a).. 3,878 32,265 Packaging Corp. of America.. 14,146 229,165 Rock-Tenn Co. (Class A).... 5,249 200,302 Silgan Holdings, Inc. ...... 3,533 173,223 Temple-Inland, Inc. (a)..... 12,444 163,265 ------------- 1,007,381 ------------- DISTRIBUTORS -- 0.1% Audiovox Corp. (Class A) (a)(b).................... 2,382 13,958 Core-Mark Holding Co., Inc. (a)(b).................... 1,432 37,318 ------------- 51,276 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% Jackson Hewitt Tax Service, Inc. (a).................. 3,240 20,282 Regis Corp. ................ 5,901 102,736 Service Corp. International (a)....................... 34,662 189,948 Stewart Enterprises, Inc. (Class A) (a)............. 11,453 55,204 StoneMor Partners LP (a).... 1,336 20,027 ------------- 388,197 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% CIT Group, Inc. (a)......... 53,727 115,513 Financial Federal Corp. (a)....................... 3,684 75,706 KKR Financial Holdings LLC (a)....................... 21,974 20,436 PHH Corp. (a)(b)............ 7,467 135,750 Pico Holdings, Inc. (a)(b).. 2,626 75,366 ------------- 422,771 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% Atlantic Tele-Network, Inc. (a)....................... 1,261 49,545 Cincinnati Bell, Inc. (a)(b).................... 29,553 83,930 Cogent Communications Group, Inc. (b).................. 5,991 48,827 Consolidated Communications Holdings, Inc. (a)........ 3,399 39,802 FairPoint Communications, Inc. (a).................. 11,388 6,833 Iowa Telecommunications Services, Inc. (a)........ 4,556 56,996 SureWest Communications (a)(b).................... 1,751 18,333 ------------- 304,266 ------------- ELECTRIC UTILITIES -- 2.5% ALLETE, Inc. ............... 3,815 109,681 Brookfield Infrastructure Partners LP............... 2,981 36,756 Central Vermont Public Service Corp. ............ 1,434 25,955 Cleco Corp. (a)............. 8,402 188,373 El Paso Electric Co. (b).... 6,258 87,362 Empire District Electric Co. (a)....................... 4,742 78,338 Great Plains Energy, Inc. (a)....................... 18,494 287,582 Hawaiian Electric Industries, Inc. (a)...... 12,676 241,605 IDACORP, Inc. (a)........... 6,392 167,087 MGE Energy, Inc. (a)........ 3,102 104,072 Portland General Electric Co. (a)................... 10,305 200,741 UIL Holdings Corp. (a)...... 3,964 88,992 Unisource Energy Corp. (a).. 4,821 127,949 ------------- 1,744,493 ------------- ELECTRICAL EQUIPMENT -- 2.0% A.O. Smith Corp. (a)........ 2,814 91,652 Acuity Brands, Inc. (a)..... 5,571 156,266 Baldor Electric Co. (a)..... 5,956 141,693 Belden CDT, Inc. ........... 6,378 106,513 Brady Corp. (Class A)...... 6,380 160,266 Ener1, Inc. (a)(b).......... 7,431 40,573 Franklin Electric Co., Inc. ..................... 2,536 65,733 GrafTech International, Ltd. (a)(b).................... 16,518 186,819 Powell Industries, Inc. (b)....................... 1,071 39,702 Regal-Beloit Corp. (a)...... 4,889 194,191 Thomas & Betts Corp. (a)(b).................... 7,362 212,467 ------------- 1,395,875 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% Agilysys, Inc. (a).......... 2,071 9,692 Anixter International, Inc. (a)(b).................... 4,249 159,720
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- AVX Corp. (a)............... 7,290 $ 72,390 Checkpoint Systems, Inc. (b)....................... 5,308 83,283 Coherent, Inc. (a)(b)....... 3,236 66,920 Electro Rent Corp. ......... 2,642 25,073 Littelfuse, Inc. (a)(b)..... 3,071 61,297 Methode Electronics, Inc. (Class A)................. 5,585 39,207 Park Electrochemical Corp. (a)....................... 2,627 56,559 SYNNEX Corp. (a)(b)......... 2,517 62,900 Tech Data Corp. (b)......... 6,974 228,120 Technitrol, Inc. ........... 5,143 33,275 Vishay Intertechnology, Inc. (b)....................... 23,584 160,135 ------------- 1,058,571 ------------- ENERGY EQUIPMENT & SERVICES -- 0.7% Bristow Group, Inc. (a)(b).. 3,824 113,305 Gulf Island Fabrication, Inc. ..................... 1,762 27,892 Gulfmark Offshore, Inc. (b)....................... 3,544 97,814 PHI, Inc. (b)............... 2,026 34,726 SEACOR Holdings, Inc. (a)(b).................... 2,634 198,182 Trico Marine Services, Inc. (b)....................... 1,506 5,166 ------------- 477,085 ------------- FOOD & STAPLES RETAILING -- 1.3% BJ's Wholesale Club, Inc. (a)(b).................... 7,566 243,852 Casey's General Stores, Inc. (a)....................... 6,921 177,801 Ingles Markets, Inc. (a).... 1,718 26,182 Nash Finch Co. (a).......... 1,853 50,142 Ruddick Corp. (a)........... 5,814 136,222 The Andersons, Inc. (a)..... 2,515 75,299 Village Super Market, Inc. (Class A)................. 665 19,784 Weis Markets, Inc. (a)...... 1,540 51,621 Winn-Dixie Stores, Inc. (b)....................... 7,494 93,975 ------------- 874,878 ------------- FOOD PRODUCTS -- 2.0% Alico, Inc. (a)............. 458 13,749 American Italian Pasta Co. (a)(b).................... 2,917 85,001 B&G Foods, Inc. (a)......... 4,938 41,529 Cal-Maine Foods, Inc. (a)... 1,873 46,750 Chiquita Brands International, Inc. (a)(b).................... 6,303 64,669 Corn Products International, Inc. (a).................. 10,255 274,732 Del Monte Foods Co. ........ 27,558 258,494 Farmer Brothers Co. (a)..... 831 19,013 Fresh Del Monte Produce, Inc. (b).................. 5,786 94,080 Hain Celestial Group, Inc. (a)(b).................... 5,493 85,746 Lancaster Colony Corp. (a).. 2,824 124,454 Lance, Inc. ................ 4,446 102,836 Sanderson Farms, Inc. (a)... 2,489 112,005 Tootsie Roll Industries, Inc. ..................... 3,273 74,264 ------------- 1,397,322 ------------- GAS UTILITIES -- 2.4% Amerigas Partners LP (a).... 4,433 149,525 Chesapeake Utilities Corp. (a)....................... 990 32,205 Ferrellgas Partners LP (a).. 5,844 94,907 Laclede Group, Inc. ........ 2,888 95,679 New Jersey Resources Corp. .................... 5,832 216,017 Nicor, Inc. (a)............. 6,227 215,579 Northwest Natural Gas Co. (a)....................... 3,638 161,236 South Jersey Industries, Inc. (a).................. 4,163 145,247 Southwest Gas Corp. ........ 6,192 137,524 Star Gas Partners LP........ 8,932 31,887 Suburban Propane Partners LP (a)....................... 4,494 189,512 WGL Holdings, Inc. (a)...... 6,929 221,867 ------------- 1,691,185 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% Analogic Corp. (a).......... 1,774 65,549 CONMED Corp. (a)(b)......... 4,082 63,353 Hill-Rom Holdings, Inc. .... 8,674 140,692 Invacare Corp. (a).......... 4,520 79,778 Orthofix International N.V. (a)(b).................... 2,355 58,899 STERIS Corp. (a)............ 7,470 194,818 The Cooper Cos., Inc. (a)... 6,258 154,760 ------------- 757,849 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% Brookdale Senior Living, Inc. (a).................. 7,596 73,985 Cross Country Healthcare, Inc. (a)(b)............... 4,076 28,002 Emergency Medical Services Corp. (Class A) (b)...... 1,330 48,971 Hanger Orthopedic Group, Inc. (a)(b)............... 4,350 59,116 Healthsouth Corp. (a)(b).... 12,054 174,060 Kindred Healthcare, Inc. (a)(b).................... 4,540 56,160 Landauer, Inc. (a).......... 1,272 78,024 LifePoint Hospitals, Inc. (a)(b).................... 7,349 192,911 Magellan Health Services, Inc. (b).................. 4,890 160,490 Medcath Corp. (b)........... 2,344 27,565 National Healthcare Corp. (a)....................... 1,180 44,769 Owens & Minor, Inc. (a)..... 5,636 246,970 RehabCare Group, Inc. (b)... 2,575 61,620 Res-Care, Inc. (b).......... 3,635 51,981 Skilled Healthcare Group, Inc. (Class A) (b)....... 2,754 20,655 Tenet Healthcare Corp. (a)(b).................... 66,571 187,730 ------------- 1,513,009 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% AFC Enterprises, Inc. (b)... 3,527 23,807 Ameristar Casinos, Inc. (a)....................... 3,318 63,142 Bob Evans Farms, Inc. (a)... 4,360 125,306 Boyd Gaming Corp. (a)(b).... 8,025 68,213 Brinker International, Inc. (a)....................... 14,036 239,033 Cedar Fair LP (a)........... 7,256 79,381 Churchill Downs, Inc. (a)... 1,470 49,480 Cracker Barrel Old Country Store, Inc. (a)........... 3,097 86,406 DineEquity, Inc. (a)........ 2,160 67,370 Domino's Pizza, Inc. (b).... 5,974 44,745 Gaylord Entertainment Co. (a)(b).................... 3,988 50,688 International Speedway Corp. (Class A) (a)............. 3,874 99,213 Isle of Capri Casinos, Inc. (a)(b).................... 2,461 32,781 Jack in the Box, Inc. (b)... 7,839 175,986 Krispy Kreme Doughnuts, Inc. (a)(b).................... 8,425 25,275 Landry's Restaurants, Inc. (a)(b).................... 1,481 12,737 Marcus Corp. ............... 3,070 32,296 Pinnacle Entertainment, Inc. (b)....................... 8,125 75,481 Ruby Tuesday, Inc. (a)(b)... 7,158 47,672 Speedway Motorsports, Inc. (a)....................... 1,791 24,644 Vail Resorts, Inc. (a)(b)... 4,097 109,882 ------------- 1,533,538 -------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- HOUSEHOLD DURABLES -- 2.6% American Greetings Corp. (Class A) (a)............. 5,036 $ 58,820 Blyth, Inc. (a)............. 890 29,183 Brookfield Homes Corp. (a)(b).................... 1,292 5,168 Centex Corp. (a)............ 17,026 144,040 CSS Industries, Inc. ....... 1,038 21,154 Ethan Allen Interiors, Inc. (a)....................... 3,810 39,472 Furniture Brands International, Inc. (a)... 4,608 13,962 Harman International Industries, Inc. ......... 8,067 151,660 Helen of Troy, Ltd. (b)..... 3,880 65,145 Hovnanian Enterprises, Inc. (a)(b).................... 7,519 17,745 KB HOME (a)................. 10,512 143,804 Lennar Corp. (Class A) (a)....................... 19,270 186,726 M.D.C. Holdings, Inc. (a)... 4,986 150,128 M/I Homes, Inc. (b)......... 2,568 25,141 Meritage Homes Corp. (a)(b).................... 4,038 76,157 National Presto Industries, Inc. (a).................. 644 49,008 Ryland Group, Inc. (a)...... 6,012 100,761 Sealy Corp. (a)(b).......... 5,662 11,098 Skyline Corp. (a)........... 930 20,228 Snap-on, Inc. .............. 7,934 228,023 Standard Pacific Corp. (a)(b).................... 13,886 28,189 Tupperware Brands Corp. .... 8,708 226,582 ------------- 1,792,194 ------------- HOUSEHOLD PRODUCTS -- 0.2% Central Garden & Pet Co. (Class A) (a)(b).......... 8,921 87,872 WD-40 Co. .................. 2,152 62,408 ------------- 150,280 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% Carlisle Cos., Inc. ........ 8,457 203,306 Otter Tail Corp. (a)........ 4,515 98,608 Standex International Corp. .................... 1,561 18,108 Tredegar Corp. ............. 3,476 46,300 ------------- 366,322 ------------- INSURANCE -- 7.9% AMBAC Financial Group, Inc. (a)....................... 40,873 37,603 American Equity Investment Life Holding Co. (a)...... 7,783 43,429 American National Insurance Co. (a)................... 2,194 165,823 American Physicians Capital, Inc. ..................... 1,056 41,353 Argo Group International Holdings, Ltd. (b)........ 4,311 121,656 Arthur J. Gallagher & Co. (a)....................... 13,818 294,876 Aspen Insurance Holdings, Ltd. ..................... 10,363 231,509 Assured Guaranty, Ltd. (a).. 13,509 167,241 Baldwin & Lyons, Inc. (Class B) (a)............. 1,240 24,428 CNA Surety Corp. (a)(b)..... 2,258 30,460 Conseco, Inc. (a)(b)........ 26,669 63,206 Delphi Financial Group...... 5,800 112,694 EMC Insurance Group, Inc. (a)....................... 677 14,088 Employers Holdings, Inc. ... 6,428 87,099 Endurance Specialty Holdings, Ltd. (a)........ 6,977 204,426 Enstar Group, Ltd. (b)...... 989 58,203 Erie Indemnity Co. (Class A) (a).................... 4,414 157,845 FBL Financial Group, Inc. (Class A) (a)............. 1,716 14,174 Flagstone Reinsurance Holdings, Ltd. ........... 5,056 52,077 FPIC Insurance Group, Inc. (a)(b).................... 971 29,732 Genworth Financial, Inc. (Class A) (a)............. 59,908 418,757 Harleysville Group, Inc. ... 1,751 49,413 Horace Mann Educators Corp. .................... 5,529 55,124 Infinity Property & Casualty Corp. .................... 1,884 68,691 IPC Holdings, Ltd. ......... 6,291 171,996 Kansas City Life Insurance Co. (a)................... 514 13,832 Maiden Holdings, Ltd. ...... 8,113 53,221 Max Capital Group, Ltd. (a)....................... 6,516 120,285 MBIA, Inc. (a)(b)........... 22,294 96,533 Mercury General Corp. (a)... 3,648 121,953 Montpelier Re Holdings, Ltd. (a)....................... 11,093 147,426 National Financial Partners Corp. (a)................. 5,778 42,295 National Interstate Corp. (a)....................... 858 13,024 National Western Life Insurance Co. (Class A) (a)....................... 296 34,558 Navigators Group, Inc. (b).. 1,907 84,728 OneBeacon Insurance Group, Ltd. (a).................. 3,315 38,752 Platinum Underwriters Holdings, Ltd. ........... 7,124 203,675 PMA Capital Corp. (Class A) (b)....................... 4,518 20,557 Presidential Life Corp. (a)....................... 3,155 23,883 ProAssurance Corp. (b)...... 4,560 210,718 Protective Life Corp. ...... 11,397 130,382 RLI Corp. (a)............... 2,669 119,571 Safety Insurance Group, Inc. ..................... 2,123 64,879 Selective Insurance Group, Inc. ..................... 7,260 92,710 StanCorp Financial Group, Inc. ..................... 6,767 194,078 State Auto Financial Corp. (a)....................... 1,957 34,248 Stewart Information Services Corp. .................... 2,428 34,599 The Phoenix Cos., Inc. (a)(b).................... 15,656 26,146 United Fire & Casualty Co. ...................... 3,310 56,767 Unitrin, Inc. .............. 6,216 74,716 Validus Holdings, Ltd. (a).. 4,560 100,229 XL Capital, Ltd. (Class A)........................ 47,413 543,353 Zenith National Insurance Corp. (a)................. 5,085 110,548 ------------- 5,523,569 ------------- INTERNET SOFTWARE & SERVICES -- 0.1% United Online, Inc. ........ 11,587 75,431 ------------- IT SERVICES -- 1.0% CACI International, Inc. (Class A) (a)(b).......... 4,196 179,211 Convergys Corp. (b)......... 15,907 147,617 CSG Systems International, Inc. (b).................. 4,995 66,134 infoUSA, Inc. (b)........... 4,294 24,519 MAXIMUS, Inc. .............. 2,365 97,556 MoneyGram International, Inc. (a)(b)............... 11,253 20,030 Unisys Corp. (a)(b)......... 46,647 70,437 VeriFone Holdings, Inc. (a)(b).................... 10,585 79,494 ------------- 684,998 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.6% Brunswick Corp. (a)......... 12,476 53,896 Callaway Golf Co. (a)....... 9,156 46,421 Eastman Kodak Co. (a)....... 35,080 103,837
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- JAKKS Pacific, Inc. (a)(b).. 3,855 $ 49,460 Leapfrog Enterprises, Inc. (a)(b).................... 4,760 10,900 Polaris Industries, Inc. (a)....................... 4,557 146,371 RC2 Corp. (a)(b)............ 2,249 29,754 ------------- 440,639 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% AMAG Pharmaceuticals, Inc. (a)(b).................... 2,355 128,748 Bio-Rad Laboratories, Inc. (Class A) (b)............. 2,657 200,550 Cambrex Corp. (a)(b)........ 3,712 15,294 Varian, Inc. (b)............ 3,994 157,483 ------------- 502,075 ------------- MACHINERY -- 3.5% Albany International Corp. (Class A) (a)............. 3,549 40,388 Ampco-Pittsburgh Corp. ..... 1,077 25,256 Astec Industries, Inc. (a)(b).................... 2,357 69,979 Barnes Group, Inc. (a)...... 5,775 68,665 Blount International, Inc. (a)(b).................... 5,545 47,742 Briggs & Stratton Corp. (a)....................... 6,713 89,551 Cascade Corp. (a)........... 1,235 19,427 CIRCOR International, Inc. ..................... 2,357 55,649 Colfax Corp. (a)(b)......... 3,709 28,633 Crane Co. .................. 7,018 156,572 EnPro Industries, Inc. (a)(b).................... 2,870 51,689 Federal Signal Corp. ....... 6,782 51,882 Freightcar America, Inc. (a)....................... 1,562 26,257 IDEX Corp. (a).............. 11,131 273,489 Kaydon Corp. (a)............ 4,614 150,232 Kennametal, Inc. (a)........ 10,121 194,121 Mueller Industries, Inc. ... 5,098 106,038 Mueller Water Products, Inc. (Class A) (a)............ 16,347 61,138 NACCO Industries, Inc. (a).. 785 22,545 Oshkosh Corp. .............. 10,279 149,457 Robbins & Myers, Inc. ...... 3,493 67,240 Sauer-Danfoss, Inc. (a)..... 1,443 8,846 Tecumseh Products Co. (Class A) (a)(b).......... 2,024 19,653 Tennant Co. (a)............. 2,383 43,823 The Greenbrier Cos., Inc. (a)....................... 1,918 13,790 The Timken Co. ............. 10,688 182,551 Trinity Industries, Inc. (a)....................... 10,871 148,063 Valmont Industries, Inc. ... 2,605 187,768 Watts Water Technologies, Inc. (a).................. 4,146 89,305 ------------- 2,449,749 ------------- MARINE -- 0.4% Alexander & Baldwin, Inc. (a)....................... 5,617 131,663 Eagle Bulk Shipping, Inc. (a)....................... 6,473 30,358 Excel Maritime Carriers, Ltd. ..................... 1,873 12,605 Genco Shipping & Trading, Ltd. (a).................. 3,771 81,906 ------------- 256,532 ------------- MEDIA -- 1.1% Belo Corp. (a).............. 11,674 20,896 Cumulus Media, Inc. (a)(b).. 4,313 4,011 Fisher Communications, Inc. (a)....................... 855 10,935 Gannett Co., Inc. (a)....... 31,731 113,280 Harte-Hanks, Inc. (a)....... 5,351 49,497 Journal Communications, Inc. (a)....................... 4,848 5,090 Meredith Corp. (a).......... 5,108 130,509 Regal Entertainment Group (a)....................... 10,803 143,572 Scholastic Corp. (a)........ 4,331 85,710 Sinclair Broadcast Group, Inc. (a).................. 6,685 12,969 The New York Times Co. (Class A) (a)............. 16,456 90,673 Valassis Communications, Inc. (a)(b)............... 6,633 40,528 Value Line, Inc. (a)........ 218 7,166 World Wrestling Entertainment, Inc. (Class A) (a)............. 2,785 34,980 ------------- 749,816 ------------- METALS & MINING -- 1.8% AMCOL International Corp. (a)....................... 3,613 77,968 Carpenter Technology Corp. .................... 6,058 126,067 Century Aluminum Co. (a)(b).................... 6,203 38,645 Commercial Metals Co. (a)... 15,552 249,299 Haynes International, Inc. (a)(b).................... 1,750 41,475 Kaiser Aluminum Corp. (a)... 2,151 77,242 Olympic Steel, Inc. (a)..... 1,385 33,891 RTI International Metals, Inc. (a)(b)............... 3,248 57,392 Schnitzer Steel Industries, Inc. (Class A) (a)....... 2,838 150,017 US Gold Corp. (b)........... 11,690 30,862 Walter Energy, Inc. (a)..... 7,310 264,914 WHX Corp. (a)(b)............ 241 627 Worthington Industries, Inc. (a)....................... 8,808 112,654 ------------- 1,261,053 ------------- MULTI-UTILITIES -- 0.8% Avista Corp. (a)............ 7,516 133,860 Black Hills Corp. (a)....... 5,432 124,882 CH Energy Group, Inc. (a)... 2,162 100,965 NorthWestern Corp. ......... 4,926 112,116 PNM Resources, Inc. (a)..... 10,777 115,421 ------------- 587,244 ------------- MULTILINE RETAIL -- 0.6% Big Lots, Inc. (a)(b)....... 11,410 239,952 Dillard's, Inc. (Class A) (a)....................... 7,530 69,276 Saks, Inc. (a)(b)........... 17,829 78,983 ------------- 388,211 ------------- OIL, GAS & CONSUMABLE FUELS -- 6.1% Alliance Holdings GP LP (a)....................... 2,421 46,459 Alliance Resource Partners LP........................ 2,825 91,813 Atlas Energy Resources LLC.. 4,645 94,897 Atlas Pipeline Partners LP (a)....................... 5,600 44,576 BP Prudhoe Bay Royalty Trust (a)....................... 2,961 204,309 BreitBurn Energy Partners LP........................ 4,302 33,039 Buckeye GP Holdings LP...... 1,386 28,108 Calumet Specialty Products Partners LP (a)........... 2,140 33,170 Capital Product Partners LP (a)....................... 1,682 15,172 Clayton Williams Energy, Inc. (a)(b)............... 1,390 26,229 Contango Oil & Gas Co. (a)(b).................... 1,821 77,374 Copano Energy LLC........... 6,816 109,397 Crosstex Energy LP.......... 3,837 12,010 Crosstex Energy, Inc. (a)... 6,506 27,065 DCP Midstream Partners LP... 3,776 81,750 DHT Maritime, Inc. (a)...... 6,852 35,699 Dorchester Minerals LP...... 3,608 82,407
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Encore Acquisition Co. (a)(b).................... 7,371 $ 227,395 Encore Energy Partners LP (a)....................... 3,973 56,814 EV Energy Partner LP........ 1,874 35,362 Foundation Coal Holdings, Inc. (a).................. 6,188 173,945 General Maritime Corp. ..... 7,410 73,285 Genesis Energy LP (a)....... 4,299 54,683 Harvest Natural Resources, Inc. (a)(b)............... 4,485 19,779 Hiland Partners LP.......... 768 5,614 Holly Energy Partners LP.... 1,294 41,085 Hugoton Royalty Trust (a)... 5,680 82,019 Inergy Holdings LP (a)...... 1,260 51,773 Inergy LP................... 6,884 175,473 James River Coal Co. (a)(b).................... 3,941 59,627 K-Sea Transportation Partners LP (a)........... 1,321 25,905 Linn Energy LLC (a)......... 15,846 310,106 Markwest Energy Partners LP........................ 6,752 122,887 Martin Midstream Partners LP (a)....................... 1,351 27,885 Massey Energy Co. (a)....... 11,720 229,009 Natural Resource Partners LP (a)....................... 4,333 91,210 NuStar GP Holdings LLC (a).. 4,812 111,157 OSG America LP.............. 1,067 7,138 Overseas Shipholding Group, Inc. (a).................. 3,244 110,426 Penn Virginia Resource Partners LP (a)........... 4,508 61,174 Pioneer Southwest Energy Partners LP (a)........... 1,179 21,988 Ship Finance International, Ltd. (a).................. 5,522 60,908 Southern Union Co. ......... 14,408 264,963 Stone Energy Corp. (a)(b)... 5,596 41,522 Sunoco Logistics Partners LP........................ 2,737 148,400 TC Pipelines LP............. 2,266 78,834 Teekay Corp. (a)............ 5,858 123,194 Teekay LNG Partners LP (a).. 3,688 71,916 TransMontaigne Partners LP (a)....................... 1,319 27,699 USEC, Inc. (a)(b)........... 15,695 83,497 W&T Offshore, Inc. (a)...... 5,089 49,567 Williams Partners LP (a).... 5,580 100,775 ------------- 4,270,488 ------------- PAPER & FOREST PRODUCTS -- 0.6% Buckeye Technologies, Inc. (b)....................... 4,968 22,306 Clearwater Paper Corp (a)(b).................... 1,457 36,848 Deltic Timber Corp. (a)..... 1,594 56,539 Domtar Corp. (a)(b)......... 5,623 93,229 Glatfelter.................. 6,403 56,987 Louisiana-Pacific Corp. (a)(b).................... 14,511 49,628 Neenah Paper, Inc. (a)...... 1,857 16,360 Schweitzer-Mauduit International, Inc. ...... 2,059 56,025 Wausau-Mosinee Paper Corp. (a)....................... 7,033 47,262 ------------- 435,184 ------------- PERSONAL PRODUCTS -- 0.2% Nu Skin Enterprises, Inc. (Class A)................. 7,020 107,406 ------------- PHARMACEUTICALS -- 0.1% Par Pharmaceutical Cos., Inc. (a)(b)............... 4,914 74,447 ------------- PROFESSIONAL SERVICES -- 0.2% CDI Corp. .................. 1,657 18,476 Kelly Services, Inc. (Class A)........................ 3,939 43,132 School Specialty, Inc. (a)(b).................... 2,282 46,119 Volt Information Sciences, Inc. (a)(b)............... 1,286 8,063 ------------- 115,790 ------------- REAL ESTATE INVESTMENT TRUSTS -- 12.1% Acadia Realty Trust......... 5,459 71,240 Alexandria Real Estate Equities, Inc. (a)........ 5,439 194,662 American Campus Communities, Inc. (a).................. 7,108 157,655 American Capital Agency Corp. (a)................. 1,431 32,870 Anthracite Capital, Inc. (a)....................... 9,448 5,858 Anworth Mortgage Asset Corp. .................... 14,125 101,841 Apartment Investment & Management Co. (Class A) (a)....................... 16,142 142,857 Ashford Hospitality Trust, Inc. (a).................. 12,975 36,460 Brandywine Realty Trust (a)....................... 17,340 129,183 BRE Properties, Inc. (a).... 7,026 166,938 Camden Property Trust (a)... 9,030 249,228 Capital Lease Funding, Inc. (a)....................... 7,089 19,566 Capstead Mortgage Corp. (a)....................... 8,420 107,018 CBL & Associates Properties, Inc. (a).................. 17,863 96,282 Chimera Investment Corp. (a)....................... 83,696 292,099 Colonial Properties Trust (a)....................... 6,162 45,599 Cousins Properties, Inc. (a)....................... 5,988 50,898 DCT Industrial Trust, Inc. (a)....................... 27,411 111,837 Developers Diversified Realty Corp. (a).......... 18,819 91,837 DiamondRock Hospitality Co. (a)....................... 15,164 94,927 Douglas Emmett, Inc. (a).... 16,763 150,699 Duke Realty Corp. (a)....... 30,939 271,335 DuPont Fabros Technology, Inc. (a).................. 5,146 48,475 EastGroup Properties, Inc. ..................... 3,524 116,363 Education Realty Trust, Inc. ..................... 3,630 15,573 Entertainment Properties Trust (a)................. 4,704 96,902 Equity One, Inc. (a)........ 5,311 70,424 Essex Property Trust, Inc. (a)....................... 3,783 235,416 Extra Space Storage, Inc. (a)....................... 11,665 97,403 FelCor Lodging Trust, Inc. (a)....................... 8,022 19,734 First Industrial Realty Trust, Inc. (a)........... 5,644 24,551 First Potomac Realty Trust (a)....................... 3,929 38,308 Franklin Street Properties Corp. .................... 8,818 116,839 Getty Realty Corp. (a)...... 2,487 46,930 Government Properties Income Trust (a)(b).............. 1,343 27,572 Hatteras Financial Corp. (a)....................... 4,921 140,691 Healthcare Realty Trust, Inc. (a).................. 8,162 137,366 Highwoods Properties, Inc. ..................... 9,693 216,832 Home Properties, Inc. (a)... 4,559 155,462 Hospitality Properties Trust..................... 15,256 181,394 HRPT Properties Trust (a)... 31,124 126,363 Inland Real Estate Corp. (a)....................... 9,874 69,118 Investors Real Estate Trust (a)....................... 8,334 74,089 iStar Financial, Inc. (a)... 13,985 39,717 Kilroy Realty Corp. (a)..... 5,827 119,687 Kite Realty Group Trust (a)....................... 8,110 23,681 LaSalle Hotel Properties (a)....................... 8,709 107,469 Lexington Realty Trust (a).. 11,676 39,698 LTC Properties, Inc. ....... 2,989 61,125 Mack-Cali Realty Corp. (a).. 10,503 239,468 Maguire Properties, Inc. (a)(b).................... 4,439 3,773
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Medical Properties Trust, Inc. ..................... 10,935 $ 66,375 MFA Financial, Inc. ........ 30,762 212,873 Mid-America Apartment Communities, Inc. (a)..... 3,946 144,858 National Health Investors, Inc. ..................... 3,289 87,849 National Retail Properties, Inc. (a).................. 11,002 190,885 NorthStar Realty Finance Corp. (a)................. 7,996 22,629 OMEGA Healthcare Investors, Inc. (a).................. 11,270 174,910 Parkway Properties, Inc. (a)....................... 3,059 39,767 Pennsylvania Real Estate Investment Trust (a)...... 5,746 28,730 Post Properties, Inc. (a)... 6,270 84,269 Potlatch Corp. (a).......... 5,503 133,668 PS Business Parks, Inc. (a)....................... 2,127 103,032 RAIT Investment Trust....... 7,812 10,702 Ramco-Gershenson Properties Trust (a)................. 2,668 26,707 Redwood Trust, Inc. (a)..... 9,344 137,917 Saul Centers, Inc. ......... 1,662 49,145 Senior Housing Properties Trust (a)................. 16,640 271,565 SL Green Realty Corp. (a)... 10,178 233,483 Sovran Self Storage, Inc. .. 3,146 77,392 Strategic Hotels & Resorts, Inc. (a).................. 9,550 10,601 Sun Communities, Inc. (a)... 2,424 33,403 Sunstone Hotel Investors, Inc. ..................... 9,994 53,468 The Macerich Co. (a)........ 10,708 188,568 U-Store-It Trust (a)........ 6,097 29,875 UDR, Inc. (a)............... 20,652 213,335 Universal Health Realty Income Trust.............. 1,543 48,635 Urstadt Biddle Properties (a)....................... 534 7,092 Urstadt Biddle Properties (Class A)................. 2,576 36,270 Washington Real Estate Investment Trust (a)...... 8,092 181,018 Weingarten Realty Investors (a)....................... 16,564 240,344 ------------- 8,450,677 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% Avatar Holdings, Inc. (a)(b).................... 743 13,500 Forest City Enterprises, Inc. (Class A) (a)....... 16,118 106,379 Forestar Real Estate Group, Inc. (a)(b)............... 4,780 56,786 Jones Lang LaSalle, Inc. (a)....................... 5,605 183,452 ------------- 360,117 ------------- ROAD & RAIL -- 0.8% Amerco, Inc. (a)(b)......... 827 30,723 Arkansas Best Corp. (a)..... 3,185 83,925 Avis Budget Group, Inc. (a)(b).................... 13,340 75,371 Con-way, Inc. (a)........... 6,391 225,666 Patriot Transportation Holding, Inc. (a)(b)...... 221 16,117 Werner Enterprises, Inc. (a)....................... 7,009 127,003 YRC Worldwide, Inc. (a)(b).. 8,442 14,605 ------------- 573,410 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.4% Actel Corp. (a)(b).......... 3,645 39,111 DSP Group, Inc. (a)(b)...... 3,414 23,079 Exar Corp. (a)(b)........... 5,821 41,853 Fairchild Semiconductor International, Inc. (b)... 17,170 120,018 Lattice Semiconductor Corp. (a)(b).................... 15,148 28,478 Veeco Instruments, Inc. (b)....................... 4,357 50,498 ------------- 303,037 ------------- SOFTWARE -- 1.0% Compuware Corp. (b)......... 34,156 234,310 Fair Isaac Corp. (a)........ 6,639 102,639 JDA Software Group, Inc. (b)....................... 4,408 65,944 Novell, Inc. (a)(b)......... 47,751 216,312 Renaissance Learning, Inc. (a)....................... 967 8,906 Take-Two Interactive Software, Inc. (a)........ 11,006 104,227 ------------- 732,338 ------------- SPECIALTY RETAIL -- 3.2% Asbury Automotive Group, Inc. (a).................. 4,581 46,909 AutoNation, Inc. (a)(b)..... 10,458 181,446 Barnes & Noble, Inc. (a).... 5,390 111,196 Brown Shoe Co., Inc. ....... 6,171 44,678 Collective Brands, Inc. (a)(b).................... 8,775 127,852 Foot Locker, Inc. (a)....... 21,478 224,875 Genesco, Inc. (a)(b)........ 2,775 52,087 Group 1 Automotive, Inc. (a)....................... 3,216 83,680 Jo-Ann Stores, Inc. (a)(b).. 3,605 74,515 OfficeMax, Inc. ............ 10,845 68,107 Penske Automotive Group, Inc. (a).................. 5,475 91,104 RadioShack Corp. (a)........ 17,333 241,969 Rent-A-Center, Inc. (b)..... 9,090 162,075 Sally Beauty Holdings, Inc. (a)(b).................... 11,934 75,900 Signet Jewelers, Ltd. ...... 11,825 246,196 Stage Stores, Inc. ......... 5,437 60,351 Talbots, Inc. (a)........... 2,930 15,822 The Buckle, Inc. (a)........ 3,694 117,358 The Cato Corp. (Class A) (a)....................... 3,931 68,557 The Children's Place Retail Stores, Inc. (a)(b)....... 3,419 90,364 The Pep Boys -- Manny, Moe & Jack (a).................. 6,452 65,423 ------------- 2,250,464 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.5% Columbia Sportswear Co. (a)....................... 2,039 63,046 Hanesbrands, Inc. (a)(b).... 12,858 192,999 Jones Apparel Group, Inc. .. 11,746 126,035 Kenneth Cole Productions, Inc. (Class A)........... 1,036 7,283 Liz Claiborne, Inc. (a)..... 13,188 37,981 Movado Group, Inc. (a)...... 2,383 25,117 Oxford Industries, Inc. (a)....................... 1,791 20,865 Phillips-Van Heusen Corp. .. 7,078 203,068 Skechers USA, Inc. (a)(b)... 4,676 45,684 The Timberland Co. (Class A) (a)(b)................. 6,433 85,366 UniFirst Corp. ............. 1,891 70,288 Weyco Group, Inc. (a)....... 1,122 25,907 Wolverine World Wide, Inc. (a)....................... 6,764 149,214 ------------- 1,052,853 ------------- THRIFTS & MORTGAGE FINANCE -- 2.1% Astoria Financial Corp. (a)....................... 12,465 106,950 Bank Mutual Corp. (a)....... 6,442 56,174 BankFinancial Corp. (a)..... 2,864 25,375 Berkshire Hills Bancorp, Inc. ..................... 1,671 34,723 Brookline Bancorp, Inc. (a)....................... 7,936 73,964
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) JUNE 30, 2009 - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Clifton Savings Bancorp, Inc. (a).................. 1,404 $ 15,107 Danvers Bancorp, Inc. (a)... 2,536 34,109 Dime Community Bancshares (a)....................... 4,380 39,902 Doral Financial Corp. (a)(b).................... 562 1,405 Fannie Mae (a).............. 153,369 88,954 First Financial Holdings, Inc. (a).................. 1,545 14,523 First Financial Northwest, Inc. (a).................. 2,040 15,953 First Niagara Financial Group, Inc. (a)........... 20,105 229,599 Flushing Financial Corp. ... 2,563 23,964 Freddie Mac (a)(b).......... 91,990 57,034 Guaranty Financial Group, Inc. (b).................. 8,375 1,591 Kearny Financial Corp. (a).. 3,068 35,098 Meridian Interstate Bancorp, Inc. (a)(b)............... 1,437 10,706 MGIC Investment Corp. (a)... 17,080 75,152 Northwest Bancorp, Inc. (a)....................... 2,767 52,186 Provident Financial Services, Inc. (a)........ 7,936 72,218 Provident New York Bancorp (a)....................... 5,463 44,360 Radian Group, Inc. (a)...... 10,284 27,972 Rockville Financial, Inc. (a)....................... 1,210 13,250 Roma Financial Corp. (a).... 1,038 13,224 The PMI Group, Inc. (a)..... 10,391 20,574 TrustCo Bank Corp. NY (a)... 10,732 63,426 Washington Federal, Inc. (a)....................... 12,211 158,743 Westfield Financial, Inc. (a)....................... 4,191 37,970 WSFS Financial Corp. (a).... 795 21,711 ------------- 1,465,917 ------------- TOBACCO -- 0.4% Alliance One International, Inc. (a)(b)............... 11,562 43,936 Star Scientific, Inc. (a)(b).................... 9,952 8,857 Universal Corp. (a)......... 3,505 116,050 Vector Group, Ltd. (a)...... 5,437 77,695 ------------- 246,538 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% Aceto Corp. ................ 3,525 23,512 Aircastle, Ltd. (a)......... 6,287 46,210 Applied Industrial Technologies, Inc. (a).... 5,292 104,252 GATX Corp. (a).............. 5,705 146,733 Kaman Corp. (Class A) (a).. 3,576 59,719 Lawson Products, Inc. (a)... 556 7,901 TAL International Group, Inc. (a).................. 1,870 20,383 Textainer Group Holdings, Ltd. (a).................. 2,282 26,220 United Rentals, Inc. (a)(b).................... 7,349 47,695 Watsco, Inc. ............... 3,424 167,536 ------------- 650,161 ------------- TRANSPORTATION INFRASTRUCTURE -- 0.0% (c) Macquarie Infrastructure Co. LLC (a)................... 5,744 23,608 ------------- WATER UTILITIES -- 0.4% American States Water Co. (a)....................... 2,479 85,873 California Water Service Group (a)................. 2,724 100,352 Connecticut Water Service, Inc. (a).................. 1,210 26,245 Middlesex Water Co. (a)..... 1,764 25,490 SJW Corp. (a)............... 1,843 41,836 ------------- 279,796 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% USA Mobility, Inc. (a)...... 3,280 41,853 ------------- TOTAL COMMON STOCKS -- (Cost $99,621,079)....... 69,644,930 ------------- RIGHTS -- 0.0% (c) HOUSEHOLD DURABLES -- 0.0% (c) Sealy Corp. (expiring 7/2/09) (a)(b) (Cost $19,066)............ 5,075 10,759 ------------- SHORT TERM INVESTMENTS -- 27.6% MONEY MARKET FUNDS -- 27.6% State Street Navigator Securities Lending Prime Portfolio (e)(f).......... 18,673,686 18,673,686 STIC Prime Portfolio........ 644,592 644,592 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $19,318,278)........ 19,318,278 ------------- TOTAL INVESTMENTS -- 127.3% (g) (Cost $118,958,423)....... 88,973,967 OTHER ASSETS AND LIABILITIES -- (27.3)%... (19,088,633) ------------- NET ASSETS -- 100.0%........ $ 69,885,334 =============
(a) Security, or portion thereof, was on loan at June 30, 2009. (b) Non-income producing security. (c) Amount represents less than 0.05% of net assets. (d) Security is valued at fair value as determined in good faith by Trust's Pricing and investment Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs established under FAS 157. (Note 2) (e) Investments of cash collateral for securities loaned. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on level 1 inputs established under FAS 157. (Note 2) See accompanying notes to financial statements. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to the registrant. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to the registrant. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to the registrant. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant's Board. ITEM 11. CONTROLS AND PROCEDURES. (a) Within 90 days of the filing date of this Form N-CSR, James Ross, the registrant's President and Principal Executive Officer, and Gary L. French, the registrant's Treasurer and Principal Financial Officer, reviewed the registrant's disclosure controls and procedures and evaluated their effectiveness. Based on their review, Messrs. Ross and French determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission. (b) There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 12. EXHIBITS. (a)(1) Code of Ethics referred to in Item 2. (a)(2) Separate certifications required by Rule 30a-2 under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are attached. (a)(3) Not Applicable (b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. SPDR(R) Series Trust By: /s/ James Ross --------------------------------- James Ross President and Principal Executive Officer Date: September 3, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James Ross --------------------------------- James Ross President and Principal Executive Officer Date: September 3, 2009 By: /s/ Gary L. French --------------------------------- Gary L. French Treasurer and Principal Financial Officer Date: September 3, 2009 EX-99.(A)(1) 2 b76393a1exv99wxayx1y.txt CODE OF ETHICS EXHIBIT 12(A)(1) SPDR(R) SERIES TRUST SPDR(R) INDEX SHARES FUNDS CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS I. COVERED OFFICERS/PURPOSE OF THE CODE This Code of Conduct (the "Code") shall apply to the SPDR(R) Series Trust's and SPDR(R) Index Shares Funds' (each, a "Trust") Principal Executive Officer, Principal Financial Officer, Controller, Principal Accounting Officer and persons performing similar functions (the "Covered Officers," each of whom is named in Exhibit A attached hereto) for the purpose of promoting: - - honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; - - full, fair, accurate, timely and understandable disclosure in reports and documents that the Trust files with, or submits to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Trust; - - compliance with applicable laws and governmental rules and regulations; - - the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and - - accountability for adherence to the Code. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. II. COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF INTEREST OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Trust. Covered Officers must avoid conduct that conflicts, or appears to conflict, with their duties to the Trust. All Covered Officers should conduct themselves such that a reasonable observer would have no grounds for belief that a conflict of interest exists. Covered Officers are not permitted to self-deal or otherwise to use their positions with the Trust to further their own or any other related person's business opportunities. This Code does not, and is not intended to, repeat or replace the programs and procedures or codes of ethics of the Trust's investment adviser or distributor. Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Trust and its service providers, including investment adviser, of which the Covered Officers may be officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust, the investment adviser, or other service providers), be involved in establishing policies and implementing decisions that will have different effects on the service providers and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and its service providers and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act of 1940, as amended ("Investment Company Act") and the Investment Advisers Act of 1940, as amended ("Investment Advisers Act"), such activities will be deemed to have been handled ethically. In addition, it is recognized by the Trust's Board of Trustees (the "Board") that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust. * * * * Each Covered Officer must not: - - use his personal influence or personal relationship improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust; - - cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust; or - - retaliate against any other Covered Officer or any employee of the Trust or its affiliated persons for reports of potential violations by the Trust of applicable rules and regulations that are made in good faith. Each Covered Officer must discuss certain material conflict of interest situations with the Trust's Audit Committee. Examples of such situations include: - - service as a director, trustee, general partner, or officer of any unaffiliated business organization. This rule does not apply to charitable, civic, religious, public, political, or social organizations, the activities of which do not conflict with the interests of the Trust; - - the receipt of any non-nominal gifts (valued greater than $100.00); - - the receipt of any entertainment from any company with which the Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as raise any question of impropriety; - - any ownership interest in, or any consulting or employment relationship with, any of the Trust's service providers, other than its investment adviser, principal underwriter, administrator, transfer agent, custodian or any affiliated person thereof; and - - a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. III. DISCLOSURE AND COMPLIANCE - - Each Covered Officer will monitor the compliance of the Trust and the Trust's service providers with federal or state statutes, regulations or administrative procedures that affect the operation of the Trust. - - Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, whether within or outside the Trust, including to the Trust's Board, Trust's Audit Committee and the Trust's independent auditors, and to governmental regulators and self-regulators and self-regulatory organizations. - - Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Trust and its service providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust. - - Each Covered Officer will exhibit and promote the highest standards of honest and ethical conduct through the establishment and operation of policies and procedures that encourage professional integrity in all aspects of the Trust's operations. IV. REPORTING AND ACCOUNTABILITY Each Covered Officer must: - - upon adoption of this Code (or thereafter as applicable, upon becoming a Covered Officer), sign and return a report in the form of Exhibit B to the Trust's compliance officer affirming that he or she has received, read, and understands the Code; - - annually sign and return a report in the form of Exhibit C to the Trust's compliance officer as an affirmation that he or she has complied with the requirements of the Code; and - - notify the Trust's Audit Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Trust's Audit Committee is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation including any approvals or waivers sought by the Covered Persons. The Audit Committee will follow these procedures in investigating and enforcing this Code: - - The Audit Committee will take all appropriate actions to investigate any potential violations reported to the Committee. - - If, after such investigation, the Audit Committee believes that no violation has occurred, the Audit Committee is not required to take any further action. - - Any matter that the Audit Committee believes is a violation of this Code will be reported to the full Board. - - If the Board concurs that a violation has occurred, it will notify the appropriate personnel of the applicable service provider and may dismiss the Covered Officer as an officer of the Trust. - - The Audit Committee will be responsible for granting waivers of provisions of this Code, as appropriate. - - Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. V. OTHER POLICIES AND PROCEDURES This Code shall be the sole code of ethics adopted by the Trust for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Trust, the Fund's investment adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Trust's, investment adviser's and principal underwriter's codes of ethics under Rule 17j-1 under the Investment Company Act and the investment adviser's more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code. VI. AMENDMENTS Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of Independent Trustees. VII. CONFIDENTIALITY All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trust's Board or Audit Committee. VIII. INTERNAL USE The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of Trust, as to any fact, circumstance, or legal conclusion. Adopted by SPDR(R) Series Trust: August 18, 2003 Adopted by SPDR(R) Index Shares Funds: July 1, 2004 Updated: August 1, 2007 EXHIBIT A Persons Covered by this Code of Ethics (as of 2009):
TITLE NAME - ----------------------------------------- ----------- President and Principal Executive Officer James Ross Treasurer and Principal Financial Officer Gary French
EXHIBIT B INITIAL CERTIFICATION FORM This is to certify that I have read and understand the Code of Conduct for Principal Executive and Senior Financial Officers of SPDR(R) Series Trust and SPDR(R) Index Shares Funds (each, a "Code") and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein. Please sign your name here: ---------------------------- Please print your name here: --------------------------- Please date here: -------------------------------------- EXHIBIT C ANNUAL CERTIFICATION FORM This is to certify that I have read and understand the Code of Conduct for Principal Executive and Senior Financial Officers of SPDR(R) Series Trust and SPDR(R) Index Shares Funds (each, a "Code") and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein. This is to further certify that I have complied with the policies and procedures set forth in each Code during my tenure as a Covered Officer, as defined in the Code. Please sign your name here: ---------------------------- Please print your name here: --------------------------- Please date here: -------------------------------------- EX-99.CERT 3 b76393a1exv99wcert.txt SECTION 302 CERTIFICATIONS EXHIBIT 12(A)(2) CERTIFICATIONS I, James Ross, President and Principal Executive Officer of SPDR(R) Series Trust, certify that: 1. I have reviewed this report on Form N-CSR of SPDR(R) Series Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 3, 2009 By: /s/ James Ross --------------------------------- James Ross President and Principal Executive Officer I, Gary L. French, Treasurer and Principal Financial Officer of SPDR(R) Series Trust, certify that: 1. I have reviewed this report on Form N-CSR of SPDR(R) Series Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 3, 2009 By: /s/ Gary L. French --------------------------------- Gary L. French Treasurer and Principal Financial Officer EX-99.906CERT 4 b76393a1exv99w906cert.txt SECTION 906 CERTIFICATIONS EXHIBIT 12(B) I, James Ross, President and Principal Executive Officer, and I, Gary L. French, Treasurer and Principal Financial Officer, of SPDR(R) Series Trust (the "Trust") each certify that: 1. This Form N-CSR filing for the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. By: /s/ James Ross --------------------------------- James Ross President and Principal Executive Officer Date: September 3, 2009 By: /s/ Gary L. French --------------------------------- Gary L. French Treasurer and Principal Financial Officer Date: September 3, 2009 -----END PRIVACY-ENHANCED MESSAGE-----